Times are tough for the Mall at Stonecrest in suburban Atlanta. The Kohl’s closed in 2016. The Sears shut in 2018, and the Payless ShoeSource finished its going-out-of-business sale in May. When a $90.5 million mortgage came due last summer, the mall’s owners defaulted.

Through it all, S&P Global Inc. has said a security tied to the mall’s mortgage wouldn’t lose money. S&P says the “situation is fluid” and “we won’t hesitate to revisit the rating.”

Inflated...