Freddie Mac · OTC:FMCC
Freddie Mac — Investor Presentation (May 2020)
33 slides from Freddie Mac's investor presentation, May 2020
Slide 1: K-Deal Performance May 2020
K-Deal Performance May 2020 FreddieMac MULTIFAMILY
Slide 2: Introduction
Introduction The information in the K-Deal Performance presentation is presented as of May 31, 2020 and could become out of date and/or inaccurate.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. Previous
Slide 3: K-Deal Performance
K-Deal Performance Freddie Mac’s K-Deal program Loan Payoffs through May 2020 through May 2020 ▪ 4,996 loans (26.70% of combined ▪ 345 K-Deal transactions issuance, by loan balance) have paid off on or prior to maturity date. ▪ $368.855 billion in combined issuance Freddie Mac's ▪ 18,271 loans (orig
Slide 4: K-Deal Performance (continued)
K-Deal Performance (continued) Days Delinquent Current 30 Days 60 Days 90+ Days Foreclosure REO Watchlist # $ # $ # $ # $ # $ # $ # $ May 2020 13,245 $ 261,857.26 7 $ 84.72 2 $ 18.88 6 $ 107.54 4 $ 53.54 1 $12.23 1,078 $18,037.88 April 2020 13,279 $ 263,748.75 2 $ 24.94 0 $ - 6 $ 74.90 2 $ 35.97 1 $
Slide 5: K-Deal Defeasance Activity
K-Deal Performance (continued) K-Deal Defeasance Activity as of May 2020: ▪ K-Deal Defeasance Volume by Loan Count = 2,358 ▪ K-Deal Defeasance Volume by UPB = $38.684 Billion Historical K-Deal Defeasance Activity $3,500 $3,000 $2,500 Millions $2,000 $1,500 $1,000 $500 $- Quarter MULTIFAMILY © Freddi
Slide 6: K-Deal Issuance
K-Deal Issuance 10 Year K-Deals Senior Subordination Level Prior % of Supp Active % Original Current Original Month Active # of % with Supp UPB to Cum Appraisal Specially Settlement Balance Balance Loan Loan Loan Suppal Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % Fully K-Deal Date
Slide 7: K-Deal Issuance (continued)
K-Deal Issuance (continued) 10 Year K-Deals Senior Subordination Level Prior % of Supp Active Original Current Original Month # of % with Supp UPB to Cum Appraisal Settlement Balance Balance Loan Loan Active Suppal Loans by Loan Current Deal % DQ= Reduction in % Specially % on % Fully K-Deal Date (m
Slide 8: K-Deal Issuance (continued)
K-Deal Issuance (continued) 10 Year K-Deals Senior Subordination Level Prior % of Supp Active Original Current Original Month Active # of % with Supp UPB to Appraisal % Fully Settlement Balance Balance Loan Loan Loan Suppal Loans by Current Cum % DQ= Reduction in % Specially % on Defease K-Deal Date
Slide 9: K-Deal Issuance (continued)
K-Deal Issuance (continued) 10 Year K-Deals Senior Subordination Level % of Supp Active Original Current Original Prior Active # of % with Supp UPB to Appraisal Settlement Balance Balance Loan Month Loan Suppal Loans by Current Cum Deal % DQ= Reduction in % Specially % on % Fully K-Deal Date (millio
Slide 10: K-Deal Issuance (continued)
K-Deal Issuance (continued) 7 Year K-Deals Senior Subordination Level Prior Active % Original Month Active % with Supp % of Supp UPB Cum Appraisal Specially Settlement Balance Current Balance Original Loan Loan # of Suppal Loans by Loan to Current Deal Deal % DQ= Reduction in Serviced/ % on % Fully
Slide 11: K-Deal Issuance (continued)
K-Deal Issuance (continued) 5 Year K-Deals Senior Subordination Level Prior % of Supp Active % Original Current Original Month # of % with Supp UPB to Cum Appraisal Specially Settlement Balance Balance Loan Loan Active Suppal Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % Fully K-Dea
Slide 12: K-Deal Issuance (continued) - Floater K-Deals
K-Deal Issuance (continued) Floater K-Deals Senior Subordination Level % of Supp Active % Original Current Original Prior # of % with Supp UPB to Appraisal Specially Settlement Balance Balance Loan Month Active Suppal Loans by Current Deal Cum Deal % DQ= Reduction in Serviced/ % on % Fully K-Deal Da
Slide 13: K-Deal Issuance (continued) - Floater K-Deals
K-Deal Issuance (continued) Floater K-Deals (continued) Senior Subordination Level Prior % of Supp Active % Original Current Original Month Active # of % with Supp UPB to Cum Appraisal Specially Settlement Balance Balance Loan Loan Loan Suppal Loans by Current Deal Deal % DQ= Reduction in Serviced/
Slide 14: K-Deal Issuance (continued) - Floater K-Deals
K-Deal Issuance (continued) Floater K-Deals (continued) Senior Subordination Level Prior % of Supp Active % Original Current Original Month Active # of % with Supp UPB to Cum Appraisal Specially Settlement Balance Balance Loan Loan Loan Suppal Loans by Current Deal Deal % DQ= Reduction in Serviced/
Slide 15: K-Deal Issuance (continued) - Senior Housing K-Deals
K-Deal Issuance (continued) Senior Housing K-Deals Senior Subordination Level Prior % of Supp Active % Original Current Original Month Active # of % with Supp UPB to Cum Appraisal Specially Settlement Balance Balance Loan Loan Loan Suppal Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on
Slide 16: K-Deal Issuance (continued) - Supplemental Loan K-Deals
K-Deal Issuance (continued) Supplemental Loan K-Deals Senior Subordination Level Prior % of Supp Active % Original Current Original Month Active # of % with Supp UPB to Cum Appraisal Specially Settlement Balance Balance Loan Loan Loan Suppal Loans by Current Deal Deal % DQ= Reduction in Serviced % o
Slide 17: K-Deal Issuance (continued) - Other K-Deals
K-Deal Issuance (continued) Other K-Deals Senior Subordination Level Prior % of Supp Active Original Current Original Month Active # of % with Supp UPB to % DQ= Appraisal Settlement Balance Balance Loan Loan Loan Suppal Loans by Loan Current Deal Cum Deal 60+/F/R Reduction % Specially % on % Fully K
Slide 18: K-Deal Issuance (continued) - Other K-Deals
K-Deal Issuance (continued) Other K-Deals Senior Subordination Level Prior % of Supp Active Original Current Original Month Active # of % with Supp UPB to % DQ= Appraisal Settlement Balance Balance Loan Loan Loan Suppal Loans by Loan Current Deal Cum Deal 60+/F/R Reduction % Specially % on % Fully K
Slide 19: K-Deal Portfolio Snapshot
K-Deal Portfolio Snapshot Delinquency Status 1 DCR LTV UPB Status Count (in $M) % of Portfolio DCR Range Count % of Portfolio LTV Range Count % of Portfolio Current 13,266 $262,252.9 99.9% < 1.0 204 1.2% <80 13,040 97.6% 30 Days 7 $84.7 0.03% 1.00-1.10 108 0.7% 80-89 237 2.3% 60 Days 2 $18.9 0.01% 1
Slide 20: K-Deal Supplemental Loans
K-Deal Performance K-Deal Supplemental Loans as of May 2020: ▪ Total K-Deal Supplemental Loan Issuance Activity ▪ Aggregate percentage of active K-Deal loans with active supplemental loans ▪ By Loan Count = 2,025 ▪ By Loan Count = 12.90% ▪ By UPB = $10.057 Billion ▪ By UPB = 1.73% $700 Millions $600
Slide 21: Specially-Serviced and REO Loans
Specially-Serviced and REO Loans Most Most K- Property Property Loan UW Transfer Prospectus # FM Loan # State MSA (City) UPB Recent As of Recent As of Summary of Servicer Comments Deal Name Type Status DCR Date DCR Occup The loan was transferred to Special Servicing effective 1/7/2019 due to payment
Slide 22: Specially-Serviced and REO Loans (Continued)
Specially-Serviced and REO Loans (Continued) Most Most Prospectus Property Property UW Transfer K-Deal FM Loan # State MSA (City) UPB Loan Status Recent As of Recent As of Summary of Servicer Comments # Name Type DCR Date DCR Occup This loan was moved to Special Servicing on 10/22/2018 due to immine
Slide 23: Specially-Serviced and REO Loans (Continued)
Specially-Serviced and REO Loans (Continued) Most Most Prospectus Property Loan Transfer K-Deal FM Loan # Property Name State MSA (City) UPB UW DCR Recent As of Recent As of Summary of Servicer Comments # Type Status Date DCR Occup The loan transferred to special servicing on 3/24/2020 for Mid 30-59
Slide 24: Specially-Serviced and REO Loans (Continued)
Specially-Serviced and REO Loans (Continued) Most Most Prospectus Property Loan Transfer K-Deal FM Loan # Property Name State MSA (City) UPB UW DCR Recent As of Recent As of Summary of Servicer Comments # Type Status Date DCR Occup The Loan was transferred to SS on 4/28/2020 due to material non-mone
Slide 25: Losses to Trust
K-Deal Issuance Losses to Trust Current UPB Amount Reason for % Loss to Prospectus Property Loan at Transfer to Transfer to Date of Workout Date Deal K-Deal Loan ID Property Name State MSA (City) Type Status SS SS Transfer to SS Resolution Resolved Amount of Loss Balance Summary Loan was transferred
Slide 26: Outstanding Guarantor Payments > $100,000
K-Deal Issuance (continued) Outstanding Guarantor Payments > $100,000 Total Current Outstanding Accrued Outstanding Original Current Outstanding Monthly Deal Senior Tranche Interest on Loans Impacted Loan Status Comments Balance AAA/CS AAA/CS Guarantor Advance or Balance Advance Payments (Gain) 64sp
Slide 27: Corrected Loans
Corrected Loans Current UPB Amount Date of Prospectus Property Property Loan at Transfer to Reason for Transfer to Workout Date K-Deal Loan ID Name State MSA (City) Type Status SS Transfer to SS SS Resolution Resolved Summary Loan transferred to special servicing effective 5/29/13 due to monetary de
Slide 28: Corrected Loans (continued)
Corrected Loans (continued) Current UPB Amount Reason for Date of Prospectus Property Property Loan at Transfer to Transfer to Transfer to Workout Date K-Deal Loan ID Name State MSA (City) Type Status SS SS SS Resolution Resolved Summary Loan transferred to SS on 10/23/14 after construction defects
Slide 29: Corrected Loans (continued)
Corrected Loans (continued) Current UPB Amount Reason for Date of Prospectus Property Property Loan at Transfer Transfer to Transfer to Workout Date K-Deal Loan ID Name State MSA (City) Type Status to SS SS SS Resolution Resolved Summary Loan transferred to special servicing on 6/30/17 for imminent
Slide 30: Servicer Watchlist Loans
Servicer Watchlist Loans ▪ As of May 2020, there are 1,039 loans on the servicers’ ▪ Based on the new CREFC IRP guidelines regarding the watchlist for a total of $17.281 billion or 6.65% of Credit and Informational flags, loans on the servicers’ outstanding loan balance.* Watchlist were designated a
Slide 31: Servicer Watchlist Loans (continued)
Servicer Watchlist Loans (continued) ▪ Categorizing the risk of the watchlist loans by DCR and ▪ Of the $16.513B designated by the servicers as Credit, FM Occupancy as shown in the table below indicates the designated $7.0116B as High or Moderate risk – the watchlists contain a majority of low risk
Slide 32: Ten Largest Loans on the Watchlist
Ten Largest Loans on the Watchlist Most Property UW P1 P1 Most Credit / Deal Loan ID Property Name State MSA UPB Recent As of WL Reason Type DCR DCR Occup Recent DCR Informational Occup Washington-Arlington- Property KHG1 1-A3 HG Note A-3 Various Alexandria, DC-VA-MD- Garden $315,831,000 1.25 - - -
Slide 33: Freddie Mac - We make home possible
FreddieMac We make home possible* MULTIFAMILY © Freddie Mac