Kroll Bond Rating Agency, Inc. (KBRA) is pleased to announce the assignment of preliminary ratings to 20 classes of the JPMBB 2015-C27 transaction (see ratings list below). JPMBB 2015-C27 is an $836.5 million CMBS conduit transaction collateralized by 44 fixed rate commercial mortgage loans that are secured by 91 properties.

The underlying collateral properties are located in 26 states and the District of Columbia, with three states representing more than 10.0% of the pool balance: New York (23.4%), Michigan (13.2%) and California (12.4%). The pool has exposure to all the major property types, with four that represent more than 10.0% of the pool balance: office (39.7%), lodging (21.5%), mixed-use (12.0%) and retail (10.6%). The loans have principal balances ranging from $3.5 million to $110.0 million for the largest loan in the pool, The Club Row Building (13.1%), a 365,819 sf, Class-B office/retail building located in the Grand Central submarket of New York City’s Manhattan borough. The top five loans, which also include One Campus Martius (9.0%), The Branson on Fifth (8.7%), 717 14th Street (5.0%) and Shaner Hotels Portfolio (4.2%), represent 40.0% of the initial pool balance, while the top 10 loans represent 56.4%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts' evaluation of underlying collateral properties' financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our CMBS Property Evaluation Guidelines. On an aggregate basis, KNCF was 4.5% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 37.6% less than third party appraisal values. The pool has an in-trust KLTV of 106.4% and an all-in KLTV of 111.6%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan, which are then used to assign our credit ratings.

For complete details on the analysis, please see our presale report, JPMBB 2015-C27 published today at www.kbra.com. The report includes our new KBRA Comparative Analytic Tool (KCAT). KCAT is an easy to use, Excel based workbook that provides the following information:

  • KBRA Deal Tape – contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics.
  • KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are provided in our CMBS Monthly Trend Watch publication.
  • Excel based property cash flow statements for the top 20 loans.

Preliminary Ratings* Assigned: JPMBB 2015-C27

 

      Class       Class Balance       Expected Rating       Class A-1       $38,412,000       AAA(sf)       Class A-2       $135,330,000       AAA(sf)       Class A-3A1       $75,000,000       AAA(sf)       Class A-3A2       50,000,000       AAA(sf)       Class A-4       $222,831,000       AAA(sf)       Class A-SB       $63,997,000       AAA(sf)       Class X-A       $635,279,000**       AAA(sf)       Class X-B       $52,776,000**       AAA(sf)       Class X-C       $35,552,000**       AAA(sf)       Class X-D       $40,781,000**       BBB-(sf)       Class X-E       $24,531,709**       BB-(sf)       Class X-FG       $49,709,000       B-(sf)       Class X-NR       $28,232,488**       NR       Class A-S       $42,090,000       AAA(sf)       Class B       $52,766,000       AA-(sf)       Class C       $35,552,000       A-(sf)       Class EC       $138,027,000***       A-(sf)       Class D       $40,781,000       BBB-(sf)       Class E       $24,531,000       BB-(sf)       Class F       $11,021,000       B(sf)       Class G       $8,366,000       B-(sf)   * The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings. **Notional balance ***Maximum amount that can be issued  

17g-7 Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: JPMBB 2015-C27 17g-7 Disclosure Report.

Related publications (available at www.kbra.com):

CMBS: JPMBB 2015-C27 Presale Report

CMBS: U.S. CMBS Multi-Borrower Rating Methodology, published February 23, 2012CMBS Property Evaluation Guidelines, published June 10, 2011

About Kroll Bond Rating Agency KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Analytical Contacts:KBRAEd Barrett, 215-882-5845ebarrett@kbra.comorJoseph Kelly, 646-731-2365jkelly@kbra.com