Approximately $899.3 million of structured securities affected
New York, September 30, 2020 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on twelve classes in JPMBB Commercial Mortgage Securities
Trust 2014-C24.
Cl. A-2, Affirmed Aaa (sf); previously on Nov
25, 2019 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Nov
25, 2019 Affirmed Aaa (sf)
Cl. A-4A1, Affirmed Aaa (sf); previously on Nov
25, 2019 Affirmed Aaa (sf)
Cl. A-4A2, Affirmed Aaa (sf); previously on Nov
25, 2019 Affirmed Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Nov
25, 2019 Affirmed Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Nov
25, 2019 Affirmed Aaa (sf)
Cl. A-S, Affirmed Aa1 (sf); previously on Nov
25, 2019 Affirmed Aa1 (sf)
Cl. B, Affirmed Aa3 (sf); previously on Nov 25,
2019 Affirmed Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Nov 25,
2019 Affirmed A3 (sf)
Cl. EC**, Affirmed A1 (sf); previously on Nov
25, 2019 Affirmed A1 (sf)
Cl. X-A*, Affirmed Aa1 (sf); previously on
Nov 25, 2019 Affirmed Aa1 (sf)
Cl. X-B-1*, Affirmed Aa3 (sf); previously
on Nov 25, 2019 Affirmed Aa3 (sf)
* Reflects interest-only classes
** Reflects exchangeable classes
RATINGS RATIONALE
The ratings on nine P&I classes were affirmed because the transaction's
key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable ranges.
The ratings on two IO classes were affirmed based on the credit quality
of their referenced classes.
The rating on the exchangeable class was affirmed due to the credit quality
of the referenced exchangeable classes.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of commercial real estate
from the current weak US economic activity and a gradual recovery for
the coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high. Stress on commercial real estate
properties will be most directly stemming from declines in hotel occupancies
(particularly related to conference or other group attendance) and declines
in foot traffic and sales for non-essential items at retail properties.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
Moody's rating action reflects a base expected loss of 8.4%
of the current pooled balance, compared to 4.8% at
Moody's last review. Moody's base expected loss plus realized
losses is now 7.2% of the original pooled balance,
compared to 4.1% at the last review. Moody's
provides a current list of base expected losses for conduit and fusion
CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except exchangeable classes
and interest-only classes were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778
and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579.
The principal methodology used in rating exchangeable classes was "Moody's
Approach to Rating Repackaged Securities" published in June 2020 and available
at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1230078.
The methodologies used in rating interest-only classes were "Approach
to Rating US and Canadian Conduit/Fusion CMBS" published in September
2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1244778,
"Moody's Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1190579,
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *) and exchangeable
classes (indicated by the **). Alternatively, please
see the Rating Methodologies page on www.moodys.com for
a copy of these methodologies.
DEAL PERFORMANCE
As of the September 17, 2020 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 15% to $1.08
billion from $1.27 billion at securitization. The
certificates are collateralized by 44 mortgage loans ranging in size from
less than 1% to 10.6% of the pool, with the
top ten loans constituting 68.4% of the pooled loan balance.
Six loans, constituting 5.0% of the pool, have
defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan sizes,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 16,
the same as at the Moody's last review.
As of the September 17, 2020 remittance report, loans representing
79.1% were current or within their grace period on their
debt service payments, 0.3% were between 30 --
59 days delinquent, 11.3% were 60 -- 89 days
delinquent and 9.4% were greater than 90 days delinquent
or REO.
Nine loans, constituting 23.2% of the pool,
are on the master servicer's watchlist. The watchlist includes
loans that meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues that
could affect performance.
No loans have been liquidated from the pool since securitization.
Four loans, constituting 20.6% of the pool,
are currently in special servicing. Three of the specially serviced
loans, representing 14.3% of the pool, have
transferred to special servicing since May 2020.
The largest loan in special servicing is the 635 Madison Avenue Loan ($88.7
million -- 8.2% of the pool), which
is secured by a leasehold interest in a 19 story Class A office building
with ground floor retail located at the northeast corner of 59th Street
and Madison Avenue in the Plaza District of Midtown Manhattan.
The office portion encompasses approximately 156,000 square foot
(SF) (88.1% of NRA) of the building with the remainder of
the property comprised of retail space on mezzanine level and ground floor
levels. The retail portion of the property represented approximately
41% of the base rental revenue in 2019 and the two largest retail
tenants are Suit Supply (lease expiration in 2030) and Baccarat (lease
expiration in May 2023). The loan transferred to special serving
in August 2020 in relation to the coronavirus outbreak and is last paid
through its June 2020 payment date. Through year-end 2019
the property performance had been declining over the last two years primarily
due to higher operating expenses. Furthermore, as of March
2020 the property's occupancy was 78%, compared to
84% as of December 2019 and 94% at securitization.
The special servicer is currently evaluating resolution options.
The second largest loan in special servicing is the North Riverside Park
Mall Loan ($67.9 million -- 6.3%
of the pool), which is secured by a 429,038 million SF portion
of a 1,070,233 SF regional mall located in North Riverside,
Illinois, approximately nine miles southwest of the Chicago CBD.
The loan was transferred to the special servicer in August 2019 due to
imminent maturity default and the borrower was unable to payoff the loan
at its October 2019 maturity date. At securitization, the
non-collateral anchors included JC Penney (266,275 SF),
Sears (199,544 SF) and Carson Pirie Scott (180,588 SF).
However, Carson Pirie Scott closed its location last year and Sears
also closed in September 2020. The property is currently anchored
by JC Penney and a Round1 (located in the lower portion of the former
Sear's space). As of July 2019, the collateral occupancy
was 89% and the inline space (<10,000 SF) was 87%
leased. The loan has passed its maturity date, however,
the borrower continued to make debt service payments through the August
2020 remittance date. The property's November 2019 appraisal
value was significantly lower in November 2019 as compared to securitization
and the master servicer has recognized an appraisal reduction of $22.4
million. The special servicer is currently dual tracking modification
discussions with foreclosure proceedings.
The third largest loan in special servicing is the Hilton Houston Post
Oak Loan ($33.3 million -- 3.1% of the
pool), which represents a pari passu portion of a $76.2
million mortgage loan. The loan is secured by 448 key full-service
hotel located in Houston, Texas, near the Houston Galleria
shopping area. The loan was transferred to special servicing in
May 2020 as a result of performnace issues in connection with the coronavirus
outbreak. While property performance has been stable since 2016,
the property performance has declined significant from securitization
levels. The 2019 NOI DSCR was 1.39X, however,
it was 34% below the full year 2015 NOI primarily due to lower
revenue per available room (RevPAR). The loan is last paid through
the April 2020 payment date and the special servicer is currently pursuing
with foreclosure.
The remaining specially serviced loan is secured by two retail properties
in Troy, Michigan (3.0% of the pool). As of
the September remittance date, the loan was last paid through June
2020, however, the servicer has recently approved a loan modification.
Property performance had been stable through year-end 2019 and
due to the performing nature this loan was included in the conduit statistics
below.
Moody's has also assumed a high default probability for one poorly performing
loan secured by a retail center in Fort Wayne, IN, representing
1.5% of the pool. The property had suffered from
low DSCR in 2019 due to a decline in occupancy. Moody's has
estimated an aggregate loss of $55 million (27% expected
loss on average) from the troubled loan and specially serviced loans.
Moody's received full year 2019 operating results for 98% of the
pool and partial year 2020 operating results for 69% of the pool.
Moody's weighted average conduit LTV is 112%, compared to
109% at Moody's last review. Moody's conduit component excludes
loans with structured credit assessments, defeased and CTL loans,
and troubled loans and the largest three specially serviced loans.
Moody's net cash flow (NCF) reflects a weighted average haircut of 16%
to the most recently available net operating income (NOI). Moody's
value reflects a weighted average capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.71X and 0.96X,
respectively, compared to 1.69X and 0.96X at the last
review. Moody's actual DSCR is based on Moody's NCF and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stress rate the agency applied to the loan
balance.
The top three conduit loans represent 29.9% of the pool
balance. The largest loan is the Grapevine Mills Loan ($115.0
million -- 10.6% of the pool), which
is secured by a 1.34 million SF component of a 1.63 million
SF super-regional mall located in Grapevine, Texas.
The loan represents a pari passu portion of a $268 million mortgage
loan. The property is located approximately 10 miles north of Dallas/Fort
Worth International Airport and contains a mix of outlets, traditional
retailers and entertainment related venues. The largest tenants
include Fieldhouse USA, Burlington Coat Factory, and Round
1 Bowling. The property also includes a 30-screen AMC Theatres.
As of March 2020, the property was 94% leased, the
same as in December 2019 and compared to 85% at securitization.
For the year ending December 2018, in-line sales per square
foot for comparable stores less than 10,000 SF were $411
per SF, compared to $407 per SF for the prior year.
Property performance has continued to improve since securitization due
to higher rental revenues. The loan is interest only for the entire
10-year term Moody's LTV and stressed DSCR are 73% and 1.38X,
respectively, compared to 71% and 1.38X at the last
review.
The second largest loan is the Mall of Victor Valley Loan ($115.0
million -- 10.6% of the pool), which
is secured by a 477,000 SF component of a 575,000 SF enclosed
regional mall located in Victorville, California. The property
was built in 1986 and is located approximately 20 miles north of San Bernardino
and 50 miles northeast of downtown Los Angeles. The current anchors
are Macy's (non-collateral), J.C. Penney,
16-screen Cinemark and Dick's Sporting Goods. One prior
anchor, a former Sears (16.4% of NRA, 5%
of property's base rent) closed its store in February 2020.
As of June 2020, the property was 98% leased (however,
excluding Sears occupancy would drop to 81%), compared to
98% in June 2019 and 97% at securitization. The 2019
reported NOI DSCR was 2.55X, compared to 2.43X at
securitization. The loan is the interest only for the entire 10-year
term. Moody's LTV and stressed DSCR are 120% and 0.88X,
compared to 107% and 0.96X at the last review.
The third largest loan is the Columbus Square Portfolio Loan ($93.3
million -- 8.6% of the pool), which
is secured by five mixed-use buildings containing approximately
500,000 SF located on the Upper West Side neighborhood of New York,
NY. The loan represents a pari passu portion of a $388 million
mortgage loan. The property contains 31 condominium units at 775,
795, 805, 808 Columbus Avenue and 801 Amsterdam Avenue.
The retail component, which contains approximately 276,000
SF is anchored by a Whole Foods, TJ Maxx, HomeGoods and Michael's.
As of December 2019, the property was 95% leased, compared
to 99% in June 2019 and 96% in December 2017. Furthermore,
Target recently signed a lease to occupy 25,000 SF at the 795 Columbus
Avenue location for the next 15 years. Property performance has
been stable and the NOI has marginally improved since securitization.
The loan has amortized 3% after an initial interest only period.
Moody's LTV and stressed DSCR are 126% and 0.69X,
respectively, compared to 128% and 0.68X at the last
review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Dariusz Surmacz
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Matthew Halpern
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
