DBRS Assigns Provisional Ratings to JPMBB Commercial Mortgage Securities Trust 2014-C26

DBRS, Inc. (DBRS) has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C26 (the Certificates), to be issued by JPMBB Commercial Mortgage Securities Trust 2014-C26. The trends are Stable.

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-C at AAA (sf)
-- Class X-D at AAA (sf)
-- Class X-E at AAA (sf)
-- Class X-F at AAA (sf)
-- Class X-NR at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class EC at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class F at B (sf)

Classes A-3A2, X-C, X-D, X-E, X-F, X-NR, D, E and F will be privately placed.

The Class X balances are notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certificates’ position within the transaction payment waterfall when determining the appropriate rating.

Up to the full certificate balance of the Class A-S, Class B and Class C certificates may be exchanged for Class EC certificates. Class EC certificates may be exchanged for up to the full certificate balance of the Class A-S, Class B and Class C certificates.

The collateral consists of 69 fixed-rate loans secured by 93 commercial and multifamily properties, with a transaction balance of $1,449,606,872. The DBRS sample included 33 loans, representing 75.0% of the pool. Properties representing 20.9% of the pool are located in urban markets with increased liquidity. Overall, the pool is relatively diverse based on loan size, with a concentration profile equivalent to that of a pool of 39 equal-sized loans. Increased pool diversity helps to insulate the higher-rated classes from event risk.

The pool exhibits a high concentration of loans with elevated refinance risk. Thirty-four loans, representing 55.6% of the pool, have DBRS Refi DSCRs below 1.00x. Twenty of these loans, representing 43.7% of the pool, have DBRS Refi DSCRs of less than 0.90x. However, these debt service coverage ratios (DSCRs) are based on a weighted-average stressed refinance constant of 9.8%, which implies an interest rate of 9.2%, amortizing on a 30-year schedule. This represents a significant stress of more than 4.7% over the weighted-average contractual interest rate of the loans in the pool. In addition, the combined partial IO and full-term IO concentration amounts to 78.5% of the total pool. There are six loans that are IO for the full term, representing 12.5% of the pool, including two of the ten largest loans in the pool. This in turn results in a relatively low level of total pool amortization during the loan term of -12.0%. Furthermore, DBRS determines probability of default based on the lower of term or refinance DSCR, and loans that lack amortization are treated more punitively.

The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.