NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms eight classes of JPMorgan Commercial Mortgage-Backed Securities Trust 2009-RR1 (JPMorgan 2009-RR1). A detailed list of rating actions follows at the end of this press release.
KEY RATING DRIVERS
The affirmations are the result of the mostly stable ratings of the underlying bonds. All but two of the underlying bonds have credit characteristics consistent with 'AAA'. Class A-4 in GSMS 2007-GG10 is rated 'Asf', Outlook Negative, and class A-4 in JPMCC 2006-CIBC15 is rated 'AAsf', Outlook Stable. Additionally, the class A-4 classes in MLCFC 2007-6 and LBCMT 2007-C3 are considered to have Negative Outlooks. These ratings were incorporated into Fitch's analysis of the Re-REMIC.
This transaction is a re-securitization of the ownership interest in 15 commercial mortgage-backed certificates, which total $526.4 million. Principal and interest from the underlying commercial mortgage-backed certificates are pooled and applied first to the A4A certificates pro rata and second to the A4B certificates pro rata. Losses are applied first to the A4B certificates pro rata and then to the A4A certificates.
Credit enhancement for classes A4A, A4A-V, and A4A-Z is provided by the structural support of the underlying transactions of approximately 35% and the A4B certificates, which is a further 32%. Credit enhancement for the A4B, A4B-1 and A4B-2 certificates is provided by the structural support of the underlying transactions only.
This transaction was analyzed under the framework described in the report 'Global Surveillance Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Based on this analysis, the credit enhancement levels for the A4A and A4B certificates are consistent with the ratings indicated below.
As of the July 2015 distribution date, the underlying bonds collateralizing this transaction are as follows:
--8.7% interest in the MLCFC commercial mortgage pass-through certificates 2007-5 class A4, in the amount of $86.7 million (16.5% of pool);
--8.8% interest in the LBUBS commercial mortgage pass-through certificates 2007-C6 class A4, in the amount of $63 million (12% of pool);
--2% interest in the GSMS commercial mortgage pass-through certificates 2007-GG10 class A4, in the amount of $67.3 million (12.8% of pool);
--5.8% interest in the Banc of America commercial mortgage pass-through certificates 2007-3 class A4, in the amount of $57.1 million (10.8% of pool);
--4.2% interest in the ML-CFC commercial mortgage pass-through certificates 2007-9 class A4, in the amount of $39 million (7.4% of pool);
--5.1% interest in the ML-CFC commercial mortgage pass-through certificates 2007-6 class A4, in the amount of $36.9 million (7% of pool);
--6.3% interest in the LB commercial mortgage pass-through certificates 2007-C3 class A4, in the amount of $35.5 million (6.7% of pool);
--3.7% interest in the Cobalt commercial mortgage pass-through certificates 2006-C1 class A4, in the amount of $21.8 million (4.1% of pool);
--2.8% interest in the JPMCC pass-through certificates 2006-CB15 class A4, in the amount of $23.3 million (4.4% of pool);
--1.2% interest in the WBCMT pass-through certificates 2007-C30 class A5, in the amount of $22.7 million (4.3% of pool);
--4% interest in the CSMC pass-through certificates 2007-C4 class A4, in the amount of $15.6 million (3% of pool);
--1.8% interest in the JPMCC pass-through certificates 2007-CB20 class A4, in the amount of $16.1 million (3.1% of pool);
--2.8% interest in the JPMCC pass-through certificates 2007-C1 class A4, in the amount of $16 million (3% of pool);
--1.3% interest in the LB UBS commercial mortgage pass-through certificates 2007-C1 class A4, in the amount of $13.9 million (2.6% of pool);
--1.7% interest in the Cobalt commercial mortgage pass-through certificates 2007-C3 class A4, in the amount of $11.4 million (2.2% of pool).
Fitch rates all of the underlying transactions except LBCMT 2007-C3, CSMC 2007-C4, and JPMCC 2007-C1. For purposes of this review, these transactions were re-analyzed adhering to the criteria from U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria.
Any extraordinary expenses incurred by the Trustee are paid first from an expense reserve in the amount of $250,000. Once the reserve is depleted, extraordinary expenses will be paid from available interest.
Based on a sensitivity analysis with respect to the underlying bonds with a Negative Outlook, the Re-REMIC bonds continue to have Stable Outlooks, as no rating changes are expected at this time. However, upgrades to the A4B classes are possible should there be favorable resolutions of some of the specially serviced assets within the underlying transactions and more Stable Outlooks on the underlying bonds. Further negative migration of the underlying bonds could also lead to downgrades.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has affirmed the following ratings:
--$360 million* class A4A at 'AAAsf'; Outlook Stable;
--$0** class A4A-V at 'AAAsf'; Outlook Stable;
--$0** class A4A-Z at 'AAAsf'; Outlook Stable;
--$115.4 million class A4B at 'BBBsf' ; Outlook Stable;
--$35 million class A4B-1 at 'BBBsf'; Outlook Stable;
--$16 million class A4B-2 at 'BBBsf'; Outlook Stable;
--$51 million*** class A4B-X at 'BBBsf';; Outlook Stable;
--$16 million*** class A4B-Y at 'BBBsf'; Outlook Stable.
Fitch does not rate class R.
* Exchangeable Certificates
** Exchangeable REMIC Certificates
*** Notional Amount and Interest-Only
Additional information is available at www.fitchratings.com.
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Global Surveillance Criteria for Structured Finance CDOs (pub. 13 Jul
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
(pub. 10 Dec 2014)
Dodd-Frank Rating Information Disclosure Form