Fitch to Rate CGCMT 2016-GC36 Commercial Mortgage Trust; Presale Issued

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has issued a presale report for Citigroup Commercial Mortgage Trust 2016-GC36 Commercial Mortgage Pass-Through Certificates.

Fitch expects to rate the transaction and assign Rating Outlooks as follows:

--$42,973,000 class A-1 'AAAsf'; Outlook Stable;

--$22,079,000 class A-2 'AAAsf'; Outlook Stable;

--$33,518,000 class A-3 'AAAsf'; Outlook Stable;

--$225,000,000 class A-4 'AAAsf'; Outlook Stable;

--$415,175,000 class A-5 'AAAsf'; Outlook Stable;

--$70,409,000 class A-AB 'AAAsf'; Outlook Stable;

--$861,171,000b class X-A 'AAAsf'; Outlook Stable;

--$75,136,000b class X-B 'AA-sf'; Outlook Stable;

--$52,017,000c class A-S 'AAAsf'; Outlook Stable;

--$75,136,000c class B 'AA-sf'; Outlook Stable;

--$182,060,000c class EC 'A-sf'; Outlook Stable;

--$54,907,000c class C 'A-sf'; Outlook Stable;

--$65,021,000 class D 'BBB-sf'; Outlook Stable;

--$65,021,000b class X-D 'BBB-sf'; Outlook Stable;

--$28,898,000a class E 'BB-sf'; Outlook Stable;

--$11,560,000a class F 'B-sf'; Outlook Stable.

(a) Privately placed and pursuant to Rule 144A.

(b) Notional amount and interest-only.

(c) 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.

The expected ratings are based on information provided by the issuer as of Jan. 20, 2016. Fitch does not expect to rate the $15,894,000 class G or the $43,347,829 class H certificates.

The certificates represent the beneficial ownership interest in the trust, primary assets of which are 58 loans secured by 104 commercial properties having an aggregate principal balance of approximately $1.2 billion as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Citigroup Global Markets Realty Corp., Cantor Commercial Real Estate Lending, L.P., and Starwood Mortgage Funding I LLC.

Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78.4% of the properties by balance, cash flow analysis of 84.4%, and asset summary reviews on 100% of the pool.

KEY RATING DRIVERS

Highly Concentrated Pool: The top 10 loans comprise 59.4% of the pool, which is above the 2015 and 2014 averages of 49.3% and 50.5%, respectively. Additionally, the LCI is 489, which is well above the 2015 and 2014 averages of 367 and 387, respectively.

Higher Leverage than Other Recent Deals: The pool demonstrates leverage statistics that are worse than most recent Fitch-rated transactions. The pool's Fitch DSCR of 1.08x is below both the 2015 average of 1.18x and the 2014 average of 1.19x. The pool's Fitch LTV of 113.5% is above both the 2015 average of 109.3% and the 2014 average of 106.2%.

Above Average Collateral Quality: As a percentage of Fitch-inspected properties, 46.6% of the pool received a property quality grade of 'B+' or higher. Three loans (18.6% of the inspected properties) received property quality grades of 'A-' or higher. Eleven inspected properties (6.7%) received a property quality grade of 'B-' or below.

Limited Amortization: Based on the scheduled balance at maturity, the pool will pay down just 10.3%, which is less than the 2015 and 2014 averages of 11.7% and 12.05, respectively. Eight loans, representing 29.5% of the pool, are full-term interest only, and 33 loans representing 42.3% of the pool are partial interest only. The remainder of the pool consists of 17 balloon loans representing 28.2% of the pool, with loan terms of five to 10 years.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 3.8% below the most recent year's net operating income (NOI; for properties for which such information was provided). 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-GC36 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 'BBBsf' 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 58 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.

Citigroup Commercial Mortgage Trust 2016-GC36

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=876995

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175

Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874795

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864375

Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382

U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395

Related Research

CGCMT 2016-GC36 Presale Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=877100

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998456

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=998456&flm_nm=15e_998456_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998456

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160127006021/en/

Fitch Ratings
Primary Analyst
Peter Simon
Director
+1-212-908-9166
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Andres Turegano
Associate Analyst
+1-312-368-3332
or
Committee Chairperson
Eric Rothfeld
Managing Director
+1-212-908-0761
or
Media Relations:
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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