K-Deal Performance - Freddie Mac

K-Deal®

Performance

September 2021

MULTIFAMILY © Freddie Mac 2

The information in the K-Deal® Performance presentation is presented as of September 30, 2021 and could become out of date and/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 reported data is subject to change due to information updates and data corrections. In addition,

Freddie Mac may reflect some data changes in the K-Deal Performance presentation for the current period without adjusting prior

periods.

The K-Deal Performance presentation is provided for information purposes only and is not intended to provide any prediction regarding

the future performance of loans or securities owned or guaranteed by Freddie Mac. Freddie Mac's future performance, including financial

performance, is subject to various risks and uncertainties that could cause actual results to differ materially from expectations. The

factors that could affect the company's future results are discussed more fully in its reports filed with the SEC.

All information in the presentation excludes K001 and K002, which are not representative of the current K-deal program.

Introduction

3MULTIFAMILY © Freddie Mac

K-Deal Performance

Freddie Mac’s K-Deal program

through September 2021

▪ 438 K-Deal transactions

▪ $461.123 billion in combined

issuance

▪ 22,339 loans (original loan count)Freddie Mac's

Core Mission is to

Provide Liquidity,

Stability and

Affordability to

the US Housing

Market

Loan Payoffs through September 2021

▪ 7,228 loans (29.55% of combined

issuance, by loan balance) have

paid off on or prior to maturity date.

Performance has remained strong. As of the September 2021 reporting date:

▪ 99.96% of the K-Deal loans are current (not including REO).

▪ 14 loans are in special servicing (representing <10 bps of outstanding principal)

▪ 1 loan is REO (representing <1 bp of outstanding principal)

▪ There have been $33.70 million in total losses (representing <1 bp of total issuance)

▪ 6.64% of the outstanding loan population (by outstanding principal) is on the

servicers’ watchlist*

* The respective Master Servicers maintain a watchlist for each securitization. Loans are added to and

removed from the watchlist in accordance with criteria established by CREFC


* $ Amounts are shown in millions.

K-Deal Performance (continued)

Days Delinquent

Current 30 Days 60 Days 90+ Days Foreclosure REO Watchlist

# $ # $ # $ # $ # $ # $ # $

September 2021 15,194 $ 317,384.03 0 $ - 0 $ - 6 $ 64.47 2 $ 51.47 1 $ 8.10 1,260 $ 24,062.48

August 2021 15,157 $ 315,401.36 2 $ 31.50 0 $ - 7 $ 83.95 2 $ 51.57 1 $ 8.12 1,320 $ 24,423.49

July 2021 15,194 $ 315,386.33 0 $ - 0 $ - 9 $ 130.37 2 $ 51.66 1 $ 8.13 1,332 $ 25,632.29

June 2021 15,102 $ 314,941.57 0 $ - 0 $ - 10 $ 141.58 2 $ 51.77 2 $ 28.01 1,328 $ 25,003.21

May 2021 15,065 $ 313,302.22 0 $ - 1 $ 38.64 17 $ 26.03 2 $ 51.87 2 $ 28.07 1,294 $ 24,844.62

April 2021 14,969 $ 309,231.39 1 $ 38.69 0 $ - 17 $ 308.08 2 $ 51.97 2 $ 28.13 1,253 $ 23,046.40

March 2021 14,838 $ 304,567.50 2 $ 23.49 0 $ - 14 $ 212.30 2 $ 52.07 2 $ 28.19 1,197 $ 21,280.13

February 2021 14,615 $ 296,584.54 0 $ - 0 $ - 11 $ 124.54 2 $ 52.18 2 $ 28.26 1,203 $ 21,248.96

January 2021 14,455 $ 293,037.97 3 $ 64.19 2 $ 31.19 12 $ 167.30 2 $ 31.62 2 $ 20.45 1,186 $ 20,939.19

December 2020 14,441 $ 291,751.07 2 $ 23.80 2 $ 33.93 10 $ 144.57 2 $ 31.68 2 $ 20.46 1,131 $ 19,543.82

November 2020 14,336 $ 288,712.28 2 $ 119.36 1 $ 5.97 9 $ 138.61 2 $ 31.74 2 $ 20.48 1,126 $ 19,458.93

October 2020 14,057 $ 284,218.83 0 $ - 1 $ 5.99 7 $ 84.88 2 $ 31.87 2 $ 20.50 1,133 $ 19,543.06

September 2020 13,858 $ 277,765.01 1 $ 4.30 1 $ 5.99 9 $ 118.34 2 $ 35.76 2 $ 20.50 1,142 $ 19,736.94

August 2020 13,688 $ 272,535.69 1 $ 6.00 0 $ - 9 $ 119.86 3 $ 45.05 2 $ 20.52 1,134 $ 19,504.17

July 2020 13,253 $ 268,611.45 0 $ - 1 $ 6.01 9 $ 119.96 3 $ 45.10 2 $ 20.53 1,124 $ 19,336.25

June 2020 13,334 $ 264,043.05 1 $ 6.02 5 $ 81.42 6 $ 105.79 4 $ 47.69 2 $ 20.54 1,097 $ 19,027.13

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 $ 12.23 954 $ 15,063.91

March 2020 13,264 $ 260,189.64 0 $ - 0 $ - 6 $ 79.69 2 $ 28.87 1 $ 12.23 820 $ 12,618.25

February 2020 13,196 $ 257,090.67 0 $ - 0 $ - 6 $ 79.77 2 $ 28.94 1 $ 12.26 854 $ 12,868.91

January 2020 13,132 $ 256,335.07 0 $ - 0 $ - 6 $ 79.83 2 $ 28.99 1 $ 12.28 865 $ 13,117.24

December 2019 13,243 $ 258,881.73 0 $ - 1 $ 39.37 6 $ 81.86 1 $ 20.65 1 $ 12.30 889 $ 13,659.25

November 2019 13,181 $ 255,935.86 0 $ - 1 $ 39.37 6 $ 82.01 2 $ 36.26 1 $ 12.32 917 $ 14,149.25

October 2019 12,910 $ 249,979.02 0 $ - 0 $ - 5 $ 52.08 2 $ 36.32 1 $ 12.35 902 $ 13,891.21

September 2019 12,776 $ 246,377.50 0 $ - 0 $ - 6 $ 82.30 0 $ - 0 $ - 879 $ 13,115.78

August 2019 12,724 $ 244,840.65 0 $ - 3 $ 27.12 3 $ 46.53 0 $ - 1 $ 12.40 860 $ 14,165.25

July 2019 12,658 $ 240,536.35 3 $ 27.17 0 $ - 5 $ 74.12 1 $ 20.85 1 $ 12.42 898 $ 14,833.47

June 2019 12,594 $ 224,389.81 0 $ - 3 $ 27.22 3 $ 50.42 1 $ 20.89 2 $ 28.61 910 $ 14,616.70

May 2019 12,336 $ 233,078.79 0 $ - 3 $ 8.17 4 $ 61.91 0 $ - 2 $ 28.66 913 $ 14,595.92

April 2019 12,460 $ 235,830.00 0 $ - 0 $ - 6 $ 90.73 0 $ - 2 $ 28.72 896 $ 14,094.00

March 2019 12,405 $ 234,524.00 0 $ - 4 $ 62.10 2 $ 28.72 0 $ - 2 $ 28.72 880 $ 14,224.00

February 2019 12,266 $ 231,238.00 4 $ 62.24 0 $ - 3 $ 35.03 0 $ - 2 $ 28.83 864 $ 13,960.00

January 2019 12,233 $ 230,390.00 0 $ - 0 $ - 3 $ 35.09 0 $ - 1 $ 16.32 866 $ 13,258.00

December 2018 12,275 $ 198,009.00 0 $ - 0 $ - 4 $ 42.95 0 $ - 1 $ 16.35 870 $ 13,370.00

November 2018 12,037 $ 222,443.00 0 $ - 0 $ - 4 $ 43.02 0 $ - 1 $ 16.38 861 $ 13,537.00

October 2018 11,781 $ 219,317.00 0 $ - 0 $ - 4 $ 43.09 0 $ - 1 $ 16.40 858 $ 13,377.00

September 2018 11,809 $ 220,175.00 0 $ - 0 $ - 4 $ 43.17 0 $ - 1 $ 16.44 797 $ 13,274.00


K-Deal Performance (continued)

K-Deal Defeasance Activity as of September 2021:

▪ K-Deal Defeasance Volume by Loan Count = 3,124

▪ K-Deal Defeasance Volume by UPB = $51.270 Billion


K-Deal Issuance

10 Year K-DealsSenior Subordination Level

K-DealSettlement

Date

Original Balance

(millions)

Current Balance

(Millions) Factor Original Current Change

Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans

% with Supp Loans by

Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal

Reduction in Millions

% Specially Serviced/

REO% on

Watchlist% Fully

Defeased

K-003 6/18/2009 $1,064.70 $0.00 0.0000 7.50% 0.00% -7.50% 62 0 0 0 0.00 % 0.00 % 0.53% 0.00% $0.00 0.00 % 0.00% 32.83 %

K-004 10/22/2009 $1,075.30 $0.00 0.0000 7.50% 0.00% -7.50% 46 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 47.92 %

K-005 2/3/2010 $1,107.35 $0.00 0.0000 7.50% 0.00% -7.50% 70 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 71.36 %

K-006 4/6/2010 $1,231.84 $0.00 0.0000 12.24% 0.00% -12.24% 68 0 0 0 0.00 % 0.00 % 0.03% 0.00% $0.00 0.00 % 0.00% 55.59 %

K-007 6/24/2010 $1,168.74 $0.00 0.0000 13.38% 0.00% -13.38% 83 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 53.10 %

K-008 9/23/2010 $1,158.68 $0.00 0.0000 12.75% 0.00% -12.75% 72 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 55.44 %

K-009 11/23/2010 $1,248.19 $0.00 0.0000 12.75% 0.00% -12.75% 70 0 0 0 0.00 % 0.00 % 0.15% 0.00% $0.00 0.00 % 0.00% 44.03 %

K-010 2/10/2011 $1,165.38 $0.00 0.0000 13.38% 0.00% -13.38% 76 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 53.64 %

K-011 3/31/2011 $1,188.03 $0.00 0.0000 12.88% 0.00% -12.88% 76 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 64.64 %

K-012 4/27/2011 $1,210.57 $0.00 0.0000 14.25% 0.00% -14.25% 69 0 0 0 0.00 % 0.00 % 0.24% 0.00% $0.00 0.00 % 0.00% 51.99 %

K-013 5/26/2011 $1,250.92 $0.00 0.0000 12.29% 0.00% -12.29% 81 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 67.51 %

K-014 8/10/2011 $1,191.60 $0.00 0.0000 12.00% 0.00% -12.00% 90 0 0 0 0.00 % 0.00 % 0.26% 0.00% $0.00 0.00 % 0.00% 46.60 %

K-015 11/9/2011 $1,164.91 $0.00 0.0000 13.25% 0.00% -13.25% 91 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 58.01 %

K-016 12/22/2011 $1,171.19 $162.59 0.0094 13.38% 94.16% 80.79% 85 39 14 4 4.71 % 6.34 % 0.30% 0.00% $0.00 0.00 % 17.51% 47.70 %

K-017 3/20/2012 $1,272.38 $552.67 0.3365 14.75% 33.96% 19.21% 72 47 44 5 6.94 % 1.93 % 0.00% 0.00% $0.00 0.00 % 14.08% 37.52 %

K-018 5/22/2012 $1,212.41 $772.42 0.5829 13.63% 20.97% 7.34% 75 65 63 2 2.67 % 1.34 % 0.27% 5.19% $0.00 5.19 % 13.77% 49.58 %

K-019 8/14/2012 $1,272.51 $995.72 0.7433 15.25% 19.49% 4.24% 83 76 76 4 4.82 % 1.07 % 0.00% 0.00% $0.00 0.00 % 6.92% 60.37 %

K-020 9/25/2012 $1,298.82 $1,072.17 0.7935 15.50% 18.78% 3.28% 77 75 74 4 5.19 % 2.73 % 0.00% 0.00% $0.00 0.00 % 2.40% 53.54 %

K-021 11/8/2012 $1,367.55 $1,154.66 0.8169 15.00% 17.77% 2.77% 80 77 77 8 10.00 % 5.12 % 0.00% 0.00% $0.00 0.00 % 0.42% 62.24 %

K-022 12/11/2012 $1,409.53 $1,183.68 0.8109 15.25% 18.16% 2.91% 81 79 79 11 13.58 % 6.04 % 0.00% 0.00% $0.00 0.00 % 9.27% 54.81 %

K-023 12/21/2012 $1,369.64 $1,185.99 0.8399 16.25% 18.77% 2.52% 76 76 76 12 15.79 % 3.93 % 0.00% 0.00% $0.00 0.00 % 3.44% 59.82 %

K-024 1/24/2013 $1,449.48 $1,248.24 0.8350 15.87% 18.43% 2.56% 74 73 73 3 4.05 % 1.38 % 0.00% 0.00% $0.00 0.00 % 9.85% 59.30 %

K-025 2/13/2013 $1,534.95 $1,330.96 0.8427 15.50% 17.88% 2.38% 83 81 81 15 18.07 % 5.66 % 0.00% 0.00% $0.00 0.00 % 10.00% 48.11 %

K-026 5/7/2013 $1,466.06 $1,291.26 0.8597 15.00% 17.03% 2.03% 81 81 81 11 13.58 % 4.73 % 0.00% 0.00% $0.00 0.38 % 2.65% 49.14 %

K-027 5/22/2013 $1,639.08 $1,433.86 0.8520 15.38% 17.58% 2.20% 78 77 77 19 24.36 % 6.98 % 0.00% 0.00% $0.00 0.00 % 2.26% 43.83 %

K-028 6/27/2013 $1,900.05 $1,644.36 0.8403 15.75% 18.20% 2.45% 88 85 85 13 14.77 % 5.14 % 0.00% 0.00% $0.00 0.00 % 9.18% 39.42 %

K-029 7/24/2013 $1,637.71 $1,415.45 0.8377 16.38% 18.95% 2.57% 87 86 86 15 17.24 % 2.95 % 0.00% 0.00% $0.00 0.00 % 0.55% 55.35 %

K-030 8/7/2013 $1,635.42 $1,398.89 0.8263 16.75% 19.58% 2.83% 79 77 77 4 5.06 % 1.88 % 0.00% 0.00% $0.00 0.00 % 4.65% 52.03 %

K-031 8/27/2013 $1,568.56 $1,344.45 0.8291 16.38% 19.10% 2.73% 88 88 88 9 10.23 % 3.73 % 0.00% 0.00% $0.00 0.00 % 5.21% 48.70 %


K-Deal Issuance (continued)

10 Year K-Deals

Senior Subordination Level

K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

CountActive

Loan Count

# of Suppal Loans

% with Supp Loans by Loan

Count

% of Supp UPB to Current

Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal


% Specially Serviced/REO

% on Watchlist

% Fully Defeased

K-032 9/26/2013 $1,512.55 $1,299.59 0.8324 16.00% 18.62% 2.62% 90 89 89 6 6.67 % 2.54 % 0.00% 0.00% $0.00 0.00 % 0.47% 56.32 %

K-033 10/29/2013 $1,645.63 $1,473.73 0.8755 16.13% 18.01% 1.88% 86 86 86 8 9.30 % 1.53 % 0.00% 0.00% $0.00 0.00 % 10.39% 44.46 %

K-034 11/21/2013 $1,546.77 $1,391.35 0.8800 16.25% 18.07% 1.82% 79 78 78 13 16.46 % 3.80 % 0.00% 0.00% $0.00 0.00 % 4.52% 48.09 %

K-035 12/5/2013 $1,530.30 $1,352.05 0.8605 16.50% 18.68% 2.18% 79 77 77 2 2.53 % 3.39 % 0.00% 0.00% $0.00 0.00 % 2.61% 53.57 %

K-036 2/20/2014 $1,254.65 $1,108.15 0.8618 15.50% 17.55% 2.05% 76 74 74 10 13.16 % 7.58 % 0.00% 0.00% $0.00 0.00 % 0.95% 36.89 %

K-037 3/25/2014 $1,364.58 $1,218.73 0.8735 15.50% 17.36% 1.86% 102 102 102 19 18.63 % 6.40 % 0.00% 0.66% $0.00 0.66 % 5.47% 39.97 %

K-038 6/25/2014 $1,240.53 $1,100.53 0.8676 14.75% 16.63% 1.88% 105 104 104 9 8.57 % 2.03 % 0.00% 0.00% $0.00 0.00 % 3.07% 19.96 %

K-039 9/18/2014 $1,329.95 $1,216.54 0.9000 14.75% 16.13% 1.38% 105 104 104 20 19.05 % 6.26 % 0.00% 0.00% $0.00 0.00 % 10.76% 26.11 %

K-040 11/13/2014 $1,565.29 $1,452.42 0.9152 15.00% 16.17% 1.17% 106 105 105 28 26.42 % 9.61 % 0.00% 0.00% $0.00 0.00 % 13.10% 30.95 %

K-041 12/16/2014 $1,380.18 $1,288.55 0.9195 17.50% 18.74% 1.24% 96 96 96 16 16.67 % 5.93 % 0.00% 0.00% $0.00 0.00 % 1.55% 34.02 %

K-042 1/28/2015 $1,373.11 $1,300.33 0.9354 18.00% 19.01% 1.01% 78 78 78 36 46.15 % 11.51 % 0.00% 4.65% $0.00 5.85 % 3.97% 16.43 %

K-043 3/4/2015 $1,450.44 $1,387.74 0.9478 17.13% 17.90% 0.77% 81 81 81 31 38.27 % 9.57 % 0.00% 0.00% $0.00 0.00 % 13.82% 6.46 %

K-044 4/21/2015 $1,631.23 $1,539.90 0.9312 18.63% 19.73% 1.10% 76 74 74 19 25.00 % 6.69 % 0.00% 0.00% $0.00 0.00 % 10.82% 10.70 %

K-045 5/20/2015 $1,577.45 $1,504.07 0.9433 18.00% 18.88% 0.88% 74 74 74 11 14.86 % 3.39 % 0.00% 0.00% $0.00 0.00 % 6.90% 16.47 %

K-046 6/17/2015 $1,587.63 $1,521.37 0.9489 18.38% 19.18% 0.80% 82 82 82 18 21.95 % 6.39 % 0.00% 0.00% $0.00 0.00 % 9.35% 19.88 %

K-047 7/30/2015 $1,448.02 $1,376.74 0.9400 18.00% 18.93% 0.93% 90 89 89 16 17.78 % 7.55 % 0.00% 0.00% $0.00 0.00 % 4.06% 14.33 %

K-048 9/24/2015 $1,569.42 $1,492.94 0.9403 18.32% 19.26% 0.94% 89 88 88 14 15.73 % 5.92 % 0.00% 0.00% $0.00 0.00 % 12.14% 15.16 %

K-049 10/29/2015 $1,572.55 $1,492.18 0.9377 18.00% 18.97% 0.97% 96 96 96 26 27.08 % 6.50 % 0.00% 0.00% $0.00 0.00 % 8.20% 14.41 %

K-050 11/24/2015 $1,535.31 $1,482.35 0.9578 18.25% 18.90% 0.65% 86 86 86 32 37.21 % 10.81 % 0.00% 0.00% $0.00 0.00 % 11.10% 7.02 %

K-051 12/18/2015 $1,195.81 $1,115.99 0.9182 18.38% 19.69% 1.31% 99 97 97 22 22.22 % 6.34 % 0.00% 0.00% $0.00 0.00 % 12.23% 12.66 %

K-052 2/10/2016 $1,395.79 $1,311.85 0.9264 18.25% 19.42% 1.17% 91 91 91 22 24.18 % 8.80 % 0.00% 0.00% $0.00 0.00 % 4.53% 6.17 %

K-053 3/29/2016 $1,447.25 $1,403.39 0.9629 18.38% 18.95% 0.57% 88 88 88 23 26.14 % 8.56 % 0.00% 0.00% $0.00 0.00 % 0.55% 12.46 %

K-054 4/20/2016 $1,423.00 $1,376.14 0.9593 19.00% 19.65% 0.65% 79 79 79 18 22.78 % 6.23 % 0.00% 0.00% $0.00 0.00 % 16.58% 9.67 %

K-055 6/22/2016 $1,280.20 $1,235.30 0.9567 19.00% 19.69% 0.69% 78 78 78 25 32.05 % 8.95 % 0.00% 0.00% $0.00 0.00 % 12.26% 8.61 %

K-056 8/10/2016 $1,180.34 $1,136.99 0.9573 14.00% 14.53% 0.53% 82 82 82 20 24.39 % 9.83 % 0.00% 0.00% $0.00 0.00 % 1.66% 11.09 %

K-057 9/28/2016 $1,209.86 $1,157.63 0.9527 14.00% 14.37% 0.37% 72 70 70 14 19.44 % 5.66 % 0.25% 0.00% $0.00 0.00 % 15.96% 7.31 %

K-058 11/9/2016 $1,282.89 $1,251.09 0.9712 14.00% 14.36% 0.36% 74 74 74 13 17.57 % 5.26 % 0.00% 0.00% $0.00 0.00 % 10.28% 14.30 %

K-059 11/29/2016 $1,315.40 $1,279.47 0.9682 14.00% 14.39% 0.39% 67 67 67 16 23.88 % 4.85 % 0.00% 0.00% $0.00 0.00 % 14.29% 2.53 %

K-060 12/22/2016 $1,076.58 $1,049.54 0.9708 14.00% 14.36% 0.36% 62 62 62 12 19.35 % 4.09 % 0.00% 0.00% $0.00 0.00 % 7.61% 1.97 %

K-061 1/30/2017 $1,261.09 $1,219.44 0.9616 14.00% 14.48% 0.48% 69 68 68 16 23.19 % 7.89 % 0.00% 0.00% $0.00 0.00 % 14.44% 3.69 %



10 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of SuppalLoans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



% on Watchlist

% Fully Defeased

K-062 2/27/2017 $1,444.06 $1,418.83 0.9797 14.00% 14.25% 0.25% 67 67 67 15 22.39 % 4.86 % 0.00% 0.00% $0.00 0.00 % 10.64% 0.41 %

K-063 3/22/2017 $1,520.16 $1,493.39 0.9795 14.00% 14.25% 0.25% 46 46 46 15 32.61 % 6.23 % 0.00% 0.00% $0.00 0.00 % 1.31% 4.64 %

K-064 5/15/2017 $1,550.00 $1,477.58 0.9457 14.00% 14.69% 0.69% 71 70 70 15 21.13 % 5.59 % 0.00% 0.00% $0.00 0.00 % 0.72% 6.90 %

K-065 7/24/2017 $1,307.27 $1,287.59 0.9825 14.00% 14.21% 0.21% 72 72 72 23 31.94 % 8.34 % 0.00% 0.00% $0.00 0.00 % 2.10% 2.11 %

K-066 8/22/2017 $1,297.45 $1,278.93 0.9834 14.00% 14.20% 0.20% 61 60 60 13 21.31 % 5.87 % 0.00% 0.00% $0.00 0.00 % 6.60% 3.45 %

K-067 9/28/2017 $1,436.11 $1,422.03 0.9886 14.00% 14.14% 0.14% 67 67 67 14 20.90 % 4.35 % 0.00% 0.00% $0.00 0.00 % 6.43% 3.21 %

K-068 10/27/2017 $1,310.43 $1,283.11 0.9758 14.00% 14.30% 0.30% 75 75 75 14 18.67 % 6.64 % 0.00% 0.00% $0.00 0.00 % 0.00% 4.65 %

K-069 11/20/2017 $1,471.50 $1,440.66 0.9756 14.00% 14.30% 0.30% 68 67 67 9 13.24 % 3.21 % 0.00% 0.00% $0.00 0.00 % 7.48% 2.67 %

K-070 12/12/2017 $1,322.56 $1,307.20 0.9865 14.00% 14.16% 0.16% 74 74 74 8 10.81 % 3.07 % 0.00% 0.00% $0.00 0.00 % 14.45% 0.97 %

K-071 12/22/2017 $1,516.24 $1,499.74 0.9873 14.00% 14.15% 0.15% 65 65 65 10 15.38 % 5.32 % 0.00% 0.00% $0.00 0.00 % 3.80% 1.75 %

K-072 1/31/2018 $1,326.97 $1,308.53 0.9838 14.00% 14.20% 0.20% 66 66 66 7 10.61 % 1.22 % 0.00% 0.00% $0.00 0.00 % 6.11% 3.62 %

K-073 2/28/2018 $1,141.13 $1,134.23 0.9930 14.00% 14.09% 0.09% 50 50 50 4 8.00 % 1.64 % 0.00% 0.00% $0.00 0.00 % 5.21% 0.00 %

K-074 3/29/2018 $1,434.17 $1,425.27 0.9928 14.00% 14.09% 0.09% 81 81 81 7 8.64 % 2.45 % 0.00% 1.47% $0.00 0.44 % 15.39% 2.08 %

K-075 4/27/2018 $1,290.03 $1,282.06 0.9928 14.00% 14.09% 0.09% 73 73 73 7 9.59 % 1.78 % 0.00% 0.00% $0.00 0.00 % 8.20% 0.00 %

K-076 5/31/2018 $1,310.73 $1,304.32 0.9943 14.00% 14.07% 0.07% 58 58 58 2 3.45 % 0.75 % 0.00% 0.00% $0.00 0.00 % 10.99% 5.16 %

K-077 6/26/2018 $1,220.55 $1,213.07 0.9929 14.00% 14.09% 0.09% 60 60 60 7 11.67 % 1.11 % 0.00% 0.00% $0.00 0.00 % 5.38% 0.20 %

K-078 7/19/2018 $1,310.43 $1,303.54 0.9939 14.00% 14.07% 0.07% 48 48 48 1 2.08 % 0.17 % 0.00% 0.00% $0.00 0.00 % 12.09% 0.00 %

K-079 8/17/2018 $1,179.06 $1,172.34 0.9934 14.00% 14.08% 0.08% 60 60 60 12 20.00 % 4.74 % 0.00% 0.00% $0.00 0.00 % 7.89% 1.64 %

K-080 9/26/2018 $1,319.12 $1,311.18 0.9930 14.00% 14.08% 0.08% 67 67 67 8 11.94 % 3.73 % 0.00% 0.00% $0.00 0.00 % 14.97% 0.00 %

K-081 10/12/2018 $1,282.66 $1,268.65 0.9873 14.00% 14.15% 0.15% 62 61 61 7 11.29 % 1.78 % 0.00% 0.00% $0.00 0.00 % 21.60% 3.98 %

K-082 10/31/2018 $1,338.57 $1,335.34 0.9972 14.00% 14.03% 0.03% 62 62 62 1 1.61 % 0.74 % 0.00% 0.00% $0.00 0.00 % 4.12% 0.00 %

K-083 11/13/2018 $1,352.08 $1,350.00 0.9982 14.00% 14.02% 0.02% 58 58 58 2 3.45 % 0.63 % 0.00% 0.00% $0.00 0.00 % 4.67% 1.17 %

K-084 11/27/2018 $1,486.78 $1,480.24 0.9949 14.00% 14.06% 0.06% 71 71 71 2 2.82 % 0.52 % 0.00% 0.00% $0.00 0.00 % 10.46% 1.98 %

K-085 12/10/2018 $1,558.45 $1,526.45 0.9761 14.00% 14.29% 0.29% 59 58 58 6 10.17 % 2.12 % 0.00% 0.00% $0.00 0.00 % 5.57% 3.62 %

K-086 12/28/2018 $1,090.65 $1,086.62 0.9957 14.00% 14.05% 0.05% 54 54 54 4 7.41 % 0.96 % 0.00% 0.00% $0.00 0.00 % 18.29% 0.00 %

K-087 1/31/2019 $1,298.34 $1,292.38 0.9947 14.00% 14.06% 0.06% 65 65 65 3 4.62 % 0.97 % 0.00% 0.00% $0.00 0.00 % 6.84% 0.86 %

K-088 3/12/2019 $1,444.26 $1,442.02 0.9982 14.00% 14.02% 0.02% 64 64 64 3 4.69 % 1.44 % 0.00% 0.00% $0.00 0.00 % 12.39% 2.20 %

K-089 3/21/2019 $1,488.68 $1,478.33 0.9919 14.00% 14.10% 0.10% 61 60 60 2 3.28 % 0.67 % 0.00% 0.00% $0.00 0.00 % 4.67% 2.71 %

K-090 4/11/2019 $1,393.55 $1,391.49 0.9983 14.00% 14.02% 0.02% 57 57 57 3 5.26 % 1.44 % 0.00% 0.00% $0.00 0.00 % 3.98% 0.86 %

K-091 4/29/2019 $1,384.76 $1,379.46 0.9955 14.00% 14.05% 0.05% 80 79 79 2 2.50 % 0.83 % 0.00% 0.00% $0.00 0.00 % 7.73% 2.58 %

K-092 5/31/2019 $1,463.34 $1,459.85 0.9972 14.00% 14.03% 0.03% 63 63 63 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.99% 0.00 %



10 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month

Loan Count

Active Loan

Count

# of Suppal Loans


Loan Count


Deal UPBCum Deal

Loss % DQ=

60+/F/REO

Active Appraisal



% on Watchlist

% Fully Defeased

K-093 6/20/2019 $1,439.48 $1,434.48 0.9960 14.00% 14.05% 0.05% 59 59 59 2 3.39 % 0.76 % 0.00% 0.00% $0.00 0.00 % 5.10% 0.00 %

K-094 7/18/2019 $1,330.28 $1,327.79 0.9978 14.00% 14.03% 0.03% 65 65 65 2 3.08 % 0.53 % 0.00% 0.00% $0.00 0.00 % 5.59% 0.00 %

K-095 8/9/2019 $1,266.54 $1,263.16 0.9969 14.00% 14.04% 0.04% 53 53 53 1 1.89 % 0.33 % 0.00% 0.00% $0.00 0.00 % 8.94% 1.22 %

K-096 8/22/2019 $1,376.21 $1,373.76 0.9979 14.00% 14.02% 0.02% 59 59 59 2 3.39 % 0.28 % 0.00% 0.00% $0.00 0.00 % 6.28% 0.00 %

K-097 9/24/2019 $1,469.23 $1,467.57 0.9987 14.00% 14.02% 0.02% 57 57 57 2 3.51 % 1.04 % 0.00% 0.00% $0.00 0.00 % 5.09% 0.00 %

K-098 10/11/2019 $1,435.31 $1,429.48 0.9953 14.00% 14.06% 0.06% 59 59 59 2 3.39 % 0.51 % 0.00% 0.00% $0.00 0.00 % 4.29% 0.00 %

K-099 10/30/2019 $1,541.07 $1,536.04 0.9962 14.00% 14.05% 0.05% 54 54 54 4 7.41 % 1.60 % 0.00% 0.00% $0.00 0.00 % 4.45% 0.00 %

K-100 11/15/2019 $1,379.69 $1,377.18 0.9979 14.00% 14.03% 0.03% 70 70 70 1 1.43 % 0.30 % 0.00% 1.29% $0.00 1.29 % 7.25% 0.00 %

K-101 11/26/2019 $1,459.69 $1,455.69 0.9968 14.00% 14.04% 0.04% 58 58 58 1 1.72 % 0.24 % 0.00% 0.00% $0.00 0.00 % 5.33% 0.00 %

K-102 12/12/2019 $1,368.29 $1,365.52 0.9976 14.00% 14.03% 0.03% 46 46 46 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-103 12/19/2019 $1,276.31 $1,275.03 0.9988 14.00% 14.01% 0.01% 46 46 46 2 4.35 % 0.69 % 0.00% 0.00% $0.00 0.00 % 9.42% 0.00 %

K-104 2/27/2020 $1,446.09 $1,443.44 0.9979 14.00% 14.03% 0.03% 57 57 57 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.74% 0.00 %

K-105 3/12/2020 $1,465.66 $1,464.42 0.9990 14.00% 14.01% 0.01% 71 71 71 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.94% 0.00 %

K-106 3/26/2020 $1,212.18 $1,210.06 0.9980 14.00% 14.02% 0.02% 52 52 52 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 8.50% 0.00 %

K-107 4/23/2020 $1,093.31 $1,092.24 0.9989 7.50% 7.51% 0.01% 50 50 50 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.54% 0.00 %

K-108 5/7/2020 $1,267.56 $1,267.36 0.9998 7.50% 7.50% 0.00% 44 44 44 1 2.27 % 0.72 % 0.00% 0.00% $0.00 0.00 % 2.08% 0.00 %

K-109 5/28/2020 $1,068.95 $1,067.35 0.9984 7.50% 7.51% 0.01% 51 51 51 1 1.96 % 0.29 % 0.00% 0.00% $0.00 0.00 % 2.66% 0.00 %

K-110 6/25/2020 $1,151.05 $1,149.40 0.9985 7.50% 7.51% 0.01% 53 53 53 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.49% 0.00 %

K-111 7/16/2020 $1,251.65 $1,249.29 0.9980 7.50% 7.51% 0.01% 59 59 59 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.62% 0.00 %

K-112 7/30/2020 $1,284.58 $1,283.51 0.9991 7.50% 7.51% 0.01% 61 61 61 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.05% 0.00 %

K-113 8/6/2020 $1,448.57 $1,448.50 0.9999 7.50% 7.50% 0.00% 62 62 62 1 1.61 % 0.30 % 0.00% 0.00% $0.00 0.00 % 4.51% 0.00 %

K-114 8/20/2020 $1,306.45 $1,304.65 0.9985 7.50% 7.51% 0.01% 59 59 59 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.71% 0.00 %

K-115 9/18/2020 $1,311.48 $1,310.58 0.9993 7.50% 7.51% 0.01% 54 54 54 1 1.85 % 0.16 % 0.00% 0.00% $0.00 0.00 % 4.98% 0.00 %

K-116 9/30/2020 $1,385.81 $1,384.08 0.9987 7.50% 7.51% 0.01% 67 67 67 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.80% 0.00 %

K-117 10/13/2020 $1,271.53 $1,268.00 0.9970 7.50% 7.52% 0.02% 58 58 58 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-118 10/29/2020 $1,288.16 $1,286.23 0.9984 7.50% 7.51% 0.01% 55 55 55 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.06% 0.00 %

K-119 11/13/2020 $1,382.26 $1,380.09 0.9983 7.50% 7.51% 0.01% 57 57 57 1 1.75 % 0.29 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-120 11/24/2020 $1,350.19 $1,348.46 0.9986 7.50% 7.51% 0.01% 57 57 57 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.69% 0.00 %

K-121 12/10/2020 $1,408.30 $1,406.70 0.9988 7.50% 7.51% 0.01% 66 66 66 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.33% 0.00 %

K-122 12/17/2020 $1,295.09 $1,293.92 0.9990 7.50% 7.51% 0.01% 69 69 69 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.30% 0.00 %

K-123 1/28/2021 $1,367.58 $1,366.66 0.9993 7.50% 7.51% 0.01% 82 82 82 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.56% 0.00 %



10 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month

Loan Count

Active Loan

Count

# of Suppal Loans


Loan Count


Deal UPBCum Deal

Loss % DQ=

60+/F/REO

Active Appraisal



% on Watchlist

% Fully Defeased

K-124 2/11/2021 $1,201.62 $1,200.90 0.9993 7.50% 7.50% 0.00% 58 58 58 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.60% 0.00 %

K-125 2/26/2021 $1,361.67 $1,360.49 0.9991 7.50% 7.51% 0.01% 60 60 60 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.01% 0.00 %

K-126 3/18/2021 $1,316.36 $1,315.98 0.9997 7.50% 7.50% 0.00% 55 55 55 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-127 3/25/2021 $1,552.76 $1,552.28 0.9997 7.50% 7.50% 0.00% 43 43 43 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-128 4/29/2021 $1,559.25 $1,558.69 0.9996 7.50% 7.50% 0.00% 64 64 64 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-129 6/17/2021 $1,142.66 $1,142.54 0.9999 7.50% 7.50% 0.00% 59 59 59 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-130 8/12/2021 $1,215.53 $1,215.46 0.9999 5.00% 5.00% 0.00% 61 61 61 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-131 9/17/2021 $1,254.13 $1,254.13 1.0000 5.00% 5.00% 0.00% 47 0 47 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %



7 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count# of Suppal

Loans


Count

% of Supp UPB to Current Deal

UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-701 3/9/2011 $1,016.27 $0.00 0.0000 15.25% 0.00% -15.25% 44 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 66.87 %

K-702 6/29/2011 $1,199.03 $0.00 0.0000 15.50% 0.00% -15.50% 72 0 0 0 0.00 % 0.00 % 0.03% 0.00% $0.00 0.00 % 0.00% 45.57 %

K-703 9/14/2011 $1,225.02 $0.00 0.0000 14.50% 0.00% -14.50% 71 0 0 1 1.41 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 51.37 %

K-704 11/29/2011 $1,202.92 $0.00 0.0000 16.13% 0.00% -16.13% 65 0 0 0 0.00 % 0.00 % 0.03% 0.00% $0.00 0.00 % 0.00% 58.69 %

K-705 2/7/2012 $1,222.30 $0.00 0.0000 15.63% 0.00% -15.63% 70 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 65.34 %

K-706 2/28/2012 $1,225.85 $0.00 0.0000 16.56% 0.00% -16.56% 61 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 53.16 %

K-707 4/26/2012 $1,313.66 $0.00 0.0000 16.13% 0.00% -16.13% 66 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 54.61 %

K-708 6/7/2012 $1,213.88 $0.00 0.0000 16.25% 0.00% -16.25% 57 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 48.05 %

K-709 6/27/2012 $1,241.84 $0.00 0.0000 16.50% 0.00% -16.50% 54 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 64.12 %

K-710 7/26/2012 $1,284.99 $0.00 0.0000 17.25% 0.00% -17.25% 55 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 71.26 %

K-711 11/20/2012 $1,379.70 $0.00 0.0000 16.50% 0.00% -16.50% 76 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 46.74 %

K-712 4/23/2013 $1,754.76 $0.00 0.0000 17.50% 0.00% -17.50% 74 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 41.82 %

K-713 6/19/2013 $1,600.88 $0.00 0.0000 16.25% 0.00% -16.25% 74 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 68.69 %

K-714 1/28/2014 $1,260.14 $0.00 0.0000 16.13% 0.00% -16.13% 73 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 61.90 %

K-715 5/13/2014 $1,447.21 $36.14 0.0000 15.75% 100.0% 84.25% 90 2 2 1 1.11 % 9.88 % 0.00% 45.58% $0.00 45.58 % 54.42% 59.77 %

K-716 9/25/2014 $1,405.36 $3.97 0.0000 16.50% 100.0% 83.50% 80 1 1 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 62.34 %

K-717 12/9/2014 $1,476.86 $112.51 0.0000 16.75% 100.0% 83.25% 75 17 6 1 1.33 % 1.46 % 0.00% 0.00% $0.00 0.00 % 42.62% 63.13 %

K-718 5/27/2015 $1,590.59 $1,108.28 0.6279 18.50% 26.55% 8.05% 95 79 67 2 2.11 % 1.05 % 0.00% 0.00% $0.00 0.00 % 26.10% 37.25 %

K-719 8/19/2015 $523.94 $175.66 0.2614 10.00% 29.83% 19.83% 20 10 10 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 18.90 %

K-720 11/4/2015 $1,582.97 $1,405.72 0.8616 19.13% 21.54% 2.41% 75 70 69 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 11.35% 48.55 %

K-721 12/17/2015 $1,092.94 $986.32 0.8771 20.63% 22.86% 2.23% 48 46 46 1 2.08 % 0.59 % 0.00% 0.00% $0.00 0.00 % 19.44% 34.59 %

K-722 6/29/2016 $1,185.37 $1,048.16 0.8555 19.88% 22.48% 2.60% 52 49 49 2 3.85 % 0.69 % 0.00% 0.00% $0.00 0.00 % 9.23% 49.75 %

K-723 11/16/2016 $1,174.77 $1,039.80 0.8664 14.00% 15.82% 1.82% 55 49 49 10 18.18 % 2.28 % 0.00% 0.56% $0.00 0.56 % 7.88% 30.15 %

K-724 1/25/2017 $1,172.94 $964.34 0.7932 14.00% 17.03% 3.03% 58 51 48 4 6.90 % 1.40 % 0.00% 0.00% $0.00 0.00 % 4.50% 27.12 %

K-725 4/24/2017 $1,181.40 $1,125.22 0.9447 14.00% 14.70% 0.70% 52 51 51 8 15.38 % 4.37 % 0.00% 0.00% $0.00 0.00 % 13.66% 12.86 %

K-726 6/29/2017 $1,132.04 $968.32 0.8318 14.00% 16.37% 2.37% 49 45 45 5 10.20 % 2.45 % 0.00% 0.00% $0.00 0.00 % 5.36% 22.23 %

K-727 9/25/2017 $1,423.35 $1,374.65 0.9602 14.00% 14.50% 0.50% 51 50 50 4 7.84 % 1.25 % 0.00% 0.00% $0.00 0.00 % 23.24% 14.66 %

K-728 11/13/2017 $1,169.48 $1,138.47 0.9692 14.00% 14.38% 0.38% 43 42 42 2 4.65 % 1.03 % 0.00% 0.00% $0.00 0.00 % 9.45% 10.41 %

K-729 12/22/2017 $1,394.80 $1,296.20 0.9178 14.00% 15.07% 1.07% 45 42 42 5 11.11 % 1.42 % 0.00% 0.00% $0.00 0.00 % 20.47% 5.19 %

K-730 3/13/2018 $1,470.54 $1,333.39 0.8915 14.00% 15.44% 1.44% 52 49 49 4 7.69 % 0.63 % 0.00% 0.00% $0.00 0.00 % 7.64% 5.60 %

K-731 4/13/2018 $1,248.73 $1,182.67 0.9385 14.00% 14.78% 0.78% 54 53 53 3 5.56 % 0.23 % 0.00% 0.00% $0.00 6.08 % 6.43% 8.24 %



7 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)Current Balance

(Millions) Factor Original Current ChangeOriginal

Loan Count

Prior Month Loan

Count

Active Loan

Count# of Suppal

Loans


Count

% of Supp UPB to Current Deal

UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-732 6/28/2018 $1,082.43 $1,068.81 0.9854 14.00% 14.18% 0.18% 49 49 49 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 16.76% 7.46 %

K-733 11/9/2018 $1,003.35 $997.16 0.9928 14.00% 14.09% 0.09% 44 44 44 5 11.36 % 1.49 % 0.00% 0.00% $0.00 0.00 % 9.56% 2.68 %

K-734 4/18/2019 $1,600.43 $1,591.81 0.9937 14.00% 14.08% 0.08% 52 51 51 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 8.90% 4.00 %

K-735 7/25/2019 $1,410.94 $1,349.37 0.9493 14.00% 14.64% 0.64% 49 48 48 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.63% 2.10 %

K-736 9/17/2019 $1,479.50 $1,477.68 0.9986 14.00% 14.02% 0.02% 43 43 43 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.09% 0.00 %

K-737 1/30/2020 $1,482.40 $1,478.43 0.9969 14.00% 14.04% 0.04% 51 51 51 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.21% 0.00 %

K-738 5/14/2020 $953.83 $952.85 0.9989 7.50% 7.51% 0.01% 25 24 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-739 11/5/2020 $1,080.28 $1,079.47 0.9992 7.50% 7.51% 0.01% 47 47 47 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.63% 0.00 %

K-740 11/20/2020 $1,285.62 $1,283.56 0.9983 7.50% 7.51% 0.01% 44 44 44 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.17% 0.00 %

K-741 3/4/2021 $1,133.72 $1,133.48 0.9998 7.50% 7.50% 0.00% 33 33 33 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.58% 0.00 %

K-742 5/13/2021 $835.81 $835.73 0.9999 7.50% 7.50% 0.00% 24 24 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-743 6/30/2021 $803.95 $803.95 1.0000 7.50% 7.50% 0.00% 27 27 27 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-744 8/19/2021 $780.36 $780.34 1.0000 5.00% 5.00% 0.00% 29 29 29 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-745 9/23/2021 $955.47 $955.47 1.0000 5.00% 5.00% 0.00% 28 0 28 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %



5 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

CountActive

Loan Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-501 4/11/2012 $1,299.44 $0.00 0.0000 14.88% 0.00% -14.88% 50 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 33.62 %

K-502 3/14/2013 $1,073.88 $0.00 0.0000 15.88% 0.00% -15.88% 41 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 21.73 %

K-503 10/29/2014 $1,145.50 $0.00 0.0000 18.00% 0.00% -18.00% 36 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 33.17 %

K-504 1/9/2016 $587.41 $0.00 0.0000 10.00% 0.00% -10.00% 22 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 19.56 %



15 Year K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

CountActive

Loan Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-1501 7/22/2015 $506.28 $470.18 0.9208 10.00% 10.77% 0.77% 24 22 22 6 25.00 % 8.16 % 0.00% 0.00% $0.00 0.00 % 21.85% 1.16 %

K-1502 6/16/2016 $687.92 $646.74 0.9335 10.00% 10.64% 0.64% 59 58 58 13 22.03 % 10.22 % 0.00% 0.00% $0.00 0.00 % 2.73% 7.53 %

K-1503 4/28/2017 $878.08 $862.75 0.9806 10.00% 10.18% 0.18% 44 44 44 8 18.18 % 4.34 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-1504 1/22/2018 $881.68 $848.57 0.9583 10.00% 10.39% 0.39% 59 56 56 7 11.86 % 5.83 % 0.00% 0.00% $0.00 0.00 % 7.85% 0.00 %

K-1505 6/18/2018 $904.93 $896.08 0.9891 10.00% 10.10% 0.10% 51 51 51 3 5.88 % 1.26 % 0.00% 0.00% $0.00 0.00 % 2.06% 0.00 %

K-1506 8/27/2018 $699.54 $696.68 0.9955 10.00% 10.04% 0.04% 34 34 34 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-1507 9/27/2018 $805.98 $791.98 0.9807 10.00% 10.18% 0.18% 40 40 39 3 7.50 % 1.57 % 0.00% 0.00% $0.00 0.00 % 1.27% 0.00 %

K-1508 11/19/2018 $782.07 $778.69 0.9952 10.00% 10.04% 0.04% 46 46 46 5 10.87 % 2.73 % 0.00% 0.00% $0.00 0.00 % 7.50% 0.00 %

K-1509 12/20/2018 $617.13 $616.13 0.9982 10.00% 10.02% 0.02% 28 28 28 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 13.13% 0.00 %

K-1510 2/28/2019 $814.10 $812.93 0.9984 10.00% 10.01% 0.01% 45 45 45 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.05% 0.85 %

K-1511 5/16/2019 $871.02 $866.07 0.9937 10.00% 10.06% 0.06% 41 41 41 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.43% 0.00 %

K-1512 7/26/2019 $754.69 $751.89 0.9959 10.00% 10.04% 0.04% 24 24 24 1 4.17 % 1.05 % 0.00% 0.00% $0.00 0.00 % 1.80% 0.00 %

K-1513 10/24/2019 $796.85 $787.97 0.9876 10.00% 10.11% 0.11% 47 46 46 1 2.13 % 0.70 % 0.00% 0.00% $0.00 0.00 % 9.84% 0.00 %

K-1514 12/12/2019 $719.66 $718.32 0.9979 10.00% 10.02% 0.02% 29 29 29 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.45% 0.00 %

K-1515 6/19/2020 $789.14 $787.79 0.9981 7.50% 7.51% 0.01% 38 38 38 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.20% 0.00 %

K-1516 7/23/2020 $968.15 $965.52 0.9971 7.50% 7.52% 0.02% 29 29 29 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 21.88% 0.00 %

K-1517 9/24/2020 $953.13 $952.27 0.9990 7.50% 7.51% 0.01% 42 42 42 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.13% 0.00 %

K-1518 11/17/2020 $830.19 $826.75 0.9955 7.50% 7.53% 0.03% 37 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.43% 0.00 %

K-1519 1/21/2021 $861.35 $859.52 0.9977 7.50% 7.52% 0.02% 34 34 34 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-1520 4/15/2021 $906.57 $906.15 0.9995 7.50% 7.50% 0.00% 45 45 45 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.04% 0.00 %

K-1521 9/30/2021 $840.89 $840.89 1.0000 7.50% 7.50% 0.00% 46 0 46 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %



Floater K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month

Loan CountActive

Loan Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-F01 10/25/2012 $1,371.11 $0.00 0.0000 17.50% 0.00% -17.50% 80 0 0 0 0.00 % 0.00 % 0.25% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F02 11/13/2013 $1,540.31 $0.00 0.0000 15.00% 0.00% -15.00% 87 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F03 4/25/2014 $1,449.13 $0.00 0.0000 10.00% 0.00% -10.00% 85 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F04 8/25/2014 $1,363.75 $0.00 0.0000 10.00% 0.00% -10.00% 79 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F05 11/25/2014 $1,646.28 $0.00 0.0000 10.00% 0.00% -10.00% 88 1 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F06 12/23/2014 $1,218.22 $43.80 0.0206 10.00% 48.54% 38.54% 66 6 1 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F07 4/24/2015 $1,192.61 $67.09 0.0458 10.00% 26.67% 16.67% 40 6 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F08 6/25/2015 $1,549.08 $89.78 0.0458 10.00% 28.86% 18.86% 73 5 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 38.22% 0.00 %

K-F09 8/25/2015 $1,533.62 $57.13 0.0246 10.00% 40.48% 30.48% 80 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F10 10/23/2015 $1,456.98 $44.44 0.0165 10.00% 51.17% 41.17% 76 3 3 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F11 11/24/2015 $1,650.62 $0.00 0.0000 10.00% 0.00% -10.00% 78 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F12 12/8/2015 $1,388.04 $21.74 0.0000 10.00% 100.00% 90.00% 79 2 1 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 100.00% 0.00 %

K-F13 1/20/2016 $875.88 $63.12 0.0445 10.00% 44.43% 34.43% 48 4 3 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.84% 0.00 %

K-F14 3/17/2016 $1,486.41 $67.52 0.0336 10.00% 33.35% 23.35% 83 7 7 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 32.48% 0.00 %

K-F15 4/25/2016 $1,458.92 $124.47 0.0777 10.00% 18.01% 8.01% 67 10 9 0 0.00 % 0.00 % 0.00% 0.00% $4.65 19.74 % 1.67% 0.00 %

K-F16 5/18/2016 $1,161.13 $44.23 0.0247 10.00% 41.71% 31.71% 69 3 3 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F17 6/23/2016 $1,198.65 $30.50 0.0000 10.00% 100.00% 90.00% 56 4 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 79.26% 0.00 %

K-F18 7/25/2016 $1,088.04 $58.14 0.0176 10.00% 70.32% 60.32% 41 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F19 8/17/2016 $1,263.79 $124.37 0.0916 10.00% 16.18% 6.18% 66 9 8 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 52.30% 0.00 %

K-F20 9/22/2016 $1,211.46 $58.60 0.0286 10.00% 46.73% 36.73% 48 3 3 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F21 9/29/2016 $1,325.42 $212.75 0.1605 10.00% 10.00% 0.00% 83 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 74.43% 0.00 %

K-F22 10/27/2016 $1,307.27 $50.59 0.0220 10.00% 48.74% 38.74% 58 5 5 1 1.72 % 4.81 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F23 11/22/2016 $1,288.07 $87.09 0.0547 10.00% 27.22% 17.22% 49 5 5 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 50.17% 0.00 %

K-F24 12/14/2016 $1,089.77 $41.48 0.0230 10.00% 45.65% 35.65% 50 11 9 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F25 12/23/2016 $1,424.96 $91.33 0.0519 10.00% 27.06% 17.06% 70 10 10 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 21.67% 0.00 %

K-F26 12/23/2016 $552.04 $28.80 0.0358 10.00% 38.30% 28.30% 21 7 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 82.89% 0.00 %

K-F27 2/21/2017 $1,401.99 $285.27 0.1927 10.00% 14.78% 4.78% 55 10 7 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 13.80% 0.00 %

K-F28 3/14/2017 $1,311.50 $81.18 0.0376 10.00% 45.38% 35.38% 61 3 3 1 1.64 % 22.87 % 0.00% 0.00% $0.00 0.00 % 18.94% 0.00 %

K-F29 4/17/2017 $1,460.76 $219.08 0.1463 10.00% 12.19% 2.19% 54 10 8 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.42% 0.00 %

K-F30 5/25/2017 $1,295.76 $132.49 0.0969 10.00% 14.74% 4.74% 56 8 8 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.65% 0.00 %



Floater K-Deals (continued)


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-F31 6/14/2017 $1,244.35 $126.44 0.0704 10.00% 37.64% 27.64% 45 5 5 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 52.54% 0.00 %

K-F32 7/27/2017 $1,296.27 $214.86 0.1632 10.00% 11.41% 1.41% 58 9 9 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.77% 0.00 %

K-F33 8/14/2017 $1,401.04 $268.14 0.1870 10.00% 12.04% 2.04% 58 10 9 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F34 9/27/2017 $1,450.22 $435.24 0.3001 10.00% 10.00% 0.00% 48 14 14 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.21% 0.00 %

K-F35 10/12/2017 $1,467.94 $363.21 0.2471 10.00% 10.12% 0.12% 54 10 10 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 46.29% 0.00 %

K-F36 10/25/2017 $1,315.25 $519.05 0.3946 10.00% 10.00% 0.00% 50 19 19 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.21% 0.00 %

K-F37 10/30/2017 $1,122.14 $268.87 0.2346 10.00% 11.89% 1.89% 41 10 9 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.30% 0.00 %

K-F38 11/17/2017 $1,273.59 $421.39 0.3309 10.00% 10.00% 0.00% 49 15 14 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.61% 0.00 %

K-F39 12/18/2017 $1,312.84 $601.68 0.4583 10.00% 10.00% 0.00% 42 15 15 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.57% 0.00 %

K-F40 12/28/2017 $1,064.74 $248.31 0.2242 10.00% 13.49% 3.49% 46 11 10 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 44.51% 0.00 %

K-F41 12/28/2017 $651.30 $205.05 0.3135 10.00% 10.39% 0.39% 23 6 6 0 0.00 % 0.00 % 0.00% 0.00% $0.00 20.71 % 0.00% 0.00 %

K-F42 2/27/2018 $1,413.30 $463.85 0.3282 10.00% 10.00% 0.00% 58 14 14 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 28.42% 0.00 %

K-F43 3/6/2018 $1,264.59 $398.76 0.3153 10.00% 10.00% 0.00% 42 12 12 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F44 3/26/2018 $1,470.51 $341.65 0.2323 10.00% 10.00% 0.00% 74 23 23 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.59% 0.00 %

K-F45 5/25/2018 $1,103.77 $381.48 0.3456 10.00% 10.00% 0.00% 65 21 21 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 23.69% 0.00 %

K-F46 5/31/2018 $1,219.65 $593.44 0.4866 10.00% 10.00% 0.00% 51 23 20 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 12.66% 0.00 %

K-F47 6/28/2018 $1,116.63 $269.34 0.2412 10.00% 10.00% 0.00% 55 16 15 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.10% 0.00 %

K-F48 7/27/2018 $1,315.70 $781.19 0.5937 10.00% 10.00% 0.00% 43 20 20 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 16.29% 0.00 %

K-F49 8/17/2018 $1,239.89 $420.74 0.3393 10.00% 10.00% 0.00% 55 19 18 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.01% 0.00 %

K-F50 9/17/2018 $1,189.80 $651.10 0.5472 10.00% 10.00% 0.00% 49 21 19 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.13% 0.00 %

K-F51 9/27/2018 $991.80 $371.64 0.3747 10.00% 10.00% 0.00% 42 15 14 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F52 10/29/2018 $951.01 $424.61 0.4465 10.00% 10.00% 0.00% 36 17 15 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F53 11/13/2018 $1,126.42 $515.14 0.4573 10.00% 10.00% 0.00% 47 21 21 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 8.04% 0.00 %

K-F54 12/14/2018 $908.97 $558.31 0.6142 10.00% 10.00% 0.00% 41 27 26 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F55 12/20/2018 $882.46 $504.16 0.5713 10.00% 10.00% 0.00% 40 25 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.72% 0.00 %

K-F56 12/28/2018 $704.99 $550.33 0.7806 10.00% 10.00% 0.00% 21 16 15 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F57 2/20/2019 $1,122.64 $892.19 0.7947 10.00% 10.00% 0.00% 42 31 29 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.63% 0.00 %

K-F58 2/27/2019 $1,088.32 $600.42 0.5517 10.00% 10.00% 0.00% 41 20 20 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.23% 0.00 %

K-F59 3/15/2019 $930.56 $781.77 0.8401 10.00% 10.00% 0.00% 40 34 34 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.33% 0.00 %

K-F60 3/28/2019 $1,009.24 $712.17 0.7056 10.00% 10.00% 0.00% 45 35 33 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.56% 0.00 %

K-F61 5/17/2019 $999.32 $899.79 0.9004 10.00% 10.00% 0.00% 33 27 26 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.77% 0.00 %





K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-F62 5/31/2019 $890.57 $529.21 0.5942 10.00% 10.00% 0.00% 37 25 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.32% 0.00 %

K-F63 6/28/2019 $856.78 $801.72 0.9357 10.00% 10.00% 0.00% 36 33 33 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.74% 0.00 %

K-F64 7/31/2019 $770.86 $476.82 0.6186 10.00% 10.00% 0.00% 26 13 12 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.26% 0.00 %

K-F65 8/15/2019 $831.93 $797.50 0.9586 10.00% 10.00% 0.00% 26 24 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 8.87% 0.00 %

K-F66 8/30/2019 $853.62 $731.43 0.8569 10.00% 10.00% 0.00% 30 28 26 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.20% 0.00 %

K-F67 9/24/2019 $798.37 $634.24 0.7944 10.00% 10.00% 0.00% 21 18 17 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.34% 6.12 %

K-F68 10/11/2019 $795.27 $554.76 0.6976 10.00% 10.00% 0.00% 29 20 19 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.87% 0.00 %

K-F69 10/30/2019 $854.62 $655.52 0.7670 10.00% 10.00% 0.00% 33 25 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 8.69% 0.00 %

K-F70 11/7/2019 $839.20 $574.06 0.6841 10.00% 10.00% 0.00% 32 23 21 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F71 11/15/2019 $821.33 $676.00 0.8231 10.00% 10.00% 0.00% 34 27 27 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.31% 0.00 %

K-F72 11/26/2019 $782.19 $573.71 0.7335 10.00% 10.00% 0.00% 27 18 17 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.86% 0.00 %

K-F73 12/20/2019 $850.72 $819.05 0.9628 10.00% 10.00% 0.00% 38 36 36 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.40% 0.00 %

K-F74 2/20/2020 $812.24 $617.03 0.7597 10.00% 10.00% 0.00% 19 14 14 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F75 3/6/2020 $967.62 $963.12 0.9953 10.00% 10.00% 0.00% 32 31 31 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.65% 0.00 %

K-F76 3/19/2020 $961.80 $953.71 0.9916 10.00% 10.00% 0.00% 39 38 38 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F77 4/15/2020 $850.40 $669.40 0.7872 7.50% 7.50% 0.00% 24 19 19 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 17.09% 0.00 %

K-F78 4/16/2020 $922.38 $911.11 0.9878 7.50% 7.50% 0.00% 33 32 32 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F79 6/30/2020 $1,073.99 $1,044.68 0.9727 7.50% 7.50% 0.00% 37 36 36 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.74% 0.00 %

K-F80 7/16/2020 $1,012.13 $967.83 0.9562 7.50% 7.50% 0.00% 41 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.81% 0.00 %

K-F81 7/30/2020 $895.54 $802.76 0.8964 7.50% 7.50% 0.00% 42 36 36 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F82 8/6/2020 $974.61 $939.93 0.9644 7.50% 7.50% 0.00% 28 25 25 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 12.68% 0.00 %

K-F83 8/13/2020 $1,002.91 $1,002.91 1.0000 7.50% 7.50% 0.00% 35 35 35 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.84% 0.00 %

K-F84 9/18/2020 $1,005.38 $878.08 0.8734 7.50% 7.50% 0.00% 36 32 32 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 24.38% 0.00 %

K-F85 9/30/2020 $1,047.24 $942.40 0.8999 7.50% 7.50% 0.00% 40 36 35 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.96% 0.00 %





K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-F86 10/13/2020 $1,066.00 $638.45 0.5989 7.50% 7.50% 0.00% 33 23 22 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F87 10/16/2020 $1,052.17 $1,028.04 0.9771 7.50% 7.50% 0.00% 49 49 48 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.51% 0.00 %

K-F88 10/23/2020 $949.16 $840.61 0.8856 7.50% 7.50% 0.00% 23 22 22 1 4.35 % 0.66 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F89 10/29/2020 $1,066.27 $1,027.01 0.9632 7.50% 7.50% 0.00% 35 34 34 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.33% 0.00 %

K-F90 11/5/2020 $1,096.49 $1,023.68 0.9336 7.50% 7.50% 0.00% 37 36 33 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.37% 0.00 %

K-F91 11/13/2020 $1,016.41 $971.08 0.9554 7.50% 7.50% 0.00% 41 41 40 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.39% 0.00 %

K-F92 11/24/2020 $1,038.99 $1,038.99 1.0000 7.50% 7.50% 0.00% 45 45 45 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 12.63% 0.00 %

K-F93 12/3/2020 $963.85 $831.51 0.8627 7.50% 7.50% 0.00% 43 40 38 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.94% 0.00 %

K-F94 12/10/2020 $1,063.14 $1,048.43 0.9862 7.50% 7.50% 0.00% 45 45 44 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.68% 0.00 %

K-F95 12/17/2020 $1,071.89 $1,071.78 0.9999 7.50% 7.50% 0.00% 38 38 38 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.08% 0.00 %

K-F96 1/14/2021 $1,099.64 $1,099.64 1.0000 7.50% 7.50% 0.00% 49 49 49 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.04% 0.00 %

K-F97 1/28/2021 $1,081.48 $1,081.44 1.0000 7.50% 7.50% 0.00% 37 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F98 2/11/2021 $1,115.75 $1,115.75 1.0000 7.50% 7.50% 0.00% 31 31 31 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F99 2/19/2021 $1,018.73 $984.98 0.9669 7.50% 7.50% 0.00% 28 28 27 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F100 3/4/2021 $1,030.06 $1,029.51 0.9995 7.50% 7.50% 0.00% 41 41 41 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.82% 0.00 %

K-F101 3/11/2021 $1,010.18 $1,010.18 1.0000 7.50% 7.50% 0.00% 33 33 33 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F102 3/18/2021 $1,015.27 $1,015.27 1.0000 7.50% 7.50% 0.00% 36 36 36 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F103 3/25/2021 $1,014.98 $1,014.98 1.0000 7.50% 7.50% 0.00% 31 31 31 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.95% 0.00 %

K-F104 3/30/2021 $987.20 $987.20 1.0000 7.50% 7.50% 0.00% 26 26 26 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F105 4/13/2021 $1,019.72 $1,019.72 1.0000 7.50% 7.50% 0.00% 29 29 29 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.31% 0.00 %

K-F106 4/15/2021 $982.32 $982.32 1.0000 7.50% 7.50% 0.00% 30 30 30 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F107 4/22/2021 $1,042.36 $1,042.36 1.0000 7.50% 7.50% 0.00% 30 30 30 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F108 4/29/2021 $1,013.95 $1,013.95 1.0000 7.50% 7.50% 0.00% 37 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.97% 0.00 %

K-F109 5/7/2021 $970.85 $970.85 1.0000 7.50% 7.50% 0.00% 40 40 40 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.65% 0.00 %

K-F110 5/13/2021 $918.69 $918.69 1.0000 7.50% 7.50% 0.00% 42 42 42 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F111 5/20/2021 $1,014.55 $1,014.49 0.9999 7.50% 7.50% 0.00% 43 43 43 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %





K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-F112 5/27/2021 $1,015.14 $1,015.14 1.0000 7.50% 7.50% 0.00% 38 38 38 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F113 6/11/2021 $1,075.21 $1,075.18 1.0000 7.50% 7.50% 0.00% 39 39 39 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F114 6/24/2021 $958.36 $958.36 1.0000 7.50% 7.50% 0.00% 44 44 44 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F115 7/16/2021 $973.38 $973.38 1.0000 7.50% 7.50% 0.00% 65 65 65 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.38% 0.00 %

K-F116 7/22/2021 $986.50 $986.50 1.0000 7.50% 7.50% 0.00% 37 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F117 7/29/2021 $939.68 $939.68 1.0000 7.50% 7.50% 0.00% 61 61 61 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F118 8/19/2021 $928.69 $928.69 1.0000 7.50% 7.50% 0.00% 42 42 42 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F119 8/31/2021 $864.56 $864.55 1.0000 7.50% 7.50% 0.00% 44 44 44 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F120 9/16/2021 $805.77 $805.77 1.0000 7.50% 7.50% 0.00% 46 0 46 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-F121 9/23/2021 $842.97 $842.97 1.0000 7.50% 7.50% 0.00% 28 0 28 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %



Senior Housing K-Deals

Workforce Housing K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-S01 5/14/2013 $434.05 $228.16 0.4420 15.00% 28.54% 13.54% 27 13 13 2 7.41 % 5.42 % 0.00% 0.00% $0.00 0.00 % 12.27% 12.42 %

K-S02 5/23/2014 $383.93 $0.00 0.0000 15.00% 0.00% -15.00% 17 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-S03 10/15/2015 $934.32 $826.80 0.8721 10.00% 11.30% 1.30% 59 48 48 7 11.86 % 8.76 % 0.00% 0.00% $0.00 0.00 % 61.70% 2.51 %

K-S04 12/29/2015 $670.00 $0.00 0.0000 10.00% 0.00% -10.00% 52 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-S05 7/28/2016 $1,410.69 $116.40 0.0825 10.00% 10.02% 0.02% 96 17 17 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 88.03% 0.00 %

K-S06 10/21/2016 $575.14 $544.88 0.9416 10.00% 10.56% 0.56% 41 41 41 2 4.88 % 2.07 % 0.00% 0.00% $0.00 0.00 % 49.14% 0.00 %

K-S07 10/28/2016 $464.68 $457.12 0.9819 10.00% 10.17% 0.17% 28 28 28 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 52.87% 0.00 %

K-S08 5/26/2017 $734.99 $701.07 0.9538 10.00% 10.00% 0.00% 36 33 33 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 67.57% 0.00 %

K-S09 12/12/2017 $708.79 $679.26 0.9537 10.00% 10.43% 0.43% 25 25 25 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 44.27% 0.00 %

K-S10 12/20/2018 $1,316.91 $1,184.62 0.8996 10.00% 10.00% 0.00% 10 7 7 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.15% 0.00 %

K-S11 8/16/2019 $438.11 $438.11 1.0000 10.00% 10.00% 0.00% 2 4 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 36.27% 0.00 %

K-S12 9/27/2019 $1,300.00 $1,300.00 1.0000 10.00% 10.00% 0.00% 3 6 6 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.32% 0.00 %

K-S13 11/15/2019 $498.00 $498.00 1.0000 10.00% 10.00% 0.00% 2 3 3 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 23.69% 0.00 %

K-S14 9/30/2020 $767.14 $767.14 1.0000 7.50% 7.50% 0.00% 31 31 31 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 29.25% 0.00 %


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month

Loan CountActive Loan

Count

# of Suppal Loans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



% on Watchlist

% Fully Defeased

K-W01 5/26/2016 $676.19 $580.91 0.8434 10.00% 11.64% 1.64% 89 84 84 10 11.24 % 7.56 % 0.00% 0.00% $0.00 0.00 % 7.85% 30.48 %

K-W02 3/30/2017 $501.96 $465.43 0.9191 10.00% 10.78% 0.78% 52 49 49 5 9.62 % 3.81 % 0.00% 0.00% $0.00 0.00 % 13.52% 21.93 %

K-W03 9/19/2017 $542.02 $525.86 0.9669 10.00% 10.31% 0.31% 75 75 75 11 14.67 % 6.42 % 0.00% 0.00% $0.00 0.00 % 4.80% 9.48 %

K-W04 3/29/2018 $631.50 $618.27 0.9767 10.00% 10.21% 0.21% 42 42 42 7 16.67 % 4.19 % 0.00% 0.00% $0.00 0.00 % 12.12% 2.65 %

K-W05 6/15/2018 $637.67 $417.67 0.6550 10.00% 10.00% 0.00% 38 26 26 26 68.42 % 19.86 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-W06 8/10/2018 $666.03 $653.04 0.9783 10.00% 10.20% 0.20% 45 45 44 10 22.22 % 6.73 % 0.00% 0.00% $0.00 0.00 % 4.26% 7.91 %

K-W07 11/20/2018 $682.70 $681.48 0.9980 10.00% 10.02% 0.02% 36 36 36 1 2.78 % 0.83 % 0.00% 0.00% $0.00 0.00 % 5.10% 0.00 %

K-W08 3/28/2019 $652.77 $641.29 0.9805 10.00% 10.18% 0.18% 27 27 27 1 3.70 % 1.05 % 0.00% 0.00% $0.00 0.00 % 6.89% 5.13 %

K-W09 7/31/2019 $626.81 $626.62 0.9997 10.00% 10.00% 0.00% 43 43 43 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.55% 0.00 %

K-W10 11/22/2019 $526.81 $525.22 0.9966 10.00% 10.03% 0.03% 39 39 39 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 21.21% 0.00 %



Supplemental Loan K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of SuppalLoans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal


% Specially

Serviced/REO

% on Watchlist

% Fully Defeased

K-J01 3/26/2015 $142.97 $0.00 0.0000 20.00% 0.00% -20.00% 42 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J02 11/17/2015 $262.85 $0.00 0.0000 20.00% 0.00% -20.00% 57 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J03 2/17/2016 $316.30 $0.00 0.0000 20.00% 0.00% -20.00% 43 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J04 5/25/2016 $297.98 $0.00 0.0000 20.00% 0.00% -20.00% 63 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J05 6/29/2016 $272.00 $10.31 0.0097 20.00% 79.47% 59.47% 58 6 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 100.0% 0.00 %

K-J06 7/28/2016 $109.93 $0.00 0.0000 20.00% 0.00% -20.00% 10 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J07 9/27/2016 $209.26 $49.25 0.2377 20.00% 19.21% -0.79% 38 11 10 4 10.53 % 69.84 % 0.39% 0.00% $0.00 0.00 % 30.64% 0.00 %

K-J08 10/28/2016 $272.42 $67.18 0.2466 20.00% 20.00% 0.00% 75 20 19 2 2.67 % 8.76 % 0.00% 0.00% $0.00 0.00 % 50.05% 0.00 %

K-J09 11/30/2016 $275.13 $37.72 0.1306 20.00% 23.80% 3.80% 58 9 8 1 1.72 % 24.85 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J10 12/21/2016 $305.79 $87.86 0.2873 20.00% 20.00% 0.00% 82 22 22 4 4.88 % 31.19 % 0.00% 0.00% $0.00 0.00 % 14.26% 0.00 %

K-J11 2/15/2017 $265.16 $95.34 0.3596 20.00% 20.00% 0.00% 66 26 23 4 6.06 % 13.74 % 0.00% 0.00% $0.00 0.00 % 12.52% 0.00 %

K-J12 3/14/2017 $302.23 $82.55 0.2731 20.00% 20.00% 0.00% 65 20 19 9 13.85 % 52.04 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J13 4/19/2017 $345.32 $61.05 0.1739 20.00% 21.32% 1.32% 61 9 8 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.63% 0.00 %

K-J14 6/26/2017 $285.78 $122.67 0.4292 20.00% 20.00% 0.00% 53 24 24 6 11.32 % 26.58 % 0.00% 0.00% $0.00 0.00 % 0.96% 0.00 %

K-J15 8/4/2017 $342.34 $14.63 0.0152 16.01% 70.15% 54.13% 55 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-J16 9/26/2017 $138.73 $78.42 0.5652 20.00% 20.00% 0.00% 28 14 13 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 11.71% 0.00 %

K-J17 11/13/2017 $319.79 $164.96 0.5158 20.00% 20.01% 0.01% 75 49 46 25 33.33 % 66.52 % 0.01% 2.66% $1.12 2.66 % 14.01% 0.00 %

K-J18 12/28/2017 $227.88 $66.75 0.2922 20.00% 20.19% 0.19% 46 11 11 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.58% 0.00 %

K-J19 3/27/2018 $290.98 $69.64 0.2309 17.53% 20.43% 2.91% 60 15 13 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.48% 0.00 %

K-J20 8/10/2018 $314.79 $241.26 0.7664 20.00% 20.00% 0.00% 58 45 44 4 6.90 % 7.34 % 0.00% 0.00% $0.00 0.00 % 7.36% 0.00 %

K-J21 9/17/2018 $310.81 $263.81 0.8488 20.00% 20.00% 0.00% 76 67 65 10 13.16 % 18.39 % 0.00% 0.00% $0.00 0.00 % 23.17% 0.00 %

K-J22 11/19/2018 $446.94 $182.15 0.3964 19.80% 21.98% 2.19% 86 38 37 4 4.65 % 6.20 % 0.00% 0.00% $0.00 0.00 % 7.12% 0.00 %

K-J23 12/14/2018 $202.40 $66.71 0.3296 20.00% 20.00% 0.00% 31 13 12 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.59% 0.00 %

K-J24 6/28/2019 $300.90 $247.32 0.8220 20.00% 20.00% 0.00% 70 62 61 8 11.43 % 15.54 % 0.00% 0.00% $0.00 0.00 % 10.29% 0.00 %

K-J25 9/27/2019 $454.82 $394.18 0.8667 20.00% 20.00% 0.00% 79 68 66 5 6.33 % 4.74 % 0.00% 0.00% $0.00 0.00 % 2.72% 0.00 %

K-J26 10/24/2019 $324.96 $270.80 0.8333 20.00% 20.00% 0.00% 62 53 52 4 6.45 % 8.83 % 0.00% 0.00% $0.00 1.42 % 5.73% 0.00 %

K-J27 11/26/2019 $213.63 $154.98 0.7255 20.00% 20.00% 0.00% 39 24 23 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.91% 0.00 %

K-J28 2/27/2020 $337.45 $307.08 0.9100 20.00% 20.00% 0.00% 72 66 64 2 2.78 % 4.75 % 0.01% 0.00% $0.00 0.00 % 2.44% 0.00 %

K-J29 6/11/2020 $322.45 $304.94 0.9457 20.00% 20.00% 0.00% 52 50 49 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 4.62% 0.00 %

K-J30 7/30/2020 $388.38 $384.49 0.9900 15.00% 15.00% 0.00% 96 96 96 1 1.04 % 2.48 % 0.00% 0.00% $0.00 0.00 % 6.04% 0.00 %

K-J31 10/29/2020 $248.34 $238.51 0.9604 20.00% 20.00% 0.00% 54 52 52 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.10% 0.00 %



Supplemental Loan K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of SuppalLoans


Loan Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal


% Specially

Serviced/REO

% on Watchlist

% Fully Defeased

K-J32 11/30/2020 $386.17 $348.21 0.9017 15.00% 15.00% 0.00% 75 68 68 4 5.33 % 2.93 % 0.00% 0.00% $0.00 0.00 % 9.22% 0.00 %

K-J33 2/26/2021 $336.65 $334.94 0.9949 15.00% 15.00% 0.00% 69 69 69 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.74% 0.00 %

K-J34 7/29/2021 $316.86 $316.65 0.9993 15.00% 15.00% 0.00% 76 76 76 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.99% 0.00 %



Freddie Mac Legacy Loans


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month

Loan Count

Active Loan

Count

# of Suppal Loans


Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/REO

Active Appraisal



REO% on

Watchlist% Fully

Defeased

K-P01 10/3/2012 $448.17 $0.00 0.0000 0.00% 0.00% 0.00% 28 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-P02 8/27/2015 $1,200.02 $0.00 0.0000 0.00% 0.00% 0.00% 70 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-P03 4/28/2016 $974.04 $0.00 0.0000 0.00% 0.00% 0.00% 40 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-P04 11/28/2017 $1,000.00 $0.00 0.0000 0.00% 0.00% 0.00% 21 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-P05 12/17/2018 $684.97 $41.03 0.0599 0.00% 0.00% 0.00% 60 8 6 0 0.00 % 0.00 % 0.00% 0.00% $1.38 13.21 % 37.58% 0.00 %


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/R

EO

Active Appraisal Reduction in Millions


% on Watchlist

% Fully Defeased

K-AIV 6/9/2011 $672.34 $0.00 0.0000 20.00% 0.00% -20.00% 19 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 52.48 %

K-BAM 2/4/2016 $841.00 $0.00 0.0000 10.00% 0.00% -10.00% 27 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-BF1 8/30/2017 $714.27 $238.10 0.2593 10.00% 30.00% 20.00% 5 1 1 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-BF2 12/6/2018 $750.00 $137.24 0.1830 10.00% 10.00% 0.00% 24 8 8 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 18.02% 0.00 %

K-BF3 1/31/2019 $745.86 $745.86 1.0000 10.00% 10.00% 0.00% 23 23 23 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 3.05% 0.00 %

K-BX1 3/29/2018 $741.34 $741.34 1.0000 10.00% 10.00% 0.00% 13 13 13 1 7.69 % 0.19 % 0.00% 0.00% $0.00 0.00 % 10.57% 0.00 %

K-C01 5/4/2016 $813.22 $335.48 0.3473 10.00% 24.24% 14.24% 27 5 5 1 3.70 % 11.55 % 0.00% 0.00% $0.00 0.00 % 0.77% 4.48 %

K-C02 9/27/2018 $1,014.41 $1,006.45 0.9913 10.00% 10.08% 0.08% 37 37 37 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.36% 0.00 %

K-C03 1/31/2019 $774.50 $773.52 0.9986 10.00% 10.01% 0.01% 24 24 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.66% 0.00 %

K-C04 6/13/2019 $560.32 $560.02 0.9994 10.00% 10.01% 0.01% 17 17 17 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.38% 0.00 %

K-C05 11/7/2019 $669.48 $666.96 0.9958 10.00% 10.04% 0.04% 26 26 26 2 7.69 % 1.54 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-C06 11/22/2019 $608.36 $608.18 0.9997 10.00% 10.00% 0.00% 25 25 25 1 4.00 % 0.69 % 0.00% 0.00% $0.00 0.00 % 3.76% 0.00 %

K-C07 12/13/2019 $666.36 $665.87 0.9992 10.00% 10.01% 0.01% 31 31 31 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.45% 0.00 %

K-G01 6/28/2019 $483.70 $483.26 0.9990 10.00% 10.01% 0.01% 19 19 19 5 26.32 % 3.85 % 0.00% 0.00% $0.00 0.00 % 3.95% 0.00 %

K-G02 10/18/2019 $544.14 $544.14 1.0000 10.00% 10.00% 0.00% 17 17 17 1 5.88 % 0.28 % 0.00% 0.00% $0.00 0.00 % 14.59% 0.00 %

K-G03 8/13/2020 $594.57 $594.57 1.0000 7.50% 7.50% 0.00% 24 24 24 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 2.99% 0.00 %

Other K-Deals



Other K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/R

EO



% on Watchlist

% Fully Defeased

K-G04 12/23/2020 $633.10 $632.74 0.9994 7.50% 7.50% 0.00% 25 25 25 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 10.14% 0.00 %

K-G05 3/11/2021 $652.57 $652.57 1.0000 7.50% 7.50% 0.00% 20 20 20 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-GRP 10/25/2013 $1,065.67 $0.00 0.0000 10.00% 0.00% -10.00% 27 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-GS1 12/20/2017 $1,768.25 $1,501.99 0.8494 10.00% 10.00% 0.00% 34 28 28 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 7.94% 0.00 %

K-HG1 2/16/2018 $789.58 $789.58 1.0000 10.00% 10.00% 0.00% 1 1 1 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 100.00% 0.00 %

K-HG2 3/6/2020 $644.87 $644.87 1.0000 10.00% 10.00% 0.00% 1 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-IR01 5/11/2016 $1,156.57 $1,046.61 0.8944 10.00% 11.05% 1.05% 19 19 19 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 5.16% 0.00 %

K-IR02 5/31/2017 $384.01 $353.38 0.9114 10.00% 10.87% 0.87% 4 4 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-IR03 10/24/2017 $1,483.09 $1,483.09 1.0000 10.00% 10.00% 0.00% 11 11 11 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-KA1 3/18/2015 $816.10 $115.23 0.1369 10.00% 12.74% 2.74% 17 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-L01 6/6/2017 $511.56 $488.35 0.9496 10.00% 10.48% 0.48% 2 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 55.03% 0.00 %

K-L02 3/16/2018 $1,317.92 $762.91 0.5435 10.00% 15.50% 5.50% 10 5 4 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 18.54% 0.00 %

K-L03 10/22/2018 $717.80 $716.98 0.9987 10.00% 10.01% 0.01% 2 3 3 1 50.00 % 4.66 % 0.00% 0.00% $0.00 0.00 % 67.30% 0.00 %

K-L04 1/29/2019 $702.38 $402.77 0.5734 10.00% 10.00% 0.00% 22 14 14 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 8.62% 0.00 %

K-L05 8/12/2019 $1,073.98 $1,073.98 1.0000 10.00% 10.00% 0.00% 22 22 22 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 6.91% 0.00 %

K-L06 12/10/2020 $411.17 $411.17 1.0000 7.50% 7.50% 0.00% 1 1 1 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-LH1 2/24/2016 $1,493.67 $0.00 0.0000 10.00% 0.00% -10.00% 28 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-LH2 3/23/2016 $1,379.82 $0.00 0.0000 10.00% 0.00% -10.00% 26 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-LH3 4/15/2016 $1,341.45 $0.00 0.0000 10.00% 0.00% -10.00% 27 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-LSF 2/25/2015 $1,361.28 $0.00 0.0000 10.00% 0.00% -10.00% 11 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-LU1 6/14/2019 $716.93 $699.04 0.9750 10.00% 10.00% 0.00% 16 16 16 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 54.85% 0.00 %

K-LU2 10/17/2019 $768.32 $564.57 0.7348 10.00% 10.00% 0.00% 17 12 12 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.13% 0.00 %

K-LU3 5/27/2021 $835.04 $834.67 0.9996 10.00% 10.00% 0.00% 15 15 15 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 15.03% 0.00 %

K-MP1 9/28/2017 $516.48 $494.96 0.9537 10.00% 10.43% 0.43% 14 14 14 12 85.71 % 8.28 % 0.00% 0.00% $0.00 0.00 % 13.13% 0.00 %

K-PLB 6/26/2015 $878.00 $878.00 1.0000 7.50% 7.50% 0.00% 1 1 1 1 100.00 % 8.54 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SCT 3/11/2010 $528.90 $0.00 0.0000 10.00% 0.00% -10.00% 1 0 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SG1 10/16/2020 $579.08 $578.69 0.9993 7.50% 7.51% 0.01% 28 28 28 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 1.67% 0.00 %



Other K-Deals


K-DealSettlement

Date

Original Balance

(millions)

Current Balance


Original Loan

Count

Prior Month Loan

Count

Active Loan

Count

# of Suppal Loans


Count

% of Supp UPB to

Current Deal UPB

Cum Deal Loss

% DQ= 60+/F/R

EO



% on Watchlist

% Fully Defeased

K-SKY 9/20/2017 $550.00 $550.00 1.0000 0.00% 0.00% 0.00% 4 2 2 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SL1 12/28/2018 $800.45 $800.45 1.0000 10.00% 10.00% 0.00% 1 3 3 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SMC 3/28/2013 $1,500.00 $1,304.52 0.8552 10.00% 11.50% 1.50% 69 69 69 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 89.84 %

K-SW1 6/8/2016 $1,410.66 $0.00 0.0000 10.00% 0.00% -10.00% 25 3 0 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SW2 7/28/2017 $1,112.63 $342.67 0.3080 10.00% 10.00% 0.00% 36 11 11 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SW3 8/18/2017 $1,108.02 $338.47 0.3055 10.00% 10.00% 0.00% 38 12 12 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-SW4 11/27/2018 $689.72 $689.72 1.0000 10.00% 10.00% 0.00% 23 23 23 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 9.45% 0.00 %

K-VAD 11/17/2015 $347.35 $347.35 1.0000 10.00% 10.00% 0.00% 10 10 10 0 0.00 % 0.00 % 0.00% 0.00% $0.00 0.00 % 0.00% 0.00 %

K-X01 7/23/2014 $393.36 $83.02 0.0965 15.00% 61.12% 46.12% 20 5 5 1 5.00 % 3.00 % 2.10% 0.00% $0.00 0.00 % 26.55% 0.00 %

K-X02 8/25/2016 $714.53 $301.36 0.3797 11.61% 20.42% 8.81% 53 24 24 5 9.43 % 5.91 % 0.00% 0.00% $0.00 9.05 % 33.99% 0.88 %

K-X03 5/25/2018 $876.89 $504.01 0.5839 13.09% 11.71% -1.38% 83 40 40 1 1.20 % 0.54 % 0.11% 5.33% $20.21 5.33 % 55.09% 0.96 %

K-X04 9/24/2020 $541.78 $518.45 0.9563 15.00% 15.05% 0.05% 40 38 38 1 2.50 % 0.97 % 0.00% 0.00% $0.00 0.00 % 20.09% 0.00 %


K-Deal Portfolio Snapshot

Delinquency Status DCR LTV

Status Count

UPB

(in $M) % of Portfolio DCR Range Count % of Portfolio LTV Range Count % of Portfolio

Current 15,210 $317,440.6 100.0% < 1.0 452 2.3% <80 14,735 96.1%

30 Days 1.00-1.10 171 1.0% 80-89 476 3.9%

60 Days 1.10-1.20 266 1.8% 90-99 3 0.0%

90 Days 6 $64.5 0.02% 1.20-1.50 1,992 11.5% >100 5 0.0%

Foreclosure 2 $51.5 0.02% > 1.50 12,338 83.4%

REO 1 $8.1 0.00%

TOTAL 15,219 $317,564.7 100.0% 15,219 100.0% TOTAL 15,219 100.0%

No. States Count % of Portfolio No. MSAs Count

% of

Portfolio No. Seller Count

% of

Portfolio

1 Texas 1,984 13.5% 1 Washington, DC 389 5.0% 1 CBRE 2,248 18.0%

2 California 1,447 11.9% 2 Dallas, TX 574 4.4% 2 Berkadia 2,544 15.3%

3 Florida 1,293 9.4% 3 Atlanta, GA 620 4.3% 3 JLL Real Estate Capital 1,614 12.7%

4 New York 739 5.0% 4 Houston, TX 483 3.6% 4 Walker & Dunlop 1,523 10.3%

5 Georgia 777 4.9% 5 Denver, CO 387 3.4% 5 Berkeley Point Capital 759 6.3%

% of K-Deal Portfolio 44.7% % of K-Deal Portfolio 20.7% % of K-Deal Portfolio 62.7%

Top 10 K-Deal Loans

No. Loan # Property MSA

UPB

(in $M)

% of

Portfolio Deal

Latest

DCR

Latest

LTV Status Seller/Servicer

1 708125468 PARK LA BREA APARTMENTS LOS ANGELES-LONG BEA $878.0 0.3% K-PLB 2.54 45.1% Current JLL - HFF Conv

2 503001112 Binder Component A FL HARTFORD, CT $720.0 0.2% K-S10 2.70 73.0% Current KeyBank, N.A. - Conv

3 500986738 Harbor- Aragon Component ORLANDO, FL $515.9 0.2% K-HG2 1.93 74.3% Current Berkeley Point Capital d/

4 499649079 Corgi Component B FL BOSTON, MA-NH $431.0 0.1% K-S12 1.79 65.9% Current Berkeley Point Capital d/

5 502992662 Project Ringo Fixed - Com HOUSTON, TX $400.2 0.1% K-SL1 3.00 59.6% Current JLL - HFF Conv

6 499649044 Bichon Component B FL WATERBURY, CT $392.8 0.1% K-S12 1.77 72.6% Current Berkeley Point Capital d/

7 503822264 Project Bedrock Tranche 4 WILMINGTON, NC $354.5 0.1% K-L02 2.28 44.8% Current CBRE Capital Markets, Inc

8 499536304 Poodle Component B FL WATERBURY, CT $346.2 0.1% K-S12 1.66 72.9% Current Berkeley Point Capital d/

9 499676645 Project Simba Component B SEATTLE-BELLEVUE-EVE $342.0 0.1% K-S13 1.96 73.0% Current Wells Fargo Multifamily C

10 932835279 Monticello SAN JOSE, CA $326.9 0.1% K-IR03 1.86 63.2% Current Capital One, N.A.

% of K-Deal Portfolio1.5%


K-Deal Performance

K-Deal Supplemental Loans as of September 2021:

▪ Total K-Deal Supplemental Loan Issuance Activity

▪ By Loan Count = 2,295

▪ By UPB = $11.404 Billion

▪ Aggregate percentage of active K-Deal loans with active

supplemental loans

▪ By Loan Count = 7.62%

▪ By UPB = 1.79%


Current & Specially-Serviced Loans

K-DealProspectus

#FM Loan # Property Name State MSA (City) Property Type UPB Loan Status UW DCR

Most Recent

DCRAs of

Most Recent

OccupAs of

Transfer

Date

K-P05 29 948815736 The Province OH Fairborn Student $5,419,290 Current 1.97 1.39 12/31/2020 83% 12/31/2020 2/4/2021

K-F15 24 708247148The Domain at Waco

ApartmentsTX Waco Student $24,574,541 Current 1.53 0.49 12/31/2020 74% 12/31/2020 2/3/2021

K-026 70 708063845 Villa San Marco FL Tallahassee Student $4,965,123 Current 1.37 -0.82 12/31/2020 36% 12/31/2020 12/16/2020

K-042 2 708462812The Cottages Of College

StationTX

College

StationStudent $60,500,551 Current 1.46 0.63 12/31/2020 79% 12/31/2020 1/19/2021

K-F41 4 942571703 9 On Canal IN Indianapolis Mid Rise $42,469,931 Current 1.27 0.46 9/30/2020 65% 9/30/2020 10/22/2020

K-J26 36 501805400 Adrian's Tower Apartments CT Hartford Mid Rise $3,848,139 Current 1.25 1.40 9/30/2020 98% 9/30/2020 3/3/2021

K-X02 11 708219403 111 East Avenue Apartments NY Rochester High Rise $21,392,047 Current 1.26 1.03 12/31/2019 92% 12/31/2019 5/29/2020

K-DealProspectus

#FM Loan # Property Name State MSA (City)

Property

TypeUPB Loan Status UW DCR

Most Recent

DCRAs of

Most Recent

OccupAs of

Transfer

Date

K-100 27 501851356 The Nine At Memphis TN Memphis Student $17,770,000 90+ Days 1.50 -1.00 3/31/2021 55% 3/31/2021 1/6/2021

K-723 51 932733697 Ballantyne Apartments NY Syracuse Garden $5,815,329 90+ Days 1.38 1.31 3/31/2021 98% 3/31/2021 3/2/2021

K-74 58 948836814 Pine Rock Townhomes CT Hamden Student $6,237,931 90+ Days 1.38 1.12 6/30/2020 0% 6/30/2020 8/7/2020

K-J17 28 708580629The Cottages Of College

StationTX

College

StationStudent $4,393,059 90+ Days 1.40 0.67 9/30/2020 79% 9/30/2020 1/20/2021

K-X03 32 708643167 Courtyard Towers AZ MesaAssisted

Living$15,492,373 90+ Days 1.41 -0.11 9/30/2018 90% 9/30/2018 10/22/2018

K-018 3 968728545 Lofts 640 PA Philadelphia Mid Rise $40,107,327 90+ Days/

Foreclosure1.33 0.98 6/30/2020 83% 6/30/2020 10/28/2020

K-X03 40 708214193 The Legacy At Drexel Arms PA Philadelphia Student $11,359,845 90+ Days/

Foreclosure1.30 1.08 12/31/2017 46% 12/31/2017 1/17/2019

Delinquent & Specially-Serviced Loans

• For additional information about each loan, please refer to the Delinquent Loan Status Report which is part of the monthly CREFC Investor Reporting Package.


K-DealProspectus

#FM Loan # Property Name State MSA (City)

Property

TypeUPB Loan Status UW DCR

Most Recent

DCRAs of

Most Recent

OccupAs of

Transfer

Date

K-037 57 504186523 Agape At Harbison SC IrmoAssisted

Living$8,101,513 REO 1.75 0.16 6/30/2019 86% 6/30/2019 9/5/2019

REO Loans

• For additional information about each loan, please refer to the Delinquent Loan Status Report which is part of the monthly CREFC Investor Reporting Package.


Losses to Trust

K-DealProspectus

Loan IDProperty Name State MSA (City)

Property Type

Current Loan

Status

UPB Amount at Transfer to

SS

Reason for Transfer to SS

Date of Transfer to SS

Workout Resolution

Date Resolved

Amount of Loss

% Loss to Deal

Balance

K-003 25 Arbor Green IN Indianapolis Garden Paid Off $14,953,039 Delinquency 3/15/2012Assumption &

Modification8/1/2013 $5,000,000 0.53%

K-009 41 Campus Habitat MINON MSA (Mt.

Pleasant)Student Disposed $9,109,329 90+ days 11/15/2013 Receiver Sale 6/30/2016 $1,890,194 0.15%

K-006 67 Green Meadows TXHouston (Texas

City)Garden Disposed $3,715,522

Imminent

Default11/18/2013 REO Disposed 6/23/2014 $374,943 0.030%

K-012 62University Courtyard

ApartmentsFL Tallahassee Student Disposed $5,409,016

Imminent

Default7/9/2014 REO Disposed 9/8/2015 $2,948,441 0.24%

K-014 27The Heights at

Slippery RockPA Pittsburgh Student Paid Off $14,581,440

Imminent

Default7/29/2015

Assumption &

Modification7/12/2016 $1,750,639 0.23%

K-018 26Red Mile Village

Student ApartmentsKY Lexington Student Disposed $16,842,963

Imminent


K-X01 14Creekside Court

ApartmentsPA Shippensburg Student Disposed $12,794,106

Imminent


K-F01 62Carriage House

ApartmentsCT Hartford Student Disposed $7,895,422 Delinquency 3/7/2018 Note Sale 12/18/2018 $3,399,207 0.25%

K-016 13 Apex At Kutztown PA Kutztown Student Disposed $20,730,314 Imminent


K-057 51 Lifepointe Village MS SouthavenAssisted

LivingDisposed $7,964,399

Imminent

Default6/9/2020 Receiver Sale 3/8/2021 $3,018,419 0.25%


DealOutstanding

Balance

Outstanding Senior Tranche

Balance

Original AAA/CS

Current AAA/CS

Total Outstanding Guarantor Payments

Current Monthly

Advance or (Gain)

Accrued Interest on

AdvanceLoans Impacted Loan Status Repayment Potential

K016 $162,594,586 $9,494,625 13.38% 94.16% $110,724 ($3,501,635) $0 psp 77/FM#948826878 - Scripps Buildling

13sp - Apex at Kutztown (FM#968733808) Paid off

Full Repayment Expected

K018 $772,416,086 $610,441,465 13.63% 20.97% $178,603 $8,651 $0

psp 3 - Lofts 640 (FM#968728545), psp 26 Red Mile Village Student Apts

(FM#948832088), psp 12 Plainview Apartments (FM#708050433)

90+ Days Delinquent


K019 $995,722,808 $801,665,281 13.38% 19.49% $4,275,278 $4,275,159 $0 psp 73 - Cambridge Court Apartments

(FM#948829109) Matured


K717 $112,505,326 $0 16.75% 100.00% $292,667 ($15,014,214) $0 16sp - Uptown Village at Townsend

(FM#708462510) Matured


KJ18 $66,747,205 $53,272,812 20.00% 20.19% $624,506 $624,506 $0 Psp 45 (FM#932549969) - Cambridge

Court Apartments Matured


KP05 $41,025,642 $41,025,642 0.00% 0.00% $5,166,160 ($37,101) $14,785 psp 29 - Autumn Run (II) - (FM

#948815736) Current


Outstanding Guarantor Payments > $100,000


Corrected Loans

K-DealPSP ID

Freddie Mac Loan

Servicer Loan ID

Property Name State MSA (City)Property

Type

Current Loan

Status

UPB Amount at Transfer to SS



Workout Resolution

Date Resolved

K-704 9 981197329 862100009The Retreat at

StonebridgeTX Dallas (McKinney) Garden Paid Off $27,960,052 SEC complaint 2/14/2012 Paid off 2/27/2015

K-014 78 534396321 10059104 Roble Vista CASan Jose (Palo

Alto)Garden Paid Off $4,143,259 Delinquency 5/21/2013 Corrected 3/21/2014

K-010 54 534392733 30283157Wellesley

CrescentCA

San Francisco

(Redwood City)Garden Paid Off $7,020,547 Delinquency 5/23/2013 Assumption 3/27/2014

K-032 66 708184324 10081437 Columbia Towers CTNON MSA

(Bridgeport)Mid Rise Current $7,168,873 Delinquency 1/8/2014 Corrected 3/25/2015

K-022 50 708052789 10073775

Barrington Place

fka Cambridge

Arms

NC Fayetteville Military Paid Off $11,586,290 Other - See

Comments6/13/2014 Corrected 8/20/2014

K-012 8 940999145 30285057MetroPlace at

Town CenterMD

Washington, DC

(Camp Springs)Garden Paid Off

$44,138,713 Other - See


K-014 27 948824565 10059133The Heights at

Slippery RockPA Pittsburgh Student Paid Off $12,524,322 Delinquency 7/29/2015 Modification 11/15/2016

K-003 13 504135465 33000013

Highland Ridge

and Highland

Glen Apartments

OK Oklahoma City Garden Paid Off $30,555,710Other - See

Comments11/17/2015 Paid off 1/16/2018

K-702 7 968706762 689100007The Palms on

University CA Riverside Student Paid Off $31,159,592 Default 8/8/2016 Corrected 11/16/2016

K-003 9 534370012 225370012Bayou on the

BendTX Houston Mid Rise Paid Off $34,745,699 Delinquency 10/12/2016 Assumption 8/18/2017

K-716 57 708356192 302521057University Trails

ApartmentsMS Oxford Student Current $10,839,693 Imminent Default 7/1/2017 Assumption 9/1/2017

K-F41 12 948837519 10106256 Rio West TX Austin Student Paid Off $22,273,000 OFAC Restrictions 4/12/2018 Assumption 1/15/2019

K-722 46 708242561 10107015Cambridge Court

ApartmentsNY Rochester Garden Current $6,265,157 Delinquency 5/8/2018 Corrected 5/13/2019

K-022 36 708058205 10073025Vista Ridge

ApartmentsDC Washington, DC Garden Paid Off $13,452,157 Delinquency 2/12/2019 Paid off 3/31/2020


Corrected Loans

K-DealPSP ID

Freddie Mac Loan

Servicer Loan ID

Property Name State MSA (City)Property

Type

Current Loan

Status

UPB Amount at Transfer to SS



Workout Resolution

Date Resolved

K-057 5 708262562 306511005Reserve At

SouthpointePA Canonsburg Garden Current $44,514,133 Imminent Default 3/6/2019 Assumption 12/5/2019

K-F27 12 932611400 307321012The Domain at

OxfordMS Oxford Student Current $39,375,000 Imminent Default 11/8/2019 Corrected 2/9/2021

K-W08 21 502581506 30315900 Nob Hill Apartments MO Kansas City Garden Paid Off $9,592,500 Imminent Default 12/23/2019 Paid off 6/1/2021

K-035 52 708289010 10082695Abbey Glenn

ApartmentsTX Waco Student Paid Off $9,338,071 Imminent Default 1/15/2020 Paid off 8/24/2020

K-X02 31 708116876 708116876 The Button Lofts NY Rochester Mid Rise Current $6,039,980 Other - See


K-068 65 932702651 10181205Pheasant Ridge

Mobile EstatesCA Paradise

MHC Age

RestrictedCurrent $2,900,000 Imminent Default 4/9/2020 Corrected 4/1/2021

K-I03 8 948838981 948838981

Kenilworth

Apartments and

Townhomes

KS Prairie Village Garden Paid Off $30,813,000 Default 4/28/2020 Paid off 6/29/2020

K-714 55 708176712 301451055 153 Essex Street NY New York Mid Rise Paid Off $8,230,316 Default 10/7/2020 Paid off 1/21/2021

K-731 2 708225888 310221002 Waterford Towers NJ Edgewater High Rise Current $72,326,700 Imminent Default 4/2/2021 Corrected 7/1/2021

K-026 52 708067085 300340052The Reserve On

FrankfordTX Lubbock Student Current $10,242,185 Imminent Default 2/11/2020 Corrected 8/10/2021


Servicer Watchlist Loans

▪ As of September 2021, there are 1,193 loans on the

servicers’ watchlist for a total of $22.398 billion or 6.64%

of outstanding loan balance.*

▪ Based on the new CREFC IRP guidelines regarding the

Credit and Informational flags, loans on the servicers’

Watchlist were designated as the following:

▪ Below is a breakdown of Watchlist Criteria by Category for loans designated as Credit:

* The respective servicers maintain a watchlist for each securitization. Loans are added to and removed from the watchlist in

accordance with criteria established by CREFC.

Watchlist

Characteristics Sum of UPB % of UPB # of Loans

Credit $ 22,181,723,600 99% 1173

Informational $ 216,993,790 1% 20

Total $ 22,398,717,390 100% 1193

Default Risk / WL Criteria Category Sum of UPB

Credit $22,181,723,600

Property Performance $13,997,122,565

Other $4,055,024,523

Property Condition $2,103,522,596

Casualty $1,225,979,002

Pending Maturity $655,284,750

Delinquent $144,790,165

Ground Lease $0.00

Hurricane $0.00


Servicer Watchlist Loans (continued)

▪ 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 maintenance

items.

▪ Of the $22.181B designated by the servicers as Credit, FM

designated $10.771B as High or Moderate risk – the

remaining $11.410B is designated as Low

▪ Of the $1.661B designated by the servicers as

Informational, FM designated $.308B as High or Moderate

risk- the remaining $1.352B is designated as Low.

Risk DCR Occupancy Property Condition

High <=0.90 <=75% N/A

Moderate>0.90 to

<=1.10

>75% to

<=85%

Deteriorating property

condition

Low >=1.10 >85%

Minor deferred

maintenance,

Causality and repairs

in process


Ten Largest Loans on the Watchlist

Deal Loan ID Property Name State MSAProperty

TypeUPB

UW DCR

P1 DCR

P1 Occup

Most Recent DCR

Most Recent Occup

As of WL ReasonCredit /

Informational

KHG1 501172661 HG Note A-3 Various

Washington-Arlington-

Alexandria, DC-VA-MD-

WV

Garden $315,831,000 1.25 N/A N/A N/A 95% 12/31/2020Property

ConditionCredit

KL01 93261276820 Exchange

PlaceNY

New York-Newark-Jersey

City, NY-NJ-PAHigh Rise $268,747,000 1.24 1.06 73% 0.44 76% 3/31/2021

Property

PerformanceCredit

KHG1 501172653 HG Note A-2 Various

Washington-Arlington-

Alexandria, DC-VA-MD-

WV

Garden $260,561,000 1.25 N/A N/A N/A 95% 12/31/2020Property

ConditionCredit

KL03 502582286 The Lorenzo CALos Angeles-Long Beach-

Anaheim, CAStudent $247,796,000 1.85 2.33 N/A 1.82 62% 12/31/2020

Property

PerformanceCredit

KL03 504023136Waterton Edge -

FixedVarious

Dallas-Fort Worth-

Arlington, TXOther $234,701,378 1.25 N/A N/A N/A 91% 12/31/2020 Casualty Credit

KHG1 501172645 HG Note A-1 VariousBaltimore-Columbia-

Towson, MDGarden $213,186,000 1.25 N/A N/A N/A 95% 12/31/2020

Property

ConditionCredit

K1516 501940723 Hancock Village MABoston-Cambridge-

Newton, MA-NHGarden $211,250,000 1.25 N/A N/A 1.72 72% 12/31/2020

Property

PerformanceCredit

KF35 708211550 The Vermont CA Los Angeles High Rise $168,120,000 1.54 1.30 N/A 1.07 88% 6/30/2021Property

PerformanceCredit

KS09 708854001

The Gatesworth

At One Mcknight

Place

MO St. Louis, MO-IL Senior $143,625,389 1.35 1.15 N/A 1.16 77% 6/30/2021Property

PerformanceCredit

K729 708599524Two Sutton Place

NorthNY

New York-Newark-Jersey

City, NY-NJ-PAHigh Rise $143,039,642 1.92 1.24 87% 0.97 89% 3/31/2021

Property

PerformanceInformational

MULTIFAMILY © Freddie Mac

Documents

K-Deal Performance - Freddie Mac