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KBRA downgrades Five Ratings, Removes Three Ratings From Watch Downgrade Status, and Affirms All Other Ratings for JPMDB 2016-C2

17 Apr 2026   |   New York

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KBRA downgrades the ratings of five classes of certificates and affirms all other outstanding ratings for JPMDB 2016-C2. Simultaneously, KBRA removes the ratings on Classes D, E, and F, from Watch Downgrade (DN) where they were placed in January 2026 due to an increase in interest shortfalls. The CMBS transaction has been reduced to 14 loans with a balance of $385.6 million from 30 loans and $892.8 million at securitization.

The rating actions are based on KBRA’s identification of eight K-LOCs (78.8% of the outstanding collateral balance); our estimate of total principal losses of $88.9 million and the resulting loss-adjusted credit enhancement-levels; historical accumulated losses of $9.1 million; and current interest shortfalls of $7.2 million that are affecting classes B and below;and maturity risk, as each remaining loan will reach maturity by May. We also considered the possibility that shortfalls could increase while the servicer resolves the transaction’s specially serviced assets.

As of the March 2026 remittance period, there are five specially serviced assets (43.9%), of which four (29.6%) are matured non-performing and one (14.3%) is 90+ days delinquent. KBRA identified eight K-LOCs (78.8%), including the specially serviced assets. Of the K-LOCs, six (74.9%) have estimated losses. The K-LOCs are depicted in the table below:

K-LOCs Loss Given Default (000s) Loss Severity 1 Quaker Bridge Mall RT 83,333 21.6% N C N Lease Rollover 11/02/2020 $25,867 31.0% 3 100 East Pratt OF 55,252 14.3% Y 90+ N Foreclosure 12/03/2020 $42,404 76.7% 5 Williamsburg Premium Outlets RT 50,000 13.0% Y NPM Y Modification 12/29/2025 $7,961 15.9% 6 Four Penn Center OF 44,194 11.5% N C N Occupancy 03/14/2025 $538 1.2% 8 DoubleTree Houston Intercontinental Airport LO 37,970 9.8% Y NPM N Non-Performing Maturity Balloon 03/26/2020 $25,639 67.5% 19 Legends at Kingsville MF 18,027 4.7% Y NPM N Non-Performing Maturity Balloon 10/07/2021 $6,226 34.5% 24 Bella Vista MF 8,002 2.1% Y NPM N Non-Performing Maturity Balloon 03/31/2026 - - 25 Heights Boulevard Portfolio MF 6,998 1.8% N C N DSCR 09/10/2024 - - Total K-LOCs $303,777 78.8% $108,635 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. KBRA Estimated 2 Prosp. ID Loan Name Prop Type Current In- Trust Balance (000s) % of Deal Balance SS Loan Status Mod (Y/N) Primary K-LOC Reason K-LOC Date 1
Source: KBRA

Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 93.3%, compared to 87.7% at last review and 94.6% at issuance. The KDSC is 1.39x, compared to 1.74x at last review, and 1.90x at issuance.

KBRA's rating actions are as follows:

Ratings downgraded and removed from Watch Downgrade:

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

Ratings Affirmed:

  • Class A-4 at AAA (sf)
  • Class A-S at AAA (sf)
  • Class X-A at AAA (sf)
  • Class X-B at AAA (sf)
  • Class X-C at AAA (sf)

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publication

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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