NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to JPMCC Commercial Mortgage Securities Trust 2015-JP1 commercial mortgage pass-through certificates.
--$26,534,000 class A-1 'AAAsf'; Outlook Stable;
--$138,016,000 class A-2 'AAAsf'; Outlook Stable;
--$34,912,000 class A-3 'AAAsf'; Outlook Stable;
--$120,000,000 class A-4 'AAAsf'; Outlook Stable;
--$196,971,000 class A-5 'AAAsf'; Outlook Stable;
--$43,021,000 class A-SB 'AAAsf'; Outlook Stable;
--$590,423,000b class X-A 'AAAsf'; Outlook Stable;
--$40,960,000b class X-B 'AA-sf'; Outlook Stable;
--$45,955,000b class X-C 'A-sf'; Outlook Stable;
--$27,973,000b class X-D 'BBBsf'; Outlook Stable;
--$30,969,000 class A-S 'AAAsf'; Outlook Stable;
--$40,960,000 class B 'AA-sf'; Outlook Stable;
--$45,955,000 class C 'A-sf'; Outlook Stable;
--$27,973,000 class D 'BBBsf'; Outlook Stable;
--$21,979,000ab class X-E 'BBB-sf'; Outlook Stable;
--$21,979,000a class E 'BBB-sf'; Outlook Stable;
--$17,982,000a class F 'BBsf'; Outlook Stable;
--$9,990,000a class G 'B-sf'; Outlook Stable;
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
The ratings are based on information provided by the issuer as of Dec. 29, 2015. Fitch did not rate the $43,957,440 class NR certificates.
The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 51 loans secured by 58 commercial properties having an aggregate principal balance of approximately $799.2 million as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, N.A., Barclays Bank plc, Starwood Mortgage Funding II LLC, and Redwood Commercial Mortgage Corporation.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.9% of the properties by balance, cash flow analysis of 84.6%, and asset summary reviews on 84.6% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The transaction has higher leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.09x is lower than both the YTD 2015 average of 1.18x and the 2014 average of 1.19x, and the pool's Fitch loan-to-value (LTV) of 114.1% is higher than both the YTD 2015 average of 109.4% and the 2014 average of 106.2%.
Pool Concentration: The largest loan in the pool, 32 Avenue of the Americas, represents 12.5% of the pool's balance. However, the largest 10 loans account for 55.8% of the total pool, which is higher than the YTD 2015 average of 48.5% and the 2014 average of 50.5%. This results in a loan concentration index (LCI) of 468, which is higher than the YTD 2015 and 2014 averages of 360 and 331, respectively. The pool's sponsor concentration index (SCI) of 500 is higher than the YTD 2015 and 2014 averages of 398 and 419, respectively.
Below-Average Amortization: Six loans representing 30.9% of the pool are interest-only, which is higher than the YTD 2015 average of 22.1% for other Fitch-rated fixed-rate multiborrower transactions. There are 22 loans representing 37.3% of the pool that are partial interest-only. Based on the scheduled balance at maturity, the pool is expected to pay down by 8.8%, which is less than the YTD 2015 average of 12.1%.
Six loans in the pool are pari passu: 32 Avenue of the Americas (12.5% of the pool), 7700 Parmer (9.4%), Heinz 57 Center (6.3%), The 9 (5.0%), First National Building (3.8%), and DoubleTree Anaheim-Orange County (2.5%). No loans currently have mezzanine debt held outside the trust. Four loans (24.9%) allow for future additional mezzanine debt. One loan (1.8%) allows for affiliated unsecured subordinate debt.
Low Mortgage Coupons: The pool's weighted average mortgage coupon is 4.77%, below historical averages. Fitch accounted for increased refinance risk in a higher interest rate environment by analyzing sensitivity to increased interest rates.
For this transaction, Fitch's net cash flow (NCF) was 7.7% below the most recent net operating income (NOI; for properties for which 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 JPMCC 2015-JP1 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 senior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 10 - 11.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Ernst & Young LLP. The due diligence focused on a comparison and re-computation of certain characteristics with respect to each of the 51 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 27 Aug 2015)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Dec 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
JPMCC 2015-JP1 Commercial Mortgage Pass Through Certificates -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1