Citigroup priced the senior most tranche of its latest commercial mortgage securitization, Citigroup Commercial Mortgage Trust 2015-GC29, just wide of the previous conduit to be sold, by Wells Fargo.
The 10-year super senior tranche yields swaps plus 89 basis points, two basis points more than the equivalent tranche of Wells Fargo Commercial Mortgage Trust 2015-LC20.
Both tranches carry triple-A credit ratings from Fitch Ratings, Kroll Bond Rating Agency and Moody’s Investors Service.
Lower down the capital structure, the senior tranches of both conduits pay swaps plus 115 basis points, though Citi’s benefits from slightly less credit enhancement, at 25%, compared with 27% for the same tranche of Wells Fargo's deal.
The senior tranche of Citi's deal is split rated; both Fitch and Kroll assigned it a triple-A, while Moody's rated it bond one notch lower, at Aa1.
CCMT 2015-GC29, is backed by a pool of 86 loans on 108 properties. The pool of mostly 10-year loans has weighted average loan-to-value ratio of 104.6%.
A significant number of the loans in the pool will pay only on interest for part (45) or all (five) of their terms. The pool is scheduled to amortize by only 8.4% of its initial balance prior to maturity, which is less than other recent transactions rated by Fitch. And the less amortization, the greater exposure to refinancing risk when the loan is due.
One property, representing 10% of the pool, is encumbered by additional debt that does not serve as collateral for the deal. Another four loans, representing 17% of the pool, allow for the addition of more debt at a future date. The amount of existing and/or permitted future subordinate debt is higher than the CMBS conduits rated by KBRA over the past six months, which ranged from 6.6% to 46%, with an average of 25.8%.
Exposing the pool to additional leverage increases borrower insolvency risk and may also introduce additional creditors that, according to Kroll, "could attempt to exercise remedies that are adverse to the trust, or support a bankruptcy plan that is adverse to the trust’s interests."
The largest loan in the pool, Selig Office Portfolio (11.2%), permits both future mezzanine debt and future additional pari passu debt.
The loans were contributed by four mortgage loan sellers: Citigroup Global Markets Realty Corp. (43 loans, 51.4%), Goldman Sachs Mortgage Co. (14 loans, 29.9%), Rialto Mortgage Funding (22 loans, 16%) and Freedom Commercial Real Estate REL (7 loans, 2.7%).
