Fitch to Rate CD 2017-CD6 Mortgage Trust Commercial Mtg P-T Ctfs, Ser 2017-CD6; Presale Issued.
--$44,159,000 class A-1 'AAAsf'; Outlook Stable;
--$103,497,000 class A-2 'AAAsf'; Outlook Stable;
--$67,649,000 class A-3 'AAAsf'; Outlook Stable;
--$61,062,000 class A-SB 'AAAsf'; Outlook Stable;
--$209,460,000 class A-4 'AAAsf'; Outlook Stable;
--$257,521,000 class A-5 'AAAsf'; Outlook Stable;
--$104,865,000 class A-M 'AAAsf'; Outlook Stable;
--$848,213,000b class X-A 'AAAsf'; Outlook Stable;
--$42,477,000 class B 'AA-sf'; Outlook Stable;
--$42,477,000ab class X-B 'AA-sf'; Outlook Stable;
--$45,132,000 class C 'A-sf'; Outlook Stable;
--$19,911,000a class D 'BBBsf'; Outlook Stable;
--$19,911,000ab class X-D 'BBBsf'; Outlook Stable;
--$31,857,000ac class E-RR 'BBB-sf'; Outlook Stable;
--$23,894,000ac class F-RR 'BB-sf'; Outlook Stable;
--$10,619,000ac class G-RR 'B-sf'; Outlook Stable.
The following are not expected to be rated:
--$39,822,721ac class H-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Classes E-RR, F-RR, G-RR and H-RR certificates, in the aggregate initial certificate balance of approximately $106,192,721 constitute the eligible horizontal residual interest to satisfy a portion of the sponsor's risk retention obligation. The combined interest retained by the horizontal residual interest is no less than 5.0%.
The expected ratings are based on information provided by the issuer as of Nov. 3, 2017.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 58 loans secured by 125 commercial properties having an aggregate principal balance of $1,061,925,721 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., and Argentic Real Estate Finance LLC.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 64.9% of the properties by balance, cash flow analysis of 80.6%, and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage: The pool's leverage is higher than recent Fitch-rated multiborrower transactions. The Fitch LTV for the pool is 104.2%, which is worse than the YTD 2017 average of 101.2%. The Fitch DSCR is 1.26x which is equal to the YTD 2017 average. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.24x and 108.5%, respectively.
Diversified Pool: The pool has concentration metrics better than recent transactions. The pool's loan concentration index (LCI) of 283 is better than the YTD 2017 average of 393. The pool's top 10 loan concentration of 41.3% is also better than the YTD 2017 average of 52.7%.
Investment-Grade Credit Opinion Loans: Three loans, representing 8.97% of the pool, have investment-grade credit opinions; this is less than the YTD 2017 average credit opinion concentration of 11.65% in recent transactions. Burbank Office Portfolio (4.71% of the pool) has an investment-grade credit opinion of 'BBB+sf*' on a stand-alone basis, while Moffett Place Building 4 (2.38% of the pool) and Colorado Center (1.88% of the pool) have investment-grade credit opinions of
'BBB-sf*' and 'A+sf*', respectively, on a stand-alone basis.
For this transaction, Fitch's net cash flow (NCF) was 6.9% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilized 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 the CD 2017-CD6 certificates and found that the transaction displays average sensitivities 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 'AA+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 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 13.
DUE DILIGENCE USAGE
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E 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 our analysis or conclusions. A copy of the ABS Due Diligence Form 15-E received by Fitch in connection with this transaction may be obtained via the link at the bottom of the related rating action commentary.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under 'Related Research' below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class, as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions,' dated May 31, 2016.
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|Publication:||Daily the Pak Banker (Lahore, Pakistan)|
|Date:||Jan 22, 2018|
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