Benchmark 2022-B33 Mortgage Trust -- Moody's assigns definitive ratings to eight CMBS classes of Benchmark 2022-B33 Mortgage Trust

Rating Action: Moody's assigns definitive ratings to eight CMBS classes of Benchmark 2022-B33 Mortgage TrustGlobal Credit Research - 15 Mar 2022Approximately $836.8 of structured securities affectedNew York, March 15, 2022 -- Moody's Investors Service ("Moody's") has assigned definitive ratings to eight classes of CMBS securities, issued by Benchmark 2022-B33 Mortgage Trust, Commercial Mortgage Pass Through Certificates, Series 2022-B33:Cl. A-1, Definitive Rating Assigned Aaa (sf)Cl. A-2, Definitive Rating Assigned Aaa (sf)Cl. A-3-1, Definitive Rating Assigned Aaa (sf)Cl. A-3-2, Definitive Rating Assigned Aaa (sf)Cl. A-5, Definitive Rating Assigned Aaa (sf)Cl. A-SB, Definitive Rating Assigned Aaa (sf)Cl. A-S, Definitive Rating Assigned Aa2 (sf)Cl. X-A*, Definitive Rating Assigned Aaa (sf)*Reflects Interest-Only ClassesNote: Moody's previously assigned a provisional rating to Class A-4 of (P) Aaa (sf), described in the prior press release, dated February 16, 2022. Subsequent to the release of the provisional ratings for this transaction, the Class A-4 was removed. Based on the current structure, Moody's has withdrawn its provisional rating and will not rate this certificate.RATINGS RATIONALEThe Certificates are collateralized by 44 loans secured by 116 properties. The ratings are based on the collateral and the structure of the transaction and the following Structured Credit Assessments:We assigned a SCA of a3 (sca.pd) to the One Wilshire Street Loan, which represents approximately 7.4% of the pool balance. The loan is secured by the borrower's fee interest in a 661,553 SF building comprised of data center and office space located in downtown Los Angeles, CA.We assigned a SCA of aa3 (sca.pd) to the 601 Lexington Avenue Loan, which represents approximately 7.4% of the pool balance. The loan is secured by the borrower's fee simple and leasehold interests in a 1,675,659 SF Class A office tower in New York, NY.We assigned a SCA of baa1 (sca.pd) to The Kirby Collection Loan, which represents approximately 3.7% of the pool balance. The loan is secured by the borrower's fee interest in a mixed-use development comprised of a 185,563 SF office building with 58,003 SF of ground floor retail space and a 25-story apartment building with 199 luxury residential units. The property is located in Houston, TX.We assigned a SCA of a2 (sca.pd) to The Summit Loan, which represents approximately 2.1% of the pool balance. The loan is secured by the borrower's fee interest in a 907,306 SF Class A, office campus which includes three buildings and a seven-level 2,197 space subterranean parking garage located in the central business district of Bellevue, WA.We assigned a SCA of baa1 (sca.pd) to 304 West 92nd Street, which represents approximately 1.5% of the pool balance. The loan is secured by the borrower's fee interest in a 125-unit, eight story apartment building in the Upper West Side neighborhood of Manhattan, NY.Moody's approach to rating CMBS deals combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects.The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, we make various adjustments to the MLTV. We adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between our sustainable cap rates and market cap rates. We also use an adjusted loan balance that reflects each loan's amortization profile.The Moody's Actual DSCR of 2.56x (2.30x excluding credit assessed loans) is slightly lower than the 4Q2022 trailing four quarter conduit/fusion transaction average of 2.69x. The Moody's Stressed DSCR of 1.00x (0.97x excluding credit assessed loans) is slightly lower than the 4Q2022 trailing four quarter conduit/fusion transaction average of 1.07xThe pooled trust loan balance of $1,085,764,056 represents a Moody's LTV ratio of 104.3% (110.5% excluding credit assessed loan), which is slightly lower than the 4Q2022 trailing four quarter conduit/fusion transaction average of 106.3%. The Moody's adjusted LTV is 92.2% (98.1% excluding credit assessed loans) and is based on our adjusted Moody's value taking into account the current interest rate environment.Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl score is 24.8. The transaction loan level diversity profile slightly lower than Moody's-rated transactions during the prior four quarters, which averaged 27.4. With respect to property level diversity, the pool's property level Herfindahl score is 32.5.Notable strengths of the transaction include: (i) five loans constituting 22.1% of the pool that were assigned investment grade structured credit assessments; (ii) loans representing 32.1% of the pool balance are secured by real estate located in the top tier major MSAs, with loans representing only 17.4% of the pool balance are secured by real estate located in small or tertiary markets; (iii) sixteen loans (29.8% of the pool balance) represent acquisition financing.Notable concerns of the transaction include: (i) the amortization profile for the underlying assets contains a high concentration of loans with interest-only debt service components; (ii) the pool contains 38 properties (13.1% of the pool balance) that are leased to single tenants; (iii), The pool has a weighted average Moody's LTV (MLTV) ratio of 104.3%; however, excluding investment grade Structured Credit Assessment loans, the pool's weighted average MLTV ratio increases to 110.5%.Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 1.96, which is slightly below the 4Q2022 trailing four quarter the average score of 2.02.The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1258254. The methodologies used in rating interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1258254 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179. Please see the list of ratings at the top of this announcement to identify which classes are interest-only (indicated by the *). Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies.Moody's analysis of credit enhancement levels for conduit deals is driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment-grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance.Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology.Factors that would lead to an upgrade or downgrade of the ratings:The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1319902.The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. John Boyle Associate Lead Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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