Fitch Ratings has assigned the following ratings and Rating Outlooks to
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2
commercial mortgage pass-through certificates:
--$31,322,000 class A-1 'AAAsf'; Outlook Stable;
--$16,213,000 class A-2 'AAAsf'; Outlook Stable;
--$250,000,000 class A-3 'AAAsf'; Outlook Stable;
--$301,524,000 class A-4 'AAAsf'; Outlook Stable;
--$58,379,000 class A-SB 'AAAsf'; Outlook Stable;
--$734,921,000b class X-A 'AAAsf'; Outlook Stable;
--$48,134,000b class X-B 'AA-sf'; Outlook Stable;
--$77,483,000 class A-S 'AAAsf'; Outlook Stable;
--$48,134,000 class B 'AA-sf'; Outlook Stable;
--$41,090,000 class C 'A-sf'; Outlook Stable;
--$86,876,000ab class X-C 'BBB-sf'; Outlook Stable;
--$45,786,000a class D 'BBB-sf'; Outlook Stable;
--$22,306,000a class E 'BB-sf'; Outlook Stable.
The following classes are not rated:
--$17,610,000a class F;
--$29,349,708a class NR.
a - Privately placed pursuant to Rule 144A.
b - Notional amount and interest-only.
The ratings are based on information provided by the issuer as of July
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 47 loans secured by 78 commercial
properties having an aggregate principal balance of $939,196,709 as of
the cut-off date. The loans were contributed to the trust by JPMorgan
Chase Bank, National Association, Benefit Street Partners CRE Finance
LLC, German American Capital Corporation, and Starwood Mortgage Funding
Fitch reviewed a comprehensive sample of the transaction's collateral,
including site inspections on 72.9% of the properties by balance and
asset summary reviews and cash flow analysis of 83.5% of the pool.
KEY RATING DRIVERS
Leverage Lower than Recent Deals: The transaction has lower leverage
than other recent Fitch-rated transactions. The pool's weighted average
(WA) Fitch DSCR of 1.20x is better than both the YTD 2016 average of
1.17x and the 2015 average of 1.18x. The pool's WA Fitch LTV of 103.5%
is better than both the YTD 2016 average of 107.9% and the 2015 average
of 109.3%. Excluding the credit opinion loan, The Shops at Crystals, the
Fitch DSCR is 1.18x and the Fitch LTV is 105.8%, which are still
slightly better than recent averages.
High-Quality Collateral: Fitch assigned property quality grades of 'A-'
or better to 22.4% of the pool and 30.8% of the portion of the pool that
was inspected. Properties assigned 'B+' or higher total 56.3% of the
pool, or 77.2% of the pool that was inspected. Additionally, no
properties were assigned property quality grades below 'B-'.
Concentrated Pool with High SCI: The 10 largest loans account for 54.4%
of the pool by balance. This is in line with the YTD 2016 average of
55.4% and greater than the 2015 average of 49.3%. The pool's average
concentration resulted in a loan concentration index (LCI) of 401, which
falls between the YTD 2016 average of 428, and the 2015 average of 367.
The sponsor concentration index (SCI) is 697, which is much higher than
the YTD 2016 average of 491 and 2015 average of 410. Two sponsors, Simon
Property Group and CIM Commercial Trust Corporation, each compose more
than 10% of the pool at 11.8% and 10.8%, respectively.
For this transaction, Fitch's net cash flow (NCF) was 10.2% below the
most recent year's net operating income (NOI; for properties for which a
full-year NOI was provided, excluding properties that were stabilizing
during this period). Unanticipated further declines in property-level
NCF could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to JPMCC
2016-JP2 certificates and found that the transaction displays average
sensitivity to further declines in NCF. In a scenario in which NCF
declined a further 20% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'A-sf' could result. In a more severe scenario,
in which NCF declined a further 30% from Fitch's NCF, a downgrade of the
junior 'AAAsf' certificates to 'BBB-sf' could result. The presale report
includes a detailed explanation of additional stresses and sensitivities
on page 13.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst
& Young, LLP. The third-party due diligence information was provided on
Form ABS Due Diligence-15E and focused on a comparison and
re-computation of certain characteristics with respect to each of the
mortgage loans. Fitch considered this information in its analysis and
the findings did not have an impact on the analysis. A copy of the ABS
Due Diligence Form-15E received by Fitch in connection with this
transaction may be obtained through the link contained on the bottom of
the related rating action commentary.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage
Transactions (pub. 27 Aug 2015)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial
Mortgage Transactions (pub. 01 Jul 2016)
Criteria for Rating Caps and Limitations in Global Structured Finance
Transactions (pub. 16 Jun 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S.
Re-REMIC Criteria (pub. 13 Nov 2015)
Dodd-Frank Rating Information Disclosure Form
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RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY
CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH
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