NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Cantor Commercial Real Estate CFCRE 2016-C4 Mortgage Trust commercial mortgage pass-through certificates, series 2016-C4.
--$32,507,000 class A-1 'AAAsf'; Outlook Stable;
--$24,787,000 class A-2 'AAAsf'; Outlook Stable;
--$46,464,000 class A-SB 'AAAsf'; Outlook Stable;
--$200,000,000 class A-3 'AAAsf'; Outlook Stable;
--$230,220,000 class A-4 'AAAsf'; Outlook Stable;
--$54,000,000 class A-HR 'AAAsf'; Outlook Stable;
--$596,975,000b class X-A 'AAAsf'; Outlook Stable;
--$54,000,000b class X-HR 'AAAsf'; Outlook Stable;
--$37,799,000b class X-B 'AA-sf'; Outlook Stable;
--$37,799,000b class X-C 'A-sf'; Outlook Stable;
--$62,997,000 class A-M 'AAAsf'; Outlook Stable;
--$37,799,000 class B 'AA-sf'; Outlook Stable;
--$37,799,000 class C 'A-sf'; Outlook Stable;
--$45,148,000ab class X-D 'BBB-sf'; Outlook Stable;
--$20,999,000ab class X-E 'BB-sf'; Outlook Stable;
--$9,450,000ab class X-F 'B-sf'; Outlook Stable;
--$45,148,000a class D 'BBB-sf'; Outlook Stable;
--$20,999,000a class E 'BB-sf'; Outlook Stable;
--$9,450,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $37,798,889ab interest-only class X-G or the $37,798,889a class G. The classes above reflect the final ratings and deal structure.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 50 loans secured by 154 commercial properties having an aggregate principal balance of approximately $839.9 million as of the cutoff date. The loans were contributed to the trust by Cantor Commercial Real Estate Lending, L.P., Societe Generale and Benefit Street Partners CRE Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral including site inspections on 66.9% of the properties by balance, cash flow analysis of 89%, and asset summary reviews on 89% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool has higher leverage statistics than other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.12x is below the year-to-date (YTD) 2016 average of 1.17x and full-year 2015 average of 1.18x. The pool's Fitch loan to value (LTV) of 109.3% is above the YTD 2016 average of 107.9% and in line with the full-year 2015 average of 109.3%.
Below-Average Amortization: The pool is scheduled to amortize by 11.6% of the initial pool balance prior to maturity, which is better than recent fixed-rate transactions and slightly worse than the 2015 average of 11.7%. Nine loans (30.2%) are full-term interest-only, and 12 loans (28.7%) are partial interest-only. Fitch-rated transactions YTD 2016 have an average full-term interest-only percentage of 31.3% and a partial interest-only percentage of 41%.
Less Concentrated Pool: The largest 10 loans in the transaction compose 47.8% of the pool by balance. Compared to other Fitch-rated U.S. multiborrower deals, the concentration in this transaction is lower than the YTD 2016 and full-year 2015 average concentrations of 55.8% and 49.3%, respectively. The pool's concentration results in a loan concentration index (LCI) of 348, which is lower than the 2015 average of 367.
For this transaction, Fitch's net cash flow (NCF) was 15.8% 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 CFCRE 2016-C4 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 'BBB+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 pages 12-13.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst & 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 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis.
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. 03 Mar 2016)
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)
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)
CFCRE 2016-C4 Mortgage Trust - Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1