Fitch Assigns Final Ratings to FREMF 2015-K45 Multifamily Mtge PT Ctfs & Freddie Mac SPC, Ser K-045

NEW YORK--()--Fitch Ratings has assigned the following ratings and Rating Outlooks:

FREMF 2015-K45 Multifamily Mortgage Pass-Through Certificates

--$153,506,000 class A-1 'AAAsf'; Outlook Stable;

--$1,140,000,000 class A-2 'AAAsf'; Outlook Stable;

--$1,293,506,000* class X1 'AAAsf'; Outlook Stable;

--$1,293,506,000* class X2-A 'AAAsf'; Outlook Stable;

--$126,196,000 class B 'BBB+sf'; Outlook Stable;

--$39,436,000 class C 'BBB-sf'; Outlook Stable.

Freddie Mac Structured Pass-Through Certificates Series K-045

--$153,506,000 class A-1 'AAAsf'; Outlook Stable;

--$1,140,000,000 class A-2 'AAAsf'; Outlook Stable;

--$1,293,506,000* class X1 'AAAsf'; Outlook Stable.

*Notional amount and interest only.

Fitch did not rate the following classes of FREMF 2015-K45: the $283,941,514 interest-only class X3, the $283,941,514 interest only class X2-B, or the $118,309,514 class D. Fitch did not rate the $283,941,514 class X3 of the Structured Pass-Through Certificates, Series K-045.

The certificates represent the beneficial interests in a pool of 74 commercial mortgages secured by 74 properties. The Freddie Mac Structured Pass-Through Certificates series K-045 (Freddie Mac SPC K-045) represents a pass-through interest in the corresponding class of securities issued by FREMF 2015-K45. Each Freddie Mac SPC K-045 security has the same designation as its underlying FREMF 2015-K45 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 64.8% of the properties by balance and cash flow analysis of 77.5% of the pool.

The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.11x, a Fitch stressed loan-to value (LTV) of 115.5%, and a Fitch debt yield of 7.47%. Fitch's aggregate net cash flow represents a variance of 7.49% to issuer cash flows.

KEY RATING DRIVERS

Fitch Leverage Exceeds 2014 Averages: The pool's Fitch DSCR and LTV are 1.11x and 115.5%, respectively. This represents higher leverage than for Fitch-rated, 10-year, K-series Freddie Mac deals in 2014. The 2014 average DSCR and LTV for Fitch-rated, 10-year, K-series Freddie Mac deals was 1.16x and 105.6%, respectively.

Loan Concentration: The top 10 loans comprise 34.6% of the pool, which is slightly greater than the 2014 average of 32.1% for Fitch-rated, 10-year, K-series Freddie Mac deals. The largest loan in the pool, The View At Montgomery, represents 5.5% of the pool, while the second largest loan, Mansions At Hockanum Crossing 1 And 2, represents 4% of the pool.

Property Quality: Fitch considered the overall collateral quality to be above average relative to other recent fixed-rate deals, with four properties (19.5% of sample balance,12.7% of total pool) receiving a grade of 'A' or 'A-' and none of the properties receiving a grade below 'B-'.

Below-Average Pool Amortization: Within the pool, 17 loans representing 24.8% of the pool are full-term interest only, and 38 loans representing 59.9% of the pool have partial-term interest only components. Based on the loans' scheduled maturity balance, the pool is expected to amortize 10% during the life of the transaction. This is one of the lowest amortization levels of recent Freddie Mac securitizations, which had an average amortization of 12.1% for 2014 Fitch-rated, 10-year, K-series Freddie Mac deals.

Low Mortgage Coupons: The pool's weighted average coupon is 3.8%, well below historical averages. 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-K45 pool could withstand a 47.17% decline in value (based on appraised values at issuance) and an approximately 14.11% 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 40.41% decline in value and an approximately 3.11% decrease in the most recent actual cash flow prior to experiencing $1 of loss to the 'BBB-sf' rated class.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.

The Master Servicer is KeyBank National Association, rated 'CMS1' by Fitch. The Special Servicer is Wells Fargo National Association, rated 'CSS2-, by Fitch.

The presale report is available at 'www.fitchratings.com.'

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions' (June 2014);

--'U.S. Commercial Mortgage Servicer Rating Criteria' (February 2014);

--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (December 2014);

--'Global Structured Finance Rating Criteria' (August 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748778

Rating Criteria for U.S. Commercial Mortgage Servicers

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

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=985056

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Contacts

Fitch Ratings
Primary Analyst
Clement Okeke
Associate Director
+1-312-606-2323
Fitch Ratings, Inc.
70 West Madison Street
Chicago IL, 60602
or
Secondary Analyst
Andres Turegano
Associate Analyst
+1-312-368-3332
or
Committee Chairperson
Eric Rothfeld
Managing Director
+1-212-908-0517
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Clement Okeke
Associate Director
+1-312-606-2323
Fitch Ratings, Inc.
70 West Madison Street
Chicago IL, 60602
or
Secondary Analyst
Andres Turegano
Associate Analyst
+1-312-368-3332
or
Committee Chairperson
Eric Rothfeld
Managing Director
+1-212-908-0517
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com