Morgan Stanley Capital I Trust 2019-MEAD

Presale: Morgan Stanley Capital I Trust 2019-MEAD

November 13, 2019

PRIMARY CREDIT ANALYST

Preliminary Ratings Sahil Kundra Centennial LTV ratio Market value Debt yield + 1 (303) 721 4203 Class Preliminary rating(i) Preliminary amount ($) (%)(ii) decline (%)(iii) (%)(iv) sahil.kundra A AAA (sf) 297,065,000 42.49 73.94 15.30 @spglobal.com

X-A(v) AAA (sf) 297,065,000 (vi) N/A N/A N/A SECONDARY CONTACT

B AA- (sf) 69,920,000 52.49 67.81 12.38 Dennis Q Sim New York C A- (sf) 52,440,000 59.99 63.21 10.83 (1) 212-438-3574 D BBB- (sf) 64,315,000 69.19 57.57 9.39 dennis.sim @spglobal.com E NR 100,510,000 83.57 48.75 7.78

RR interest(vii) NR 30,750,000 N/A N/A N/A

This presale report is based on information as of Nov. 13, 2019. The ratings shown are preliminary. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed as evidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The rating on each class of securities is preliminary and subject to change at any time. The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Based on S&P Global Ratings' value. (iii)Reflects the decline in the $735.9 million as-is appraised value that would be necessary to experience a principal loss at the given rating level. (iv)Based on S&P Global Ratings' net cash flow. (v)Interest-only. (vi)Notional balance. The notional amount of the class X-A certificates will be equal to the certificate balance of the class A certificates. (vii)Non-offered vertical risk retention certificates, which will be retained by Morgan Stanley Bank N.A. as the retaining sponsor. LTV ratio--Loan-to-value ratio, based on S&P Global Ratings' values. RR--Risk retention. N/A--Not applicable. NR--Not rated.

Profile

Expected closing Nov. 26, 2019. date

Loan A $615.0 million five-year fixed-rate interest-only mortgage loan.

Collateral The mortgage loan is secured by the fee interest in Park Meadows Mall, an approximately 1.6 million-sq.-ft. super regional shopping center located in Lone Tree, Colo., of which approximately 763,000 sq. ft. serves as collateral for the loan.

Payment structure Principal payments will be made sequentially: first to the class A, then B, then C, then D, and then E certificates. The issuer will make interest payments on the certificates first to the class A and X-A certificates, pro rata, based on the interest due, and then sequentially to the class B, then C, then D, and then E certificates. Realized losses are allocated in reverse sequential order starting with the class E certificates. Principal and interest payments, as well as any realized losses, will be allocated pro rata to the certificates and the RR interest certificates based on their applicable percentage.

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© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimer 2338717 on the last page. Presale: Morgan Stanley Capital I Trust 2019-MEAD

Profile (cont.)

Mortgage loan Morgan Stanley Mortgage Capital Holdings LLC. originator, seller, and sponsor

Borrower Park Meadows Mall LLC. (a recycled SPE).

Borrower' sponsor Brookfield Property REIT Inc.

Master Servicer Midland Loan Services, a division of PNC Bank N.A.

Special servicer Midland Loan Services, a division of PNC Bank N.A.

Trustee and Wells Fargo Bank N.A. certificate administrator

RR--Risk retention. SPE--Special purpose entity. REIT--Real estate investment trust.

Rationale

The preliminary ratings assigned to Morgan Stanley Capital I Trust 2019-MEAD's commercial mortgage pass-through certificates series 2019-MEAD reflect S&P Global Ratings' view of the collateral's historic and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. We determined that the mortgage loan has a beginning and ending loan-to-value (LTV) ratio of 83.6%, based on S&P Global Ratings' value.

Strengths

The transaction exhibits the following strengths:

- The mortgage loan has a strong debt service coverage (DSC) of 2.41x, calculated using the 3.19% fixed rate coupon and our in-place net cash flow (NCF) of $47.8 million for the property, which is 9.2% lower than the issuer's NCF.

- The mortgage loan has a moderate leverage with an 83.6% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 38.7% lower than the appraiser's as-is valuation of $1.2 billion. Including mezzanine loan of $85.0 million, the S&P Global Ratings LTV ratio increases to 95.1%.

- The mall generally maintains good market position within the respective trade area, and captures approximately 24% market share of general merchandise, apparel, furniture, and other miscellaneous (GAFO) sales. According to the appraiser, the primary trade area within a six-mile radius has an aggregate household income of approximately $17.0 billion, with an estimated $1.9 billion spent on GAFO items. The mall's ability to capture a high level of trade area sales is a good indication of the collateral's performance.

- Based on sales information provided by the issuer, comparable sales, excluding Apple and Tesla for in-line tenants, has steadily held around $700 per sq. ft. with 2017 sales at $715 per sq. ft., 2018 sales at $695 per sq. ft., and trailing 12 months sales ending Sept. 30, 2019 at $701 per sq. ft.

- The loan benefits from the property's good location, situated on 101.9 acres in the city of Lone Tree, Colorado, which is part of greater Denver core-based statistical area (CBSA) area. Located

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in Douglas County, this area, according to the appraiser, has seen compound annual growth between 2000 to 2019 of 0.52% in population and 2.13% in average household income. The area is one of the primary commercial/retail hubs for the Denver CBSA.

- The mortgage loan and mezzanine loan, along with sponsor equity of about $211.5 million, was used to recapitalize the ownership structure and refinance a prior mortgage loan totaling $360 million. Prior to the recapitalization, Brookfield Property REIT Inc. (BPR) owned 35.0% of the equity interests in the property in a joint venture with JP Morgan Asset Management.

- The loan benefits from the institutional sponsorship of BPR (BBB-/Stable). BPR is headquartered in Chicago, owned by affiliates of Brookfield Asset Management, and ranks among the largest retail real estate companies in the U.S., with approximately $90.0 billion in total assets.

- The collateral occupancy rate is approximately 96.3% as of September 2019. The in-line occupancy rate at the property has remained in the mid 90% range since 2015, ranging between 95.8% and 98.2%. The current occupancy as calculated by S&P Global ratings is 90.1%. The variance is primarily due to Forever 21 (31,596 sq. ft., 4.1%) that we have assumed to be vacant.

- The property has a diverse tenant mix of over 130 tenants, ranging from national anchors (over 50,000 sq. ft.), major retailers (10,000 sq. ft. to 50,000 sq. ft.), and in-line retailers (less than 10,000 sq. ft.). The diverse income lowers the risk of sudden drops in the loan's capacity to meet its debt service obligations. Based on our calculation, no single tenant generates more than 4.0% of the in-place base rent. Dick's Sporting Goods and Crate & Barrel contribute the most to base rent by our calculation, with approximately 3.5% and 3.2%, respectively.

- Recent re-leasing spreads for in-line and food court spaces in year-to-date 2019 are generally positive. Based on our calculations, the re-leasing spread was a positive 5.1% in 2019. Additional information on re-leasing spreads are discussed below in the Recent Property Leasing section.

- Based on the appraiser's provided comparable malls, Park Meadows remains the dominant mall in the region, and we agree with this assessment. The appraiser noted Cherry Creek mall, The Streets at SouthGlen, Southwest Plaza, and Town Center at Aurora as the main competitive centers. However, with the exception of Cherry Creek, which has comparable performance to Park Meadows, all of the other competitors have lower sales per sq. ft. and higher vacancy rates. In addition, The Streets at SouthGlen and Town Center at Aurora have Sears as an anchor, which has either closed or is on the store closure list.

- The transaction is structured so that the borrower is responsible for expenses that would typically result in shortfalls to the certificate holders, such as special servicing, work-out, and liquidation fees, as well as costs and expenses for appraisals and inspections that the special servicer conducts. In addition, if deemed recoverable from the liquidation proceeds, the servicer must make administrative advances to cover interest shortfalls from these expenses if the borrower does not make timely payments (provided the collateral has sufficient value), which we believe will help avoid or mitigate shortfalls to the certificate holders.

Risk Considerations

The risks we considered for this transaction include the following:

- The transaction is concentrated by sponsor and property type because the collateral consists of a super-regional mall sponsored by BPR. We accounted for this concentration when

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assessing the underlying property and the loan. Moreover, the borrower is structured as a bankruptcy-remote special-purpose entity (SPE).

- The mortgage loan is interest-only for its entire term, meaning there will be no scheduled amortization during the loan term. We accounted for this by applying a (2.5%) LTV threshold adjustment across the capital structure.

- In addition to the mortgage loan, there is $85.0 million of mezzanine loans. The mortgage and mezzanine loans have a combined S&P Global Ratings' LTV ratio of 95.1%. The comparably weaker credit metrics for the combined debt exposes the trust loan to a higher default risk. Therefore, we applied a negative 2.5% LTV threshold adjustment at each rating level to account for this risk.

- The property has noteworthy rollover risk during the loan term with 41.9% of the net rentable area and 50.5% of S&P Global Ratings' calculated in-place gross rent expiring. The largest tenant exposures during the loan term are Gap/Gap Kids, Banana Republic, and Pottery Barn, which contribute between 2.4% and 2.2% of base rent each, per our calculation. All three tenants have leases that expire in 2020 and 2021.

- We noted that there is a Forever 21 (31,596 sq. ft., 4.1%) at the property. Forever 21 has recently filed for chapter 11 bankruptcy and has announced store closures nationwide. However, this store at Park Meadows is not on the store closure list. In addition, the issuer mentioned during the site visit that while there would be possible downsizing of the store, given the prime location of the store, re-leasing the space could actually be beneficial.

- The transaction relies on springing cash management, allowing the borrower to control funds until specific events are triggered under the mortgage loan. During such a period, defined as an event of default (EOD) or when debt yield for the mortgage falls below 8.25% (or 7.25% for the total loan), the borrower will be required to deposit with the lender funds into a tax and insurance escrow, a replacement reserve, and a rollover reserve. During a cash sweep period, defined as an EOD or when debt yield for the mortgage falls below 7.68% (or 6.75% for the total loan), all excess cash will be held by the lender as additional collateral for the loan. This weakness is mitigated by the presence of a hard in-place lockbox.

- Brick and mortar retail has come under substantial pressure in recent years as online shopping, particularly Amazon.com Inc., continues to upend traditional shopping experiences. Many household names have been forced to alter their strategies, close underperforming locations, or even declare bankruptcy. However, high-performing super regional shopping centers should be more resilient because they have diverse tenants and strong sponsorship and serve larger trade areas. We considered recent industrywide and property-specific trends and the likely continued stress over the foreseeable future in brick-and-mortar retail when determining our sustainable cash flow and value.

- According to the appraisal report, the non-collateral anchors at the property, Nordstrom, Dillard's, Macy's, and J.C. Penney, have sales per sq. ft. of $408, $137, $220, and $95, respectively, as of June 2019. While Macy's Dillard's sales are comparable to the chain-wide averages (See table 1 below), Nordstrom and J.C. Penney sales at Park Meadows underperformed their chain-wide averages. However, both anchors have been at the property since the late 1990s and own their own improvements.

- Although the SPE borrower is structured with a non-consolidation opinion and two independent directors, the independent directors can be removed without cause with two business days' notice.

- There is no warm-body guarantor for nonrecourse carve-out related to "bad-boy" acts or

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voluntary bankruptcy. In our view, this limitation generally lessens the disincentive provided by a full nonrecourse carve-out.

- The transaction documents include provisions for the transaction parties to seek rating agency confirmation (RAC) that certain actions will not result in a downgrade or withdrawal of the then-current ratings on the securities. The definition of RAC in the transaction documents includes an option for the transaction parties to deem their RAC request satisfied if, after having delivered a RAC request, the transaction parties have not received a response to the request within a certain period of time. We believe it is possible for a situation to arise where an action subject to a RAC request would cause us to downgrade our rating on the securities in accordance with our ratings methodology even though a RAC request is deemed to be satisfied per this option.

Collateral Description And Site Visit Commentary

Park Meadows is an approximately 1.6 million-sq.-ft. super regional shopping center mall situated on 101.9 acres in Lone Tree, Colo. Of the mall's total square footage, approximately 763,000 sq. ft. serve as the loan's collateral. The property was built in 1996 and renovated/expanded in 2008.

S&P Global Ratings toured the property on Nov. 4, 2019, with representatives of the sponsorship. The mall was generally busy at the time of the site visit. We noted a couple of vacant store fronts; however, they make up a small percentage of the collateral. The property has a good location, with a dedicated exit off Interstate 25, leading shoppers directly to the mall from the highway. There is also a dedicated local train transit stop at the mall.

The mall's retail demand comes from local residents as well as the offices around the property. The mall is located in Douglas County, which has seen a growth in population and, according to the appraiser, has seen compound annual growth between 2000 to 2019 of 0.52% in population and 2.13% in average household income. The mall is one of the two super-regional malls in the Denver CBSA and caters primarily to the southern suburbs of Denver CBSA.

The mall has a generally elongated design and configuration. Dillard's, J.C. Penney, and Dick's Sporting Goods are at the northern entrance of the property, and Nordstrom and Macy's are at the southern entrance. Toward the western portion of the mall is The Vistas at Park Meadows, which is an open-air lifestyle expansion wing that was formerly a Lord & Taylor department store. The Vistas have outparcel restaurants like Yard House, The White Chocolate Grill, and Perry's Steakhouse in addition to other retailers such as American Girl, Orvis, and Starbucks. Forever 21 is located at The Vistas wing. The issuer mentioned during the site visit that while there would be possible downsizing of the store, given the prime location of the store, re-leasing the space could actually be beneficial. In addition, as part of our analysis, we have marked the tenant as vacant and did not account for any rent from the space.

The property currently features five anchors, with Nordstrom, Dillard's, Macy's, and J.C. Penney being tenant-owned and not part of the loan collateral. Dick's Sporting Goods is the only anchor that is part of the collateral for the loan. According to the appraisal report, Nordstrom, Dillard's, Macy's, and J.C. Penney have sales per sq. ft. of $408, $137, $220, and $95, respectively, as of June 2019 (see table 1). While Macy's and Dillard's sales are comparable to the chain wide averages, Nordstrom and J.C. Penney sales at Park Meadows underperformed their chain wide averages. It should be noted that while Nordstrom's sales as of June 2019 were $408 per sq. ft., compared to $509 per sq. ft. chain-wide, this is partially due to the fact that Nordstrom's chain-wide averages include Nordstrom Rack. According to the issuer, however, the Nordstrom store at Park Meadows is one of the highest grossing Nordstrom store within BPR's portfolio. Both

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non-collateral anchors have been at the property since the late 1990s and own their own improvements.

Table 1

Park Meadows Anchor Tenant Sales

Year-end 2017 sales Year-end 2018 sales June 2019 sales 2018 chain-wide average Tenant Sq. ft. per sq. ft. ($) per sq. ft. ($) per sq. ft. ($) sales per sq. ft. ($)

Nordstrom(i) 225,000 438 408 408 509(ii)

Dillard's(i) 250,000 138 137 137 130

Macy's(i) 200,000 249 220 220 198

J.C. 148,000 95 95 95 122 Penney(i)

(i)Non-collateral (ii)Comparable store sales include Nordstrom Rack stores.

The property includes seven major tenants that each occupies between 10,000 and 35,000 sq. ft.--GAP/GAP KIDS, Apple, Victoria's Secret, Pottery Barn, L.L. Bean, Crate & Barrel, and Arhaus Furniture--that in aggregate comprise 15.6% of the collateral square footage. These major tenants generate 15.2% of the total base rent, as calculated by S&P Global Ratings. GAP/GAP KIDS, Pottery Barn, L.L. Bean, and Arhaus Furniture have leases that expire within the loan term.

Tenant Rollover and Sales

The property has noteworthy rollover risk during the loan term with 41.9% of the net rentable area and 50.5% of S&P Global Ratings' calculated in-place gross rent expires (see table 2). The figures below include certain units that we have marked as vacant due to the category of income being generated from the unit. The largest tenant exposure during the loan term are Gap/Gap Kids, Banana Republic, and Pottery Barn, which contribute between 2.4% and 2.2% of base rent, per our calculation. All three tenants have leases that expire in 2020 and 2021.

Table 2

Park Meadows Tenant Rollover

Year # of Leases NRA % SF % of in-place gross rent

2019 4 10,628 1.4 2.39

2020 11 49,697 6.5 9.37

2021 18 78,912 10.3 10.32

2022 15 55,837 7.3 9.08

2023 21 86,871 11.4 12.93

2024 10 37,406 4.9 6.38

2025 12 22,777 3.0 3.96

2026 17 37,231 4.9 7.62

2027 23 77,951 10.2 15.43

2028 13 80,811 10.6 11.97

2029 9 130,002 17.0 8.34

2030 and beyond 9 19,637 2.6 2.21

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Table 2

Park Meadows Tenant Rollover (cont.)

Year # of Leases NRA % SF % of in-place gross rent

Non-collateral tenants 4 N/A 0.0 0.40

Vacant N/A 75,192 9.9 N/A

NRA--Net rentable area. N/A--Not applicable.

Based on issuer-provided information, sales at the property, excluding Apple and Tesla, were $701 per sq. ft. with an occupancy cost of 16.4%. Based on our calculation using just in-line tenants (less than 10,000 sq. ft.) and excluding Apple and Tesla, we calculated an in-line occupancy cost of 16.5% based on sales of approximately $662 per sq. ft. We believe an occupancy cost of 15.5% is more sustainable for a mall of the subject's sales and locational characteristics. As a result, in the determination of S&P Global Ratings' sustainable value of the property, we made a negative $45.2 million value adjustment to account for the 15.5% occupancy cost.

Recent Property Leasing

Recent re-leasing spreads for year-to-date 2019 are generally positive. Based on lease spread details report for 2019 renewals, 12 tenants totaling 40,835 sq. ft. re-leased their space at a positive 5.1% spread.

Based on information provided by the issuer, table 3 below summarizes the 12 tenants that renewed their leases in 2019.

Table 3

2019 Lease Renewals

Renewal Rent per sq. Expiring Rent per sq. Lease Spread Lease spread Tenant Sq. ft. ft. ($)(i) ft. ($)(ii) ($) (%)

Nhim Apparel 1,019 126.24 122.24 4.00 3.3

P.F. Chang's China Bistro 7,467 40.19 23.14 17.05 73.7

Lucky Brand Jeans 2,939 111.67 111.67 - 0.0

Lush Fresh Handmade 1,148 155 122 33.00 27.0 Cosmetics

Brighton Collectibles 1,485 156.51 127.86 28.65 22.4

Dairy Queen/Orange Julius 708 251 251 - 0.0

T-Mobile 2,227 183.15 145.41 37.74 26.0

Banana Republic 9,860 94.12 91.38 2.74 3.0

GNC 1,090 79.5 125.92 (46.42) 36.9

Loft 4,806 41 65.42 (24.42) 37.3

Car Toys 6,000 28.59 26.87 1.72 6.4

Diamond Wireless Verizon 2,086 121.68 121.69 (0.01) 0.0 Wireless

Total 40,835 83.02 78.97 4.05 5.1

(i)Includes Min Rent and CAM. Amounts may have been adjusted to account for the spreads rules in place. (ii)Includes Min Rent, CAM, and % in lieu charges. Amounts may have been adjusted to account for the spreads rules in place.

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Market Summary

According to the appraiser, Park Meadows average contract rent of $54.83 per sq. ft. is approximately 4.4% below market rent of $57.33 per sq. ft. In addition, the appraiser concluded that the local submarket vacancy rate is 9.5%, which is higher than the 3.7% actual vacancy at the property.

The mall also maintains good market position within the respective trade area, and captures approximately 24% market share of GAFO sales. According to the appraiser, the primary trade area within a six-mile radius has an aggregate household income of approximately $17.0 billion, with an estimated $1.9 billion spent on GAFO items.

Third-Party Reviews

We reviewed appraisal, environmental, and engineering reports prepared within the past six months for the property. A phase II environmental report was not recommended for the property, and the property is not located within seismic zones 3 or 4.

Structural And Legal Issues

We reviewed structural matters that we believe are relevant to our analysis. This review included analysis of the major transaction documents--including the offering circular, trust and servicing agreement, and other relevant documents--and legal opinions in order to understand the transaction's mechanics and its consistency with applicable criteria. We also conducted a focused legal review of the first-mortgage loan agreement and the cash management agreement.

Extraordinary Trust Expenses

The borrower is required to pay special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from any appraisals or inspections the special servicer may conduct. In addition, the borrower must pay interest on all debt service advances as well as advances that the servicer or trustee makes from enforcing the borrower's obligations under the mortgage loan documents. Because S&P Global Ratings' credit ratings reflect, among other factors, the timely receipt of the interest payments on the certificates, the borrower's obligation to pay these trust fund expenses helps mitigate the risk of interest shortfalls caused by a monetary or nonmonetary default.

Historical Cash Flow And S&P Global Ratings' Cash Flow Notes

We reviewed the historical cash flows and the issuer- and appraiser-reported cash flows to determine our view of a sustainable cash flow for the property. We summarize the historical and S&P Global Ratings' NCF for the property below (see table 4A).

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Table 3A

Historical Cash Flow

Borrower TTM June forecast S&P Global 2015 2016 2017 2018 2019 2019 Issuer Ratings

Income ($)

Base rent 37,967,105 39,412,480 39,873,123 40,576,299 41,508,609 42,878,477 41,271,933 41,271,933 (i)

Less: vacancy N/A N/A N/A N/A N/A N/A N/A N/A loss

Expense 20,189,830 19,902,198 18,294,984 18,343,391 18,661,432 19,027,759 19,251,440 19,251,440 (ii) reimbursement

Percentage 122,095 0 99,696 275,742 188,375 113,973 1,260,223 1,186,428 (iii) rent

Other income 978,418 1,126,795 1,224,021 1,140,885 1,256,444 1,405,406 1,405,406 1,145,313 (iii)

Over rent 1,256,614 1045793 1,072,933 1,317,425 1,239,375 1,366,572 -

Specialty 1,548,382 1,521,229 1,730,908 1,501,668 1,467,839 1,363,815 1,363,815 1,227,434 (iv) leasing/other

Alternative 739,915 707,499 726,352 814,867 940,818 576,717 576,717 519,045 (iv) revenue

Kiosk revenue 1,300,927 1,317,051 1,552,755 1,595,678 1,611,884 1,488,103 1,488,103 1,339,292 (iv)

Leasing 131,790 31,407 1,136,134 529,107 64,000 289,856 - termination

Effective gross 64,235,076 65,064,452 65,710,906 66,095,062 66,938,776 68,510,678 66,617,637 65,940,885 income

Operating expenses ($)

Real estate 5,809,332 6,322,034 5,898,199 5,874,787 6,857,584 6,813,393 6,813,393 7,108,847 (v) taxes

Property 188,086 131,273 121,626 119,586 125,844 128,578 128,578 137,283 (iii) insurance

Utilities 1,424,912 1,337,860 1,296,353 1,290,579 1,248,975 1,286,912 1,286,912 1,286,912 (vi)

Repairs and 363,059 329,915 338,811 241,543 215,511 214,864 214,864 297,768 (iii) maintenance

Janitorial 703,825 728,790 767,705 757,507 746,572 798,364 798,364 798,364 (vi)

Management 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 (vii) fees

Payroll and 725,567 782,797 860,999 802,888 838,030 795,366 795,366 838,030 (viii) benefits

Advertising and 369,054 189,100 160,881 92,491 76,966 96,744 96,744 96,744 (vi) marketing

Professional 132,738 25,342 45,097 34,868 55,311 52,195 52,195 55,311 (viii) fees

General and 229,566 232,961 268,985 256,719 248,135 257,442 257,442 257,442 (vi) administrative

Security 576,736 599,839 635,136 611,790 609,186 657,898 657,898 657,898 (vi)

Business 178,469 258,634 197,296 201,063 195,674 206,428 206,428 206,428 (vi) development

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Table 3A

Historical Cash Flow (cont.)

Borrower TTM June forecast S&P Global 2015 2016 2017 2018 2019 2019 Issuer Ratings

Trash removal 1,481 0 2,272 8,642 11,352 3,631 3,631 11,352 (viii) recycling /snow removal

Bad debt 68,623 434,483 210,505 191,702 -47,390 187,542 187,542 187,542 (vi)

Total 11,771,448 12,373,028 11,803,865 11,484,165 12,181,750 12,499,357 12,499,357 12,939,921 operating expense ($)

Net 52,463,628 52,691,424 53,907,041 54,610,897 54,757,026 56,011,321 54,118,280 53,000,964 operating income ($)

Leasing 1,004,663 1,090,170 (ix) commissions

Tenant 228,607 909,481 (x) improvements

Capital 190,737 228,886 (xi) expenditures

Total capital 1,004,663 1,090,170 item

Net cash flow 52,463,628 52,691,424 53,907,041 54,610,897 54,757,026 56,011,321 52,694,273 50,772,427 ($)

Haircut to ------(9.2) issuer NCF (%)

Capitalization ------6.5(xii) rate (%)

Add to value ------($45,210,472)(xiii)

S&P Global ------735,903,795 Ratings' value ($)

S&P Global ------965 Ratings' value per sq. ft. ($)

See table 4B for full footnote references. TTM--Trailing 12-months. NCF--Net cash flow.

Table 4B

Cash Flow Notes

(i) Based on in-place rents as of the September 2019 rent roll and considers rent steps for the next 12 months.

(ii) Based on issuer's figure, which considers common area maintenance and utilities based on in-place rent roll figures and real estate tax based on pro-forma.

(iii) Based on historical average.

(iv) Based on issuer's figure, with 10% haircut.

(v) Based on appraisal taxes.

(vi) Based on borrower 2019 forecast

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Table 4B

Cash Flow Notes (cont.)

(vii) Based on 5.00% of effective gross income, excluding reimbursements, capped at the greater of $1 million and 1.5% of effective gross income.

(viii) Based on TTM June 2019.

(ix) Based on 4.0% for new leases and 2.0% for renewals.

(x) Calculated per table 4 below.

(xi) Based on $0.30 per sq. ft.

(xii) Reflects mall sales > $600 per sq. ft. plus 25 bps for concerns around general retail environment and rollover risk.

(xiii) The deduct to value consists of a mark-to-market adjustments reflecting an occupancy cost adjustment to 15.5%.

TTM--Trailing twelve months.

To calculate tenant improvement costs as part of our NCF for the various tenant types at Park Meadows, we used the tenant improvement costs, renewal probabilities, and assumed lease terms listed in table 5.

Table 5

S&P Global Ratings' Leasing Costs

Anchor Major In-line Outparcel Food court Restaurant

New TIs ($ per sq. ft.) 6.50 18.00 24.00 7.50 64.00 11.00

Renewal TIs ($ per sq. ft.) 3.25 9.00 12.00 3.75 32.00 5.50

Renewal probability (%) 65 65 65 60 65 60

Assumed lease terms (years) 10 10 10 10 10 10

TIs--Tenant improvements.

Property Evaluation Details

During our property evaluation, we:

- Conducted a site inspection of the subject property;

- Analyzed and valued the property, which included reviewing property-level operating statements, issuer-provided data, and the borrowers' budgets; and

- Reviewed management and sponsorship, which included meeting with on-site personnel; reviewed the third-party appraisal, environmental, and engineering reports for the property; and reviewed the structural matters that we believe are relevant to our analysis, as outlined in our criteria. We also reviewed the current drafts of the major transaction documents, including the loan agreement, offering circular, and trust and servicing agreement to verify compliance with our criteria and to understand the mechanics of the underlying loan and the transaction.

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Scenario Analysis

We performed several 'AAA' stress scenario analyses to determine how sensitive the certificates are to a downgrade over the loan term.

Effect of declining NCF

A decline in NCF may constrain cash flows available for debt service. A decline in cash flows may occur because of falling rental rates and occupancy levels, changes to operating expenses, or other factors that may decrease a property's net income. To analyze how a decline in cash flows would affect our ratings, we developed scenarios whereby the NCF from the property decreases by 10%-40% from our current cash flow, which for purposes of determining our value, is 9.2% lower than the issuer's underwritten NCF. (See table 6 for the potential effect on our 'AAA' rating under these scenarios, holding constant our 6.5% capitalization rate for the mortgage loan.)

Table 6

Effect Of Declining NCF On S&P Global Ratings' Credit Ratings

Percentage decline in Standard & Poor's 0.00 (10.00) (20.00) (30.00) (40.00) NCF (%)

Potential 'AAA' rating migration AAA AA A+ BBB+ BB

NCF--Net cash flow.

Related Criteria

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019

- General Criteria: U.S. Government Support In Structured Finance And Public Finance Ratings, Dec. 7, 2014

- Criteria | Structured Finance | CMBS: Insurance Criteria For U.S. And Canadian CMBS Transactions, June 13, 2013

- General Criteria: Methodology And Assumptions: Assigning Ratings To Bonds In The U.S. Based On Escrowed Collateral, Nov. 30, 2012

- Criteria | Structured Finance | CMBS: CMBS Global Property Evaluation Methodology, Sept. 5, 2012

- Criteria | Structured Finance | CMBS: Rating Methodology And Assumptions For U.S. And Canadian CMBS, Sept. 5, 2012

- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012

- Criteria | Structured Finance | CMBS: Assessing Borrower-Level Special-Purpose Entities In U.S. CMBS Pools: Methodology And Assumptions, Nov. 16, 2010

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- Criteria | Structured Finance | General: Global Methodology For Rating Interest-Only Securities, April 15, 2010

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009

Related Research

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016

- U.S. And Canadian CMBS Diversity Adjustment Factor Matrices, Sept. 5, 2012

- Application Of CMBS Global Property Evaluation Methodology in U.S. And Canadian Transactions, Sept. 5, 2012

In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019; "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, 2009.

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