NEW YORK--(BUSINESS WIRE)----08 December 2015: Fitch Ratings has assigned the following ratings and Rating Outlooks to Citigroup Commercial Mortgage Trust (CGCMT) 2015-GC35 commercial mortgage pass-through certificates:
--$30,787,000 class A-1 'AAAsf'; Outlook Stable;
--$111,638,000 class A-2 'AAAsf'; Outlook Stable;
--$200,000,000 class A-3 'AAAsf'; Outlook Stable;
--$386,647,000 class A-4 'AAAsf'; Outlook Stable;
--$44,547,000 class A-AB 'AAAsf'; Outlook Stable;
--$838,548,000b class X-A 'AAAsf'; Outlook Stable;
--$59,403,000b class X-B 'AA-sf'; Outlook Stable;
--$64,929,000c class A-S 'AAAsf'; Outlook Stable;
--$59,403,000c class B 'AA-sf'; Outlook Stable;
--$183,735,000c class PEZ 'A-sf'; Outlook Stable;
--$59,403,000c class C 'A-sf'; Outlook Stable;
--$58,021,000 class D 'BBB-sf'; Outlook Stable;
--$58,021,000b class X-D 'BBB-sf'; Outlook Stable;
--$29,011,000a class E 'BB-sf'; Outlook Stable;
--$11,052,000a class F 'B-sf'; Outlook Stable;
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Class A-S, class B, and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for the class A-S, class B, and class C certificates.
Fitch does not rate the $11,052,000a class G or the $38,681,053a class H.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 64 loans secured by 93 commercial properties having an aggregate principal balance of approximately $1.11 billion as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Citigroup Global Markets Realty Corp., Rialto Mortgage Finance, LLC, FCRE REL, LLC and RAIT Funding, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 81.4% of the properties by balance, and asset summary reviews and cash flow analysis of 87.9% of the pool.
KEY RATING DRIVERS
Lower Leverage than Other Recent Deals: The pool demonstrates leverage statistics that are better than most recent Fitch-rated transactions in fourth quarter 2015, with a Fitch DSCR and LTV of 1.22x and 105.3%, respectively. Comparatively, the 2015 year-to-date (YTD) average Fitch DSCR and LTV are 1.19x and 109.6%, respectively. However, excluding the credit-assessed 590 Madison Avenue loan (9.0% of the pool), the Fitch DSCR and LTV are 1.17x and 110.5%, respectively.
Highly Concentrated Pool: The top 10 loans comprise 63.0% of the pool, which is above recent averages of 48.2% and 50.5% for YTD 2015 and 2014, respectively. Additionally, the LCI is 509 and the SCI is 529, which are both higher than recent respective averages of 356 and 391 for YTD 2015.
Credit Opinion Loan: One loan, 590 Madison Avenue (9.0% of the pool), has an investment-grade credit opinion of 'AA+' on a stand-alone basis. Excluding the 590 Madison Avenue loan,
Fitch's implied conduit subordination at the junior 'AAAsf' tranche is approximately 26.5% and 'BBB-sf' is approximately 8.9%.
High Hotel Exposure: Approximately 23.5% of the pool by balance consists of hotel properties, including four of the largest ten loans. This is above the YTD 2015 average hotel concentration of 16.3% and the 2014 average of 14.2%; hotels have the highest probability of default in Fitch's multiborrower CMBS model.
For this transaction, Fitch's net cash flow (NCF) was 11.6% below the most recent year's net operating income (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 in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2015-GC35 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 senior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior '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 Ernst and Young 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 65 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.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Dec 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)
Citigroup Commercial Mortgage Trust 2015-GC35 -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1