FEDERAL HOME LOAN MORTGAGE CORPORATION
Fitch Ratings has upgraded 14 and affirmed 62 classes of Fitch-rated 2015 vintage
The upgrades include 14 classes from eight FREMF multifamily mortgage pass-through certificates. The affirmations include 37 classes from nine FREMF multifamily mortgage pass-through certificates and 25 classes from nine
In addition, the Rating Outlooks on four classes of FREMF mortgage pass-through certificates were revised to Positive from Stable, and 12 classes were assigned a Positive Outlook following their upgrade.
Fitch has also affirmed the unenhanced ratings on 25 classes of the FREMF multifamily pass-through certificates and 25 classes of the
RATING ACTIONS
Entity / Debt
Rating
Prior
FREMF 2015-K48
A-1 30293HAL9
LT
AAAsf
Affirmed
AAAsf
A-1 30293HAL9
ULT
AAAsf
Affirmed
AAAsf
A-2 30293HAN5
LT
AAAsf
Affirmed
AAAsf
A-2 30293HAN5
ULT
AAAsf
Affirmed
AAAsf
B 30293HAE5
LT
A-sf
Upgrade
BBB+sf
C 30293HAG0
LT
BBB-sf
Affirmed
BBB-sf
X1 30293HAQ8
LT
AAAsf
Affirmed
AAAsf
X1 30293HAQ8
ULT
AAAsf
Affirmed
AAAsf
X2-A 30293HAA3
LT
AAAsf
Affirmed
AAAsf
Page
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Freddie Mac Guarantee, Credit Linked Notes: The multifamily mortgage pass-through certificates are guaranteed by
The affirmations of the long-term ratings are based on the generally stable to improving pool performance and loss expectations, and are supported by the guarantee. Although the interest-only classes are guaranteed, the long-term ratings are based on the pass-through to the referenced certificates. Although
Stable to Improved Loss Expectations: Fitch's unenhanced ratings are based on an analysis of the underlying collateral pools and do not give any credit to the
Pool-level losses ranged from 1.3% to 3.9% of the current pool balance, with the highest losses in FREMF 2015-K44 (3.9%), FREMF 2015-K48 (3.4%) and FREMF 2015-K43 (3.0%). There are 39 loans on the servicer's watch lists (4.2% of the 2015 vintage), and no specially serviced loans. Fitch has identified 43 loans as Fitch Loans of Concern (FLOCs) due to declining occupancy and cash flow, low DSCR and/or sponsor issues. The average FLOC concentration was 6.4% (ranging from 1.3% to 17.4%), with the highest concentrations in FREMF 2015-K44 (17.4%), FREMF 2015-K50 (7.7%), FREMF 2015-K45 (7.6%) and FREMF 2015-K48 (7.4%).
Increased Credit Enhancement (CE); Increased Defeasance: The upgrades and Positive Outlook revisions are based on the increased credit enhancement and significant additional defeasance within these transactions since Fitch's last rating action. As of the
FREMF 2015-K43: paydown of 6.1% since issuance (up from 4.7% at the last rating action); defeasance of 30.9% of current pool (up from 14.0% at the last rating action);
FREMF 2015-K44: paydown, 21.2% (6.0%); defeasance, 50.5% (13.3%);
FREMF 2015-K45: paydown, 16.1% (5.0%); defeasance, 37.7% (18.8%);
FREMF 2015-K46: paydown, 7.3% (4.6%); defeasance, 46.5% (27.1%);
FREMF 2015-K47: paydown, 8.1% (5.3%); defeasance, 41.1% (22.4%);
FREMF 2015-K48: paydown, 7.0% (5.3%); defeasance, 42.3% (28.3%);
FREMF 2015-K49: paydown, 8.8% (5.5%); defeasance, 36.6% (25.7%);
FREMF 2015-K50: paydown, 5.3% (3.8%); defeasance, 23.8% (11.9%);
FREMF 2015-K51: paydown, 10.0% (7.1%); defeasance, 36.5% (20.1%).
Additional Loss Considerations: To test the viability of the upgrades and Positive Rating Outlooks, Fitch applied a stress scenario that assumed a higher cap rate and stress to the servicer-reported NOI, and considered paydown from the defeased loans.
Senior and Student Housing Exposure: Sixteen loans (1.6% of the 2015 vintage) are secured by senior housing properties. Twenty-five loans (4.8%) are secured by a student housing property or multifamily property with a high student concentration. Fitch's base case analysis applied higher cap rates to these multifamily sub-classifications as they are considered more volatile and/or may require more operational experience than traditional multifamily assets. These additional stresses supported the current ratings and Outlook revisions.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Downgrades on the unenhanced ratings could occur with an increase in pool level expected losses from underperforming or specially serviced loans. While not expected, downgrades to classes B and C could occur if loss expectations for the pool increase significantly, performance of the FLOCs or properties vulnerable to the coronavirus do not stabilize to pre-pandemic levels and/or loans face difficulty refinancing at maturity.
The unenhanced ratings represent a detachment from the guarantee provided by
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Upgrades of classes B and C could occur if there is continued stable to improved asset performance coupled with additional paydown and/or defeasance. However, adverse selection, increased concentrations or the underperformance of particular loans could cause this trend to reverse.
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
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
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 multifamily mortgage pass-through certificates are guaranteed by
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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