Press Release|CMBS

KBRA Affirms All Ratings for JPMCC 2015-FRR2

23 May 2024   |   New York


KBRA affirms all of its outstanding ratings for JPMCC 2015-FRR2, a re-securitization of six certificates from two separate securitizations issued in conjunction with the Federal Home Loan Mortgage Corporation’s (Freddie Mac) Capital Markets Execution (CME) program including FREMF 2014-K36 (K36) and FREMF 2014-K39 (K39), the underlying trusts. The rating actions follow a surveillance review of each of the underlying trusts, FREMF 2014-K36 which paid off in November 2023 and FREMF 2014-K39 which has exhibited improvements in pool performance since KBRA's last ratings change in August 2022. However, the magnitude of the changes does not warrant rating adjustments at this time.

JPMCC 2015-FRR2 is the re-securitization of four principal only certificates and two principal and interest certificates from FREMF 2014-K36 and FREMF 2014-K39 (the underlying trusts). The re-securitization trust certificates (trust certificates) were issued in two separate groups, with each group corresponding to one underlying trust. Cash flow from the collateral securities is used to pay the rated trust certificates from its corresponding group after required allocations for trust expenses and fees. A group’s certificates will not be entitled to amounts received by the trust for any other group. The trust certificates related to the FREMF 2014-K36 (K36) underlying trust paid off in full in November 2023. There are three remaining trust certificates related to FREMF 2014-K39. Two are entitled to principal only payments, and one class is entitled to principal and interest (P&I) payments.

The remaining P&I trust certificate (A-K39) is entitled to distributions of both principal and interest. However, the amount of interest distributable to these trust certificates on any distribution date will be equal to the amount of interest received on the interest only collateral securities from the related underlying trust for the corresponding distribution date. If no interest is received in respect of the interest only collateral securities from the related underlying trust, then the interest entitlement for the P&I trust certificate in the related group will be $0.00 for such distribution date.

In the FREMF 2014-K39 remaining underlying trust, as of the April 2024 remittance period, none of the loans are specially serviced or delinquent. In addition, 45 loans in K39 (47 properties, 60.2% of the K39 pool balance) are fully defeased. For information on the FREMF 2014-K39 (K39) underlying trust please refer to the FREMF 2014-K39 May 2024 Surveillance Report.

Rating Sensitivities

Future ratings actions will be dependent upon the ability of the remaining loans to pay off as the loans in the transaction are approaching their maturity in the near term. However, rating changes can occur for a variety of reasons that are not dependent upon maturity defaults and subsequent losses. For example, unforeseen trust expenses that cause recurring interest shortfalls to the securities could prompt negative rating changes.

To access rating and relevant documents, click here.

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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

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency 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 by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Doc ID: 1004198

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