DBRS Morningstar Confirms All Classes of JPMBB Commercial Mortgage Securities Trust 2015-C31

DBRS Limited (DBRS Morningstar) confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C31 issued by JPMBB Commercial Mortgage Securities Trust 2015-C31 as follows:

-- Class A-2 at AAA (sf)
-- Class A-3 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 X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS Morningstar’s expectations since issuance. As of the February 2020 remittance, there has been a collateral reduction of 6.2% as a result of scheduled amortization. Loans representing 93.9% of the current pool balance show a year-end (YE) 2018 analysis in the servicer’s reporting. Those loans reported a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.53 times (x) and 10.0%, respectively. Loans representing 66.2% of the current pool balance show 2019 partial year reporting with a WA DSCR of 1.83x. Four loans, representing 5.4% of the current pool balance, are fully defeased, including one loan in the top 15, Prospectus ID#14 – Klotz Multifamily Portfolio, representing 2.9% of the current pool balance.

The largest 15 loans in the pool represent 66.6% of the current pool balance. All of these loans, excluding the defeased loan, reported year-end 2018 cash flows, a WA YE2018 DSCR and WA in-place debt yield of 1.46x and 9.7%, respectively. The non-defeased loans in the top 15 that are reporting partial-year 2019 financials had a WA DSCR of 1.56x.

In addition to the stable in-place coverage ratios for the underlying loans, the pool also benefits from the low expected loss for many of the largest loans in the pool, including the second largest loan, The Roosevelt New Orleans Waldorf Astoria, which represents 7.9% of the current pool balance. The 504 key full-service luxury hotel has exhibited very strong performance since issuance and has been trending upward year over year. The largest loan, Civic Opera Building, which represents 9.03% of the current pool balance, benefits from a prime location within Chicago’s West Loop submarket and has seen recent cash flow growth and an improved DSCR.

As of the February 2020 remittance, there were ten loans on the servicer’s watchlist, representing 13.4% of the current pool balance. Seven of those loans are on the watchlist for DSCR-related issues, while two loans are being monitored for occupancy declines. The remaining loan is being monitored for delinquent financials. The largest watchlisted loan, Prospectus ID#3 – Sunbelt Portfolio (7.3% of the current pool balance), is being monitored for a low DSCR, as the second largest building by allocated loan balance, Inverness Center, has had persistent occupancy issues when a major tenant vacated. In the case of this and other loans exhibiting higher risks from issuance, DBRS Morningstar applied a probability of default penalty in the analysis to increase the expected loss in the model output.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Classes X-A, X-B, X-C, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

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

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#1 – Civic Opera Building (9.03% of the pool)
-- Prospectus ID#3 – Sunbelt Portfolio (7.33% of the pool)
-- Prospectus ID#19 – Midway Commons (1.40% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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

The principal methodology is the North American CMBS Surveillance Methodology, which can be found on www.dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on www.dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. 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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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@dbrsmorningstar.com.

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

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577