Fitch Assigns Final Rtgs to FREMF 2015-K46 Multifamily Mtg P-T Ctfs & Freddie Mac SPC, Series K-046

NEW YORK--()--Fitch Ratings has assigned the following ratings and Rating Outlooks to FREMF 2015-K46 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-046.

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.

Fitch did not rate the following classes of FREMF 2015-K46: the $291,728,144 interest-only class X3, or the $119,073,144 class D. Fitch did not 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 debt service coverage ratio (DSCR) and loan-to-value (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'.

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. 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

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=986591

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=986591

Endorsement Policy

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

Contacts

Fitch Ratings
Primary Analyst
John Tarantino
Associate Director
+1-212-908-0821
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Charles MacKenzie
Analyst
+1-212-908-0267
or
Committee Chairperson
Robert Vrchota
Managing Director
+1-312-368-3336
or
Media Relations
Sandro Scenga
New York
+1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
John Tarantino
Associate Director
+1-212-908-0821
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Charles MacKenzie
Analyst
+1-212-908-0267
or
Committee Chairperson
Robert Vrchota
Managing Director
+1-312-368-3336
or
Media Relations
Sandro Scenga
New York
+1-212-908-0278
sandro.scenga@fitchratings.com