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Monthly CMBS Maturity Report November 2013 (October 2013 Remittance)

Overview: As displayed in Table 1 below, 161 performing CMBS loans totaling about $940 million were scheduled to mature in

October 20131. This does not include 15 non-performing loans ($100 million) that were either already specially-serviced or delinquent

as of September 2013, and subsequently scheduled to mature in October 2013. We also excluded floating-rate loans that had

already been extended beyond their final maturity date (but might not have been reflected as such in servicer data). In the final

section of this report, we present our initial findings surrounding scheduled maturities in 2014 and 2015 as an early indicator of

upcoming default risk.

What happened: The on-time payoff rate for October 2013 remained steady at 73%, unchanged from September, and up slightly

from 70% in August. This also marks the twelfth consecutive month in which the on-time payoff rate has remained above 60%,

reflecting a continued improvement in CMBS fundamentals and increasing liquidity that we began to see in the closing months of

2012.

About 14% of the loans that failed to pay off in October 2013 ($134 million) were reported as delinquent in payment status (with

respect to monthly payments), compared with an 18% delinquency rate reported in September and 12% in August 2013. About 13%

($130 million) remained active and reported as current with respect to monthly payments (matured performing, but having passed

maturity), compared to 9% a month prior and 18% in August 2013. For comparison purposes, Chart 2 shows the cumulative year-to-

date 2012 and 2013 maturity status (without regard to post-maturity payoffs). The year-to-date cumulative on-time payoff rate

through October 2013 is now 69%. Comparatively, the on-time payoff rate for all of 2012 was only 47%, largely due to a sluggish

environment of low CMBS new issuance and decreased re-financing of commercial properties in the first half of the year.

1 For purposes of this analysis, the figures in this report include ARD loans.

Morningstar Maturity Report | November 2013 | ratingagency.morningstar.com | 800 299-1665

©2013 Morningstar Credit Ratings, LLC. All Rights Reserved. Morningstar Credit Ratings, LLC is a wholly-owned subsidiary of Morningstar, Inc. and is registered with the U.S. Securities and Exchange Commission as a nationally recognized statistical rating organization (NRSRO). Morningstar and the Morningstar logo are either trademarks or service marks of Morningstar, Inc.

October 2013 Status Loan Count Unpaid Balance

% of October 2013

Loans Maturing

Matured in October 2013 & Paid Off 110 $675,640,686 73%

Matured in October 2013 & Delinquent 28 $134,024,999 14%

Matured in October 2013 & Current 23 $129,876,182 13%

Total Maturing in October 2013 161 $939,541,867 100%

Table 1

October 2013 Maturity Status (source: Morningstar)



Note: The figures in the above chart reflect the cumulative year-to-date on-time payoff status as of the respective month of maturity. They are not

adjusted to reflect post-maturity payoffs (cumulative category UPB/cumulative maturing UPB = cumulative category %).

Year of Origination: Taking a look at maturity by year of origination (Table 2), we found that loans from the following vintage years

had the greatest balance of loans maturing in October 2013: the 2003 vintage at $772 million, the 2004 vintage at $47 million, and

the 2006 vintage at $45 million. Within these years, we found that the 2003 vintage had the highest on-time payoff rate at 76%,

while the 2004 vintage had the lowest at 20%. Loans from the 2006 vintage had the greatest delinquency rate (with respect to

monthly payments) at 38%, while the 2004 vintage had the highest rate of loans remaining current (with respect to monthly

payments) at 80%.

0%

10%

20%

30%

40%

50%

60%

70%

80%

Chart 2 - 2012 & 2013 Cumulative YTD Maturity Trend byLoan Status (source: Morningstar)

Paid Off

Matured & Dq.

Matured & Current

October 2013 Status 2003 2004 2006

Matured in October 2013 & Paid Off 75.97% 19.57% 51.33%

Matured in October 2013 & Delinquent 12.99% 0.00% 38.00%

Matured in October 2013 & Current 11.04% 80.43% 10.67%

Total Maturing in October 2013 100.00% 100.00% 100.00%

Table 2

October 2013 Payoff Status by Year of Origination (source: Morningstar)



Property Type: By property type, retail collateral represented the largest category of loans maturing in October 2013 at 49% ($465

million), followed by multifamily collateral at 25% ($236 million) and office collateral at 16% ($148 million). Office collateral had the

highest on-time payoff rate at 90%, followed closely by retail at 84%. With the exception of the one hotel loan that did not pay off on

time, industrial collateral had the lowest on-time payoff rate at 13% and also had the highest rate of loans remaining current post-

maturity (with respect to monthly payments) of 61%. This data is reflected below in Tables 3 and 4, and Chart 3, respectively.

Prop Type Loan Count Unpaid Balance % of Loans Maturing

RT 57 464,555,768$ 49.44%

MF 64 236,801,699$ 25.20%

OF 22 147,727,980$ 15.72%

MX 10 35,428,442$ 3.77%

HT 1 32,356,118$ 3.44%

IN 7 22,671,860$ 2.41%

HC 0 -$ 0.00%

161 939,541,867$ 100.00%

Table 3

October 2013 Maturity by Property Type (source: Morningstar)

October 2013 Status RT MF OF MX HT IN HC

Matured in October 2013 & Paid Off 84.23% 52.11% 89.57% 72.32% 0.00% 13.22% -

Matured in October 2013 & Delinquent 6.97% 18.96% 5.89% 27.68% 100.00% 25.99% -

Matured in October 2013 & Current 8.80% 28.93% 4.54% 0.00% 0.00% 60.79% -

Total Maturing in October 2013 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 0.00%

Table 4

October 2013 Payoff Status by Property Type (source: Morningstar)



MSA: The 10 MSAs with the largest dollar volume of October 2013 maturities are displayed in descending order in Table 5 below.

Three MSAs had 100% on-time payoff rates: Washington, D.C., Miami and Atlanta. On the other hand, none of the three maturing

loans in the Palm Bay, Florida, MSA paid off on time; but 90% of these loans remain current with respect to monthly payments.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13

Chart 3 - 12-Month On-Time Payoff Rate by Property Type (source: Morningstar)

RT

MF

OF

MX

IN

HT

HC

MSA

Unpaid Balance of

Maturing Loans

Matured in

October 2013 &

Paid Off

Matured in October

2013 & Delinquent

Matured in

October 2013 &

Current

Washington, DC $197,907,313 100.00% 0.00% 0.00%

Miami, FL $87,119,902 100.00% 0.00% 0.00%

Central New Jersey, NJ $60,424,367 90.23% 9.77% 0.00%

Northern New Jersey, NJ $55,831,089 62.54% 0.00% 37.46%

Los Angeles, CA $47,683,635 88.47% 0.00% 11.53%

Orange County, CA $32,546,985 42.15% 12.00% 45.85%

New York, NY $28,062,228 85.77% 14.23% 0.00%

Dallas-Fort Worth, TX $26,756,355 72.39% 27.61% 0.00%

Palm Bay-Melbourne-Titusville, FL $21,090,719 0.00% 10.00% 90.00%

Atlanta, GA $20,099,425 100.00% 0.00% 0.00%

Table 5

October 2013 Payoff Status by MSA (source: Morningstar)



Three-Month Look Back: For this month, we comparatively look back at July 2013 maturity defaults, which originally totaled $353

million, or 31% of the loans maturing in July 2013. Of the loans that failed to pay off on their July 2013 maturity date, $134 million

were paid off as of August 2013, reflecting a 38% increase from the initial on-time payoff rate to 81%. The three-month post-maturity

payoff rate has remained at or above 80% in 11 of the previous 12 months. This data is displayed in Table 6 below:

What’s Next: Looking ahead to November and December 2013 utilizing the same search criteria, a combined $3.4 billion of

performing CMBS is scheduled to mature. With the exception of one large high LTV loan, we expect the November 2013 on-time

payoff rate to remain above 70%. But the December 2013 on-time payoff rate could potentially dip to around 60% in our view due to

several large loans with high LTVs. This is displayed in Table 7 below.

Month

Monthly Maturity

Unpaid Loan Balance

Monthly Maturity

Default Loan

Balance

Initial Maturity

Payoff Rate

Three Months Post

Maturity Remaining

Unpaid Balance

Three Months

Post Maturity

Payoff Rate

Percent

Increase in

Initial Payoff

Rate As Of

Aug-12 $1,405,522,094 $923,813,851 34.3% $210,248,869 85.0% 77.2% Nov-12

Sep-12 $1,541,949,532 $872,625,755 43.4% $261,799,947 83.0% 70.0% Dec-12

Oct-12 $1,125,495,498 $526,922,114 53.2% $396,165,520 64.8% 24.8% Jan-13

Nov-12 $919,975,225 $242,615,761 73.6% $140,616,883 84.7% 42.0% Feb-13

Dec-12 $2,944,802,112 $680,996,993 76.9% $220,945,513 92.5% 67.6% Mar-13

Jan-13 $1,149,750,383 $369,307,702 67.9% $189,080,802 83.6% 48.8% Apr-13

Feb-13 $731,394,734 $226,224,615 69.1% $143,155,320 80.4% 36.7% May-13

Mar-13 $923,095,286 $337,739,896 63.4% $181,495,299 80.3% 46.3% Jun-13

Apr-13 $790,592,434 $258,410,113 67.3% $88,899,027 88.8% 65.6% Jul-13

May-13 $744,374,380 $243,290,838 67.3% $131,829,622 82.3% 45.8% Aug-13

Jun-13 $982,270,834 $305,842,896 68.9% $198,868,024 79.8% 35.0% Sep-13

Jul-13 $1,131,210,036 $353,267,287 68.8% $219,019,218 80.6% 38.0% Oct-13

Table 6

Maturity Default Three-Month Look Back (source: Morningstar)

Prospectus Loan ID AssetName Prop Type Loan Balance Morningstar LTV Maturity Date

BACM0606**2.000 777 Tower OF $273,000,000 110% 11/1/2013

JPC06LD9**4.000 Corporate Woods Portfolio MX $219,956,375 97% 12/9/2013

CSM06C05**2.A1 Queens Multifamily Portfolio MF $143,618,353 82% 12/11/2013

JPC06LD9**33.000 Discover Mills RT $129,628,978 102% 12/11/2013

MSC03IQ6**000002 840 N. Michigan RT $52,415,283 88% 12/1/2013

Table 7

2013 Maturity Risk - Largest Loans (source: Morningstar)



Outlook for 2014 & 2015: Looking out further over the next two years, utilizing the same search criteria, we find that $37.6 billion and

$81.4 billion of performing CMBS are scheduled to mature in 2014 and 2015, respectively. Digging deeper into this upcoming maturity

wave, Morningstar has already valued roughly 85% of the loans maturing in 2014 and 55% of the 2015 maturities by balance, displayed

in Charts 4 and 5 below.

Based on LTV, we expect the 2014 on-time payoff rate to remain in-line with the 2013 rate. Roughly 33% of the 2014 maturing loans

have LTVs greater than 80%, including 11% greater than 100%. Additionally, 85% of the 2014 maturities are 10-year loans from the

2004 vintage and these loans should perform well given the conservative underwriting of this vintage. But seven-year loans from the

more risky 2007 vintage comprise 15% of the 2014 maturities, which may temper the payoff rate.

We expect the payoff rate in 2015 to be slightly lower than 2014 based on 39% of the loans with LTVs greater than 80%, including 15%

with LTVs greater than 100%. The bulk of the 2015 maturities, 90%, were originated in 2005, which had somewhat less conservative

underwriting compared to 2004. As such, these loans may not perform as well as the 2004 vintage loans that mature in 2014.



Morningstar Credit Ratings, LLC

Research and Surveillance

Steve Jellinek

Vice President – Analytical Services

267-960-6009

Doug Lachmuth

Assistant Vice President – Analytical Services

267-960-6026

Frank Innaurato

Managing Director – Analytical Services

267-960-6002

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