NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report for Citigroup Commercial Mortgage Trust Series 2015-GC29 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$29,302,000 class A-1 'AAAsf'; Outlook Stable;
--$146,427,000 class A-2 'AAAsf'; Outlook Stable;
--$220,000,000 class A-3 'AAAsf'; Outlook Stable;
--$334,415,000 class A-4 'AAAsf'; Outlook Stable;
--$52,822,000 class A-AB 'AAAsf'; Outlook Stable;
--$838,892,000* class X-A 'AAAsf'; Outlook Stable;
--$72,704,000* class X-B 'AA-sf'; Outlook Stable;
--$55,926,000b class A-S 'AAAsf'; Outlook Stable;
--$72,704,000b class B 'AA-sf'; Outlook Stable;
--$180,362,000b class PEZ 'A-sf'; Outlook Stable;
--$51,732,000b class C 'A-sf'; Outlook Stable;
--$65,713,000a class D 'BBB-sf'; Outlook Stable;
--$65,713,000*a class X-D 'BBB-sf; Outlook Stable;
--$23,769,000a class E 'BBsf'; Outlook Stable;
--$11,185,000a class F 'Bsf'; Outlook Stable.
(*) Notional amount and interest-only.
(a) Privately placed pursuant to Rule 144A.
(b) The 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.
The expected ratings are based on information provided by the issuer as of Mar. 25, 2015. Fitch does not expect to rate the $15,380,000a class G and $39,148,505a class H certificates.
The certificates represent the beneficial ownership in the trust, primary assets of which are 86 loans secured by 108 commercial properties having an aggregate principal balance of approximately $1.12 billion as of the cutoff date. The loans were originated by Citigroup Global Markets Realty Corp.; Goldman Sachs Mortgage Company; Rialto Mortgage Finance, LLC; KGS-Alpha Real Estate Capital Markets, LLC; GS Commercial Real Estate LP; FCRE REL, LLC; and RAIT Funding, LLC. In addition, one loan contributed to the trust was co-originated by Citigroup Global Markets Realty Corp., German American Capital Corporation, and Wells Fargo Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.3% of the properties by balance, cash flow analysis of 79.9%, and asset summary reviews of 86.0% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The transaction has higher leverage than other recent Fitch- rated transactions. The pool's Fitch DSCR of 1.17x is below both the YTD 2015 average of 1.20x and the 2014 average of 1.19x, and the pool's Fitch LTV of 111.2% is above both the YTD 2015 average of 109.3% and the 2014 average of 106.2%.
Concentrated Pool: The largest ten loans account for 57.2% of the pool by balance. This is greater than the YTD 2015 average of 47.7% and the 2014 average of 50.5%. The pool's above-average concentration resulted in a loan concentration index (LCI) of 476, which is greater than the YTD 2015 and 2014 averages of 337 and 387, respectively. However, four of the largest ten loans (29.1% of the pool) are secured by properties located in New York City.
Limited Hotel Exposure: Only 6.2% of the pool by balance consists of hotel properties, which is below the YTD 2015 average of 17.8% 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 10.3% below the most recent net operating income (NOI) (for properties for which historical NOI was provided, excluding properties that were stabilizing during the most recent reporting period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2015-GC29 certificates and found that the transaction displays slightly above 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 10 - 11.
The master servicer will be Midland Loan Services, a Division of PNC Bank, National Association, rated 'CMS1' by Fitch. The special servicer will also be Midland Loan Services, a Division of PNC Bank, National Association, rated 'CSS1' by Fitch.
The presale report is available at 'www.fitchratings.com'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (June 18, 2014);
--'Global Structured Finance Rating Criteria' (Aug. 20, 2014);
--'Rating Criteria for U.S. Commercial Mortgage Servicers' (Feb. 14, 2014);
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 10, 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).
Applicable Criteria and Related Research: Citigroup Commercial Mortgage Trust 2015-GC29 (US CMBS)
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Global Structured Finance Rating Criteria
Rating Criteria for U.S. Commercial Mortgage Servicers
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Counterparty Criteria for Structured Finance and Covered Bonds