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May 2009
Page 1 of 14
Table 1 - Trailing Three Months DelinquencyApr-09Mar-09Feb-09CategoryUPB ($BB)UPB ($BB)UPB ($BB)30-Day
5.12$ 3.16$ 2.99$
60-Day
2.13$ 2.13$ 2.01$
90+-Day
6.40$ 5.44$ 4.29$
Foreclosure
2.01$ 1.68$ 1.35$
REO
1.48$ 1.49$ 1.35$
Current
813.00$ 820.61$ 825.79$
Total CMBS830.14$ 834.50$ 837.78$ Total CMBS Del.17.15$ 13.89$ 11.99$ Delinq. %
2.066%1.664%1.431%
Monthly Delinquency Report - Commentary 
In April 2009, the delinquent unpaid balance for CMBS increased by an unprecedented $3.26 billion, upto a trailing 12-month high of $17.15 billion. Overall, the delinquent unpaid balance grew for the eighthstraight month, up over 329% from one-year ago (when only $3.99 billion of delinquent balance wasreported for April 2008), and is now over seven times the low point of $2.21 billion in March 2007. Anincrease in four of the five delinquent loan categories was noted in April, including over $1.96 billion in 30-day delinquency. The distressed 90+-day, Foreclosure and REO categories grew in aggregate for the17
th
straight month – up 15% from the previous month and over 260% in the past year. This increase farovershadows the $65.9 million in loan workouts andliquidations reported for April 2009 across 18 loans. Nineof these loans at $40.99 million, however, experienced aloss severity near or below 1%, most likely related toworkout fees, while the other nine loans at $24.9 millionexperienced an average loss severity near 61%. Weremain cautious regarding the increased delinquencies,loan workout activity, and reported loss severities whenconsidering our expectations for the remainder of 2009. Asadditional pressures are placed on special servicers tomaximize returns in today’s market, true loss severities areexpected to be high while liquidation activity is expected toslow as fewer transactions occur. This would be the result of reduced or distressed asset pricing, loweravailability of take-out financing, and increased extensions of balloon defaults through the end of 2009into 2010.The total unpaid balance for all CMBS pools under review by Realpoint was $830.1 billion in April 2009,down from $834.5 billion in March. Both the delinquent unpaid balance and delinquency percentage overthe trailing twelve months are shown in Charts 1 and 2 below, clearly trending upward.
Charts 1 and 2 – Monthly CMBS Delinquency: Balance vs. Percentage
(
source: Realpoint) 
 
$4.01$4.18$4.20$4.07$4.64$5.39$7.03$8.68$10.79$11.99$13.89$17.15
$0.00$2.00$4.00$6.00$8.00$10.00$12.00$14.00$16.00$18.00
   $   (   i  n   b   i   l   l   i  o  n  s   )
May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09
Month
 
 
May 2009
 
Page 2 of 14
0.461%0.483%0.487%0.472%0.543%0.631%0.828%1.025%1.281%1.431%1.664%2.066%
0.000%0.500%1.000%1.500%2.000%2.500%
   P  e  r  c  e  n   t  a  g  e
May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09
Month
 
The resultant delinquency ratio for April 2009 surpassed 2.06%, up from 1.66% one month prior. Such adelinquency ratio is now seven times the Realpoint recorded low point of 0.283% from June 2007. Inaddition, the delinquency percentage through April 2009 is over four times the 0.46% reported one-yearprior in April 2008. The increase in both delinquent unpaid balance and delinquency ratio over this timehorizon reflects a steady increase from historic lows in mid-2007.
Forecasted Delinquency by Balance and Percentage – Scenario Analysis
Overall, we expect the delinquent unpaid CMBS balance to continue along its current trend and growbetween $20 billion to $30 billion by mid year 2009, with the potential to grow closer to $40 billion beforethe end of 2009.
Based upon an updated trend analysis, we expect the delinquency percentage to grow in excess of 4% before year-end 2009 (potentially approaching 5% under heavily stressed scenarios).
This outlook is mostly due to the reporting of several large loans from recent vintagetransactions that continue to show signs of stress and default, along with continued balloon maturitydefaults from more seasoned vintage transactions. In addition, while we maintain our negative outlook forboth the retail and hotel sectors for 2009, we are closely monitoring the negative trends surroundingseveral large struggling multifamily loans in the New York MSA that have near-term default risk, and thelack of new issuance to offset the continued increases in delinquent unpaid balance.Our scenario and trend analysis regarding recent default activity and the potential for future delinquencygrowth has shown the following:
Scenario 1 (Six-Month Historical Assumptions):
•
Over the past six months, delinquency growth by unpaid balance has averaged roughly $1.96billion per month, while the outstanding universe of CMBS under review has decreased onaverage by $4.05 billion per month from pay-down and liquidation activity.
•
If such delinquency average were increased by an additional 25% growth rate, and then carriedthrough the end of 2009,
the delinquent unpaid balance would top $36 billion and reflect adelinquency percentage slightly above 4.4% by December 2009.
 
 
May 2009
 
Page 3 of 14
•
In addition to this growth scenario, if we add-in the potential default of two very large high riskCMBS loans under review by Realpoint (namely the $3 billion Peter Cooper Village / StuyvesantTown loan spread through multiple CMBS deals via a pari passu structure, and the $4.1 billionExtended Stay Hotel loan in the WBC07ESH pool),
the delinquent unpaid balance would top$43 billion and reflect a delinquency percentage near 5.5% by December 2009.
 
Scenario 2 (Three-Month Historical Assumptions):
•
Over the past three months, delinquency growth by unpaid balance has averaged roughly $2.12billion per month, while the outstanding universe of CMBS under review has decreased onaverage by $4.2 billion per month from pay-down and liquidation activity.
•
If such delinquency average were again increased by an additional 25% growth rate, and thencarried through the end of 2009,
the delinquent unpaid balance would top $38 billion andreflect a delinquency percentage slightly above 4.6% by December 2009.
 
•
In addition to this growth scenario, if we again add-in the potential default of the $3 billion PeterCooper Village / Stuyvesant Town loan and the $4.1 billion Extended Stay Hotel loan,
thedelinquent unpaid balance would top $45 billion and reflect a delinquency percentageabove 5.7% by December 2009.
 
Special Servicing Exposure and Other Trends
Special servicing exposure has also been on the rise, having increased for the 12
th
straight monththrough April 2009. The unpaid balance for specially serviced CMBS increased by $4.22 billion in April2009, up to a trailing 12-month high of $24.52 billion from $20.3 billion in March and $17.11 billion inFebruary. The corresponding percentage of loans in special servicing also increased to 2.95% of allCMBS by unpaid balance in April 2009, up from 2.43% a month prior and only 0.47% in April 2007 and0.65% April 2008. The overall trend of special servicing exposure since January 2005, by both unpaidbalance and percentage, is presented in Charts 3 and 4 below.
Charts 3 and 4 – Special Servicing Exposure: Balance vs. Percentage
(
source: Realpoint) 
 
Special Servicing Exposure by Unpaid Balance ($BB): January 2005 through April 2009
Apr-09, $24.52Jan-08, $4.53Jan-09, $14.38Jan-07, $3.74Jan-06, $5.57Jan-05, $8.55
$0.00$5.00$10.00$15.00$20.00$25.00$30.00
  J  a  n -  0   5  A  p  r -  0   5  J  u   l -  0   5  O  c   t -  0   5  J  a  n -  0  6  A  p  r -  0  6  J  u   l -  0  6  O  c   t -  0  6  J  a  n -  0   7  A  p  r -  0   7  J  u   l -  0   7  O  c   t -  0   7  J  a  n -  0  8  A  p  r -  0  8  J  u   l -  0  8  O  c   t -  0  8  J  a  n -  0  9
 
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