Fitch Assigns Final Ratings to FREMF 2015-K47 Multifamily Mtg P-T Certs …

NEW YORK–(BUSINESS WIRE)–Fitch Ratings has assigned the following ratings and Rating Outlooks for
FREMF 2015-K47 Multifamily Mortgage Pass-Through Certificates and
Freddie Mac Structured Pass-Through Certificates Series K-047.

FREMF 2015-K47 Multifamily Mortgage Pass-Through Certificates

–$149,241,000 class A-1 ‘AAAsf’; Outlook Stable;

–$1,038,134,000 class A-2 ‘AAAsf’; Outlook Stable;

–$1,187,375,000* class X1 ‘AAAsf’; Outlook Stable;

–$1,187,375,000* class X2-A ‘AAAsf’; Outlook Stable;

–$115,841,000 class B ‘BBB+sf’; Outlook Stable;

–$36,201,000 class C ‘BBB-sf’; Outlook Stable.

Freddie Mac Structured Pass-Through Certificates series K-047

–$149,241,000 class A-1 ‘AAAsf’; Outlook Stable;

–$1,038,134,000 class A-2 ‘AAAsf’; Outlook Stable;

–$1,187,375,000* class X1 ‘AAAsf’; Outlook Stable.

*Notional amount and interest only.

Fitch did not rate the following classes of FREMF 2015-K47: the
$260,643,720 interest-only class X3, the $260,643,720 interest only
class X2-B, or the $108,601,720 class D. Fitch did not rate the
$260,643,720 class X3 of the Structured Pass-Through Certificates,
Series K-047.

The certificates represent the beneficial interests in a pool of 90
commercial mortgages secured by 91 properties. The Freddie Mac
Structured Pass-Through Certificates series K-047 (Freddie Mac SPC
K-047) represents a pass-through interest in the corresponding class of
securities issued by FREMF 2015-K47. Each Freddie Mac SPC K-047 security
has the same designation as its underlying FREMF 2015-K47 class. All
loans were originated specifically for Freddie Mac by approved Seller
Servicers. The certificates follow a sequential-pay structure.

Fitch reviewed a comprehensive sample of the transaction’s collateral,
including site inspections on 63.3% of the properties by balance and
cash flow analysis of 75.3% of the pool.

The transaction has a Fitch stressed debt service coverage ratio (DSCR)
of 1.13x, a Fitch stressed loan-to value (LTV) of 114.9%, and a Fitch
debt yield of 7.67%. Fitch’s aggregate net cash flow represents a
variance of 7.60% to issuer cash flows.

KEY RATING DRIVERS

Leverage In Line with Recent Freddie Mac Transactions: The pool’s Fitch
DSCR and LTV are 1.13x and 114.9%, respectively. The 2015 YTD average
DSCR and LTV for Fitch-rated, 10-year, K-series Freddie Mac deals are
1.08x and 115.2%, respectively.

Diverse Pool by Loan Concentration: The top 10 loans comprise 30.8% of
the pool, which is lower than the 2015 YTD average of 37.8% for
Fitch-rated, 10-year, K-series Freddie Mac deals. The largest loan in
the pool, The Pearson Court Square, represents 4.83% of the pool, while
the second largest loan, Orion at Roswell Village, represents 4.30% of
the pool.

Above Average Property Quality: Fitch considered collateral quality to
be above average relative to other 10-year, K-series Freddie Mac deals,
with four properties (14% of the Fitch sampled properties) receiving a
grade of ‘A’ or ‘A-‘, an additional 20% receiving a ‘B+’ grade and none
of the properties receiving a grade below ‘B-‘.

Below-Average Pool Amortization: Within the pool, 15 loans representing
16.2% of the pool are full-term interest only, and 59 loans representing
72.6% of the pool have partial-term interest-only components. Based on
the loans’ scheduled maturity balance, the pool is expected to amortize
10.4% during the life of the transaction. This is one of the lowest
amortization levels of recent Freddie Mac securitizations, which had an
average of 12.1% for 2014 for Fitch-rated, 10-year, K-series Freddie Mac
deals.

Low Mortgage Coupons: The pool’s weighted average coupon is 3.81%, well
below historical averages and in line with recent 2015 Fitch-rated,
10-year, K-series Freddie Mac deals. Fitch accounted for increased
refinance risk in a higher interest rate environment by reviewing an
interest rate sensitivity that assumes an interest rate floor of 4.5%
for multifamily properties, in conjunction with Fitch’s stressed
refinance rates, which were 8.6% on a weighted average basis.

RATING SENSITIVITIES

Fitch performed two model-based break-even analyses to determine the
level of cash flow and value deterioration the pool could withstand
prior to $1 of loss being experienced by the ‘BBB-sf’ and ‘AAAsf’ rated
classes. Fitch found that the FREMF 2015-K47 pool could withstand a
47.3% decline in value (based on appraised values at issuance) and an
approximately 19.6% decrease to the most recent actual cash flow prior
to experiencing $1 of loss to any ‘AAAsf’ rated class. Additionally,
Fitch found that the pool could withstand a 40.6% decline in value and
an approximately 9.3% decrease in the most recent actual cash flow prior
to experiencing $1 of loss to the ‘BBB-sf’ rated class.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information from KPMG
LLP. The third-party due diligence information was provided on Form ABS
Due Diligence-15E and focused on a comparison and re-computation of
certain characteristics with respect to each of the 90 mortgage loans.
Fitch considered this information in its analysis and the findings did
not have an impact on our analysis. A copy of the ABS Due Diligence
Form-15E received by Fitch in connection with this transaction may be
obtained through the link contained on the bottom of the related rating
action commentary (RAC).

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14
May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Analyzing Multiborrower U.S. and Canadian Commercial
Mortgage Transactions (pub. 28 May 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865499

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864375

Rating Criteria for U.S. Commercial Mortgage Servicers (pub. 14 Feb 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
(pub. 10 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=812608

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=988772

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=988772

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND
DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING
THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS.
IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE
AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘.
PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS
SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS
OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES
AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF
THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE
RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR
RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY
CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH
WEBSITE.


Comments are closed.