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

The Rating Outlook on class D remains Stable.

RATING ACTIONS

Entity / Debt

Rating

Prior

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

D 46635GAQ3

LT

Bsf

Affirmed

Bsf

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; High Loss Expectations: Three loans remain in the pool, secured by two regional malls. 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, loss expectations remain high due to the pool's reliance on proceeds from underperforming regional malls with uncertainty around timing/recovery and ultimate disposition of these loans.

The Mall at Greece Ridge (70.5% 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. The loan returned to the master servicer as a modified loan in in July 2022. Modification terms included a bifurcation of the loan into a A/B split (approximately 80%/20%), extension of the loan term by 50 months through December 2024 and extension of the interest-only (IO) period by 410 months.

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. 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.

Fitch's loss expectation on this loan is approximately 56%; 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 mall properties.

Valley View Mall (29.5%) 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, matured in July 2020 and became REO in July 2022. Per servicer updates, collateral occupancy was 80% as of March 2022. 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. 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 is open and operating as of the fourth quarter 2022. Also, a VA Clinic opened in 24,000 sf of the former Herberger's non- collateral box.

Fitch's loss expectation on this loan is approximately 77%; 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.

Minimal Change in Credit Enhancement: There has been minimal change to credit enhancement since Fitch's prior rating action. As of the February 2023 distribution date, the pool's aggregate principal balance has been reduced by 92.2% to $86.0 million from $1.1 billion at issuance. No loans are defeased. Actual realized losses of $2.1 million affected the non-rated NR class, and cumulative interest shortfalls of $1.7 million are currently affecting classes F through NR.

RATING SENSITIVITIES

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

A downgrade to class D could occur with increased loss expectations from continued performance declines and/or lower valuations on the remaining regional mall properties. Downgrades to the distressed rated classes E through H would occur as losses are realized or with greater certainty of losses.

Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes.

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

Upgrades are considered unlikely due to the regional mall concentration but could occur if 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

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