DBRS Morningstar Confirms Ratings on All Classes of JPMBB Commercial Mortgage Securities Trust 2015-C30

DBRS Limited (DBRS Morningstar) confirmed the ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by JPMBB Commercial Mortgage Securities Trust 2015-C30 as follows:

-- 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 AA (low) (sf)
-- Class B at A (high) (sf)
-- Class X-C at A (low) (sf)
-- Class C at BBB (high) (sf)
-- Class EC at BBB (high) (sf)
-- Class X-D at BB (sf)
-- Class D at BB (low) (sf)
-- Class X-E at B (sf)
-- Class E at B (low) (sf)
-- Class F at CCC (sf)

All trends are Stable with the exception of Class F which has a rating that generally does not carry a trend in commercial mortgage-backed securities (CMBS). The rating confirmations reflect the overall stable performance of the transaction since the last rating action in November 2022.

As of the April 2023 remittance, 56 of the original 70 loans remain in the pool, representing a collateral reduction of 23.5% since issuance. Eight loans, representing 6.4% of the current pool balance, are fully defeased. There are 14 loans, representing 19.9% of the pool, on the servicer’s watchlist and two loans, representing 9.8% of the pool, in special servicing. The pool is concentrated by property type, with office representing approximately 52% of the total pool balance. There is continued uncertainty related to end-user demand and investor appetite for this property type. DBRS Morningstar anticipates upward pressure on vacancy rates in the broader office market, challenging landlords’ efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assts in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Where applicable, DBRS Morningstar increased the Probability of Default penalties, and, in certain cases, applied stressed loan-to-value (LTV) ratios for loans that are secured by office properties. The weighted-average expected loss for office loans was approximately 35.0% higher than the weighted-average pool expected loss.

The largest loan in special servicing, Sunbelt Portfolio (Prospectus ID#3, 5.9% of the pool), is secured by the fee-simple interests in a portfolio of two office properties in Birmingham, Alabama, and one in Columbia, South Carolina. The loan transferred to special servicing in February 2022 for imminent monetary default. As of the April 2023 remittance, the loan is pending return to the master servicer. Based on the YE2022 rent roll, the properties were 70.9% occupied, compared with the YE2021 and YE2020 occupancy rates of 82.6% and 67.2%, respectively. The properties have experienced a steady financial decline because of fluctuations in occupancy, and, as of the most recent financials reporting, the loan reported a whole-loan debt service coverage ratio (DSCR) of 1.10 times (x) at YE2022, a decline from 1.38x at YE2021 and in-line with 1.11x at YE2020. The portfolio’s location within secondary and tertiary markets will likely limit demand as the sponsor works to build occupancy and recover lost cash flow—these issues will present refinance challenges ahead of loan maturity. As such, DBRS Morningstar’s analysis includes a stressed LTV and an elevated Probability of Default to increase the expected loss.

The only other loan in special servicing is One City Centre (Prospectus ID#12, 3.9% of the pool), which is secured by the borrower’s fee interest in a 602,122-square-foot (sf) office property in Houston’s central business district. The loan transferred to special servicing in April 2021 because of imminent default related to the borrower’s unwillingness to fund operating shortfalls after the former largest tenant, Waste Management, which comprised 40.5% of net rentable area (NRA) and 50.2% of total rent at issuance, vacated upon its lease expiration in December 2020. Per the April 2023 special servicer commentary, an affiliate of the borrower continues to manage the property, but there has been minimal interest in the property. A discounted payoff and recapitalization plan were discussed with the borrower but a formal proposal has yet to be provided. As of December 2022, the property was only 25.0% occupied, flat from the 25.0% occupancy at YE2021, and well below 82.6% at issuance. Similarly, the YE2022 DSCR was negative at -0.84x, compared with -0.80x at YE2021, and 1.78x at YE2020. Given the extended resolution timeline, declining performance metrics, lack of leasing activity, and weakened Houston office market fundamentals, DBRS Morningstar assumed a liquidation scenario for the subject loan, resulting in an expected loss severity in excess of 80%.

The largest loan on the servicer’s watchlist, Castleton Park loan (Prospectus ID#6, 4.6% of the pool), is secured by a 903,325-sf office park that is made up of 31 office buildings in a northeast suburb of Indianapolis. The loan was placed on the servicer’s watchlist in December of 2020 for low DSCR, driven primarily by a steady decline in occupancy and average rental rate since issuance. As of the December 2022 rent roll, the total occupancy was reported at 54.0%, with approximately 17.0% of the NRA subject to lease expirations in the next 12 months. The largest tenants are Royal United Financial Services LLC (6.2% of the NRA, lease expiry in February 2025), followed by Community Health Network, Inc. (5.4% of the NRA, lease expiry in February 2025), and Johnson Controls (4.5% on the NRA, lease expiry in July 2033). According to a Q4 2022 Reis report, the vacancy rate in the northeast Indianapolis submarket was reported at 22.1%. As of the most recent financials, the loan reported a trailing nine months DSCR of 0.45x, compared with the YE2021 and YE2020 figures of 0.67x and 1.09x, respectively. DBRS Morningstar’s analysis includes a stressed LTV and an elevated Probability of Default, resulting in an expected loss that is approximately triple the pool average.

At issuance, DBRS Morningstar shadow-rated the Pearlridge Center (Prospectus ID#2, 7.1% of pool) and Scottsdale Quarter (Prospectus ID#11, 4.1% of pool) loans as investment grade. The collateral for both loans has generally performed above DBRS Morningstar’s expectations and historically reported healthy DSCRs. DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics with this review.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (May 17, 2022) at https://www.dbrsmorningstar.com/research/396929.

Classes X-A, X-B, X-C, X-D, and X-E 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.

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

The principal methodology is North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings assigned to Classes A-S, B, C, and EC materially deviates from the ratings implied by the predictive model. DBRS Morningstar typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations is uncertain loan level event risk.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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 [email protected].

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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.

DBRS Limited
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Tel. +1 416 593-5577

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

North American CMBS Multi-Borrower Rating Methodology/North American CMBS Insight Model v 1.1.0.0 (March 16, 2023; https://www.dbrsmorningstar.com/research/410913)

Rating North American CMBS Interest-Only Certificates (December 19, 2022; https://www.dbrsmorningstar.com/research/407577)

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 12, 2022; https://www.dbrsmorningstar.com/research/402646)

North American Commercial Mortgage Servicer Rankings (September 8, 2022; https://www.dbrsmorningstar.com/research/402499)

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022; https://www.dbrsmorningstar.com/research/402153)

Legal Criteria for U.S. Structured Finance (December 7, 2022; https://www.dbrsmorningstar.com/research/407008)

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].