Approximately $32.4 million of structured securities affected
New York, November 22, 2019 -- Moody's Investors Service, ("Moody's") has
upgraded the ratings on two classes and affirmed the ratings on three
classes in J.P. Morgan Chase Commercial Mortgage Securities
Corp. Series 2003-CIBC7, Commercial Pass-Through
Certificates, Series 2003-CIBC7 as follows:
Cl. F, Affirmed Aaa (sf); previously on May 17,
2018 Upgraded to Aaa (sf)
Cl. G, Upgraded to Aaa (sf); previously on May 17,
2018 Upgraded to Aa3 (sf)
Cl. H, Upgraded to Ba1 (sf); previously on May 17,
2018 Upgraded to B1 (sf)
Cl. J, Affirmed C (sf); previously on May 17,
2018 Affirmed C (sf)
Cl. X-1*, Affirmed Ca (sf); previously on
May 17, 2018 Affirmed Ca (sf)
* Reflects Interest Only Classes
RATINGS RATIONALE
The rating on the principal and interest (P&I) class, Cl.
F, was 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 two P&I classes, Cl. G and Cl.
H, were upgraded based primarily on an increase in credit support
resulting from loan paydowns and amortization. The deal has paid
down 46% since Moody's last review.
The rating on the P&I class, Cl. J, was affirmed
because the ratings are consistent with Moody's expected loss plus
realized losses. Class J has already experienced a 47% realized
loss as result of previously liquidated loans.
The rating on the interest only (IO) class was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 0.2%
of the current pooled balance, compared to 0.3% at
Moody's last review. Moody's base expected loss plus realized
losses is now 3.8% of the original pooled balance,
the same as 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 methodologies used in rating all classes except interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS"
published in July 2017 and "Moody's Approach to Rating Large Loan and
Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017,
"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 February 2019.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
DEAL PERFORMANCE
As of the November 12, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $32
million from $1.39 billion at securitization. The
certificates are collateralized by 26 mortgage loans ranging in size from
less than 1% to 13% of the pool, with the top ten
loans (excluding defeasance) constituting 56% of the pool.
One loan, constituting 13% of the pool, has an investment-grade
structured credit assessment. Eight loans, constituting 40%
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 8,
the same as at Moody's last review.
Four loans, constituting 9% 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-three loans have been liquidated from the pool, resulting
in an aggregate realized loss of $52 million (for an average loss
severity of 46%). No loans are currently in special servicing.
Moody's received full year 2018 operating results for 95% of the
pool, and partial year 2019 operating results for 38% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 24%, compared to 31%
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 26% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.53X and 5.01X,
respectively, compared to 1.48X and 5.81X 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
Portfolio Loan ($4.1 million -- 12.7%
of the pool), which is secured by a portfolio of five cross-collateralized
loans secured by eight multifamily properties located in Louisville,
Kentucky. The loans are fully amortizing and have amortized 90%
since securitization. The loan matures in November 2020 and Moody's
structured credit assessment and stressed DSCR are aaa (sca.pd)
and greater than 4.00X, respectively.
The top three conduit loans represent 27.0% of the pool
balance. The largest loan is the Crestpointe Corporate Center II
Loan ($4.1 million -- 12.7%
of the pool), which is secured by an approximately 122,000
square foot (SF) office property located in Columbia, Maryland.
As per the March 2019 rent roll, the property was 95% leased,
unchanged from December 2018 and December 2017. The loan is fully
amortizing and has amortized 68% since securitization. The
loan matures in October 2023 and Moody's LTV and stressed DSCR are 32%
and 3.25X, respectively.
The second largest loan is the Grande Communications Portfolio Loan ($2.5
million -- 7.7% of the pool), which is secured
by a portfolio of four office properties located throughout Texas.
The four properties are fully leased to Grande Communications.
Due to the single tenant exposure, Moody's value incorporated a
lit/dark analysis. The loan is fully amortizing, has amortized
67% since securitization and matures in September 2023.
Moody's LTV and stressed DSCR are 18% and greater than 4.00X,
respectively.
The third largest loan is the Hopkins Emporia Loan ($2.1
million -- 6.6% of the pool), which
is secured by a 321,000 SF industrial property located in Emporia,
Kansas. The property serves as the headquarters for Hopkins Manufacturing
Corporation and includes warehouse and production space on 16.6
acres. Hopkins Manufacturing's lease expires in December 2020,
and the loan matures in September 2023. Due to the single tenant
exposure, Moody's value incorporated a lit/dark analysis.
The loan is fully amortizing and has amortized 69% since securitization.
Moody's LTV and stressed DSCR are 18% greater than 4.00X,
respectively.
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, 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.
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.
Kevin Li
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
Romina Padhi
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
