Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (September 2016)
19 slides from Freddie Mac's debt investor presentation, September 2016
Slide 1: K-Deal Performance
K-Deal Performance September 2016
Slide 2: Introduction
Introduction The information in the K-Deal Performance presentation is presented as of September 30, 2016, and could become out of date and/or inaccurate. Freddie Mac does not undertake any obligation, and disclaims any duty, to update any of the information in the K-Deal Performance presentation.
Slide 3: K-Deal Performance
K-Deal Performance Freddie Mac’s K-Deal program through September 2016 » 137 K-Deal transactions » $163.312 billion in combined issuance » 8,853 loans (original loan count) Loan Payoffs through September 2016 » 522 loans (5.34% of combined issuance, by loan balance) have paid off on or prior to
Slide 4: K-Deal Performance (continued)
K-Deal Performance (continued) Performance has remained strong. As of the September 2016 reporting date: » 100% of the K-Deal loans are current » Three loans are in special servicing (representing <6 bps of outstanding principal) » There have been $12.350 million in total losses (representing <1 b
Slide 5: K-Deal Performance (continued)
K-Deal Performance (continued) K-Deal Defeasance Activity as of September 2016: » K-Deal Defeasance Volume by Loan Count =490 » K-Deal Defeasance Volume by UPB = $7.828 Billion © Freddie Mac 5
Slide 6: 10 Year K-Deals Issuance
K-Deal Issuance 10 Year K-Deals Senior Subordination Level % with Supp % of Supp Cum Current Active # of Loans by UPB to Cum Appraisal % Settlement Original Balance Balance Loan Suppal Loan Current Deal % DQ= Reduction in Specially % on % Fully K-Deal Date (millions) (Millions) Factor Original Cur
Slide 7: Issuance (continued)
K-Deal Issuance (continued) 10 Year K-Deals Senior Subordination Level % with Supp % of Supp Cum Current Active # of Loans by UPB to Cum Appraisal % Settlement Original Balance Balance Loan Suppal Loan Current Deal % DQ= Reduction in Specially % on % Fully K-Deal Date (millions) (Millions) Factor
Slide 8: K-Deal Issuance (continued)
K-Deal Issuance (continued) 7 Year K-Deals Senior Subordination Level % with Supp % of Supp Cum Current Active # of Loans by UPB to Cum Appraisal % Settlement Original Balance Balance Loan Suppal Loan Current Deal % DQ= Reduction in Specially % on % Fully K-Deal Date (millions) (Millions) Factor O
Slide 9: K-Deal Issuance (continued)
K-Deal Issuance (continued) Floater K-Deals Senior Subordination Level % with Supp % of Supp Cum Current Active # of Loans by UPB to Cum Appraisal % Settlement Original Balance Balance Loan Suppal Loan Current Deal % DQ= Reduction in Specially % on % Fully K-Deal Date (millions) (Millions) Factor
Slide 10: K-Deal Issuance (continued)
K-Deal Issuance (continued) Supplemental Loan K-Deals Senior Subordination Level % with Supp % of Supp Cum Current Active # of Loans by UPB to Cum Appraisal % Settlement Original Balance Balance Loan Suppal Loan Current Deal % DQ= Reduction in Specially % on % Fully K-Deal Date (millions) (Million
Slide 11: K-Deal Issuance (continued)
K-Deal Issuance (continued) Other K-Deals Senior Subordination Level % with Supp % of Supp Cum Current Active # of Loans by UPB to Cum Appraisal % Settlement Original Balance Balance Loan Suppal Loan Current Deal % DQ= Reduction in Specially % on % Fully K-Deal Date (millions) (Millions) Factor Or
Slide 12: Supplemental New Issuance by UPB
K-Deal Supplemental New Issuance by UPB K-Deal Supplemental Loans as of September 30, 2016: Total K-Deal Supplemental Loan Issuance Activity By Loan Count = 929 By UPB = $4.402 Billion Aggregate percentage of active K-Deal loans with active supplemental loans By Loan Count = 10.77% By
Slide 13: Specially Serviced Loans
Specially Serviced Loans Most Most Property Property YE 2014 YE 2014 YE 2015 YE 2015 Recent Recent K-Deal Loan ID Name State MSA (City) Type UPB Loan Status UW DCR DCR Occup DCR Occup DCR As of Occup As of Transfer Date Summary of Servicer Comments The loan transferred to Special Servicing 11/17/201
Slide 14: Losses & Outstanding Guarantor Payments
Losses & Outstanding Guarantor Payments Losses to Trust Prospectus Current Loan UPB Amount at Reason for Date of Transfer Workout Date % Loss to Deal K-Deal Loan ID Property Name State MSA (City) Property Type Status Transfer to SS Transfer to SS to SS Resolution Resolved Amount of Loss Balance Su
Slide 15: Corrected Loans
Corrected Loans Current Prospectus Loan UPB Amount at Reason for Date of Workout Date K-Deal Loan ID Property Name State MSA (City) Property Type Status Transfer to SS Transfer to SS Transfer to SS Resolution Resolved Summary Loan transferred to special servicing effective 5/29/13 due to monetary Sa
Slide 16: Servicer Watchlist Loans
Servicer Watchlist Loans As of September 2016, there are 307 loans on the servicers’ watchlist for a total of $5.646 billion or 3.74% of outstanding loan balance. * Based on the new CREFC IRP guidelines regarding the Credit and Informational flags, loans on the servicers’ Watchlist were designat
Slide 17: Servicer Watchlist Loans
Servicer Watchlist Loans Categorizing the risk of the watchlist loans by DCR and Occupancy as shown in the table below indicates the watchlists contain a majority of low risk loans. A majority of those loans in the low risk category are there for some covered casualty loss or deferred maintenanc
Slide 18: Ten Largest Loans on the Watchlist
Ten Largest Loans on the Watchlist Most Most YE15 Recent Recent Credit / Deal Loan ID Property Name State MSA Property Type UPB UW DCR YE14 DCR YE14 Occup YE15 DCR Occup DCR As of Occup As of WL Reason Informational K-LSF 1 Lone Star Rollup - Raleigh NC National Various $259,162,000 1.52 N/A N/A 3.2
Slide 19: Disclaimer
Disclaimer This K-Deal Performance presentation is not an offer to sell or a solicitation of an offer to buy any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and related supplements, which incorporate Freddie Mac’s Annual Report on Form
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