Dec 19 - Fitch Ratings downgrades 18 classes of JP Morgan Chase Commercial
Mortgage Securities Corp., series 2006-LDP9. A detailed listing of rating
actions follows at the end of this release.
The downgrades reflect an increase in Fitch modeled losses across the pool. This
includes an increase in expected losses including many loans in special
servicing with lower appraisal values and increasing fees and expenses. Many of
the loans with modeled losses are in weaker markets, which may prolong workouts.
Additionally, Fitch is concerned with several large malls with weaker anchors
which may be susceptible to future occupancy declines.
Fitch modeled losses of 17.5% of the remaining pool. Expected losses of the
original pool balance are at 18.2%, including losses already incurred to date.
Fitch has identified 77 loans as Fitch Loans of Concern (51.3%), including 25
loans (24.1%) in special servicing. As of the December 2012 distribution date,
the pool's aggregate principal balance has been reduced by 11.3% to $4.31
billion from $4.85 billion at issuance. Interest shortfalls are affecting up
through A-JS in loan group S and up through D in loan group R Loan. Group S
represent loans with initial terms to maturity of five to seven years. Loans in
Group R contained terms of 10 or more years. Cumulative unpaid interest totals
The largest contributor to losses (8.7% of the pool balance) is secured by a
215-unit residential rental property located in the Upper West Side neighborhood
of New York City. In addition to the residential rentals, the property also
includes 60,514 square feet (sf) of retail space. The property consists of both
rent controlled/stabilized and market rent units. At issuance, the borrower
estimated that units would be converted from rent controlled/stabilized to
market rents benefiting from the upside in revenue.
The loan transferred to the special servicer in June 2011 for imminent default.
The servicer reported occupancy rate was 94.5% as of Oct. 2012. The servicer
reported debt service coverage ratio (DSCR) was 0.65x as of Aug. 31, 2012,
compared to 98% and 1.35 underwritten at issuance. The 1.35x DSCR represents the
underwritten pro forma cash flows. At issuance, the loan had a $50 million
reserve for debt service shortfalls. The reserve has been depleted.
The second largest contributor to losses (4.5%) is secured by a portfolio of
four cold storage warehouse/distribution facilities totaling 3,328,621 sf
(51,654,912 cubic feet) located across four states. The properties are located
in Carthage, MO (66% of portfolio NRA); Fort Worth, TX (14.3% of portfolio NRA);
West Point, MS (10.3% of portfolio NRA) and Garden City, KS (9.5% of portfolio
NRA). The servicer reported DSCR for YE 2011 and issuance was 0.60x and 1.85x,
respectively. The drop in DSCR is attributed to the loss of a major tenant,
Sarah Lee, which has ceased renting space in the Fort Worth property. This Fort
Worth property has since been closed in an effort to reduce operating expenses.
As of second quarter-2012 (2Q'12), the weighted average portfolio occupancy was
The third largest contributor to losses (2.3%) is secured by a 1,253,499 sf
class A office property in Atlanta, GA. The loan transferred to the special
servicer in February 2011 due to imminent default. The property has been a Real
Estate Owned (REO) asset since Feb. 2012. The property is currently 50%
occupied, compared to 100% at issuance primarily due to the vacancy of Ernest &
Young in 2007 and Bank of America downsizing.
Fitch has downgraded the following classes as indicated:
--$86.4 million class A-2 to 'AAsf' from 'AAAsf'; Outlook Stable;
--$291.8 million class A-2S to 'AAsf' from 'AAAsf'; Outlook Stable;
--$128.4 million class A-2SFL 'AAsf' from 'AAAsf'; Outlook Stable.
--$27.2 million class A-2SFX to 'AAsf' from 'AAAsf'; Outlook Stable;
--$1.652 billion class A-3 to 'AAsf' from 'AAAsf'; Outlook Stable;
--$133.3 million class A-3SFL 'AAsf' from 'AAAsf'; Outlook Stable;
--$12 million class A-3SFX to ''AAsf' from 'AAAsf'; Outlook Stable;
--$668.1 million class A-1A to 'AAsf' from 'AAAsf'; Outlook Stable;
--$318.5 million class A-J to 'CCsf' from 'CCCsf'; RE to 20% from 60%;
--$106.3 million class A-JS 'CCsf' from 'CCCsf'; RE to 20% from 60%;
--$72.8 million class B to 'Csf' from 'CCCsf'; RE 0%;
--$24.3 million class B-S to 'Csf' from 'CCCsf'; RE 0%;
--$22.8 million class C to 'Csf' from 'CCsf'; RE 0%;
--$7.6 million class C-S to 'Csf' from 'CCsf'; RE 0%;
--$50 million class D to 'Csf' from 'CCsf'; RE 0%;
--$16.7 million class D-S to 'Csf' from 'CCsf'; RE 0%;
Additionally, Fitch downgraded, removed from Rating Watch Negative and assigned
a Negative Outlook to the following classes:
--$364 million class A-M to 'Bsf' from 'Asf'; Outlook Negative;
--$121.4 million class A-MS to 'Bsf' from 'Asf'; Outlook Negative.
Fitch has also affirmed the following classes as indicated:
--$40.9 million class E at 'Csf'; RE to 0%;
--$13.7 million class E- Sat 'Csf'; RE to 0%;
--$40.9 million class F at 'Csf'; RE to 0%;
--$13.7 million class F-S at 'Csf'; RE to 0%;
--$36.4 million class G at 'Csf'; RE to 0%;
--$12.1 million class G-S at 'Csf'; RE to 0%;
--$33.7 million class H at 'Dsf'; RE to 0%;
--$11.2 million class H-S at 'Dsf'; RE to 0%.
Classes J through P have been depleted due to realized losses and remain at
'Dsf' RE 0%. Classes A-1 and A-1S have paid in full. Class NR is not rated by
Fitch. Fitch has previously withdrawn the ratings of the interest only class X.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions
is available in its Dec. 18 report ('U.S. Fixed-Rate Multiborrower CMBS
Surveillance and Re-REMIC Criteria'), available at 'www.fitchratings.com'.
Additional information is available at 'www.fitchratings.com'. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Jun 6, 2012);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (Dec
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria