Kroll Bond Rating Agency Assigns Preliminary Ratings to JPMBB 2014-C23

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the JPMBB 2014-C23 transaction (see ratings below). JPMBB 2014-C23 is a $1.4 billion CMBS conduit transaction collateralized by 65 fixed rate commercial mortgage loans that are secured by 101 properties.

The underlying collateral properties are located in 34 different states and Puerto Rico, with three state exposures each representing more than 10.0% of the pool balance: New York (19.5%), California (18.3%), and Texas (12.8%). There is exposure to all of the major property type segments, with four that each account for over 15.0% of the pool: multifamily (22.6%), office (18.7%), retail (17.0%), and lodging (15.8%). The loans have principal balances ranging from $2.2 million to $105.0 million for the largest loan in the pool, 17 State Street (7.7%), a 560,210 sf, 42-story, Class-A office building located in the downtown area of New York City’s Borough of Manhattan. The five largest loans, which also include Columbus Square Portfolio (2nd largest, 7.7%), Wyvernwood Apartments (3rd largest, 7.6%), Grapevine Mills (4th largest, 5.9%), and Stevens Center Business Park (5th largest, 4.4%), represent 33.3% of the initial pool balance, while the ten largest loans represent 50.5%.

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 4.9% 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, 34.1% less than third party appraisal values. The pool has an in-trust KLTV of 102.5% and an all-in KLTV of 112.9%. 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 2014-C23 published today at www.kbra.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.

Preliminary Ratings Assigned: JPMBB 2014-C23

Class   Initial Class Balance   Expected KBRA Rating
A-1   $49,525,000   AAA(sf)
A-2   $240,990,000   AAA(sf)
A-3   $36,603,000   AAA(sf)
A-4   $235,000,000   AAA(sf)
A-5   $307,498,000   AAA(sf)
A-SB   $79,326,000   AAA(sf)
X-A   $1,035,364,000*   AAA(sf)
X-B   $211,817,000*   AAA(sf)
X-C   $30,502,000*   BB(sf)
X-D   $15,251,000*   B(sf)
X-E   $62,697,834*   NR
A-S   $86,422,000   AAA(sf)
B   $62,698,000   AA(sf)
EC   $201,651,000**   A(sf)
C   $52,531,000   A(sf)
D   $96,588,000   BBB-(sf)
E   $30,502,000   BB(sf)
F   $15,251,000   B(sf)
NR   $62,697,834   NR
UH5***   $12,257,000   NR
WYA***   $10,500,000   NR
RIM***   $15,000,000   NR
   
* Notional balance
** Represents the maximum amount of Class EC certificates that could be issued in an exchange
*** Loan-specific class that is only entitled to distributions from the related non-pooled companion loan.
 

17g-7 Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: JPMBB 2014-C23 17g-7 Disclosure Report.

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

CMBS: JPMBB 2014-C23 Presale Report

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

CMBS Property Evaluation Guidelines, published June 10, 2011

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
Michael McGorty, 646-731-2393
mmcgorty@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@krollbondratings.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Ken Kor, 646-731-2339
kkor@krollbondratings.com

Contacts

Analytical:
Kroll Bond Rating Agency
Michael McGorty, 646-731-2393
mmcgorty@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@krollbondratings.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Ken Kor, 646-731-2339
kkor@krollbondratings.com