Kroll Bond Rating Agency Assigns Preliminary Ratings to JPMBB 2015-C32

NEW YORK--()--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 17 classes of the JPMBB 2015-C32 transaction (see ratings list below). JPMBB 2015-C32 is a $1.1 billion CMBS conduit transaction collateralized by 85 commercial mortgage loans secured by 273 properties.

The underlying collateral properties are located in 40 US states and one Canadian province, with two states that represent more than 10.0% of the pool balance, Illinois (21.5%) and Pennsylvania (12.4%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: office (28.6%), retail (21.7%), multifamily (17.6%), and lodging (14.9%). The loans have principal balances ranging from $0.7 million to $77.3 million for the largest loan in the pool, Hilton Suites Chicago Magnificent Mile (6.7%), a 345-key, full-service hotel located in the Chicago Illinois CBD. The top five loans, which also include Civic Opera House (6.5%), The Palmer House (5.4%), Gateway Business Park (4.9%), and U-Haul AREC Portfolio (4.3%), represent 27.9% of the initial pool balance, while the top 10 loans represent 44.0%.

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 5.8% 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, 36.1% less than third party appraisal values. The pool has an in-trust KLTV of 105.8% and an all-in KLTV of 108.2%. 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-C32 published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is an easy to use, Excel based workbook that provides the following information:

  • KBRA Deal Tape – contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.
 

Preliminary Ratings Assigned: JPMBB 2015-C32

 
Class     Class Balance     Expected KBRA Rating
A-1     $80,183,000     AAA(sf)
A-2     $244,690,000     AAA(sf)
A-3     $28,747,000     AAA(sf)
A-4     $100,000,000     AAA(sf)
A-5     $234,865,000     AAA(sf)
A-SB     $115,238,000     AAA(sf)
X-A     $855,381,000(1)     AAA(sf)
X-B     $57,408,000 (1)     AAA(sf)
X-C     $99,029,000 (1)     AAA(sf)
X-D     $50,232,000 (1)     BBB-(sf)
A-S     $51,667,000     AAA(sf)
B     $57,408,000     AA-(sf)
C     $99,029,000     A-(sf)
EC     $208,104,000(2)     A-(sf)
D     $50,232,000     BBB-(sf)
E     $28,705,000     BB-(sf)
F     $11,481,000     B(sf)
G     $11,482,000     NR
NR     $34,444,648     NR

1 Notional balance. 2 Represents the maximum balance of Class EC certificates that could be issued.

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-C32 Representations & Warranties Disclosure Report.

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

CMBS: JPMBB 2015-C32 Presale Report

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

CMBS 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
Michael McGorty, 646-731-2393
mmcgorty@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Alec Abrams, 646-731-2401
aabrams@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Analytical:
Kroll Bond Rating Agency
Michael McGorty, 646-731-2393
mmcgorty@kbra.com
or
Dayna Volpe, 646-731-2391
dvolpe@kbra.com
or
Michael Brown, 646-731-2307
mbbrown@kbra.com
or
Alec Abrams, 646-731-2401
aabrams@kbra.com
or
Follow us on Twitter!
@KrollBondRating