Morningstar DBRS Places All Classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH Under Review With Negative Implication

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

-- Class A rated AAA (sf)
-- Class B rated AAA (sf)
-- Class C rated AA (high) (sf)
-- Class D rated AA (low) (sf)
-- Class X-EXT rated AA (sf)
-- Class E rated A (low) (sf)
-- Class F rated BBB (low) (sf)
-- Class G rated BB (low) (sf)
-- Class H rated B (low) (sf)

There are no trends for these credit ratings.

The underlying loan is collateralized by the borrower's fee-simple interest in 11 multifamily portfolios comprising 31 properties across the Bronx, Brooklyn, Queens, and Upper Manhattan boroughs of New York. The portfolio is highly exposed to rent-stabilized, affordable housing, which represents 86.9% of the total units. The loan allows for pro rata paydowns for the first 22.5% of the original principal balance and has release provisions, allowing the release of individual assets at 105.0% of the allocated loan amount (ALA) (aggregate prior releases must not exceed 25.0% of the original principal balance) and 110.0% of the ALA for the release of individual assets thereafter. There have been no property releases to date.

Morningstar DBRS has ongoing concerns with the underlying portfolio, which continues to struggle under increased operating expenses and limits on residential rent increases to offset the higher expense load. These factors, combined with the floating-rate nature of the underlying loan, have resulted in a low in-place debt service coverage ratio (DSCR). The loan transferred to special servicing in October 2024 for maturity default after the borrower was unsuccessful in meeting the requirements for exercising the first extension option in June 2024, which included the replacement of the in-place interest rate cap agreement and a minimum debt yield of 5.5% on the trust loan. The borrower missed the June 2025 loan payment and remains delinquent as of the July 2025 reporting. Workout discussions have been ongoing since November 2024; however, nothing concrete has been determined to date, according to the servicer.

At issuance, Morningstar DBRS derived a value of $468.6 million based on a capitalization rate of 6.25% and a Morningstar DBRS Net Cash Flow (NCF) of $29.3 million. Given the unknowns regarding the ultimate workout strategy, Morningstar DBRS considered a hypothetical liquidation scenario in the analysis for this review. That scenario utilized the issuance capitalization rate of 6.25% and the in-place YE2024 NCF of $29.9 million for a hypothetical as-is value of $430.7 million. The projected losses in the hypothetical liquidation scenario would erode the entire Class K-RR, J, and H Certificate balances and approximately 50.0% of the Class G Certificate balance. When the Loan-to-Value Ratio Sizing Benchmarks are updated with the hypothetical as-is value, the results suggest significant downward pressure through the middle and bottom of the capital stack. These results support the Under Review with Negative Implications designation for all classes with this review.

The sponsor for the loan is A&E Real Estate (A&E), a privately owned, New York-based real estate management and investment firm founded in 2011. A&E is involved in direct asset management, property management, and construction management for its portfolio, which is primarily focused on moderate- and low-income housing with ownership and management interests in more than 15,000 multifamily units throughout New York City.

The interest-only (IO) loan had two one-year extension options that are subject to the purchase of a replacement interest rate cap agreement, confirmation of no events of default, and the satisfaction of a debt yield of at least 5.5%. Based on the NCF reported by the servicer as of the YE2024 reporting, the debt yield was just 5.3%; the servicer confirmed that the borrower did not meet the requirements to exercise the first extension option.

Although occupancy across the portfolio has remained above 85.0% since 2019, with the most recent reporting reflecting cash flow that is relatively in line with the issuance figure; the Housing Stability & Tenant Protection Act of 2019, elevated inflation rates, and increasing operating expenses, which continue to outpace permitted rental rate increases for rent stabilized apartments, have, in some instances, critically impaired the value of rent-stabilized assets in New York City over the past five years.

As of December 2024, the portfolio was 92.7% occupied, a slight improvement from 89.7% at issuance. For the same period, the portfolio generated an NCF of $26.9 million (reflecting a DSCR of 0.59 times (x)), below the YE2023 figure of $27.4 million (a DSCR of 0.55x) and the Morningstar DBRS NCF of $29.3 million derived at issuance. While the servicer-reported financials reflect consistent growth in revenue, operating expenses have grown significantly (up by 18.0% over the Morningstar DBRS figure at YE2024), primarily driven by increases in utilities, property insurance, management fees, and professional fees. In addition, there has been downward pressure on the DSCR as a result of increased debt service obligations for the floating-rate loan, which have increased by approximately 4x from issuance.

Given the loss projections implied by the hypothetical liquidation scenario, and the unknowns regarding the loan's ultimate resolution and the general challenges faced by rent-stabilized assets in New York, the Under Review with Negative Implications designation is warranted. Morningstar DBRS will evaluate the increased credit risks for this as it continues to work to obtain information from the special servicer regarding the ultimate workout strategy for the loan.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025), https://dbrs.morningstar.com/research/454196.

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

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

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

The principal methodology is North American CMBS Surveillance Methodology (February 28, 2025), https://dbrs.morningstar.com/research/448963

Other methodologies referenced in this transaction are listed at the end of this press release.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info-DBRS@morningstar.com.

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

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

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

This is a solicited credit rating.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

Please see the 17g-7 disclosure report and/or the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

As applicable, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

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

DBRS Limited
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Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- North American Single-Asset/Single-Borrower Ratings Methodology (February 28, 2025), https://dbrs.morningstar.com/research/448962

-- North American Commercial Mortgage Servicer Rankings (August 23, 2024), https://dbrs.morningstar.com/research/438283

-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024), https://dbrs.morningstar.com/research/439702

-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064

-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025), https://dbrs.morningstar.com/research/450750

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.