NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks for Citigroup Commercial Mortgage Trust 2016-C1 Commercial Mortgage Pass-through certificates:
--$36,205,000 class A-1 'AAAsf'; Outlook Stable;
--$15,052,000 class A-2 'AAAsf'; Outlook Stable;
--$185,000,000 class A-3 'AAAsf'; Outlook Stable;
--$237,485,000 class A-4 'AAAsf'; Outlook Stable;
--$55,255,000 class A-AB 'AAAsf'; Outlook Stable;
--$567,727,000a class X-A 'AAAsf'; Outlook Stable;
--$35,896,000a class X-B 'AA-sf'; Outlook Stable;
--$38,730,000b class A-S 'AAAsf'; Outlook Stable;
--$35,896,000b class B 'AA-sf'; Outlook Stable;
--$109,577,000b class EC 'A-sf'; Outlook Stable;
--$34,951,000b class C 'A-sf'; Outlook Stable;
--$47,232,000c class D 'BBB-sf'; Outlook Stable;
--$24,561,000c class E 'BB-sf'; Outlook Stable;
--$9,446,000c class F 'B-sf'; Outlook Stable.
(a) Notional amount and interest-only.
(b) The class A-S, class B and class C certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for the class A-S, class B and class C certificates.
(c) Privately placed and pursuant to Rule 144A.
Fitch does not rate the $9,447,000 class G or the $26,450,044 class H.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 54 loans secured by 130 commercial properties having an aggregate principal balance of approximately $755.7 million as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Cantor Commercial Real Estate Lending, L.P., Starwood Mortgage Funding V, LLC, and FCRE REL, LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.4% of the properties by balance, cash flow analysis of 84.9%, and asset summary reviews on 100% 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 1.06x is below both the year to date 2016 average of 1.17x and the 2015 average of 1.18x. The pool's Fitch LTV of 114.4% is above both the year to date 2016 average of 107.9% and the 2015 average of 109.3%.
High Pool Concentration: The largest 10 loans account for 55.1% of the pool by balance. This is higher than the year to date 2016 average of 54.8% and the 2015 average of 49.3%. The pool's average concentration resulted in a loan concentration index (LCI) of 471, which is greater than the year to date 2016 and the 2015 averages of 415 and 367, respectively.
Diverse Property Types: The pool has a diverse mix of property types, with retail as the largest at 36.9%, followed by hotel at 19.9%, office at 12.5%, and self-storage at 10.9%. Overall, there are 27 retail properties, including the largest loan (13.5% of the pool), consisting of a mix of unanchored and anchored shopping centers. None of the properties were malls.
For this transaction, Fitch's net cash flow (NCF) was 29.4% 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 could result in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2016-C1 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 'BBB+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 page 10.
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 54 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 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. 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)
Citigroup Commercial Mortgage Trust 2016-C1 -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1