Fitch Rates CGCMT 2016-GC37 Commercial Mortgage Trust

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings and Rating Outlooks to Citigroup Commercial Mortgage Trust (CGCMT) 2016-GC37 Commercial Mortgage Pass-Through Certificates:

--$21,993,000 class A-1 'AAAsf'; Outlook Stable;

--$19,474,000 class A-2 'AAAsf'; Outlook Stable;

--$175,000,000 class A-3 'AAAsf'; Outlook Stable;

--$227,379,000 class A-4 'AAAsf'; Outlook Stable;

--$42,462,000 class A-AB 'AAAsf'; Outlook Stable;

--$526,255,000a class X-A 'AAAsf'; Outlook Stable;

--$33,868,000a class X-B 'AA-sf'; Outlook Stable;

--$39,947,000b class A-S 'AAAsf'; Outlook Stable;

--$33,868,000b class B 'AA-sf'; Outlook Stable;

--$106,814,000b class EC 'A-sf'; Outlook Stable;

--$32,999,000b class C 'A-sf'; Outlook Stable;

--$38,210,000c class D 'BBB-sf'; Outlook Stable;

--$38,210,000ac class X-D 'BBB-sf'; Outlook Stable;

--$19,105,000c class E 'BB-sf'; Outlook Stable;

--$7,816,000c 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 $7,816,000 class G or the $28,657,724 class H.

The certificates represent the beneficial ownership interest in the trust, primary assets of which are 54 loans secured by 64 commercial properties having an aggregate principal balance of approximately $697.4 million as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Rialto Mortgage Finance, LLC, The Bank of New York Mellon, Goldman Sachs Mortgage Company and RAIT Funding, LLC.

Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.4% of the properties by balance, cash flow analysis of 87.6%, and asset summary reviews on 100% of the pool.

KEY RATING DRIVERS

High Fitch Leverage: The pool has higher leverage statistics than other recent Fitch-rated transactions. The pool's weighted average (WA) Fitch debt service coverage ratio of 1.04x is below both the YTD 2016 average of 1.14x and the 2015 average of 1.18x. The pool's weighted average (WA) Fitch LTV of 115.3% is above both the YTD 2016 average of 108.7% and the 2015 average of 109.3%.

High Pool Concentration: The largest 10 loans account for 56.1% of the pool by balance. This is in line with the YTD 2016 average of 56.2% and greater than the 2015 average of 49.3%. The pool's average concentration resulted in a loan concentration index (LCI) of 419, which is comparable to the YTD 2016 average of 430, but worse than the 2015 average of 367.

Good Primary Market Exposure: Seven out of the top 10 properties totaling 39.7% of the pool are located in the central business districts of primary markets including New York, Denver, Los Angeles and Austin.

Above-Average Hotel Exposure: There are six loans, representing 16.2% of the pool, that consist of hotel properties, plus a mixed-use building with a hotel component that makes up 5.7% of the pool. This is higher than the YTD 2016 average of 14.9% and the 2015 average hotel concentration of 17%. 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 8.8% 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-GC37 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.

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. 03 Mar 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878298

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

Citigroup Commercial Mortgage Trust 2016-GC37 - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879792

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1003386

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=1003386&flm_nm=15e_1003386_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1003386

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/20160427006103/en/

Fitch Ratings
Primary Analyst
Brian Vorderbrueggen
Director
+1-212-908-9102
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
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Eric Rothfeld
Managing Director
+1-212-908-0761
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Email: [email protected]
Elizabeth Fogerty, New York, +1 212-908-0526
Email: [email protected]

Source: Fitch Ratings

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