Approximately $293 Million of Structured Securities Affected
New York, March 02, 2011 -- Moody's Investors Service (Moody's) upgraded the ratings of five classes,
affirmed four classes and downgraded two pooled classes of JP Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage
Pass-Through Certificates, Series 2006-FL1 as follows.
Cl. A-2, Affirmed at Aaa (sf); previously on
March 22, 2006 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on November
14, 2007 Upgraded to Aaa (sf)
Cl. C, Upgraded to Aaa (sf); previously on March 11,
2009 Downgraded to Aa2 (sf)
Cl. D, Upgraded to Aa1 (sf); previously on March 11,
2009 Downgraded to Aa3 (sf)
Cl. E, Upgraded to Aa3 (sf); previously on March 11,
2009 Downgraded to A2 (sf)
Cl. F, Upgraded to A1 (sf); previously on March 11,
2009 Downgraded to A3 (sf)
Cl. G, Upgraded to A3 (sf); previously on August 4,
2010 Downgraded to Baa2 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on August 4,
2010 Downgraded to Baa3 (sf)
Cl. J, Affirmed at Ba3 (sf); previously on August 4,
2010 Downgraded to Ba3 (sf)
Cl. K, Downgraded to Caa1 (sf); previously on August
4, 2010 Downgraded to B3 (sf)
Cl. L, Downgraded to Caa3 (sf); previously on August
4, 2010 Downgraded to Caa2 (sf)
The upgrades are due to payoffs of some of the larger loans including
the Holyoke Mall since last review. The affirmations are due to
key parameters, including Moody's loan to value (LTV) ratio and
Moody's stressed debt service coverage ratio (DSCR), remaining within
acceptable ranges. Based on our current base expected loss,
the credit enhancement levels for the affirmed classes are sufficient
to maintain the current ratings. The downgrades are due to interest
shortfalls, expenses associated with a loan in special servicing
and uncertainty of the outcome.
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 sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011 The hotel and multifamily sectors are continuing to show
signs of recovery, while recovery in the office and retail sectors
will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodologies used in this rating was "Moody's Approach
to Rating Large Loan/Single Borrower Transactions" published in July 2000.
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 Large
Loan Model v 8.0 which is used for both large loan and single borrower
transactions. The large loan model derives credit enhancement levels
based on an aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, property type, and
sponsorship. These aggregated proceeds are then further adjusted
for any pooling benefits associated with loan level diversity, other
concentrations and correlations. The model also incorporates a
supplementary tool to allow for the testing of the credit support at various
rating levels. The scenario or "blow-up" analysis tests
the credit support for a rating assuming that loans in the pool default
with an average loss severity that is commensurate with the rating level
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 August 4, 2010. 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 did not receive or take into account a third-party
due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
As of the February 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 66%
to $293 million from $852 million at last review.
The certificates are collateralized by four loans ranging in size from
2% to 62% of the trust balance. The pool is heavily
concentrated in regional mall property type and sponsor, Robert
J. Congel (98% of trust balance). The trust has experienced
minimal losses since securitization and currently the smallest loan (2%
of trust balance) is in special servicing. The currently outstanding
interest shortfalls total $3,877 and cumulative bond loss
totals $24,250 to Class L.
Moody's LTV ratio for the pooled trust balance is 82% compared
to 79% at last review. Moody's stressed DSCR ratio
for the pooled trust balance is 1.25X compared to 1.28X
at last review. The overall credit metrics are similar to those
at last review, and we anticipate continued deleveraging from amortization
from the three mall loans.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. Large loan transactions have
a Herf of less than 20. The pool has a Herf of two compared to
six at last review.
The Crossgate Mall Loan ($181 million - 62% of trust
balance) is secured by a 1.2 million square foot (SF) regional
mall located in Albany, New York. This loan amortizes on
a 30 year schedule and its current maturity date is June 9, 2011.
The borrower has one additional 12-month extension option remaining.
One anchor pad space (143,676 SF) is dark. The property's
net cash flow (NCF) for the first nine months of 2010 was $19 million.
The previous full year 2009 NCF was $26 million. Moody's
2011 review NCF is $22 million. The loan's sponsors
are Robert J. Congel and Madeira Associates. Moody's
current credit estimate is Ba1.
The Independence Mall Loan ($78 million -- 27% of the
trust balance) is secured by a 680,000 SF regional mall located
in Kingston, Massachusetts. The property's NCF for
the first nine months of 2010 was $5 million compared to $9
million for 2009. Moody's 2011 review NCF is $7 million.
This loan amortizes on a 20 year schedule and its current maturity date
is February 9, 2012. The borrower has one additional 12-month
extension option remaining. The loan's sponsors are Robert
J. Congel and Riesling Associates (controlled by Robert Congel
and family trust). Moody's current credit estimate is Caa2.
The Centerpoint loan ($6 million - 2% of the trust
balance) was transferred to special servicing on January 29, 2010
due to imminent default. The final maturity date is August 7,
2010. The combined $130.5 million loan was divided
into two pari passu notes consisting of fixed rate A-1 note with
an original balance of $117.45 million (securitized in JPM
Chase 2006-CIBC14 transaction) and a floating rate A-2 note
with an original principal balance of $13.05 million.
The A-2 note was included in this transaction. This loan
was originally secured by 16 industrial properties in the Chicago MSA.
Since securitization two properties were released and paid down the A-2
note per the loan documents. The current principal balance for
the A-2 note is $6,065,000 and the combined
outstanding principal balance for the total loan is $123,515,000.
The sponsor for this loan is CenterPoint Properties Trust and JF US Industrial
Trust. The outstanding P& I advances for this loan to date
are $75,782. Moody's current credit estimate
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's Analytics
Moody's Investors Service 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.
Eun Jee Park
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Upgrades Five, Affirms Four and Downgrades Two CMBS Classes of JPMCC 2006-FL1
250 Greenwich Street
New York, NY 10007