CHICAGO--(BUSINESS WIRE)--Link to Fitch Ratings' Report: J.P. Morgan Chase Commercial Mortgage
Securities Trust 2016-JP4 (US CMBS)
https://www.fitchratings.com/site/re/890559
Fitch Ratings has issued a presale report on J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$35,667,000 class A-1 'AAAsf'; Outlook Stable;
--$129,067,000 class A-2 'AAAsf'; Outlook Stable;
--$215,000,000 class A-3 'AAAsf'; Outlook Stable;
--$266,136,000 class A-4 'AAAsf'; Outlook Stable;
--$52,478,000 class A-SB 'AAAsf'; Outlook Stable;
--$758,206,000a class X-A 'AAAsf'; Outlook Stable;
--$61,106,000a class X-B 'AA-sf'; Outlook Stable;
--$59,858,000 class A-S 'AAAsf'; Outlook Stable;
--$61,106,000 class B 'AA-sf'; Outlook Stable;
--$49,882,000 class C 'A-sf'; Outlook Stable;
--$105,999,000ab class X-C 'BBB-sf'; Outlook Stable;
--$56,117,000b class D 'BBB-sf'; Outlook Stable;
--$22,447,000b class E 'BB-sf'; Outlook Stable.
The following classes are not expected to be rated:
--$17,459,000a class F;
--$32,423,640a class NR.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the issuer as of Nov. 29, 2016.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 72 commercial properties having an aggregate principal balance of $997,640,641 as of the cut-off date. The loans were contributed to the trust by JP Morgan Chase Bank, National Association, Starwood Mortgage Funding VI LLC, Benefit Street Partners CRE Finance LLC, and Ladder Capital Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.5% of the properties by balance, asset summary reviews on 100.0% of the pool, and cash flow analysis of 92.7% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage: The pool's leverage statistics are lower than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) and Fitch loan to value (LTV) of 1.28x and 99.4%, respectively, are better than the year-to-date (YTD) 2016 average Fitch DSCR and Fitch LTV of 1.20x and 105.6%, respectively.
Investment-Grade Credit Opinion Loan: Three loans, representing 21.8% of the pool have investment-grade credit opinions. Hilton Hawaiian Village (9.4%), the largest loan in the pool, has an investment-grade credit opinion of 'BBB-sf'* on a stand-alone basis. 9 West 57th (6.3%) has an investment-grade credit opinion of 'AAAsf'* on a stand-alone basis. Moffett Gateway (6.0%) has an investment-grade credit opinion of 'BBB-sf'* on a stand-alone basis.
Highly Concentrated by Loan Size and Property Type: The largest 10 loans account for 56.3% of the pool, which is above the YTD 2016 and 2015 averages of 54.6% and 49.3%, respectively. Combined retail, office and hotel properties consist of 89.0% of the transaction, which is above the YTD 2016 combined total of 74.7%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 10.0% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to JPMCC 2016-JP4 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A+sf' could occur. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could occur. The presale report includes a detailed explanation of additional stresses and sensitivities on page 11.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an impact on Fitch's analysis or conclusions.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
https://www.fitchratings.com/site/re/886006
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 18 Aug 2016)
https://www.fitchratings.com/site/re/885802
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Jul 2016)
https://www.fitchratings.com/site/re/882237
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)
https://www.fitchratings.com/site/re/882401
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/site/re/883130
Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)
https://www.fitchratings.com/site/re/884140
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
https://www.fitchratings.com/site/re/735382
U.S. and Canadian Multiborrower CMBS Surveillance Criteria (pub. 11 Nov 2016)
https://www.fitchratings.com/site/re/889634
Related Research
JPMCC 2016-JP4 -- Appendix
https://www.fitchratings.com/site/re/890955
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1015483
ABS Due Diligence Form 15E 1
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1015483
Endorsement Policy
https://www.fitchratings.com/regulatory
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