Approximately $109.6 Million of Structured Securities Affected
New York, March 12, 2015 -- Moody's Investors Service has upgraded the rating on one class,
affirmed the ratings on nine classes, and downgraded the ratings
on two classes in J.P. Morgan Chase Commercial Mortgage
Securities Corp. Series 2003-CIBC6 as follows:
Cl. C, Affirmed Aaa (sf); previously on Jul 24,
2014 Affirmed Aaa (sf)
Cl. D, Affirmed Aaa (sf); previously on Jul 24,
2014 Affirmed Aaa (sf)
Cl. E, Affirmed Aaa (sf); previously on Jul 24,
2014 Affirmed Aaa (sf)
Cl. F, Upgraded to Aa2 (sf); previously on Jul 24,
2014 Affirmed A1 (sf)
Cl. G, Affirmed A3 (sf); previously on Jul 24,
2014 Affirmed A3 (sf)
Cl. H, Affirmed Ba1 (sf); previously on Jul 24,
2014 Affirmed Ba1 (sf)
Cl. J, Affirmed Ba2 (sf); previously on Jul 24,
2014 Affirmed Ba2 (sf)
Cl. K, Affirmed B2 (sf); previously on Jul 24,
2014 Affirmed B2 (sf)
Cl. L, Downgraded to Caa3 (sf); previously on Jul 24,
2014 Affirmed Caa1 (sf)
Cl. M, Downgraded to C (sf); previously on Jul 24,
2014 Affirmed Caa3 (sf)
Cl. N, Affirmed C (sf); previously on Jul 24,
2014 Affirmed C (sf)
Cl. X-1, Affirmed B2 (sf); previously on Jul
24, 2014 Downgraded to B2 (sf)
RATINGS RATIONALE
The rating on P&I class F was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization as well
as a decline in interest shortfalls.
The ratings on the P&I classes C, D, E, G,
H, J and K 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 the P&I class N was affirmed because the rating is
consistent with Moody's expected loss.
The ratings on the P&I classes L and M were downgraded due to realized
and anticipated losses from specially serviced and troubled loans.
The rating on the IO Class, Class X-1 was affirmed based
on the credit performance of the referenced classes.
Moody's rating action reflects a base expected loss of 16.3%
of the current balance compared to 12.7% at Moody's
last review. Moody's base expected loss plus realized losses is
now 3.1% of the original pooled balance, compared
to 2.7% 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 7,
compared to 8 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan 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 pooled certificate balance has decreased by 89% to $114.8
million from $1.06 billion at securitization. The
certificates are collateralized by 21 mortgage loans ranging in size from
less than 1% to 24% of the pool, with the top ten
loans constituting 70% of the pool. Four loans, constituting
22% of the pool, have defeased and are secured by US government
securities.
Seven loans, constituting 32% 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.
Ten loans have been liquidated from the pool, resulting in an aggregate
realized loss of $13 million (for an average loss severity of 32%).
Three loans, constituting 15% of the pool, are currently
in special servicing. The largest specially serviced loan is the
2 Executive Plaza Loan ($7.3 million -- 6.3%
of the pool), which is secured by a 102,000 square foot (SF)
office building located in Cherry Hill, New Jersey. The loan
transferred to special servicing in January 2013 due to pending maturity
default. Foreclosure was filed in May 2013 and the loan became
real estate owned (REO) in October 2013. After several tenants
vacated at their lease expirations in 2013, the property is only
34% leased as of September 2014, compared to 28% leased
in April 2014. The special servicer indicated they are working
to lease up the property.
The second largest specially serviced loan is the Advance Office Building
($6.4 million -- 5.6% of the
pool), which is secured by a 231,000 SF office building located
in Southfield, Michigan. The loan transferred to special
servicing in March 2013 due to imminent maturity default and a receiver
was appointed in November 2013. A foreclosure sale was conducted
in December 2014 and the Note holder was the successful bidder.
The remaining specially serviced loan is secured by two cross-collateralized
and cross-defaulted manufactured housing properties which have
been modified and are in the process of returning to the Master Servicer.
Moody's estimates an aggregate $11.0 million loss
for two of the the specially serviced loans (81% expected loss
on average).
Moody's has assumed a high default probability for two poorly performing
loans, constituting 8% of the pool and has estimated a modest
loss from this loan.
Moody's received full year 2013 operating results for 100% of the
pool and full or partial year 2014 operating results for 68% of
the pool. Moody's weighted average conduit LTV is 93% compared
to 73% at Moody's last review. Moody's conduit component
excludes defeased loans and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut of 22%
to the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.17X and 1.22X,
respectively, compared to 1.33X and 1.54X 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 top three conduit loans represent 42% of the pool balance.
The largest loan is the International Paper Office Loan ($28.3
million -- 24.7% of the pool), which
is secured by a 214,000 SF office building located in Memphis,
Tennessee. The building is one of three identically designed buildings
that make up the International Place office park. The collateral
is 100% leased to International Paper Company (senior unsecured
rating Baa2) through February 2027. International Paper has utilized
the International Place office park as its headquarters since 1987.
The loan has amortized 19% since securitization and matures in
July 2017. Moody's analysis is based on a lit/dark analysis due
to concerns about the property's single tenancy. Moody's LTV and
stressed DSCR are 84% and 1.19X, respectively,
compared to 86% and 1.16X, at last review.
The second largest conduit loan is the Amazon Distribution Center Loan
($11.2 million -- 9.7% of the
pool), which is secured by a 589,000 SF industrial property
located in Fernley, Nevada. The center is fully leased to
Amazon.com, Inc. (senior unsecured rating Baa1) through
May 2015. Amazon's lease expired in August 2014 and a short-term
9 month lease extension beginning September 1, 2014 to May 31,
2015 was approved. Amazon has indicated that they intend to vacate
and relocate their fulfillment center. The loan had an anticipated
repayment date of August 2014. Moody's analysis is based on a lit/dark
analysis due to concerns about the property's single tenancy and Amazon
vacating. Moody's LTV and stressed DSCR are 119% and 0.91X,
respectively, compared to 59% and 1.84X at last review.
The third largest loan is the Bashas' Thunderbird Village Loan ($9.0
million -- 7.9% of the pool), which
is secured by an 82,000 SF grocery anchored shopping center located
in Peoria, Arizona. The property is located in a major suburb
of Phoenix. The loan is on the watchlist due to deferred maintenance.
As of September 2014, the property was 95% leased.
Performance has improved since last review. The loan has passed
its anticipated repayment date. Moody's LTV and stressed DSCR are
131% and 0.77X, respectively, compared to 197%
and 0.51X at 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.
Lacey M Morgan
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
Sandra Ruffin
VP - Senior Credit Officer
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 One, Affirms Nine and Downgrades Two Classes of JPMCC 2003-CIBC6
