Fitch Ratings has upgraded one and affirmed four classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2010-C2 (JPMCC 2010-C2).

Fitch has also assigned a Stable Outlook to the one class that was upgraded.

RATING ACTIONS

Entity / Debt

Rating

Prior

J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2

D 46635GAQ3

LT

Bsf

Upgrade

CCCsf

E 46635GAS9

LT

CCsf

Affirmed

CCsf

F 46635GAU4

LT

CCsf

Affirmed

CCsf

G 46635GAW0

LT

Csf

Affirmed

Csf

H 46635GAY6

LT

Csf

Affirmed

Csf

Page

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VIEW ADDITIONAL RATING DETAILS

KEY RATING DRIVERS

Regional Mall Concentration: Two loans remain in the pool, both secured by regional malls in special servicing. Due to the concentrated nature of the pool, Fitch performed a paydown analysis that grouped these loans based on the likelihood of repayment and expected losses from the liquidation of these loans. Based on this scenario, the upgrade for class D was capped at 'Bsf' due to its reliance on proceeds from underperforming regional malls in special servicing with uncertainty around timing/recovery and ultimate disposition of these loans.

The Mall at Greece Ridge (70% of pool) is secured by a 1.05 million sf portion of a 1.60 million sf regional mall located in Greece, NY. The loan, which is sponsored by Wilmorite Properties, transferred to special servicing in November 2019 at the borrower's request to allow for early payoff. The borrower was unsuccessful in obtaining financing and the loan matured in October 2020. A short-term forbearance expired in July 2020 and modification discussions are ongoing.

Target (ground lease; 11.7% NRA; exp. January 2029) is a collateral anchor, and JCPenney and Macy's are non-collateral anchors. Sears and Bon-Ton, both non-collateral, closed in 2018 and 2012, respectively. Bed Bath & Beyond, (previously 3.3% NRA) closed in February 2021. Collateral occupancy was 85% as of June 2021 and has remained relatively flat since 2018. Servicer-reported NOI DSCR was 1.19x as of the YTD June 2021 compared with 1.13x at YE 2020, 1.41x at YE 2019 and 1.41x at YE 2018. In-line tenant sales were $308 psf at YE 2018.

Fitch's loss expectation on this loan is approximately 59%; the loss considers a discount to the most recent servicer reported appraisal value. Fitch's loss implies a 27% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties.

Valley View Mall (30%) is secured by a 373,497-sf portion of a 628,093-sf regional mall located in La Crosse, WI. The loan transferred to special servicing in April 2020 and matured in July 2020. The borrower was unable to obtain financing and a stipulated foreclosure is in process. Per servicer updates, collateral occupancy was 81% as of December 2021, and overall mall occupancy was approximately 50%. Servicer-reported NOI DSCR was 0.75x at YE 2021, down from 1.07x at YE 2020, 1.17x at YE 2019 and 2.31x at YE 2018. Per the January 2022 rent roll, near term rollover includes approximately 8% NRA and 25% rent by 2022. The largest collateral tenant, JCPenney, which leases approximately 30% NRA, renewed its lease for an additional five years through July 2025.

A non-collateral Sears closed in November 2018, a non-collateral Herberger's closed in August 2018 and a non-collateral Macy's closed in the first quarter of 2017. Per servicer updates, HyVee Grocery acquired the former Sears parcel and construction on the space is underway; however, there is no time table on completion and/or opening. Also, a VA Clinic recently opened in 24,000 sf of the former Herberger's non collateral box, and the former Macy's is in contract to be sold in 1Q 2022.

Fitch's loss expectation on this loan is approximately 79%; the loss considers a discount to the most recent servicer reported appraisal value. Fitch's loss implies a 34% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties.

Lower Loss Expectations: The upgrade to class D reflects the improved loss expectations for the pool since Fitch's prior rating action due to better than expected recoveries on Arizona Mills and Bryan Tower; both loans paid in full.

Increased Credit Enhancement: Credit enhancement has increased since Fitch's prior rating action, primarily from the repayment of two loans ($203.9 million balance at Fitch's prior rating action) in full. One additional loan ($4.7 million balance) was disposed with a $2.1 million loss to the trust. As of the February 2022 distribution date, the pool's aggregate principal balance has been reduced by 92.1% to $86.9 million from $1.1 billion at issuance. No loans are defeased. Actual realized losses of $2.1 million impacted the non-rated NR class, and cumulative interest shortfalls of $1.5 million are currently affecting classes F through NR.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Sensitivity factors that could lead to a downgrade to class D include increased loss expectations from continued performance declines and/or lower valuations on the remaining two loans;

Downgrades to the distressed rated classes E through H will occur as losses are realized or with greater certainty of losses.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

An upgrade to class D is not expected as the rating is capped due to the specially serviced, regional mall concentration;

Upgrades to the distressed rated classes E through H are not likely unless one of the regional malls disposes with better than expected recoveries.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG Considerations

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg

Additional information is available on www.fitchratings.com

PARTICIPATION STATUS

The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.

APPLICABLE CRITERIA

North America and Asia-Pacific Multiborrower CMBS Surveillance Criteria (pub. 08 Apr 2021) (including rating assumption sensitivity)

Global Structured Finance Rating Criteria (pub. 26 Oct 2021) (including rating assumption sensitivity)

Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 04 Nov 2021)

ADDITIONAL DISCLOSURES

Dodd-Frank Rating Information Disclosure Form

Solicitation Status

Endorsement Policy

ENDORSEMENT STATUS

J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 	EU Endorsed, UK Endorsed

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