DBRS Morningstar Takes Rating Actions on Six Multiborrower CMBS Transactions Issued in 2022

DBRS Limited (DBRS Morningstar) conducted its surveillance review of 149 classes of commercial mortgage pass-through certificates from six multiborrower commercial mortgage-backed securities (CMBS) transactions including BANK 2022-BNK39, Benchmark 2022-B34 Mortgage Trust (BMARK 2022-B34), Benchmark 2022-B35 Mortgage Trust (BMARK 2022-B35), Benchmark 2022-B36 Mortgage Trust (BMARK 2022-B36), BANK 2022-BNK41, and BBCMS Mortgage Trust 2022-C16 (BBCMS 2022-C16).

DBRS Morningstar confirmed its ratings on 148 classes and upgraded its rating on one class. The rating confirmations reflect the overall stable performance of the transactions, based on the information made available since issuance. DBRS Morningstar upgraded its rating on Class X-B from the BMARK 2022-B36 transaction to AAA (sf) from AA (low) (sf) in accordance with the Rating North American CMBS Interest-Only Certificates methodology, which allows the rating on interest-only (IO) certificates that reference a single rated tranche or multiple rated traches to mirror the lowest-rated applicable reference obligation tranche and possibly be adjusted upward by one notch if senior in the waterfall. All trends are Stable.

All six transactions closed in 2022, and, given their recent vintage, there is limited updated financial reporting available and negligible collateral reduction since issuance. These pools are fairly concentrated with loans backed by office properties, which represents the largest property type in five of the transactions. While DBRS Morningstar has a cautious outlook on this asset type given the recent challenges with the office sector, the majority of these loans continue to perform in line with issuance expectations. Loans that have exhibited increased risk were analyzed with a stressed probability of default (POD) assumption with this review.

At issuance, the following loans (some of which are pari passu loans) were shadow-rated investment grade:

-- 601 Lexington Avenue - Trust
-- 333 River Street
-- CX - 350 & 450 WaterStreet - Trust
-- Park Avenue Plaza - Trust
-- One Wilshire
-- ILPT Logistics Portfolio - Trust
-- Yorkshire & Lexington Towers - Trust
-- Constitution Center - Trust
-- Journal Squared Tower 2 - Trust
-- 1888 Century Park East
-- 70 Hudson Street - Trust
-- The Summit - Trust

With this review, DBRS Morningstar confirms that the loan performance trends remain consistent with investment-grade loan characteristics.

BANK 2022-BNK39
The subject transaction comprises 66 loans, all of which remain in the pool, representing a negligible collateral reduction of 0.2% since issuance based on the August 2023 remittance. There are no defeased, specially serviced, or delinquent loans. Nine loans are on the servicer’s watchlist, representing 14.8% of the pool balance; however, only two of these loans, representing 3.9% of the pool balance, are being monitored for credit-related reasons, including low debt service coverage ratios (DSCRs) and/or occupancy declines. The remaining loans are being monitored for deferred maintenance or a failure to submit updated property financials. The pool is concentrated by property type with loans backed by multifamily and retail properties representing 26.8% and 26.5% of the pool balance, respectively. Four loans are shadow-rated investment grade, representing 22.8% of the pool balance.

BMARK 2022-B34
The subject transaction comprises 37 loans, all of which remain in the pool, representing a negligible collateral reduction of 0.3% since issuance based on the August 2023 remittance. There are no defeased loans. Eight loans are on the servicer’s watchlist, representing 18.2% of the pool balance, and are being monitored for a variety of reasons including low DSCRs, delinquent tax payments, deferred maintenance, and other servicing trigger events. The pool is concentrated by property type with loans backed by office and retail properties making up 55.7% and 22.3% of the pool balance, respectively. Two loans are shadow-rated investment grade, representing 18.6% of the pool balance.

Only one loan, Arlington Green Executive Plaza (Prospectus ID#29, 1.0% of the pool balance) is in special servicing. The loan is secured by a 62,835-square-foot (sf) medical office property in Arlington Heights, Illinois, and transferred to the special servicer in June 2023 for payment default with its last debt payment made in March 2023. According to the servicer, the property was 77% occupied and no updated financials have been provided. The official workout strategy has yet to be determined, while the special servicer continues to gather additional information. For this review, a stressed POD was applied, resulting in an expected loss that was nearly five times the pool average.

BMARK 2022-B35
The subject transaction comprises 37 loans, all of which remain in the pool, representing a negligible collateral reduction of 0.1% since issuance based on the August 2023 remittance. There are no defeased, specially serviced, or delinquent loans. Four loans are on the servicer's watchlist, representing 19.2% of the pool balance. These loans are primarily being monitored for low DSCRs or items of deferred maintenance. The pool is concentrated by property type with loans backed by office and retail properties representing 47.4% and 16.5% of the pool balance, respectively. Three loans are shadow-rated investment grade, representing 18.0% of the pool balance.

BMARK 2022-B36
The subject transaction comprises 31 loans, all of which remain in the pool, representing a negligible collateral reduction since issuance based on the August 2023 remittance. There are no defeased, specially serviced, or delinquent loans. One loan is on the servicer’s watchlist, representing 4.3% of the pool balance, because of an outstanding tax balance. The pool is concentrated by property type with loans backed by office and retail properties representing 32.6% and 16.9% of the pool balance, respectively. One loan is shadow-rated investment grade, representing 8.8% of the pool balance.

BANK 2022-BNK41
The subject transaction comprises 69 loans, all of which remain in the pool, representing a negligible collateral reduction of 0.2% since issuance based on the August 2023 remittance. There are no defeased, specially serviced, or delinquent loans. Two loans are on the servicer's watchlist, representing 0.3% of the pool balance for non-credit-related reasons. The pool is concentrated by property type with loans backed by office and retail properties representing 36.6% and 24.5% of the pool balance, respectively. Three loans are shadow-rated investment grade, representing 17.1% of the pool balance.

BBCMS 2022-C16
The subject transaction comprises 60 loans, all of which remain in the pool, representing a negligible collateral reduction of 0.3% since issuance based on the August 2023 remittance. There are no defeased, specially serviced, or delinquent loans. Ten loans are on the servicer's watchlist, representing 16.6% of the pool balance. These loans are primarily being monitored for low DSCRs, tenant rollover risk, and/or lockbox triggers. The pool is concentrated by loans backed by office and retail properties representing 28.5% and 28.2% of the pool balance, respectively. Five loans are shadow-rated investment grade, representing 21.7% of the pool balance.

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

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 (July 4, 2023) at https://www.dbrsmorningstar.com/research/416784.

Classes that are IO certificates 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.

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

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

The principal methodology is the North American CMBS Surveillance Methodology (March 16, 2023) https://www.dbrsmorningstar.com/research/410912.

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

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.

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 [email protected].

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.

DBRS Morningstar 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.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

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

North American CMBS Multi-Borrower Rating Methodology (March 16, 2023)/North American CMBS Insight Model v 1.1.0.0 (https://www.dbrsmorningstar.com/research/410913)

Rating North American CMBS Interest-Only Certificates (December 19, 2022; https://www.dbrsmorningstar.com/research/407577)

DBRS Morningstar North American Commercial Real Estate Property Analysis Criteria (September 12, 2022; https://www.dbrsmorningstar.com/research/402646)

North American Commercial Mortgage Servicer Rankings (August 23, 2023; https://www.dbrsmorningstar.com/research/419592)

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023; https://www.dbrsmorningstar.com/research/415687)

Legal Criteria for U.S. Structured Finance (December 7, 2022; https://www.dbrsmorningstar.com/research/407008)

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

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