Fitch to Rate CGCMT 2016-P4 Commercial Mortgage Trust; Presale Issued

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has issued a presale report for Citigroup Commercial Mortgage Trust 2016-P4 Commercial Mortgage Pass-Through Certificates.

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

--$24,619,000 class A-1 'AAAsf'; Outlook Stable;

--$65,384,000 class A-2 'AAAsf'; Outlook Stable;

--$170,000,000 class A-3 'AAAsf'; Outlook Stable;

--$201,346,000 class A-4 'AAAsf'; Outlook Stable;

--$43,461,000 class A-AB 'AAAsf'; Outlook Stable;

--$553,488,000a class X-A 'AAAsf'; Outlook Stable;

--$34,255,000a class X-B 'AA-sf'; Outlook Stable;

--$48,678,000 class A-S 'AAAsf'; Outlook Stable;

--$34,255,000 class B 'AA-sf'; Outlook Stable;

--$33,353,000 class C 'A-sf'; Outlook Stable;

--$40,565,000b class D 'BBB-sf'; Outlook Stable;

--$73,918,000ab class X-C 'BBB-sf'; Outlook Stable;

--$18,931,000b class E 'BB-sf'; Outlook Stable;

--$8,113,000b class F 'B-sf'; Outlook Stable.

The following classes are not expected to be rated:

--$7,211,000b class G.

--$25,241,407b class H.

a - Notional amount and interest-only.

b - Privately placed pursuant to Rule 144A.

The expected ratings are based on information provided by the issuer as of July 8, 2016.

The certificates represent the beneficial ownership interest in the trust, primary assets of which are 45 loans secured by 64 commercial properties having an aggregate principal balance of $721,157,407 as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Macquarie US Trading LLC d/b/a Principal Commercial Capital, Starwood Mortgage Funding V LLC and Barclays Bank PLC.

Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.2% of the properties by balance and asset summary reviews and cash flow analysis of 81.3% of the pool.

KEY RATING DRIVERS

Higher Fitch Leverage: The pool's leverage statistics are higher than other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR of 1.13x is below the year-to-date (YTD) 2016 average of 1.17x and full-year 2015 average of 1.18x, respectively. The pool's Fitch LTV of 111.1% is above the YTD 2016 and 2015 averages of 107.5% and 109.3%, respectively.

Average Pool Concentration: The top 10 loans make up 50.9% of the pool, which is below the YTD 2016 average of 55.4%, but above the 2015 average of 49.3% for other Fitch-rated fixed-rate multiborrower transactions. The pool's loan concentration index (LCI) of 389 is below the YTD 2016 average of 428, but above the 2015 average of 367.

High Lodging Exposure: Approximately 19.3% of the pool by balance, including six of the Top 20 loans, consists of hotel properties. Hotel concentration in the pool is greater than the YTD 2016 and 2015 averages of 15.9% and 17.0%, respectively. Hotels have the highest probability of default in Fitch's multiborrower CMBS model.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 16.9% 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 in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2016-P4 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 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 page 10.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information from KPMG 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 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 (RAC).

Additional information is available at www.fitchratings.com.

Citigroup Commercial Mortgage Trust 2016-P4

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884730

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

Criteria for Analyzing Multiborrower U.S. and Canadian Commercial Mortgage Transactions (pub. 01 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882237

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882401

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Rating Criteria for Structured Finance Servicers (pub. 01 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884140

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

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1008718

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=1008718&flm_nm=15e_1008718_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1008718

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/20160711006315/en/

Fitch Ratings
Primary Analyst
Eric Kraushaar
Associate Director
+1-312-368-3335
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Secondary Analyst
Chase Hatchett
Analyst
+1-646-582-4949
or
Committee Chairperson
Robert Vrchota
Managing Director
+1-312-368-3336
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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