Fitch Ratings has assigned the following ratings and Rating Outlooks to FREMF 2022-K152 Multifamily Mortgage Pass-Through Certificates, series 2022-K152 and Freddie Mac Structured Pass-Through Certificates, Series K-152.
RATING ACTIONS
Entity / Debt
Rating
Prior
A-1
LT
AAAsf
New Rating
A-1
ULT
AAAsf
New Rating
A-2
LT
AAAsf
New Rating
A-2
ULT
AAAsf
New Rating
A-M
LT
NRsf
New Rating
NR(EXP)sf
A-M
ULT
NRsf
New Rating
NR(EXP)sf
X1
LT
AAAsf
New Rating
X1
ULT
AAAsf
New Rating
X3
LT
NRsf
New Rating
NR(EXP)sf
Page
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VIEW ADDITIONAL RATING DETAILS
FREMF 2022-K152 Mortgage Trust Multifamily Mortgage Pass-Through Certificates (FREMF 2022-K152):
In addition, Fitch has issued Unenhanced Ratings, which reflect the underlying creditworthiness absent the
Freddie Mac Structured Pass-Through Certificates, Series K-152 (
Fitch has also issued Unenhanced Ratings, which reflect the underlying creditworthiness absent the
(a) Notional amount and interest only (IO).
(b) Guaranteed by
The FREMF 2022-K152 trust consists of both guaranteed and unguaranteed certificates. The underlying guaranteed certificates consist of the classes A-1, A-2, A-M, X1, XAM and X3. These certificates will be purchased by
Fitch does not rate the following classes of FREMF 2022-K152:
These ratings and Unenhanced Ratings are based on information provided by the issuer as of
Transaction Summary
The certificates represent the beneficial ownership interest in the trust. The trust's primary assets are 52 fixed-rate loans secured by 45 multifamily properties, eight manufactured housing communities and two healthcare properties with an aggregate principal balance of approximately
Fitch reviewed a comprehensive sample of the transaction's collateral, including cash flow analysis of 78.8% of the pool and asset summary reviews of 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage: The pool's Fitch debt service coverage ratio (DSCR) and loan-to-value ratio (LTV) are 0.93x and 122.0%, respectively. The pool's DSCR is lower than the YTD 2022 and 2021 averages for Fitch-rated 10-year
Pool Concentration: The top 10 loans represent 52.2% of the pool, which is below the YTD 2022 average of Fitch-rated 10-year
Property Type Concentration: The pool is 92.5% secured by traditional multifamily properties, 3.8% secured by MHC properties and 3.7% secured by health care properties. The pool's health care concentration is higher than the YTD 2022 and the 2021 averages for Fitch-rated 10-year
Freddie Mac Guarantee: The ratings of classes A-1, A-2 and X1 factor in added support via a guarantee from
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF):
Original Rating: 'AAAsf';
10% NCF decline: 'AA+sf';
20% NCF decline: 'A+sf';
30% NCF decline: 'BBB+sf'.
Fitch has revised its global economic outlook forecasts as a result of the war in
Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Fitch did not consider the implementation of positive stresses for this transaction as the rated classes are at the highest rating level and cannot be upgraded further. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The ratings of classes A-1, A-2 and X1 take into account the
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
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