Fitch Assigns Final Ratings to Citigroup Commercial Mortgage Trust 2016-P3 CMT P-T Ctfs
OREANDA-NEWS. Fitch Ratings has assigned the following ratings and Rating Outlooks to Citigroup Commercial Mortgage Trust 2016-P3 Commercial Mortgage Pass-Through Certificates:
--$13,614,000 class A-1 'AAAsf'; Outlook Stable;
--$98,127,000 class A-2 'AAAsf'; Outlook Stable;
--$175,000,000 class A-3 'AAAsf'; Outlook Stable;
--$221,743,000 class A-4 'AAAsf'; Outlook Stable;
--$31,196,000 class A-AB 'AAAsf'; Outlook Stable;
--$580,156,000b class X-A 'AAAsf'; Outlook Stable;
--$42,404,000b class X-B 'AA-sf'; Outlook Stable;
--$40,476,000c class A-S 'AAAsf'; Outlook Stable;
--$42,404,000c class B 'AA-sf'; Outlook Stable;
--$121,428,000c class EC 'A-sf'; Outlook Stable;
--$38,548,000c class C 'A-sf'; Outlook Stable;
--$44,331,000a class D 'BBB-sf'; Outlook Stable;
--$44,331,000ab class X-D 'BBB-sf'; Outlook Stable;
--$19,274,000a class E 'BBsf'; Outlook Stable;
--$9,637,000a class F 'Bsf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) The class A-S, class B and class C certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for the class A-S, class B and class C certificates.
Fitch does not rate the $36,622,163a class G certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 75 commercial properties having an aggregate principal balance of approximately $771 million as of the cutoff date. The loans were contributed to the trust by Citigroup Commercial Mortgage Securities Inc., Natixis Real Estate Capital LLC, Societe Generale, Macquarie US Trading LLC d/b/a Principal Commercial Capital, The Bank of New York Mellon, and Walker & Dunlop Commercial Property Funding I WF, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral including site inspections on 79.5% of the properties by balance, cash flow analysis of 90.8%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool demonstrates high leverage statistics with a Fitch debt service coverage ratio (DSCR) and loan-to-value (LTV) of 1.14x and 108.7%, respectively. Excluding the credit-opinion 225 Liberty Street loan (5.3% of the pool), the Fitch DSCR and LTV are 1.12x and 111.4%, respectively. The 2015 and YTD 2016 average DSCRs were 1.18x and 1.14x, respectively. The 2015 and YTD 2016 average Fitch LTVs were 109.3% and 108.7%, respectively.
New York City Concentration: Ten loans (39.2% of the pool) are secured by properties located in the New York MSA, including six of the top 10. Nyack College NYC, 600 Broadway, 79 Madison Avenue, 5 Penn Plaza and 225 Liberty Street are located in Manhattan. One Court Square is located in Long Island City, Queens.
Below-Average Amortization: The pool is scheduled to amortize 6.8% of the initial pool balance prior to maturity, significantly lower than the 2015 and YTD 2016 averages of 11.7% and 10%, respectively. Twelve loans (47.4%) are full-term, interest-only, and 13 loans (37%) are partial-interest-only. The remaining 12 loans (15.6%) are amortizing balloon loans with terms of five to 10 years.
For this transaction, Fitch's net cash flow (NCF) was 12% below the most recent year's NOI (for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans, and could lead to potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2016-P3 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 37 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.