RealPoint CMBS May 2009

8/14/2019 RealPoint CMBS May 2009

1/14


2/14

May 2009

Page 2 of 14

0.461% 0.483% 0.487%0.472%

0.543%0.631%

0.828%

1.025%

1.281%

1.431%

1.664%

2.066%

0.000%

0.500%

1.000%

1.500%

2.000%

2.500%

Percentage

May-08 Jun-08 Jul -08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09

Month

The resultant delinquency ratio for April 2009 surpassed 2.06%, up from 1.66% one month prior. Such adelinquency ratio is now seven times the Realpoint recorded low point of 0.283% from June 2007. Inaddition, the delinquency percentage through April 2009 is over four times the 0.46% reported one-yearprior in April 2008. The increase in both delinquent unpaid balance and delinquency ratio over this timehorizon reflects a steady increase from historic lows in mid-2007.

Forecasted Delinquency by Balance and Percentage Scenario Analysis

Overall, we expect the delinquent unpaid CMBS balance to continue along its current trend and growbetween $20 billion to $30 billion by mid year 2009, with the potential to grow closer to $40 billion beforethe end of 2009. Based upon an updated trend analysis, we expect the delinquency percentage togrow in excess of 4% before year-end 2009 (potentially approaching 5% under heavily stressedscenarios). This outlook is mostly due to the reporting of several large loans from recent vintagetransactions that continue to show signs of stress and default, along with continued balloon maturitydefaults from more seasoned vintage transactions. In addition, while we maintain our negative outlook forboth the retail and hotel sectors for 2009, we are closely monitoring the negative trends surroundingseveral large struggling multifamily loans in the New York MSA that have near-term default risk, and thelack of new issuance to offset the continued increases in delinquent unpaid balance.

Our scenario and trend analysis regarding recent default activity and the potential for future delinquencygrowth has shown the following:

Scenario 1 (Six-Month Historical Assumptions):

Over the past six months, delinquency growth by unpaid balance has averaged roughly $1.96billion per month, while the outstanding universe of CMBS under review has decreased onaverage by $4.05 billion per month from pay-down and liquidation activity.

If such delinquency average were increased by an additional 25% growth rate, and then carriedthrough the end of 2009, the delinquent unpaid balance would top $36 billion and reflect adelinquency percentage slightly above 4.4% by December 2009.


3/14

May 2009

Page 3 of 14

In addition to this growth scenario, if we add-in the potential default of two very large high riskCMBS loans under review by Realpoint (namely the $3 billion Peter Cooper Village / StuyvesantTown loan spread through multiple CMBS deals via a pari passu structure, and the $4.1 billionExtended Stay Hotel loan in the WBC07ESH pool), the delinquent unpaid balance would top$43 billion and reflect a delinquency percentage near 5.5% by December 2009.

Scenario 2 (Three-Month Historical Assumptions):

Over the past three months, delinquency growth by unpaid balance has averaged roughly $2.12billion per month, while the outstanding universe of CMBS under review has decreased onaverage by $4.2 billion per month from pay-down and liquidation activity.

If such delinquency average were again increased by an additional 25% growth rate, and thencarried through the end of 2009, the delinquent unpaid balance would top $38 billion andreflect a delinquency percentage slightly above 4.6% by December 2009.

In addition to this growth scenario, if we again add-in the potential default of the $3 billion PeterCooper Village / Stuyvesant Town loan and the $4.1 billion Extended Stay Hotel loan, thedelinquent unpaid balance would top $45 billion and reflect a delinquency percentageabove 5.7% by December 2009.

Special Servicing Exposure and Other TrendsSpecial servicing exposure has also been on the rise, having increased for the 12

thstraight month

through April 2009. The unpaid balance for specially serviced CMBS increased by $4.22 billion in April2009, up to a trailing 12-month high of $24.52 billion from $20.3 billion in March and $17.11 billion inFebruary. The corresponding percentage of loans in special servicing also increased to 2.95% of allCMBS by unpaid balance in April 2009, up from 2.43% a month prior and only 0.47% in April 2007 and0.65% April 2008. The overall trend of special servicing exposure since January 2005, by both unpaidbalance and percentage, is presented in Charts 3 and 4 below.

Charts 3 and 4 Special Servicing Exposure: Balance vs. Percentage (source: Realpoint)

Special Servicing Exposure by Unpaid Balance ($BB): January 2005 through April 2009

Apr-09, $24.52

Jan-08, $4.53

Jan-09, $14.38

Jan-07, $3.74

Jan-06, $5.57

Jan-05, $8.55

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

$30.00

Jan-05

Apr-05

Jul-0

5

Oct

-05

Jan-06

Apr-0

6

Jul-0

6

Oct

-06

Jan-07

Apr-07

Jul-0

7

Oct

-07

Jan-08

Apr-0

8

Jul-0

8

Oct

-08

Jan-09


4/14

May 2009

Page 4 of 14

Year Issued # of Loans Current Balance

2008 2 38,712,682.61$

2007 62 1,031,113,177.49$

2006 72 1,531,526,479.35$2005 43 524,092,342.68$

2004 36 819,491,843.26$

2003 7 57,860,946.38$

2002 10 115,012,261.34$

2001 19 115,917,398.01$

2000 12 65,416,438.31$

1999 42 164,522,533.36$

1998 6 20,883,501.00$

1997 8 20,310,155.17$

Totals 319 4,504,859,758.96$

Table 2: Monthly Special Servicing Transfers

Apr. 2009

Special Servcing Exposure as % of Outstanding CMBS: January 2005 through April 2009

Apr-09, 2.95%

Jan-09, 1.71%

Jan-08, 0.52%

Jan-07, 0.52%

Jan-06, 1.00%

Jan-05, 1.95%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Jan-05

Apr-05

Jul-0

5

Oct

-05

Jan-06

Apr-0

6

Jul-0

6

Oct

-06

Jan-07

Apr-07

Jul-0

7

Oct

-07

Jan-08

Apr-0

8

Jul-0

8

Oct

-08

Jan-09

Our default risk concerns for the 2005 to 2007 vintagetransactions relative to underlying collateral performanceand payment ability are more evident on a monthly basis.Both the volume and unpaid balance of CMBS loanstransferred to special servicing on a monthly basis

continues to raise questions about underlying creditstability in todays market climate for these deals, asevidenced by table 2.

While new specially serviced loan transfers totaled $4.5billion in April 2009 (compared to the net change in specialservicing of $4.22 billion mentioned previously), anadditional 177 loans at $3.086 billion of such balance wereissued from 2005 through 2007. This figure reflected 69%of the current months transfers and 13% of total specialservicing exposure in April 2009. Furthermore, over 56%

of delinquent unpaid balance through April 2009 came from transactions issued in 2006 and 2007, withover 29% of all delinquency found in 2006-issued transactions. When we extend our review to include

the 2005 vintage, an additional 15.5% of total delinquency is found; thus over 71.5% of CMBSdelinquency comes from 2005 to 2007 vintage transactions. Chart 5 below shows the increaseddelinquent unpaid balance relative to these three vintages over the past six months, clearly reflecting theincreasing trends we have highlighted in recent months.


5/14

May 2009

Page 5 of 14

Chart 5 Monthly Delinquent Unpaid Balance for 2005, 2006 and 2007 Vintage Transactions

$-

$1,000,000,000

$2,000,000,000

$3,000,000,000

$4,000,000,000

$5,000,000,000

$6,000,000,000

Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09

Month

2005 2006 2007

Throughout 2009, we expect to see continued high delinquency by unpaid balance for these threevintages due to aggressive lending practices prevalent in such years. We also expect to see some loansfrom the 2008 vintage to show signs of distress and default in cases where pro-forma underwritingassumptions fail to be realized.

Otherwise, when focusing on deals seasoned for at least one year, our investigation reveals the following: Deals seasoned at least a year have a total unpaid balance of $822.5 billion, with $16.85 billion

delinquent a 2.05% rate (up from only 0.66% six months prior). When agency CMBS deals are removedfrom the equation, deals seasoned at least a year have a

total unpaid balance of $792.8 billion, with $16.84 billion delinquent a 2.12% rate (up from only0.68% six months prior).

Conduit and fusion deals seasoned at least a year have a total unpaid balance of $698.8 billion, with$15.9 billion delinquent a 2.27% rate (up from only 0.73% six months prior).

Other concerns / dynamics within the CMBS deals we are monitoring which may affect the overalldelinquency rate in 2009 include:

Balloon default risk related to upcoming anticipated repayment dates (ARD's) or term maturity from

highly seasoned transactions for both performing and non-performing loans coming due in the next12 months that may be unable to secure adequate refinancing due to current credit marketconditions, lack of financing availabil ity, or further distressed collateral performance.

Refinance and balloon default risk concerns from floating rate transactions, as many large loanssecured by un-stabilized or transitional properties reach their final maturity extensions, or fail to meetdebt service or cash flow covenants necessary to exercise such extensions.

Aggressive pro-forma underwriting on loans with debt service / interest reserve balances that aredeclining more rapidly than originally anticipated.

Further stress on partial-term interest-only loans that begin to amortize during the year that alreadyhave in-place DSCRs hovering around breakeven.


6/14

May 2009

Page 6 of 14

The unpaid balance related to loans underwritten in the past three years with DSCRs between 1.10and 1.25 is very high, and any decline in performance in todays market could cause an inability tomake debt service requirements.

A decline in distressed asset sales or liquidations as traditional avenues for securing new financing isbecoming less available.

Additional stress on both the retail and lodging sectors as consumer spending declines and the U.S.

economy weakens.

Monthly CMBS Loan Workouts and LiquidationsThe growing rate at which liquidated or resolved CMBS credits are replenished by newly delinquent loansremains a concern, especially regarding further growth in the Foreclosure and REO categories (evidenceof additional loan workouts and liquidations on the horizon for 2009 and 2010). Through April 2009,newly reported CMBS delinquency continued to outpace monthly liquidations by a very high ratio, raisingour concerns for further deterioration in the market.

In April 2009, another $65.89 million in CMBS loan workouts and liquidations were reported at an overallaverage loss severity of 31.1% (shown in Table 3), above the 2008 average of 24.9% and the 2006average of 30.2%, but below the 2007 average of 32.8%. We highlight, however, that nine of these loansat $40.99 million experienced a loss severity near or below 1%, most likely related to special servicing

workout fees, while the remaining nine loans at $24.9 million experienced an average loss severity near61% - a clearer reflection of true loss severity. We expect higher these levels of loss severity to be thenorm in 2009 for those loans that experience a term default where cash flow from operations is notsufficient to support in-place debt obligations.

Table 3 Liquidations for April 2009: Material Loss vs. Workout Fees, etc. (source: Realpoint)

Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date

CBAC0601 237 162 02FIXED/VARIABLE Other 376,895.87$ 376,895.87$ 100.0% 4/2/2009

CBAC0601 103 58 05FIXED/VARIABLE Other 130,590.69$ 94,980.62$ 72.7% 4/13/2009

CSF03C04 147 Sprinkle Ridge Apartments Multi-family 1,378,343.41$ 882,679.35$ 64.0% 4/6/2009

CSF04C03 000090 Crown Garden Apartments Multi-family 3,355,164.22$ 879,882.87$ 26.2% 4/11/2009

CSF98C02 161 Best Western - Wright Patterson Hotel 1,607,463.37$ 1,607,463.37$ 100.0% 4/9/2009

FUNB99C4 156 Sunset Cove Apts. Multi-family 525,513.05$ 95,786.98$ 18.2% 4/10/2009

GCC05GG3 122.000 Northpark One Office 3,340,525.15$ 1,804,787.32$ 54.0% 4/6/2009

GCC06GG7 106.000 Commerce Center Retail 5,000,000.00$ 3,499,120.71$ 70.0% 4/1/2009

JPC02CI4 000022 Morgan Hill Technology Park Industrial 9,181,996.31$ 4,175,893.77$ 45.5% 4/7/2009Sub-Totals 24,896,492.07$ 13,417,490.86$ 61.2% Avg Severity

Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date

BACM0001 51447 Dutch Square Center Retail 21,148,454.81$ 220,132.90$ 1.0% 4/3/2009

CMAC99C1 62 Woodside at the Office Center Office 3,246,239.67$ 8,541.39$ 0.3% 4/8/2009

CSF00C01 99-05495 College Park Shopping Center Retail 4,061,200.29$ 39,174.16$ 1.0% 4/2/2009

CSF02CK1 000149 Rose Meadows Apartments Multi-family 299,382.87$ 3,561.70$ 1.2% 4/13/2009

GMAC98C1 000TA2394 Hollowbrook Office Bldgs. Office 2,110,059.32$ 24,560.95$ 1.2% 4/8/2009

GMAC99C1 000GMAC4200 Victorian Squar e Apar tments Multi-family 2,800,660.37$ 30,033.89$ 1.1% 4/1/2009

GMAC99C2 GMAC4720 Pacific Coast Center Retail 3,538,591.37$ 37,687.67$ 1.1% 4/10/2009

LBC98C04 000257 North Grove Plaza Retail 1,283,860.98$ 13,439.54$ 1.0% 4/1/2009

LBC98C04 000163 Kings Bay Plaza Retail 2,505,743.53$ 26,218.83$ 1.0% 4/1/2009

Sub-Totals 40,994,193.21$ 403,351.03$ 1 .0% Avg Severit y

Aggregate Total 65,890,685.28$ 13,820,841.89$ 31.1% Avg Severity

Since January 2005, over $7.75 billion in CMBS liquidations have been realized, while 45 of the last 51months have reported average loss severities below 40%, including 21 below 30%. While average lossseverity increased slightly for the 12 months of 2007 when compared to 2006, monthly loan liquidationsby unpaid balance declined significantly in 2007 when compared to 2006 (by 43% year-over-year).Liquidations in 2007 totaled $1.094 billion at an average severity of 32.8%. Liquidations in 2006 totaled$1.93 billion at an average severity of 30.2%, while 2005 had $3.097 billion in liquidations at an averageseverity of 34.2%.


7/14

May 2009

Page 7 of 14

Table 4 Monthly CMBS Liquidations and Average Loss Severity, January 2008 to April 2009 (source: Realpoint)

Totals Balance Before Loss Loss Amount Avg. Loss %

Apr-09 65,890,685.28$ 13,820,841.89$ 31.1%

Mar-09 157,538,109.76$ 38,348,045.97$ 50.7%

Feb-09 53,881,344.45$ 21,297,774.64$ 23.6%

Jan-09 127,512,771.20$ 42,220,021.31$ 37.1%

Dec-08 119,798,193.52$ 53,191,551.67$ 42.0%

Nov-08 134,819,667.87$ 25,028,932.54$ 27.6%

Oct-08 93,685,039.57$ 8,286,575.46$ 13.5%

Sep-08 78,271,654.89$ 6,971,767.96$ 17.0%

Aug-08 70,664,692.73$ 12,174,288.96$ 20.0%

Jul-08 201,914,661.89$ 56,467,662.03$ 30.4%

Jun-08 158,520,022.07$ 31,146,059.73$ 24.9%

May-08 81,930,650.64$ 19,632,531.51$ 16.5%

Apr-08 115,172,947.71$ 62,227,934.35$ 29.4%

Mar-08 97,384,008.72$ 21,385,223.39$ 19.6%

Feb-08 86,972,409.26$ 19,949,191.89$ 20.3%

Jan-08 58,557,636.99$ 18,181,773.24$ 32.1%

Annual liquidations for 2008 totaled $1.297 billion, at an overall average severity of only 24.9%. Suchaverage was clearly brought downward by the number of loans that experienced a minor loss via workoutfees and / or sales or refinance proceeds being near total exposure. Therefore, to accurately account forsuch, the property type loss severity figures for 2009 presented in tables 5, 6 and 7 below are broken outby loss severity levels.

Table 5 Average Loss Severities by Property Type for 2009: All Liquidated Loans (source: Realpoint)

Prop Type Balance Before Loss Loss Amount Loss % # of Loans

Hotel Average 54,367,436.10$ 9,681,589.45$ 60.8% 3

Industrial Average 14,519,822.10$ 4,230,288.29$ 15.8% 3

Multi-family Average 117,488,556.00$ 60,104,072.91$ 37.5% 43

Office Average 138,385,465.81$ 14,109,665.74$ 20.2% 15

Other Average 812,732.59$ 728,361.51$ 87.2% 4Retail Average 79,248,898.09$ 26,832,705.91$ 36.5% 21

Grand Average 404,822,910.69$ 115,686,683.81$ 36.7% 89

Table 6 Average Loss Severities by Property Type for 2009: Loans with Material Loss Severity Above 2% (source: Realpoint)


Hotel Average 11,380,566.84$ 9,669,504.99$ 91.2% 2

Industrial Average 9,181,996.31$ 4,175,893.77$ 45.5% 1

Multi-family Average 94,507,685.44$ 59,864,291.45$ 53.3% 30

Office Average 19,753,468.72$ 13,210,570.04$ 59.0% 5

Other Average 812,732.59$ 728,361.51$ 87.2% 4

Retail Average 37,778,448.19$ 26,407,692.40$ 63.1% 12

Grand Average 173,414,898.09$ 114,056,314.16$ 59.8% 54

Table 7 Average Loss Severities by Property Type for 2009: Loans with Loss Severity Below 2%, including AssumedSpecial Servicing Workout Fees (source: Realpoint)


Hotel Average 42,986,869.26$ 12,084.46$ 0.03% 1

Industrial Average 5,337,825.79$ 54,394.52$ 1.0% 2

Multi-family Average 22,980,870.56$ 239,781.46$ 1.1% 13

Office Average 118,631,997.09$ 899,095.70$ 0.8% 10

Retail Average 41,470,449.90$ 425,013.51$ 1.0% 9

Grand Average 231,408,012.60$ 1,630,369.65$ 1.0% 35


8/14

May 2009

Page 8 of 14

For comparison by property type: The highest loss severities in 2006 were found in healthcare (55%) and industrial (34.5%)

collateral; multifamily collateral remained highest by balance before liquidation ($606.7 million),but reported the lowest severity (24.5%).

The highest loss severities in 2007 were found in industrial (50%) and healthcare collateral

(44%); multifamily collateral was again the highest by balance before liquidation ($356 million),but reported the fourth lowest severity (32.5%).

The highest loss severities in 2008 were found in mixed-use / other (36%) and multifamilycollateral (31%); multifamily collateral was again the highest by balance before liquidation($576.97 million).

Future Workouts Delinquency CategoriesThe total balance of loans in Foreclosure and REO increased for the 18th straight month to $3.49 billion inApril 2009 from $3.17 billion in March, despite ongoing liquidation activity. These figures had declinedsteadily for some time through mid-2007, reflective of expedited loan work outs, but continue to bereplenished with new loans due to aggressive special servicing workout plans and borrowers claiming aninability to pay debt service. The chart below also shows the rapid growth of loans reflecting 30-daydelinquency in the past six month, transitioning rapidly into more distressed levels on a monthly basis in

2009, thus supporting our use of 30-day defaults as an early indicator of workouts to come for 2009-2010.

Chart 6 Monthly Delinquency Categories (source: Realpoint)

$-

$1,000,000,000

$2,000,000,000

$3,000,000,000

$4,000,000,000

$5,000,000,000

$6,000,000,000

$7,000,000,000

$Delinq.

May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09

Month

30-Day 60-Day 90+-Day Foreclosure REO


9/14

May 2009

Page 9 of 14

Property Type Multifamily loans remained a poor performer in April 2009, with over a 3.6% delinquency rate (up from

only 0.9% in January 2008 a 300% increase). Multifamily loans also are the greatest contributor to overall CMBS delinquency, at 0.73% of the CMBS

universe and over 35% of total CMBS delinquency (increased from the prior month). By dollar amount, multifamily loan delinquency is now up by an astounding $5.17 billion since a low

point of only $903.3 million in July 2007. As shown in Chart 7 below, multifamily, retail, office and hotel collateral loan delinquency as a

percentage of the CMBS universe have clearly trended upward since mid-2008. Only eight healthcare loans at 0.017% of the CMBS universe are delinquent, but such delinquent

unpaid balance reflects 6% all healthcare collateral in CMBS. As a percentage of total unpaid balance, month-over-month delinquencies for all seven categories

increased by double digits from March to April 2009, led by other at 33% and multifamily at 31%. In 2009 we expect retail delinquency to increase substantially as consumer spending suffers from the

overall weakness of the U.S. economy. We also anticipate store closings and retailer bankruptcies tocontinue throughout the year.

In addition, the hotel sector will likely experience an increase in delinquency as both business andleisure travel slows further.

Table 8 Monthly Delinquency by Property Type (source: Realpoint)

Prop.Type Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of Property Type

Healthcare Total 142,681,889.12$ 8 0.017% 0.832% 6.016%

Hotel Total 1,651,943,574.90$ 137 0.199% 9.634% 2.188%

Industrial Total 562,920,619.57$ 93 0.068% 3.283% 1.534%

Multi-family Total 6,069,063,020.12$ 648 0.731% 35.394% 3.686%

Office Total 2,772,090,713.16$ 296 0.334% 16.167% 1.199%

Retail Total 5,175,552,466.41$ 580 0.623% 30.183% 2.251%

Other Total 772,832,888.16$ 229 0.093% 4.507% 0.861%

Grand Total 17,147,085,171.44$ 1,991 2.066% 100.000%

Chart 7 Trailing Twelve Month Delinquency by Property Type (source: Realpoint)

Property Type Monthly Delinquency: as Percentage of

CMBS Universe

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%0.80%

May-08

Jun-08

Jul-08Aug-08

Sep-08

Oct-08

Nov-08

Dec-08

Jan-09Feb-09

Mar-09

Apr-09

Month

Percentage

Healthcare Hotel Industrial Multi -fami ly Office Retail Other

Table 9 Trailing Twelve Month Delinquency by Property Type: as % of Outstanding Property Type Balance (source: Realpoint)

Property Typ e May- 08 Jun- 08 Jul-08 Aug- 08 Sep- 08 Oct- 08 N ov-08 Dec-08 Jan- 09 Feb-09 Mar- 09 Apr-09

Healthcare 3.8% 4.0% 4.0% 4.4% 4.2% 4.4% 5.0% 5.2% 5.9% 5.8% 5.6% 6.0%

Hotel 0.3% 0.3% 0.3% 0.3% 0.3% 0.5% 0.7% 1.1% 1.5% 1.8% 2.0% 2.2%

Industrial 0.2% 0.3% 0.4% 0.3% 0.4% 0.6% 0.6% 0.9% 1.0% 1.1% 1.3% 1.5%

Multi-family 1.3% 1.3% 1.2% 1.1% 1.3% 1.4% 1.9% 2.0% 2.4% 2.6% 2.8% 3.7%

Office 0.2% 0.2% 0.3% 0.3% 0.3% 0.3% 0.4% 0.5% 0.7% 0.8% 1.1% 1.2%

Retail 0.3% 0.3% 0.3% 0.3% 0.4% 0.6% 0.8% 1.1% 1.3% 1.6% 1.8% 2.3%

Other 0.2% 0.1% 0.2% 0.2% 0.3% 0.2% 0.3% 0.3% 0.5% 0.4% 0.7% 0.9%

Trailing Twelve Month Prop erty Type Delinquency: as % of Outstanding Property Type Balance


10/14


11/14

May 2009

Page 11 of 14

Geography The top three states ranked by delinquency exposure through April 2009 remained consistent with the

prior two months, as Texas, California and Florida collectively accounted for nearly 31% of delinquency. The 10 largest states by delinquent unpaid balance reflect 63% of CMBS delinquency, while the 10

largest states by overall CMBS exposure reflect 52% of the CMBS universe. The state of Texas remains a major concern at over 11% of CMBS delinquency, concentrated within

the Houston and Dallas-Fort Worth MSAs (almost 8% of CMBS delinquency); however, such MSAsreflect a fairly low percentage of total exposure in their respective MSAs (at less than 5%).

Three MSAs topped 4% of CMBS delinquency in April 2009 (consistent with the prior month). The 10 largest MSAs by delinquent unpaid balance reflect 35% of CMBS delinquency, while the 10

largest MSAs by overall CMBS exposure reflect 34% of the CMBS universe.

Table 11 - Delinquency by State (source: Realpoint)

State Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of State Exposure

TX Total 1,897,654,539.07$ 230 0.229% 11.067% 3.687%

CA Total 1,796,965,999.85$ 130 0.216% 10.480% 1.648%

FL Total 1,581,879,022.18$ 202 0.191% 9.225% 3.689%

MI Total 923,774,203.94$ 133 0.111% 5.387% 6.971%

AZ Total 883,199,881.39$ 76 0.106% 5.151% 4.852%

NY Total 848,566,158.54$ 106 0.102% 4.949% 0.847%GA Total 824,503,872.41$ 112 0.099% 4.808% 4.066%

OH Total 791,173,163.79$ 117 0.095% 4.614% 5.343%

IL Total 670,582,289.45$ 80 0.081% 3.911% 2.645%

NV Total 645,169,047.22$ 49 0.078% 3.763% 4.445%

Top 10 St at es 10,863,468,177.84$ 1,235 1.309% 63.355%

Table 12 - Delinquency by MSA (source: Realpoint)

MSA Current Balance Loan Count % of CMBS Delinq. % of total MSA

Phoenix, AZ Total 753,317,300.22$ 61 4.393% 5.003%

Atlanta, GA Total 748,935,065.66$ 93 4.368% 4.572%

Houston, TX Total 710,351,522.06$ 73 4.143% 4.402%

Detroit, MI Total 673,899,358.87$ 86 3.930% 7.853%

Dallas-Fort Worth, TX Total 642,501,956.68$ 101 3.747% 3.292%

Chicago, IL Total 600,796,568.81$ 64 3.504% 2.820%Las Vegas, NV Total 581,726,729.51$ 41 3.393% 4.531%

New York, NY Total 554,313,015.57$ 43 3.233% 0.651%

San Francisco, CA Total 419,605,661.87$ 15 2.447% 4.799%

Riverside-San Bernardino, CA Total 399,986,142.41$ 30 2.333% 5.031%

Top 10 Totals 6,085,433,321.66$ 607 35.490%


12/14


13/14

May 2009

Page 13 of 14

Franchise Transactions The delinquency rate for Franchise transactions remains erratic on a monthly basis (as reflected in the

chart below). Delinquency grew to 19.13% in July 2008, the highest it has been over the trailing-12 months, but fell to

only 9.4% in March 2009 a low for the trailing-12 months. Franchise delinquency has averaged 14.4% over the trailing-12 months. 499 franchise loans at $263.95 million have been liquidated since January 2006 at an average severity

of 78%. This includes 76 loans at $31.5 million in 2007, 69 loans at $52.3 million in 2008, and 266loans at $97.03 million to date in 2009.

Chart 10 Franchise Deal Delinquency (source: Realpoint)

15.124%

18.820% 19.128%

14.119%14.394%

14.442%

13.341%

14.582% 14.147%14.096%

9.391%

11.284%

0.000%

2.000%

4.000%

6.000%

8.000%

10.000%

12.000%

14.000%

16.000%

18.000%

20.000%

Percentage

May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09

Month


14/14

May 2009Note:

Realpoint has been tracking monthly commercial mortgage-backed securitization delinquency trendsacross various categories since January 2001. This report includes monthly breakdowns of delinquencyfor the entire Realpoint CMBS portfolio by delinquency category (30-day, 60-day, 90+-day, foreclosure,and real estate owned) along with exposure across each of the seven primary property types (healthcare,

hotels, industrial, multifamily, office, retail, and other).

Realpoint LLC

Frank A. Innaurato

Managing Director

267-960-6002

Robert Dobilas

President / CEO

267-960-6001

_________________________________________________________________________________

Copyright 2009 Realpoint LLC

The material contained herein (the Material) is being distributed in the United States by Realpoint LLC (Realpoint). Realpoint makes no representation as

to its accuracy, timeliness or completeness and does not undertake to update any information or opinions contained in the Material. The Material is published

solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or derivative. The Material is not to be

construed as providing investment services in any state, country or jurisdiction. From time to time, Realpoint, its affiliates and subsidiaries and/or their officers

and employees may perform other services for companies mentioned in the Material. Opinions expressed herein may differ from the opinions expressed by

other divisions of Realpoint, its affiliates and subsidiaries.

The Material has no regard to the specific investment objectives, financial situation and particular needs of any specific recipient of the Material and

investments discussed may not be suitable for all investors. Investors should seek financial advice regarding the suitability of investing in any securities or

following any investment strategies discussed in the Material. Past performance is not indicative of future returns. Certain assumptions may have been made in

preparing the Material that has resulted in certain returns detailed herein and any changes thereto may have a material impact on any returns detailed. No

representation is made that any returns detailed herein will be achieved. If an investment is denominated in a currency other than the investor's currency,

changes in the rates of exchange may have an adverse effect on value, price or income.

Realpoint LLC, 410 Horsham Road, Suite A., Horsham, PA 19044 (800) 299-1665

Documents

RealPoint CMBS May 2009