DBRS Confirms Ratings of JPMBB Commercial Mortgage Securities Trust 2014-C21

DBRS Limited (DBRS) confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C21 (the Certificates), issued by JPMBB Commercial Mortgage Securities Trust 2014-C21 as follows:

-- 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-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (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 X-C at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-D at BB (low) (sf)
-- Class F at B (high) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction. At issuance, the collateral consisted of 73 fixed-rate loans secured by 84 commercial properties. As at the February 2018 remittance, 83 loans remain in the pool with an aggregate principal balance of $1.23 billion, representing a collateral reduction of 3.5% since issuance as a result of scheduled loan amortization and the liquidation of one loan. There are currently 14 loans (35.8% of the pool) with remaining partial interest-only (IO) periods ranging from three to 16 months, while eight loans (25.4% of the pool) are structured with full IO terms. One loan (2.8% of the pool) has been fully defeased.

The pool is concentrated by property type, as 19 loans, representing 32.8% of the pool, are secured by retail properties (including four regional malls, representing 14.1% of the pool); 14 loans (27.1% of the pool) are secured by office properties; 16 loans (17.6% of the pool) are secured by multifamily properties; and seven loans (14.6% of the pool) are secured by hotel properties. By loan size, the pool is relatively concentrated, as the top 15 loans represent 60.1% of the pool.

To date, 14 loans (17.2% of the pool) have reported a YE2017 net cash flow (NCF) figure, while 53 loans (77.1% of the pool) have reported partial-year 2017 NCFs; the remainder of the loans have reported YE2016 NCFs. Based on the most recent year-end financial reporting, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA Debt Yield of 1.72 times (x) and 10.2%, respectively, compared with the WA DBRS Term DSCR and WA DBRS Debt Yield for the pool at issuance of 1.52x and 9.0%, respectively. Based on the most recent cash flows available, the top 15 loans reported a WA DSCR of 1.73x, compared with the WA DBRS Term DSCR of 1.58x, reflective of a 22.5% net cash flow growth over the DBRS issuance figures.

As of the February 2018 remittance, there are three loans (1.7% of the pool) in special servicing and nine loans (10.7% of the pool) on the servicer’s watchlist. DBRS expects all three loans in special servicing to take a loss, with estimated loss severities ranging from 54.0% to 78.6%. Of the nine loans on the servicer’s watchlist, five (6.3% of the pool) were flagged for performance declines. Based on the most recent cash flows available, these five loans reported a WA DSCR of 1.23x, compared with the WA DBRS Term DSCR of 1.60x, reflective of a -23.5% net cash flow decline from the DBRS issuance figures. The largest of these loans, Westminster Mall (Prospectus ID#6, 4.2% of the pool), is showing a performance decline primarily driven by declining rental rates and fluctuating inline occupancy rates since issuance. In addition, one of the four anchor tenants, Sears (non-collateral), has announced it will be closing in the spring of 2018. This will leave anchor tenants Macy’s (non-collateral), JCPenney and Target (both collateral) at the mall. Given the increased risk profile, DBRS analyzed the loan with an inflated haircut to the in-place cashflow to increase the probability of default and will closely monitor for developments.

At issuance, DBRS shadow-rated the Miami International Mall loan (Prospectus ID#3, 4.9% of the pool) investment grade and with this review, DBRS confirms the credit characteristics of the loan remain in line with the investment grade rating.

Classes X-A, X-B, X-C and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO ratings mirror the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall.

All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS.

As part of this review, DBRS has provided updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#1 – Showcase Mall
-- Prospectus ID#3 – Miami International Mall
-- Prospectus ID#6 – Westminster Mall
-- Prospectus ID#11 – The Shops at Wiregrass
-- Prospectus ID#40 – Waterbury Crossing
-- Prospectus ID#46 – Lockport Professional Park
-- Prospectus ID#47 – Lockport Professional Park

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

The principal methodology is CMBS North American Surveillance, which can be found on dbrs.com under Methodologies. For a list of the Structured Finance-related methodologies that may be used during the rating process, please see the DBRS Global Structured Finance Related Methodologies document on www.dbrs.com. Please note that not every related methodology listed under a principal Structured Finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrs.com.

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

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.