DBRS Morningstar Places All Classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-410T Under Review with Negative Implications

DBRS, Inc. (DBRS Morningstar) placed all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-410T issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-410T Under Review with Negative Implications as follows:

-- Class A rated AAA (sf)
-- Class B rated AA (low) (sf)
-- Class C rated A (low) (sf)
-- Class D rated BBB (high) (sf)
-- Class HRR rated BBB (sf)
-- Class X-A rated AA (sf)

There are no trends for these rating actions.

The collateral is a 20-story, Class A office building in Manhattan on 10th Avenue between 33rd Street and 34th Street.

First Republic Bank is the second-largest tenant, occupying 33.5% of the net rentable area (NRA) on a lease through August 2036. First Republic Bank recently received a $30 billion deposit to stay afloat amid mass withdrawals following the collapse of Silicon Valley Bank and Signature Bank earlier this week. DBRS Morningstar’s issuance analysis included quantitative adjustments because First Republic Bank qualified as an investment-grade tenant on a long-term lease. Given the significant exposure to First Republic Bank, and the increased likelihood that it no longer qualifies as a long-term credit tenant in light of recent events, DBRS Morningstar has placed all ratings of this transaction on Under Review–Negative.

The building is well situated in the highly desirable Hudson Yards/Penn Station submarket with good commuter rail and subway hubs positioned to the east and west of the building. It was 97.4% occupied, according to the September 2022 rent roll. The largest tenant at the property is Amazon.com, Inc (Amazon) (53.1% of the NRA, lease expiry May 2037). First Republic Bank is the second-largest tenant, representing 33.5% of the NRA on a lease through September 2036. At issuance, DBRS Morningstar noted that both Amazon and the property’s third-largest tenant, Related (11.3% of the NRA, lease expiry in 2045), have termination options. Starting in 2030 and every subsequent five years, Related can terminate the lease with 18 months’ notice with no termination penalty. Amazon will be eligible to exercise its one-time termination option in 2032, the year of loan maturity. Amazon’s termination fee would be equal to the sum of unamortized brokerage commissions, landlord’s contribution, rent abatement applicable to terminated premises and six months’ fixed annual rent for the terminated premises.

The servicer reported net cash flow for the nine-month period ended September 2022 is $34.4 million, equating to an annualized debt service coverage ratio (DSCR) of 2.10 times (x), lower than the DBRS Morningstar DSCR of 3.03x derived at issuance. In the coming weeks, DBRS Morningstar will assess the potential impact of the most recent banking crisis on the credit quality of the underlying property.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

Class X-A is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is North American CMBS Surveillance Methodology (March 16, 2023) which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

This rating is Under Review with Negative Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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