Reuters: Financial Services and Real Estate: TEXT-Fitch affirms senior classes of JP Morgan 2007-FL1

Reuters: Financial Services and Real Estate Reuters.com is your source for breaking news, business, financial and investing news, including personal finance and stocks. Reuters is the leading global provider of news, financial information and technology solutions to the world's media, financial institutions, businesses and individuals. // via fulltextrssfeed.com

TEXT-Fitch affirms senior classes of JP Morgan 2007-FL1 Jun 1st 2012, 16:33 Fri Jun 1, 2012 12:33pm EDT June 1 - Fitch Ratings has downgraded four and affirmed eight classes from the pooled portion of J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2007-1, reflecting Fitch's base case loss expectation of 16.8%. The non-pooled junior component certificates were also affirmed based on Fitch's loss expectations on the Resorts International loan. Fitch's performance expectation incorporates prospective views regarding commercial real estate values and cash flow declines. The Negative Rating Outlooks for the more junior classes reflect the possibility of further negative credit migration of the underlying collateral. A detailed list of rating actions follows at the end of this release. Under Fitch's updated analysis, approximately 94.2% of the pooled loans, and all of the non-pooled components, are modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries on the pooled loans will be approximately 82.2% in the base case. In this scenario, the modeled average cash flow decline is 5% from generally year-end (YE) 2011 servicer-reported financial data. In its review, Fitch analyzed servicer reported operating statements, STR reports and rent rolls, updated property valuations, and recent lease and sales comparisons. As of the May 2012 distribution report, the transaction is collateralized by 12 loans, eight of which are secured by hotels (74.2%), one casino (13.5%), one retail (7.9%), and one office (4.3%). Of the pool, seven loans (70.5%) are delinquent; two loans have final maturity dates in July 2012; two loans (13.6%) are in forbearance that terminates in December 2012 and April 2013, respectively; one loan (5.8%) has been modified and the maturity has been extended to May 2013. The final rated maturity for the transaction is July 15, 2019. Eleven of the remaining loans have been identified as Fitch Loans of Concern, including nine that are in special servicing (84.1%). Fitch's analysis resulted in loss expectations for seven A-notes, and each of the B-note non-pooled components in the 'B' stress scenario. The three largest pooled contributors to losses in the 'B' stress scenario are: PHOV Portfolio (19.3%), Resorts International (13.5%) and Stratford Mall (7.9%). The PHOV Portfolio loan is secured by 11 full-service hotels (following the previous release of the Hilton Rockville), located in FL, CA, SC, IL and NJ. Flags include Hilton, Doubletree, Courtyard by Marriott, Sheraton and two non-flagged hotels. The loan was transferred to special servicing in January 2012 due to imminent maturity default. The loan is past its final maturity date of May 2012. Four of the 11 properties were severely impacted by Hurricane Katrina and Wilma in 2005, with the hotels coming back on line in late 2006 and mid-2007. While YE 2011 net operating income improved significantly over YE 2010 and YE 2009, it remains below issuance expectations. For YE 2011, the revenue per available room (RevPAR) was $80.26, compared to $74.3 at YE2010, $67.58 at YE 2009 and $87.58 at issuance. The Resorts International loan was originally collateralized by four casino/hotel properties located in Atlantic City, NJ; East Chicago, IN; Robinsonville, MS; and Tunica, MS. The Resorts East Chicago property was released from the portfolio in September 2007, paying down the senior trust component by approximately 47%. The loan was foreclosed in November 2011 and the Atlantic City Hilton property was released to the borrower due to negative property value. The remaining two properties became real estate owned (REO) assets. The loan secures two additional non-trust pari passu A notes of $32.4 million each, an $87.7 million non-pooled senior participation included in the transaction and a $233 million junior participation held outside the trust. The current appraisal value obtained by the special servicer indicated losses upon liquidation of the assets. The Stratford Mall loan is secured by a 1.3 million square foot (SF) regional mall located in Bloomingdale, IL. Only 630,126 SF is part of the collateral. Anchors include JC Penney and Century Theater. Non-owned anchors include Macy's, Burlington Coat Factory, Carson Pirie Scott and Kohl's. The loan was transferred to special servicing in January 2012 due to imminent maturity default. A discounted pay off (DPO) closed in late May 2012 with realized losses of approximately 40% and will be reflected in the June remittance report. Fitch downgrades the following classes, removes the Negative Outlook and assigns Recovery Ratings as indicated: --$37.3 million class E to 'Bsf' from 'BBsf'; Outlook Negative; --$26 million class F to 'CCCsf/RE60%' from 'Bsf'; --$26 million class G to 'CCsf/RE0%' from 'B-sf'; --$35.7 million class H to 'Csf/RE0%' from 'CCsf'. Fitch affirms the following classes as indicated: --$335.5 million class A-1 at 'AAAsf'; Outlook Stable; --$243.1 million class A-2 at 'AAsf'; Outlook Stable; --$45.4 million class B at 'Asf'; Outlook Stable; --$32.4 million class C at 'Asf'; Outlook Negative; --$30.8 million class D at 'BBBsf'; Outlook Negative; --$32.5 million class J at 'Csf/RE0%'; --$29.2 million class K at 'Csf/RE0%'; --$15 million class L at 'Dsf/RE0%'; --$11.9 million class RS-1 at 'Csf/RE0%'; --$12.8 million class RS-2 at 'Csf/RE0%'; --$15.6 million class RS-3 at 'Csf/RE0%'; --$11.1 million class RS-4 at 'Csf/RE0%'; --$15.4 million class RS-5 at 'Csf/RE0%'; --$13.2 million class RS-6 at 'Csf/RE0%'; --$7.6 million class RS-7 at 'Csf/RE0%'. The interest-only class X-1 has paid in full. Fitch previously withdrew its rating on the interest-only class X-2. Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. Applicable Criteria and Related Research: --'Global Structured Finance Rating Criteria' (Aug. 4, 2011); --'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions' (Dec. 1, 2011). Applicable Criteria and Related Research: Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions Global Structured Finance Rating Criteria Link this Share this Digg this Email Reprints

You are receiving this email because you subscribed to this feed at blogtrottr.com. If you no longer wish to receive these emails, you can unsubscribe from this feed, or manage all your subscriptions