commercial mortgage market monitor december 2018 · 2020-02-03 · overview the cmbs 2.0...
TRANSCRIPT
MORTGAGE-BACKED SECURITIES
Commercial Mortgage Market Monitor
December 2018 Remittances
Table of Contents Foreword ............................................................................................ 2
Overview ............................................................................................ 3
Section A: Delinquencies .................................................................. 3
I. Delinquencies as a % of Unpaid Principal Balance ............. 5
II. Watch List Exposure .............................................................. 8
III. Special Servicing Exposure ............................................. 10
IV. Delinquency Broken Out by Vintage ............................... 15
V. Delinquency Broken Out by Status ..................................... 17
VI. Delinquency Broken Out by Property Type..................... 19
VII. Maturing Loans Summary .............................................. 21
VIII. Defeased Loan Trends .................................................... 24
Section B: Losses ............................................................................ 26
I. CDRs .................................................................................... 27
II. Loan Level Losses ................................................................ 29
III. Aggregate Severity Greater than 2% ............................... 30
IV. Average Severity by Property Type .................................. 33
V. Average Number of Months to Liquidation ....................... 37
Section C: Prepayments .................................................................. 39
I. Top 10 Largest Refinancings ............................................... 40
II. Top 10 Largest Refinancings with Yield Maintenance ... 42
III. Top 10 Largest Refinancings with Prepayment Penalties .. 44
Section D: Appraisal Reductions .................................................... 46
I. Percentage of Balance with Appraisal Reduction ............... 47
Section E: Modifications ................................................................. 49
I. Modifications by Type ......................................................... 50
Section F: Commercial Property Prices .......................................... 53
I. Moody’s Commercial Property Price Index (CPPI) ............ 54
Section G: CMBS Securitization Volumes………………………………..56
2
Foreword
The Commercial Mortgage Market Monitor provides a monthly snapshot of key risk metrics in the Commercial Mortgage Market. The primary sources of data include Intex and Moody’s. The following definitions will facilitate the use of this report. WATCH LIST If the Master Servicer observes that a loan is headed for distress it may put the loan on “negative credit watch.” The loan typically remains on watch until the Master Servicer/Special Servicer has deemed that the acute credit risk has dissipated. SPECIAL SERVICING When a loan goes delinquent, servicing is transferred from the Master Servicer to the Special Servicer. Likewise, if the Master Servicer believes that delinquency is very likely and curing in a reasonable amount of time is unlikely a transfer to the Special Servicer will occur prior to delinquency. The Special Servicer’s responsibility is to maximize the net present value of the proceeds realized from the loan. Typically, the Special Servicer has substantial commercial real estate experience and uses it to decide whether to initiate foreclosure and liquidate the loan or restructure the loan and return it to the Master Servicer. DELINQUENCY Any loan that is 30 days or more delinquent or is in Foreclosure or REO is flagged as “Delinquent” for the purposes of this report. APPRAISAL REDUCTION Typically, if a property is worth less than 90% of the loans unpaid balance, the Special Servicer is required to reset the principal loan amount to the new appraisal value. This is called appraisal reduction and is meant to preserve capital for senior certificates at the expense of junior classes. In this report we track the percentage of the CMBS loan universe that has received appraisal reductions. MODIFICATION As an alternative to liquidation through foreclosure the Special Servicer may modify the loan in accordance with the guidelines of the Pooling and Servicing Agreement. These modifications can include: maturity date extensions, change to the amortization structure, principal forgiveness, temporary rate reduction, capitalization of delinquent interest, capitalization of delinquent interest, or any combination of these modifications. In this report we track the percentage of the CMBS loan universe that has received modifications. MOODY’S/REAL CPPI The Moody’s/REAL Commercial Property Index (CPPI) methodology was developed by the Massachusetts Institute of Technology Center for Real Estate industry partner Real Capital Analytics, Inc. The index is designed to track changes in price on commercial properties involved in two or more transactions over time. Appraisal valuations are not used as part of the index but each transaction carries the same weight. The national all-property index is published monthly. Historical data are available as far back as December 2000.
3
Overview
The CMBS 2.0 delinquency rate increased minimally in December from 0.57% to 0.58%. The special servicing (SS) rate increased from 1.17%
to 1.28% with thirty loans totaling $653MM transferring to SS.
There were 22 loans ($292.5MM) that became newly delinquent in December. One large, notable delinquency was the $54MM West Ridge
Mall & Plaza (5% COMM 2014-CR16). The loan is secured by the fee simple interest in a portion of a two-story super regional mall and a
portion of an anchored retail center located in Topeka, Kansas.
The collateral for the West Ridge Mall & Plaza Loan is 482,602 total square feet which consists of 392,249 square feet at the West Ridge Mall
property and 90,353 square feet at the West Ridge Plaza property. The West Ridge Mall is a super-regional mall with five anchor tenants at the
time of loan origination, including Dillard’s, JC Penney, Furniture Mall of Kansas, Sears, and Burlington Coat Factory. The West Ridge Plaza is
an anchored retail center with two anchor tenants at the time of loan origination including Target and Toys R Us.
Asset performance has declined since underwriting. Most recent reported occupancy sits at 85% versus 90% at the time of underwriting. The
borrower (Washington Prime Group) was not able to make their November loan payment. The loan is in delinquency status due to imminent
default.
There were no large CMBS loans that took material losses in December.
In new issue CMBS, seven private label deals ($5.1BN) priced, including five conduit deals ($4.2BN) and two single asset/single borrower
(SASB) deals ($0.9BN). Four of the five conduit transactions utilized a horizontal risk retention structure while one deal used an L-shaped risk
retention piece. The AAA LCFs priced at a weighted average spread of swaps +103 bps which is 10 bps wider versus the November weighted
average.
The largest SASB transaction was a $597MM 2yr floater with five 1yr extension options collateralized by the Grande Lakes Resort in Orlando,
Florida. The Grande Lakes Resort is a 1,580 room full service resort comprised of the 582 room Ritz-Carlton Grande Lakes Luxury Hotel and
the 998 room JW Marriott Grande Lakes Luxury Hotel. The loan proceeds were used by GLO Hotel Owner LLC, a joint venture among funds
managed by Elliott Management and Trinity Real Estate Investments, to acquire the resort. The AAA tranche priced at 1mL + 128 bps and the
deal utilized a horizontal risk retention structure.
2018 private label issuance across conduit/SASB totaled $75.8BN across 119 deals, compared to $82BN of private label conduit/SASB
issuance that priced across 116 deals in 2017.
4
Section A:
5
I. Delinquencies as a % of Unpaid Principal Balance
6
0.58%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
CMBS 2.0 Delinquency PercentageCMBS 2.0 Delinquency PercentageCMBS 2.0 Delinquency PercentageCMBS 2.0 Delinquency Percentage
Newly Delinquent 30++ % (rhs)
Delinquent 30+%
Exhibited by TCW from Intex Data
7
Top 10 Largest CMBS 2.0 Loans Entering Delinquency
Deal Property Name Type Balance % Deal Tapedate DQ Status City
COM14C16 West Ridge Mall & Plaza Retail 49,930,599 5.0% 12/10/1830 Days Topeka, KS-100.00%
COM14UB2 Canyon Crossing Retail 44,071,672 4.0% 12/10/1830 Days Riverside-San Bernardino-Ontario, CA
COM13C12 Harbourside North Office 37,711,067 3.6% 12/10/1830 Days Washington-Arlington-Alexandria, DC-VA-MD-WV
WFC16C35 San Fernando Value Square Retail 23,439,970 2.3% 12/15/1830 Days Los Angeles-Long Beach-Anaheim, CA
GS213G14 Indiana Mall Retail 14,248,070 1.3% 12/10/1830 Days Indiana, PA
CSI17CX9 Tenalok Portfolio Retail 13,241,734 1.5% 12/15/1830 Days Memphis, TN-MS-AR-71.15% Bartlesville, OK-
15.54% WFC15C31 Windsor Square Retail 12,100,000 1.3% 12/15/1830 Days Knoxville, TN
MSB14C14 Pence Building Office 9,448,432 0.8% 12/15/1830 Days Minneapolis-St. Paul-Bloomington, MN-WI
CFCR16C4 Wharfside Village Other 8,929,382 1.1% 12/10/1830 Days NULL
SGCM16C5 Shilo Inn Newport Hotel 8,730,091 1.2% 12/10/1830 Days Newport, OR
Total 221,851,018
Exhibited by TCW from Intex Data
8
II. Watch List Exposure
9
10.19%
0%
2%
4%
6%
8%
10%
12%
CMBS 2.0 Watch List Exposure PercentageCMBS 2.0 Watch List Exposure PercentageCMBS 2.0 Watch List Exposure PercentageCMBS 2.0 Watch List Exposure Percentage
Exhibited by TCW from Intex Data
10
III. Special Servicing Exposure
11
1.28%
0%
1%
2%
3%
4%
5%
CMBS 2.0 Special Servicing Exposure PercentageCMBS 2.0 Special Servicing Exposure PercentageCMBS 2.0 Special Servicing Exposure PercentageCMBS 2.0 Special Servicing Exposure Percentage
Exhibited by TCW from Intex Data
12
Hotel 17.2%
Industrial 1.4%
Multi-Family 13.5%
Office 20.3%
Other 15.0%
Retail 32.6%
Property Type Stratification Property Type Stratification Property Type Stratification Property Type Stratification ---- Specially Serviced AssetsSpecially Serviced AssetsSpecially Serviced AssetsSpecially Serviced Assets
Exhibited by TCW from Intex Data
13
Top 10 Largest CMBS 2.0 Loans Entering Special Servicing
Deal Property Name Type Balance % Deal Tapedate DQStatus City
WFC15NX1 Patriots Park Office 95,000,000 10.2% 12/15/18 <30 Days Washington-Arlington-Alexandria, DC-VA-MD-
WV WFC15NX2 Patriots Park Office 90,000,000 10.1% 12/15/18 <30 Days Washington-Arlington-Alexandria, DC-VA-MD-
WV MSB14C16 Outlets of Mississippi Retail 62,000,000 5.1% 12/15/18 Current Jackson, MS
COM14C16 West Ridge Mall & Plaza Retail 49,930,599 5.0% 12/10/18 30 Days Topeka, KS-100.00%
COM14UB2 Canyon Crossing Retail 44,071,672 4.0% 12/10/18 30 Days Riverside-San Bernardino-Ontario, CA
CTG15G27 Highland Square Multi-Family 38,220,000 3.3% 12/10/18 Current Oxford, MS
COM14C18 Met Center 10 Industrial 27,176,784 2.9% 12/15/18 <30 Days Austin-Round Rock, TX
COM15C22 Patriots Park Office 26,000,000 2.1% 12/10/18 <30 Days Washington-Arlington-Alexandria, DC-VA-MD-
WV COM13CC9 Raintree Apartments Multi-Family 25,755,742 2.3% 12/10/18 <30 Days Buffalo-Cheektowaga-Niagara Falls, NY
COM14C20 Two Park Central Office 17,168,266 1.5% 12/10/18 <30 Days Albuquerque, NM
Total 475,323,062
Exhibited by TCW from Intex Data
14
0.715%0.566%
10.192%
1.281%
0%
2%
4%
6%
8%
10%
12%
Watch List and Special Servicing SummaryWatch List and Special Servicing SummaryWatch List and Special Servicing SummaryWatch List and Special Servicing Summary
SS and Cur
SS and DQ
Watch List
Special SVC Pct
Exhibited by TCW from Intex Data
15
IV. Delinquency Broken Out by Vintage
16
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
Aug-18 Sep-18 Oct-18 Nov-18 Dec-18
Monthly 30+ Delinquent % by Vintage Monthly 30+ Delinquent % by Vintage Monthly 30+ Delinquent % by Vintage Monthly 30+ Delinquent % by Vintage
2010 2011 2012 2013 2014 2015 2016
Exhibited by TCW from Intex Data
17
V. Delinquency Broken Out by Status
18
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18
Monthly Delinquency % by StatusMonthly Delinquency % by StatusMonthly Delinquency % by StatusMonthly Delinquency % by Status
DQ30 DQ60 DQ90P FC REO
Exhibited by TCW from Intex Data
19
VI. Delinquency Broken Out by Property Type
20
1.23%
0.3%0.2%
0.7%0.8%
0.6%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
Property Type Monthly Delinquency: as Percentage of Property Property Type Monthly Delinquency: as Percentage of Property Property Type Monthly Delinquency: as Percentage of Property Property Type Monthly Delinquency: as Percentage of Property TypeTypeTypeType
Multi-Family Office Industrial Hotel Retail Other
Exhibited by TCW from Intex Data
21
VII. Maturing Loans Summary
22
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Maturing Loans SummaryMaturing Loans SummaryMaturing Loans SummaryMaturing Loans Summary
Paid off no extension Paid off with extension Paid off in later quarter Unpaid Paid off with loss
Exhibited by TCW from Intex Data
23
Top 10 Largest Loans Maturing without Payoff
Deal Property Name Type Balance % Deal Tapedate Maturity DQStatus City
COM13C12 SpringHill Suites Bel Air Hotel 8,567,749 1% 12/10/18 11/06/18 Current Baltimore-Columbia-Towson, MD
WFR13UB1 Gander Mountain Tuscaloosa Retail 3,754,105 1% 12/15/18 11/01/18 REO Tuscaloosa, AL
IMPF1001 Vintage Knolls Senior
Apartments
Multi-
Family
1,110,349 1% 12/25/18 11/01/18 Current Sacramento--Roseville--Arden-
Arcade, CA Total 13,432,203
Exhibited by TCW from Intex Data
24
VIII. Defeased Loan Trends
25
3.38%
0%
1%
1%
2%
2%
3%
3%
4%
4%
Outstanding Defeased Loan Balance as % of CMBS UniverseOutstanding Defeased Loan Balance as % of CMBS UniverseOutstanding Defeased Loan Balance as % of CMBS UniverseOutstanding Defeased Loan Balance as % of CMBS Universe
Exhibited by TCW from Intex Data
26
Section B: LossesLossesLossesLosses
27
I. CDRs
28
0.1
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
CMBS Universe CDRsCMBS Universe CDRsCMBS Universe CDRsCMBS Universe CDRs
Exhibited by TCW from Intex Data
29
II. Loan Level Losses
30
Loans with Losses Greater than 2%
Deal Property Name Type Balance % of Deal Loss LossPct Tapedate City
COM13CC
6
La Quinta Inn & Suites Canton Hotel 3,573,743 0.3% 601,822 16.8% 12/10/18 Canton-Massillon, OH
Subtotals 3,573,743 601,822 16.8%
Loans with Losses Less than 2%
Deal Property Name Type Balance % of Deal Loss LossPct Tapedate City
Subtotals - - #DIV/0!
Aggregate Totals 3,573,743 601,822 16.8%
31
III. Aggregate Severity Greater than 2%
32
Totals Balance Loss Amt Avg Severity Count
Dec-18 47,690,545 41,874,016 83.6% 7
Nov-18 63,494,311 49,690,585 76.1% 2
Oct-18 34,647,154 35,412,984 103.1% 3
Sep-18 13,343,182 4,059,399 29.2% 2
Aug-18 4,103,474 3,391,372 82.6% 1
Jul-18 23,151,359 10,225,836 45.2% 2
Jun-18 70,447,140 46,427,798 66.3% 11
May-18 25,333,283 12,864,068 45.9% 4
Apr-18 7,518,024 3,912,153 52.0% 1
Jan-18 15,438,934 8,943,647 55.0% 2
Nov-17 17,942,540 8,643,041 49.6% 2
Aug-17 5,495,687 3,518,584 63.4% 2
Jul-17 937,061 720,934 76.9% 1
Apr-17 23,389,777 8,353,097 35.7% 1
Mar-17 7,184,789 3,063,581 70.1% 2
Feb-17 37,715,064 14,686,944 39.0% 2
Jan-17 76,640,608 49,503,297 56.6% 4
Jun-16 498,663 170,444 34.2% 1
Feb-16 12,397,817 7,105,002 57.3% 1
Exhibited by TCW from Intex Data
33
-
1
2
3
4
5
6
7
8
9
10
11
12
0%
20%
40%
60%
80%
100%
120%
Average Loss Severity and Number of Liquidations
Liquidation Count (rhs) Severity
34
IV. Average Severity by Property Type
35
All Loans
Prop Type Balance Loss Severity Count
Hotel 3,573,743 601,822 16.8% 1
Total 3,573,743 601,822 16.8% 1
Loans with severity greater than 2%
Prop Type Balance Loss Severity Count
Hotel 3,573,743 601,822 16.8% 1
Total 3,573,743 601,822 16.8% 1
Loans with severity less than 2% Exhibited by TCW from Intex Data
36
Prop Type Balance Loss Severity Count
Total - - #DIV/0! -
Exhibited by TCW from Intex Data
37
V. Average Number of Months to Liquidation
38
0
1
2
3
4
5
6
7
8
0
10
20
30
40
50
60
70
80
90
Average Number of Months to LiquidationAverage Number of Months to LiquidationAverage Number of Months to LiquidationAverage Number of Months to Liquidation
Liquidation Count (rhs) Avg Months to Liquidation
Exhibited by TCW from Intex Data
39
Section C: Prepayments
40
I. Top 10 Largest Refinancings
.
41
Deal Property Name Type Balance Pct TapeDate Prepay Action
COM15C22 Lions Run Apartments Multi-Family 5,259,560 0% 12/10/18 Disposition / Liquidation
Total 5,259,560
Exhibited by TCW from Intex Data
42
II. Top 10 Largest Refinancings with Yield Maintenance
43
Deal Property Name Type Balance Pct Date DispositionType City
JPB13C17 EIP National Industrial 89,677,624 11% 11/30/18 Payoff With Yield Maintenance Chicago-Naperville-Elgin, IL-IN-WI-23.70%
Orlando-Kissimmee-Sanford, FL-21.78% JPC11C05 Google Kirkland Campus Office 46,349,249 8% 12/01/18 Payoff With Yield Maintenance Seattle-Tacoma-Bellevue, WA
JPC12LC9 Torrance Towne Center Retail 45,368,584 6% 12/01/18 Payoff With Yield Maintenance Los Angeles-Long Beach-Anaheim, CA
CTG14G23 Dolce Living Rosenberg Multi-Family 33,000,000 3% 12/01/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX
JPC16JP3 Homewood Suites Nashville
Downtown
Hotel 23,065,372 2% 12/01/18 Payoff With Yield Maintenance Nashville-Davidson--Murfreesboro--
Franklin, TN BCR18CR3 Legacy at Westchase Apartments Multi-Family 20,200,000 7% 12/07/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX
JPC16JP4 The Riviera Multi-Family 15,065,434 2% 12/03/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX
JPC16JP3 Shadow Creek Apartments Multi-Family 14,054,730 1% 12/01/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX
JPC13C10 Pine Island Road Portfolio Office 10,173,476 1% 11/09/18 Payoff With Yield Maintenance Miami-Fort Lauderdale-West Palm Beach,
FL-100.00% CTG12GC8 Dallas & OKC MHC Portfolio
(Stonetown Acquisitions)
Other 6,927,406 1% 11/27/18 Payoff With Yield Maintenance Oklahoma City, OK-77.22% Dallas-Fort
Worth-Arlington, TX-22.78% Total 303,881,875
Exhibited by TCW from Intex Data
44
III. Top 10 Largest Refinancings with Prepayment Penalties
45
Deal Property Name Type Balance Pct Date DispositionType City
IMPF1001 Bermuda Park Apartments Multi-Family 1,774,653 1% 11/30/18 Payoff With Penalty Riverside-San Bernardino-Ontario, CA
Total 1,774,653
Exhibited by TCW from Intex Data
46
Section D: Appraisal Reductions
47
I. Percentage of Balance with Appraisal Reduction
48
0.378%
37.8%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
50.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Appraisal Reduction on CMBS UniverseAppraisal Reduction on CMBS UniverseAppraisal Reduction on CMBS UniverseAppraisal Reduction on CMBS Universe
Pct w/Appraisal Reduction
Appraisal Reduction Amt
Exhibited by TCW from Intex Data
49
Section E: Modifications
50
I. Modifications by Type
51
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Percent CMBS Universe with ModificationPercent CMBS Universe with ModificationPercent CMBS Universe with ModificationPercent CMBS Universe with Modification
Maturity Ext Amort Change Prin Forgiveness Temp Rate Reduction
Interest Capitalization Taxes Capitalization Other Combination
Exhibited by TCW from Intex Data
52
Top 10 Largest Legacy Loans Modified
Exhibited by TCW from Intex Data
53
Section F: Commercial Property Prices
54
I. Moody’s Commercial Property Price Index (CPPI)
55
0
20
40
60
80
100
120
140
160
Moody's Commercial Property Price Index (CPPI)Moody's Commercial Property Price Index (CPPI)Moody's Commercial Property Price Index (CPPI)Moody's Commercial Property Price Index (CPPI)
Index, December 2000 = 100 Non-Major Markets All Properties Major Market All Properties
Exhibited by TCW from Moody’s
56
Section G: CMBS Securitization Volumes
57
-
10,000
20,000
30,000
40,000
50,000
60,000
70,000
80,000
90,000
Conduit SASB/FLTR Total
Quarterly CMBS Origination Volume in MillionsQuarterly CMBS Origination Volume in MillionsQuarterly CMBS Origination Volume in MillionsQuarterly CMBS Origination Volume in Millions
Q42000
Q42001
Q42002
Q42003
Q42004
Q42005
Q42006
Q42007
Q42008
Q42009
Q42010
Q42011
Q42012
Q42013
Q42014
Q42015
Q42016
Q42017
Q42018
Exhibited by TCW from Bloomberg
58
-
50,000
100,000
150,000
200,000
250,000
Conduit SASB/FLTR Total
Annual CMBS Origination Volume in MillionsAnnual CMBS Origination Volume in MillionsAnnual CMBS Origination Volume in MillionsAnnual CMBS Origination Volume in Millions
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
Exhibited by TCW from Bloomberg