Approximately $120.7 Million of Structured Securities Affected
New York, September 16, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings of three classes
of J.P. Morgan Chase Commercial Mortgage Trust 2004-CIBC8,
Commercial Mortgage Pass-Through Certificates, Series 2004-CIBC8
and placed eight classes on review for possible downgrade as follows:
Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 12, 2004 Definitive Rating Assigned A2 (sf)
Cl. E, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 12, 2004 Definitive Rating Assigned A3 (sf)
Cl. F, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 12, 2004 Definitive Rating Assigned Baa1 (sf)
Cl. G, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 12, 2004 Definitive Rating Assigned Baa2 (sf)
Cl. H, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 12, 2004 Definitive Rating Assigned Baa3 (sf)
Cl. J, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 8, 2006 Downgraded to Ba2 (sf)
Cl. K, Ba3 (sf); Placed Under Review for Possible Downgrade;
previously on Dec 8, 2006 Downgraded to Ba3 (sf)
Cl. L, B2 (sf); Placed Under Review for Possible Downgrade;
previously on Dec 8, 2006 Downgraded to B2 (sf)
Cl. M, Downgraded to C (sf); previously on Jan 10,
2008 Downgraded to Caa1 (sf)
Cl. N, Downgraded to C (sf); previously on Jan 10,
2008 Downgraded to Caa3 (sf)
Cl. P, Downgraded to C (sf); previously on Jan 10,
2008 Downgraded to Ca (sf)
The downgrades of Classes M through P are due to realized and anticipated
losses from specially serviced loans. The pool has experienced
an aggregate $14.0 million loss on two loans resulting in
a 100% loss for classes P through M and a 24% loss hitting
Class L. The servicer has recognized appraisal reductions totaling
$9.8 million for two loans currently in special servicing.
Moody's placed Classes D through L on review for possible downgrade
due to higher expected losses for the pool resulting from anticipated
losses from specially serviced and troubled loans.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these
expectations. Performance that falls outside an acceptable range
of the key parameters may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated during
the current review. Even so, deviation from the expected
range will not necessarily result in a rating action. There may
be mitigating or offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to amortization
and loan payoffs or a decline in subordination due to realized losses.
Primary sources of assumption uncertainty are the current stressed macroeconomic
environment and continuing weakness in the commercial real estate and
lending markets. Moody's currently views the commercial real
estate market as stressed with further performance declines expected in
the industrial, office, and retail sectors. Hotel performance
has begun to rebound, albeit off a very weak base. Multifamily
has also begun to rebound reflecting an improved supply / demand relationship.
The availability of debt capital is improving with terms returning towards
market norms. Job growth and housing price stability will be necessary
precursors to commercial real estate recovery. Overall, Moody's
central global scenario remains "hook-shaped" for 2010
and 2011; we expect overall a sluggish recovery in most of the world's
largest economies, returning to trend growth rate with elevated
fiscal deficits and persistent unemployment levels.
The principal methodology used in rating J.P. Morgan Chase
Commercial Mortgage Trust 2004-CIBC8, Commercial Mortgage
Pass-Through Certificates, Series 2004-CIBC8 was "CMBS:
Moody's Approach to Rating Fusion Transactions" rating methodology published
in April 2005. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found on Moody's
website. In addition, Moody's publishes a weekly summary
of structured finance credit, ratings and methodologies, available
to all registered users of our website, at www.moodys.com/SFQuickCheck.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR,
and Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit
model results at the B2 level are driven by a pay down analysis based
on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or determined based
on a multiple or ratio of either of these two data points. For
fusion deals, the credit enhancement for loans with investment-grade
underlying ratings is melded with the conduit model credit enhancement
into an overall model result. Fusion loan credit enhancement is
based on the underlying rating of the loan which corresponds to a range
of credit enhancement levels. Actual fusion credit enhancement
levels are selected based on loan level diversity, pool leverage
and other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating level,
is incorporated for loans with similar underlying ratings in the same
Moody's ratings are determined by a committee process that considers
both quantitative and qualitative factors. Therefore, the
rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated January 10, 2008.
Please see the ratings tab on the issuer / entity page on moodys.com
for the last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the rating.
As of the August 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 27% to $913
million from $1.25 billion at securitization. The
Certificates are collateralized by 95 mortgage loans ranging in size from
less than 1% to 9% of the pool, with the top ten loans
representing 45% of the pool. Nine loans, representing
7% of the pool, have defeased and are collateralized with
U.S. Government securities.
Four loans, representing 15% of the pool, are on the
master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of our ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could impact
Two loans have been liquidated from the pool, resulting in an aggregate
realized loss of $14 million (42% loss severity).
Six loans, representing 3% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Hebron Heights Loan ($8.9 million -- 1% of the
pool), which is secured by a 59,429 square foot unanchored
retail center located in Carrollton, Texas. The loan transferred
to special servicing in August 2008 and is now real estate owned (REO).
The second largest specially serviced loan is the Mission Foothills Professional
Building Loan ($7.7 million -- 1% of the pool),
which is secured by a 52,000 square foot office building located
in Mission Viejo, California. The loan transferred into special
servicing in July 2010 due to monetary default.
The remaining four specially serviced loans are secured by a mix of multi-family
and retail properties.. The master servicer has recognized
an aggregate $9.8 million appraisal reduction for two of
the specially serviced loans.
Moody's review will focus on potential losses from specially serviced
and watchlisted loans and the performance of the overall pool.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's Investors Services considers the quality of information
available on the issuer or obligation satisfactory for the purposes of
maintaining a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
MOODY'S considers to be reliable including, when appropriate,
independent third-party sources. However, MOODY'S
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Downgrades Three Classes and Places Eight CMBS Classes of JPMC 2004-CIBC8 on review for Possible Downgrade
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