NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on Citigroup Commercial Mortgage Trust (CGCMT) Commercial Mortgage Trust 2015-P1 Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
--$35,065,000 Class A-1 'AAAsf'; Outlook Stable;
--$55,289,000 Class A-2 'AAAsf'; Outlook Stable;
--$2,198,000 Class A-3 'AAAsf'; Outlook Stable;
--$200,000,000 Class A-4 'AAAsf'; Outlook Stable;
--$398,935,000 Class A-5 'AAAsf'; Outlook Stable;
--$75,556,000 Class A-AB 'AAAsf'; Outlook Stable;
--$838,269,000b Class X-A 'AAAsf'; Outlook Stable;
--$58,898,000b Class X-B 'AA-sf'; Outlook Stable;
--$71,226,000c Class A-S 'AAAsf'; Outlook Stable;
--$58,898,000c Class B 'AA-sf'; Outlook Stable;
--$182,173,000c Class PEZ 'A-sf'; Outlook Stable;
--$52,049,000c Class C 'A-sf'; Outlook Stable;
--$56,159,000 Class D 'BBB-sf'; Outlook Stable;
--$56,159,000b Class X-D 'BBB-sf'; Outlook Stable;
--$23,285,000a Class E 'BBsf'; Outlook Stable;
--$10,958,000a Class F 'Bsf'; Outlook Stable;
--$56,158,641a Class G 'NRsf'; Outlook Stable;
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Class A-S, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-S, B, and C certificates.
The expected ratings are based on information provided by the issuer as of July 28, 2015. Fitch does not expect to rate the $56,158,641 class G.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 45 loans secured by 146 commercial properties having an aggregate principal balance of approximately $1.096 billion as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Principal Commercial Capital, Wells Fargo Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78.92% of the properties by balance, cash flow analysis of 87.5%, and asset summary reviews on 87.5% of the pool.
KEY RATING DRIVERS
Leverage in Line with Recent Averages: The Fitch DSCR and LTV are 1.21x and 108.6%, respectively. The leverage metrics for this transaction are in line with other recent Fitch-rated fixed-rate multi-borrower transactions. The 2014 and 2015 YTD averages have a DSCR and LTV of 1.19x and 106.2% and 1.20x and 110.1%, respectively.
Investment-Grade Credit Opinion Loans: The ninth largest loan, US StorageMart Portfolio and the 16th largest loan, Alderwood Mall both have 'AAA' credit opinions within the context of the pool. They are both pari passu pieces of loans in GSMS 2015-GC32, and together comprise 6.22% of the pool.
High Pool Concentration: The top 10 loans comprise 60.5% of the pool, which significantly higher than recent averages of 50.5% and 47.1% for 2014 and YTD 2015, respectively. Additionally, the LCI and SCI are both 477. The LCI and SCI are much higher than the 2015 YTD averages of 340 and 385, respectively.
High Hotel Concentration: Hotels comprise the third largest property type concentration at 21.4% of the pool. This is much higher than the 2014 and YTD 2015 averages of 14.2% and 15.7%, respectively.
Below Average Amortization: The pool is scheduled to amortize by 10.7% of the initial pool balance prior to maturity. This is slightly below the averages of 12.0% and 12.4% for 2014 and YTD 2015, respectively. Five loans (19.6%) are full-term interest only and 17 loans (47.4%) are partial interest only, with the remaining 23 loans (33.0%) being balloon loans.
Mortgage Coupons: The pool's weighted average coupon is 4.36%, well below historical averages. Fitch accounted for increased refinance risk in a higher interest rate environment by reviewing an interest rate sensitivity that assumes an interest rate floor of 5% for the term risk for most property types, 4.5% for multifamily properties, and 6% for hotel properties, in conjunction with Fitch's stressed refinance rates, which were 10.36% on a weighted-average basis.
For this transaction, Fitch's NCF was 13.6% 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). The following rating sensitivities describe how the ratings would react to further NCF declines below Fitch's NCF. The implied rating sensitivities are only indicative of some of the potential outcomes and do not consider other risk factors to which the transaction is exposed. Stressing additional risk factors may result in different outcomes. Furthermore, the implied ratings, after the further NCF stresses are applied, are more akin to what the ratings would be at deal issuance had those further stressed NCFs been in place at that time.
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 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on its 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 (RAC).
Additional information is available at www.fitchratings.com.
Citigroup Commercial Mortgage Trust 2015-P1
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (pub. 20 Mar 2015)
Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 28 May 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (pub. 10 Dec 2014)
Dodd-Frank Rating Information Disclosure Form