Lessons from CMBS 1.0: The Wonder Years

Moderator:John Bonfiglio, Principal, Allegiance Investment Advisors, LLC

Panelists: Richard Avidon, Director, Deutsche Asset Management

Robert Brennan Jack Cohen, Chief Executive Officer, Cohen Financial

Edward L. Shugrue III, Guggenheim Structured Real Estate Jack Taylor, Managing Director, PREI

Randolph Wolpert, Division President, LNR Partners, Inc.

Domestic CMBS Issuance (in $billions)

$16 $26

$37

$74

$57 $47 $67

$52

$78 $93

$169

$203

$230

$12 $2 $0

$50

$100

$150

$200

$250

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

The Wonder Years: 1995-2007 The Lost Years: 2008-2009

Volatility in the Capital Markets

DJIA AAA Spreads

6,000

7,000

8,000

9,000

10,000

11,000

12,000

13,000

14,000

15,000

Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09

Dow

Jon

es Ind

ustria

l Ave

rage

-

200

400

600

800

1,000

1,200

1,400

1,600

AAA C

MBS

Spre

ads (o

ver Sw

aps)

AAA Spreads

DJIAS+1530

Jul 2008: FDIC seizes

IndyMac

Nov 2008:U.S. Gov’t

Citi investment

Sep 15 2008:Lehman BK

Sep 7 2008: Fannie, Freddie nationalization

Feb 2009:Stimulus signed

Mar 2009:PPIP announced

Jul 2009:TALF Legacy

program commences

May 2009: TALF Legacy

program announced

Oct 2008:TARP signed

Mar 2008: Bear Stearns

sale

Sep 2009:New REMIC

loan modification rules announced

Nov 2009:DDR deal

closes

Sep 2007:Fed begins to

lower Fed Funds Rate

Jan 2008:BofA buys

Countrywide

39Average AAA CMBS Spread (1995-2007)

Legacy vs. New-Issue CMBSGSMS 2007-GG10 DDR 2009-DDR1

Issuance Date July 2007 November 2009

Size $7.56 billion $400 million

Issuer LTV 74% 52%

AAA LTV 52% 42%

Issuer DSCR (last $) 1.3x 2.5x

# of Tranches 25 3

# of Loans 202 1

# of Properties 353 28

Rating Agencies (#) 3 3

Special Servicer B-Piece Holder Independent