FEDERAL HOME LOAN MORTGAGE CORPORATION Fitch Ratings has affirmed all classes of Fitch-rated 2015 Vintage Freddie Mac transactions.
This includes 53 classes from nine
In addition, Fitch has affirmed the unenhanced ratings on 27 classes of the multifamily pass-through certificates and 27 classes of the Freddie Mac Structured Pass-Through Certificates.
Rating ActionsENTITY/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 BBB+sf Affirmed 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
FREMF 2015-K43
A-1 30286XAA7
LT AAAsf Affirmed AAAsf
A-1 30286XAA7
ULT AAAsf Affirmed AAAsf
A-2 30286XAC3
LT AAAsf Affirmed AAAsf
A-2 30286XAC3
ULT AAAsf Affirmed AAAsf
B 30286XAN9
LT A-sf Affirmed A-sf
C 30286XAQ2
LT BBBsf Affirmed BBBsf
X1 30286XAE9
LT AAAsf Affirmed AAAsf
X1 30286XAE9
ULT AAAsf Affirmed AAAsf
X2-A 30286XAJ8
LT AAAsf Affirmed AAAsf
FREMF 2015-K46
A-1 30292RAA2
LT AAAsf Affirmed AAAsf
A-1 30292RAA2
ULT AAAsf Affirmed AAAsf
A-2 30292RAC8
LT AAAsf Affirmed AAAsf
A-2 30292RAC8
ULT AAAsf Affirmed AAAsf
B 30292RAJ3
LT BBB+sf Affirmed BBB+sf
C 30292RAL8
LT BBB-sf Affirmed BBB-sf
X1 30292RAE4
LT AAAsf Affirmed AAAsf
X1 30292RAE4
ULT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K043
A-1 3137BGJZ3
LT AAAsf Affirmed AAAsf
A-1 3137BGJZ3
ULT AAAsf Affirmed AAAsf
A-2 3137BGK24
LT AAAsf Affirmed AAAsf
A-2 3137BGK24
ULT AAAsf Affirmed AAAsf
X1 3137BGK32
LT AAAsf Affirmed AAAsf
X1 3137BGK32
ULT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K046
A-1 3137BJP56
LT AAAsf Affirmed AAAsf
A-1 3137BJP56
ULT AAAsf Affirmed AAAsf
A-2 3137BJP64
LT AAAsf Affirmed AAAsf
A-2 3137BJP64
ULT AAAsf Affirmed AAAsf
X1 3137BJP72
LT AAAsf Affirmed AAAsf
X1 3137BJP72
ULT AAAsf Affirmed AAAsf
FREMF 2015-K47
A-1 30293AAA8
LT AAAsf Affirmed AAAsf
A-1 30293AAA8
ULT AAAsf Affirmed AAAsf
A-2 30293AAC4
LT AAAsf Affirmed AAAsf
A-2 30293AAC4
ULT AAAsf Affirmed AAAsf
B 30293AAN0
LT BBB+sf Affirmed BBB+sf
C 30293AAQ3
LT BBB-sf Affirmed BBB-sf
X1 30293AAE0
LT AAAsf Affirmed AAAsf
X1 30293AAE0
ULT AAAsf Affirmed AAAsf
X2-A 30293AAJ9
LT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K047
A-1 3137BKRH5
LT AAAsf Affirmed AAAsf
A-1 3137BKRH5
ULT AAAsf Affirmed AAAsf
A-2 3137BKRJ1
LT AAAsf Affirmed AAAsf
A-2 3137BKRJ1
ULT AAAsf Affirmed AAAsf
X1 3137BKRK8
LT AAAsf Affirmed AAAsf
X1 3137BKRK8
ULT AAAsf Affirmed AAAsf
FREMF 2015-K49
A-1 30287TAA5
LT AAAsf Affirmed AAAsf
A-1 30287TAA5
ULT AAAsf Affirmed AAAsf
A-2 30287TAC1
LT AAAsf Affirmed AAAsf
A-2 30287TAC1
ULT AAAsf Affirmed AAAsf
B 30287TAN7
LT BBB+sf Affirmed BBB+sf
C 30287TAQ0
LT BBB-sf Affirmed BBB-sf
X1 30287TAE7
LT AAAsf Affirmed AAAsf
X1 30287TAE7
ULT AAAsf Affirmed AAAsf
X2-A 30287TAJ6
LT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K049
A-1 3137BLMY1
LT AAAsf Affirmed AAAsf
A-1 3137BLMY1
ULT AAAsf Affirmed AAAsf
A-2 3137BLMZ8
LT AAAsf Affirmed AAAsf
A-2 3137BLMZ8
ULT AAAsf Affirmed AAAsf
X1 3137BLN20
LT AAAsf Affirmed AAAsf
X1 3137BLN20
ULT AAAsf Affirmed AAAsf
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-K51
A-1 30293XAA8
LT AAAsf Affirmed AAAsf
A-1 30293XAA8
ULT AAAsf Affirmed AAAsf
A-2 30293XAB6
LT AAAsf Affirmed AAAsf
A-2 30293XAB6
ULT AAAsf Affirmed AAAsf
B 30293XAJ9
LT BBB+sf Affirmed BBB+sf
C 30293XAL4
LT BBB-sf Affirmed BBB-sf
X1 30293XAC4
LT AAAsf Affirmed AAAsf
X1 30293XAC4
ULT AAAsf Affirmed AAAsf
X2-A 30293XAE0
LT AAAsf Affirmed AAAsf
FREMF 2015-K44
A-1 30292NAR4
LT AAAsf Affirmed AAAsf
A-1 30292NAR4
ULT AAAsf Affirmed AAAsf
A-2 30292NAT0
LT AAAsf Affirmed AAAsf
A-2 30292NAT0
ULT AAAsf Affirmed AAAsf
B 30292NAG8
LT BBB+sf Affirmed BBB+sf
C 30292NAK9
LT BBB-sf Affirmed BBB-sf
X1 30292NAV5
LT AAAsf Affirmed AAAsf
X1 30292NAV5
ULT AAAsf Affirmed AAAsf
X2-A 30292NAA1
LT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K044
A-1 3137BHCX3
LT AAAsf Affirmed AAAsf
A-1 3137BHCX3
ULT AAAsf Affirmed AAAsf
A-2 3137BHCY1
LT AAAsf Affirmed AAAsf
A-2 3137BHCY1
ULT AAAsf Affirmed AAAsf
X1 3137BHCZ8
LT AAAsf Affirmed AAAsf
X1 3137BHCZ8
ULT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K050
A-1 3137BLW87
LT AAAsf Affirmed AAAsf
A-1 3137BLW87
ULT AAAsf Affirmed AAAsf
A-2 3137BLW95
LT AAAsf Affirmed AAAsf
A-2 3137BLW95
ULT AAAsf Affirmed AAAsf
X1 3137BLWA2
LT AAAsf Affirmed AAAsf
X1 3137BLWA2
ULT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K051
A-1 3137BM7B6
LT AAAsf Affirmed AAAsf
A-1 3137BM7B6
ULT AAAsf Affirmed AAAsf
A-2 3137BM7C4
LT AAAsf Affirmed AAAsf
A-2 3137BM7C4
ULT AAAsf Affirmed AAAsf
X1 3137BM7D2
LT AAAsf Affirmed AAAsf
X1 3137BM7D2
ULT AAAsf Affirmed AAAsf
FREMF 2015-K50
A-1 30293WAL6
LT AAAsf Affirmed AAAsf
A-1 30293WAL6
ULT AAAsf Affirmed AAAsf
A-2 30293WAN2
LT AAAsf Affirmed AAAsf
A-2 30293WAN2
ULT AAAsf Affirmed AAAsf
B 30293WAE2
LT BBB+sf Affirmed BBB+sf
C 30293WAG7
LT BBB-sf Affirmed BBB-sf
X1 30293WAQ5
LT AAAsf Affirmed AAAsf
X1 30293WAQ5
ULT AAAsf Affirmed AAAsf
X2-A 30293WAA0
LT AAAsf Affirmed AAAsf
Freddie Mac Structured Pass-Through Certificates 2015-K048
A-1 3137BL6J2
LT AAAsf Affirmed AAAsf
A-1 3137BL6J2
ULT AAAsf Affirmed AAAsf
A-2 3137BLAC2
LT AAAsf Affirmed AAAsf
A-2 3137BLAC2
ULT AAAsf Affirmed AAAsf
X1 3137BLAD0
LT AAAsf Affirmed AAAsf
X1 3137BLAD0
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 are guaranteed by
The affirmations of the long-term ratings are based on the generally stable pool performance and loss expectations and are supported by the guarantee. Although the IO X-1 classes are guaranteed, the long-term rating for the IO X-1 classes are based on the pass-through to the referenced A-1 and A-2 certificates. Although
Stable Loss Expectations: Fitch's unenhanced ratings are based on an analysis of the underlying collateral pools and do not give any credit to the
Changes to Credit Enhancement (CE): There has been minimal change to CE since issuance. As of
Coronavirus Exposure: Nineteen loans (1.8% of the vintage) are secured by senior housing properties. Forty-three loans (7.7%) are secured by a student housing property or multifamily with high student concentration. These multifamily subclassifications are considered more volatile and/or may require more operational experience than traditional multifamily assets. In addition, 25 loans (3.1%) reported a full YE DSCR less than 1.20x, based on the servicers most recent reporting. Fitch's base case analysis applied additional stresses to these multifamily properties/loans given the significant declines in property-level cash flow expected in the short term as a result the coronavirus pandemic. These additional stresses did not affect the ratings or Outlooks due to sufficient CE and overall stable performance of the pool.
RATING SENSITIVITIES
Stable Rating Outlooks on the long-term ratings of classes the senior classes (those rated 'AAAsf') and corresponding IO reflect both the overall stable pool performance, and benefit from the
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Upgrades of classes B and C could occur if there is 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:
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 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 the long-term and unenhanced ratings.
For more information on Fitch's original rating sensitivity on the transactions, please refer to the transaction's 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
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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