CHICAGO--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to Assurant Commercial Mortgage Trust 2016-1 Commercial Mortgage Pass-Through Certificates.
--$57,307,000 class A-1 'AAAsf'; Outlook Stable;
--$124,511,000 class A-2 'AAAsf'; Outlook Stable;
--$220,779,000a class X-A 'AAAsf'; Outlook Stable;
--$38,961,000 class A-S 'AAAsf'; Outlook Stable.
(a) Notional amount and interest-only.
Fitch does not rate the $16,883,000 class B certificates, the $6,169,000 class C certificates, the $6,169,000 class D certificates, the $2,597,000 class E certificates, the $2,598,000 class F certificates, or the $4,545,602 class G certificates.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 79 loans secured by 89 commercial properties having an aggregate principal balance of approximately $259.7 million as of the cut-off date. The loans were contributed to the trust by Assurant, Inc.
Fitch reviewed a comprehensive sample of the transaction's collateral including site inspections on 70.4% of the properties by balance, cash flow analysis of 72.2%, and asset summary reviews on 72.2% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) of 1.53x and 81.2%, respectively, represent significantly lower leverage than recent U.S. CMBS multiborrower transactions. The average Fitch DSCR and LTV for 2016 transactions to date were 1.17x and 107.9%, respectively, and the 2015 Fitch DSCR and LTV averages were 1.18x and 109.3%.
Significant Amortization: The scheduled balloon balance represents a paydown of 34.4% from the cutoff date, significantly higher than the 2016 year-to-date average for U.S. CMBS transactions of approximately 10%. There are no fully or partial interest-only loans, 15 loans (15.1% of the pool) are fully amortizing, and 62 loans (69% of the original pool balance) amortize over schedules fewer than 30 years.
Seasoned Loans: The loans have a weighted average seasoning of 45 months, and all the loans have been current since origination. However, the loans' third party reports, performed at the time of origination, are generally dated. Updated broker opinions of value (BOVs) were prepared for the entire pool in latter part of 2015. Fitch applied higher volatility scores to the pool given its older reports.
Lack of Customary Structural Features: Because the loans were not originated with intent of securitization, certain features common in CMBS transactions are absent. For example, escrows and reserves are typically waived unless a default occurs. While most loans prohibit additional secured financing, some loans allow the borrower to incur unsecured financing.
For this transaction, Fitch's net cash flow (NCF) was 25.2% below the 2014 net operating income (NOI; for properties for which a recent 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 result in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to ACM 2016-1 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 'A-sf' 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 pages 10-11.
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 79 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link at 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. 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)
Assurant Commercial Mortgage Trust 2016-1 -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1