NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on J.P. Morgan Chase Commercial Mortgage Securities Trust's JPMBB 2014-C23 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$49,525,000 class A-1 'AAAsf'; Outlook Stable;
--$240,990,000 class A-2 'AAAsf'; Outlook Stable;
--$36,603,000 class A-3 'AAAsf'; Outlook Stable;
--$235,000,000 class A-4 'AAAsf'; Outlook Stable;
--$307,498,000 class A-5 'AAAsf'; Outlook Stable;
--$79,326,000 class A-SB 'AAAsf'; Outlook Stable;
--$86,422,000 class A-S 'AAAsf'; Outlook Stable;
--$1,035,364,000a class X-A 'AAAsf'; Outlook Stable;
--$62,698,000b class B 'AAsf'; Outlook Stable;
--$52,531,000b class C 'Asf'; Outlook Stable;
--$201,651,000b class EC 'Asf'; Outlook Stable;
--$96,588,000c class D 'BBB-sf'; Outlook Stable;
--$211,817,000a class X-B 'BBB-sf'; Outlook Stable;
--$30,502,000c class E 'BBsf'; Outlook Stable;
--$30,502,000ac class X-C 'BBsf'; Outlook Stable.
--$15,251,000c class F 'Bsf'; Outlook Stable.
--$15,251,000ac class X-D '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.
The expected ratings are based on information provided by the issuer as of Sept. 10, 2014. Fitch does not expect to rate the $62,697,834 class NR, or the $62,697,834 interest only class X-E. Fitch does not expect to rate the $12,257,000 class UH5, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the U-Haul Self-Storage Portfolio mortgage loan. Fitch does not expect to rate the $10,500,000 class WYA, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the Wyvernwood Apartments mortgage loan. Fitch does not expect to rate the $15,000,000 class RIM, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the Residence Inn Midtown East mortgage loan. Such class will share in losses and shortfalls on the related componentized mortgage loan.
The certificates represent the beneficial ownership in the trust, primary assets of which are 65 loans secured by 101 commercial properties having an aggregate principal balance of approximately $1.36 billion as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association; Barclays Bank PLC; Redwood Commercial Mortgage Corporation; MC-Five Mile Commercial Mortgage Finance, LLC; General Electric Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 68.4% of the properties by balance, cash flow analysis on 82%, and asset summary reviews on 82% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.11x, a Fitch stressed loan-to-value (LTV) of 110.8%, and a Fitch debt yield of 8.6%. Fitch's aggregate net cash flow represents a variance of 9% to issuer cash flows.
KEY RATING DRIVERS
Higher Leverage than Recent Transactions: The pool's Fitch DSCR and LTV are 1.11x and 110%, respectively, which is worse than the first-half 2014 and 2013 averages of 1.19x and 105.6% and 1.29x and 101.6%, respectively. However, two top 10 loans with above-average LTVs are secured by high-quality, strong performing retail properties located in New York City and Los Angeles.
Limited Amortization: 20.9% of the pool is full-term interest-only, 53.3% of the pool is partial term interest-only, and 1.64% of the pool is fully amortizing. The remainder of the pool (28 loans, 24.1%) consists of amortizing balloon loans with loan terms of five to 10 years. Based on the scheduled balance at maturity, the pool will have paid down 10.4%.
Credit Opinion Loan: The fourth largest loan in the pool, Grapevine Mills (5.9%), has a Fitch credit opinion of 'BBB-sf' on a stand-alone basis. The loan is collateralized by a 1.6 million-sf regional shopping center located in Grapevine, TX
For this transaction, Fitch's net cash flow (NCF) was 9.45% 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-C23 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 'BBB-sf' could result.
The master servicer will be Wells Fargo Bank, National Association, rated 'CMS1-' by Fitch. The special servicer will be CWCapital Asset Management, LLC, rated 'CSS1-' by Fitch.
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' (June 24, 2014);
--'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: JPMBB 2014-C23 (US CMBS)
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
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