Approximately $138 Million of Structured Securities Affected
New York, March 04, 2015 -- Moody's Investors Service has upgraded the ratings on four and affirmed
the ratings on six classes in J.P. Morgan Commercial Mortgage
Finance Corp. Series 2003-CIBC7 as follows:
Cl. B, Affirmed Aaa (sf); previously on Mar 20,
2014 Affirmed Aaa (sf)
Cl. C, Affirmed Aaa (sf); previously on Mar 20,
2014 Affirmed Aaa (sf)
Cl. D, Upgraded to Aaa (sf); previously on Mar 20,
2014 Upgraded to Aa2 (sf)
Cl. E, Upgraded to Aa3 (sf); previously on Mar 20,
2014 Upgraded to A2 (sf)
Cl. F, Upgraded to Baa2 (sf); previously on Mar 20,
2014 Affirmed Ba1 (sf)
Cl. G, Upgraded to Ba2 (sf); previously on Mar 20,
2014 Affirmed B1 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Mar 20,
2014 Affirmed Caa3 (sf)
Cl. J, Affirmed C (sf); previously on Mar 20,
2014 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Mar 20,
2014 Affirmed C (sf)
Cl. X-1, Affirmed B3 (sf); previously on Mar
20, 2014 Downgraded to B3 (sf)
RATINGS RATIONALE
The ratings on four P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and amortization.
The deal has paid down 13% since Moody's last review.
The ratings on two P&I classes were affirmed because the transaction's
key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on three P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on one IO class was affirmed based on the credit performance
(or the weighted average rating factor or WARF) of the referenced classes.
Moody's rating action reflects a base expected loss of 4.7%
of the current balance, compared to 8.2% at Moody's
last review. Moody's base expected loss plus realized losses is
now 4.0% of the original pooled balance, compared
to 4.4% at the last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS transactions
on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model,
which it uses for both conduit and fusion transactions. Credit
enhancement levels for conduit loans are driven by property type,
Moody's actual and stressed DSCR, and Moody's property
quality grade (which reflects the capitalization rate Moody's uses
to estimate Moody's value). Moody's fuses the conduit
results with the results of its analysis of investment grade structured
credit assessed loans and any conduit loan that represents 10%
or greater of the current pool balance.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 13
compared to a Herf of 16 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating recommendation.
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. Moody's
also further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the February 12, 2015 distribution date, the transaction's
aggregate certificate balance has decreased by 90% to $138
million from $1.39 billion at securitization. The
certificates are collateralized by 43 mortgage loans ranging in size from
less than 1% to 14% of the pool, with the top ten
loans constituting 55% of the pool. One loan, constituting
14% of the pool, has an investment-grade structured
credit assessment. Eight loans, constituting 18% of
the pool, have defeased and are secured by US government securities.
Three loans, constituting 5% of the pool, are on the
master servicer's watchlist. The watchlist includes loans
that meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues that
could affect performance.
Twenty-one loans have been liquidated from the pool, resulting
in an aggregate realized loss of $49 million (for an average loss
severity of 45%). Two loans, constituting 4%
of the pool, are currently in special servicing. The largest
specially serviced loan is the Seaway Marketplace Loan, formerly
known as the Farmer Jack Food Market Loan (for $3 million --
2% of the pool), which is secured by an approximately 55,000
square foot (SF) retail property located in Toledo, Ohio.
The property transferred to special servicing in November 2012 and is
now real estate owned (REO).
The remaining specially serviced loan is secured by a multifamily property
located in St. Louis, Missouri. Moody's estimates
an aggregate $4 million loss for the specially serviced loans (63%
expected loss on average).
Moody's received full year 2013 operating results for 96% of the
pool and full or partial year 2014 operating results for 38% of
the pool. Moody's weighted average conduit LTV is 61%,
compared to 68% at Moody's last review. Moody's
conduit component excludes loans with structured credit assessments,
defeased and CTL loans, and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut
of 14% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9%.
Moody's actual and stressed conduit DSCRs are 1.36X and 2.26X,
respectively, compared to 1.29X and 1.93X at the last
review. Moody's actual DSCR is based on Moody's NCF
and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate
the agency applied to the loan balance.
The loan with a structured credit assessment is the Brown Noltemeyer Apartments
Loan ($19 million -- 14% of the pool), which
is a portfolio of five cross-collateralized loans secured by eight
multifamily properties located in Louisville, Kentucky. The
properties are primarily of 1980s vintage. The portfolio's performance
is stable. The loans are fully amortizing and have amortized 55%
since securitization. Moody's structured credit assessment and
stressed DSCR are aaa (sca.pd) and 3.32X, respectively,
compared to aa1 (sca.pd) and 2.77X at the last review.
The top three conduit loans represent 14% of the pool balance.
The largest loan is the Versailles and Dana Point Apartments Portfolio
($19 million -- 14% of the pool), which
is secured by two Class B multifamily properties with a total 652 units
located in Dallas, Texas. As of year-end 2014,
the properties were 94% leased compared to 93% as of September
2013. Performance has improved since last review. The loan
had passed its anticipated repayment date (ARD) in 2008 and was transferred
to special servicer in 2010, then returned to the master servicer
in March 2011. Moody's LTV and stressed DSCR are 112% and
0.87X, respectively, compared to 129% and 0.75X
at the last review.
The second largest loan is the Crestpointe Corporate Center II Loan ($8
million -- 6% of the pool), which is secured
by an approximately 122,000 SF office property located in Columbia,
Maryland. The property was 100% leased as of December 2014
compared to 82% as of September 2013. Property performance
has improved since last review due to the increase in occupancy.
The loan is fully amortizing and has amortized 41% since securitization.
Moody's LTV and stressed DSCR are 51% and 2.01X, respectively,
compared to 67% and 1.54X at the last review.
The third largest loan is the Holly Springs Crossing Loan ($6 million
-- 4% of the pool), which is secured by an
approximately 92,000 SF Lowe's anchored retail center located
in Holly Springs, North Carolina. The property was 97%
occupied as of October 2014. The loan is fully amortizing and has
amortized 42% since securitization. Moody's LTV and stressed
DSCR are 49% and 2.01X, respectively, compared
to 54% and 1.84X at the last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions of the disclosure form.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of this transaction
in the past six months.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Christopher R Bergman
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Keith Banhazl
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Upgrades Four and Affirms Six Classes of JPMCC 2003-CIBC7
