DBRS Confirms 21 Classes and Downgrades One of J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4

DBRS has today downgraded one class in the J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4 transaction, as follows:

Class E from CCC (sf) to C (sf)

In addition, DBRS has confirmed Class A-1A through Class D and Class F through Class N, including the notional Classes X-1 and X-2. The trends on Class A-1A through Class D, including Classes X-1 and X-2, are Stable. DBRS notes that Class F through Class N are designated as having Interest in Arrears.

The downgrade is a result of the estimated losses associated with loans currently in special servicing, which are expected to affect Class E. Since the last annual surveillance review in July 2011, six loans have been liquidated from the pool, combining for a $25.9 million realized loss to the trust.

The resolution of the Silver City Galleria (Prospectus ID#2, 6.89% of the current pool balance) loan continues to be the most influential loan in the projected losses of this transaction. This loan, secured by 715,000 sf of a 971,000 sf regional shopping mall in Taunton, Massachusetts, transferred to special servicing in October 2009 due to imminent default and is now lender-owned. The property was last appraised at $56 million in September 2011 against a current loan balance of approximately $124 million. As a result, a substantial loss to the trust is expected with the resolution of this loan. DBRS has liquidated this loan at a loss severity of 67.3%, which represents approximately 55.6% of the losses DBRS has modeled in this review of the transaction.

DBRS shadow-rates one loan in the transaction, Plastipak Portfolio (Prospectus ID#3), as investment-grade. DBRS has today confirmed that the performance of this loan remains consistent with investment-grade loan characteristics.

The transaction has seasoned for almost seven years, with 157 loans remaining out of the original 184. The transaction also benefits from defeasance collateral, which represents 6.4% of the current pool balance. The total collateral reduction as of the May 2012 remittance report is approximately 34%.

As of the May 2012 remittance, the pool as a whole reported a weighted-average DSCR of 1.49x and a weighted-average debt yield of 10.6%. There are ten loans in special servicing and 34 loans on the servicer’s watchlist, representing 14.11% and 18.24% of the current pool balance, respectively.

The DBRS analysis included an in-depth look at the top 15 loans in the transaction, in addition to the loans on the servicer’s watchlist, shadow-rated loans and the loans in special servicing. Cumulatively, these loans represent 59.2% of the current pool balance.

DBRS will publish a full report shortly that will provide additional analytical detail on this rating action. If you are interested in receiving this report, contact us at info@dbrs.com.

DBRS continues to monitor this transaction on a monthly basis for changes at the bond and loan level. Although DBRS has conservatively projected losses for the specially serviced and most pivotal loans in the transaction, we continue to monitor these loans on a monthly basis for any changes that may affect the losses that those loans may realize.

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

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

This rating is endorsed for use by DBRS Limited for use in the European Union.