WFC Stuy Town Value 111811

8/3/2019 WFC Stuy Town Value 111811

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This report is available on wellsfargo.com/research and on Bloomberg WFSP

November 18, 2011

S t r u c tu r e d Pr o d u ct s R e s e a r c h

Please see the disclosure appendix of this publicationfor certification and disclosure informa tion

Weak 2007 vintage 10-year super senior paper widened5 bps to end yesterday at 315 bps to swaps. Most on-the-run CMBS spreads tightened 5 bps, whereas last cashflow 30% super senior spreads from the 2011 vintageremained unchanged again at 140 bps to swaps.

Commercial mortgage lending by the life insuranceindustry rose 17.2% in Q3 2011 over the year-earlierperiod but was down 29.4% versus the prior quarter for atotal of $11.1 billion, according to ACLI data.

A question that occasionally comes up is, how accurateare updated appraisals in terms of estimating eventuallosses? We found that appraisals have beenconsiderably more accurate for loans liquidated in 2011compared to the previous two years. For loans liquidatedin 2011 on average, the sales price was about 98% of theappraised value. In 2010 and 2009, on the other hand,the sales price was typically around 85% of the appraised

value.

In early November, New Yorks intermediate appellatecourt upheld a decision allowing current and formertenants to pursue retroactive rent reimbursements fromMetlife and other predecessor owners of StuyvesantTown Peter Cooper Village. We update our view on

valuation of the apartment complex.

Although a per unit calculation likely best reflects thecurrent market value, we view the most likely outcomefor the loan as an assumption with a modification,making cash flow valuation relevant.

CMBS & Com m ercial Real Estate Marielle Jan de Beur, Senior [email protected]

212-214-804Chris van Heerden, CFA, Analys

[email protected]

704-715-832

Lad Duncan, Analys

[email protected]

704-715-742

Landon Frerich, Analys

[email protected]

704-715-837

CMBS W eekly: Appraisal Accuracy, Stuy Town

Contents

Market Commentary 2Compar ing Appraisal to Sales Price 2Revisiting Stuyvesant Town 3Relative Value Matrix 8

Week ly Charts 10

Recent Research

CMBS Weekly: Examining 2011 Maturities, November 10,2011

CMBS Weekly: Floating-Rate Loans How Long Can This GoOn?, November 4, 2011

Structured Products Monthly - October 2011: The ChangingLandscape of Structured Products, October 28, 2011

CMBS Performance Monitor: October Summary , October 28,2011

CMBS Weekly: TRX.II Open for Business, October 21, 2011

CMBS Weekly: Vintage Update,October 14, 2011

CMBS Weekly: Market Commentary , October 7, 2011

Structured Products Monthly - September 2011: HowEurozone Troubles May Affect Structured Products,September 29, 2011

CMBS Weekly: Longer-Duration CMBS Offers Value,September 26, 2011

CMBS Weekly: South Florida Market FundamentalsSeptember 16, 2011

CMBS Weekly: Legacy AMs: Now What?September 9, 2011
https://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_111011-20111110132508.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_110411-20111104142742.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_110411-20111104142742.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_110411-20111104142742.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/SP_MONTHLY_102811-20111028122635.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/SP_MONTHLY_102811-20111028122635.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/SP_MONTHLY_102811-20111028122635.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_PERFORMANCE_MONITOR_102811-20111028092635.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_102111-20111021115512.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_102111-20111021115512.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_101411-20111014174441.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_101411-20111014174441.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_100711-20111007125604.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/September/SP_MONTHLY_092911-20110929143845.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/September/SP_MONTHLY_092911-20110929143845.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/September/SP_MONTHLY_092911-20110929143845.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_092611-20110926140522.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_091611-20110916111258.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_091611-20110916111258.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_090911-20110909122719.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_090911-20110909122719.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_090911-20110909122719.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_111011-20111110132508.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_090911-20110909122719.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_091611-20110916111258.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/September/CMBS_WEEKLY_092611-20110926140522.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/September/SP_MONTHLY_092911-20110929143845.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_100711-20111007125604.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_101411-20111014174441.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_WEEKLY_102111-20111021115512.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/CMBS_PERFORMANCE_MONITOR_102811-20111028092635.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/SP_MONTHLY_102811-20111028122635.pdfhttps://www.wellsfargoresearch.com/Research%20Publications/2011/October/SP_MONTHLY_102811-20111028122635.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_110411-20111104142742.pdfhttps://wellsfargoresearch.com/Research%20Publications/2011/November/CMBS_WEEKLY_110411-20111104142742.pdf


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CMBS Wee kly WELLS FARGO SECURITIES, LLCNovember 18, 2011 CMBS & COMMERCIAL REAL ESTATE

2

Market Commentary

Weak 2007 vintage 10-year super senior paper widened 5 bps to end yesterday at 315 bps to swaps. Most on-the-run CMBS spreads tightened 5 bps, whereas last cash flow 30% super senior spreads from the 2011 vintageremained unchanged again at 140 bps to swaps.

Commercial mortgage lending by the life insurance industry was up 17.2% in Q3 2011 over the year-earlier periodbut was down 29.4% versus the prior quarter for a total of $11.1 billion. Year-to-date Q3 2011, total commitmentsof $34.7 million have outpaced 2010s annual total of $30.7 million, according to ACLI, and is the highest amountsince the 2007 total of $42.7 million.

Compar ing the Liquidated Sales Price to the Recent Appraised Value

Special servicers are generally required to order an updated appraisal when a loan experiences an appraisal triggerevent. The updated appraisal is then used to determine the appropriate amount the master servicer shouldcontinue to advance on the loan each month. The question that often comes up though is, how accurate are theappraisals in terms of estimating eventual losses? Using data from Trepp and Intex, we compared liquidatedsales prices1 to recent appraised values to determine how similar they have been. For the analysis, we onlyincluded loans that had received an updated appraisal within 24 months of the liquidation date.

We found that appraisals have been considerably more accurate for loans liquidated in 2011 compared to theprevious two years. For loans liquidated in 2011 on average, the sales price was about 98% of the appraised valueIn 2010 and 2009, on the other hand, the sales price was typically around 85% of the appraised value. Thedisparity between 2011 and the previous two years is reflective of a more stable property market.

Exhibit 1: Liquidated Sales Price as a Percentage of the Appr aised Value

86.4%

98.5% 98.7%

85.9%79.8%

84.2%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

110%

2009H1 2009H2 2010H1 2010H2 2011H1 2011H2

Date of Liquidation

LiquidatedPric

eas

Source: Wells Fargo Securities, LLC, Intex Solutions, Inc, and Trepp, LLC.

Appraisals have typically proven to be more accurate for office properties, which generally have more stable andpredictable cash flows. Appraisals for hotel and multifamily properties, however, have been less consistent.

1Trepp defines the liquidated sales price as proceeds upon liquidation such as sales proceeds, insurance proceeds, other proceeds and reserveand suspense balances, but before broker fees and selling costs.


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CMBS Weekly WELLS FARGO SECUR ITIES, LLCNovember 18, 2011 CMBS & COMMERCIAL REAL ESTATE

3

Exhibit 2: Proper ty Type Sales Price as a Per centage of the Appraised Value

L iquidation Year Office Retail Multif amily Hotel I ndustrial

2009 97.6% 86.3% 81.2% 64.8% 70.2%

2010 94.0% 84.9% 86.3% 82.3% 76.3%

2011 105.2% 99.6% 96.7% 90.5% 94.2%

Total 99.7% 92.3% 90.7% 86.0% 84.0%

Source: Wells Fargo Securities, LLC, Intex Solutions, Inc and Trepp, LLC.

Timing is clearly a large factor in determining if the appraisal is going to be in line with the sales price. The moreout of date the appraisal is, the less accurate it will likely be. In Exhibit 3, we show the relationship between thelength of time since the appraisal and the sales price as a percentage of the appraised value.

Exhibit 3: Timing of Appraisal an d Liquidation

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

110%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

Months Between Appraisal Date and Liquidation Date

Liqu

ida

tedPriceas

%o

fAppr

Va

lue

Sourc e: Wells Fargo Securities , LLC, Intex Solutio ns, Inc, and Trepp, LLC.

Revisiting Stuyvesant Town

In early November, New Yorks intermediate appellate court upheld a decision allowing current and formertenants to pursue retroactive rent reimbursements from Metlife and other predecessor owners of StuyvesantTown Peter Cooper Village.2

The decision is the latest development in a class action lawsuit filed by tenants in 2007, in which tenants arguedthat the propertys previous owners, Metlife, Tishman Speyer and Blackrock, wrongly deregulated apartments to

market rents while receiving J-51 tax benefits. On Oct. 22, 2009, the states highest court ruled in favor of thetenants, finding that the owners wrongly decontrolled units while receiving J-51 benefits.3 That ruling allowedtenants for the roughly 4,400 units in dispute to start paying estimated stabilized rents instead of market rents.Since then, the owners have been working with consultants to calculate the correct rent for each apartment unit indispute, while working toward a settlement with tenants.

2Roberts v. Tishman Speyer Props., L.P., 2011 NY Slip Op 7717, 1 (N.Y. App. Div. 1st Dep't Nov. 3, 2011).3Roberts v. Tishman Speyer Props., L.P., 2009 NY Slip Op 7480, 1 (N.Y. 2009).


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Valuing the property is a difficult exercise, first, because the in-place income of $122 million is difficult toreconcile with the intrinsic value of the real estate11,229 apartments on 80 acres of land in lower Manhattan.

Appraisal-based or per-unit valuations vary widely from cash flow-driven values. Secondly, the mix of units underrent control, and therefore, the stabilized cash flow remains unresolved. Rents on 4,400 units are undernegotiation and the final resolution will need to be approved by the special servicer, tenants, the court, andpossibly the New York State Division of Housing and Community Renewal.

Exhibit 4: Stuyvesant Town P eter Cooper Village Summ ary DataBackground

Description 11,229-unit multifamily complex on 80.4 acres along the East River in New York

Purchase Purchased by Tishman Speyer/Blackrock for $5.4 billion

Financing $3.0 billion A-Note; $1.4 billion mezzanine loan; $1.9 billion equity

Mortgage debt per unit $267,165

Transactions Pari passu notes in five CMBS transactions

WBCMT-C30 ($1.5 billion), MLCFC 2007-5 ($800 million),

COBALT 2007-2 ($250 million), WBCMT-C31 ($247.7 million),

MLCFC 2007-6 ($202.3 million)

Rent Roll

Cutoff Q308

Total Units 11,229

Stabilized 8,038 (71.6%) 7,080 (64%)

Market-Rent 3,189 (28.4%) 4,147 (37%)

Cash Flow ($mm)

Underwritten 2007 2008 2009 2010

Revenue 481.7 248.8 289.0 248.8 283.4

Expenses 145.6 140.6 151.1 140.6 160.4

NOI 336.2 108.3 138.0 108.3 122.9

NCF 333.9 106.0 135.7 120.7

Debt Service 191.9 193.0 196.2 193.0 195.7

NCF DSCR (whole ln) 1.74 0.55 0.69 0.65 0.62

Occupancy 97% 94% 97% 94% 95%

Reserves ($mm)Cutoff Current

Interest Reserve 400.0 0.00 3/1/2007 $5.4 billion

General Reserve 190.0 0 9/15/2010 $2.8 billion

Replacement Reserve 60.0 0 9/15/2011 $3.0 billion

Total 650.0 0.00

Source: Bloomberg LP, Deal Documents, and Wells Fargo Securities, LLC.

Appraisal Value

In light of the significant uncertainties, we find a wide range of potential values. Cash flow based valuation (i.e.the income capitalization, debt yield and refinancing constant approaches) points to higher potential lossseverities, whereas the appraisal based valuation and a per unit calculation are more in line with the existingmortgage balance.

The rent reimbursement liability is unknown but has a likely upper bound of the $215 million established by theclaim the tenants are pursuing. We believe that trust cash flow will ultimately be used to pay some share ofreimbursements. Support for this conclusion comes from the special servicer commentary, which refers toongoing settlement talks between special & tenants. A settlement by the special servicer with the tenant wouldnecessarily be paid out of trust cash flow, in our view.


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For purposes of this valuation, we estimate the share of damages to be paid out of cash flow to be in the region of$100 million. The period in dispute spans seven years, during three of which the property was securitized. We prorate the $215 million in damages for the period the property was securitized and round up.

Exhibit 5: Stuyvesant Town Peter Cooper VillageA Range of Valuation OutcomesAppraisal Income Refinance

Based Capitalization Debt Yield Constant Per Unit

Assumptions Value based on 2010 NCF and Using 2010 NCF Using 2010 NCF, Est. $339,000 per

Sept. 2011 4.5% cap rate. and an 8% debt a 4.75% coupon market rate unit,

appraisal. yield and 75% 30-year amort., $254,000 per

advance rate and 1.25x DSCR rent control unit and

est. 90% rent control

Estimated Value 3,000,000,000 2,682,150,022 2,011,612,517 1,542,507,649 2,947,612,500

Rent Liability (est.) -100,000,000 -100,000,000 -100,000,000 -100,000,000 -100,000,000

P&I Advances (est.) -211,885,945 -211,885,945 -211,885,945 -211,885,945 -211,885,945

Aser Recovery (est.) -3,211,284 -3,211,284 -3,211,284 -3,211,284 -3,211,284

Recovery 2,684,902,771 2,367,052,793 1,696,515,288 1,227,410,420 2,632,515,271

Severity % 10.5% 21.1% 43.4% 59.1% 12.2%

Source: Deal documents and Wells Fargo Securities, LLC estimates.

We believe a per-unit calculation is likely most in line with the current market value. A key input to the per-unitvaluation is the mix of units subject to rent control and those under market rent. However, the post-settlementmix of rent controlled units remains unknown. To establish a baseline valuation, we assume that 90% of units will

be subject to rent control. Under this assumption, the estimated property value comes to $2.95 billion, resulting inan estimated loss severity of 12% under a near liquidation outcome.

Based on comparable sales data, the per unit sale price for subsidized apartment buildings averages $254,936.Real Capital Analytics details seven sales of apartment properties subject to rent control in Manhattan since 2010(Exhibit 6). For valuing market rate apartments, we rely on the $339,207 median price per unit for a Manhattanapartment, based on Real Capital Analytics data (Exhibit 7).

Exhibit 6: Manhattan Rent Controlled Apa rtment SalesClosing Date P roperty N ame P rice No. of Units P rice P er Unit Cap Rate05-Oct-11 Lionel Hampton Houses $32,500,000 355 $91,54920-Sep-11 156 Prince St $7,800,000 24 $325,00008-Sep-11 147 East 30th Street $4,511,000 20

$225,5504.5%

19-May-11 245 Mulberry St $7,250,000 20 $362,500 6.0%

15-Mar-11 The Sagamore $139,100,000 265 $524,906 5.3%

22-Dec-10 309 W 97th St $2,500,000 11 $227,273 5.0%

15-Jul-10 Parkside Evangeline $60,000,000 300 $200,000

Total $253,661,000 995 $254,936

Source: Real Capital Analytics, Inc., Wells Fargo Securities, LLC.

Exhibit 7: Manhattan Ap artment Pr ice Per Unit Quartile Distribution

Bottom 25% Median 75% Top

$60,000 $174,107 $339,207 $525,258 $4,239,158

Data based on past 12 months

Source: Real Capital Analytics, Inc., Wells Fargo Securities, LLC.

Loss severity estimates range higher under income-based valuations. Here, we rely on the in-place net operatingincome of $122.9 million for 2010. This number may prove to be conservative since court documents indicate thatthe estimated stabilized rent paid by tenants in 2010 may have been too low in some cases. Moreover, units mayroll to market rates in the future as a natural consequence of tenant turnover and renovation.

We view a loan assumption with a modification as the most likely ultimate outcome for the loan. The large loan balance and the special servicers ability to adjust payment terms make the existing CMBS financing the mostlikely source of capital, in our view. Under a modification scenario, the mortgage balance would likely need to bereduced to cover some share of outstanding liabilities (i.e., the rent reimbursement settlement, the outstandingadvances, but also potentially the transfer tax), and allow newly contributed equity to cash flow. Under such an


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assumption and modification outcome, the cash flow based valuation approaches would therefore become morerelevant.

In sum, our estimated values for Stuyvesant Town and Peter Cooper Village range widely, reflecting a number ofmaterial unknowns. The timing of a resolution is also material. Debt service exceeded net cash flow by $75 millionin 2010, illustrating how much advances stand to grow as the ultimate resolution stays pending.


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CMBS Relative Value Matrix

Level as of 1-week 3-week 1-month Std. Deviation

11/17/11 Change Change Change Average High Low Dev from Avg.

SYNTHETICS

TRX

TRX.NA.AAA.1 256 -5 -11 -40 212 302 149 47 45

CMBX 1

AAA 175 8 40 -34 109 226 46 47 67

AJ 720 68 179 -127 414 872 194 189 307

AA 1,179 55 223 -177 651 1,357 239 324 528

A 1,758 79 278 -133 988 1,901 390 443 770

BBB 3,059 84 420 89 1,976 3,059 1,143 575 1,083

BBB- 4,696 81 452 76 3,107 4,696 2,103 807 1,588

CMBX 2

AAA 199 5 47 -47 122 265 46 56 77

AJ 896 71 163 -182 528 1,108 213 256 368

AA 1,498 42 240 -175 833 1,683 323 406 664

A 1,981 61 217 -197 1,279 2,181 583 504 701

BBB 4,159 93 340 85 2,997 4,159 1,931 677 1162BBB- 4,884 185 313 130 3,689 4,884 2,799 625 1195

BB 7,479 112 116 166 7,251 7,532 6,928 138 228

CMBX 3

AAA 267 9 66 -46 148 324 62 73 119

AJ 1,321 70 199 -184 751 1,513 341 359 570

AA 2,199 118 257 -206 1,330 2,431 564 553 870

A 2,799 88 298 -195 1,922 3,013 1,045 541 876

BBB 5,040 54 271 -143 3,948 5,182 3,053 690 1091

BBB- 6,068 108 336 24 4,690 6,068 3,882 735 1379

BB 13,979 274 412 250 11,925 13,979 11,253 720 2054

CMBX 4

AAA 294 17 78 -29 166 332 74 73 127

AJ 1,316 36 158 -197 791 1,522 379 334 525

AA 2,177 102 190 -264 1,470 2,451 825 476 707

A 3,131 113 244 -232 2,282 3,364 1,504 537 849

BBB 4,748 118 237 -5 3,903 4,756 3,255 467 845

BBB- 5,614 61 185 56 4,519 5,614 3,929 549 1095

BB 11,793 169 176 225 11,676 12,070 11,295 196 118

CMBX 5

AAA 260 15 53 -44 161 313 74 66 100

AJ 1,184 45 187 -79 673 1268.7 288 300 511

AA 1,936 60 181 -145 1,179 2,094 562 448 757

A 2,936 78 261 -104 1,921 3,050 1,207 558 1015

BBB 4,573 89 217 -31 3,797 4,619 3,163 453 776

BBB- 5,357 57 199 61 4,397 5,357 3,861 475 960

BB 11,691 173 174 193 11,542 11,932 11,151 183 149

Note: For all corporate CDS indices, we present historical data using on-the-run indices.Source: Bloomberg LP, Markit Group Ltd. and Wells Fargo Securities, LLC.

Recent Levels 52-week


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CMBS Relative Value Matrix (continued)

Level as of 1-week 3-week 1-month Std. Deviation

11/17/11 Change Change Change Average High Low Dev from Avg.

Swap Rates (%)

3 Yr 0.89 0.09 0.05 0.08 1.09 1.63 0.58 0.30 -0.20

5 Yr 1.32 0.01 -0.17 -0.07 1.87 2.61 1.07 0.44 -0.56

10 Yr 2.16 -0.07 -0.39 -0.20 3.03 3.85 1.91 0.53 -0.88

Swap Spreads (to UST)

3 Yr 50 8 18 15 29 50 18 5 20

5 Yr 45 5 17 11 26 45 16 6 19

10 Yr 20 3 4 0 13 23 7 4 7

CMBS Cash (Spread to Swaps)

AAA 2010 Vintage 5YR^ 155 0 -15 -35 144 225 110 38 11

AAA 2010 20% Vintage 10YR^ 170 -5 -10 -25 145 230 97 41 25

AAA 2011 30% Vintage 10YR^ 140 0 -10 -20 157 175 140 14 -17

BBB 2010 Vintage 10YR^ 725 0 75 50 424 725 215 167 301

AAA 2007 Vintage 3YR 115 -10 -10 -20 116 150 95 15 -1

AAA 2007 Vintage 5YR 250 0 0 0 244 260 230 8 6

AAA 2007 Vintage 7YR 275 0 0 0 262 285 240 14 13

AAA 2007 Vintage 7YR (AAB) 260 -5 -5 -5 220 275 190 31 40

AAA 2005 Vintage 10YR 130 -15 -15 -40 138 190 105 23 - 8AAA 2007 Vintage Supersenior 10YR 315 5 5 -60 252 375 175 62 63

AAA 2007 Vintage Mezzanine 10YR 625 0 0 -100 451 800 230 190 174

AAA 2007 Vintage Junior 10YR** 1,300 0 25 -75 851 1,375 400 335 449

FNMA DUS 80 0 0 -5 96 125 82 12 -16

Freddie Mac K-Deal 5-Year^ 53 0 0 0 58 65 53 6 -5


UST

3 Yr UST 0.40 0.01 -0.13 -0.07 0.80 1.42 0.29 0.33 -0.40

5 Yr UST 0.86 -0.05 -0.34 -0.18 1.61 2.40 0.78 0.49 -0.75

10 Yr UST 1.96 -0.10 -0.44 -0.20 2.90 3.74 1.72 0.57 -0.94

CMBS Cash - UST

AAA 2010 Vintage 5YR^ 200 6 2 -24 160 244 117 42 40

AAA 2010 20% Vintage 10YR^ 190 -5 -5 -25 159 249 104 45 31

AAA 2011 30% Vintage 10YR^ 160 0 -5 -20 175 193 157 15 -15

BBB 2010 Vintage 10YR^ 745 0 80 50 434 745 230 172 310

AAA 2007 Vintage 3YR 179 1 13 -2 143 189 116 24 36

AAA 2007 Vintage 5YR 314 11 23 18 272 314 249 17 42

AAA 2007 Vintage Supersenior 10YR 357 9 19 -52 278 410 194 66 79

FNMA DUS 100 0 5 -5 109 144 90 15 -9

Freddie Mac K-Deal 5-Year^ 98 6 17 11 92 101 81 7 6


Agency Pass-Thrus (FNMA 4.5%) 2 0 0 0 -104 -30 -174 29 106

Agencies - Unsecured Debt (to UST)

FNMA 10 YR 5 5 16 6 3 20 -13 8 2

FHLMC 10 YR -16 5 7 1 -16 2 -34 9 0

Banks and Finance Companies

BAC 5YR CDS 403 21 104 41 212 468 130 92 191

C 5YR CDS 288 42 77 55 167 362 119 50 121

GECC 5YR CDS 276 27 47 13 164 309 104 61 112JPM 5YR CDS 161 8 32 14 96 185 65 29 64

WFC 5YR CDS 163 14 37 17 106 183 78 23 57

REIT Index* 250 2 -29 -42 187 308 134 53 63

*REIT Index spreads are as of 11/10/2011.

**Starting in 2009, we record dollar price levels for AJ and lower rated cash CMBS tranches. 52-week historical information reflects

spread movement between Jan. 1, 2008 through Jan 1, 2009.

^For the 20102011 vintage CMBS and K-Deals the average, high, low, and standard deviation figures are based on spread data since Nov. 2010.

Source: Bloomberg LP, Markit Group Ltd. and Wells Fargo Securities, LLC.

Recent Levels 52-week


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W eekly Charts

2010/2011 Vintage CMBS Deal Com parison

SUMMARY STATISTICS

Cutoff Orig. Aaa Orig. BaaBalance Issue WA NCF WA WA NCF Ln Cnt / % Top 1 / 10 Credit Credit

Ticker ($mm) Date Debt Yield LTV DSCR Prop Cnt Retail Loan % Support % Support %

RBSCF 2010-MB1 309.7 4/22/10 14.8 54.4 2.48 6 / 81 66.0 24.9 / 100.0 22.25 0.00

JPMCC 2010-C1 716.3 6/24/10 12.5 61.5 1.64 39 / 99 71.0 13.5 / 53.3 15.00 4.75

GSMS 2010-C1 788.5 8/17/10 14.5 53.7 1.88 23 / 48 78.4 12.6 / 76.1 18.50 6.00

JPMCC 2010-C2 1,101.3 10/25/10 11.6 60.0 1.66 30 / 47 67.0 15.9 / 74.4 18.25 5.00

COMM 2010-C1 856.6 11/16/10 12.2 58.8 1.71 42 / 63 43.1 14.3 / 60.4 17.38 5.00

WFCM 2010-C1 735.9 11/19/10 12.8 58.3 1.82 37 / 59 31.2 25.1 / 64.2 17.75 4.00

GSMS 2010-C2 876.5 12/28/10 11.7 58.9 1.83 43 / 108 38.8 10.1 / 51.8 17.50 5.75

DBUBS 2011-LC1 2,176.1 2/25/11 10.3 62.3 1.48 47 / 83 43.7 10.8 / 65.9 19.50 6.13

MSC 2011-C1 1,548.4 2/28/11 11.8 61.2 1.60 40 / 82 43.7 15.5 / 70.6 22.88 6.50

WFRBS 2011-C2 1,299.3 3/10/11 11.5 62.6 1.62 51 / 97 52.0 12.9 / 55.8 17.13 5.50

JPMCC 2011-C3 1,502.8 3/18/11 11.4 61.2 1.63 52 / 115 62.9 14.4 / 64.8 17.00 4.38

GSMS 2011-GC3 1,400.6 3/30/11 12.0 59.9 1.69 57 / 111 60.0 9.0 / 58.4 18.25 5.88

CFCRE 2011-C1 634.5 4/28/11 10.5 67.6 1.52 38 / 67 27.1 10.5 / 58.0 17.63 5.50

WFRBS 2011-C3 1,446.0 6/9/11 11.0 63.3 1.60 74 / 177 49.5 12.8 / 49.0 17.13 5.50

MSC 2011-C2 1,214.0 6/22/11 11.0 62.2 1.63 52 / 64 43.0 12.7 / 62.7 21.00 6.38

JPMCC 2011-C4 1,447.1 6/23/11 10.6 62.1 1.63 42 / 84 41.1 13.8 / 68.8 18.38 5.00

DBUBS 2011-LC2 2,143.9 6/28/11 10.6 63.4 1.57 67 / 132 34.9 10.5 / 56.7 17.25 5.63

WFRBS 2011-C4 1,480.7 8/9/11 11.5 61.5 1.79 77 / 133 42.6 10.9 / 48.2 16.88 5.38

DBUBS 2011-LC3 1,647.7 8/30/11 11.7 58.0 1.71 43 / 64 24.1 11.8 / 63.1 20.88* 6.38

JPMCC 2011-C5 1,029.7 9/29/11 11.0 59.5 1.73 44 / 209 50.5 14.1 / 61.8 21.63* 6.38

MSC 2011-C3 1,492.0 10/5/11 10.9 61.6 1.68 63 / 76 46.3 10.3 / 52.4 19.13* 5.75

GSMS 2011-GC5 1,745.2 10/13/11 11.0 61.4 1.71 74 / 129 53.5 11.4 / 53.4 19.63* 5.88

WFRBS 2011-C5 1,091.1 11/22/11 10.4 63.0 1.47 75 / 98 46.0 19.0 / 57.0 22.13* 6.50

WA = Weighted Average.

* These transactions also included supersenior tranches with 30% credit enhancement.

Source: Intex Solutions, Inc, Trepp, LLC, and Wells Fargo Securities, LLC.

COLLATERAL STATISTICS

Avg Loan Full Partial Top % 5 Yr % 7 Yr

Ticker Size ($mm) Retail Office Hotel Industrial % IO IO% State % Loans Loans

RBSCF 2010-MB1 51.62 66.0 33.1 0.0 0.9 23.8 0.0 TX 37.6 100.0 0.0

JPMCC 2010-C1 18.37 71.0 11.6 0.0 11.8 2.1 5.9 CA 16.1 55.0 18.4

GSMS 2010-C1 34.28 78.4 10.5 0.0 7.3 0.8 14.6 NY 13.4 11.1 0.0

JPMCC 2010-C2 36.71 67.0 15.1 0.0 10.3 4.1 1.0 AZ 15.9 14.8 20.3

COMM 2010-C1 20.40 43.1 29.3 1.5 2.3 3.9 6.4 NY 22.9 49.7 0.7

WFCM 2010-C1 19.89 31.2 28.5 8.5 12.8 3.4 1.4 CA 21.4 6.2 0.0

GSMS 2010-C2 20.38 38.8 33.8 8.5 4.2 14.7 18.1 PA 20.3 30.5 0.0

DBUBS 2011-LC1 46.30 43.7 39.5 6.8 1.5 1.6 18.2 IL 16.2 46.4 7.0

MSC 2011-C1 38.71 43.7 28.0 9.8 7.7 0.0 30.5 DE 15.3 40.7 0.0

WFRBS 2011-C2 25.48 52.0 15.7 1.7 6.1 2.6 12.7 CA 28.8 31.0 4.2

JPMCC 2011-C3 30.23 62.9 24.6 6.2 1.0 2.1 37.4 TX 19.9 19.8 20.7

GSMS 2011-GC3 24.57 60.0 16.1 8.4 0.0 7.4 7.1 TX 22.6 30.1 3.8

CFCRE 2011-C1 16.70 27.1 45.0 0.0 0.0 0.0 31.2 TX 17.4 50.0 3.9

WFRBS 2011-C3 19.54 49.5 20.3 10.1 6.1 7.9 3.5 FL 16.2 22.6 10.1

MSC 2011-C2 23.35 43.0 40.0 4.7 7.1 24.7 4.3 TX 35.1 30.1 1.2JPMCC 2011-C4 37.15 40.4 36.7 0.8 1.2 12.0 0.0 CA 25.4 21.7 44.8

DBUBS 2011-LC2 32.00 34.9 41.5 8.5 4.2 6.8 18.2 NY 24.9 28.1 6.0

WFRBS 2011-C4 19.23 42.6 13.3 12.3 11.1 16.7 3.1 CA 19.1 14.0 4.7

DBUBS 2011-LC3 40.62 35.5 32.8 18.9 0.0 3.7 15.6 RI 18.4 22.7 1.6

JPMCC 2011-C5 23.40 50.5 16.7 20.3 0.0 29.6 17.8 IL 23.4 21.2 1.5

MSC 2011-C3 23.68 46.3 29.7 12.6 3.4 7.0 20.0 TX 17.6 31.7 10.6

GSMS 2011-GC5 23.58 53.5 14.8 13.3 1.6 20.9 3.8 NY 19.0 28.4 0.0

WFRBS 2011-C5 14.55 46.0 12.0 12.6 6.6 2.5 14.3 TX 35.3 11.2 1.6

Source: Intex Solutions, Inc, Trepp, LLC, and Wells Fargo Securities, LLC.

Property Type Breakdown


10/16


10

Historical Rating Actions (Fixed-Rate Conduit Deals)

1002 70 257

499

902

1,587

703

94293

471

21 26 127208 217 206 175 145

6,651

5,985

4,269

2,813

1,556

1,017

-

1,000

2,000

3,000

4,000

5,000

6,000

7,000

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Numcero

fRa

ting

Ac

tions

Upgrades Downgrades

*Rating actions are as of November 16, 2011. Ratings are for fixed-rate conduit deals.

Source: Wells Fargo Securities, LLC, Moody's, Fitch, DBRS, and S&P.

Historical Loss and Severity Trends (Fixed-Rate Conduit Deals)

2924 2119 19 14 19 5 8

4819 30

5428

119

316

802

489

384

282

456

724

373

229

483

645

757

463

155

630

433

551

314

52

245

163

251

115

143134

57 45

48

3827

457

-

100

200

300

400

500

600

700

800

900

Jan-08

Apr-08

Jul-08

Oct-0

8

Jan-09

Apr-09

Jul-09

Oct-0

9

Jan-10

Apr-10

Jul-10

Oct-1

0

Jan-11

Apr-11

Jul-11

Oct-1

1

TotalLosses($Millions)

0%

10%

20%

30%

40%

50%

60%

70%

CMBSSeverity%

Losses ($) Severity - 6 Mo. Avg (All) Severity - 6 Mo. Avg (>2%)*

* This only includes loans that suffered loss severities greater than 2%.

Source: Wells Fargo Securities, LLC, and Intex Solutions, Inc.


11/16


11

Historical CMBS Delinquencies (Fixed-Rate Conduit Deals)

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

11,000

Jan-0

0

Apr-

00

Jul-00

Oc

t-00

Jan-0

1

Apr-

01

Jul-01

Oc

t-01

Jan-0

2

Apr-

02

Jul-02

Oc

t-02

Jan-0

3

Apr-

03

Jul-03

Oc

t-03

Jan-0

4

Apr-

04

Jul-04

Oc

t-04

Jan-0

5

Apr-

05

Jul-05

Oc

t-05

Jan-0

6

Apr-

06

Jul-06

Oc

t-06

Jan-0

7

Apr-

07

Jul-07

Oc

t-07

Jan-0

8

Apr-

08

Jul-08

Oc

t-08

Jan-0

9

Apr-

09

Jul-09

Oc

t-09

Jan-1

0

Apr-

10

Jul-10

Oc

t-10

Jan-1

1

Apr-

11

Jul-11

Oc

t-11

$Million

0.0%

0.5%1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

7.0%

7.5%

8.0%8.5%

9.0%

9.5%

10.0%

10.5%

%D

elinquen

New 30+ Delinq ($)

60+ Delinq (%)

30+ Delinq (%)

Source: Wells Fargo Securities, LLC, and Intex Solutions, Inc.

60+ Day Delinquencies by Pr operty Type (Fixed-Rate Conduit Deals)Da te M ul ti fa mi ly R eta il Of fi ce I nd ust ri al H ot el Sel f-St ora ge H ea lth ca re Oth er

Oct-11 15.21% 7.09% 7.52% 10.53% 14.31% 4.13% 2.62% 6.15%Sep-11 15.27% 6.82% 7.50% 10.20% 15.27% 4.03% 2.33% 6.15%

Aug-11 15.13% 6.65% 6.80% 9.97% 15.68% 4.19% 2.26% 6.32%

Jul-11 14.95% 7.03% 6.83% 9.89% 16.12% 4.14% 2.04% 6.77%

Jun-11 15.22% 6.74% 6.62% 10.42% 16.29% 4.20% 2.02% 6.55%May-11 15.76% 7.02% 6.50% 9.77% 16.40% 4.20% 8.05% 6.42%

Apr-11 15.09% 6.91% 6.45% 9.26% 16.47% 3.88% 8.15% 7.12%Mar-11 15.40% 6.80% 6.35% 8.82% 16.01% 3.66% 2.51% 8.11%

Feb-11 15.56% 6.66% 6.07% 9.32% 15.94% 3.29% 2.77% 7.79%Jan-11 15.25% 6.55% 5.82% 7.70% 16.64% 3.23% 3.23% 7.64%

4Q10 14.22% 6.67% 5.99% 5.73% 16.17% 3.14% 8.75% 7.51%

2Q10 13.00% 5.53% 5.15% 5.06% 13.21% 2.51% 2.62% 4.97%

4Q09 7.56% 3.85% 2.88% 3.05% 8.61% 2.31% 7.49% 4.04%

2Q09 4.67% 2.46% 1.63% 1.75% 2.92% 0.96% 6.25% 1.22%4Q08 2.06% 0.74% 0.39% 0.54% 0.81% 0.13% 5.15% 0.52%

2Q08 1.24% 0.20% 0.19% 0.21% 0.20% 0.09% 4.23% 0.23%

4Q07 1.01% 0.11% 0.11% 0.14% 0.17% 0.11% 0.42% 0.19%

2Q07 0.58% 0.13% 0.16% 0.19% 0.47% 0.07% 0.46% 0.12%

4Q06 0.73% 0.17% 0.25% 0.64% 0.43% 0.09% 1.39% 0.19%

2Q06 1.01% 0.28% 0.38% 0.74% 0.83% 0.14% 2.90% 0.49%

4Q05 1.28% 0.28% 0.46% 1.08% 1.51% 0.12% 4.83% 0.64%

2Q05 1.65% 0.46% 0.65% 1.22% 2.34% 0.17% 4.92% 0.92%

4Q04 1.59% 0.69% 0.83% 1.56% 3.43% 0.13% 4.25% 1.14%

2Q04 1.65% 1.06% 1.03% 1.61% 5.44% 0.19% 4.89% 1.49%

4Q03 1.29% 1.19% 1.05% 1.46% 6.96% 0.10% 8.65% 1.98%

2Q03 0.87% 1.08% 0.70% 1.63% 7.82% 0.18% 7.72% 1.88%

4Q02 0.66% 1.20% 0.48% 1.04% 5.53% 0.20% 7.72% 1.84%

2Q02 0.54% 1.33% 0.41% 0.96% 5.82% 0.11% 7.52% 1.80%

4Q01 0.50% 0.84% 0.34% 0.49% 4.34% 0.13% 8.36% 1.84%

2Q01 0.35% 0.52% 0.19% 0.38% 1.78% 0.04% 7.78% 1.25%

4Q00 0.26% 0.43% 0.17% 0.45% 1.28% 0.05% 4.82% 1.32%2Q00 0.24% 0.63% 0.18% 0.40% 1.13% 0.00% 3.23% 0.16%

Sources: Wells Fargo Securities, LLC, and Intex Solutions, Inc.


12/16


12

Cumulative Defaults by Vintage (Fixed-Rate Conduit Deals)Date 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

Oct-11 12.49% 13.89% 18.87% 15.44% 9.79% 7.29% 10.66% 14.05% 15.55% 18.39% 16.28%Sep-11 12.49% 13.88% 18.82% 15.15% 9.68% 7.27% 10.47% 13.90% 15.23% 17.96% 16.28%Aug-11 12.49% 13.79% 18.71% 14.88% 9.21% 7.19% 10.29% 13.79% 14.81% 17.31% 16.10%Jul-11 12.47% 13.74% 18.62% 14.47% 8.75% 7.16% 10.20% 13.63% 14.41% 17.07% 16.00%Jun-11 12.46% 13.71% 18.55% 14.12% 8.55% 7.08% 10.05% 13.48% 14.07% 16.64% 16.00%May-11 12.43% 13.65% 18.52% 13.48% 8.28% 6.98% 9.74% 13.34% 13.82% 16.37% 16.00%Apr-11 12.40% 13.61% 18.51% 13.22% 8.06% 6.95% 9.48% 13.13% 13.39% 15.94% 15.82%Mar-11 12.40% 13.54% 18.49% 12.93% 8.04% 6.86% 9.39% 12.88% 12.81% 15.91% 15.58%Feb-11 12.40% 13.50% 18.38% 12.43% 7.92% 6.68% 9.15% 12.57% 12.38% 15.25% 14.91%Jan-11 12.37% 13.48% 18.24% 12.01% 7.76% 6.65% 9.03% 12.22% 11.93% 14.64% 13.72%

4Q10 12.29% 13.29% 18.04% 11.61% 7.64% 6.53% 8.80% 11.68% 11.56% 13.85% 13.37%2Q10 11.83% 12.85% 15.65% 10.22% 6.68% 4.97% 7.67% 8.64% 9.72% 10.73% 11.94%4Q09 11.49% 11.49% 12.10% 8.75% 5.69% 3.98% 5.40% 5.11% 6.26% 5.86% 6.28%

2Q09 11.20% 9.73% 10.53% 7.17% 4.28% 2.25% 3.00% 2.39% 3.29% 2.98% 3.27%4Q08 10.47% 8.39% 8.99% 6.24% 3.33% 1.66% 1.41% 1.10% 1.05% 0.66% 2.23%2Q08 9.46% 7.47% 8.44% 5.63% 3.01% 1.30% 0.91% 0.77% 0.47% 0.20% 0.00%

4Q07 8.46% 7.30% 8.14% 5.22% 2.85% 1.10% 0.69% 0.59% 0.35% 0.07%2Q07 8.02% 7.19% 7.84% 4.99% 2.29% 0.87% 0.48% 0.37% 0.07% 0.01%4Q06 7.92% 7.07% 7.54% 4.77% 2.02% 0.77% 0.42% 0.27% 0.02%2Q06 7.60% 6.84% 7.33% 4.48% 1.76% 0.71% 0.37% 0.14% 0.00%

4Q05 6.81% 5.92% 6.21% 3.57% 1.16% 0.38% 0.08% 0.00%2Q05 7.18% 6.49% 7.04% 4.26% 1.51% 0.59% 0.18% 0.07%4Q04 6.30% 5.08% 5.33% 2.80% 1.02% 0.22% 0.01%2Q04 5.83% 4.43% 4.77% 2.05% 0.66% 0.05% 0.00%

4Q03 5.15% 3.60% 3.79% 1.56% 0.36% 0.03%2Q03 4.25% 2.83% 2.90% 1.04% 0.19% 0.01%4Q02 3.31% 1.85% 1.98% 0.64% 0.08%2Q02 2.88% 1.52% 1.40% 0.24% 0.00%4Q01 2.16% 1.15% 0.62% 0.06%2Q01 1.68% 0.60% 0.16% 0.00%4Q00 1.10% 0.35% 0.04%2Q00 0.87% 0.11% 0.00%

Defaults are loans reaching 60+ days delinquent.Sources: Wells Fargo Securities, LLC, and Intex Solutions, Inc.

Cumulative Losses by Vintage (Fixed-Rate Condu it Deals)Date 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

Oct-11 2.51% 2.52% 3.35% 2.52% 1.79% 1.10% 1.03% 1.39% 1.54% 1.26% 2.25%Sep-11 2.51% 2.52% 3.35% 2.52% 1.78% 1.07% 0.99% 1.38% 1.52% 1.23% 2.25%Aug-11 2.49% 2.50% 3.32% 2.51% 1.73% 0.99% 0.96% 1.34% 1.44% 1.16% 2.06%Jul-11 2.48% 2.50% 3.24% 2.51% 1.64% 0.97% 0.93% 1.29% 1.38% 0.98% 1.94%

Jun-11 2.48% 2.47% 3.19% 2.46% 1.62% 0.96% 0.89% 1.23% 1.28% 0.93% 1.89%May-11 2.44% 2.41% 3.12% 2.38% 1.53% 0.90% 0.83% 1.14% 1.15% 0.82% 1.68%Apr-11 2.43% 2.39% 3.04% 2.31% 1.42% 0.84% 0.79% 1.08% 1.03% 0.73% 1.32%Mar-11 2.41% 2.36% 2.89% 2.24% 1.33% 0.80% 0.68% 1.00% 0.86% 0.60% 0.91%Feb-11 2.41% 2.35% 2.87% 2.20% 1.29% 0.80% 0.67% 0.96% 0.85% 0.59% 0.91%Jan-11 2.39% 2.35% 2.86% 2.16% 1.27% 0.77% 0.65% 0.93% 0.81% 0.56% 0.87%

4Q10 2.26% 2.24% 2.82% 2.13% 1.24% 0.75% 0.63% 0.83% 0.76% 0.53% 0.83%2Q10 2.16% 1.88% 2.22% 1.49% 0.98% 0.45% 0.40% 0.35% 0.30% 0.19% 0.21%4Q09 1.99% 1.60% 1.86% 1.24% 0.74% 0.24% 0.23% 0.16% 0.13% 0.04% 0.07%2Q09 1.88% 1.50% 1.63% 1.05% 0.55% 0.17% 0.13% 0.07% 0.02% 0.01% 0.00%4Q08 1.83% 1.44% 1.55% 0.99% 0.49% 0.15% 0.12% 0.04% 0.01% 0.00% 0.00%2Q08 1.79% 1.43% 1.52% 0.95% 0.46% 0.08% 0.09% 0.02% 0.00% 0.00% 0.00%4Q07 1.77% 1.38% 1.45% 0.88% 0.45% 0.07% 0.05% 0.01% 0.00% 0.00%2Q07 1.71% 1.27% 1.36% 0.83% 0.40% 0.05% 0.02% 0.01% 0.00% 0.00%4Q06 1.64% 1.18% 1.29% 0.73% 0.23% 0.03% 0.01% 0.00% 0.00%2Q06 1.52% 1.02% 1.19% 0.56% 0.22% 0.02% 0.00% 0.00% 0.00%4Q05 1.43% 0.89% 1.06% 0.47% 0.17% 0.02% 0.00% 0.00%2Q05 1.32% 0.74% 0.88% 0.27% 0.11% 0.02% 0.00% 0.00%

4Q04 1.09% 0.59% 0.59% 0.21% 0.05% 0.00% 0.00%2Q04 0.91% 0.43% 0.43% 0.12% 0.02% 0.00% 0.00%4Q03 0.59% 0.32% 0.32% 0.08% 0.01% 0.00%2Q03 0.44% 0.15% 0.18% 0.04% 0.00% 0.00%4Q02 0.25% 0.09% 0.07% 0.02% 0.00%2Q02 0.11% 0.04% 0.01% 0.01% 0.00%4Q01 0.06% 0.01% 0.00% 0.00%2Q01 0.04% 0.00% 0.00% 0.00%4Q00 0.02% 0.00% 0.00%2Q00 0.01% 0.00% 0.00%

Sources: Wells Fargo Securities, LLC, and Intex Solutions, Inc.


13/16


13

Future Matur ities by Deal Vintage ($billion outstanding) Fixed-Rate Conduit Dea lsVintage 1995-1998 1999 2 000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2 010 2011 TOTALS

Ext.* 0.34 0.43 1.04 1.99 0.31 0.50 1.15 3.09 2.79 0.12 0.00 0.00 0.00 0.00 11.77

Mat.** 0.00 0.01 0.00 0.32 0.08 0.01 0.11 0.18 2.14 0.32 0.00 0.00 0.00 0.00 3.17

2011 0.01 0.01 0.01 0.41 0.91 0.03 0.61 0.72 1.70 0.80 0.00 0.00 0.00 0.00 5.202012 0.95 0.12 0.29 0.24 11.61 4.22 0.71 7.75 1.71 18.11 0.51 0.00 0.00 0.01 46.222013 1.36 1.02 0.13 0.27 0.22 20.29 6.15 1.24 4.26 2.87 0.29 0.00 0.00 0.02 38.12

2014 0.07 0.15 0.07 0.11 0.03 0.54 30.25 8.66 0.68 8.75 0.43 0.00 0.04 0.01 49.782015 0.05 0.08 0.15 0.06 0.02 0.26 0.53 76.56 15.34 1.44 0.01 0.00 1.63 0.88 97.012016 0.16 0.03 0.02 0.34 0.13 0.09 0.80 1.37 108.82 18.20 0.09 0.00 0.00 5.94 135.992017 0.60 0.02 0.02 0.02 0.22 0.15 0.11 0.98 1.74 125.77 6.25 0.00 0.38 1.15 137.422018 0.65 0.35 0.03 0.07 0.01 0.48 0.29 0.21 0.90 1.24 2.39 0.00 0.05 1.21 7.902019 0.14 0.15 0.04 0.03 0.04 0.05 0.85 0.26 0.27 0.92 0.00 0.00 0.00 0.20 2.942020 0.09 0.06 0.06 0.09 0.02 0.09 0.01 1.35 0.38 0.07 0.00 0.00 3.21 1.91 7.33

TOTALS 4.41 2.43 1.86 3.95 13.59 26.72 41.55 102.38 140.73 178.61 9.97 0.00 5.31 11.33 542.84

* Extended at least two months beyond the maturity date.

** At maturity. Includes loans extended 1 month.

Note: Excludes defeased loans.

Sources: Wells Fargo Securities, LLC, Intex Solutions, Inc., Trepp, LLC.

Future Matur ities by Deal Vintage ($billion outstanding)Large-Loan Floating Rate & Single Asset/Single Borrow er Dea lsVintage 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 TOTALS

Ext.* 0.00 0.00 0.00 0.41 1.00 2.03 1.24 0.00 0.00 0.00 4.68Mat.** 0.00 0.00 0.00 0.01 1.53 0.35 0.00 0.00 0.00 0.00 1.90

2011 0.00 0.00 0.14 0.09 0.37 2.27 0.00 0.00 7.96 0.00 10.83

2012 0.04 0.19 0.18 1.17 5.73 13.89 1.44 0.00 0.00 0.00 22.64

2013 0.00 0.18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.43 0.60

2014 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.39 0.00 0.33 0.71

2015 0.00 0.00 0.00 0.00 0.20 0.00 0.00 0.00 1.98 0.00 2.18

2016 0.00 0.00 0.00 0.00 0.80 0.00 0.00 0.00 0.00 1.69 2.49

2017 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.45 0.00 0.00 0.45

2018 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2019 0.00 0.00 0.00 0.26 0.00 0.00 0.00 0.49 0.00 0.00 0.75

2020 0.15 0.00 0.00 0.00 1.03 0.00 0.00 0.00 2.52 0.00 3.69

TOTALS 0.19 0.37 0.32 1.94 10.67 18.54 2.68 1.33 12.45 2.44 50.91

* Extended at least two months beyond the maturity date.

** At maturity. Includes loans extended 1 month.

Note: Excludes defeased loans.

Sources: Wells Fargo Securities, LLC, Intex Solutions, Inc., Trepp, LLC.


14/16

DISCLOSURE APPENDIX

Additional inform ation is available on re quest.

This report was prepared by Wells Fargo Securities, LLC.

About Wells Fargo Securities, LLCWells Fargo Securities, LLC is a U.S. broker-dealer registered with the U.S. Securities and Exchange Commission and amember of the New York Stock Exchange, the Financial Industry Regulatory Authority and the Securities InvestorProtection Corp.

Impor tant Information for Non-U.S. Recipients

EEA

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WELLS FARGO SECURITIES, LLCFIXED INCOME RESEARCH

Diane Schumaker-Krieg, Managing Director, Global Head of Research & Economics [email protected] (704) 715-843(212) 214-507

Structured Products Research

Marielle Jan de Beur, Managing Director Head of Structured Products Research [email protected] (212) 214-8047CMBS and Real Estate Research (704) 715-8425

Glenn M. Schultz, CFA, Managing Director Head of Residential Mortgage Research [email protected] (704) 383-4758

John McElravey, CFA, Director Head of Consumer ABS Research [email protected] (704) 715-761

David Preston, CFA, Director CDO and Commercial ABS Research [email protected] (704) 715-7383

Chris van Heerden, CFA, Director CMBS and Real Estate Research [email protected] (704) 715-8321

Lad Duncan, Vice President CMBS and Real Estate Research [email protected] (704) 715-7423

Mark Fontanilla, Vice President Residential Mortgage Research [email protected] (704) 383-1936

Landon Frerich, Vice President CMBS and Real Estate Research [email protected] (704) 715-8376

Randy Ahlgren, Associate Residential Mortgage Research [email protected] (704) 715-8889

Zachary L. Bolster, Associate ABS and CDO Research [email protected] (704) 715-8382

Bee Sim Koh, Associate Residential Mortgage Research [email protected] (704) 715-0536

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