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12 May 2010
Approximately $102.1 Million of Structured Securities Affected
New York, May 12, 2010 -- Moody's Investors Service (Moody's) upgraded the rating of one class,
downgraded two classes and affirmed five classes of J.P.
Morgan Commercial Mortgage Finance Corp., Mortgage Pass-Through
Certificates, Series 1999-C8. The upgrades are due
to the increased credit support due to loan payoffs and principal amortization.
The deal has amortized by approximately 53% since Moody's
prior review in March 2009. The downgrades are due to higher expected
losses for the pool resulting from realized and anticipated losses from
specially serviced and highly leveraged loans.
The affirmations are due to key rating parameters, including Moody's
loan to value (LTV) ratio and Moody's stressed debt service coverage
ratio (DSCR) remaining within acceptable ranges. The decline in
loan concentration, as measured by the Herfindahl Index (Herf),
has been mitigated by increased credit support due to loan payoffs and
As of the April 15, 2010 statement date, the transaction's
aggregate certificate balance has decreased 86% to $102.1
million from $731.5 million at securitization. The
certificates are collateralized by 24 mortgage loans ranging in size from
less than 1% to 21% of the pool, with the top ten
non-defeased loans representing 71% of the pool.
Two loans, representing 11% of the pool, have defeased
and are secured by U.S. Government securities. One
loan, the Vartan Building Loan ($14.3 million --
14.0% of the pool) was included in the most recent remittance
statement but it paid off on May 4, 2010 and is no longer in the
Seven loans, representing 13% 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; formerly Commercial Mortgage Securities Association)
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 performance.
Fourteen loans have been liquidated from the pool, resulting in
an aggregate $41.1 million loss (41% loss severity
on average). Six loans, representing 40% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Woodfield Gardens Apartments Loan ($21.0 million
-- 20.6% of the pool), which is secured
by a 692-unit apartment complex located in Rolling Meadows,
a suburb of Chicago, Illinois. The loan has been in special
servicing since May 2007.
The remaining five specially serviced loans are secured by a mix of office,
multifamily, and self storage properties. Moody's estimates
an aggregate $19.2 million loss for these specially serviced
loans (overall 47% expected loss). The servicer has recognized
an aggregate $10.5 million appraisal reduction for three
of the specially serviced loans.
Moody's has assumed a high default probability for two loans representing
7% of the pool. These loans are both on the servicer's
watchlist and either mature within the next month or have experienced
a significant decline in performance. Moody's has estimated
an aggregate $2.5 million loss for these loans (overall
38% expected loss based on a weighted average 76% default
probability). Moody's rating action recognizes potential uncertainty
around the timing and magnitude of loss from these troubled loans.
Moody's was provided with full-year 2008 and full-year 2009
operating results for 88% and 74%, respectively,
of the performing pool. Excluding specially serviced and troubled
loans, Moody's conduit weighted average LTV is 66% compared
to 83% at Moody's prior review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.15X and 1.75X, respectively,
compared to 1.08X and 1.32X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and
a 9.25% stressed rate applied to the loan balance.
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
the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf is 40. The pool has a Herf of 8 compared
to 20 at Moody's prior review. The decline in Herf has been
mitigated by increased credit support.
The top three non-defeased performing loans represent 15.0%
of the pool balance. The largest performing loan is the Post Distribution
Building Loan ($6.5 million - 6.3%
of the pool), which is secured by a 264,000 square foot industrial
building located in suburban Tacoma, Washington. The property
is 100% leased toPacific Distribution through February 2013.
Although performance has been stable, Moody's analysis reflects
a stressed cash flow based on a dark/lit analysis. Moody's LTV
and stressed DSCR are 87% and 1.21X, respectively,
compared to 64% and 1.64X at last review.
The second largest performing loan is the Quail Park III Loan ($5.3
million -- 5.2% of the pool), which
is secured by a 71,296 square foot office building located in Las
Vegas, Nevada. The center was 82% leased as of March
2010 compared to 93% at year-end 2009. Moody's
analysis is based on a stressed cash flow due to our concern about potential
income volatility due to upcoming lease rollovers and a soft office market.
Moody's LTV and stressed DSCR are 79% and 1.41X, respectively,
compared 65% and 1.71X at last review.
The third largest performing loan is the Ridge Terrace Health Care Center
Loan ($3.5 million -- 3.4% of
the pool), which is secured by a 120-bed nursing home located
in Lantana, Florida. The property has experience negative
cash flow since 2007. Moody's has assumed a high probability
of default due to the property's poor performance. Moody's
LTV and stressed DSCR are 200% and 0.73X, respectively,
compared 65% and 1.71X at last review.
Moody's rating action is as follows:
-Class X, Notional, affirmed at Aaa; previously
on 8/17/1999 assigned Aaa
-Class C, $9,697,909, affirmed at
Aaa; previously on 7/6/2006 upgraded to Aaa from A1
-Class D, $14,630,000, affirmed
at Aaa; previously on 10/17/2007 upgraded to Aaa from Aa2
-Class E, $25,603,000, upgraded
to Aaa from Aa2; previously on 3/19/2009 upgraded to Aa2 from Aa3
-Class F, $10,972,000, affirmed
at A3; previously on 9/25/2008 upgraded to A3 from Baa1
-Class G, $16,459,000, downgraded
to B2 from Ba3, previously on 3/11/2004 downgraded to Ba3 from Ba2
-Class H, $20,116,000, downgraded
to C from Caa2; previously on 3/19/2009 downgraded to Caa2 from B3
-Class J, $4,671,672, affirmed at
C; previously on 6/15/2005 downgraded to C from Ca
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 review is summarized
in a press release dated March 3, 2009.
Due to the low herf of this deal, the two principal methodologies
that were used in rating and monitoring this transaction were "CMBS:
Moody's Approach to Conduit Transactions," published on September
15, 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single
Borrower Transactions" dated July 7, 2000. Both methodologies
are available on www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website. Moody's also publishes a weekly summary
of structured finance credit, ratings and methodologies, available
to all registered users of our website at www.moodys.com/SFQuickCheck.
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Upgrades One, Downgrades Two and Affirms Five CMBS Classes of JPMC 1999-C8
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
No Related Data.
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