Morningstar DBRS Downgrades Credit Ratings on Two Classes of JPMBB Commercial Mortgage Securities Trust 2015-C30, Confirms Remaining Credit Ratings

DBRS Limited (Morningstar DBRS) downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by JPMBB Commercial Mortgage Securities Trust 2015-C30 as follows:

-- Class D to C (sf) from CCC (sf)
-- Class X-D to C (sf) from CCC (sf)

Morningstar DBRS also confirmed the following credit ratings:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (sf)
-- Class B at A (low) (sf)
-- Class X-C at BBB (low) (sf)
-- Class C at BB (high) (sf)
-- Class EC at BB (high) (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class X-E at C (sf)

During the previous credit rating action in May 2024, Morningstar DBRS downgraded its credit ratings on Classes X-B, B, X-C, C, EC, X-D, D, X-E, E, and F, primarily as a result of the increased loss projections for the pool, attributed to the three loans in special servicing, and the largest loan on the servicer's watchlist at that time, which collectively represented 16.4% of the pool balance. Morningstar DBRS also changed the trends on Classes X-A, A-S, X-B, B, X-C, C, and EC, to Negative from Stable to reflect the high concentration of loans secured by office properties, the majority of which had experienced performance declines, contributing to elevated refinance risk approaching loan maturity as the pool begins to wind down in Q2 2025.

Since Morningstar DBRS' last credit rating action, 13 loans have been repaid in full and two of the specially serviced loans were liquidated from the trust with realized losses of approximately $40.0 million, relatively in line with Morningstar DBRS' expectations. With this review, Morningstar DBRS analyzed three loans with liquidation scenarios, reflecting a total implied loss of approximately $63.6 million, resulting in a partial principal write-down of under 15% for Class D, which Morningstar DBRS already rated at CCC (sf); and a complete write-down of Classes E, F, and NR.

As the performance of the transaction remains in line with expectations, Morningstar DBRS confirmed its credit ratings on all certificates excluding Class D and the associated notional Class X-D, which were downgraded to C (sf) from CCC (sf), as loss is now projected into Class D. Morningstar DBRS has maintained the Negative trends because of the elevated refinance risk associated with the high concentration of loans secured by office properties, representing more than 50.0% of the pool. Where applicable, Morningstar DBRS increased the probability of default penalties and/or loan-to-value ratios (LTVs) for loans exhibiting creased credit risk, including 10 of the 11 loans backed by office properties. Based on a recoverability analysis, Classes A-S, B, C, and EC are likely to be repaid; however, those certificates would be fully reliant on proceeds from loans backed by office properties, of which several could face difficulty securing replacement financing in the near to moderate term as performance declines from issuance and decreased tenant demand have likely eroded property values, supporting the maintained Negative trends.

As of the April 2025 reporting, 40 of the original 70 loans remain in the pool with an aggregate principal balance of $811.1 million, representing a collateral reduction of 39.1% since issuance. As the pool approaches maturity, 38 loans are on the servicer's watchlist, with seven loans, representing 9.5% of the pool, flagged for credit-related reasons. There are two loans in special servicing, representing 9.0% of the pool.

The largest loan in special servicing, Sunbelt Portfolio (Prospectus ID#3; 7% of the pool), is secured by the borrower's fee-simple interests in a portfolio of three office properties in Birmingham, Alabama, and Columbia, South Carolina. The loan transferred to special servicing in January 2022 for imminent monetary default and, as of the February 2025 servicer commentary, receivers have been appointed and the special servicer is proceeding with foreclosure. The loan was last paid in May 2024 and remains delinquent as of the date of this press release. The loan has a scheduled maturity date in July 2025. The portfolio has experienced precipitous occupancy declines in recent years, with the most recent reporting indicating the properties were 65.5% occupied as of September 2024 compared with 72.2% as of YE2021. Financial performance continues to decline, with the September 2024 debt service coverage ratio (DSCR) reported at 0.46 times (x), down from 1.10x at YE2022. At issuance, the portfolio was valued at $203.3 million, which declined to $116.2 million as of the February 2025 appraisal, representing a decline of approximately 43.0%. Morningstar DBRS' analysis included a liquidation scenario based on a conservative 35.0% haircut to the February 2025 appraised value. When considering the outstanding advances and expected servicer expenses, which totaled nearly $9.0 million, Morningstar DBRS' analysis suggests a loan loss severity in excess of 50.0%, or approximately $30.0 million that could be realized at disposition.

The largest loan on the servicer's watchlist, Castleton Park (Prospectus ID#6; 5.5% of the pool), is secured by a 903,325-square foot office park made up of 31 office buildings in a northeast suburb of Indianapolis. The loan was placed on the servicer's watchlist in December 2020 for a low DSCR, driven primarily by a steady decline in the properties' occupancy rate and average rental rate since issuance. As of September 2024, the portfolio's consolidated occupancy rate was reported at 57.0%, with tenant leases totaling approximately 11% of the net rentable area (NRA) subject to lease expiration prior to loan maturity in July 2025. The subject properties have historically experienced volatility in occupancy, with a consolidated rate as low as 65.3% in 2012. However, the portfolio was 94.1% occupied at contribution, which has slowly declined since, exacerbated by the effects of the coronavirus pandemic. As of the annualized Q3 2024 financials, the loan reported a DSCR of 0.61x, up from 0.38x at YE2023; however, it appears that the largest two tenants, representing nearly 12.0% of the NRA, vacated upon their respective lease expirations in February 2025. While the borrower has continued to pay out of pocket to keep the loan current, Morningstar DBRS estimates that the collateral's as-is value has declined significantly from issuance, with a balloon LTV that could be well over 300.0%, indicating that the borrower will face significant challenges in refinancing the loan with the trust potentially incurring a loss upon disposition. Morningstar DBRS' analysis included a liquidation scenario based on a stress to the issuance appraised value, resulting in a projected loss severity approaching 60.0% with this review, or approximately $29.0 million.

At issuance, Morningstar DBRS shadow-rated the Pearlridge Center (Prospectus ID#2; 8.9% of the pool) and Scottsdale Quarter (Prospectus ID#11, 5.2% of the pool) loans as investment grade. The underlying collateral for both loans have generally performed above Morningstar DBRS' expectations and historically reported healthy DSCRs. Morningstar DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics with this review.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND 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 Factors in Credit Ratings (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

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 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, (February 28, 2025) https://dbrs.morningstar.com/research/448963.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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.

The conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

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/North American CMBS Insight Model v 1.3.0.0 (April 9, 2025), https://dbrs.morningstar.com/research/451739
-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024), https://dbrs.morningstar.com/research/439702
-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064
-- North American Commercial Mortgage Servicer Rankings (August 23, 2024), https://dbrs.morningstar.com/research/438283

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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.