Morningstar DBRS Confirms Credit Ratings on All Classes of JPMBB Commercial Mortgage Securities Trust 2014-C22

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C22 issued by JPMBB Commercial Mortgage Securities Trust 2014-C22 as follows:

-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at BB (high) (sf)
-- Class EC at BB (high) (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)

All trends are Stable, with the exception of Classes D, E, and F, which have ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions.

The credit rating confirmations on the classes rated C (sf) reflect the overall loss expectations for the three loans in special servicing, which represent 7.3% of the pool balance. In addition, the pool is susceptible to adverse selection as the pool enters its maturity year. Since Morningstar DBRS' last review, Las Catalinas Mall (Prospectus ID#3, previously 8.3% of the pool balance) and Junction Plaza (Prospectus ID#73, previously 0.3% of the pool), were liquidated from the trust at a combined loss of $33.9 million, compared with the Morningstar DBRS loss projection of $41.3 million. The driver for the loss is Las Catalinas Mall, which reported a loss of $32.1 million, compared with the Morningstar DBRS loss estimate of $40.8 million. Despite the better than expected outcome, the pool is concentrated by property type with loans backed by office properties (representing nearly 40.0% of the pool balance). In addition, Morningstar DBRS remains concerned with several loans in the pool, representing nearly 15.0% of the pool balance, that have exhibited performance declines, thereby increasing the risk of near-term default. In the analysis, Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and/or probability of default (POD) penalties to these loans.

The credit rating confirmations and Stable trends on the remaining classes reflect the overall stable performance of the pool as evidenced by the weighted-average debt service coverage ratio (DSCR) of 1.53 times (x) based on the most recent year-end financials. As of the April 2024 remittance, 48 of the original 76 loans remain in the pool, representing a collateral reduction of 40.7% from issuance. There are 28 loans, representing 71.5% of the pool, on the servicer's watchlist, and are primarily being monitored for upcoming maturities. Three loans, representing 7.3% of the pool balance, are in special servicing and, with this review, these loans were analyzed with a liquidation scenario resulting in a cumulative projected loss of $37.1 million, which would fully erode the nonrated Class G and Class F and the majority of Class E.

The largest loan in special servicing, 10333 Richmond (Prospectus ID#7, 4.8% of the current pool balance), is secured by a 218,600-square-foot (sf) office building in Houston, Texas. The loan has been in special servicing since December 2017 following the loss of several tenants and the related cash flow declines that created debt service shortfalls not funded by the borrower. As of the September 2023 reporting, the property was 43.5% occupied and the last debt service payment received was in April 2023. The servicer's commentary noted discussions regarding a loan modification remains ongoing, where the terms may include an A/B Note split. Based on the September 2023 appraisal, the property was valued at $12.0 million, a decline from the October 2022 value of $13.8 million and issuance value of $46.4 million. Morningstar DBRS liquidated the loan in its analysis, resulting in an implied loss severity exceeding 85.0%.

The second-largest specially serviced loan, 200 Newport Avenue (Prospectus ID#21, 2.0% of the pool), is secured by a 143,000-sf Class B office building, located approximately six miles south of Boston, in Quincy, Massachusetts. The loan transferred to special servicing in August 2022 for imminent default following the loss of the former single tenant, State Street Bank, which vacated the property at lease expiry in March 2021. The trust took title of the property in April 2023 and based on the October 2022 appraisal, the property was valued at $13.8 million, down from the issuance value of $26.2 million. For this review, Morningstar DBRS liquidated the loan with a stressed haircut to the most recent value considering the dated appraisal and challenging submarket, resulting in an implied loss severity exceeding 45.0%.

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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (January 23, 2024; https://dbrs.morningstar.com/research/427030)

Classes X-A, 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 credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS.

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

The principal methodology is North American CMBS Surveillance Methodology (March 1, 2024; https://dbrs.morningstar.com/research/428798)

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

The credit rating was initiated at the request of the rated entity.
The rated entity or its related entities did participate in the credit rating process for this credit rating action.
Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.
This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The Morningstar DBRS Long-Term Obligation Rating Scale definition indicates that credit 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, Inc.
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Chicago, IL 60602 USA
Tel. +1 312 332-3429

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

North American CMBS Multi-Borrower Rating Methodology (March 1, 2024; https://dbrs.morningstar.com/research/428797)

Rating North American CMBS Interest-Only Certificates (December 13, 2023; https://dbrs.morningstar.com/research/425261)

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 22, 2023; https://dbrs.morningstar.com/research/420982)

North American Commercial Mortgage Servicer Rankings (August 23, 2023; https://dbrs.morningstar.com/research/419592)

Legal Criteria for U.S. Structured Finance (April 15, 2024; https://dbrs.morningstar.com/research/431205)

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

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