DBRS Morningstar Confirms JPMBB 2015 Commercial Mortgage Securities Trust 2015-C33

DBRS, Inc. (DBRS Morningstar) confirmed the Commercial Mortgage Pass-Through Certificates, Series 2015-C33 (the Certificates), issued by JPMBB Commercial Mortgage Trust 2015-C33 as follows:

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

All trends are Stable. Classes D-1 and D-2 may be exhchanged for the Class D certificates (and vice versa). DBRS Morningstar also discontinued the rating for Class A-1 as it was repaid as of the February 2020 remittance.

The rating confirmations reflect the overall stable performance of the transaction since issuance, when the pool consisted of 64 loans secured by 89 commercial and multifamily properties with a total trust balance of $761.8 million. As of the February 2020 remittance, there were 62 loans secured by 87 commercial and multifamily properties remaining in the pool with a total trust balance of $689.4 million, representing a collateral reduction of 9.5%. In February 2020, the former second-largest loan in the transaction (Prospectus ID#2–DoubleTree Paradise Valley Resort Scottsdale) fully repaid. As of the February 2020 remittance, there were five loans, representing 5.4% of the pool balance, that were fully defeased.

Approximately 94.2% of the pool reported preceding year-end financials, reporting a weighted-average (WA) debt service coverage ratio (DSCR) of 1.90 times (x), up from the issuer’s underwritten WA DSCR of 1.74x. The portfolio’s loan-to-value (LTV) was reduced to a moderate 59.5%, compared with the issuance LTV of 61.8%. The pool benefits from a greater exposure to multifamily properties, representing 38.9% of the pool balance. Additionally, five loans, representing 24.1% of the pool balance, are located in urban cores. The transaction has some concentration risk by loan size with the largest loan, 32 Avenue of Americas, representing 18.1% of the pool balance. Sixteen loans, representing 46.0% of the pool balance, are structured with full-term interest-only (IO) payments.

As of the February 2020 remittance, there were three loans, representing 4.9% of the pool balance, on the servicer’s watchlist with no loans in special servicing. Plaza Paseo Del Norte (2.3% of the pool; Prospectus ID#13) is the largest watchlisted loan, which is secured by an anchored retail center in Albuquerque, New Mexico. The property lost its Sears Outlet junior anchor, representing 13.6% of net rentable area, in July 2017 ahead of its May 2021 lease expiration date. The sponsor has been able to backfill the Sears Outlet with Jungle Jam, a tenant that has a lease commencement date in January 2020.

DBRS Morningstar is concerned about the upcoming lease expiration date for the largest tenant, Cinemark, in May 2020. Sales for the movie theater has gradually declined over the years, suggesting the tenant could vacate at expiry. The sales declines have likely been significantly compounded amid the Coronavirus Disease (COVID-19) outbreak of 2020, as theatres across the country have shuttered amid attempts to slow the spread of the virus. Cinemark and other major chains have announced closures will remain in place through April 2020, with many major releases delayed for later in 2020 and some even pushed straight to on-demand and streaming services. In light of these increased risks, the probability of default was increased for this loan as part of the surveillance review.

In addition to the above-mentioned risks, DBRS Morningstar also notes the transaction’s exposure to a large hotel loan in the top five loans in the pool in Prospectus ID#4–DoubleTree Anaheim – Orange County (4.1% of the pool). Hotels have also been particularly hard hit amid the effects of the coronavirus pandemic, with room bookings cancelled and overall traffic basically grinding to a halt amid travel restrictions and canceled conferences and events. The subject loan has historically performed well, with a YE2018 DSCR of 2.22x, significantly above the issuance estimates. DBRS Morningstar will monitor closely as these events unfold and more is known with regard to specific impacts for this and other hotel loans in the pool.

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 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#13–Plaza Paseo Del Norte (2.3% of the pool) – DBRS Morningstar Hotlist
-- Prospectus ID#37–11006 South Euclid Apartments (0.8% 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 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 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 [email protected].

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