Kroll Bond Rating Agency Assigns Preliminary Ratings to JPMBB 2015-C31

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of the JPMBB 2015-C31 transaction (see ratings list below). JPMBB 2015-C31 is a $1.0 billion CMBS conduit transaction collateralized by 58 commercial mortgage loans secured by 155 properties. One of the classes of senior Class A certificates, the Class A-3 certificates, currently has an initial principal balance of $0. However, prior to the securitization closing date, the issuer is expected to either increase the initial principal balance of the Class A-3 certificates or to eliminate such class from the transaction. If the Class A-3 initial balance is increased, it will result solely from a reallocation of the aggregate initial principal balance of the senior class A certificates; no additional debt will be issued.

The underlying collateral properties are located in 28 U.S. states and one Canadian province (0.1% of pool balance), with two states that represent more than 10.0% of the pool balance, Illinois (18.3%) and Florida (10.7%). There is exposure to all of the major property type segments, with four that represent more than 10.0% of the pool balance: office (34.3%), industrial (17.3%), retail (17.2%), and lodging (11.9%). The loans have principal balances ranging from $2.2 million to $89.0 million for the largest loan in the pool, Civic Opera Building (8.7%), a 915,162 sf Class-B office building located in the Chicago Illinois CBD. The five largest loans, which also include The Roosevelt New Orleans Waldorf Astoria Hotel (8.0%), Sunbelt Portfolio (7.5%), Coral Ridge Shopping Center (4.9%), and Highland Landmark I (4.4%), represent 33.5% of the initial pool balance, while the 10 largest loans represent 51.3%.

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 5.2% 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, 36.2% less than third party appraisal values. The pool has an in-trust KLTV of 108.6% and an all-in KLTV of 110.8%. 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 2015-C31 published at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT).

Representations & Warranties 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 2015-C31 Representations & Warranties Disclosure Report.

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

CMBS: JPMBB 2015-C31 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012CMBS Property Evaluation Guidelines, published March 3, 2015

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
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Albert Lee, 646-731-2448
alee@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency
John Triantafyllou, 646-731-2396
jtriantafyllou@kbra.com
or
Robin Regan, 646-731-2358
rregan@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Albert Lee, 646-731-2448
alee@kbra.com
or
Follow us on Twitter!
@KrollBondRating