Fitch accounted for increased refinance risk in a higher interest rate environment by reviewing an interest rate sensitivity that assumes an interest rate floor of 4.5% for multifamily properties, in conjunction with Fitch’s stressed refinance rates, which were 8.6% on a weighted average basis.įitch 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. Low Mortgage Coupons: The pool’s weighted average coupon is 4.19%, well below historical averages and slightly above recent 2015 Fitch-rated, 10-year, K-Series Freddie Mac deals. This is above the recent amortization levels for Freddie Mac securitizations, which had an average of 10.1% for 2015 YTD Fitch rated, 10-year, K-Series Freddie Mac deals. Based on the loans’ scheduled maturity balance, the pool is expected to amortize 10.9% during the life of the transaction. The average 2015 YTD Fitch-rated, 10-year, K-Series Freddie Mac property concentrations for Manufactured Housing and Healthcare are 5.4% and 1.9%, respectively.Ībove-Average Pool Amortization: Within the pool, 17 loans representing 13.5% of the pool are full-term interest-only, and 55 loans representing 70.0% of the pool have partial-term interest-only components. Manufactured Housing and Healthcare are considered more volatile and/or require more operational experience than traditional multifamily assets. Manufactured Housing and Healthcare Concentration: Twelve loans (8.9%) and two loans (1.5%) are classified as Manufactured Housing and Healthcare, respectively. The largest loan in the pool, Elan 33 West, represents 4.2% of the pool, while the second largest loan, Landmark At Sugarland, represents 3.5% of the pool. The 2015 YTD average DSCR and LTV for Fitch-rated, 10-year, K-Series Freddie Mac deals is 1.08x and 115.3%, respectively.ĭiverse Pool by Loan Concentration: The top 10 loans comprise 26.9% of the pool, which is lower than the 2015 YTD average of 33.9% for Fitch rated, 10-year, K-Series Freddie Mac deals. Fitch’s aggregate net cash flow represents a variance of 9.19% to issuer cash flows.įitch Leverage: The pool’s Fitch DSCR and LTV are 1.09x and 112.4%, respectively. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.09x, a Fitch stressed loan-to value (LTV) of 112.4%, and a Fitch debt yield of 7.66%.
The certificates follow a sequential-pay structure.įitch reviewed a comprehensive sample of the transaction’s collateral, including site inspections on 64.6% of the properties by balance and cash flow analysis of 71.2% of the pool. All loans were originated specifically for Freddie Mac by approved Seller Servicers. Each Freddie Mac SPC K-051 security has the same designation as its underlying FREMF 2015-K51 class.
Freddie mac cash flow analysis for business assets series#
The Freddie Mac Structured Pass-Through Certificates Series K-051 (Freddie Mac SPC K-051) represents a pass-through interest in the corresponding class of securities issued by FREMF 2015-K51. The certificates represent the beneficial interests in a pool of 99 commercial mortgages secured by 99 properties. Fitch does not expect to rate the following classes of FREMF 2015-K51: the $219,730,280 interest-only class X3, the $219,730,280 interest only class X2-B, or the $89,686,280 class D.Īdditionally, Fitch does not expect to rate the following classes of Freddie Mac Structured Pass-Through Certificates Series K-051: the $219,730,280 interest-only class X3. The expected ratings are based on information provided by the issuer as of Dec. –$29,895,000 class C ‘BBB-sf’ Outlook Stable.įreddie Mac Structured Pass-Through Certificates Series K-051 Fitch Ratings has issued a presale report on FREMF 2015-K51 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates Series K-051.įitch expects to rate the transaction and assign Rating Outlooks as follows:įREMF 2015-K51 Multifamily Mortgage Pass-Through Certificates
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