Fitch Ratings affirms four classes of Deustche Bank Securities COMM 2010-C1 commercial mortgage pass-through certificates (COMM 2010-C1).

The Rating Outlook for class D has been revised to Stable from Negative.

Fitch Ratings has affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, series 2011-C3 (JPMCC 2011-C3). The Outlooks on classes B and C were revised to Stable from Negative.

RATING ACTIONS

Entity / Debt

Rating

Prior

COMM 2010-C1

C 12622DAJ3

LT

PIFsf

Paid In Full

Asf

D 12622DAK0

LT

BBsf

Affirmed

BBsf

E 12622DAL8

LT

CCCsf

Affirmed

CCCsf

F 12622DAM6

LT

CCsf

Affirmed

CCsf

G 12622DAN4

LT

CCsf

Affirmed

CCsf

JPMCC 2011-C3

B 46635TAU6

LT

Asf

Affirmed

Asf

C 46635TAX0

LT

BBBsf

Affirmed

BBBsf

D 46635TBA9

LT

BBsf

Affirmed

BBsf

Page

of 2

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

COMM 2010-C1:

There is one loan remaining in the pool, Fashion Outlets of Niagara Falls, which transferred to special servicing in July 2020 for imminent maturity default and is sponsored by The Macerich Company. The loan is secured by an outlet mall with collateral originally consisting of approximately 525,663 sf located in Niagara, NY near the U.S. and Canada border. The property is heavily reliant on tourism; prior to the pandemic the property suffered from fluctuating occupancy and significantly lower sales since issuance.

The loan was modified by the special servicer in December 2020. Modification terms included an extension of the maturity date to Oct. 6, 2023; as well as the borrower pledging an additional 181,447 sf in non-collateral (Expansion Property) to the loan. The Expansion Property is connected to the main building of the existing collateral, total collateral square feet is now 707,110 sf. No other payment terms were modified and the borrower is responsible for all fees. The loan has been performing according to the modified terms since March 2021.

As of June 2021, reported occupancy and debt service coverage ratio are 81% and 1.35x. The YE 2019 sales were $305psf for the in-line tenants; at issuance in-line sales were $520 psf. Fitch requested updated sales, financial statements, including statements for the Expansion Property, along with other updated performance details but the borrower did not provide details.

Fitch's loss and recovery analysis considered the updated valuations from the special servicer, as well as the continued amortization of the loan through the extended maturity date. Loss estimates were based on a broker opinion of value with an applied stress which resulted in an implied cap rate of approximately 19%. Recoveries were also reviewed using a sensitivity assumption applying a 25% cap rate.

The revision of the Outlook of class D to Stable reflects the improved recovery assumptions considering the de-levering of the loan, the continued performance post-modification. At the current loan balance, recoveries required to pay off class D using the total pledged collateral of 707,110 sf are $63 psf. Losses on classes F and G are still considered probable based on the updated value of the asset.

JPMCC 2011-C3:

Two regional malls remain, both of which are sponsored by The Pyramid Companies. The loans were modified in October 2020 which extended their loan terms by 36 months to January/February 2024 and converted the remaining payments to interest-only.

The Holyoke Mall loan is secured by a 1.3 million-sf portion of a 1.5 million-sf regional mall in Holyoke, MA, and was transferred to special servicing in May 2020 due to imminent default.

Collateral occupancy declined to 73.6% as of the December 2020 rent roll, from 78% at YE 2019, 73.6% at YE 2018 and 88.1% at YE 2017. YE 2020 inline sales fell to $423 psf ($342 psf excluding Apple) from $604 psf ($481 psf) in 2019 and $568 psf ($464 psf) in 2018. Macy's reported estimated sales of $205 psf for 2020, down from $275 at issuance. Target reported estimated sales of $289 psf for 2020, up slightly from $284 psf at issuance. JCPenney reported actual sales of $47 psf in 2020, down from $161 psf at issuance. Fitch requested updated performance information, including sales, but did not receive any details.

Fitch's loss and recovery analysis was based on a discount to an updated valuation provided by the special servicer with an implied cap rate of approximately 17%. Recoveries were also reviewed using a sensitivity assumption applying an outsize loss of 50%.

The Sangertown Square loan is secured by an 894,127 sf-regional mall located in New Hartford, NY. The loan transferred to special servicing in May 2020 due to imminent default.

Collateral occupancy fell to 58% as of September 2021 from 60% in December 2020 and from 95% at YE 2019 after JCPenney (16.8% of NRA) closed in September 2020 and Macy's (15.6%) closed in April 2021. Sears previously vacated in 2015, but the space was backfilled by Boscov's; however, cash flow has been negatively affected as Sears paid approximately $1.2 million in expense reimbursements annually, whereas Boscov's pays none.

YE 2020 inline sales fell to $238 psf from $326 psf as of TTM September 2018, $319 psf at TTM October 2017 and an average $363 psf between 2007 and 2009. Anchor sales as of YE 2020 were as follows: Boscov's ($112 psf down from $118 psf in 2018), Target ($306 psf estimated) and Dick's ($183 psf, up from $178 psf at issuance). YE 2020 total mall sales decreased by 25.6% to $103.58 million from $139.16 million at YE 2019.

Fitch's loss and recovery analysis was based on an updated valuation provided by the special servicer with an implied cap rate of approximately 33%.

The revision of the Outlooks on classes B and C to Stable reflects the continued performance post-modification of the two loans and review of the recovery assumptions based on the updated valuations. Recoveries on both properties combined to pay off classes B and C are $14.4 psf and $37.6 psf, respectively. The Negative Outlook on class D reflects the concerns with the lack of YE 2021 performance data including sales updates and the potential for downgrades if the loans re-default.

The Outlook may also be revised to Stable if updated information indicating stable to improved performance is received. Recoveries required on class D are $53.3 psf. Losses on classes E and G through J are still considered possible, probable, or inevitable based on the updated value of the assets.

KEY RATING DRIVERS

High Expected Losses; Insufficient Credit Enhancement to Junior Classes: Both transactions' expected losses remain stable from the previous Fitch rating actions. The transactions are concentrated with either one or two mall assets remaining. All loans have been modified and losses are expected to impact or significantly erode credit enhancement to the junior classes with distressed ratings.

High Credit Enhancement to Senior Classes: Both transactions' most senior bonds have a high likelihood of recovery given the amortization and de-levering, and/or performance stabilization.

RATING SENSITIVITIES

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

Downgrades are possible if performance of the malls deteriorate or the loans default prior to the extended maturity dates.

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

Upgrades are not expected, but possible with better than expected performance of the remaining malls.

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

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