Fitch Ratings has affirmed 12 classes of
In addition, Fitch has revised the Rating Outlooks on two classes to Positive from Stable and one class to Stable from Negative.
RATING ACTIONS
Entity / Debt
Rating
Prior
CGCMT 2016-P6
A-4 17291EAV3
LT
AAAsf
Affirmed
AAAsf
A-5 17291EAW1
LT
AAAsf
Affirmed
AAAsf
LT
AAAsf
Affirmed
AAAsf
A-S 17291EAY7
LT
AAAsf
Affirmed
AAAsf
B 17291EAZ4
LT
AA-sf
Affirmed
AA-sf
C 17291EBA8
LT
A-sf
Affirmed
A-sf
D 17291EAA9
LT
BBB-sf
Affirmed
BBB-sf
E 17291EAC5
LT
BB-sf
Affirmed
BB-sf
F 17291EAE1
LT
CCCsf
Affirmed
CCCsf
Page
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Improved Loss Expectations: Overall pool performance is stable from last review with loss expectations lower than the prior rating action, primarily due to stabilizing performance of loans affected by the pandemic and better than expected outcomes of disposed loans with realized losses less than expected. The revised Outlook to Stable from Negative on class F reflects overall stabilization of the pool while the Positive Outlooks on classes B and X-B reflect the potential for upgrade with further paydown of the pool and continued stable performance.
Fitch's ratings incorporate a base case loss of 4.9%. Seven loans (34% of the pool) were identified as Fitch Loans of Concern (FLOCs). No loans are in special servicing.
Fitch Loans of Concern: The largest FLOC,
The second-largest FLOC,
The largest improvement in expected losses is the
Increasing Credit Enhancement: As of the
Eight additional loans (18.1% of the original deal balance) have paid prior to or at maturity in the second half of 2021. Loan maturities are concentrated in 2026 (95%) with an additional 2.4% maturing in 2023 and 2.7% in 2027. Cumulative interest shortfalls totaling
Undercollateralization: The transaction is undercollateralized by approximately
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes;
Downgrades to the 'BBB-sf' and A-sf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'BB-sf' and 'CCCsf' categories would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer and as losses are realized.
Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse.
Upgrades to the 'BBB-sf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'BB-sf' and 'CCCsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes.
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.
ESG Considerations
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
Additional information is available on www.fitchratings.com
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