KBRA Downgrades Two Ratings and Affirms All Other Ratings for JPMBB 2015-C32
4 Oct 2024 | New York
KBRA downgrades the ratings of two classes of certificates and affirms all other outstanding ratings of JPMBB 2015-C32, a $712.4 million CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has exhibited an increase in estimated losses from eight K-LOCs (38.7% of the pool balance), six of which are within the top 10 assets, since KBRA's last rating adjustment in October 2021. The downgrades also reflect the transaction’s susceptibility to interest shortfalls reaching higher in the capital structure given the large balance of specially serviced assets.
As of the September 2024 remittance report, there are five specially serviced assets (31.1% of the current pool balance), including four REO assets (21.5%) and one delinquent loan (9.6%). KBRA identified 15 K-LOCs (49.0%), including the specially serviced assets. These include seven top 10 loans:
- Civic Opera Building (largest, 9.6% of the pool balance, 96.7% estimated loss severity)
- Hilton Suites Chicago Magnificent Mile (2nd largest, 9.1%, 49.0%)
- Palmer House Retail Shops (3rd largest, 8.1%, 101.0%)
- Gateway Business Park (4th largest, 6.6%)
- One Shell Square (6th largest, 4.3%, 10.6%)
- Hilton Atlanta Perimeter (8th largest, 3.6%, 57.1%)
- The Outlet Shoppes at Gettysburg (9th largest, 2.8%, 30.1%)
Two other K-LOCs have estimated losses:
- Market Square at Montrose (0.7%, 72.5%)
- International Design Center (0.6%, 18.1%)
The remaining six K-LOCs do not have estimated losses and represent 3.6% of the pool.
Excluding the K-LOCs with estimated losses, the transaction's WA KLTV is 90.4%, compared to 90.2% at last review and 97.8% at KBRA's last ratings change in October 2021. The KDSC is 1.09x, compared to 1.24x at last review and 1.25x at KBRA's last ratings change.
Details concerning the classes with ratings changes are as follows:
- Class A-S to AA- (sf) from AAA (sf)
- Class B to BBB (sf) from A (sf)
To access rating and relevant documents, click here.
Click here to view the report.