NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to JPMDB Commercial Mortgage Securities Trust 2016-C4 Commercial Mortgage Pass-Through Certificates:
--$38,299,000 class A-1 'AAAsf'; Outlook Stable;
--$300,000,000 class A-2 'AAAsf'; Outlook Stable;
--$381,323,000 class A-3 'AAAsf'; Outlook Stable;
--$67,443,000 class A-SB 'AAAsf'; Outlook Stable;
--$879,826,000b class X-A 'AAAsf'; Outlook Stable;
--$61,841,000b class X-B 'AA-sf'; Outlook Stable;
--$92,761,000 class A-S 'AAAsf'; Outlook Stable;
--$61,841,000 class B 'AA-sf'; Outlook Stable;
--$47,786,000 class C 'A-sf'; Outlook Stable;
--$101,194,000ab class X-C 'BBB-sf'; Outlook Stable;
--$53,408,000a class D 'BBB-sf'; Outlook Stable;
--$22,487,000a class E 'BB-sf'; Outlook Stable;
--$11,244,000a class F 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
--$47,786,756a class NR.
a) Privately placed pursuant to Rule 144A.
b) Notional amount and interest only.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 36 loans secured by 42 commercial properties having an aggregate principal balance of $1,124,378,757 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association and German American Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.6% of the properties by balance, cash flow analysis of 90.9%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage is Below 2016 YTD Average: The pool has lower leverage than other Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV for the trust are 1.23x and 102.4%, respectively, while the 2016 YTD averages are 1.19x and 105.8%. Excluding credit-opinion loans, the pool's Fitch DSCR and LTV are 1.16x and 113.2%, respectively.
High Percentage of Investment-Grade Credit Opinion Loans: Four loans in the pool, representing 20.1%, have investment-grade credit opinions, well above the 2016 YTD average of 7.4%. The two largest loans in the pool, 9 West 57th Street (7.1%) and 10 Hudson Yards (7.1%), have investment-grade credit opinions of 'AAAsf'* and 'BBBsf'*, respectively, on a stand-alone basis. Moffett Gateway (3.8%), the ninth largest loan in the pool, has an investment-grade credit opinion of 'BBB-sf'* on a stand-alone basis. Furthermore, Westfield San Francisco Centre (2.1%) has an investment-grade credit opinion of 'Asf'* on a stand-alone basis. The implied credit enhancement levels for the conduit portion of the transaction of 'AAAsf' and 'BBB-sf' are 26.750% and 9.125%, respectively.
Concentrated Pool by Loan Size: The 10 largest loans account for 51.9% of the pool by balance, compared to the 2016 YTD average of 54.7%. The pool's loan concentration index (LCI) is 398, which is lower than the 2016 YTD average of 421.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.1% below the most recent year's net operating income (NOI; for properties for which a full-year 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 in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to JPMDB 2016-C4 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 occur. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could occur. The presale report includes a detailed explanation of additional stresses and sensitivities on page 12.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on Fitch's analysis or conclusions. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
https://www.fitchratings.com/site/re/886006
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 18 Aug 2016)
https://www.fitchratings.com/site/re/885802
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Jul 2016)
https://www.fitchratings.com/site/re/882237
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)
https://www.fitchratings.com/site/re/882401
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/site/re/883130
Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)
https://www.fitchratings.com/site/re/884140
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
https://www.fitchratings.com/site/re/735382
U.S. and Canadian Multiborrower CMBS Surveillance Criteria (pub. 11 Nov 2016)
https://www.fitchratings.com/site/re/889634
Related Research
JPMDB Commercial Mortgage Securities Trust 2016-C4 -- Appendix
https://www.fitchratings.com/site/re/889637
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1015233
ABS Due Diligence Form 15E 1
ABS Due Diligence Form 15E 2
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1015233
Endorsement Policy
https://www.fitchratings.com/regulatory
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