Assurant Inc. is securitizing its first CMBS transaction. Fitch Ratings has assigned a preliminary rating to $259.7 million Assurant Commercial Mortgage Trust 2016-1 transaction, backed by 79 loans on 89 properties.
The rating agency gave the transaction’s two senior classes ‘AAAsf’ ratings in a presale report. The pool’s weighted average volatility score is 4.01 (on a range from 1 to 5, with 1 the least volatile), which is higher than the agency’s 2016 year-to-date average of 3.16.
“Fitch assumed higher volatility scores on average due to limited and dated loan-level financial information and dated third-party reports,” read the presale report. The loans’ third party reports were completed at the time of origination and the loans’ latest broker opinions of value (BOVs) were completed last fall.”
But the report also shows that the pool is more diverse by loan count and size than recent transactions. The top loans represent 29.3 percent of the pool, compared to the agency’s year-to-date 2016 average top loan concentration of 54.8 percent.
The transaction’s LTV of 81.2 percent is also a significantly lower leverage than recent US CMBS multi-borrower transactions rated by the agency. The average Fitch loan-to-value for 2016 transactions to date were 107.9 percent, while the 2015 Fitch LTV average was 109.3 percent.
The pool consists of 39.8 percent retail, 26.7 percent industrial, 18.1 percent office and 7.3 percent multifamily. The pool contains no loans secured by hotels, which have higher probability of default in Fitch’s analysis.
Regrading Assurant’s entry into the market, Fitch noted that it has not yet rated the holding company but that it has a public investment-grade rating.
“Fitch also performed an originator review meeting with Assurant Inc. and found it adhered to best practices identified by Fitch,” the report states. “These practices include standardized underwriting procedures and loan documentation, loan sponsor credit searches, and unanimous committee decisions prior to financing.”