DBRS Morningstar Confirms All Classes of Benchmark 2021-B23 Mortgage Trust

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-B23 issued by Benchmark 2021-B23 Mortgage Trust:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-4A1 at AAA (sf)
-- Class A-4A2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class 360A at A (low) (sf)
-- Class 360B at BBB (low) (sf)
-- Class 360C at BB (low) (sf)
-- Class 360D at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction since issuance in 2021. At closing, the transaction consisted of 53 fixed-rate loans secured by 65 properties with a trust balance of $1.59 billion. As of the January 2022 remittance, all 53 loans remain in the pool, with no losses or defeasance to date. There has been minimal amortization, with only 0.26% collateral reduction since issuance. Amortization will be limited through the life of the deal as there are 34 loans, representing 76.6% of the pool balance, that are interest only (IO) for the full term. An additional 13 loans, representing 20.0% of the pool balance, have partial IO periods that remain active. As noted at issuance, the pool is expected to pay down by only 3.6% prior to maturity. The pool is concentrated with loans backed by office properties, which represent 57.5% of the pool. The next largest property types are mixed-use and industrial, which represent 23.4% and 12.0% of the pool, respectively.

As of the January 2022 remittance, there are three loans on the servicer's watchlist, representing 7.1% of the pool, including one loan in the top 15. There are no delinquent or specially serviced loans. The largest loan on the servicer's watchlist is MGM Grand & Mandalay Bay (4.7% of the pool). The underlying properties are two full-service luxury resorts and casinos consisting of 9,748 rooms on the Las Vegas Strip. Like most hotels across the country, the Coronavirus Disease (COVID-19) pandemic has affected the subject properties, with the operating cash flows and occupancy rates significantly depressed from their 2019 levels. The trailing 12 months (T-12) ended June 30, 2021, figures reported occupancy rates of 50.4% and 53.1% for the MGM Grand and the Mandalay Bay properties, respectively. These figures compare with the YE2019 occupancy rates of 91.4% and 92.8%, respectively.

Although cash flow remains depressed compared with historical figures, DBRS Morningstar notes the properties are trending in the right direction as the T-12 ended June 30, 2021, departmental income at the MGM Grand property reported a 66.8% increase over its YE2020 figure, while the Mandalay property reported a 44.7% increase over its YE2020 figure. In addition, tourism in Las Vegas has improved significantly since the start of the pandemic. According to the Review Journal, July 2021 was the strongest visitation month as 3.3 million travellers visited the city, which is a 50.3% increase from the first seven months of 2020.

Four loans—360 Spear, MGM Grand & Mandalay Bay, the Grace Building, and First Republic Center—were assigned investment-grade shadow ratings at issuance. Combined, these loans represent 17.5% of the pool. As part of this review, DBRS Morningstar concluded that current and expected ongoing performance remains consistent with the originally assigned shadow ratings.

The Class 360A, 360B, 360C, and 360D are loan-specific certificates (rake bonds) collateralized by the subordinate companion note for the 360 Spear whole loan. The loan-specific certificates will only be entitled to receive distributions from, and will only incur losses with respect to, the trust subordinate companion loan. The trust subordinate companion loan is included as an asset of the issuing entity but is not part of the mortgage pool backing the pooled certificates. No class of pooled certificates will have any interest in the trust subordinate companion loan.

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/373262.

Classes X-A is an 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.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loan in the transaction:

-- Prospectus ID#5 – MGM Grand & Mandalay Bay (4.7% of the pool)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com. The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

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

The principal methodology is North American CMBS Surveillance Methodology (March 26, 2021), 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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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