NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on J.P. Morgan Chase Commercial Mortgage Securities Trust's JPMBB 2014-C24 commercial mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$35,864,000 class A-1 'AAAsf'; Outlook Stable;
--$184,014,000 class A-2 'AAAsf'; Outlook Stable;
--$41,040,000 class A-3 'AAAsf'; Outlook Stable;
--$190,000,000 class A-4A1 'AAAsf'; Outlook Stable;
--$75,000,000c class A-4A2 'AAAsf'; Outlook Stable;
--$297,354,000 class A-5 'AAAsf'; Outlook Stable;
--$66,649,000 class A-SB 'AAAsf'; Outlook Stable;
--$76,279,000b class A-S 'AAAsf'; Outlook Stable;
--$966,200,000a class X-A 'AAAsf'; Outlook Stable;
--$76,278,000b class B 'AA-sf'; Outlook Stable;
--$47,675,000b class C 'A-sf'; Outlook Stable;
--$200,232,000b class EC 'A-sf'; Outlook Stable;
--$81,046,000c class D 'BBB-sf'; Outlook Stable;
--$204,999,000a class X-B 'BBB-sf'; Outlook Stable;
--$25,426,000c class E 'BBsf'; Outlook Stable;
--$25,426,000ac class X-C 'BBsf'; Outlook Stable.
--$14,303,000c class F 'Bsf'; Outlook Stable.
--$14,303,000ac 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. 30, 2014. Fitch does not expect to rate the $60,387,147 class NR, or the $60,387,147 interest only class X-E. Fitch does not expect to rate the $5,000,000 class ESK, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the Embassy Suites Kennesaw mortgage loan.
The certificates represent the beneficial ownership in the trust, primary assets of which are 54 loans secured by 64 commercial properties having an aggregate principal balance of approximately $1.27 billion as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association; Barclays Bank PLC; KeyBank, National Association; RAIT Funding, LLC; Column Financial, Inc.; General Electric Capital Corporation.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.6% of the properties by balance, cash flow analysis on 85.7%, and asset summary reviews on 85.7% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.13x, a Fitch stressed loan-to-value (LTV) of 107.1%, and a Fitch debt yield of 8.7%. Fitch's aggregate net cash flow represents a variance of 8.9% to issuer cash flows.
KEY RATING DRIVERS
Higher Leverage than Recent Transactions: The pool's Fitch DSCR and LTV are 1.13x and 107.1%, 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.
High Quality Collateral: Fitch assigned a property quality grade of 'A' or 'A-' to 15.6% of the pool, with an additional 23.8% of the pool assigned a property quality grade of 'B+'. Additionally, the pool has a large concentration of very well-located assets, including 26.9% of the pool located in New York City.
Highly Concentrated Pool: The top 10 loans comprise 59.8% of the pool, with 80.6% of the pool contained in the top 20 loans. This pool is one of the most highly concentrated of recent conduit transactions.
For this transaction, Fitch's net cash flow (NCF) was 9.59% 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-C24 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 'Asf' 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 LNR Partners, 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);
--'Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions' (Sept. 19, 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 Commercial Mortgage Securities Trust 2014-C24 (US CMBS)
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Criteria for Analyzing Large Loans in 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