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KBRA Downgrades Seven Ratings and Affirms All Other Ratings for JPMBB 2015-C32

14 Aug 2025   |   New York

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KBRA downgrades the ratings of seven classes of certificates and affirms all other outstanding ratings of JPMBB 2015-C32, a $618.0 million CMBS conduit transaction. Simultaneously, KBRA removes nine classes from Watch Downgrade (DN), where they were placed on May 27, 2025. These rating actions follow a surveillance review of the transaction, which has exhibited an increase in interest shortfalls since the last review, as well as a reduction in the outstanding balance of certificates at the bottom of the capital structure, primarily the result of reimbursement of nonrecoverable advances. Despite this reduction, the transaction’s K-LOCs continue to exhibit elevated estimated losses. The downgrades also reflect the transaction’s increased susceptibility to interest shortfalls affecting higher tranches of the capital structure, as the servicer continues to work through the resolution of specially serviced assets and loans that may be unable to refinance at their impending maturity dates. On a positive note, the transaction, particularly at the top of the capital structure, has benefited from deleveraging through loan payoffs, amortization, and defeasance.

As of the July 2025 remittance report, there are 23 specially serviced assets (51.2% of the current pool balance), including four REO assets (24.7%), one loan in foreclosure (7.5%), one delinquent loan (10.7%), one non-performing matured balloon loan (1.7%), and 16 current loans (6.6%). Additionally, following the distribution date, one loan (4.8%) which was non-performing matured balloon transferred to the special servicer. KBRA identified 28 K-LOCs (61.5%), including the specially serviced assets. Of the K-LOCs, eight loans (50.8%) have estimated losses. Sixteen (6.9%) of the K-LOCs have the same sponsor and transferred to the special servicer for non-monetary default as a result of court appointed receivership. The remaining 12 K-LOCs (54.6%) are depicted in the table below:

K-LOCs Loss Given Default (000s) Loss Severity 2 Civic Opera Building OF 66,169 10.7% Y 90 N SS Apr-20 $53,997 81.6% 1 Hilton Suites Chicago Magnificent Mile LO 64,446 10.4% Y REO N REO Apr-20 $19,578 30.4% 3 Palmer House Retail Shops MU 57,680 9.3% Y REO N REO May-20 $51,573 89.4% 4 Gateway Business Park OF 46,272 7.5% Y FCL N Foreclosure Oct-20 $6,055 13.1% 9 One Shell Square OF 29,746 4.8% N NPMB N Occupancy Jun-24 $9,669 32.5% 12 Hilton Atlanta Perimeter LO 25,089 4.1% Y REO N REO Apr-20 $17,561 70.0% 8 The Outlet Shoppes at Gettysburg RT 19,520 3.2% N C Y Rollover May-20 $5,177 26.5% 27 Premiere Place RT 10,532 1.7% Y NPMB N SS Jan-25 - - 35 Eastlake RV Resort MH 7,625 1.2% N C N Occupancy Jan-24 - - 49 Market Square at Montrose RT 4,742 0.8% Y REO N REO Apr-20 $2,907 61.3% 57 International Design Center MU 4,073 0.7% N C N Occupancy Sep-21 - - 71 Comfort Inn - Woodstock, VA LO 2,304 0.4% N C N DSCR Aug-24 - - Remaining K-LOCs (16) MF 42,821 6.9% Y C N SS Oct-24 - - Total K-LOCs $381,019 61.5% $166,517 1. K-LOC Date is the date when the most recent K-LOC was initially determined. 2. Loss Given Default assumes a 100% probability of default (PD). KBRA may determine a lower PD when estimating losses to a transaction. SS Prosp. ID Loan Name Prop Type Current In- Trust Balance (000s) % of Deal Balance Loan Status Mod (Y/N) Primary K-LOC Reason K-LOC Date 1 KBRA Estimated 2
Source: KBRA

Excluding the K-LOCs with estimated losses, the transaction's WA KLTV is 87.9%, compared to 90.4% at KBRA's last ratings change in October 2024 and 97.8% at KBRA's previous ratings change October 2021. The KDSC is 1.03x, compared to 1.09x at KBRA's last ratings change and 1.25x at KBRA's previous ratings change.

Details concerning the classes with rating changes are as follows:

  • Class A-S to BB (sf) from AA- (sf) DN
  • Class B to CCC (sf) from BBB (sf) DN
  • Class C to CC (sf) from CCC (sf) DN
  • Class EC to CC (sf) from CCC (sf) DN
  • Class D to C (sf) from CC (sf) DN
  • Class E to D (sf) from C (sf) DN
  • Class X-D to C (sf) from CC (sf) DN

To access ratings and relevant documents, click here.

Click here to view the report.

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Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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