DBRS Morningstar Finalizes Provisional Ratings of Benchmark 2022-B35 Mortgage Trust

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes to be issued by Benchmark 2022-B35 Mortgage Trust (BMARK 2022-B35):

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3-1 at AAA (sf)
-- Class A-3-2 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
-- Class H at B (high) (sf)
-- Class X-A at AAA (sf)
-- Class X-D at BBB (sf)
-- Class X-F at BBB (low) (sf)
-- Class X-G at BB (sf)
-- Class X-H at BB (low) (sf)

All trends are Stable.

Classes A-3-2, A-4-2, D, E, F, G, H, J, X-D, X-F, X-G, X-H, X-J, S, and R will be privately placed.

Classes X-A, X-D, X-F, X-G, X-H, and X-J are interest-only (IO) certificates that reference 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.

The collateral consists of 37 fixed-rate loans secured by 127 commercial and multifamily properties with an aggregate trust cut-off date balance of $1.1 billion. Three loans (One Wilshire, ILPT Logistics Portfolio, and 601 Lexington Avenue), representing 17.9% of the pool, are shadow-rated investment grade by DBRS Morningstar. DBRS Morningstar analyzed the conduit pool to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the DBRS Morningstar net cash flow (NCF) and their respective actual constants, the initial DBRS Morningstar WA debt service coverage ratio (DSCR) of the pool was 1.94 times (x). The WA DBRS Morningstar Issuance loan-to-value ratio (LTV) of the pool was 57.3%, and the pool is scheduled to amortize to a WA DBRS Morningstar Balloon LTV of 56.1% at maturity. These credit metrics are based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a favorable WA DBRS Morningstar Issuance LTV of 61.5% and WA DBRS Morningstar Balloon LTV of 60.1%. The pool additionally includes five loans, representing 16.4% of the allocated pool balance, that exhibit a DBRS Morningstar Issuance LTV in excess of 67.1%, a threshold generally indicative of above-average default frequency. The transaction has a sequential-pay pass-through structure.

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

For supporting data and more information on this transaction, please log into www.viewpoint.dbrsmorningstar.com DBRS Morningstar provides analysis and in-depth commentary in the DBRS Viewpoint platform.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:
-- Prospectus ID#1 - One Wilshire (9.9% of the pool)
-- Prospectus ID#2 - The Reef (8.9% of the pool)
-- Prospectus ID#3 - ILPT Logistics Portfolio (6.6% of the pool)
-- Prospectus ID#4 - Bruckner Building (6.3% of the pool)
-- Prospectus ID#5 - Shearer's Industrial Portfolio (5.9% of the pool)
-- Prospectus ID#6 - 115 Tabor Road (5.8% of the pool)
-- Prospectus ID#7 - Industry RiNo Station (5.3% of the pool)
-- Prospectus ID#8 - Bedrock Portfolio (4.8% of the pool)
-- Prospectus ID#9 - Bell Works (4.4% of the pool)
-- Prospectus ID#10 - 2550 M Street (4.2% of the pool)
-- Prospectus ID#11 - Nut Tree Plaza (4.1% of the pool)
-- Prospectus ID#13 - 200 West Jackson (3.6% of the pool)
-- Prospectus ID#12 - ExchangeRight Net Leased Portfolio #55 (3.6% of the pool)
-- Prospectus ID#14 - Residence Inn Seattle (2.7% of the pool)
-- Prospectus ID#19 - 601 Lexington Avenue (1.5% of the pool)
-- Prospectus ID#21 - One Jackson Place (1.3% of the pool)
-- Prospectus ID#25 - Novo Nordisk HQ (1.1% of the pool)
-- Prospectus ID#29 - 1600 Brittmoore (0.8% of the pool)
-- Prospectus ID#35 - Redwood Simpsonville II (0.5% 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.

With regard to due diligence services, DBRS Morningstar was provided with the Form ABS Due Diligence-15E (Form-15E), which contains a description of the information that a third party reviewed in conducting the due diligence services and a summary of the findings and conclusions. While due diligence services outlined in Form-15E do not constitute part of DBRS Morningstar’s methodology, DBRS Morningstar used the data file outlined in the independent accountant’s report in its analysis to determine the ratings referenced herein.

The principal methodology is North American CMBS Multi-Borrower Rating 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. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

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

DBRS, Inc.
22 West Washington Street
Chicago, IL 60602 USA
Tel. +1 312 332-3429