DBRS Downgrades 4 Classes and Confirms 11 of J.P. Morgan Chase Commercial Mortgage Securities Corp.

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

-- Class A-J to BBB (low) (sf) from A (low) (sf)
-- Class B to B (sf) from BBB (low) (sf)
-- Class C to CCC (sf) from BB (low) (sf)
-- Class D to C (sf) from B (low) (sf)

In addition, DBRS has confirmed the ratings of Class A-1A through Class A-M and Class E through Class J, including the notional Class X-1. The trends on Class A-1A through Class A-M, including Class C and Class X-1, are Stable. The trend on Class A-J has been changed to Negative.

The downgrade is a result of the estimated losses associated with loans currently in special servicing, which are expected to affect Class D. Since the last annual surveillance review in May 2012, six loans have been liquidated from the pool, combining for a $33.7 million realized loss to the trust. Since issuance, 16 loans have been liquidated from the pool and there have been total realized losses of approximately $74.0 million.

The Silver City Galleria loan (Prospectus ID#2, 7.5% of the current pool balance) continues to be the most influential loan concerning projected losses of this transaction. This loan, secured by 715,000 square feet (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 $50.05 million in August 2012 against a current loan balance of approximately $118.9 million. While the appraised value continues to decline, it is the opinion of DBRS that the ultimate disposition value will be substantially less than the most recent appraised value, given the decreasing operating cash flow and the fact that the property has been specially serviced for over three years with little interest generated in the asset.

The transaction has seasoned for almost eight years, with 149 loans remaining out of the original 184 loans. The transaction also benefits from defeasance collateral, which represents 7.3% of the current pool balance. The total collateral reduction as of the May 2013 remittance report is approximately 41.3%; however, 6.8% of this collateral reduction is attributable to realized losses.

As of the May 2013 remittance, the pool as a whole reported a weighted-average debt service coverage ratio (DSCR) of 1.47 times (x) and a weighted-average debt yield of 10.6%. There are five loans in special servicing and 33 loans on the servicer’s watchlist, representing 11.8% and 18.7% of the current pool balance, respectively.

DBRS shadow-rates one loan in the transaction, representing 4.7% of the current pool balance, as investment grade. DBRS has today confirmed that the performance of this loan remains consistent with investment-grade loan characteristics.

As part of its review, DBRS analyzed the top 15 loans, specially serviced loans, loans on the servicer’s watchlist and shadow-rated loans, which comprise approximately 59.9% of the current pool balance.

DBRS continues to monitor this transaction in its Monthly CMBS Surveillance Report, with additional information on the DBRS viewpoint for this transaction, including details on the largest loans in the pool and loans on the servicer’s watchlist. The May 2013 Monthly CMBS Surveillance Report for this transaction will be published shortly. If you are interested in receiving this report, contact us at info@dbrs.com.

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

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

The applicable methodologies are CMBS Rating Methodology (January 2012) and CMBS North American Surveillance Methodology (November 2012), which can be found on our website under Methodologies.