NEW YORK--(BUSINESS WIRE)--Fitch Ratings has issued a presale report on FREMF 2015-K46 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates series K-046.
Fitch expects to rate the transaction and assign Rating Outlooks as follows:
FREMF 2015-K46 Multifamily Mortgage Pass-Through Certificates
--$147,457,000 class A-1 'AAAsf'; Outlook Stable;
--$1,148,447,000 class A-2 'AAAsf'; Outlook Stable;
--$1,295,904,000* class X1 'AAAsf'; Outlook Stable;
--$132,964,000 class B 'BBB+sf'; Outlook Stable;
--$39,691,000 class C 'BBB-sf'; Outlook Stable.
Freddie Mac Structured Pass-Through Certificates series K-046
--$147,457,000 class A-1 'AAAsf'; Outlook Stable;
--$1,148,447,000 class A-2 'AAAsf'; Outlook Stable;
--$1,295,904,000* class X1 'AAAsf'; Outlook Stable.
*Notional amount and interest only.
The expected ratings are based on information provided by the issuer as of June 1, 2015. Fitch does not expect to rate the following classes of FREMF 2015-K46: the $291,728,144 interest-only class X3, or the $119,073,144 class D. Fitch does not expect to rate the following class of Series K-046: the $291,728,144 interest-only class X3.
The certificates represent the beneficial interests in a pool of 82 commercial mortgages secured by 82 properties. The Freddie Mac Structured Pass-Through Certificates series K-046 (Freddie Mac SPC K-046) represents a pass-through interest in the corresponding class of securities issued by FREMF 2015-K46. Each Freddie Mac SPC K-046 security has the same designation as its underlying FREMF 2015-K46 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 64.9% of the properties by balance, cash flow analysis of 74.9% and asset summary reviews on 74.9% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch DSCR and LTV are 1.08x and 116.1%, respectively. While the DSCR is in line with Fitch-rated, 10-year, K-series Freddie Mac deals in 2015 year-to-date (YTD), the LTV represents higher leverage. The 2015 YTD average DSCR and LTV for Fitch-rated, 10-year, K-series Freddie Mac deals are 1.09x and 114.9%, respectively.
Loan Concentration: The top 10 loans comprise 34.8% 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, 80 Lafayette, represents 10.2% of the pool, while the second largest loan, Cunningham Heights, represents 5.2% of the pool.
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-K46 pool could withstand a 50.83% decline in value (based on appraised values at issuance) and an approximately 12.82% 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 44.28% decline in value and an approximately 2.19% decrease in the most recent actual cash flow prior to experiencing $1 of loss to the 'BBB-sf' rated class.
The Master Servicer is KeyBank National Association, rated 'CMS1' by Fitch. The Special Servicer is Wells Fargo Bank National Association, rated 'CSS2', by Fitch.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Additional information is available at 'www.fitchratings.com'.
FREMF 2015-K46 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-046
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=866536
Applicable Criteria
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. 31 Mar 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268
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
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=985746
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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