Morningstar DBRS Confirms All Credit Ratings on BANK 2022-BNK39

DBRS Limited (Morningstar DBRS) confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BNK39 issued by BANK 2022-BNK39 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-3-1 at AAA (sf)
-- Class A-3-2 at AAA (sf)
-- Class A-3-X1 at AAA (sf)
-- Class A-3-X2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (high) (sf)
-- Class B-1 at AA (high) (sf)
-- Class B-2 at AA (high) (sf)
-- Class B-X1 at AA (high) (sf)
-- Class B-X2 at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class C-1 at AA (low) (sf)
-- Class C-2 at AA (low) (sf)
-- Class C-X1 at AA (low) (sf)
-- Class C-X2 at AA (low) (sf)
-- Class D at A (sf)
-- Class X-D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BB (sf)
-- Class G at BB (low) (sf)

All trends are Stable.

The credit rating confirmations reflect the overall stable performance of the pool since issuance, with only a moderate concentration of loans on the servicer's watchlist and no special serviced or delinquent loans as of the June 2025 reporting. Cash flows overall are stable, with the 15 largest loans, representing 66.3% of the pool, generally reporting stable to improved cash flows over issuance figures.

The transaction consists of 66 loans secured by 95 properties with a current trust balance of $1.2 billion, representing a minimal collateral reduction of 0.6% since issuance. Amortization is limited through the life of the deal as 43 loans, representing 79.9% of the pool balance, are interest only (IO) for their full term. An additional 10 loans, representing 13.2% of the pool balance, have partial IO periods that remain in place. The lack of amortization is partially offset by the pool's favorable leverage metrics with Morningstar DBRS weighted-average issuance and balloon loan-to-value ratios (LTVs) of 53.7% and 52.0%, respectively, primarily driven by very low LTVs from the shadow-rated loans and co-operative loans.

By property type, the pool is most concentrated by loans backed by multifamily, office, and retail properties, which represent 27.1%, 21.1%, and 20.1% of the pool, respectively. One loan, representing 0.2% of the pool, is secured by collateral that has been fully defeased. The office loans in this pool are generally performing in line with Morningstar DBRS' expectations. While there has been cash flow disruption to Park Avenue Plaza (Prospectus ID #11; 2.9% of the pool) as a result of the tenant expansions and rental abatements that were contemplated at issuance, occupancy rates remain strong, based on the most recent reporting.

The 5 Crosby Street loan (Prospectus ID#9; 3.7% of the pool) is secured by a 70,074 square foot (sf) office building in New York City's Soho neighborhood. The property is currently 98.0% occupied, but the largest tenant, Lemonade (80.3% of the net rentable area), has an initial lease expiration in November 2025. However, the tenant has expanded several times since taking occupancy in December 2017 and the servicer has indicated that Lemonade has agreed to a three-year lease extension for two of its five floors with an option on a third floor. Initial rates are expected to begin around $70 per square foot (psf) compared with the current rental rate of $68.30 psf. In addition, tenants currently subletting two of Lemonade's floors have previously invested significantly into their spaces and the borrower anticipates direct leases will be negotiated. According to Reis, the South Broadway submarket reported an average vacancy rate of 14.1% and asking rent of $73.38 psf as of Q1 2025 compared with the property's average rental rate of $78.75 psf. The loan benefits from structural features to protect against rollover, including an upfront tenant improvement/leasing commission reserve of $1.25 million as well as a cash flow sweep that was triggered 12 months prior to Lemonade's lease expiration. As of June 2025 reporting, the loan had $3.1 million in reserves.

Four loans, 601 Lexington Avenue (Prospectus ID#1; 9.2% of the pool), 333 River Street (Prospectus ID#3; 6.3% of the pool), CX - 350 & 450 Water Street (Prospectus ID#7; 4.4% of the pool), and Park Avenue Plaza, were assigned investment-grade shadow ratings by Morningstar DBRS at issuance. These loans benefit from low going-in and balloon A-note LTVs ranging between 31.9% and 50.5%, based on the Morningstar DBRS values derived at issuance and debt service coverage ratios of more than 3.00 times. Following this review, Morningstar DBRS maintained the shadow ratings as loan performance trends remained consistent with investment-grade loan characteristics.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS 
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) at https://dbrs.morningstar.com/research/454196.

Classes A3-X1, A3-X2, A4-X1, A4-X2, AS-X1, AS-X2, B-X1, B-X2, C-X1, C-X2, X-A, X-B, X-D, X-F, and X-G are 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.

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

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

The principal methodology is North American CMBS Surveillance Methodology (February 28, 2025), https://dbrs.morningstar.com/research/448963.

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

The credit rating assigned to Class E materially deviates from the credit rating implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stress(es) implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviation is loan level event risk given the concentration of office properties in the transaction, with concentrated tenant rollover during the loan term and soft submarket conditions.

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 info-DBRS@morningstar.com.

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.

Morningstar DBRS 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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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 600
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://dbrs.morningstar.com/about/methodologies.

-- North American CMBS Multi-Borrower Rating Methodology (April 09, 2025)/North American CMBS Insight Model v 1.3.0.0, https://dbrs.morningstar.com/research/451739.

-- Morningstar DBRS North American Commercial Real Estate Property Analysis Criteria (September 19, 2024), https://dbrs.morningstar.com/research/439702.

-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064.

-- North American Commercial Mortgage Servicer Rankings (August 23, 2024), https://dbrs.morningstar.com/research/438283.

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at (July 17, 2023): https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.