FREMF 2014-K36 Multifamily Mortgage Pass-Through Certificates
Freddie Mac Structured Pass-Through Certificates, Series K-036
*Notional amount and interest only.
Fitch did not rate the following classes of FREMF 2014-K36: the
The certificates represent the beneficial interests in a pool of 76 commercial mortgages secured by 76 properties. The Freddie Mac Structured Pass-Through Certificates, Series K-036 (Freddie Mac SPC K-036) represents a pass-through interest in the corresponding class of securities issued by FREMF 2013-K36. Each Freddie Mac SPC K-036 security has the same designation as its underlying FREMF 2014-K36 class. All loans were originated by various seller/servicers according to the guidelines of the Freddie Mac Capital Markets Execution (CME) product. The certificates follow a sequential-pay structure.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 82.4% of the properties by balance and cash flow analysis of 78.2% of the pool.
The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.30x, a Fitch stressed loan-to value (LTV) of 102.3%, and a Fitch debt yield of 9.4%. Fitch's aggregate net cash flow represents a variance of 7.8% to issuer cash flows.
KEY RATING DRIVERS
Fitch Leverage: The Fitch stressed LTV ratio is 102.3%, and is below the average of 2013 Fitch-rated, 10-year, K-Series Freddie Mac deals, which averaged 112.8%. The Fitch stressed DSCR, at 1.30x, is above the average of 1.12x for the 2013 Fitch-rated, 10-year, K-series Freddie Mac deals.
Cooperative Multifamily Housing Concentration: Five loans (4.4%) in the pool are secured by co-ops, including
Loan Concentration: The top 10 loans constitute 35.7% of the pool, which is in line with that of recent Freddie Mac transactions. The top loan in the pool,
Property Type Concentration: Of the pool, 100% is backed by multifamily properties. Four loans (4.2%) are classified as student housing and two loans (3.2%) are classified as assisted/independent living.
Partial Interest and Interest-Only Loans: 57.2% of the pool has a partial-term, interest-only component, and 8.4% of the loans in the pool are full-term, interest-only. Based on the loans' scheduled maturity balances, the pool is expected to amortize 14.3% over the next 10 years.
Strong Origination Practices: All loans were originated by various sellers/originators according to Freddie Mac CME product guidelines and adhere to the originator best practices identified by Fitch. Freddie Mac multifamily loans had an average delinquency rate of 0.09% as of fourth-quarter 2013, compared with 6.48% on Fitch-rated CMBS multifamily loans as of the same period. Based on these program attributes, Fitch applies a programmatic credit to Freddie Mac transactions.
Asset Volatility: Seven loans in the top 10 have asset volatility scores of '4' due to their locations in historically volatile regions as determined by Fitch. Overall, 19 loans in the pool have volatility scores of '4' representing 39.4% of the pool balance. Of note, four loans were assigned asset volatility scores of '4' due to their tenants-in-common ownership
Fitch performed two model-based break-even analyses to determine the level of cash flow and value deterioration the pool could withstand prior to
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.
The Master Servicer is Wells Fargo, National Association, rated 'CMS1-' by Fitch. The Special Servicer is
The presale report is available at 'www.fitchratings.com.'
Additional information is available at 'www.fitchratings.com'.
--'Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions'(
--'U.S. Commercial Mortgage Servicer Rating Criteria' (
--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and ReREMIC Criteria'(
--'Global Structured Finance Rating Criteria'(
U.S. Commercial Mortgage Servicer Rating Criteria -- Effective
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Global Structured Finance Rating Criteria
Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions
Source: Fitch Ratings
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