Fitch to Rate FREMF 2023-K155 Multifamily Mtg P-T Ctfs and Freddie Mac SPC Ser K-155; Presale Issued

Fitch Ratings has assigned expected ratings and issued a presale report for the FREMF 2023-K155 Mortgage Trust Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-155.

RATING ACTIONS

Entity / Debt

Rating

FREMF 2023-K155

A-1

LT

AAA(EXP)sf

Expected Rating

A-1

ULT

AAA(EXP)sf

Expected Rating

A-2

LT

AAA(EXP)sf

Expected Rating

A-2

ULT

AAA(EXP)sf

Expected Rating

A-M

LT

NR(EXP)sf

Expected Rating

A-M

ULT

NR(EXP)sf

Expected Rating

D

LT

NR(EXP)sf

Expected Rating

X1

LT

AAA(EXP)sf

Expected Rating

X1

ULT

AAA(EXP)sf

Expected Rating

Page

of 3

VIEW ADDITIONAL RATING DETAILS

FREMF 2023-K155 Mortgage Trust Multifamily Mortgage Pass-Through Certificates (FREMF 2023-K155):

$45,000,000b class A-1 'AAAsf'; Outlook Stable;

$907,393,000b class A-2 'AAAsf'; Outlook Stable;

$952,393,000ab class X1 'AAAsf'; Outlook Stable;

$952,393,000a class X2-A 'AAAsf'; Outlook Stable.

In addition, Fitch has issued Unenhanced Ratings, which reflect the underlying creditworthiness absent the Freddie Mac guarantee, as well as Rating Outlooks to FREMF 2023-K155 of 'AAAsf'/Outlook Stable for classes A-1, A-2 and X1. Fitch has not issued an Unenhanced Rating to class X2-A as that class is not guaranteed by Freddie Mac, and the 'AAAsf'/Outlook Stable long-term rating already reflects the underlying creditworthiness absent the guarantee.

Freddie Mac Structured Pass-Through Certificates, Series K-155 (Freddie Mac SPC K-155):

$45,000,000b class A-1 'AAAsf'; Outlook Stable;

$907,393,000b class A-2 'AAAsf'; Outlook Stable;

$952,393,000ab class X1 'AAAsf'; Outlook Stable.

Fitch has also issued Unenhanced Ratings, which reflect the underlying creditworthiness absent the Freddie Mac guarantee, as well as Outlooks to Freddie Mac SPC K-155 of 'AAAsf'/Outlook Stable for classes A-1, A-2 and X1.

(a)	Notional amount and IO.

(b)	Guaranteed by Freddie Mac.

The FREMF 2023-K155 trust consists of both guaranteed and unguaranteed certificates. The underlying guaranteed certificates consist of the classes A-1, A-2, A-M, X1, XAM and X3. These certificates will be purchased by Freddie Mac to be deposited into the Freddie Mac SPC K-155 trust to back the Freddie Mac SPC K-155 certificates.

$650,000,000 and $150,000,000 of the class A-2 and class A-M, respectively, have been pre-placed with Freddie Mac, as depositor and administrator for holders of the Freddie Mac WI Certificates, Series WI-K155. The ratings of classes A-1, A-2 and X1 consider the Freddie Mac guarantee and the underlying creditworthiness of the collateral. Freddie Mac is currently rated 'AAA'/'F1+'/Outlook Stable.

Fitch does not rate the following classes of FREMF 2023-K155: $150,000,000 class A-M; $150,000,000 IO-class XAM; $58,021,567 IO-class X3; $208,021,567 IO-class X2-B; and $58,021,567 class D. Additionally, Fitch does not rate the following classes of Freddie Mac SPC K-155: $150,000,000 class A-M; $150,000,000 IO-class XAM; $58,021,567 IO-class X3.

These ratings and Unenhanced Ratings are based on information provided by the issuer as of April 17, 2023.

Transaction Summary

The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 40 fixed-rate loans secured by 40 commercial properties with an aggregate principal balance of $1,160,414,567 as of the cut-off date. Freddie Mac Structured Pass-Through Certificates, Series K-155 (SPC K-155) represents pass-through interest in the corresponding class of securities issued by FREMF 2023-K155. Each Freddie Mac SPC K-155 security has the same designation as its underlying FREMF 2023-K155 class.

KEY RATING DRIVERS

Lower Fitch Leverage: The pool has lower leverage compared to recent Freddie Mac transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 119.0% is significantly lower than both the 2022 and 2021 averages for Fitch-rated 10-year Freddie Mac transactions of 130.1% and 136.4%, respectively. The pool's Fitch net cash flow (NCF) debt yield (DY) of 7.32% is higher than the 2022 and 2021 averages of 6.48% and 6.18%, respectively.

Higher Pool Concentration: The top 10 loans represent 59.1% of the pool, which is higher than the 2022 and 2021 averages for Fitch-rated 10-year Freddie Mac transactions of 52.4% and 47.2%, respectively. The pool's effective loan count is 20.4.

Freddie Mac Guarantee: The expected ratings of classes A-1, A-2 and X1 factor added support via a guarantee from Freddie Mac. Freddie Mac is currently rated 'AAA'/'F1+'/Stable by Fitch. The certificates will, at all times, be rated at the higher of Freddie Mac's rating or the rating based on the underlying collateral without accounting for the guarantee.

Limited Amortization: The pool contains 51.1% full-term interest-only (IO) loans, which is higher than the 2022 and 2021 averages for Fitch-rated 10-year Freddie Mac transactions of 32.0% and 38.3%, respectively. It contains 43.4% of partial IO loans, which is lower than the 2022 and 2021 averages of 64.1% and 57.9%, respectively. The scheduled principal paydown in this pool, at 4.2%, is lower than the 2022 and 2021 averages of 6.4% and 7.3%, respectively

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF:

Original Rating: 'AAAsf';

10% NCF decline: 'AA+sf';

Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors ('What a Stagflation Scenario Would Mean for Global Structured Finance').

Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Fitch did not consider the implementation of positive stresses for this transaction as the rated classes are at the highest rating level and cannot be upgraded further. The presale report includes a detailed explanation of additional stresses and sensitivities on page 11.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions.

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.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.

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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