Fitch Affirms CGCMT 2020-GC46
(The following statement was released by the rating agency)Fitch Ratings-New York-04 February 2021:
Fitch Ratings has affirmed 16 classes of Citigroup Commercial Mortgage Trust series 2020-GC46 commercial mortgage pass-through certificates.
Citigroup Commercial Mortgage Trust 2020-GC46
----A-1 17328RAW9; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----A-2 17328RAX7; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----A-4 17328RAY5; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----A-5 17328RAZ2; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----A-AB 17328RBA6; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----A-S 17328RBB4; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----B 17328RBC2; Long Term Rating; Affirmed; AA-sf; Rating Outlook Stable
----C 17328RBD0; Long Term Rating; Affirmed; A-sf; Rating Outlook Stable
----D 17328RAG4; Long Term Rating; Affirmed; BBBsf; Rating Outlook Stable
----E 17328RAJ8; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable
----F 17328RAL3; Long Term Rating; Affirmed; BB-sf; Rating Outlook Stable
----GRR 17328RAN9; Long Term Rating; Affirmed; B-sf; Rating Outlook Stable
----X-A 17328RBE8; Long Term Rating; Affirmed; AAAsf; Rating Outlook Stable
----X-B 17328RAA7; Long Term Rating; Affirmed; A-sf; Rating Outlook Stable
----X-D 17328RAC3; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable
----X-F 17328RAE9; Long Term Rating; Affirmed; BB-sf; Rating Outlook Stable
KEY RATING DRIVERS
Overall Stable Performance: Pool performance has remained relatively stable since issuance, although full-year 2020 financials have not been reported and only a limited amount of rent rolls were available. One loan, The Westin Book Cadillac (3.7%), has transferred to the special servicer due to the performance impact of the pandemic. The servicer has placed 15 loans (27.9%) on the Watchlist due to the coronavirus pandemic and/or upcoming lease rollover and low DSCR on partial year financials. Fitch is monitoring the loans that have requested or received pandemic relief.
Specially Serviced Loan: The Westin Book Cadillac (3.7%) is 453-room full-service hotel located in downtown Detroit, MI and built in 1924. The hotel was renovated in 2008. The loan transferred to special servicing in August 2020 after the borrower requested pandemic-related relief. The hotel is close to three casinos as well as multiple sports venues, including Comerica Park, Ford Field and Little Caesars Arena. The hotel was closed in April, May and most of June 2020, but has remained open since. TTM November 2020 occupancy, ADR, and RevPar were 30.9%, $181 and $56 compared to TTM November 2019 at 77%, $204, and $158.
The special servicer is pursuing foreclosure while discussing a potential modification with the borrower. Fitch's analysis included a conservative loss assumption based on an updated valuation provided by the special servicer. The assumed loss severity was approximately 25%; however, Fitch's analysis and rating affirmations also considered the property's location and expectation of performance stabilization and recovery post-pandemic. The loan matures in 2030.
Minimal Change in Credit Enhancement: As of the January 2021 distribution date, the pool's aggregate principal balance has been paid down by 0.13% to $1.218 billion from $1.220 billion at issuance. There are 23 loans that are full-term interest-only (66.5% of the pool) and 13 loans (25.5%) are partial-interest only and have yet begun amortizing. Interest shortfalls are impacting class J-RR.
Pool Concentration/Coronavirus Exposure: Thirteen loans (29.9%) are secured by retail properties, seven loans (12.5%) are secured by hotel properties, and 10 loans (13.9%) are secured by multifamily properties. None of the properties are student or senior housing. Two loans, CBM Portfolio (4.10%) and 805 Third Avenue (3.69%), have received forbearance relief due to the pandemic.
Investment-Grade Credit Opinion Loans: Eight loans representing approximately 36.2% of the pool were assigned an investment-grade credit opinion on a standalone basis at issuance. Southcenter Mall (4.8%) loan received a credit opinion of 'AAAsf' on a standalone basis. Parkmerced (2.3%) received a credit opinion of 'BBB+sf' on a standalone basis. 650 Madison Avenue (9.4%), 1633 Broadway (9.0%), CBM Portfolio (4.1%), 805 Third Avenue (3.7%), the Bellagio (1.6%), and 510 East 14th Street (1.2%) loans each received a credit opinion of 'BBB-sf' on a standalone basis.
The Stable Rating Outlooks on all classes reflect the overall stable performance of the pool and continued amortization.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Sensitivity factors that could lead to upgrades include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to classes B, C, D, E, X-B, and X-D would only occur with significant improvement in credit enhancement (CE) and/or defeasance. Classes would not be upgraded above 'Asf' if there were a likelihood of interest shortfalls.
An upgrade to classes F, G-RR and X-F is unlikely until the later years of the transaction, and only if the performance of the remaining pool is stable and there is sufficient CE, which would likely occur when the senior classes payoff and if the nonrated class is not eroded. Additionally, as long as uncertainty surrounding the pandemic continues, upgrades are not likely.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the senior classes, A-1, A-2, A-3, A-4, A-5, A-AB, A-S, X-A, and B, are less likely due to the high CE, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur.
Downgrades to classes C, D, E, X-B and X-D could occur should overall pool losses increase and/or one or more large loans transfer to special servicing. Downgrades to classes F and G-RR would occur should the performance of loans impacted by the pandemic, such as The Westin Book Cadillac, fail to stabilize and/or losses materialize and CE becomes eroded.
In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded by one or more categories.
For more information on Fitch's original rating sensitivity on the transaction, please refer to the new issuance report.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria.
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
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