Morningstar DBRS Downgrades Credit Ratings on Three Classes of JPMBB Commercial Mortgage Securities Trust 2014-C21

DBRS Limited (Morningstar DBRS) downgraded credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C21 issued by JPMBB Commercial Mortgage Securities Trust 2014-C21 as follows:

-- Class D to B (sf) from BB (sf)
-- Class E to C (sf) from CCC (sf)
-- Class X-C to C (sf) from CCC (sf)

Morningstar DBRS also confirmed the credit ratings on the following classes:

-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class F at C (sf)
-- Class X-D at C (sf)

In addition, Morningstar DBRS changed the trends on Classes C, D, and EC to Stable from Negative. The remaining classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions.

The credit rating downgrades reflect Morningstar DBRS' loss projections for the remaining loans in the pool. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that even in a conservative scenario, realized losses would be contained to the Class E certificate. However, the transaction is more exposed to adverse selection and an increased propensity for interest shortfalls given only seven loans remain in the pool, six of which (representing 96.3% of the current pool balance) are in special servicing for maturity default. During the prior credit rating action in May 2024, Morningstar DBRS flagged the majority of those loans (most of which are secured by retail and office collateral) for increased refinance risk, noting that sustained performance declines from issuance and/or lower end-user demand would likely complicate borrowers' efforts to secure replacement financing. To date, the trust has incurred losses of approximately $30.9 million, which has been contained to the nonrated (NR) certificate.

With this review, Morningstar DBRS considered liquidation scenarios for all six specially serviced loans, resulting in total implied losses exceeding $57.0 million, which would deplete the remaining NR certificate balance, wipe out the entirety of the Class F certificate balance, and erode approximately 44.0% of the Class E balance, supporting the credit rating downgrade to C (sf) from CCC (sf) on that certificate. Moreover, those losses would significantly reduce the credit support to the lowest-rated principal bonds in the transaction, particularly the Class D certificate, supporting the credit rating downgrade on that class to B (sf) from BB (sf). Given the current credit rating downgrades and Morningstar DBRS' expectation that the performance of most loans of concern should remain relatively static through the next 12 months, Morningstar DBRS changed the trends on Classes C, D, and EC to Stable from Negative

Since the prior credit rating action in May 2024, 26 loans have successfully repaid in full. The current trust balance of $160.5 million, as of the April 2025 remittance, represents a collateral reduction of 87.3% from issuance. The only loan not in special servicing, NAL Building (Prospectus ID#44, 3.7% of the current pool balance), is secured by a 75,286-square-foot (sf) suburban office property in Farmington Hills, Michigan. The loan had an anticipated repayment date in May 2024 with a final maturity date in May 2026. The property is currently 100.0% occupied by North American Lighting, Inc. and covering debt service at 2.21 times (x); however, Morningstar DBRS notes that the sole tenant has a lease expiration in February 2026, prior to the loan's fully extended maturity date.

The One Dallas Center loan (Prospectus ID#13, 18.1% of the current pool balance) is secured by the 278,496-sf office component of a 651,000-sf mixed-use office/multifamily property in the central business district (CBD) of Dallas. The loan transferred to special servicing in April 2024 for maturity default ahead of its July 2024 maturity date. The property's operating performance began to deteriorate in 2022 when the former largest tenant, Greyhound Lines (Greyhound; 34.9% of the net rentable area (NRA)), vacated at lease expiration, bringing occupancy to down to approximately 65.0% from 100.0%. Efforts to backfill the vacant space have been unsuccessful, and the borrower has been unable to cover debt service obligations. The most recent servicer commentary notes the borrower is unwilling to provide an equity injection and has requested a deed in lieu of foreclosure with negotiations in process to transfer the title to the lender. The loan has been cash managed since Greyhound's departure, with more than $5.0 million in reserves as of the April 2025 reporting. The Dallas CBD submarket reported an average vacancy rate of 34.1% as of Q4 2024, according to Reis, while office properties built between 1970 and 1979 averaged 39.7% for the same period. An October 2024 appraisal valued the property at $27.5 million, more than 40.0% below the issuance appraised value of $48.3 million. In its analysis for this review, Morningstar DBRS maintained a conservative approach given the factors outlined above and applied a 40.0% haircut to the most recent appraised value, resulting in an implied loss of $15.3 million and a loss severity of 53.0%.

The 200 West Monroe loan (Prospectus ID#18, 14.0% of the pool balance) is secured by a 23-story, Class B office property in Chicago. The loan initially transferred to special servicing in February 2024 following the borrower's unwillingness to fund operating shortfalls. The loan was last paid in December 2023, and the special servicer is reportedly working to appoint a receiver to help stabilize the property for an eventual sale. According to the June 2024 rent roll, the property was 67.2% occupied, in line with the YE2023 figure of 68.3% but below the issuance figure 84.2%. Cash flow continues to decline year over year, with the loan reporting a YE2023 debt service coverage ratio (DSCR) of 0.21x, a further decline from 0.49x at YE2022. The in-place tenant roster is relatively granular, with no tenant representing more than 5.3% of the NRA. Tenant rollover is minimal with leases representing 6.7% of the NRA, scheduled to expire prior to YE2025. According to a Q4 2024 Reis report, office properties within the Central Loop submarket reported an average vacancy rate of 20.4%, up from 14.1% in Q4 2023. Although an updated appraisal has not been provided, Morningstar DBRS believes the property's value has declined significantly since issuance given the high in-place vacancy, depressed cash flow, weak submarket fundamentals, and lack of leasing activity. Morningstar DBRS' analysis included a liquidation scenario based on a conservative 75.0% haircut to the issuance appraised value. When considering the outstanding advances and expected servicer expenses, Morningstar DBRS' analysis suggests a loan loss severity exceeding 65.0%, or approximately $16.0 million could be realized at disposition.

The largest remaining loan in the pool, Miami International Mall (Prospectus ID#3, 35.7% of the current pool balance), is secured by a 307,000-sf portion of a 1.1 million-sf super-regional mall, 14 miles from the Miami CBD. The loan transferred to special servicing after failing to repay at maturity in February 2024. The lender and borrower agreed to a 12-month forbearance period where the interest rate was reduced to 2.5%, with a one-time, 12-month extension option to extend to February 2026, at an interest rate of 3.5%. The borrower was required to make an initial $2.0 million equity injection to execute the forbearance, with an additional $3.0 million contribution in the event the extension option is exercised. The loan was cash managed throughout the forbearance period where half the funds were used to pay down the loan with the remaining amount being held in reserve. Based on the servicer's commentary, the loan is pending its return to the master servicer. Noncollateral anchors at the mall include Macy's and JCPenney. According to various online sources, Easton Group purchased the JCPenney space for $12.2 million, following the retailer's bankruptcy, and has disclosed that the tenant will remain at the property until lease expiration in 2040. The former noncollateral Sears and Kohl's vacated the subject in 2018 and early 2024, respectively. The former Sears space was also purchased by Easton Group, which plans to build 500 market-rate apartments on the existing site; however, those plans are pending city approval. The former Kohl's space is currently leased to Elev8 Fun. As of September 2024, the mall's total occupancy was 94.0%, while the collateral portion was 80.0% occupied. Although there has been some volatility in occupancy, the loan reported a healthy DSCR of 3.84x as of the September 2024 financial reporting. One of the challenges for the property is nearby competition, including from Dolphin Mall and Dadeland Mall (with the latter also owned by the same sponsor of the loan, Simon Property Group). The property was last appraised in July 2024 at a value of $159.0 million, approximately 50.0% below the issuance appraised value. Morningstar DBRS elected to analyze the loan with a liquidation scenario based on a 20.0% haircut to the most recent appraised value, which resulted in an implied loss slightly above $13.0 million and a loss severity of 23.0%.

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) https://dbrs.morningstar.com/research/437781.

Classes X-C and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit 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.

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 (April 9, 2025)/North American CMBS Insight Model v 1.3.0.0, 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.