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8/9/2019 April Remit BarCAp
1/21
SECURITIZATION RESEARCH U.S. CMBS Strategy | 6 May 20
PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 18
Update on CMBS April Remittances
Credit performance summary
Credit performance worsened at a slower pace than in the prior month. However,
the current to special servicing roll rate continued its upward trend, led by the
second largest whole loan across the fixed-rate conduit/fusion universe.
Maturing loan update
The ability of maturing loans to pay off on or close to their maturity dates
showed mixed results in April.
Liquidation/loss severity update
A sharp rise in liquidation activity was observed this month, while loss severity
dipped slightly.
Loan modification update
Similar to last month, we see limited reported modification activity in April.
Loan-specific details by vintage/CMBX
Recent vintage loans continue to underperform their more seasoned counterparts.
In particular, CMBX.1 and CMBX.4 showed a large jump in loans that are current
but transferred to their respective special servicers.
Aaron Bryson
+1 212 412 3761
aaron.bryson@barcap.com
Tee Yong Chew
+1 212 412 2439
teeyong.chew@barcap.com
www.barcap.com
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Barclays Capital | CMBS: Update on April Remittances
6 May 2010 2
Credit performance summary
Credit performance worsened at a slower pace than in the prior month. The non-
performing loan rate rose by 35bp across the fixed-rate universe, roughly half of what we
saw last month. However, last months spike was caused by the foreclosure transfer of the
$3bn PCV&ST loan. Excluding this loan, the pace of credit deterioration is on par with prior
months. We continue to believe it is premature to declare any slowdown or stabilization inpace of credit deterioration. Loans that are current but transferred to special servicer
increased to 3.7%. Including loans that are already in some stage of delinquency, the total
amount of loans, by current balance, in special servicing rose to 11.9%.
The current to special servicing roll rate continued its upwards trend, led by the second largest
whole loan across the fixed-rate conduit/fusion universe, the $2.9bn Beacon Seattle & DC
Portfolio loan (Figure 1). As highlighted in CMBS Strategy Weekly, April 19, 2010, the 5y
interest-only whole loan, with a 5.8% coupon and May 2012 maturity, is split across six deals
(Figure 2). Mays results are likely to be affected by the transfer to special servicing of the
$825.4mn Innkeepers Portfolio loan, which is split across two 2007 vintage deals.
Figure 1: Current to SS roll rate for 2005+ vintages
0
20
40
60
80
100
120
140
160
180
Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10
bp
2005+ vintage conduit universeT6M Current to SS+
GGP
SPEPCV
& ST
Beacon
Portfolio
666 5th,
Four Seasons Maui
Source: Barclays Capital
Figure 2: Exposure to the Beacon Seattle & DC Portfolio loan
CMBX Deal
Cur
Balance
($mn) Note Deal % MR DSCR AOD
4 BACM07-2 394.5 A4 12.6
4 BSCMS07-PW16 485.5 A5 14.8
MSC07-HQ12 75.0 A3 4.5
MSC07-HQ12 86.0 A2 3.9
4 MSC07-IQ14 775.0 A1 16.0
4 WBCMT07-C31 414.0 A6 7.1
4 WBCMT07-C32 414.0 A7 10.9
1.07x 9/30/2009
56.0 B1
205.0 Mez
Total 2,905.0
Source: Barclays Capital
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Barclays Capital | CMBS: Update on April Remittances
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The Beacon Seattle & DC Portfolio loan has been on our internal "watch list" for quite some
time. We initially highlighted concerns about the loan in Pro forma NowPerforming
Later, June 23, 2008. We maintain our 15% loss estimate and 48-month extension
scenario, with an expectation of a loan modification. Our concerns lie primarily in the pro
forma nature of the underwriting and the exposure to the weak Seattle office market
(approximately 39% of the portfolio loan balance is allocated to properties in the Seattle
and Bellevue, Washington, areas). The DC office markets remain strong. Potential outcomesinclude a split of the portfolio and/or a partial paydown of loans backed by the better
performing properties.
Across property sectors, while the overall delinquency rate is still led by multifamily and hotel,
the pace of increase in April was led by the office sector, which increased by 64bp. Vintage-
wise, recent vintage loans, especially 2007+ vintage, continue to underperform their more
seasoned counterparts (Figure 3 and 4). In CMBX, weakness was led by Series 4.
Figure 3: 30+ day delinquency by property type, CMBX series, vintage
Delinquency level, by CMBX (%) Delinquency level, by vintage (%)Property
1 2 3 4 5 Pre-00 0004 05 06 07+
Overall
Office 6.26 5.50 3.92 4.49 3.62 11.23 5.42 6.16 6.07 4.67 5.54
Retail 5.90 8.04 6.98 6.70 6.38 12.63 6.13 8.02 8.47 6.56 7.33
Multifamily 9.75 13.29 18.88 18.17 14.26 9.23 6.96 9.08 11.96 23.45 13.67
Industrial 3.81 9.46 3.32 5.06 4.84 14.30 5.77 4.10 6.77 4.90 5.61
Hotel 8.96 11.45 18.04 15.43 24.19 8.48 6.89 8.85 11.89 19.96 13.96
Others 2.20 4.25 4.08 8.51 3.43 10.71 2.98 2.27 5.69 6.07 4.91
Overall 6.24 8.09 8.44 9.09 9.31 11.12 5.99 7.09 8.60 10.07 8.18
SS-Cur 4.84 2.32 3.36 5.94 1.39 4.28 2.35 5.19 2.43 4.78 3.68
NPL* 6.29 8.16 8.63 9.16 9.35 5.76 5.95 6.74 8.68 10.14 7.55
Note: *As a percentage of loan balance at origination. Source: Barclays Capital
Figure 4: Change in 30+ day delinquency and special servicing
Delinquency level, by CMBX (%) Delinquency level, by vintage (%)Property
1 2 3 4 5 Pre-00 0004 05 06 07+
Overall
Office 1.21 0.79 -0.17 0.87 -0.26 0.67 0.42 0.82 0.39 0.87 0.64
Retail -1.09 0.43 0.24 0.18 0.81 1.25 0.48 -0.22 0.57 0.41 0.37
Multifamily 0.44 -0.01 -0.85 0.19 1.40 -0.24 -0.13 0.68 -0.29 0.39 0.19
Industrial -0.45 0.15 0.66 0.25 0.32 -0.01 0.37 -0.21 -0.06 0.91 0.37
Hotel 1.03 0.33 2.08 0.50 0.03 -0.95 0.31 0.85 0.20 0.74 0.53
Others -0.02 0.46 -0.93 0.54 0.65 -0.03 0.43 0.12 -0.54 0.39 0.14
Overall 0.10 0.45 -0.02 0.55 0.38 0.38 0.34 0.34 0.32 0.59 0.42
SS-Cur 0.95 -0.28 0.25 1.74 -0.16 -1.33 -0.45 0.47 -0.13 0.79 0.18
NPL* 0.18 0.45 0.08 0.56 0.40 0.11 0.25 0.29 0.37 0.62 0.35
Note: *As a percentage of loan balance at origination. Source: Barclays Capital
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Barclays Capital | CMBS: Update on April Remittances
6 May 2010 4
Figure 5: Average credit indicators1 by series Figure 6: Average credit indicators by vintage
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
Jan-07 Jan-08 Jan-09 Jan-10
CMBX.1CMBX.2CMBX.3CMBX.4CMBX.5
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
Pre-20002000-2004200520062007+
Figure 7: NPL %2 by average deal age, series Figure 8: NPL %2 by average deal age, vintage
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
0 6 12 18 24 30 36 42 48
Average Deal Age (Months)
CMBX.1CMBX.2CMBX.3CMBX.4CMBX.5
0.00
2.00
4.00
6.00
8.00
10.00
12.00
0 6 12 18 24 30 36 42 48 54
Average Deal Age (Months)
200520062007+
Source: Barclays Capital Source: Barclays Capital
Maturing loan summary
The ability of maturing loans to pay off on or close to their maturity dates showed mixed
results in April. 31% of matured loans, ex-GGP-BK loans, paid off this month, which is the
lowest rate since the beginning of 2009 (Figure 9). However, looking at loans that paid off
within three months of their maturity date, 67% paid off through January, compared with
the trailing 3-month rate of 62%. If GGP loans are included, the paid-off rate for matured
loans within three months of maturity drops to 57%. This suggests that borrowers are
struggling to line up financing by maturity date but are having better success with some
additional time.
Another point worth noting is the ability of matured loans to pay off by seasonality. For the
past 16 months, seasoned loans had more success paying off close to maturity than less
seasoned loans. This month, however, the trend reversed (Figure 10). 72% of loans, ex-
GGP-BK loans, with original terms less than five years managed to pay off at maturity or
within three months after, while only 55% of loans with original terms greater than five
1 Our credit indicator is a seasoning-adjusted measure of credit performance, calculated as the difference of the actualnon-performing loan % and the seasoning implied non-performing loan %.2 NPL %, or non-performing loan %, is calculated as the percentage of loans in 30+ days delinquency and liquidationas a percentage of cutoff balance.
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6 May 2010 5
years managed to do so. We caution, however, that this is only the first month this has
happened, and we will continue to monitor the trend.
None of the five largest April-maturing loans by current balance managed to pay off on time
(Figure 11). The largest loan is a GGP-BK loan and had been extended to September 2016
as per the modification agreement. Based on recent refinancing activities, exit debt yield for
loans that have successfully paid off averaged around 10-12%. Of these five loans, only
Southdale Mall and Ridgmar Mall have an exit debt yield, calculated from most recent
financials, within that range. For the former, the borrower, an affiliate of Simon Properties
Group, a retail mall REIT, had requested an extension, while the latter had been granted a
short forbearance to the end of April. We expect both loans to be extended, by 36 months
and 6 months, respectively, with a 1% loss to the trust due to servicing fees.
Figure 11: Top five maturing conduit loans in April, by loan balance
Deal Loan
Balance
($mn) Orig Date Loan Rate IO? MR DSCR
MR NOI
Debt Yield Property Type Location
GGP-
BK?
BACM05-3 Ridgedale Center 174.9 7/13/05 4.9% N 1.2 8% Retail MN Y
LBUBS05-C2 Macquarie DDR Portfolio II 171.6 4/20/05 4.8% Y 2.0 9% Retail Various
BACM05-1 Southdale Mall 150.0 4/12/05 4.9% Y 2.1 11% Retail MN
LBUBS05-C2 The Woodbury Office Portfolio I 63.5 4/20/05 5.3% Y 1.3 8% Office NY
LBUBS05-C2 Ridgmar Mall 57.4 4/20/05 6.1% Y 1.9 12% Retail TX
Source: Barclays Capital.
Loss liquidation/loss severity update
A sharp rise in liquidation activity was observed this month, while loss severity dipped
slightly, to 58%. We estimate that loss liquidations across the fixed-rate conduit universe
rose to more than $550mn in April (Figure 12), compared with an average monthly volume
of $190mn over the trailing 12-month period. The reporting of liquidation method is often
weak, but we noticed an increase in note sales and discounted payoffs. There is certainly
scope for the amount of liquidations to rise substantially. They are still skewed toward
smaller loan balance properties: only four loans over $20mn were liquidated.
Figure 9: % paid off by maturity date lowest since Jan 2009 Figure 10: Trend by seasonality reversed
25%
35%
45%
55%
65%
75%
85%
Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10
Paid off by maturity
Paidoff by maturity +1mo
Paidoff by maturity +3mo
0%
20%
40%
60%
80%
100%
Jan-09 May-09 Sep-09 Jan-10
Maturity
% paidoff
by maturity
+ 3 mos.
Original term 5yrs
Note: Loan balance weighted, ex-GGP. Source: Barclays Capital Note: Loan balance weighted, ex-GGP. Source: Barclays Capital
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Barclays Capital | CMBS: Update on April Remittances
6 May 2010 6
The largest fixed-rate CMBS loan to be liquidated in April was Highwoods II Portfolio in
LBUBS 06-C1 (CMBX.1), backed by office properties in Tampa, Florida. The $43.8mn loan
took a 50% loss in a discounted payoff. LNR is the special servicer, and the maturity date
was January 2011. The loan was transferred to the special servicer in December 2009 but
had been performing. The last reported DSCR was 1.43x as of September 2009.
Figure 12: TTM loss severity and volume
0%
10%
20%
30%
40%
50%
60%
70%
Nov-01 Nov-03 Nov-05 Nov-07 Nov-09-
500
1,000
1,500
2,000
2,500
3,000
3,500
Trai l ing 12 mo l iquidated loan balance ($mn, rhs) Trail ing 12 mo loss severity
Source: Barclays Capital
Loan modification update
Similar to last month, we see limited reported modification activity in April. The trailing 12-
month total modified loan balance, ex-GGP, rose to $3.0bn, from $2.3bn last month. By far,
the most common type of modification is maturity date extension, making up 69% of all
modified loans.
It is important to note that not all modifications are created equally. A modified loan could
always re-default. This month, we see one such case. The $60.9mn Gateway Shopping
Center loan securitized in MSC 06-HQ9 (2.44% of deal, 90+ days), backed by a retail
property in West Bloomfield, Michigan, went delinquent again this month. The loan was
previously modified in April 2009 by special servicer JE Roberts. The modification included a
coupon rate reduction of 1.18% in 2009 and 0.26% in 2010, with the caveat that the
reduction accrues to the outstanding loan balance. According to this months servicers
comment, the borrower is seeking additional relief. Financials last reported in September
2009 came in at 1.19x DSCR. Based on the most recent appraisal, a loss of 10% is expected
after the loan extends for 24 months with additional interest relief, but if the loan goes into
default, an additional 10% loss is likely.
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Figure 13: CMBS loan modifications, TTM through April 2010
1,357
3,513
3591532
570
2,100
31015
5,301
00
1,000
2,000
3,000
4,000
5,000
6,000
Amortization
Change
Combination Maturi ty Date
Extension
Other Principal Write-
Off
All ex GGP
$mn
Source: Barclays Capital
Loan-specific details
The large loans that went delinquent or were transferred to special servicing-current status
in April were all securitized in CMBX constituent deals (ex-exposure to Beacon Seattle & DC
Portfolio loan), including the following:
CMBX.1 update
Series 1 continued to be the best performing CMBX series. The non-performing loan rate for
April increase by 18bp, to 6.3%. However, CMBX.1 saw a huge jump of 95bp in loans that are
performing but transferred to their respective special servicers. Of note:
CSFB 05-C6: The $67.3mn Preston Commons (2.83% of loan, SS-Cur), backed by an
office building in Dallas, Texas,was transferred to special servicer ING Clarion for non-
monetary default when the borrower allowed several large mechanics liens to be placed
on the property. In addition to the securitized A-note, the property is further
encumbered by $9.3mn in mezzanine debt that is in monetary default. The mezzanine
debt holder, Capri Capital, foreclosed out the borrowers equity and assumed the debt.
The 5y IO loan matures in June 2010 and has an A-note debt yield of 8.7% using most
recent financials as of September 2009. Given that the loan is performing, we expect the
loan to extend 15 months with a 10% loss at the back end.
GMACC 06-C1: Backed by a 983-unit multifamily property located in College Park,
Maryland, the $93mn Seven Springs Village loan (5.78% of deal, SS-Cur) is the A-note of
a $98mn debt stack that consists of another $5mn B-note. This is another example of aloan that is facing imminent maturity default due to an inability to refinance. The 5y IO
loan matured in September 2010, and the borrower is asking for a modification. The
special servicer on this loan is CW Capital. YE09 DSCR came in at 1.2x, and A-note NOI
debt yield is 6.9%; we expect a 36 month extension with a 5% loss at the back end.
MLMT 05-CIP1: The $160mn Highwoods Portfolio 57 loan (8.14% of deal, SS-Cur) is
collateralized by 31 office buildings split between Tampa, Florida, and Charlotte, North
Carolina (two additional buildings were allocated $0 loan balance at loan origination).
There is an additional $40mn of mezzanine debt outside the trust for a total debt stack
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6 May 2010 8
of $200mn. The 5y IO loan matures in August 2010, and the loan transferred to special
servicer LNR when the borrower indicated an inability to pay off the loan at maturity.
Based on YE09 financials, the debt yield is 6.3%. We expect the loan to be extended 48
months with a 40% loss at the back end. There is also a possibility of an A/B note split,
as the loan is barely covering debt service.
MLMT 05-CKI1
The collateral of the $125.2mn Louisiana Broadwalkloan (4.29% of deal, SS-Cur) is
a 544k sf town center retail development located in Bossier City, Louisiana. The
loan was transferred to JE Roberts, the special servicer, after the borrower missed the
April payment. There is a $13.7mn LOC that is expiring May 1, 2010, and the master
servicer is in the process of calling it, which should cover the debt service until loan
maturity. A modification of the loan is likely, leading to a loss of 5%.
Three office properties located in Dallas, Texas, are the collateral for the second
large loan in this deal to be transferred to special servicer JE Roberts this month. The
$84.9mn Younan Portfolio debt stack includes the $77.2mn A-note (2.64% of deal,
30 days) securitized in this deal and the $7.7mn mezzanine debt. According to
servicers comment, the borrower is proposing a discounted payoff (DPO) at 90%
current balance within 90 days. Based on most recent financials reported as of June
2009, debt service is covered 1.22x. Without more recent financials, it is difficult to
determine if that is a fair value. However, a 38% drop from the underwritten
appraisal value of $112.1mn is more severe than the 26% drop in the Dallas market
office value as per PPR. According to Commercial Real Estate Direct, the borrower,
Younan Properties Inc., is attempting to recapitalize through an IPO, with a goal of
raising $575mn of new equity to address upcoming maturities. We believe the DPO
is likely to be accepted in the near term, with an estimated 12.5% loss to the trust
after factoring in fees.
WBCMT 05-C22: The $149.9mn Westin Casuarina Hotel & Spa loan (6.18% of deal, SS-
Cur), backed by a full service hotel in Las Vegas, Nevada, was transferred to specialservicer CW Capital because the borrower, Columbia Sussex, requested a loan
modification. The last DSCR reported as of September 2009 came in at 0.73x, with
occupancy at 60%. The debt balance per room is $182k. The loan is expected to default
in the near term, and factoring in an additional NOI haircut and expenses, a loss of 50%
is expected.
CD 05-CD1: A 542-unit multifamily property backed the $58mn Union Square
Apartments loan (1.56% of deal, 30 days), which went 30-day delinquent this month.
No details were available from the servicer besides the fact that the lockbox had been
sprung. The loan has a history of late payments, and we expect a maturity default with a
30% loss.
CMBX.2 update
The second worst performing series in April, the non-performing rate for CMBX.2 increased by
45bp, to 8.2%, led mostly by loans that rolled from special servicing current to delinquent. Of
note:
MSC 06-HQ9: See loan modification section for details of the $60.9mn Gateway
Shopping Centerloan (2.44%, 90+ days).
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CMBX.3 update
The non-performing rate for CMBX.3 showed a small uptick this month, by 8bp, to 8.6%.
The increase in loans that are current but transferred to special servicer was led by the
following:
BACM 07-1: The $162.5mn 575 Lexington Avenue loan (5.26% of deal, SS-Cur) is one
of the A-notes making up the $325.0mn debt stack (the other A-note is securitized inBACM 07-2). The 7y IO loan is backed by a 639k sf property in midtown Manhattan,
New York, consisting of office, retail, and garage spaces. The property was purchased in
2006 by CalSTRS for $433mn, and Silverstein Properties owns a 3% stake. CalSTRS had
provided a $10mn debt service guarantee at securitization. The loan was transferred to
special servicer CW Capital because the borrower indicated an inability to continue to
fund operating deficits as a result of increased vacancy and decreased rental rates. The
most recent reported DSCR as of YE09 was 0.71x; historically, reported DSCR had not
exceeded 0.74x since underwritten in February 2007. The loan is likely to be modified;
however, if it goes into default, we expect a quick liquidation at 45% loss given the
recent strong interests in Midtown Manhattan office properties.
CMBX.4 update
Underlying loans that are current but transferred to special servicing jumped 174bp this
month. This was led by exposure to the second largest loan in the fixed-rate conduit/fusion
universe, the $2.9bn Beacon Seattle & DC Portfolio loan, which alone contributed 246bp to
the roll rate from current to special servicer in the index. Other large exposures include:
BACM 07-2
Besides the exposure to the other $162.5mn A-note (5.18% of deal, SS-Cur) of the
575 Lexington Avenue loan (see BACM 07-1 for more details), another exposure to a
large loan that transferred to special servicer this month is the $394.5mn A4-note of
the Beacon Seattle & DC Portfolio loan (12.6% of deal, SS-Cur) See credit
performance summary section above for more details.
The third large loan in this deal to transfer to the special servicer is the $87mn Franklin
Avenue Plaza loan (2.77% of deal, 30 days), which has a total debt stack of $97mn,
including a $10mn mezzanine debt. The loan is backed by a 517k sf office property in
Garden City, New York. Upcoming lease expirations in 2012 include the largest tenant,
Merrill Lynch, and the third largest tenant, Healthcare Partners, leasing a total of 15.9%
of the NRA. Over the past two years, reported DSCR had never been above 1.0x, and
the most recent number as of YE09 was 0.81x. The borrower, Treeline Companies, is
attempting to negotiate a modification, according to Fitch Ratings. We expect the loan
to take a loss of 50%, by applying a cap rate of 8.5% to 2009 NOI and factoring in a
25-month liquidation period.
LBUBS 07-C2: The $53.3mn Marriott Suites Garden Grove loan (1.51% of deal, SS-Cur)
backed by a full-service hotel in Garden Grove, California (near Disney World), was
transferred to special servicer LNR because the borrower is requesting a modification.
According to the servicers watchlist comments, the borrower is requesting an A/B-note
split, with the B-note getting excess cash flow after the split. There is also a request to
lower the monthly replacement cost to 4% of total revenue. The loan had not been
covering debt service during 2009, with the YE09 number at 0.7x. We believe the loan is
likely to get a modification with a 40% loss at the back end.
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LBUBS 07-C6: The $108.9mn Greensboro Parkloan (3.69% of deal, SS-Cur) is the A-note
of the $164.3mn debt stack that consists of another $55.4mn mezzanine debt. The loan,
secured by a 485k sf of office property in McLean, Virginia, was transferred to special
servicer Midland because of imminent default. DSCR last reported in September 2009
came in at 1.07x but watchlist comments mentioned a further drop in occupancy from
91% to 86% and the borrower, an affiliate of Broadway Partners, is seeking a modification.
An extension of 36 months is expected leading to a 20% loss.
MLCFC 07-7: Secured by a 230k sf office property in Boston, Massachusetts, the $58mn
10 Milk Street loan (2.13% of deal, SS-Cur) was transferred to the special servicer,
Midland, on the borrowers request for a modification. This is a 10y IO loan originated in
June 2007, which we tagged as a pro forma loan. According to servicers comments, the
property had lost two of its largest tenants, dropping occupancy to 65%. Financials last
reported in YE09 came in at 74% for occupancy and a 1.1x DSCR. We expect the loan to
be modified with a 35% loss.
CMBX.5 update
The non-performing loan rate for CMBX.5 increased by 40bp, also led by loans rolling from
specially service current to delinquent.
LBUBS 07-C6: This deal is also a constituent of CMBX.4. See CMBX.4 section for details.
Rating action summary
S&P performed a total of 209 rating actions this month: downgrading 147, upgrading 1,
putting 5 on negative watch, and affirming 56 bonds. The focus is mainly on seasoned
deals and the subordinate tranches of recent vintage deals.
Moodys downgraded 79, upgraded 2, placed 103 on negative watch, and affirmed a bond
for a total of 185 rating actions in April. Downgrades affected bonds up to AM tranches;
the AM tranche of GCCFC 06-GG7 was downgraded to Aa3, while that of MLCFC 06-4
was downgraded to Aa2.
Fitch also focused on seasoned deals in April, downgrading 87, upgrading 3, and affirming a
bond for a total of 91 rating actions.
Figure 14: CMBX rating actions (upgrades/downgrades)
CMBX.1 CMBX.2 CMBX.3 CMBX.4 CMBX.5Original
tranche MTD Cum* MTD Cum* MTD Cum* MTD Cum* MTD Cum*
AAA 0/1 0/7 0/13 0/22 0/20
AJ 0/1 0/25 0/1 0/25 0/1 0/25 0/25 0/25
AA 0/1 0/25 0/1 0/25 0/1 0/25 0/25 0/25
A 0/1 0/24 0/1 0/25 0/1 0/25 0/25 0/25
BBB 0/1 0/25 0/1 0/25 0/1 0/25 0/25 0/25
BBB- 0/2 0/25 0/1 0/25 0/1 0/25 0/25 0/1 0/25
BB 0/1 0/25 0/1 0/25 0/25 0/25
Note: *Cumulative rating actions indicate the number of bonds that are no longer at their original rating on a conservativebasis; that is, the bonds current rating is the lowest of the different agencies rating in the case of split-rated securities. Inthis case, multiple downgrades are counted only once on a cumulative basis but highlighted separately MTD.Source: Barclays Capital
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6 May 2010 11
Interest shortfall summary
Interest shortfall continued to increase across the board and migrate firmly into the
originally IG-rated territory. For example, the number of originally rated BBB bonds taking
interest shortfall increased from 19% last month to 24% this month.
We revisit a familiar deal, the LBUBS 2007-C1, which saw a temporary shortfall to the AJ
class last month. This month, though, the AJ tranche did not experience an interest shortfalland received repayment of the shortfall incurred last month. The main surprise is the
repayment of the interest shortfall, which is actually a structure built into the LBUBS deal. In
the prospectus, it states with respect to distribution of interest
to make distributions in an amount equal to all Distributable Certificate Interest
and, to the extent not previously paid, for all prior Distribution Dates
This implies that interest shortfall up the capital structure gets paid back as soon as
possible. Figure 15 detailed the interest payment for April.
Figure 15: LBUBS 07-C1 interest advance waterfall for April 2010
Tranche Interest Advanced
Interest Shortfall
Recovery Comments
XCL 70,712.28 Full Interest advanced
XCP 321,642.38 Full Interest advanced
XW 1,177,064.00 Full Interest advanced
A-1 138,277.88 Full Interest advanced
A-2 935,081.66 Full Interest advanced
A-3 1,012,125.00 Full Interest advanced
A-AB 427,737.50 Full Interest advanced
A-4 5,225,350.52 Full Interest advanced
A-1A 3,813,556.50 Full Interest advanced
A-M 1,687,949.74 Full Interest advanced
A-J 1,892,849.94 450,466.54Full Interest advanced & full recovery oflast months interest shortfall
B 255,932.32 127,966.16Full Interest advanced& full recovery oflast months interest shortfall
C 106,194.20Partial interest advanced & interestshortfall
D S Interest shortfall
T Partial write down for advance recovery
Source: Barclays Capital
Figures 16-18 summarize the interest shortfall this month.
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Barclays Capital | CMBS: Update on April Remittances
6 May 2010 12
Figure 16: Pickup in interest shortfall for 2007+ vintagebonds
Figure 17: CMBX tranches with interest shortfall (bond countand m/m change
0% 0% 1% 2%7%
15%
28%
0% 0% 1%4%
24%
53%
74%
0%
10%
20%
30%
40%
50%
60%70%
80%
AM &
above
AJ AA A BBB BB B
S ep-09 Apr-10
% of bonds
w/ shortfall
CMBX.1 CMBX.2 CMBX.3 CMBX.4 CMBX.5Orig.
tranche # m/m # m/m # m/m # m/m # m/m
AAA 0 0 0 0 0 0 0 0 0 0
AJ 0 0 0 0 0 -1 0 0 0 0
AA 0 -1 1 0 1 0 0 0 0 0
A 1 0 1 0 3 2 0 0 0 0
BBB 3 1 2 0 5 -1 6 1 3 -1
BBB- 5 2 9 2 9 1 9 1 9 4
BB 9 2 15 5 16 2 13 2 13 2
Source: Barclays Capital Source: Barclays Capital
Figure 18: # of bonds with interest shortfall, by vintage/original rating
Pre-2000 2000-2004 2005 2006 2007+
Sr. AAA - - - - -
AM - - - - -
AJ - - - - -
AA+ - - - - -
AA - - - 2 1
AA- - - 1 3 1
A+ - - - 1 2
A - 1 1 3 2
A- - 3 2 3 4
BBB+ - 3 2 4 8
BBB 1 8 6 6 16
BBB- 3 14 15 25 24BB+ 2 22 20 32 30
BB 13 34 25 37 34
BB- 8 49 30 45 43
B+ 5 69 30 47 48
B 36 80 34 48 49
B- 37 95 40 49 52
Below B- & NR 53 167 56 58 71
Total 158 545 262 363 385
Source: Barclays Capital
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Barclays Capital | CMBS: Update on April Remittances
6 May 2010 19
CMBS RESEARCH CATALOG
Highlighted Publications/Presentations
2/22/2010 Theories of CMBS relativity
2/9/2010 Initial thoughts on AM CMBX
12/21/2009 CMBS 2010 Outlook: Mind the Gap(s)
12/03/2009 Five CMBS Stories
09/03/2009 Reaction to legacy CMBS TALF
06/26/2009 A slight pullback by S&P
06/16/2009 CRE Debt in Contraction
05/21/2009 Initial reaction to legacy CMBS terms
04/20/2009 Legacy TALF for CMBS: Updating upside
03/25/2009 PPIP: Time for detox
01/09/2009 CMBS in 2009: Deleveraging, defaults, and distress
11/14/2008 Negative CPA: Update on Commercial PropertyValues
09/08/2008 Near-term Refinancing Risk in Fixed-Rate CMBSPools: An Update
06/27/2008 A Macro Approach to CRE Fundamentals/CMBSLosses: Part II
06/20/2008 A Macro Approach to CRE Fundamentals/CMBSLosses: Part I
05/30/2008 Pro Forma NowPerforming Later?
05/01/2008 CMBS: Chaos Theory
05/01/2008 CMBS Derivative Workshop
04/11/2008 A Guide to CMBS Loss-adjusted Yields
09/11/2007 CMBS Market Correction and CommercialProperty Valuations
06/29/2007 Credit Performance by Property Market Size
05/11/2007 A Look at Early Stage Delinquencies
03/21/2007 The Commercial Real Estate Cycle and CMBS
03/21/2007 Evolving Collateral Trends: Paradigm Shift orSlippery Slope?
03/21/2007 Risk/Reward Across the CMBX Capital Structure
02/15/2007 Risk/Reward Across the CMBX Capital Structure
11/22/2004 Moodys-Lehman Brothers Study of Loss Severityin Defaulted CMBS Loans
Primers
06/26/2008 CMBX Calculator on LehmanLive
11/08/2007 CMBX Valuation: Version 2.0 of Loss DispersionApproach
03/17/2006 Introduction to CMBX
11/21/2005 Credit Default Swaps in CMBS: An Introduction
Surveillance Analytics Keyword
The Surveillance Platform provides Credit Risk Analysis for theentire US CMBS Fixed Rate Universe
CMBS Deal Portal CMBSDeal
Click on deal name to access full suite of Surveillance Analytics
Written analysis for all Delinquent and Specially Services Assets
Bond Credit Evaluator CMBSCE
A CUSIP driven report for comparing multiple bonds
Use for relative credit analysis for CMBS bid lists
Calculators/Models
CMBX Calculator CMBXCalc
CMBS Single Security Calculator MCALC
CMBS Multiple Security Calculator MSA
CMBS Portal Pages
Publications CMBS
Access our latest research
Market Monitor CMBSMM
CMBX & Cash Spreads and Index Returns
Calculators/Models CMBSCalc
CMBS/X Calculators and Models Overviews
Surveillance CMBSSurv
Surveillance Tools and Reports
Index Analysis CMBSIndex
CMBS Indices' Returns
Charts CMBSTSPCharts of relevant CMBS data series
Surveillance Reports
Delinquency Performance Reports
Overall Performance
Contributor Performance
Deal Performance
Property Type Performance
State Performance
Vintage Performance
Prepayments
List of Prepayments and Penalties
Historical CPR Report
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Analyst Certification(s)We, Aaron Bryson and Tee Yong Chew, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about anyor all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly or indirectly relatedto the specific recommendations or views expressed in this research report.
Important DisclosuresBarclays Capital is acting as financial advisor to Brookfield Asset Management in the company's agreement with General Growth Properties, Inc. (GGP) toinvest in GGP's proposed recapitalization plan.
For current important disclosures regarding companies that are the subject of this research report, please send a written request to: Barclays CapitalResearch Compliance, 745 Seventh Avenue, 17th Floor, New York, NY 10019 or refer to https://ecommerce.barcap.com/research/cgi-bin/all/disclosuresSearch.pl or call 212-526-1072.Barclays Capital does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that Barclays Capitalmay have a conflict of interest that could affect the objectivity of this report. Any reference to Barclays Capital includes its affiliates. Barclays Capital and/oran affiliate thereof (the "firm") regularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt
securities that are the subject of this research report (and related derivatives thereof). The firm's proprietary trading accounts may have either a long and /or short position in such securities and / or derivative instruments, which may pose a conflict with the interests of investing customers. Where permittedand subject to appropriate information barrier restrictions, the firm's fixed income research analysts regularly interact with its trading desk personnel todetermine current prices of fixed income securities. The firm's fixed income research analyst(s) receive compensation based on various factors including,but not limited to, the quality of their work, the overall performance of the firm (including the profitability of the investment banking department), theprofitability and revenues of the Fixed Income Division and the outstanding principal amount and trading value of, the profitability of, and the potentialinterest of the firms investing clients in research with respect to, the asset class covered by the analyst. To the extent that any historical pricing informationwas obtained from Barclays Capital trading desks, the firm makes no representation that it is accurate or complete. All levels, prices and spreads arehistorical and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document.Barclays Capital produces a variety of research products including, but not limited to, fundamental analysis, equity-linked analysis, quantitative analysis,and trade ideas. Recommendations contained in one type of research product may differ from recommendations contained in other types of researchproducts, whether as a result of differing time horizons, methodologies, or otherwise.
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