DBRS Confirms 14, Downgrades 11 Classes of J.P. Morgan 2005-LDP4

DBRS has today confirmed Classes A-1 through A-M with Stable trends and downgraded classes A-J through K in the J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4 transaction. Classes AJ through F remain on trend Stable while classes F through N have been changed to Negative trend. Classes L through N were confirmed at CCC with a Negative trend and Class P was downgraded to C with a negative trend. The shadow rating on one loan, Plastipak Portfolio, has also been confirmed at BBB (high). Classes H through P have interest in arrears and are noted as such.

The downgrades are a result of the losses estimated on the 12 loans in special servicing. Based on current cash flows and updated appraised values, realized losses from the specially serviced loans could reach Class P, which does not factor in the loss estimate on Silver City Galleria which could exceed 30%, based on an updated appraised value. DBRS expects the portfolio performance to continue to decline as the specially serviced loans continue to work towards resolutions through 2010, in addition to the troubled loans that have not yet transferred to the special servicer. Of the 12 loans in special servicing, two are in the top ten; the largest contributors being Silver City Galleria (5.1% of the pool) and Western US Alliance Data Systems Portfolio (2.8% of the pool).

The Silver City Galleria loan is secured by a 714,898 sf regional shopping mall in Taunton, Massachusetts. The loan was transferred to special servicing in October 2009 due to imminent monetary default and the borrower defaulted on the December 2009 payment date. The borrower for the loan is a joint venture between the Teacher’s Retirement Systems of the State of Illinois and General Growth Properties, Inc. (GGP). As of June 2009, the servicer reported the property to be 80% occupied, with a DSCR of 0.94x. At issuance, the property received an appraised value of $200 million and the March 2010 reporting period revealed an updated appraised value of $89.8 million. DBRS will continue to monitor this loan as the special servicer’s resolution strategy remains in negotiation.

The Western US Alliance Data Systems Portfolio loan is secured by five office buildings in three states totaling 485,989 sf. Western US Alliance Data Systems (Western Alliance) is located in Dallas, Texas in the Richardson submarket. Gateway Buildings 12, 22 and 23 are located in Diamond Bar, California (20 miles east of Los Angeles), and SW Center is located in Tigard, Oregon (seven miles southwest of Portland). The loan transferred to the special servicer in January 2010, due to the borrower failing to post a letter of credit associated with tenant rollover. Western Alliance solely occupied the 230,061 sf building in Dallas and has indicated they will not renew their lease at expiry in October 2010. Additionally, Allstate Insurance, the sole tenant in the Gateway 22 building vacated upon lease expiry in December 2009. The loan payments remain current, however, the loan is expected to default when Western Alliance vacates in October 2010. DBRS is assuming a loss based on deflating the issuance dark values for the subject properties.

Additionally, DBRS has placed the sixth largest loan in the pool, Creekside Apartments, on the HotList. The loan is secured by a 1,026-unit garden-style apartment complex located in Bensalem, Pennsylvania (25 miles north of Philadelphia). DBRS has obtained a YE2009 OSAR which reports a DSCR of 1.06x and while occupancy has remained stable at 86% over the past two years, EGI has declined approximately 3% due to a decrease in base rent. Additionally, the loan is scheduled to convert from interest-only to P&I payments in August 2010. At that time, the loan could experience trouble covering debt service, thus, DBRS has placed the loan on the HotList and will continue to monitor the loan closely.

With the exception of Silver City Galleria, Western US Alliance Data Systems Portfolio, and Creekside Apartments, the performance of the top ten loans (38.8% of the current pool balance) remains stable, with one of the top ten loans fully defeased (2.4% of the pool).

As part of its review, DBRS analyzed the top ten loans, the servicer’s watchlist and the 12 specially serviced loans, which comprises approximately 67% of the current pool balance.

The details of DBRS’s analysis can be found in an updated Surveillance Report.

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are CMBS Rating Methodology and CMBS Surveillance, which can be found on our website under Methodologies.