NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed all classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2007-LDP10 (JPMCC 2007-LDP10). A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The affirmations are due to the relatively stable performance of the remaining pool that is in-line with Fitch's expectation at the last rating action. Fitch modeled losses of 21.8% of the remaining pool; expected losses on the original pool balance total 19%, including $182.3 million (3.4% of the original pool balance) in realized losses to date. Fitch has designated 88 loans (56%) as Fitch Loans of Concern, which includes 29 specially serviced assets (24.5%).
The Negative Outlooks reflect the high concentration of specially serviced assets and the uncertainty regarding their workouts and final disposition. Distressed classes (those rated below 'B') may be subject to further downgrades as additional losses are realized.
As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by 28.6% to $3.8 billion from $5.3 billion at issuance. Three loans (1.7% of the pool) have been defeased. As of the November 2013 remittance report, cumulative interest shortfalls are currently affecting the junior 'AAA' classes through class NR.
The largest contributor to modeled losses is the third largest loan, the Skyline Portfolio (5.3% of the pool). The collateral consists of a portfolio of eight office buildings totaling approximately 2.6 million square feet (sf) located in Falls Church, VA. The loan was transferred to special servicing in March 2012 for imminent default. The sponsor cited the Base Realignment and Closure statute (BRAC) as contributing to recent and upcoming vacancies at the properties. The pari passu loan was modified in October 2013 with the $203.4 million pari passu portion in the transaction split into a $105 million A-note and a $98.4 million B-note. The loan maturity was extended to February 2022 with a one-year extension option if certain performance metrics are attained.
The second largest contributor to modeled losses is the Solana loan (3.7%), the third largest specially serviced asset in the pool. The loan was transferred to special servicing in March 2009 for imminent default. The collateral is a large mixed-use development located in Westlake, TX consisting of 11 office buildings, a retail center, a health club, and a 294-key Marriott hotel. This asset was identified as part of a multi-asset marketing plan. According to servicer notes, bids are anticipated in November/December. The latest reported appraisal from May 2013 indicates a value significantly below the loan amount.
The third largest contributor to modeled losses is the StratREAL Industrial Portfolio II loan (4.2%), the second largest specially serviced asset in the pool. The portfolio transferred to special servicing in December 2012 for imminent payment default. The collateral originally consisted of a portfolio of 10 industrial properties totaling over 5 million sf located across four regional markets: the Memphis, TN MSA, the Columbus, OH MSA, the Sacramento, CA MSA, and the Nashville, TX MSA. The two Sacramento properties have since been sold and released from the portfolio with proceeds allocated to the loan. As of June 2013, the weighted average portfolio occupancy of the remaining eight properties (comprising over 4 million sf) is 63%, down significantly from the 92% reported at issuance. Two of these properties are fully vacant, three are occupied by single tenants, and three have individual occupancies ranging from 37% to 84%. The latest reported appraisals from first quarter 2013 indicate an aggregate value significantly below the loan amount.
Fitch affirms the following classes as indicated:
--$418 million class A-1A at 'AAAsf', Outlook Negative;
--$174.6 million class A-2 at 'AAAsf', Outlook Negative;
--$1.7 billion class A-3 at 'AAAsf', Outlook Negative;
--$83.5 million class A-3S at 'AAAsf', Outlook Negative;
--$359 million class A-M at 'Bsf'; Outlook Negative;
--$174.1 million class A-MS at 'Bsf'; Outlook Negative;
--$200.7 million class A-J at 'CCCsf'; RE 15%;
--$145.8 million class A-JS at 'CCCsf'; RE 15%;
--$100 million class A-JFL at 'CCCsf'; RE 15%;
--$71.8 million class B at 'CCsf'; RE 0%;
--$34.8 million class B-S at 'CCsf'; RE 0%;
--$26.9 million class C at 'CCsf'; RE 0%;
--$13.1 million class C-S at 'CCsf'; RE 0%;
--$49.4 million class D at 'CCsf'; RE 0%;
--$23.9 million class D-S at 'CCsf'; RE 0%;
--$40.4 million class E at 'CCsf'; RE 0%;
--$19.6 million class E-S at 'CCsf'; RE 0%;
--$44.9 million class F at 'Csf'; RE 0%;
--$21.8 million class F-S at 'Csf'; RE 0%;
--$44.9 million class G at 'Csf'; RE 0%;
--$21.8 million class G-S at 'Csf'; RE 0%;
--$16.4 million class H at 'Dsf'; RE 0%;
--$7.9 million class H-S at 'Dsf'; RE 0%;
--$0 class J at 'Dsf'; RE 0%;
--$0 class K at 'Dsf'; RE 0%;
--$0 class L at 'Dsf'; RE 0%;
--$0 class M at 'Dsf'; RE 0%;
--$0 class N at 'Dsf'; RE 0%;
--$0 class P at 'Dsf'; RE 0%.
The class A-1, A-1S, A-2S, A-2SFX, and A-2SFL certificates have paid in full. Fitch does not rate the fully depleted class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 11, 2013 report, 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria', which is available at 'www.fitchratings.com' under the following headers:
Structured Finance >> CMBS >> Criteria Reports
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria