Approximately $17 Million of Structured Securities Affected
New York, June 01, 2018 -- Moody's Investors Service, ("Moody's") has
upgraded the ratings on one class and affirmed the ratings on two classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp.
2003-C1, as follows:
Cl. F, Upgraded to A1 (sf); previously on Aug 10,
2017 Upgraded to A3 (sf)
Cl. G, Affirmed C (sf); previously on Aug 10,
2017 Affirmed C (sf)
Cl. X-1, Affirmed C (sf); previously on Aug 10,
2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on the P&I class F was upgraded based primarily on an increase
in credit support resulting from loan paydowns and amortization as well
as an increase in defeasance. The deal has paid down 12%
since Moody's last review and is now 75% covered by defeasance
compared to 12% at last review. While the rating on Class
F is fully covered by defeasance, there is a risk of potential interest
shortfalls resulting from the loan in special servicing.
The rating on the P&I class G was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses.
Class G has already experienced a 69% realized loss as result of
previously liquidated loans.
The rating on the IO class X1 was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 8.2%
of the current pooled balance, compared to 6.6% at
Moody's last review. Moody's base expected loss plus realized
losses is now 8.6% of the original pooled balance,
compared to 8.8% 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 RATINGS:
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 principal methodology used in rating J.P. Morgan Chase
Commercial Mortgage Securities Corp. 2003-C1, Cl.
F and Cl. G was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017.
The methodologies used in rating J.P. Morgan Chase Commercial
Mortgage Securities Corp. 2003-C1, Cl. X1 were
"Moody's Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
DEAL PERFORMANCE
As of the May 14, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $17.4
million from $1.1 billion at securitization. The
certificates are collateralized by six mortgage loans ranging in size
from 1% to 52% of the pool. Four loans, constituting
75% of the pool, have defeased and are secured by US government
securities.
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 two,
the same as at Moody's last review.
There are currently no loans on the watchlist.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $90.6 million (for an average
loss severity of 69%). One loan, constituting 14%
of the pool, is currently in special servicing. The specially
serviced loan is the Blue Ash Corporate Center Loan ($2.5
million -- 14.3% of the pool), which is secured
by a 57,000 square foot (SF) office property located in Blue Ash,
Ohio approximately 17 miles northeast of Cincinnati. The loan transferred
to the Special Servicer in December 2012 for payment default, and
then subsequently maturity default. A receiver was appointed in
September 2015 and the loan became REO in February 2016. As of
April 2018, the property was 81% leased compared to 74%
in March 2017 and faces future leasing risk in 2018.
Moody's received full year 2016 operating results for 100% of the
pool (excluding specially serviced and defeased loans).
The one performing conduit loan is the Walgreens-Lyndon Lane Loan
($1.9 million -- 10.8% of the pool),
which is secured by a 15,000 SF retail property. Walgreens
leases the entire property with a long-term triple net lease expiring
in October 2061. Moody's LTV and stressed DSCR are 38% and
2.7X, respectively, compared to 44% and 2.36X
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.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Stephen L Renna
Associate Lead Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Gregory Reed
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653