cmbs strategy weekly
TRANSCRIPT
SECURITIZATION RESEARCH U.S. CMBS Strategy | 11 June 2010
PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 12
CMBS STRATEGY WEEKLY Groundhog week
Market Monitor 2
CMBS trading volume remained low, and liquidity was somewhat constrained this week, as the market had very few bids, except for generic GG10 paper. We remain under the impression that investors prefer to stay on the side lines and are still unwilling to express a view on volatility at this point.
ASER reimbursements: An emerging trend 3
We had expected an emergence of a new trend, namely a sizable increase in ASER reimbursements to the bottom tranches as the liquidation volume started to pick up. This came to fruition as the three-month running average volume of ASER reimbursements hit its highest mark ever in the May remittance period at $10.5mn.
Appendix 12
Weekly new issuance.
Julia Tcherkassova
+1 212-412-5977
Keerthi Raghavan
+1 212 412 7947
www.barcap.com
Barclays Capital | CMBS Strategy Weekly
11 June 2010 2
MARKET MONITOR
Groundhog Week
CMBS trading volume remained low, and liquidity was somewhat constrained this week, as the market had very few bids, except for generic GG10 paper. Even with the GG10s, although the intra-day trading recorded some fluctuations, the daily closing remained at the same level (+415) throughout the week.
We remain under the impression that investors prefer to stay on the side lines, and although accounts have money to put to work, they are still unwilling to express a view on volatility at this point. An unclear direction for spreads, partially attributable to the further decline in fundamentals, is also contributing to the lower appetite (hopefully temporarily) in the sector. Even the broader market rally later in the week did not translate into the CMBS market.
Apart from GG10s, there was some interest in more seasoned paper, particularly the last cash flow AAAs from 2001-03 vintages.
On the new issue front, the A-1 (5.86y) and A-2 (9.64y) tranches of the new Freddie Mac K certificate $1bn deal (FHMS K007) priced yesterday at S+60 and S+80, respectively. Marketing of the deal’s unwrapped mezzanine pieces is anticipated next week. With the JP Morgan deal expected to price today and the CMSA conference coming next week, it is likely that the sector will regain its active mode later next week.
For our focus article, concentrating on reimbursements of ASER-related interest shortfalls, please refer to page 3.
Views on a page
Comments Recommendation
Neutral on the basis – We retain our neutral stance on the basis for now. We remain neutral on AMs and negative on most AJs and subordinate tranches using our current model variables and scenarios. We still prefer outright short positions in select CMBX tranches, such as A.3. Finally, we continue to focus on relative value or swap trades across and between CMBX series/classes: buy CMBX.A.4, sell CMBX.A.3; buy CMBX.AM.2, sell CMBX.AM.5.
Neutral on basis
Sell A.3 outright
Buy A.4, sell A.3
Buy AM.2, sell AM.5
CMBS index monitor
US agg. comp.
Inv. grade
High yield
AAA current-
pay
AAA locked-
out AAA SD
All AAA AA A BBB BB
Total return
Jun. 4-Jun. 10 3 5 -7 14 12 10 12 -1 -12 -28 -34 MTD Jun. 10 11 13 -40 17 19 32 19 16 8 -38 -104 YTD 2010 1,012 1,011 2,940 727 816 872 800 1,316 1,557 2,152 3,146
Excess Return Versus:
Treasuries
Jun. 4-Jun. 10 -21 -19 -30 -5 -9 -14 -8 -31 -43 -57 -61 MTD Jun. 10 5 7 -45 12 13 26 13 10 2 -44 -110 YTD 2010 684 689 2,648 471 517 538 509 925 1,143 1,761 2,806
Swaps
Jun. 4-Jun. 10 -35 -33 -23 MTD Jun. 10 -6 -4 1 YTD 2010 662 667 490
Source: Barclays Capital
Barclays Capital | CMBS Strategy Weekly
11 June 2010 3
CMBS
ASER Reimbursements: An emerging trend
Liquidations are up: What is next? In a number of our recent publications we noted that CMBS loan liquidations finally started to pick up and continue to be on the rise. Not surprisingly, most of the recently liquidated loans were reappraised at some point prior to their disposition, triggering appraisal reduction amounts (ARAs)1. As such, the majority of recently liquidated loans accumulated massive interest shortfalls in the form of ASERs2 prior to their disposition.
ASERs are a somewhat unique category among all factors contributing to interest shortfalls because, in most instances, they could be reimbursed to the investors upon the problem loan liquidation (or even prior to such disposition). This sets ASERs apart from other “additional trust fund expenses” that are typically non-reimbursable (eg, special servicing fees). The potentially reimbursable nature of ASERs also makes their forecast a critical factor when trying to estimate cash flow expected for the bottom tranches and could be important in the valuation technique employed for pricing these tranches.
Finally, given the magnitude of recent revisions in the valuations of the CMBS underlying properties, often resulting in very sizable appraisal reductions, it is not surprising that ASERs constitute one of the biggest categories in the overall interest shortfall volume and therefore cannot be ignored.
Figure 1: ASER Reimbursements Historical Series ($ mn)
-
2
4
6
8
10
12
14
Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10
Reimbursement upon liquidation
Reimbursement prior to liqudiation
3m RA
Source: Loan Periodic Files, Barclays Capital
We anticipated an emergence of a new trend, namely a sizable increase in ASER reimbursements to the bottom tranches as the liquidation volume started to pick up. Our
1 Just as a reminder to our readers, servicers are typically required to continue advancing interest and principal only to the extent that they are deemed recoverable. If the servicer believes that the property value became impaired, often they would order a new appraisal that could be used to estimate an appraisal reduction amount. Typically, appraisal reduction amount is estimated as outstanding loan balance plus additional advances and expenses minus 90% of the new appraised value and minus funds available from the reserves, escrow and letter(s) of credit. 2 The acronym ASER stands for Appraisal Subordinate Entitlement Reduction. The term is typically used to define the difference between the full debt service payment (scheduled principal payment, if expected under the loan terms, and interest payment estimated at net coupon) and the amount that is actually advanced by the Master Servicer. While principal is typically advanced in full, interest payments are advanced only to the extent that is deemed recoverable.
Barclays Capital | CMBS Strategy Weekly
11 June 2010 4
expectations came to fruition as the three-month running average volume of ASER reimbursements hit its highest mark ever in the May remittance period at $10.5mn (Figure 1). This means that for each of the prior three months, on average, investors in the bottom tranches of CMBS deals were reimbursed $10.5mn of interest that was accrued but not paid to them (shortened) in the prior remittance periods. Specifically, May brought $11.2mn, April $12.6mn, and March $7.8mn worth of reimbursements.
Most ASERs are not lost, but just delayed This trend illustrates our position that some of the interest shortfalls should not be interpreted as “lost” but simply “delayed” interest that is still due to the bondholders and could be reasonably expected to be paid upon the problem loan resolution (via liquidation or otherwise).
In order to access the magnitude of reimbursements for specific bonds, we decided to take a closer look at the deals that experienced the substantial ASER recoveries (we decided to use a cut-off of $300K or greater on the deal collateral level) during the last remittance period. In May, as many as 135 deals had at least one loan with ASER that was either fully of partially recovered, generating about $11.2mn in ASER recoveries for the entire universe over the month. However, only 10 transactions out of these 135 saw “substantial” ASER recoveries (using our cut-off mark in excess of $300K). The list is shown in Figure 2. This table not only lists those deals that experienced the greatest ASER reimbursements on the collateral level, but also shows how ASERs contribute to the overall trust fund expenses.
Figure 2: 10 Deals with the largest ASER reimbursements in May 2010
CSFB
2005-C4
HFCMC 2000-PH1
LBUBS 2002-C2
JPMCC 2001-CIB3
WBCMT 2005-
C20 CGCMT
2008-C7
GCCFC 2006-GG7
JPMCC 2003-
CB7 BACM
2007-3
JPMCC 2007-LD11
Reimbursement for Interest on Advances
(34,601) 256 7,118 4 5 3,123
ASER Recoveries (525,585) (484,468) (467,448) (449,417) (882,389) (352,276) (342,326) (331,882) (328,117) (327,480)
Additional ASER 29,165 38,840 41,346 48,312 453,522 225,420 207,113 83,874 164,204 983,351
Special Servicing Fee 31,128 14,236 5,505 5,800 43,373 72,638 57,333 12,446 195,945 143,882
Workout Fee 219 242 1,001 3,910 2,389 332 126 2,193
Liquidation Fee 14,612
Non-Recoverable Advances
1,208,529
Other Expenses (167,568) (167,895) (3,403) 40,023
Interest on Outstanding Advances
22,289
Interest Not Advanced 21,429
Shortfall Due to Rate Modification
4,346 91,565
Total Additional Trust Fund Expenses
541,069 (599,068) (372,291) (394,048) (381,583) (48,113) (77,543) (220,819) 168,936 799,754
Reimbursed Interest Paid to Class
none M Q,S,T,U K, L, M H, J, K, L L, M, N, O K M, N, P none none
Note: ASER recoveries for WBCMT 2005-C20 were partially netted out by additional ASERs associated with the same loan. Source: Loan Periodic Files, Barclays Capital
Clearly, ASER recoveries in a single remittance period could be linked to a single or to multiple related or even unrelated loans. For example, reimbursements of interest shortfalls in LBUBS 2002-C2 (Q,S,T,U) were related to the ASER recovery associated with a single loan, Computer Sciences Building. However, in GCCFC 2006-GG7, reimbursement to the K
Barclays Capital | CMBS Strategy Weekly
11 June 2010 5
tranche could be tracked down to ASER recoveries associated with two different loans, Pleasant Hill and Eastern Hills Center (Figure 3).
Figure 3: Specific Loan that contributed to the largest ASER reimbursements in May 2010
Deal Name Loan Name Loan balance (May 10) Most recent ASER Total ASER Liquidated?
BACM 2007-3 655 Engineering 9,900,000 (767) 22,990 N
BACM 2007-3 Old Peachtree Commons 6,684,000 (7,202) 76,148 N
BACM 2007-3 Renaissance Mayflower Hotel 200,000,000 (12,840) 230,208 N
BACM 2007-3 Metropolis Shopping Center 86,000,000 (304,128) 854,674 N
BACM 2007-3 Garin Ranch 16,750,000 (3,181) 455,752 N
CGCMT 2008-C7 Mall St. Vincent 49,000,000 (90,510) - N
CGCMT 2008-C7 Steve and Barry's - Athens, GA - (261,765) - Y
CSFB 2005-C4 Normandie Holdings Portfolio I - (525,585) - Y
GCCFC 2006-GG7 Pleasant Hill - (235,419) - Y
GCCFC 2006-GG7 Eastern Hills Center - (106,906) - Y
HFCMC 2000-PH1 Tristar Tech Center - (484,468) - Y
JPMCC 2001-CIB3 1988 Tarob Court - (449,417) - Y
JPMCC 2003-CB7 Rainier Office Portfolio 18,983,126 (331,882) - N
JPMCC 2007-LD11 Worthington on the Beltway - (319,394) - Y
JPMCC 2007-LD11 1550 North Congress - (8,086) - Y
LBUBS 2002-C2 Computer Sciences Building - (467,448) - Y
WBCMT 2005-C20 Macon & Burlington Mall Pool 134,172,687 (445,233) 3,081,464 N
Source: Loan Periodic Files, Barclays Capital
In some instances, investors see substantial interest recoveries on the bond level… but not always Substantial ASER recoveries could result in partial or full reimbursements of interest shortfalls to a single or even to multiple mezzanine tranche(s) in the same remittance period. For example, investors in the LBUBS 2002-C2 deal referenced above (tranches Q through U) saw in May substantial reimbursement of interest (almost $373K for all four tranches) related specifically to the ASER reimbursements (Pleasant Hill and Eastern Hills Center loans). Other deals with substantial reimbursements that were passed to the bond level in May were JPMCC 2001-CIB3 (tranches K through M), WBCMT 2005-C20 (tranches H through L), and HFCMC 2000-PH1 (tranche M) (Figure 2).
It is not always the case that the direct impact of ASER reimbursements is visible on the bond level because these recoveries could be blended with (or even be overweighted by) other additional trust fund expenses resulting in the net effect of additional shortfalls rather than reimbursement of prior shortfalls. The perfect example of this phenomenon could be seen in the CSFB 2005-C4 deal where the overall monthly reimbursements for the May remittance period of $728K were more than netted out by other additional trust fund expenses (non-recoverable advances of $1.2mn and special servicing fees of $31K) resulting in net additional shortfalls of $541K (Figure 2). Therefore, even though bondholders in this deal still benefited from ASER reimbursements (in their absence, the interest shortfalls would have been even greater), the direct impact was not visible.
A very similar situation occurred in the JPMCC 2007-LDP11 deal, where the ASER reimbursements of $327K (related to Worthington on the Beltway and 1550 North Congress loans) were more than netted out by the new ASERs of $983K triggered by other loans.
Barclays Capital | CMBS Strategy Weekly
11 June 2010 6
The good news is ASERs could be reimbursed prior to liquidation The loan does not have to be liquidated before the investors see reimbursement of their interest linked to ASERs. Although most of the ASER reimbursements came from liquidations, a sizable reimbursement volume was related to loans that are still outstanding. For example, in April of 2010, $5.6mn out of the total $12.6mn worth of total reimbursements came from loans that were still outstanding (Figure 1 shows separately the monthly ASER reimbursement volume that came from liquidations and from loans that were still outstanding at each of the remittance periods under observation).
Generally speaking, any scenario that improves the loan credit profile could potentially result in reduction of total outstanding ASERs (and as a result, partial or full reimbursement of interest while the loan remains outstanding). More likely scenarios include but are not limited to situations when:
The loan is brought current (either by the existing borrower, who is negotiating some form of relief or modification, or by a new borrower if an original loan was assumed), servicer’s advances are reimbursed and ASERs are recovered. The $46.9mn 701 Gateway loan securitized in LBCMT 2007-C3 could serve as an illustration of this technique. Due to the low occupancy, cash flow generated by the underlying property has been insufficient to cover the debt service. However, the borrower cured the loan several times out-of-pocket, bringing it current in November of 2009 and, more recently, in April of 2009, while negotiating potential modification with the servicer. In both instances, the P&I advances were reimbursed and the ASERs were repaid.
Proceeds from a partial principal prepayment were received and were sufficient to cover servicing advances and ASERs. One of the most recent examples is the Lightstone portfolio loan in JPMCC 2006-CB15. After the sale of one of the properties underlying this portfolio, Martinsburg Mall in April 2010, the proceeds were applied to reimburse the servicer’s advances and ASERs (benefiting G and H tranches), while the remaining proceeds were applied as a principal curtailment. The loan was brought current, and its actual balance was reduced from $73.8mn to $67.5mn.
The original loan terms are modified (often, retroactively), and a new (potentially lower) monthly debt service level will potentially result in “shortfalls due to modification” rather than new ASERs; old accumulated ASERs are often reimbursed as part of the modification plan. Again, using one of the more recent examples, the $66.4mn JPIM Self Storage Portfolio loan in COMM 2006-C8 was modified and $26.4mn of the principal balance was written off (eliminating class S); however, over $600K worth of prior ASERs associated with this loan were reimbursed, reducing the additional trust fund expenses reported in April 2010.
Underlying property was re-appraised higher, resulting in lower ARA and, as a result, lower ASERs (the higher the new appraisal, the higher is the percentage the servicer has to advance).
We would like to re-emphasize that ASERs are not always reimbursable. For example, in cases of very low liquidation proceeds, the funds collected might not be sufficient to cover even the servicer advances and related expenses, and, as such, ASERs, which typically stand next in line, will not be entitled for reimbursements. Using the recent remittance period, a $5.5mn Cedar Pines loan in LBUBS 2000-C4 that accumulated more than $103K in ASERs over its life was liquidated. Since liquidation proceeds were very low, ASERs were not reimbursed (implying that investors in this deal should treat $103K as a non-reimbursable trust fund expense). Net liquidation proceeds on this loan were negative 9%.
Barclays Capital | CMBS Strategy Weekly
11 June 2010 7
Given that many of these bottom CMBS tranches were re-securitized in CRE CDOs, we believe that this emerging trend might have specific implications for selected CRE CDOs (while particular allocations of additional interest typically depend on the particular language of CRE CDO deals). As an example, we take a look at ARCAP 2004-1A. The three tranches from the JPMCC 2001-CIB3 deal highlighted in Figure 2 (L, M and N) received reimbursement of ASER related interest shortfalls in May. Based on available information, it appears that all three of these tranches were fully placed in ARCAP 2004-1A resecuritization. As such, we believe that this CDO might have received additional interest allocated to these tranches.
Barclays Capital | CMBS Strategy Weekly
11 June 2010 8
SPREAD MONITOR
Fixed-rate conduit/fusion over swaps (bp) and prices ($) Credit curve (bar shows T6M min/max spreads)
6-month
Category 6/10 1-wk. chg. Avg. High Low
AAA 3y 206 -1 199 207 185 AAA 5y 296 0 303 437 245 AAA 7y 319 -4 323 447 246
Spre
ad (
bp)
AAA sup dup 379 -2 403 551 276 AM 74 0 71 81 62 AJ 51 0 44 57 36 AA 17 0 16 17 16 A 12 0 11 12 11 BBB 9 0 9 9 9
Pric
e ($
)
BBB- 9 0 9 9 8
0
500
1,000
1,500
2,000
2,500
3,000
AAA 3yr AAA 5yr AAA 7yr AAA SD AAA AM AJ
Spread comparison versus benchmark sectors
Agency debentures Fixed-rate ABS
CMBS AAA spread pick-up (bp) CMBS spread pick-up (bp) Term Libor
OAS 6/10 6/3 6-mo. avg. Category Avg. life
Spread(Libor) 6/10 6/3 6-mo. avg.
5y 0 296 300 315 Autos – AAA 3 yr. 77 129 130 186
10y 21 359 349 392 Cr. Cards – AAA 5 yr. 76 220 219 299
HEL – AAA 5 yr. 934 -638 -639 118
Credit MBS
Spread pick-up over CMBS IG index (bp) CMBS AAA spread pick-up (bp) Spread
(Tsy) 6/10 6/3 6-mo. avg. OAD Libor OAS 6/10 6/3 6-mo. avg.
Credit index 182 -221 -219 -263 Current Coupon 6.2 14 282 279 303
Industrials 162 -240 -238 -279
Financials 258 -144 -148 -200
CDX.IG.OTR* 126 -170 -178 -220
Note: *Protection Premium
Barclays Capital | CMBS Strategy Weekly
11 June 2010 9
THE SYNTHETIC SUPPLEMENT
CMBX price monitor
CMBX.NA (composite, $) CMBX.NA (composite, $)
6-month 6-month Rating 6/10/10
1-wk. chg. Avg. High Low Rating 6/10/10
1-wk. chg. Avg. High Low
AAA.5 86.9 -0.4 85.6 86.8 80.8 AAA.1 93.1 -0.4 93.1 95.4 90.8
AM.5 75.0 -0.8 74.8 83.3 68.4 AAA.2 91.8 -0.4 90.1 94.0 86.8
AJ.5 56.8 -1.1 55.4 66.0 49.3 AAA.3 87.2 -0.5 86.0 92.0 81.4
AA.5 41.3 -1.9 35.6 45.2 30.0 AAA.4 85.5 -0.7 84.3 91.4 79.3
A.5 32.6 -1.0 28.8 37.3 25.3 BBB.1 36.2 -0.5 32.0 39.8 28.4
BBB.5 20.0 -0.3 18.3 22.4 16.2 BBB.2 23.9 -0.3 20.8 25.5 18.0
BBB-.5 19.0 -0.2 17.0 21.0 15.0 BBB.3 18.4 -0.1 16.1 21.0 13.6
BB.5 5.0 0.0 5.0 5.6 5.0 BBB.4 20.1 -0.2 18.2 22.4 16.2
Note: 6-month statistics and weekly change based on chained index (Series 1, 2, 3, 4 & 5). Source: Markit Partners, Barclays Capital
Basis watch
AAA CMBX-Cash Basis
-700
-600
-500
-400
-300
-200
-100
0
12/31/2008 2/28/2009 4/30/2009 6/30/2009 8/31/2009 10/31/2009 12/31/2009 2/28/2010 4/30/2010
OTR CMBX AAA versus2007+ LCF cash spreads
Source: Markit Partners, Barclays Capital
TRX ABX
1-month 6-month 6/10/10 1-wk Chg Avg. High Low
Rating 6/10/10 1-wk Chg Avg. High Low
Cash Index 316 4 305 325 276 PEN 74.1 -0.6 73.7 79.3 70.5
Jun-10 310 -7 311 335 260 AAA 53.6 -0.5 49.8 59.0 43.8
Sep-10 303 -8 305 329 252 AA 15.9 -0.1 13.2 16.1 10.5
Dec-10 293 -7 298 324 244 A 5.5 0.1 5.1 5.6 4.7
Mar-11 290 -10 291 315 238 BBB 7.2 0.0 6.2 7.3 4.9
BBB- 6.5 0.0 5.7 6.7 4.7
Source: Markit Partners, Barclays Capital
Barclays Capital | CMBS Strategy Weekly
11 June 2010 10
CMBX Valuation (as of 6/9/2010)
Est Fair Px ($) Bond Loss (%) Loss Timing (yr) TTM
CMBX Cpn (bp)
Eff Cpn (bp) Px ($)
Impl. Spd (bp)
Avg CS (%) Wt Avg Base Stress Wt Avg Base Stress Wt Avg Base Stress Max Px Min Px
Daily Px Vol
AAA.1 10 10 93.1 155 31.0 91.6 92.1 89.6 0.0 0.0 0.0 6.2 5.8 7.9 95.4 84.4 0.6 AM.1 50 50 85.2 366 20.6 91.5 92.0 89.8 0.3 0.0 0.8 8.7 8.4 10.4 92.0 84.7 0.4 AJ.1 84 84 79.0 554 12.9 86.0 90.5 74.6 9.5 4.2 22.0 9.0 9.1 9.7 87.3 50.3 1.3 AA.1 25 25 65.0 866 10.7 66.8 77.2 35.7 26.4 13.4 64.4 8.3 9.0 7.0 75.4 36.0 1.4 A.1 35 34 53.0 1,281 7.8 49.4 58.7 17.1 47.4 36.5 84.5 7.3 8.0 5.5 62.1 26.5 1.4 BBB.1 76 69 36.0 2,012 4.5 20.5 23.3 1.6 80.0 77.1 100.0 4.7 5.0 2.9 39.8 17.0 1.2 BBB-.1 134 106 27.1 2,522 3.2 12.5 12.4 0.9 88.7 89.3 100.0 3.6 3.7 2.4 31.0 14.1 0.9 AAA.2 7 7 91.7 161 30.7 90.6 91.0 89.0 0.0 0.0 0.0 6.8 6.5 8.2 94.0 76.4 0.8 AM.2 50 50 81.1 418 20.3 90.6 91.4 88.5 0.8 0.0 1.8 9.5 9.2 11.1 89.2 76.7 0.5 AJ.2 109 109 71.9 703 12.4 83.3 92.4 59.7 15.1 4.1 43.0 9.5 9.9 9.4 80.5 40.9 1.5 AA.2 15 14 52.1 1,159 10.3 56.8 67.3 22.8 37.7 24.4 79.1 8.3 9.0 7.0 62.3 24.4 1.4 A.2 25 24 42.0 1,561 7.6 33.4 38.9 4.0 66.0 60.0 99.9 6.7 7.4 4.5 48.2 18.2 1.4 BBB.2 60 57 23.8 2,639 4.2 5.3 3.1 -0.1 95.6 98.2 100.0 3.2 3.1 2.1 26.4 12.4 0.8 BBB-.2 87 56 18.0 3,233 3.0 0.7 0.2 -0.3 99.5 100.0 100.0 2.2 2.1 1.8 20.8 10.8 0.6 AAA.3 8 8 87.1 236 30.4 89.8 90.3 88.2 0.0 0.0 0.0 7.5 7.2 9.0 92.0 69.6 1.0 AM.3 50 50 75.8 510 20.3 85.6 89.9 77.1 6.6 1.1 16.5 10.2 10.1 11.2 84.9 68.9 0.7 AJ.3 147 147 56.5 1,138 11.5 65.1 77.0 26.0 39.3 25.1 85.9 8.9 9.6 7.3 66.6 30.2 1.5 AA.3 27 26 35.4 1,768 9.5 24.4 26.1 2.5 76.6 75.6 100.0 6.3 7.0 3.8 42.0 17.3 1.1 A.3 62 54 26.5 2,349 7.1 8.1 5.1 0.8 95.3 100.0 100.0 4.3 4.5 2.6 34.5 15.0 0.9 BBB.3 200 163 18.4 3,432 3.8 1.6 1.2 0.4 99.7 100.0 100.0 2.2 2.2 1.9 23.1 11.4 0.6 BBB-.3 320 211 16.1 4,146 2.7 0.9 0.8 0.3 100.0 100.0 100.0 1.8 1.8 1.6 20.3 10.5 0.4 AAA.4 35 35 85.4 283 30.1 90.7 91.1 89.0 0.4 0.2 0.8 8.2 7.9 9.6 91.4 67.7 1.0 AM.4 50 50 74.0 519 20.0 78.7 86.5 59.7 14.9 4.1 39.8 10.4 10.6 10.8 80.8 65.1 0.9 AJ.4 96 96 53.0 1,116 12.4 52.1 60.2 18.1 51.5 42.4 90.7 8.8 9.6 6.7 60.6 28.5 1.4 AA.4 165 165 37.1 1,843 10.2 25.5 25.7 8.9 82.6 83.5 96.6 6.0 6.3 4.1 41.4 17.1 1.1 A.4 348 348 31.1 2,518 7.8 17.9 17.4 6.0 92.8 94.6 100.0 4.4 4.6 3.1 35.1 15.0 1.1 BBB.4 500 413 20.0 4,012 4.4 7.0 6.7 2.8 99.1 100.0 100.0 2.6 2.6 2.1 22.6 11.3 0.6 BBB-.4 500 319 19.0 4,162 3.3 3.3 3.4 1.3 99.9 100.0 100.0 2.2 2.2 1.9 21.0 10.5 0.5 AAA.5 35 35 86.7 252 29.9 90.5 91.1 88.5 0.4 0.2 1.0 8.3 7.9 9.9 91.6 67.7 0.9 AM.5 50 50 74.9 484 19.9 79.5 84.5 65.5 13.3 6.7 30.2 10.3 10.3 10.9 83.3 68.4 0.8 AJ.5 98 98 56.8 973 12.8 58.3 67.2 29.1 43.5 32.6 78.6 9.2 9.8 7.8 66.0 28.6 1.4 AA.5 175 175 41.7 1,600 10.7 36.9 40.5 12.4 71.4 68.4 96.8 6.9 7.4 5.1 45.2 17.0 1.2 A.5 350 350 32.6 2,393 8.1 27.3 28.5 7.9 85.9 86.6 100.0 5.4 5.8 3.5 37.3 15.0 1.0 BBB.5 500 438 20.0 3,968 4.7 12.4 12.8 2.8 95.5 96.0 100.0 3.3 3.4 2.2 22.7 11.3 0.5 BBB-.5 500 331 19.0 4,103 3.7 6.8 6.9 1.5 97.3 97.1 100.0 2.6 2.6 2.1 21.0 10.5 0.5
Source: Barclays Capital
Barclays Capital | CMBS Strategy Weekly
11 June 2010 11
RESEARCH CATALOG
Highlighted Publications/Presentations
05/04/2010 Agency CMBS Primer: Freddie Mac K Certificates Program
02/22/2010 Theories of CMBS relativity
02/09/2010 Initial thoughts on AM CMBX
12/21/2009 CMBS 2010 Outlook: Mind the Gap(s)
12/03/2009 5Five CMBS Stories
09/03/2009 Reaction to legacy CMBS TALF
06/29/2009 A slight pullback by S&P
06/16/2009 CRE Debt in Contraction
05/21/2009 Initial reaction to legacy CMBS terms
04/20/2009 Legacy TALF for CMBS: Updating upside
03/25/2009 PPIP: Time for detox
01/09/2009 CMBS in 2009: Deleveraging, defaults, and distress
11/14/2008 Negative CPA: Update on Commercial Property Values
09/08/2008 Near-term Refinancing Risk in Fixed-Rate CMBS Pools: An Update
06/27/2008 A Macro Approach to CRE Fundamentals/CMBS Losses: Part II
06/20/2008 A Macro Approach to CRE Fundamentals/CMBS Losses: Part I
05/30/2008 Pro Forma Now…Performing Later?
05/01/2008 CMBS: Chaos Theory
05/01/2008 CMBS Derivative Workshop
04/11/2008 A Guide to CMBS Loss-adjusted Yields
09/11/2007 CMBS Market Correction and Commercial Property Valuations
06/29/2007 Credit Performance by Property Market Size
05/11/2007 A Look at Early Stage Delinquencies
03/21/2007 The Commercial Real Estate Cycle and CMBS
03/21/2007 Evolving Collateral Trends: Paradigm Shift or Slippery Slope?
03/21/2007 Risk/Reward Across the CMBX Capital Structure
11/22/2004 Moody’s-Lehman Brothers Study of Loss Severity in Defaulted CMBS Loans
Primers
06/26/2008 CMBX Calculator on LehmanLive
11/08/2007 CMBX Valuation: Version 2.0 of Loss Dispersion Approach
03/17/2006 Introduction to CMBX
11/21/2005 Credit Default Swaps in CMBS: An Introduction
Surveillance Analytics Keyword
The Surveillance Platform provides credit risk analysis for the entire US CMBS fixed rate universe
CMBS Deal Portal CMBSDeal
Click on deal name to access full suite of Surveillance Analytics
Written analysis for all Delinquent and Specially Services Assets
Bond Credit Evaluator CMBSCE
A CUSIP driven report for comparing multiple bonds
Use for relative credit analysis for CMBS bid lists
Calculators/Models
CMBX Calculator CMBXCalc
CMBS Single Security Calculator MCALC
CMBS Multiple Security Calculator MSA
CMBS Portal Pages
Publications CMBS Access our latest research
Market Monitor CMBSMM CMBX & Cash Spreads and Index Returns
Calculators/Models CMBSCalc CMBS/X Calculators and Models Overviews
Surveillance CMBSSurv Surveillance Tools and Reports
Index Analysis CMBSIndex CMBS Indices' Returns
Charts CMBSTSP Charts of relevant CMBS data series
Surveillance Reports
Delinquency Performance Reports
Overall Performance
Contributor Performance
Deal Performance
Property Type Performance
State Performance
Vintage Performance Prepayments
List of Prepayments and Penalties
Historical CPR Report
Barclays Capital | CMBS Strategy Weekly
11 June 2010 12
APPENDIX: CMBS NEW ISSUANCE SUMMARY
Month Conduit Floating-
Rate
Single-Borrower/
Asset Small
Balance Agency SeasonedSubordinate
Debt Domestic Non-U.S. CDO 2010
Total* 2010
Cum.* 2009
Total* 2009
Cum.*
January 0 0 1,900 0 1,107 0 0 3,007 0 840 3,007 3,007 8,787 8,787
February 0 0 303 0 2,471 0 0 2,774 1,655 651 4,429 7,436 10,729 19,516
March 0 0 0 0 4,160 0 0 4,160 552 123 4,713 12,149 1,396 20,912
April 310 0 1,426 0 1,344 0 0 3,080 470 150 3,550 15,699 168 21,079
May 0 0 0 0 1,181 0 0 1,181 0 743 1,181 16,879 446 21,526
June 4,553 26,079
July 1,348 27,427
August 1,002 28,429
September 456 28,885
October 1,792 30,677
November 1,635 32,312
December 960 33,272
2010 Total 460 0 3,629 0 10,112 0 0 14,202 2,677 2,584 16,879 33,272
2009 Total 0 0 2,089 80 8,055 0 0 10,223 23,049 3,400 33,272
2008 Total 10,708 1,438 0 0 3,674 0 0 15,398 17,764 0 33,162
2007 Total 189,298 20,865 13,548 2,367 3,166 4,122 0 233,365 86,122 17,787 319,487
2006 Total 162,813 27,128 10,857 N/A 7,452 245 615 209,111 96,230 25,546 305,340
2005 Total 136,224 19,688 11,170 N/A 4,625 2,088 0 173,794 70,299 14,300 244,093
2004 Total 74,064 13,093 5,672 N/A 6,220 285 0 99,334 35,196 3,888 134,530
2003 Total N/A N/A N/A N/A N/A N/A N/A 77,800 20,800 N/A 98,600
2002 Total N/A N/A N/A N/A N/A N/A N/A 66,400 28,700 N/A 95,100
2001 Total N/A N/A N/A N/A N/A N/A N/A 74,400 22,700 N/A 97,100
2000 Total N/A N/A N/A N/A N/A N/A N/A 60,900 12,000 N/A 72,900
Note: Year-to-date issuance includes all transactions priced through 6/10/2010. *CDO issuance is not included in the totals. Source: CM Alert
$0
$5,000
$10,000
$15,000
$20,000
$25,000
$30,000
$35,000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec$0
$2,000
$4,000
$6,000
$8,000
$10,000
$12,000
2010 Total* 2009 Total* 2009 Cum.* 2010 Cum.*
Cumulative Issuance Monthly
Source: CM Alert
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