DBRS Assigns Provisional Ratings to JPMBB Commercial Mortgage Securities Trust 2015-C30

DBRS, Inc. (DBRS) has today assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 (the Certificates) to be issued by JPMBB Commercial Mortgage Securities Trust 2015-C30. 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-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S 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 B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (sf)

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

The X-A, X-B, X-C, X-D, X-E, X-F, and X-NR 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 the Class EC certificates. Class EC certificates may be exchanged for the full certificate balance of the Class A-S, Class B and Class C certificates.

The collateral consists of 70 fixed-rate loans secured by 150 commercial and multifamily properties, comprising a total transaction balance of $1,331,456,099. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the loan term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized NCF and their respective actual constants, there were five loans, representing 11.6% of the pool, with a DBRS Term DSCR below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts, resulting in 43 loans, representing 73.1% of the pool, having DBRS refinance debt service coverage ratios (DSCRs) below 1.00x. However, the DBRS Refi DSCR for the loans are based on a weighted-average (WA) 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 4.9% over the WA contractual interest rate of the loans in the pool. The loans’ probability of default (POD) is based on the more constraining of the DBRS Term or Refi DSCR.

There is a high concentration of loans, 16 in total, comprising 46.7% of the total pool, secured by office properties including 11 of the top 15. However, the DBRS sample included 12 loans, representing 89.5% of the office concentration, thus providing an understanding of the cash flow dynamics associated with each. Furthermore, the average whole loan balance of the 16 loans is $51.3 million, indicating mostly institutional quality assets (38.5% located in urban markets and 0% located in tertiary or rural markets) that will benefit from strong investor demand.

Eight loans, representing 19.6% of the initial pool balance, provide for monthly IO payments for their entire terms. Thirty-eight mortgage loans, representing 53.0% of the initial pool balance, provide for monthly IO payments for a portion of their respective terms and then provide for the monthly principal and interest payments over their respective remaining terms. Lack of amortization will result in both a higher-modeled POD and loss severity for these loans.

The DBRS sample included 25 of the 70 loans in the pool. Site inspections were performed on 49 of the 150 properties in the pool (64.8% of the pool by allocated loan balance). DBRS conducted meetings with the on-site property manager, leasing agent or a representative of the borrowing entity for 51.3% of the pool. The DBRS average sample net cash flow adjustment for the pool was -10.2%.

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 North American CMBS Rating Methodology, which can be found on our website under Methodologies.

With regard to due diligence services, DBRS requested the Form ABS Due Diligence -15E (Form-15E), but it was not available at the time this document was published.