Freddie Mac · OTC:FMCC
Freddie Mac — Investor Presentation (February 2022)
37 slides from Freddie Mac's investor presentation, February 2022
Slide 1: K-Deal Performance Data
K-Deal® Performance Data As of December 2021 K-Deal Performance Data © Freddie Mac Multifamily
Slide 2: K-Deal Performance
K-Deal Performance Freddie Mac’s K-Deal® program Loan Payoffs through December 2021 through December 2021 ▪ 7,839 loans (31.08% of combined ▪ 458 K-Deal transactions issuance, by loan balance) have paid off on or prior to maturity date ▪ $477.707 billion in combined issuance Freddie Mac’s ▪ 23,020 l
Slide 3: K-Deal Performance (continued)
K-Deal Performance (continued) Days Delinquent Current 30 Days 60 Days 90+ Days Foreclosure REO Watchlist # $* # $* # $* # $* # $* # $* # $* December 2021 15,230 $ 321,650.56 1 $ 7.85 0 $ - 3 $ 27.49 2 $ 51.16 1 $ 8.06 1,233 $ 25,273.05 November 2021 15,194 $ 319,692.37 0 $ - 0 $ - 5 $ 41.45 2 $ 51.
Slide 4: K-Deal Performance (continued): Defeasance Activity
K-Deal Performance (continued) K-Deal Defeasance Activity as of December 2021 ▪ K-Deal Defeasance Volume by Loan Count: 3,407 ▪ K-Deal Defeasance Volume by UPB: $56.747 billion K-Deal Performance Data © Freddie Mac Multifamily 4
Slide 5: 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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % Fully K-Deal Date (
Slide 6: 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 Supp Loans by Loan Current Deal % DQ= Reduction in % Specially % on % Fully K-Deal Date (mil
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 Active # of % with Supp UPB to Appraisal Settlement Balance Balance Loan Loan Loan Supp Loans by Current Deal Cum % DQ= Reduction in % Specially % on % Fully K-Deal Date (mil
Slide 8: K-Deal Issuance (continued) - 10-Year K-Deals
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 Supp Loans by Current Cum Deal % DQ= Reduction in % Specially % on % Fully K-Deal Date (millions
Slide 9: 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 Settlement Balance Balance Loan Loan Loan Supp Loans by Current Cum Deal % DQ= Reduction in % Specially % on % Fully K-Deal Date (mil
Slide 10: K-Deal Issuance (continued) - 7-Year K-Deals
K-Deal Issuance (continued) 7-Year K-Deals Senior Subordination Level Prior Active % Original Original Month Active % with Supp % of Supp UPB Cum Appraisal Specially Settlement Balance Current Balance Loan Loan Loan # of Supp Loans by Loan to Current Deal Deal % DQ= Reduction in Serviced/ % on % Ful
Slide 11: K-Deal Issuance (continued) - 7-Year K-Deals
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 Supp Loans by Loan to Current Deal Deal % DQ= Reduction in Serviced/ % on % Fully K-
Slide 12: K-Deal Issuance (continued) - 5-Year
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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % Fully K-Deal
Slide 13: K-Deal Issuance (continued) - 15-Year
K-Deal Issuance (continued) 15-Year K-Deals Senior Subordination Level Prior % of Supp Active % Original Current Original Month # of % with Supp UPB to Appraisal Specially Settlement Balance Balance Loan Loan Active Supp Loans by Current Deal Cum Deal % DQ= Reduction in Serviced/ % on % Fully K-Deal
Slide 14: K-Deal Issuance (continued) - Floating-Rate K-Deals
K-Deal Issuance (continued) Floating-Rate 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 Supp Loans by Current Deal Cum Deal % DQ= Reduction in Serviced/ % on % Fully K-Dea
Slide 15: K-Deal Issuance (continued) - Floating-Rate
K-Deal Issuance (continued) Floating-Rate 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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % F
Slide 16: K-Deal Issuance (continued) - Floating-Rate
K-Deal Issuance (continued) Floating-Rate 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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % F
Slide 17: K-Deal Issuance (continued) - Floating-Rate
K-Deal Issuance (continued) Floating-Rate 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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % F
Slide 18: K-Deal Issuance (continued) - Floating-Rate
K-Deal Issuance (continued) Floating-Rate 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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on % F
Slide 19: K-Deal Issuance (continued) - Seniors Housing
K-Deal Issuance (continued) Seniors 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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/ % on %
Slide 20: K-Deal Issuance (continued) - Supplemental Loan
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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/R % o
Slide 21: K-Deal Issuance (continued) - Supplemental Loan
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 Supp Loans by Current Deal Deal % DQ= Reduction in Serviced/R % o
Slide 22: K-Deal Issuance (continued) - Legacy Loans
K-Deal Issuance (continued) Freddie Mac Legacy Loans Senior Subordination Level % of Supp Active % Original Current Original Prior Active # of % with Supp UPB to Appraisal Specially Settlement Balance Balance Loan Month Loan Supp Loans by Loan Current Deal Cum Deal % DQ= Reduction in Serviced/ % on
Slide 23: K-Deal Issuance (continued) - Other
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 Supp Loans by Loan Current Deal Cum Deal 60+/F/R Reduction % Specially % on % Fully K-D
Slide 24: K-Deal Issuance (continued) - Other
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 Supp Loans by Loan Current Deal Cum Deal 60+/F/R Reduction % Specially % on % Fully K-D
Slide 25: K-Deal Portfolio Snapshot
K-Deal Portfolio Snapshot Delinquency Status Debt Coverage Ratio (DCR) Loan-to-Value (LTV) Ratio UPB Status Count (in $M) % of Portfolio DCR Range Count % of Portfolio LTV Range Count % of Portfolio Current 15,276 $321,614.2 100.0% < 1.0 471 2.5% <80 14,940 97.2% 30 Days 1 $7.8 0.00% 1.00-1.10 171 1
Slide 26: K-Deal Supplemental Loans as of December 2021
K-Deal Performance K-Deal Supplemental Loans as of December 2021 ▪ Total K-Deal supplemental loan issuance activity ▪ Aggregate percentage of active K-Deal loans with active supplemental loans ▪ By loan count: 2,406 ▪ By Loan Count: 7.54% ▪ By UPB: $12.053 billion ▪ By UPB: 1.84% K-Deal Performance
Slide 27: Current and Specially Serviced Loans
Current and Specially Serviced Loans Prospectus Most Recent Most Recent Transfer K-Deal FM Loan # Property Name State MSA (City) Property Type UPB Loan Status UW DCR As of As of # DCR Occup Date K-100 27 501851356 The Nine At Memphis TN Memphis Student $17,770,000 Current 1.50 -0.15 6/30/2021 53% 6/
Slide 28: REO Loans
REO Loans Prospectus Property Most Recent Most Recent Transfer K-Deal FM Loan # Property Name State MSA (City) UPB Loan Status UW DCR As of As of # Type DCR Occup Date Assisted K-037 57 504186523 Agape At Harbison SC Irmo $8,056,880 REO 1.75 -0.79 6/30/2021 0% 6/30/2021 9/5/2019 Living Note: For add
Slide 29: Losses to Trust
Losses to Trust Current UPB Amount % Loss to Prospectus Property Reason for Date of Workout Date Amount of K-Deal Property Name State MSA (City) Loan at Transfer to Deal Loan ID Type Transfer to SS Transfer to SS Resolution Resolved Loss Status SS Balance Assumption & K-003 25 Arbor Green IN Indiana
Slide 30: Losses to Trust
Losses to Trust Current UPB Amount % Loss to Prospectus Property Reason for Date of Workout Date Amount of K-Deal Property Name State MSA (City) Loan at Transfer to Deal Loan ID Type Transfer to SS Transfer to SS Resolution Resolved Loss Status SS Balance Imminent K-715 29 University Village IL Carb
Slide 31: Outstanding Guarantor Payments > $100,000
Outstanding Guarantor Payments > $100,000 Total Current Outstanding Accrued Outstanding Original Current Outstanding Monthly Deal Senior Tranche Interest on Loans Impacted Loan Status Repayment Potential Balance AAA/CS AAA/CS Guarantor Advance or Balance Advance Payments (Gain) psp 3 - Lofts 640 (FM
Slide 32: Corrected Loans
Corrected Loans Current PSP Servicer Property UPB Amount at Reason for Transfer Date of Workout Date K-Deal Freddie Mac Property Name State MSA (City) Loan ID Loan ID Type Transfer to SS to SS Transfer to SS Resolution Resolved Loan Status The Retreat at K-704 9 981197329 862100009 TX Dallas (McKinn
Slide 33: Corrected Loans
Corrected Loans Current PSP Freddie Servicer Property UPB Amount at Reason for Transfer Date of Workout Date K-Deal Property Name State MSA (City) Loan ID Mac Loan Loan ID Type Transfer to SS to SS Transfer to SS Resolution Resolved Status Reserve At K-057 5 708262562 306511005 PA Canonsburg Garden
Slide 34: Servicer Watchlist Loans
Servicer Watchlist Loans ▪ As of December 2021, there are 1,147 loans on the ▪ Based on the new CREFC IRP guidelines regarding the servicers’ watchlist for a total of $22.990 billion or 6.51% Credit and Informational flags, loans on the servicers’ of outstanding loan balance* watchlist were designat
Slide 35: Servicer Watchlist Loans (continued)
Servicer Watchlist Loans (continued) ▪ Categorizing the risk of the watchlist loans by DCR and ▪ Of the $22.515 billion designated by the servicers as Occupancy as shown in the table below indicates the Credit, Freddie Mac designated $11.093 billion as high or watchlists contain a majority of low-ri
Slide 36: 10 Largest Loans on the Watchlist
10 Largest Loans on the Watchlist Most Property Property UW P1 P1 Most Watchlist Credit / Deal Loan ID State MSA UPB Recent As of Name Type DCR DCR Occup Recent DCR Reason Informational Occup Washington-Arlington- 2018-KHG1 501172661 HG Note A-3 Various Garden $315,831,000 1.25 N/A N/A N/A 95% 12/31
Slide 37: The information in the K-Deal Performance presentation is presented as of December 31, 2021
The information in the K-Deal Performance presentation is presented as of December 31, 2021 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. Previously repor