Approximately $309 million of structured securities affected
downgraded the ratings on two classes of CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP, Commercial Mortgage Pass-Through Certificates, Series 2019-MFP as follows:
Cl. A, Affirmed Aaa (sf); previously on Jul 18, 2019 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Feb 9, 2022 Upgraded to Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Feb 9, 2022 Upgraded to A2 (sf)
Cl. D, Affirmed Baa2 (sf); previously on Feb 9, 2022 Upgraded to Baa2 (sf)
Cl. E, Downgraded to B2 (sf); previously on Feb 9, 2022 Confirmed at Ba3 (sf)
Cl. F, Downgraded to Caa2 (sf); previously on Feb 9, 2022 Confirmed at B3 (sf)
RATING RATIONALE
The ratings on the four P&I classes, Cl. A, Cl. B, Cl. C, and Cl. D, were affirmed because Moody’s loan-to-value (LTV) ratio was within an acceptable range. Furthermore, Cl. A has benefited from principal paydowns from prior property sales from the original portfolio.
The ratings on the two P&I classes Cl. E and Cl. F were downgraded due to an increase in Moody’s LTV as a result of the decline in the performance of the remaining properties. The loan was transferred to special servicing due to maturity default in July 2022. The occupancy and net cash flow (NCF) for the remaining properties has significantly declined since securitization. The loan has remained current through the April 2023 remittance statement, however, the NCF debt service coverage ratio (DSCR) on the remaining properties is below 1.00X.
In this credit rating action we considered qualitative and quantitative factors in relation to the senior-sequential structure and location and quality of the assets. We analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level.
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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan’s performance.
Factors that could lead to a downgrade of the ratings include a further decline in the actual or expected performance of the loan or interest shortfalls.
