Kroll Bond Rating Agency Assigns Preliminary Ratings to JPMBB 2015-C28

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of the JPMBB 2015-C28 transaction (see ratings list below). JPMBB 2015-C28 is a $1.14 billion CMBS conduit transaction collateralized by 67 fixed rate commercial mortgage loans that are secured by 122 properties.

The underlying collateral properties are located in 32 different states, with one state representing more than 10.0% of the pool balance, Texas (23.3%). There is exposure to all of the major property type segments, with four that represent more than 10.0% of the pool balance: retail (43.3%), multifamily (16.7%), hospitality (15.5%), and office (15.2%). The loans have principal balances ranging from $1.6 million to $150.0 million for the largest loan in the pool, Houston Galleria (13.1%), a 2.1 million sf, super regional mall located in Houston, Texas. The top five loans, which also include The Shops at Waldorf Center (6.8%), 333 North Central Avenue (6.3%), One Campus Martius (4.4%), and Aspen Heights Starkville (4.0%), represent 34.6% of the initial pool balance, while the top 10 loans represent 51.5%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our CMBS Property Evaluation Guidelines. On an aggregate basis, KNCF was 4.0% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 37.4% less than third party appraisal values. The pool has an in-trust KLTV of 100.7% and an all-in KLTV of 108.8%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.

For complete details on the analysis, please see our presale report, JPMBB 2015-C28 published at www.krollbondratings.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is an easy to use, Excel based workbook that provides the following information:

  • KBRA Deal Tape – contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings Assigned: JPMBB 2015-C28

                 
 

Class

   

Class Balance (US$)

   

Expected Rating

 
  A-1     $35,258,000     AAA(sf)  
  A-2     $163,954,000     AAA(sf)  
  A-3     $150,000,000     AAA(sf)  
  A-4     $379,976,000     AAA(sf)  
  A-SB     $70,766,000     AAA(sf)  
  X-A     $878,521,000*     AAA(sf)  
  X-B     $70,218,000*     AAA(sf)  
  X-C     $54,168,000*     AAA(sf)  
  X-D     $54,005,000*     BBB-(sf)  
  X-E     $27,149,000*     BB-(sf)  
  X-F     $14,639,000*     B(sf)  
  X-NR     $44,091,697*     NR  
  A-S     $78,567,000     AAA(sf)  
  B     $70,218,000     AA-(sf)  
  C     $54,168,000     A-(sf)  
  EC     $202,953,000**     A-(sf)  
  D     $54,005,000     BBB-(sf)  
  E     $27,149,000     BB-(sf)  
  F     $14,639,000     B(sf)  
  NR     $44,091,697     NR  
* Notional balance
** Represents the maximum amount of Class EC certificates that could be issued in an exchange.

Related publications (available at www.krollbondratings.com):

CMBS: JPMBB 2015-C28 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012

CMBS Property Evaluation Guidelines, published March 3, 2015

About Kroll Bond Rating Agency KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Analytical:
Kroll Bond Rating Agency
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Albert Lee, 646-731-2448
alee@kbra.com
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Yee Cent Wong, 646-731-2374
ywong@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Albert Lee, 646-731-2448
alee@kbra.com
Follow us on Twitter!
@KrollBondRating