Morningstar DBRS Downgrades and Discontinues Credit Ratings on Two Classes Across Two Transactions

DBRS Limited (Morningstar DBRS) downgraded the credit ratings on two classes across two transactions as follows:

WFRBS Commercial Mortgage Trust 2013-C18 (WFRBS 2013-C18)
-- Class E to D (sf) from C (sf)

JPMBB Commercial Mortgage Securities Trust 2014-C22 (JPMCC 2014-C22)
-- Class F to D (sf) from C (sf)

In addition, Morningstar DBRS also discontinued and withdrew the credit ratings on the above-mentioned classes.

The credit ratings downgrades and discontinuations were due to a loss to the respective trusts that was reflected with the June 2024 remittances. The WFRBS 2013-C18 transaction incurred a loss of $9.3 million, wiping out the unrated Class F and eroding $3.6 million of Class E. The loss was tied to the liquidation of HIE at Magnificent Mile (Prospectus ID#10) at $19.8 million, but a reimbursement of nonrecoverable advances from principal amounts of $10.5 million associated with the liquidation reduced the total loss to $9.3 million. The loan-level loss was in line with Morningstar DBRS' expectation of $19.0 million at the last review.

The JPMCC 2014-C22 transaction incurred a loss of $4.0 million, wiping out the remainder of nonrated Class G and approximately $1.8 million of Class F. This loss was tied to the liquidation of 200 Newport Avenue (Prospectus ID#21). The loss was lower than Morningstar DBRS' expectation of $6.2 million at last review.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS   
Environmental (E) Factors   
There were no Environmental/Social/Governance factor(s) 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 (January 24, 2024) at https://dbrs.morningstar.com/research/427030.

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 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@morningstar.com.

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 note a sensitivity analysis is not performed for discontinued bonds.

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

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)/North American CMBS Insight Model v 1.2.0.0 (https://dbrs.morningstar.com/research/428797)

Rating North American CMBS Interest-Only Certificates (June 28, 2024; https://dbrs.morningstar.com/research/435294)

Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (June 28, 2024; https://dbrs.morningstar.com/research/435293)

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 info-DBRS@morningstar.com.