Fitch Ratings has affirmed six classes of
Fitch has also affirmed three classes of
In addition, Fitch has affirmed unenhanced ratings for three classes of
RATING ACTIONS
ENTITY/DEBT RATING PRIOR
Freddie Mac Structured Pass-Through Certificates 2015-K045
A-1 3137BHX51
LT AAAsf Affirmed AAAsf
A-1 3137BHX51
ULT AAAsf Affirmed AAAsf
A-2 3137BHXJ1
LT AAAsf Affirmed AAAsf
A-2 3137BHXJ1
ULT AAAsf Affirmed AAAsf
X1 3137BHXK8
LT AAAsf Affirmed AAAsf
X1 3137BHXK8
ULT AAAsf Affirmed AAAsf
FREMF 2015-K45
A-1 30292PAL2
LT AAAsf Affirmed AAAsf
A-1 30292PAL2
ULT AAAsf Affirmed AAAsf
A-2 30292PAM0
LT AAAsf Affirmed AAAsf
A-2 30292PAM0
ULT AAAsf Affirmed AAAsf
B 30292PAE8
LT BBB+sf Affirmed BBB+sf
C 30292PAG3
LT BBB-sf Affirmed BBB-sf
X1 30292PAN8
LT AAAsf Affirmed AAAsf
X1 30292PAN8
ULT AAAsf Affirmed AAAsf
X2-A 30292PAA6
LT AAAsf Affirmed AAAsf
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Freddie Mac Guarantee, Credit Linked Notes: The multifamily mortgage pass-through certificates (FREMF 2015-K45) classes A-1, A-2 and X1 are guaranteed by
The affirmation of classes A-1 and A-2 are based on the generally stable pool performance and loss expectations, and is also supported by the
Stable Pool Performance and Loss Expectations: Fitch's unenhanced ratings are based on an analysis of the underlying collateral pool and do not give credit to the
FLOC:
Artessa at
The remaining FLOCs are outside the Top 15 and account for less than 0.70% of the pool.
Increasing Credit Enhancement: As of the
Coronavirus Exposure: Three non-defeased loans (7.87% of the pool) have executed forbearance agreements, all of which are scheduled to be paid back prior to YE 2021, due to the coronavirus pandemic. Four loans (12.5% of the pool) are secured by a student housing property and three loans (1.1% of the pool) are secured by senior living communities. Fitch considers these sub-sectors to be more volatile and/or require more operational experience than traditional multifamily assets; these sub-sectors are also expected to be more vulnerable to the coronavirus pandemic. Fitch's base case analysis applied additional NOI stresses to four multifamily loans given the potential for property-level cash flow declines in the short term as a result of the coronavirus pandemic. These additional stresses did not impact the ratings or Outlooks due to sufficient credit enhancement and improved pool performance.
RATING SENSITIVITIES
The Stable Rating Outlooks on the unenhanced ratings reflect stable pool performance.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Factors that could lead to upgrades on classes B and C include stable to improved asset performance coupled with additional paydown and/or defeasance. However, adverse selection and increased concentrations, or the underperformance of particular loans could cause this trend to reverse.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Factors that could lead to downgrades on the unenhanced ratings include an increase in pool level expected losses from underperforming or specially serviced loans. While a downgrade to class B & C is not expected, it is possible if loan performance declines significantly, loans face difficulty refinancing at maturity or properties vulnerable to the coronavirus do not return to pre-pandemic levels.
The unenhanced ratings represent a detachment from the guarantee provided by
In addition to its baseline scenario related to the coronavirus, Fitch envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects negative rating actions including downgrades or Negative Rating Outlooks to both the long-term and unenhanced ratings.
For more information on Fitch's original rating sensitivity on the transaction, please refer to the presale report.
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
Freddie Mac Guarantee, Credit Linked Notes: The multifamily mortgage pass-through certificates (FREMF 2015-K45) classes A-1, A-2 and X1 are guaranteed by
The affirmation of classes A-1 and A-2 are based on the generally stable pool performance and loss expectations, and is also supported by the Freddie mac guarantee. Although the interest-only class X1 is guaranteed, the long-term rating is based on the pass-through to the referenced A-1 and A-2 certificates. Although
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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