Approximately $18.4 million of structured securities affected
New York, June 29, 2021 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on one class and downgraded the ratings on two classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp.
Series 2005-CIBC11:
Cl. H, Downgraded to Caa3 (sf); previously on Nov 20,
2018 Affirmed Caa2 (sf)
Cl. J, Affirmed C (sf); previously on Nov 20,
2018 Affirmed C (sf)
Cl. X-1*, Downgraded to C (sf); previously
on Feb 13, 2019 Upgraded to Caa2 (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The rating on Cl. H was downgraded due to Moody's expected
loss as well as the significant exposure to one remaining loan,
constituting 74% of the deal, that is already Real Estate
Owned (REO).
The rating on Cl. J was affirmed because the rating is consistent
with Moody's expected loss plus realized losses. Class J has already
experienced a 9% loss as a result of previously liquidated loans.
The rating on the IO Class, Cl. X-1, was downgraded
due to the decline in the credit quality of its reference classes resulting
from principal paydowns of higher quality reference classes.
Today's action reflects the coronavirus pandemic's residual
impact on the ongoing performance of commercial real estate as the US
economy continues on the path toward normalization. Economic activity
will continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific
sectors and individual businesses will remain weakened by extended pandemic
related restrictions. Stress on commercial real estate properties
will be most directly stemming from declines in hotel occupancies (particularly
related to conference or other group attendance) and declines in foot
traffic and sales for non-essential items at retail properties.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
Moody's rating action reflects a base expected loss of 36.3%
of the current pooled balance, compared to 2.8% at
Moody's last review. Moody's base expected loss plus realized
losses is now 3.5% of the original pooled balance,
compared to 3.4% 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 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, 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 all classes except interest-only
classes was "Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579.
The methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published
in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
Moody's analysis incorporated a loss and recovery approach in rating the
P&I classes in this deal since 74% of the pool is in special
servicing. In this approach, Moody's determines a probability
of default for each specially serviced and troubled loan that it expects
will generate a loss and estimates a loss given default based on a review
of broker's opinions of value (if available), other information
from the special servicer, available market data and Moody's
internal data. The loss given default for each loan also takes
into consideration repayment of servicer advances to date, estimated
future advances and closing costs. Translating the probability
of default and loss given default into an expected loss estimate,
Moody's then applies the aggregate loss from specially serviced loans
to the most junior class and the recovery as a pay down of principal to
the most senior class.
DEAL PERFORMANCE
As of the June 14, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $18.4
million from $1.8 billion at securitization. The
certificates are collateralized by five mortgage loans.
Thirty-one loans have been liquidated from the pool, resulting
in an aggregate realized loss of $56.9 million (for an average
loss severity of 18%).
One loan, the Shoppes at IV Loan ($13.5 million --
73.6% of the pool), is currently in special servicing.
The specially serviced loan is secured by the leasehold interest in a
134,000 square foot (SF) retail center in Paramus, New Jersey.
The property was 100% leased as of March 2021, compared to
80% as of December 2017 and 96% at securitization.
The property underwent a material increase in ground rent payments and
as a result, the borrower was not able to refinance at loan maturity
in February 2015. The loan transferred to special servicing in
February 2015 for maturity default and became REO in April 2018.
As of the June 2021 remittance statement cumulative interest shortfalls
were $7.5 million. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans and/or
modified loans. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust expenses.
The top three non-specially serviced loans represent 25%
of the pool balance. The largest loan is the Arlington Plaza Loan
($1.9 million -- 10.2% of the
pool), which is secured by a 91,000 SF retail center located
in Greenville, North Carolina. The property is reported to
be 100% leased and the loan is fully amortizing. The loan
has amortized nearly 70% since securitization and Moody's LTV and
stressed DSCR are 38% and 3.03X, respectively,
compared to 57% and 1.99X at the last review.
The second largest loan is the Braid Office Building Loan ($1.9
million -- 10.1% of the pool), which
is secured by a 62,997 SF office complex located in CBD Nashville,
Tennessee. As of March 2020, the property was 100%
occupied and the loan is fully amortizing. The loan has amortized
69% since securitization and Moody's LTV and stressed DSCR are
20% and 5.39X, respectively, compared to 24%
and 4.41X at the last review.
The third largest loan is the Walgreens Shiloh Loan ($828,039
-- 4.5% of the pool), which is secured
by a single tenant retail property leased to Walgreens with a lease expiring
in 2029. The loan is fully amortizing. The loan has amortized
70% since securitization and Moody's LTV and stressed DSCR are
30% and 3.23X, respectively, compared to 46%
and 2.11X 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 in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288435.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
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.
Fred Kasimov
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
Matthew Halpern
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
