NEW YORK--(BUSINESS WIRE)--Fitch Ratings has upgraded two and affirmed nine classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates series 2003-PM1. A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The upgrades are due to increased credit enhancement as the pool deleverages from paydown. Eighteen loans remain in the pool. Fitch modeled losses of 52.7% of the remaining pool; expected losses on the original pool balance total 7.4%, including $34.7 million (3% of the original pool balance) in realized losses to date. Fitch has designated three loans (50%) as Fitch Loans of Concern, which includes one specially serviced asset (45.5%).
As of the January 2015 distribution date, the pool's aggregate principal balance has been reduced by 91.7% to $95.8 million from $1.16 billion at issuance. Interest shortfalls are currently affecting classes F through NR.
The largest contributor to expected losses remains the outstanding exposure to the Palm Beach Mall loan (45.5% of the pool), which was sold in 2011. The special servicer, ORIX, continues to pursue litigation with the loan sponsor, Simon Property Group, in efforts to maximize the recovery. The property became REO in 2010; proceeds of the sale ($21.8 million) were used to repay advances, fund a reserve for litigation, and pay down a portion of the loan balance ($5.6 million). While a successful outcome of the litigation may result in some principal recovery on the loan, Fitch modeled a full loss of $43.6 million due to uncertainty surrounding the final outcome of the litigation.
RATING SENSITIVITIES
The Stable outlooks for classes D and E reflect the expectation that the classes will receive full principal repayment in the next year given the percentage of defeased collateral (19.1% of the pool or $18.3 million), of which $10.6 million matures in 2015, and the expectation of continued pool amortization. Although credit enhancement remains high relative to the rating category for these classes, upgrades were limited due to the deal's concentration and the risk of interest shortfalls. Fitch also performed additional stresses when considering upgrades.
Fitch upgrades the following classes as indicated:
--$3.3 million class D to 'Asf' from 'BBBsf'; Outlook Stable;
--$13 million class E to 'Asf' from 'BBsf'; Outlook Stable.
Fitch affirms the following classes as indicated:
--$15.9 million class F at 'CCCsf'; RE 100%;
--$13 million class G at 'Csf'; RE 100%;
--$18.8 million class H at 'Csf'; RE 0%;
--$15.9 million class J at 'Csf'; RE 0%;
--$7.2 million class K at 'Csf'; RE 0%;
--$8.7 million 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%.
Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates.
Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 10, 2014 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 then CMBS then Criteria Reports
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=978954
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