JPMorgan to offer $1.1 billion CMBS
JPMorgan is coming to market with $1.1 billion in commercial mortgage-backed securities notes across 13 classes, according to a pre-sale report from Fitch Ratings. JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 represents the beneficial interests of a pool of 30 commercial mortgages secured by 47 properties. Actual credit enhancement for triple-A and double-A rated classes exceed Fitch’s modeled credit enhancement of 15.50% and 13.375%, respectively. The certificates represent the beneficial ownership in the trust, with commercial properties that have an aggregate principal balance of about $1.1 billion. The loans were originated by JPMorgan Chase Bank, National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78.8% of the properties by balance, cash-flow analysis of 92.8% of the pool, and asset-summary reviews on 97.7% of the pool. The pool’s weighted average volatility score is 2.985 (on a scale of one to five). The score represents the relative loan-level risk associated with the pool. In addition, asset-volatility scores and probability of default are directly related; a lower asset-volatility score results in a lower probability of default. The portfolio is 12.1% vacant, including five vacant anchor spaces. The vacancies are due to Linens 'N Things liquidation in 2008, Sportsman's Warehouse’s bankruptcy in 2009, and Marshall's Home Good, which vacated the Milwaukee market. The sponsor has letters of intent for four of the five spaces. The CMBS financing includes $24 million of mezzanine debt, which is provided by an affiliate of the borrower. The rights of the mezzanine debtholder will be limited, including no ability to demand, sue for, or commence any legal proceeding to collect such debt, accelerate payment of such debt or commence, vote, or take any action with respect to any bankruptcy action without the lender's prior written consent. The affiliate mezzanine debtholder has executed a subordination and standstill agreement. Write to Jacob Gaffney.