Polen CMBS B Piece

P: 646.660.6950 / 137 East 22nd Street, New York, NY 10010www.baruch.cuny.edu/realestate

Introduction

Commercial mortgage-backed

securities (CMBS) investors

have learned, if nothing else

than out of necessity, how to split the

check. During the real estate boom,

investors modeled senior CMBS bonds

with minimal prepayment risk and were

willing to discount the probability of

losses to junior CMBS bonds. In today’s

distressed environment, CMBS investors

face increased default and prepayment

risk as a result of special servicers selling

nonperforming loans and real estate

owned (REO) properties. It is imperative

for CMBS investors, or those who wish

to gain knowledge of the subject,

to understand how to evaluate both

commercial mortgage credit and CMBS

cashflows (or waterfalls) to translate these

vague fears and worries into actionable

information.

This white paper uses special servicer

data and ratings agency methodologies

to analyze CMBS loans. By applying

this analysis, investors are empowered

to make their own determinations on

pricing and risk for CMBS, essential tools

for portfolio management and CMBS

trading decisions (“secondary” CMBS).

CMBS is created by splitting the cash flow

from commercial mortgages into different

bonds, known as tranches. Commercial

real estate investors with an opportunistic

strategy may appreciate how their skills can

be used to identify pricing discrepancies

that then impact structured real estate

finance. Structured finance investors can

use this article to appreciate the impact that

unique attributes of individual real estate

assets have on CMBS investments.

Problematic deals that special servicers

are now tasked with resolving are numerous.

In fact, about 8% of all outstanding CMBS

deals are delinquent as of September 2011,

according to Morningstar.

This article uses actual loans and CMBS

SPRING 2012 RESEARCH PUBLICATION

Predicting CMBSPrepayments and Defaults

The Impact of Distressed Real Estate Loans on CMBS PerformanceA research report prepared for the Steven L. Newman Real Estate Institute by Benjamin Polen, Senior Research Associate at the Institute.

I had been getting something for nothing. That only delayed the

presentation of the bill. The bill always came.

~ Ernest Hemingway

The Sun Also Rises

issuances, as well as a high profile

building, to illustrate risk to CMBS

investors. Special servicer estimates and

market information are applied to assess

potential impacts on CMBS tranches.

Ratings agency methodologies are

applied to analyze current net operating

income (NOI) and estimate refinancing

proceeds. Investors can apply these same

techniques to managing CMBS portfolios

or when underwriting prospective CMBS

investments.

Risk

In a bullish real estate market, most

investors expect both mortgages and

structured CMBS to perform as originally

modeled. When cash flows from real

estate can no longer support the debt

service due to a weak real estate market,

this generates risk for CMBS lenders.

CMBS tranches allow investors a choice of

risk. Senior bonds offer lower yields, but

are created with credit support, which has

generally succeeded in insulating them

from defaults. The CMBS issuance used

as an example in this article, WBCMT

2006-C23, was created with 30% credit

support. Junior bonds have less credit

support but offer the opportunity for

higher returns. Junior bonds will be the

first to absorb any losses from defaults.

Prepayment risk represents an early

return of principal, eliminating future

interest cashflows that would otherwise

be made to bondholders. This risk was

thought to be generally mitigated by

lockout periods, defeasance and penalty

fees. Rarely was serious consideration

given to substantial prepayments

resulting from distressed sales. Investors

Three Columbus Circle

Photograph credit: Benjamin Polen

Figure 1:


– 2 –

PREDICTING CMBS PREPAYMENTS AND DEFAULTS SPRING 2012

in today’s CMBS market need to pay careful

attention to default and prepayment risks

and their impact influence on total returns.1

Default risk stems from loan losses,

ultimately correlated with a borrower’s

ability to refinance a loan, the causes

of which are property specific. Recent

property income information can be used

to re-underwrite a loan from a lender’s

perspective and determine refinancing

proceeds. If expected refinancing proceeds

are less than the loan exposure, CMBS

investors face default risk.

In CMBS, nonperforming mortgages

are sent into “special servicing,” where a

special servicer (predesignated at CMBS

issuance) decides whether to engage in

a workout, sell a nonperforming note or

foreclose (leading to REO). Each of these

decisions will have a different effect on

CMBS investors. Understanding special

servicer decisions and the resulting impact

on CMBS is key for investor underwriting.

For example, a note sale results in an

unexpected cash inflow, but the servicer

is obliged to distribute cash according to

the structured formula. This was the case at

Three Columbus Circle, as detailed in the

next section of this paper, when the loan

sale resulted in a prepayment. Another

option for a special servicer is a workout or

modification. One modification technique

that has been used frequently is a loan

extension on the same terms, such as a one,

two or three years. While a loan extension

can help keep a borrower current, it does

so at the continued risk to CMBS investors.

Principal payments, including

prepayments resulting from an REO or

loan sale, flow first to a senior bond. Cash

proceeds resulting from a loan or property

sale are distributed to the CMBS tranches

that are first in line to receive principal

payments. In the event of a significant

principal prepayment, this can have a

Figure 2:

WBCMT-C23 Senior Bond Prices via Bloomberg Data History (BDH)

material effect on the bond price and yield. For investors who bought into three to five

year bonds with a perception of an AAA safe and steady yield, receiving a large principal

prepayment could shorten the average life down to one to three years. This reduces both

yield and total return.

How a NYC Office Loan Impacts CMBS

In New York, the $250 million securitized loan on Three Columbus Circle (aka 1775

Broadway, the former Newsweek building) and its sponsor, Joe Moinian, is familiar to many

real estate professionals. The Three Columbus Circle loan was securitized into WBCMT 2006-

C23. The building, shown in Figure 1, underwent an extensive renovation and repositioning

process, which resulted in a low occupancy of 68% as tenants left during the disruptions.

The mortgage was sold to the Related Companies by special servicer CW Capital, resulting

in a large $250 million prepayment to senior CMBS investors. (SL Green later partnered

with Moinian in a recapitalization and paid off the Related-owned mortgage.) While junior

CMBS investors were protected from a loss, senior bondholders saw the market price of

their bonds drop as a result of the reduction in interest cashflows. This effect is illustrated in

Figure 2. The repayment and the impact on senior bondholders could have been predicted

through an understanding of structured finance and the CMBS issuance.

The CMBS loan on Three Columbus Circle, originated in 2006, was structured with a

four-year, interest-only period and a scheduled amortization period starting in February

2010. This amortization increased debt service by 20%, from $14.4 million to $17.4 million.

According to press reports, when Moinian was unable to refinance the building, he hoped

to negotiate an extension of the interest-only period. In order to do so under CMBS

structure, it was necessary to deliberately skip loan payments in order to transfer the loan

into special servicing. Unlike bank lending, a CMBS borrower cannot rely on a transactional

1 These risks are formally known as constant default rate (CDR) and conditional prepayment rate (CPR).


– 3 –

relationship or goodwill in a workout. In this instance, the missed payments triggered a

material default of the loan.

A loan modification is generally employed when there are few other palatable alternatives,

including a lack of interested buyers and the inability to refinance. Given market reports

about the borrower’s various failed attempts to refinance the loan, he may have viewed this

as a sign of the market’s lack of appetite for the collateral. A calculated risk of withholding

loan payments to force a modification may have been rational, but perhaps it was the

borrower’s only choice. From the special servicer’s perspective, tasked with maximizing

proceeds to the trust, selling this loan quickly was an easy choice to make. To date, 2006

vintage CMBS deals have had the second highest losses (Figure 3).

The ability to identify likely loan resolution outcomes is the first step to estimating the

impact on CMBS. For example, an analysis of the distressed loan on Three Columbus Circle

could reasonably determine sufficient demand for the first mortgage loan, based on the

property’s location, size and loan to value (LTV) ratio. With a loan balance of $250 million,

this represented a collateralization of $404 loan/square foot. Even with additional required

redevelopment costs, this opportunity is a compelling deal, given the property’s frontage

on 57th Street and its proximity to Columbus Circle. It is therefore a reasonable possibility

that the special servicer could sell the loan at or near its par value of $250 million.

The next step is in understanding the impact of a $250 million prepayment would have

on the CMBS trust. In The Handbook of Mortgage Backed Securities, Jacob, Manzi,

and Fabozzi wrote, “For large loan pools, CMBS investors should identify the loans that

influence a given bond the most and then develop plausible prepayment scenarios to reveal

the bond’s performance activity.”2 At Three

Columbus Circle, plausible prepayment

scenarios would certainly include the

payment of the full $250 million amount.

What if the special servicer had extended

the loan? CMBS bondholders will have

different viewpoints depending on the

tranche owned. Distressed real estate

loans held inside a CMBS conduit may be

resolved in several ways by the special

servicer, including an outright sale of the

loan or foreclosure and sale of the real

estate asset.

Besides a sale of the loan (or foreclosed

property), other resolution strategies

include a modification of loan terms,

an extension of balloon payment or

receivership. Each will have a different

impact on bondholders. In this case, a loan

extension would have helped the senior

A-PB tranche, which would not have taken

such a large prepayment and subsequent

hit on its market price (Figure 2).

Exploring CMBS Risk

Real estate professionals can use

their market knowledge to estimate the

likelihood of prepayments and losses on

CMBS conduits. For example, applying

market cap rates to property income will

derive a property value. A loan amount,

based on 65% loan-to-value ratio, can

then be backed out of the property value.

Alternatively, one could apply a required

debt service coverage ratio and interest

rate to determine the property’s ability to

support a refinancing.

When refinancing proceeds are less than

the loan balance, loss and prepayment

estimates are applied to their corresponding

junior and senior tranches. Near-term

(within 12 months) prepayments and losses

are most likely to immediately occur from

the sale of properties or delinquent loans

2 Handbook of Mortgage Backed Securities, Chapter 50, “The Impact of Structuring on CMBS Bond Class Performance” by David P. Jacob, James M. Manzi and Frank J. Fabozzi.

Figure 3:

Cumulative CMBS Losses by Vintage (Bloomberg)



– 4 –

controlled by the special servicer (as was

the case with Three Columbus Circle).

Fortunately, it is possible for investors

to access the information maintained

by special servicers that describes both

delinquent loans and foreclosed properties,

also known as the previously mentioned

REO.

REO Generates High Prepayment Risk

REO assets are destined to be sold by

the special servicer, most likely in the near

term. While it is true that a special servicer

may hire a management company to lease

a REO property and attempt to increase

the property value, this strategy can take

more than a year to implement. Thus, REO

properties provide the highest likelihood

for prepayment. According to the special

servicer’s reports on WBCMT 2006-C23,

there are eight REO loans with a total

principal balance of $87.7 million and a

total loan exposure of $98.6 million.3

The special servicer estimates REO

sales at 90% of the most recent value,

which would result in a prepayment of

$57.8 million (Figure 4). As a result, there

is a total potential loss risk estimated at

$40.8 million (Table 1), representing the

shortfall between sale proceeds and total

loan exposure. The $57.8 million of cash

flow would go to the senior tranches and

repay servicer advances. Considering the

current balance of the senior A-PB tranche

is $66.4 million, this prepayment would pay

down 87% of that bond’s principal balance

(Figure 6). Senior bond investors would

suffer from high principal repayments and

risk an inability to replace those yields in

current markets. The losses of $40.8 million

3 The total exposure balance reflected in the loss estimates includes advances made by the special servicer. These advances include principal and interest, along with property management and loan sale expenses. Since proceeds from a loan sale are first used to repay servicer advances before paying down bond classes, a long, drawn out and expensive loan battle can hurt recoveries to both junior and senior investors. In WBCMT 2006-C23, the REO loans have a total of $10.9 million in servicer advances.

Figure 4:

WBCMT 2006-C23 REO & Potential Losses based on Special Servicer Estimates as of September 2011 (Special Servicer Report)

REO could result in a $57.8 million prepayment to senior tranches, and write down the junior tranches with $40.8 million in losses.

Table 1:

WBCMT 2006-C23 loss & prepayment risk from delinquent and REO loans as of September 2011

REO $40,811,082 $57,775,500

Delinquent $53,751,743 $112,197,899

Total $94,562,824 $169,973,399

Loan Status Loss Risk Prepayment

0 to

.24

$34,

588,

791

$543

,958

$34,

864,

221

7

.25

to .4

9$2

7,55

4,22

9$3

,584

,132

$23,

970,

097

3

.50

to .7

4$2

79,9

96,4

85$3

2,94

7,21

8$2

47,0

49,2

679

.75

to .9

9$4

04,1

15,4

53$7

8,86

4,31

5$3

25,2

51,1

3825

Tota

l$7

46,2

54,9

58$1

15,9

39,6

23$6

31,1

34,7

2444

Rep

ort

ed D

SCR

Loan

Bal

ance

Est

. Pre

pay

men

tE

st. L

oss

Loan

s

Rank Loan Name Deal Target Bond State PropertyType

Current TrustBalance

Recent Value Value Date Loss Risk

1 Montclair Plaza(2) WBCMT 2006-C28 A2 CA Retail $190,000,000 $153,000,000 2/3/2011 ($37,000,000)2 DRA-CRT Portfolio I JPMCC 2005-CB13 A2FL Various Office $180,900,000 $112,640,000 n/a ($68,260,000)3 Ariel Preferred Retail Portfolio GSMS 2006-GG8 A2 Various Retail $90,009,189 $65,650,000 n/a ($24,359,189)4 Moreno Valley Mall CGCMT 2007-C6 A1 CA Retail $84,565,377 $42,700,000 10/17/2011 ($41,865,377)5 FRI Portfolio BACM 2005-3 A2 Various Office $70,000,000 $37,825,000 8/19/2011 ($32,175,000)6 Highland Mall JPMCC 2002-CIB4 A3 TX Retail $61,104,416 $128,000,000 6/1/2001 n/a7 Windsor/RECP Hotel Portfolio GCCFC 2005-GG5 A2 CA Hotel $53,783,787 $50,400,000 12/16/2010 ($3,383,787)8 55 Park Place BACM 2006-4 A3A GA Office $51,303,123 $42,000,000 5/20/2011 ($9,303,123)9 Four Seasons Nevis WBCMT 2007-WHL8 A1 Various Hotel $51,000,000 $110,000,000 9/27/2010 n/a

10 Tower Place 200 GSMS 2006-GG8 A2 GA Office $50,500,000 $27,050,000 6/1/2011 ($23,450,000)

WBCMT 2006-C28 $318,034,342 1

JPMCC 2005-CB13 $180,900,000 2

GSMS 2006-GG8 $179,805,189 3

CWCI 2006-C1 $110,753,000 4

GCCFC 2005-GG5 $107,753,000 5

BACM 2005-3 $96,500,000 6

CSFB 2001-CKN5 $89,930,399 7

CGCMT 2007-C6 $87,702,073 8

BACM 2006-4 $74,127,123 9

GSMS 2005-GG4 $71,022,826 10

Deal Name REO LoanBalance

Ranking

WBCMT 2006-C28 ($72,044,342) 1

JPMCC 2005-CB13 ($68,260,000) 2

GSMS 2006-GG8 ($65,405,189) 3

CWCI 2006-C1 ($56,030,399) 4

GCCFC 2005-GG5 ($43,027,073) 5

BACM 2005-3 ($38,785,404) 6

CSFB 2001-CKN5 ($37,875,000) 7

CGCMT 2007-C6 ($22,703,000) 8

BACM 2006-4 ($22,701,636) 9

GSMS 2005-GG4 ($19,763,991) 10

Deal Name Loss Risk Ranking




1 Trinity Hotel Portfolio BACM 2006-5 A2 Various Hotel $127,777,001 $113,120,000 1/13/11 ($14,657,001)2 The Shore Club JPMCC 2005-CB13 A2FL FL Hotel $107,030,785 $91,500,000 12/14/10 ($15,530,785)3 Continental Plaza JPMCC 2004-CBX A5 NJ Office $88,000,000 $50,300,000 12/20/10 ($37,700,000)4 DDR/Macquarie Mervyn’s Portfolio GMACC 2006-C1 A3 Various Retail $70,988,785 $397,650,000 7/1/05 n/a5 717 North Harwood Street CSMC 2007-C1 A1A TX Office $64,000,000 $35,000,000 3/24/10 ($29,000,000)6 Investcorp Porfolio JPMCC 2005-CB13 A2FL PA Industrial $56,100,000 $46,850,000 n/a ($9,250,000)7 Fairmont Sonoma Mission Inn & Spa BACM 2006-1 A2 CA Hotel $55,000,000 $85,100,000 1/19/11 n/a8 Novo Nordisk Headquarters CGCMT 2005-C3 A2 NJ Office $49,058,499 $32,200,000 3/1/11 ($16,858,499)9 Birtcher/Charlesbank Office Portfolio GCCFC 2005-GG3 A2 CA Office $45,371,159 $39,300,000 n/a ($6,071,159)

10 Four Falls GSMS 2005-GG4 A2 PA Office $42,200,000 $40,000,000 4/7/11 ($2,200,000)

JPMCC 2005-CB13 $167,946,611

BACM 2006-5 $127,777,001

JPMCC 2004-CBX $88,000,000

GSMS 2005-GG4 $83,125,000

GMACC 2006-C1 $70,988,785

GCCFC 2005-GG3 $67,727,758

CSMC 2007-C1 $64,000,000

LBFRC 2006-LLFA $57,361,673

BACM 2006-1 $55,000,000

BACM 2005-3 $50,923,880

Deal Name Foreclosure Loan Balance



– 5 –

Figure 5:

WBCMT 2006-C23 Potential Losses from Delinquent Loans based on Special Servicer Estimates as of September 2011. (Special Servicer Report & author’s analysis)

Delinquent loans could result in a $112 million prepayment to senior tranches and a write down of the junior tranches with $53.8 million in losses. (Note: Two loans are not expected to have losses.)

would write down the balance of the junior

tranches, wiping out the entire balance of

the most junior S tranche (Figure 7).

Applying this analysis to the CMBS

universe, a review of the ten largest REO

loans shows the CMBS deals and their

corresponding risk exposure (Table 2). The

REO with the largest loan balance is a mall

in California, built in 1968. The CMBS trust

has $190 million in loan exposure, but the

special servicer estimates the property

valued at $153 million, a $37 million deficit

to the loan balance. However, a portfolio of

Southeast office buildings has the greatest

loss risk of REO loans, with $68.3 million in

loss exposure on a $180.9 million loan that

is valued at only $112.64 million. Investors

in those CMBS deals should be cognizant

of the prepayment and default risk at hand.

The CMBS deals associated with those loans

have some of the highest REO loan balances

and REO loss risk exposures (Tables 3 and

4). The prepayment risk to specific CMBS

bonds is noted in these tables. The largest

REO loan balance, the California mall,

would prepay the A2 bond of the WBCMT

2006-C28 issuance. The REO loan with

the greatest risk loss, the Southeast office

portfolio, would prepay JPMCC 2005-CB13

A2FL. The Bloomberg CMBS tool makes

it easy to identify prepayment risk up the

collateral chain, from loan to CMBS deal.

Delinquent Loans Are Troublesome, Special Servicer Options

The next, or even equally risky basket of

REO $40,811,082 $57,775,500

Delinquent $53,751,743 $112,197,899

Total $94,562,824 $169,973,399


0 to

.24

$34,

588,

791

$543

,958

$34,

864,

221

7

.25

to .4

9$2

7,55

4,22

9$3

,584

,132

$23,

970,

097

3

.50

to .7

4$2

79,9

96,4

85$3

2,94

7,21

8$2

47,0

49,2

679

.75

to .9

9$4

04,1

15,4

53$7

8,86

4,31

5$3

25,2

51,1

3825

Tota

l$7

46,2

54,9

58$1

15,9

39,6

23$6

31,1

34,7

2444

Rep

ort

ed D

SCR

Loan

Bal

ance

Est

. Pre

pay

men

tE

st. L

oss

Loan

sRank Loan Name Deal Target Bond State Property

TypeCurrent Trust

BalanceRecent Value Value Date Loss Risk

1 Montclair Plaza(2) WBCMT 2006-C28 A2 CA Retail $190,000,000 $153,000,000 2/3/2011 ($37,000,000)2 DRA-CRT Portfolio I JPMCC 2005-CB13 A2FL Various Office $180,900,000 $112,640,000 n/a ($68,260,000)3 Ariel Preferred Retail Portfolio GSMS 2006-GG8 A2 Various Retail $90,009,189 $65,650,000 n/a ($24,359,189)4 Moreno Valley Mall CGCMT 2007-C6 A1 CA Retail $84,565,377 $42,700,000 10/17/2011 ($41,865,377)5 FRI Portfolio BACM 2005-3 A2 Various Office $70,000,000 $37,825,000 8/19/2011 ($32,175,000)6 Highland Mall JPMCC 2002-CIB4 A3 TX Retail $61,104,416 $128,000,000 6/1/2001 n/a7 Windsor/RECP Hotel Portfolio GCCFC 2005-GG5 A2 CA Hotel $53,783,787 $50,400,000 12/16/2010 ($3,383,787)8 55 Park Place BACM 2006-4 A3A GA Office $51,303,123 $42,000,000 5/20/2011 ($9,303,123)9 Four Seasons Nevis WBCMT 2007-WHL8 A1 Various Hotel $51,000,000 $110,000,000 9/27/2010 n/a10 Tower Place 200 GSMS 2006-GG8 A2 GA Office $50,500,000 $27,050,000 6/1/2011 ($23,450,000)

WBCMT 2006-C28 $318,034,342 1

JPMCC 2005-CB13 $180,900,000 2

GSMS 2006-GG8 $179,805,189 3

CWCI 2006-C1 $110,753,000 4

GCCFC 2005-GG5 $107,753,000 5

BACM 2005-3 $96,500,000 6

CSFB 2001-CKN5 $89,930,399 7

CGCMT 2007-C6 $87,702,073 8

BACM 2006-4 $74,127,123 9

GSMS 2005-GG4 $71,022,826 10


Ranking

WBCMT 2006-C28 ($72,044,342) 1

JPMCC 2005-CB13 ($68,260,000) 2

GSMS 2006-GG8 ($65,405,189) 3

CWCI 2006-C1 ($56,030,399) 4

GCCFC 2005-GG5 ($43,027,073) 5

BACM 2005-3 ($38,785,404) 6

CSFB 2001-CKN5 ($37,875,000) 7

CGCMT 2007-C6 ($22,703,000) 8

BACM 2006-4 ($22,701,636) 9

GSMS 2005-GG4 ($19,763,991) 10





1 Trinity Hotel Portfolio BACM 2006-5 A2 Various Hotel $127,777,001 $113,120,000 1/13/11 ($14,657,001)2 The Shore Club JPMCC 2005-CB13 A2FL FL Hotel $107,030,785 $91,500,000 12/14/10 ($15,530,785)3 Continental Plaza JPMCC 2004-CBX A5 NJ Office $88,000,000 $50,300,000 12/20/10 ($37,700,000)4 DDR/Macquarie Mervyn’s Portfolio GMACC 2006-C1 A3 Various Retail $70,988,785 $397,650,000 7/1/05 n/a5 717 North Harwood Street CSMC 2007-C1 A1A TX Office $64,000,000 $35,000,000 3/24/10 ($29,000,000)6 Investcorp Porfolio JPMCC 2005-CB13 A2FL PA Industrial $56,100,000 $46,850,000 n/a ($9,250,000)7 Fairmont Sonoma Mission Inn & Spa BACM 2006-1 A2 CA Hotel $55,000,000 $85,100,000 1/19/11 n/a8 Novo Nordisk Headquarters CGCMT 2005-C3 A2 NJ Office $49,058,499 $32,200,000 3/1/11 ($16,858,499)9 Birtcher/Charlesbank Office Portfolio GCCFC 2005-GG3 A2 CA Office $45,371,159 $39,300,000 n/a ($6,071,159)10 Four Falls GSMS 2005-GG4 A2 PA Office $42,200,000 $40,000,000 4/7/11 ($2,200,000)

JPMCC 2005-CB13 $167,946,611

BACM 2006-5 $127,777,001

JPMCC 2004-CBX $88,000,000

GSMS 2005-GG4 $83,125,000

GMACC 2006-C1 $70,988,785

GCCFC 2005-GG3 $67,727,758

CSMC 2007-C1 $64,000,000

LBFRC 2006-LLFA $57,361,673

BACM 2006-1 $55,000,000

BACM 2005-3 $50,923,880


Table 2:



– 6 –

estimates described herein.

Both REO and delinquent loans also

present a serious prepayment risk for senior

tranches. If these loans were prepaid within

the next 12 months, it would completely

prepay the A-PB class and also prepay a

portion of the A-4 tranche, which are the

next level of senior bonds. Investors who had

recently purchased these bonds expecting

stable yield would be disappointed with the

quick return of their principal and a lack of

interest income.

Investor Identification & Analysis of Distressed CMBS Loans

After REO and delinquent loans, an

investor can identify other problem CMBS

loans. The next most immediate concern

is from other troubled loans that are likely

to be classified as delinquent or perhaps

transferred to the special servicer through

foreclosure. A quick and helpful way to

determine which loans fall into this category

is by looking at the debt service coverage

ratio of the loan. For the WBCMT 2006-

C23 securitization, there are 44 loans with a

debt-service coverage ratio (DSCR) of 1.00

or less.5 These loans have a current balance

of $746.3 million. There are 10 loans with

a DSCR under 0.50 and with a cumulative

loan balance of $62.1 million (Table 5).

CMBS loans in foreclosure represent

significant prepayment and default risk

to investors (Tables 6 and 7). The top ten

largest loans in foreclosure represent $130

million in loss risk and uncertainty to their

CMBS bondholders. If these losses are fully

realized, it would generate a 19.5% loss on

the $663 million in loan exposure.

Once risky loans are identified, how does

one evaluate them and assess potential

losses or prepayments? Moody’s CMBS

standards re-underwrite existing CMBS in

Table 5:

WBCMT 2006-C23 loans with debt service coverage under 1.0 as of September 2011

Potential losses and prepayments are estimated using Moody’s methodology

RE

O$40,811,082

$57,775,500

Delinq

uent$53,751,743

$112,197,899

Total

$94,562,824$169,973,399

Loan Status

Loss R

iskP

repaym

ent

0 to .24 $34,588,791 $543,958 $34,864,221 7

.25 to .49 $27,554,229 $3,584,132 $23,970,097 3

.50 to .74 $279,996,485 $32,947,218 $247,049,267 9

.75 to .99 $404,115,453 $78,864,315 $325,251,138 25

Total $746,254,958 $115,939,623 $631,134,724 44

Reported DSCR Loan Balance Est. Prepayment Est. Loss Loans

Rank

Loan N

ame

Deal

Target B

ond

StateP

rop

ertyTyp

eC

urrent TrustB

alanceR

ecent Value

Value D

ateLo

ss Risk

1M

ontclair P

laza(2)W

BC

MT 2006-C

28A

2C

AR

etail$190,000,000

$153,000,0002/3/2011

($37,000,000)2

DR

A-C

RT P

ortfo

lio I

JPM

CC

2005-CB

13A

2FLVario

usO

ffice$180,900,000

$112,640,000n/a

($68,260,000)3

Ariel P

referred R

etail Po

rtfolio

GSM

S 2006-GG

8A

2Vario

usR

etail$90,009,189

$65,650,000n/a

($24,359,189)4

Mo

reno Valley M

allC

GC

MT 2007-C

6A

1C

AR

etail$84,565,377

$42,700,00010/17/2011

($41,865,377)5

FRI P

ortfo

lioB

AC

M 2005-3

A2

Various

Office

$70,000,000$37,825,000

8/19/2011($32,175,000)

6H

ighland

Mall

JPM

CC

2002-CIB

4A

3TX

Retail

$61,104,416$128,000,000

6/1/2001n/a

7W

indso

r/RE

CP

Ho

tel Po

rtfolio

GC

CFC

2005-GG

5A

2C

AH

otel

$53,783,787$50,400,000

12/16/2010($3,383,787)

855 P

ark Place

BA

CM

2006-4A

3AG

AO

ffice$51,303,123

$42,000,0005/20/2011

($9,303,123)9

Four Seaso

ns Nevis

WB

CM

T 2007-WH

L8A

1Vario

usH

otel

$51,000,000$110,000,000

9/27/2010n/a

10To

wer P

lace 200G

SMS 2006-G

G8

A2

GA

Office

$50,500,000$27,050,000

6/1/2011($23,450,000)

WB

CM

T 2006-C28

$318,034,3421

JPM

CC

2005-CB

13$180,900,000

2

GSM

S 2006-GG

8$179,805,189

3

CW

CI 2006-C

1$110,753,000

4

GC

CFC

2005-GG

5$107,753,000

5

BA

CM

2005-3$96,500,000

6

CSFB

2001-CK

N5

$89,930,3997

CG

CM

T 2007-C6

$87,702,0738

BA

CM

2006-4$74,127,123

9

GSM

S 2005-GG

4$71,022,826

10

Deal N

ame

RE

O Lo

anB

alanceR

anking

WB

CM

T 2006-C28

($72,044,342)1

JPM

CC

2005-CB

13($68,260,000)

2

GSM

S 2006-GG

8($65,405,189)

3

CW

CI 2006-C

1($56,030,399)

4

GC

CFC

2005-GG

5($43,027,073)

5

BA

CM

2005-3($38,785,404)

6

CSFB

2001-CK

N5

($37,875,000)7

CG

CM

T 2007-C6

($22,703,000)8

BA

CM

2006-4($22,701,636)

9

GSM

S 2005-GG

4($19,763,991)

10

Deal N

ame

Loss R

iskR

anking

Rank

Loan N

ame

Deal

Target B

ond

StateP

rop

ertyTyp

eC

urrent TrustB

alanceR

ecent Value

Value D

ateLo

ss Risk

1Trinity H

otel P

ortfo

lioB

AC

M 2006-5

A2

Various

Ho

tel$127,777,001

$113,120,0001/13/11

($14,657,001)2

The Shore C

lubJP

MC

C 2005-C

B13

A2FL

FLH

otel

$107,030,785$91,500,000

12/14/10($15,530,785)

3C

ontinental P

lazaJP

MC

C 2004-C

BX

A5

NJ

Office

$88,000,000$50,300,000

12/20/10($37,700,000)

4D

DR

/Macq

uarie Mervyn’s P

ortfo

lioG

MA

CC

2006-C1

A3

Various

Retail

$70,988,785$397,650,000

7/1/05n/a

5717 N

orth H

arwo

od

StreetC

SMC

2007-C1

A1A

TXO

ffice$64,000,000

$35,000,0003/24/10

($29,000,000)6

Investcorp

Po

rfolio

JPM

CC

2005-CB

13A

2FLPA

Industrial

$56,100,000$46,850,000

n/a($9,250,000)

7Fairm

ont So

nom

a Missio

n Inn & Sp

aB

AC

M 2006-1

A2

CA

Ho

tel$55,000,000

$85,100,0001/19/11

n/a8

No

vo N

ord

isk Head

quarters

CG

CM

T 2005-C3

A2

NJ

Office

$49,058,499$32,200,000

3/1/11($16,858,499)

9B

irtcher/Charlesb

ank Office P

ortfo

lioG

CC

FC 2005-G

G3

A2

CA

Office

$45,371,159$39,300,000

n/a($6,071,159)

10Fo

ur FallsG

SMS 2005-G

G4

A2

PAO

ffice$42,200,000

$40,000,0004/7/11

($2,200,000)

JPM

CC

2005-CB

13$167,946,611

BA

CM

2006-5$127,777,001

JPM

CC

2004-CB

X$88,000,000

GSM

S 2005-GG

4$83,125,000

GM

AC

C 2006-C

1$70,988,785

GC

CFC

2005-GG

3$67,727,758

CSM

C 2007-C

1$64,000,000

LBFR

C 2006-LLFA

$57,361,673

BA

CM

2006-1$55,000,000

BA

CM

2005-3$50,923,880

Deal N

ame

Foreclo

sure Loan

Balance

4 The eleven delinquent loans in this deal have a total principal balance of $159.6 million, but when servicer advances are included there is an additional $7.0 million in loan exposure. 5 This excludes the loan on the property at 620 Sixth Avenue, which has been recapitalized, according to press reports.

REO $40,811,082 $57,775,500

Delinquent $53,751,743 $112,197,899

Total $94,562,824 $169,973,399


0 to

.24

$34,

588,

791

$543

,958

$34,

864,

221

7

.25

to .4

9$2

7,55

4,22

9$3

,584

,132

$23,

970,

097

3

.50

to .7

4$2

79,9

96,4

85$3

2,94

7,21

8$2

47,0

49,2

679

.75

to .9

9$4

04,1

15,4

53$7

8,86

4,31

5$3

25,2

51,1

3825

Tota

l$7

46,2

54,9

58$1

15,9

39,6

23$6

31,1

34,7

2444

Rep

ort

ed D

SCR

Loan

Bal

ance

Est

. Pre

pay

men

tE

st. L

oss

Loan

s





WBCMT 2006-C28 $318,034,342 1

JPMCC 2005-CB13 $180,900,000 2

GSMS 2006-GG8 $179,805,189 3

CWCI 2006-C1 $110,753,000 4

GCCFC 2005-GG5 $107,753,000 5

BACM 2005-3 $96,500,000 6

CSFB 2001-CKN5 $89,930,399 7

CGCMT 2007-C6 $87,702,073 8

BACM 2006-4 $74,127,123 9

GSMS 2005-GG4 $71,022,826 10


Ranking

WBCMT 2006-C28 ($72,044,342) 1

JPMCC 2005-CB13 ($68,260,000) 2

GSMS 2006-GG8 ($65,405,189) 3

CWCI 2006-C1 ($56,030,399) 4

GCCFC 2005-GG5 ($43,027,073) 5

BACM 2005-3 ($38,785,404) 6

CSFB 2001-CKN5 ($37,875,000) 7

CGCMT 2007-C6 ($22,703,000) 8

BACM 2006-4 ($22,701,636) 9

GSMS 2005-GG4 ($19,763,991) 10





1 Trinity Hotel Portfolio BACM 2006-5 A2 Various Hotel $127,777,001 $113,120,000 1/13/11 ($14,657,001)2 The Shore Club JPMCC 2005-CB13 A2FL FL Hotel $107,030,785 $91,500,000 12/14/10 ($15,530,785)3 Continental Plaza JPMCC 2004-CBX A5 NJ Office $88,000,000 $50,300,000 12/20/10 ($37,700,000)4 DDR/Macquarie Mervyn’s Portfolio GMACC 2006-C1 A3 Various Retail $70,988,785 $397,650,000 7/1/05 n/a5 717 North Harwood Street CSMC 2007-C1 A1A TX Office $64,000,000 $35,000,000 3/24/10 ($29,000,000)6 Investcorp Porfolio JPMCC 2005-CB13 A2FL PA Industrial $56,100,000 $46,850,000 n/a ($9,250,000)7 Fairmont Sonoma Mission Inn & Spa BACM 2006-1 A2 CA Hotel $55,000,000 $85,100,000 1/19/11 n/a8 Novo Nordisk Headquarters CGCMT 2005-C3 A2 NJ Office $49,058,499 $32,200,000 3/1/11 ($16,858,499)9 Birtcher/Charlesbank Office Portfolio GCCFC 2005-GG3 A2 CA Office $45,371,159 $39,300,000 n/a ($6,071,159)

10 Four Falls GSMS 2005-GG4 A2 PA Office $42,200,000 $40,000,000 4/7/11 ($2,200,000)

JPMCC 2005-CB13 $167,946,611

BACM 2006-5 $127,777,001

JPMCC 2004-CBX $88,000,000

GSMS 2005-GG4 $83,125,000

GMACC 2006-C1 $70,988,785

GCCFC 2005-GG3 $67,727,758

CSMC 2007-C1 $64,000,000

LBFRC 2006-LLFA $57,361,673

BACM 2006-1 $55,000,000

BACM 2005-3 $50,923,880


Table 4:

CMBS deals with largest REO loss risk

Loss Risk is the REO Loan Balance subtracted from Most Recent Property Value

loans in CMBS and WBCMT 2006-C23 are known as delinquent loans. The special servicer

has discretion to choose a resolution of delinquent loans and may choose to sell a loan

(resulting in prepayment), foreclose on the property (leading to REO) or modify the loan (by

extending a balloon payment or scheduled amortization, for example). A loan modification

typically results in the loan being transferred out of special servicing and reducing the near

term prepayment risk.

The loan on Three Columbus Circle loan was categorized as delinquent until it was

sold (in defiance of the borrower’s requested workout). WBCMT 2006-C23 currently has

eleven delinquent loans which represent $166.6 million in loan exposure.4 Unfortunately

for bondholders, the properties are valued at $133.1 million, a deficit to their loan balances

(Figure 5). However, since the balances are allocated on an individual loan basis, two of

the properties are valued greater than their loan exposure. Those deals still have equity

and a chance of refinancing. The special servicer estimates a sale price at 90% of value.

A payment of 90% of the approximate value of $133.1 million would first repay servicer

advances of $7.0 million and then be applied towards principal repayment of $112.2 million.

In total, the delinquent loans could result in a $53.8 million loss, which would write down

the junior tranches. By analyzing the REO and delinquent loans, it is possible to estimate

a total prepayment risk of nearly $170 million and potential losses to junior tranches of

$94.6 million (Table 1, Figure 7). A write down of $94.6 million to junior tranches would

completely wipe out the S, Q, P, O, and N tranches, and 93% of the M tranche. Holders of

those tranches would benefit if these loans were extended or if recoveries exceeded the

REO $40,811,082 $57,775,500

Delinquent $53,751,743 $112,197,899

Total $94,562,824 $169,973,399


0 to

.24

$34,

588,

791

$543

,958

$34,

864,

221

7

.25

to .4

9$2

7,55

4,22

9$3

,584

,132

$23,

970,

097

3

.50

to .7

4$2

79,9

96,4

85$3

2,94

7,21

8$2

47,0

49,2

679

.75

to .9

9$4

04,1

15,4

53$7

8,86

4,31

5$3

25,2

51,1

3825

Tota

l$7

46,2

54,9

58$1

15,9

39,6

23$6

31,1

34,7

2444

Rep

ort

ed D

SCR

Loan

Bal

ance

Est

. Pre

pay

men

tE

st. L

oss

Loan

s





WBCMT 2006-C28 $318,034,342 1

JPMCC 2005-CB13 $180,900,000 2

GSMS 2006-GG8 $179,805,189 3

CWCI 2006-C1 $110,753,000 4

GCCFC 2005-GG5 $107,753,000 5

BACM 2005-3 $96,500,000 6

CSFB 2001-CKN5 $89,930,399 7

CGCMT 2007-C6 $87,702,073 8

BACM 2006-4 $74,127,123 9

GSMS 2005-GG4 $71,022,826 10


Ranking

WBCMT 2006-C28 ($72,044,342) 1

JPMCC 2005-CB13 ($68,260,000) 2

GSMS 2006-GG8 ($65,405,189) 3

CWCI 2006-C1 ($56,030,399) 4

GCCFC 2005-GG5 ($43,027,073) 5

BACM 2005-3 ($38,785,404) 6

CSFB 2001-CKN5 ($37,875,000) 7

CGCMT 2007-C6 ($22,703,000) 8

BACM 2006-4 ($22,701,636) 9

GSMS 2005-GG4 ($19,763,991) 10






JPMCC 2005-CB13 $167,946,611

BACM 2006-5 $127,777,001

JPMCC 2004-CBX $88,000,000

GSMS 2005-GG4 $83,125,000

GMACC 2006-C1 $70,988,785

GCCFC 2005-GG3 $67,727,758

CSMC 2007-C1 $64,000,000

LBFRC 2006-LLFA $57,361,673

BACM 2006-1 $55,000,000

BACM 2005-3 $50,923,880


Table 3:

CMBS deals with largest REO balance



– 7 –

REO $40,811,082 $57,775,500

Delinquent $53,751,743 $112,197,899

Total $94,562,824 $169,973,399


0 to

.24

$34,

588,

791

$543

,958

$34,

864,

221

7

.25

to .4

9$2

7,55

4,22

9$3

,584

,132

$23,

970,

097

3

.50

to .7

4$2

79,9

96,4

85$3

2,94

7,21

8$2

47,0

49,2

679

.75

to .9

9$4

04,1

15,4

53$7

8,86

4,31

5$3

25,2

51,1

3825

Tota

l$7

46,2

54,9

58$1

15,9

39,6

23$6

31,1

34,7

2444

Rep

ort

ed D

SCR

Loan

Bal

ance

Est

. Pre

pay

men

tE

st. L

oss

Loan

s





WBCMT 2006-C28 $318,034,342 1

JPMCC 2005-CB13 $180,900,000 2

GSMS 2006-GG8 $179,805,189 3

CWCI 2006-C1 $110,753,000 4

GCCFC 2005-GG5 $107,753,000 5

BACM 2005-3 $96,500,000 6

CSFB 2001-CKN5 $89,930,399 7

CGCMT 2007-C6 $87,702,073 8

BACM 2006-4 $74,127,123 9

GSMS 2005-GG4 $71,022,826 10


Ranking

WBCMT 2006-C28 ($72,044,342) 1

JPMCC 2005-CB13 ($68,260,000) 2

GSMS 2006-GG8 ($65,405,189) 3

CWCI 2006-C1 ($56,030,399) 4

GCCFC 2005-GG5 ($43,027,073) 5

BACM 2005-3 ($38,785,404) 6

CSFB 2001-CKN5 ($37,875,000) 7

CGCMT 2007-C6 ($22,703,000) 8

BACM 2006-4 ($22,701,636) 9

GSMS 2005-GG4 ($19,763,991) 10






JPMCC 2005-CB13 $167,946,611

BACM 2006-5 $127,777,001

JPMCC 2004-CBX $88,000,000

GSMS 2005-GG4 $83,125,000

GMACC 2006-C1 $70,988,785

GCCFC 2005-GG3 $67,727,758

CSMC 2007-C1 $64,000,000

LBFRC 2006-LLFA $57,361,673

BACM 2006-1 $55,000,000

BACM 2005-3 $50,923,880


Table 6:

Largest loans in foreclosure and loss risk

an effort to estimate the ability of immediate

refinancing proceeds to payoff the existing

loan balances.6 If these estimated loan

proceeds are less than the loan balance,

then a loss to the CMBS trust is expected.

If the loan proceeds are greater than the

loan balance, then there would not be a

loss to trust. Moody’s stated method works

backwards from current NOI and uses the

lesser amount of proceeds resulting from

either a DSCR of 1.25 (1.50 for hotels) or an

LTV of 65% (75% for hotels) test.7 Under this

method, an office property with $5 million

in NOI would qualify for a $43.2 million

refinancing using the LTV approach (with $4

million in debt service).8

Applying Moody’s methodology to the

44 loans in WBCMT 2006-C23 with DSCRs

below 1.0 results in an estimated loss of

$631.1 million. This extreme loss would

wipe out all of the $524 million junior

tranches that provide credit support for

the deal, and the A-J tranche would take

a $107 million loss (Figure 7). In addition,

senior bonds would take in $116 million in

prepayments, further eroding the yield and

value of senior bonds.

While the Moody’s loan analysis seems

to err on conservative side by applying

Figure 6:

Visualization of WBCMT 2006-C23 tranchesas of September 2011

Senior tranches (first pay) are at the bottom, junior tranches (first loss) are at the top.

Figure 7:

WBCMT 2006-C23 junior tranchesas of September 2011

Tranches N through S with a total balance of $75 million would be wiped out if the REO and delinquent loans took the $94.6 million losses explained herein. Tranche M would lose 93% of its value.

6 Published by Moody’s in US CMBS and CRE CDO Surveillance Review Q2 2010 (August 19, 2010). 7 Moody’s uses an interest-only loan originated at a 9.25% interest rate, while the LTV approach uses an 8.0% cap rate. DSCR Proceeds = (NOI/DSCR)/9.25%. LTV Proceeds = (NOI/8.0%) * LTV.8 The proceeds of $43,243,243 obtained by the DSCR method are less than $46,875,00 obtained using a 8.0% cap rate and 75% LTV.



– 8 –

Bibliography

“CTSLink,” CTSLink. N.p., n.d. Web. http://www.ctslink.com.

“Find a Securitization,” CMBS.com - Providing Standardized Tools for the CMBS Industry. N.p., n.d. Web. http://www.cmbs.com/searchresults.aspx?showall=1.

Jacob, David P., Manzi, James M. and Fabozzi, Frank J., Handbook of Mortgage Backed Securities, Chapter 50, “The Impact of Structuring on CMBS Bond Class Performance.”

“Moinian misses payments on 1775 B’way .” Crain’s New York Business, June 2, 2010:http://www.crainsnewyork.com/article/20100602/REAL_ESTATE/100609962.

“Moinian misses payment on third property .” Crain’s New York Business, November 11, 2009: http://www.crainsnewyork.com/article/20091113/FREE/911139985.

“Securitization,” CMBS.com - Providing Standardized Tools for the CMBS Industry. N.p., n.d. Web. http://www.cmbs.com/securitization.aspx?dealsecuritizationid=1399.

“Tussle over 1775 Broadway goes down to wire .” Crain’s New York Business, December 6, 2010: http://www.crainsnewyork.com/article/20101206/REAL_ESTATE/101209910.

“US CMBS and CRE CDO Surveillance Review Q2 2010,” Moody’s, August 19, 2010.

Baruch College, CUNY137 East 22nd StreetBox C-0120New York, NY 10010

Tel: 646.660.6950 • Fax: 646.660.6951www.baruch.cuny.edu/realestate

Mitchel B. Wallerstein, President, Baruch College

William Newman, Founding Chair

Richard Pergolis, Co-Chair

Jack S. Nyman, Director

Emily Grace, Associate Director of Research

This research report is published by the Steven L. Newman Real Estate Institute, Baruch College, CUNY. The Newman Real Estate Institute gratefully acknowledges the support of the sponsors who make possible our efforts to promote critical thinking on topical issues for the real estate industry. The views expressed in the research report are those of the authors and not necessarily those of Baruch College, City University of New York, or any of its affiliated organizations, foundations, and sponsors. Please address inquiries to Jack S. Nyman, Director, at:

a high interest rate, the derived loan

amount is based on an interest-only loan.

An amortizing loan with the same interest

rate would result in substantially lower

funds available to borrowers. However,

multifamily properties able to obtain

terms competitive with Fannie Mae or

Freddie Mac financing can obtain greater

loan proceeds than Moody’s estimates.

For example, on a loan with multifamily

collateral at 6.5% interest rate and a 25-year

amortization period, loan proceeds would

be 14% greater than Moody’s estimates.

Furthermore, these broad brushstrokes do

not provide a nuanced appraisal specific to

the property.

The loans with DSCRs under 1.0 are

severely troubled, and they very well may

be the next crop of bad loans that the

special servicer will be forced to workout.

To gain a better understanding of possible

outcomes, further analysis of the 44 loans

could include special servicer reports, the

opinions of local brokers and local market

data to assess property conditions. A more

precise outcome could then be estimated

and the prepayment expectations could be

entered into pricing models to understand

the impact on junior and senior CMBS

tranches.

The data shows that special servicers have

been less aggressive in addressing distress

than non-CMBS lenders. According to Real

Capital Analytics (RCA), CMBS distress

increased $7.7 billion through September

2011. In comparison, non-CMBS lenders

have reduced their distress balances by

about the same amount. “The comparison

also highlights the significant differences

between CMBS and non-CMBS lenders

in dealing with roughly the same amount

of distressed commercial property,” RCA

said in a press release. According to RCA,

“Non-CMBS lenders have been more

aggressive at working out problem loans

and have relied far less on modifications or

extensions, which risk becoming problem

loans again.” As a result of the aggressive

workouts, “Non-CMBS lenders also carry

much higher REO balances compared to

CMBS,” the RCA statement concluded.

Conclusion

This article provides a real market example

of how a distressed commercial mortgage

resulted in a significant prepayment to

senior CMBS investors. It also demonstrates

how to analyze CMBS loan data using both

special servicer reports and ratings agency

methodologies to understand the impact

on CMBS tranches.

The techniques described in this white

paper can be applied in numerous insightful

and profitable ways. Investors can compare

different CMBS issuances and tranches

to determine which offer the best value

for purchases on the secondary market.

In addition, current owners of CMBS can

perform a thorough credit analysis on

their portfolios to make hold as well as sell

decisions.■

REO $40,811,082 $57,775,500

Delinquent $53,751,743 $112,197,899

Total $94,562,824 $169,973,399


0 to

.24

$34,

588,

791

$543

,958

$34,

864,

221

7

.25

to .4

9$2

7,55

4,22

9$3

,584

,132

$23,

970,

097

3

.50

to .7

4$2

79,9

96,4

85$3

2,94

7,21

8$2

47,0

49,2

679

.75

to .9

9$4

04,1

15,4

53$7

8,86

4,31

5$3

25,2

51,1

3825

Tota

l$7

46,2

54,9

58$1

15,9

39,6

23$6

31,1

34,7

2444

Rep

ort

ed D

SCR

Loan

Bal

ance

Est

. Pre

pay

men

tE

st. L

oss

Loan

sRank Loan Name Deal Target Bond State Property

TypeCurrent Trust

BalanceRecent Value Value Date Loss Risk


WBCMT 2006-C28 $318,034,342 1

JPMCC 2005-CB13 $180,900,000 2

GSMS 2006-GG8 $179,805,189 3

CWCI 2006-C1 $110,753,000 4

GCCFC 2005-GG5 $107,753,000 5

BACM 2005-3 $96,500,000 6

CSFB 2001-CKN5 $89,930,399 7

CGCMT 2007-C6 $87,702,073 8

BACM 2006-4 $74,127,123 9

GSMS 2005-GG4 $71,022,826 10


Ranking

WBCMT 2006-C28 ($72,044,342) 1

JPMCC 2005-CB13 ($68,260,000) 2

GSMS 2006-GG8 ($65,405,189) 3

CWCI 2006-C1 ($56,030,399) 4

GCCFC 2005-GG5 ($43,027,073) 5

BACM 2005-3 ($38,785,404) 6

CSFB 2001-CKN5 ($37,875,000) 7

CGCMT 2007-C6 ($22,703,000) 8

BACM 2006-4 ($22,701,636) 9

GSMS 2005-GG4 ($19,763,991) 10






JPMCC 2005-CB13 $167,946,611

BACM 2006-5 $127,777,001

JPMCC 2004-CBX $88,000,000

GSMS 2005-GG4 $83,125,000

GMACC 2006-C1 $70,988,785

GCCFC 2005-GG3 $67,727,758

CSMC 2007-C1 $64,000,000

LBFRC 2006-LLFA $57,361,673

BACM 2006-1 $55,000,000

BACM 2005-3 $50,923,880


Table 7:

CMBS deals with largest foreclosure loan balances


Documents

Polen CMBS B Piece