April Remit BarCAp

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

[email protected]

Tee Yong Chew

+1 212 412 2439

[email protected]

www.barcap.com


2/21

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

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6 May 2010 3

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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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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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


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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6 May 2010 7

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


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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6 May 2010 9

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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6 May 2010 10

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


Figures 16-18 summarize the interest shortfall this month.


12/21


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



13/21


14/21


15/21


16/21


17/21


18/21


19/21


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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20/21

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Barclays Bank PLC in the Dubai International Financial Centre (Registered No. 0060) is regulated by the Dubai Financial Services Authority. Barclays BankPLC-DIFC Branch, may only undertake the financial services activities that fall within the scope of its existing DFSA licence.Barclays Bank PLC in the UAE is regulated by the Central Bank of the UAE and is licensed to conduct business activities as a branch of a commercial bankincorporated outside the UAE in Dubai (Licence No.: 13/1844/2008, Registered Office: Building No. 6, Burj Dubai Business Hub, Sheikh Zayed Road, DubaiCity) and Abu Dhabi (Licence No.: 13/952/2008, Registered Office: Al Jazira Towers, Hamdan Street, PO Box 2734, Abu Dhabi).Barclays Bank PLC in the Qatar Financial Centre (Registered No. 00018) is authorised by the Qatar Financial Centre Regulatory Authority. Barclays BankPLC-QFC Branch may only undertake the regulated activities that fall within the scope of its existing QFCRA licence. Principal place of business in Qatar:Qatar Financial Centre, Office 1002, 10th Floor, QFC Tower, Diplomatic Area, West Bay, PO Box 15891, Doha, Qatar.This information has been distributed by Barclays Bank PLC. Related financial products or services are only available to Professional Clients as defined bythe DFSA, and Business Customers as defined by the QFCRA.IRS Circular 230 Prepared Materials Disclaimer: Barclays Capital and its affiliates do not provide tax advice and nothing contained herein should beconstrued to be tax advice. Please be advised that any discussion of U.S. tax matters contained herein (including any attachments) (i) is not intended orwritten to be used, and cannot be used, by you for the purpose of avoiding U.S. tax-related penalties; and (ii) was written to support the promotion ormarketing of the transactions or other matters addressed herein. Accordingly, you should seek advice based on your particular circumstances from anindependent tax advisor. Copyright Barclays Bank PLC (2010). All rights reserved. No part of this publication may be reproduced in any manner without the prior writtenpermission of Barclays Capital or any of its affiliates Barclays Bank PLC is registered in England No 1026167 Registered office 1 Churchill Place London

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