NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to the J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C21 commercial mortgage pass-through certificates.
--$35,720,000 class A-1 'AAAsf'; Outlook Stable;
--$25,518,000 class A-2 'AAAsf'; Outlook Stable;
--$59,360,000 class A-3 'AAAsf'; Outlook Stable;
--$325,000,000 class A-4 'AAAsf'; Outlook Stable;
--$357,185,000 class A-5 'AAAsf'; Outlook Stable;
--$82,529,000 class A-SB 'AAAsf'; Outlook Stable;
--$954,872,000a class X-A 'AAAsf'; Outlook Stable;
--$90,112,000a class X-B 'AA-sf'; Outlook Stable;
--$69,560,000b class A-S 'AAAsf'; Outlook Stable;
--$90,112,000b class B 'AA-sf'; Outlook Stable;
--$45,846,000b class C 'A-sf'; Outlook Stable;
--$205,518,000b class EC 'A-sf'; Outlook Stable;
--$25,295,000ac class X-C 'BBsf'; Outlook Stable;
--$74,303,000c class D 'BBB-sf'; Outlook Stable;
--$25,295,000c class E 'BBsf'; Outlook Stable;
--$17,390,000c class F 'Bsf'; Outlook Stable.
(a) Notional amount and interest only.
(b) Class A-S, class B, and class C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, class B, and class C certificates.
(c) Privately placed pursuant to Rule 144A.
Fitch does not rate the $56,912,885 non-rated class, and the $74,302,885 interest-only class X-D.
The certificates represent the beneficial ownership in the trust, primary assets of which are 73 loans secured by 84 commercial properties having an aggregate principal balance of approximately $1.26 billion as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association; Barclays Bank PLC; MC-Five Mile Commercial Mortgage Finance LLC; Starwood Mortgage Funding II LLC; and RAIT Funding, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73.6% of the properties by balance, cash flow analysis on 74.4%, and asset summary reviews on 74.4% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.13x, a Fitch stressed loan-to-value (LTV) of 108.5%, and a Fitch debt yield of 9.47%. Fitch's aggregate net cash flow represents a variance of 7.3% to issuer cash flows.
KEY RATING DRIVERS
Fitch Leverage: This transaction has higher leverage than other recent Fitch-rated fixed-rate deals. The pool's Fitch LTV of 108.5% is higher than the 2013 average of 101.6%. Excluding the credit opinion loan, the pool's Fitch LTV is 110.3%. The pool's Fitch DSCR of 1.13x is below the 2013 average of 1.29x, although reflective of higher average mortgage rates.
Pool Concentration: The pool is diverse by loan size and sponsor as compared to average transactions from 2013, as evidenced by a loan concentration index (LCI) of 305 and sponsor concentration index (SCI) of 391. Also, the 10 largest loans represent 45.5% of the total pool balance, which is lower than the average 2013 top 10 concentration of 54.5%.
Below-Average Amortization: Three of the top 10 loans are full-term interest-only. As such, the pool has a significantly above-average proportion of interest-only loans (24.3% of the pool balance versus the 2013 average of 17.1%) and above-average concentration of partial interest loans (48.1% versus the 2013 average of 34%). The pool is scheduled to amortize 9.81% prior to maturity.
Credit Opinion Loan: The third largest loan in the pool, Miami International Mall (4.7%), has a Fitch credit opinion 'BBB-sf' on a stand-alone basis. The loan is collateralized by a super-regional mall in Miami, FL. This loan participation is a $60 million, non-controlling pari passu portion of a $160 million loan.
For this transaction, Fitch's net cash flow (NCF) was 6.6% below the most recent NOI (for properties that a recent 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 could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to JPMBB 2014-C21 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 'BBBsf' could result.
The master servicer will be Wells Fargo Bank, National Association, rated 'CMS1-' by Fitch. The special servicer will be Midland Loan Services, Inc., rated 'CSS1'.
Fitch property-level cash flow analysis, modeling assumptions, and application of Fitch mortgage constants and cap rates were generally consistent with Fitch Research on 'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions,' dated Aug. 7, 2013, available on Fitch's website at www.fitchratings.com. Updates to the published criteria were applied as follows:
--For non-pari passu full-term IO conduit loans in this transaction, the FC-DSCR is weighted 33.3% FT-DSCR and 66.7% FK-DSCR. In addition, amortization credit has been increased for all amortizing loans. This criteria update is based on recent regression testing which demonstrated a more significant difference in the performance of amortizing versus interest-only loans.
--The confidence interval for the 'AAAsf' rating category has been increased from 99.990% to 99.995% and the confidence interval for the 'AAsf' rating category has been decreased from 99.920% to 99.880%. This criteria update is based on an examination of tranche thickness and implied loss coverage multiples as they compare to other structured finance sectors.
An updated version of the Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions containing a detailed description and examples of the updates mentioned above is anticipated to be published in June 2014. The presale report is available at 'www.fitchratings.com'.
Additional Information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (Aug. 7, 2013);
--'Global Structured Finance Rating Criteria' (May 20, 2014);
--'Rating Criteria for U.S. Commercial Mortgage Servicers' (Feb. 14, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).
Applicable Criteria and Related Research:
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions — Effective August 7, 2013 to June 18, 2014
Global Structured Finance Rating Criteria
Rating Criteria for U.S. Commercial Mortgage Servicers
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Counterparty Criteria for Structured Finance and Covered Bonds