NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 18 classes of the JPMBB 2014-C24 transaction (see ratings list below). JPMBB 2014-C24 is a $1.3 billion CMBS conduit transaction collateralized by 54 fixed rate commercial mortgage loans that are secured by 64 properties.
The underlying collateral properties are located in 22 different states, with two state exposures each representing more than 10.0% of the pool balance: New York (27.2%) and Texas (19.2%). There is exposure to all of the major property type segments, with two that each account for over 15.0% of the pool: retail (34.9%) and office (23.6%). The loans have principal balances ranging from $2.1 million to $115.0 million for the largest loan in the pool, Grapevine Mills (9.0%), a 1.6 million sf, discount oriented regional shopping center located in Grapevine, Texas. The top five loans, which also include The Mall of Victor Valley (9.0%), Columbus Square Portfolio (7.6%), 635 Madison Avenue (7.1%) and Hutch Tower Two (6.3%), represent 39.1% of the initial pool balance, while the top 10 loans represent 59.8%.
KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our CMBS Property Evaluation Guidelines. On an aggregate basis, KNCF was 5.6% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 36.3% less than third party appraisal values. The pool has an in-trust KLTV of 100.7% and an all-in KLTV of 105.9%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.
For complete details on the analysis, please see our presale report, JPMBB 2014-C24 published today at www.krollbondratings.com. The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.
Preliminary Ratings Assigned: JPMBB 2014-C24
| Class | Initial Class Balance (US$) | Expected KBRA Rating | ||||||
| A-1 | 35,864,000 | AAA(sf) | ||||||
| A-2 | 184,014,000 | AAA(sf) | ||||||
| A-3 | 41,040,000 | AAA(sf) | ||||||
| A-4A1 | 190,000,000 | AAA(sf) | ||||||
| A-4A2 | 75,000,000 | AAA(sf) | ||||||
| A-5 | 297,354,000 | AAA(sf) | ||||||
| A-SB | 66,649,000 | AAA(sf) | ||||||
| X-A | 966,200,000* | AAA(sf) | ||||||
| X-B | 204,999,000* | AAA(sf) | ||||||
| X-C | 25,426,000* | BB(sf) | ||||||
| X-D | 14,303,000* | B+(sf) | ||||||
| X-E | 60,387,147* | NR | ||||||
| A-S | 76,279,000 | AAA(sf) | ||||||
| B | 76,278,000 | AA-(sf) | ||||||
| C | 47,675,000 | A-(sf) | ||||||
| EC | 200,232,000** | A-(sf) | ||||||
| D | 81,046,000 | BBB-(sf) | ||||||
| E | 25,426,000 | BB(sf) | ||||||
| F | 14,303,000 | B+(sf) | ||||||
| NR | 60,387,147 | NR | ||||||
| ESK*** | 5,000,000 | 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-C24 17G-7 Disclosure Report.
Related publications (available at www.krollbondratings.com):
CMBS:
JPMBB 2014-C24 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).
