KBRA Downgrades Six Classes and Affirms All Other Ratings for JPMBB 2015-C31

KBRA downgrades the ratings of six classes of certificates and affirms all other outstanding ratings for JPMBB 2015-C31, a $759.9 CMBS conduit transaction. The rating actions follow a surveillance review of the transaction, which has seen a worsening in pool performance primarily driven by an increase in KBRA's estimated losses on three K-LOCs (24.0% of the pool balance). However, the pool has benefited from deleveraging from loan payoffs, amortization, and defeasance, reducing some of the risk among higher rated classes.

As of the June 2024 remittance period, there are five specially serviced loans (24.9% of the pool balance), of which four (24.2%) are delinquent and one (0.7%) is REO.

KBRA identified 11 loans (34.9%) and one REO asset (0.7%) as K-LOCs. This includes five top 10 loans (30.4%):

Civic Opera Building (largest, 10.6% of the pool balance, 94.8% estimated loss severity)
Sunbelt Portfolio (3rd largest, 8.4%, 34.1%)
Highland Landmark I (5th largest, 5.0%, 28.8%)
Airport North Portfolio (6th largest, 4.8%)
Midway Commons (10th largest, 1.6%)

Three other K-LOCs have estimated losses (2.7%):

Parkwood I & Willowbrook I & II Portfolio (1.2%, 41.8%)
835 Heights (0.8%, 16.6%)
Mill Street Lofts (0.7%, 57.9%)

Details concerning the classes with ratings changes are as follows:

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

KBRA Downgrades Six Classes and Affirms All Other Ratings for JPMBB 2015-C31

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