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The total unpaid balance for all CMBS pools under review by Realpoint was $819.2 billion in July 2009.
Both the delinquent unpaid balance and delinquency percentage over the 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)
$30.00 $28.65
$25.68
$25.00
$18.78
$20.00
$17.15
$ (in billions)
$13.89
$15.00
$11.99
$10.79
$10.00 $8.68
$7.03
$5.39
$4.07 $4.64
$5.00
$0.00
Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09
Month
Page 1 of 15
August 2009
4.000%
3.505%
3.500%
3.135%
3.000%
2.500% 2.275%
2.066%
Percentage
2.000%
1.664%
1.431%
1.500% 1.281%
1.025%
0.828%
1.000%
0.631%
0.472% 0.543%
0.500%
0.000%
Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09
Month
Note: Even if the $4.8 billion of GGP-sponsored loans that returned to current payment status in July
were omitted from the reported delinquency stats in June (effectively ignored for delinquency reporting
purposes), the monthly trend of growth for CMBS delinquency would have continued. Specifically, after
removing these loans, CMBS delinquency still increased from $18.78 billion in May 2009 (2.275%)
up to a hypothetical $23.85 billion in June 2009 (2.92%), and then to 25.68 billion in July (3.135%).
The resultant delinquency ratio for July 2009 of 3.14% (down slightly from the 3.5% reported one month
prior) is now over six times the 0.49% reported one-year prior in July 2008 and over 11 times the
Realpoint recorded low point of 0.283% from June 2007. The increase in both delinquent unpaid balance
and delinquency ratio over this time horizon reflects a steady increase from historic lows in mid-2007.
An additional $152.4 million in loan workouts and liquidations were reported for July 2009 across 34 loans
at an average loss severity of 31.3%. Fifteen of these loans, however, at $87.62 million experienced a
loss severity near or below 1%, most likely related to workout fees, while the other 19 loans at $64.8
million experienced an average loss severity near 55%. As additional pressures are placed on special
servicers to maximize returns in today’s credit market, true loss severities are expected to be high while
liquidation activity is expected to slow as fewer transactions occur. This would be the result of reduced or
distressed asset pricing, lower availability of take-out financing, and increased extensions of balloon
defaults through 2009 and 2010.
Page 2 of 15
August 2009
Our historical scenario and trend analysis regarding recent default activity and the potential for future
delinquency growth (affected somewhat by the delinquency fluctuation of the previously mentioned GGP-
sponsored specially-serviced loans) presents the following:
• Over the past six months, delinquency growth by unpaid balance has averaged roughly $2.5
billion per month, while the outstanding universe of CMBS under review has decreased on
average by $3.94 billion per month from pay-down and liquidation activity.
• If such delinquency average were increased by an additional 25% growth rate, and then carried
through the end of 2009, the delinquent unpaid balance would reach $41 billion and reflect a
delinquency percentage near 5.05% by December 2009.
• In addition to this growth scenario, if we add-in the potential default of two very large high risk
CMBS loans under review by Realpoint (namely the $3 billion Peter Cooper Village / Stuyvesant
Town loan spread through multiple CMBS deals via a pari passu structure, and the $4.1 billion
Extended Stay Hotel loan in the WBC07ESH pool – which was recently transferred to the special
servicer in July following the Chapter 11 bankruptcy protection filing of Extended Stay and the
potential for CMBS debt restructuring), the delinquent unpaid balance would top $48 billion
and reflect a delinquency percentage over 6% by December 2009.
• Over the past three months, delinquency growth by unpaid balance has averaged roughly $2.85
billion per month, while the outstanding universe of CMBS under review has decreased on
average by $3.7 billion per month from pay-down and liquidation activity.
• If such delinquency average were again increased by an additional 25% growth rate, and then
carried through the end of 2009, the delinquent unpaid balance would reach $44 billion and
reflect a delinquency percentage slightly above 5.3% by December 2009.
• In addition to this growth scenario, if we again add-in the potential default of the $3 billion Peter
Cooper Village / Stuyvesant Town loan and the $4.1 billion Extended Stay Hotel loan, the
delinquent unpaid balance would reach $51 billion and reflect a delinquency percentage
above 6.3% by December 2009.
Page 3 of 15
August 2009
As a result of the recent transfer activity, the corresponding percentage of loans in special servicing
increased to 5.84% of all CMBS by unpaid balance in July 2009, up from 4.96% a month prior. The
overall trend of special servicing since January 2005, by both unpaid balance and percentage, is
presented in Charts 3 and 4 below.
Charts 3 and 4 – Special Servicing Exposure: Balance vs. Percentage (source: Realpoint)
Special Servicing Exposure by Unpaid Balance ($BB): January 2005 through July 2009
$60.00
$50.00
Jul-09, $47.87
$40.00
$30.00
$20.00
Jan-09, $14.38
Jan-08, $4.53
Jan-07, $3.74
$0.00
05
09
5
9
5
8
r-0
r-0
r-0
r-0
r-0
l-0
l-0
l-0
l-0
-0
-0
-0
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ct
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ct
Ju
Ju
Ju
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Ap
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O
Special Servcing Exposure as % of Outstanding CMBS: January 2005 through July 2009
7.00%
6.00%
Jul-09, 5.84%
5.00%
4.00%
3.00%
1.00%
Jan-07, 0.52%
Jan-08, 0.52%
0.00%
05
06
07
08
09
5
9
5
8
r-0
l-0
r-0
l-0
r-0
l-0
r-0
l-0
r-0
-0
-0
-0
-0
n-
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Ju
Ju
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Ap
Ap
Ap
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O
Page 4 of 15
August 2009
Furthermore, nearly 54% of delinquent unpaid balance through July 2009 came from transactions issued
in 2006 and 2007, with over 28% of all delinquency found in 2006-issued transactions. When we extend
our review to include the 2005 vintage, an additional 16% of total delinquency is found; thus over 70% of
CMBS delinquency comes from 2005 to 2007 vintage transactions.
Chart 5 below shows the increased delinquent unpaid balance relative to these three vintages over the
past six months, clearly reflecting the increasing trends we have highlighted in recent months.
Chart 5 – Monthly Delinquent Unpaid Balance for 2005, 2006 and 2007 Vintage Transactions
$8,000,000,000
$7,000,000,000
$6,000,000,000
$5,000,000,000
$4,000,000,000
$3,000,000,000
$2,000,000,000
$1,000,000,000
$-
Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09
Month
Throughout 2009, we expect to see continued high delinquency by unpaid balance for these three
vintages due to aggressive lending practices prevalent in such years. We also expect to see some loans
from the 2008 vintage to show signs of distress and default in cases where pro-forma underwriting
assumptions fail to be realized.
Otherwise, when focusing on deals seasoned for at least one year, our investigation reveals the following:
• Deals seasoned at least a year have a total unpaid balance of $815.9 billion, with $25.68 billion
delinquent – a 3.15% rate (up from only 1.27% six months prior).
• When agency CMBS deals are removed from the equation, deals seasoned at least a year have a
total unpaid balance of $785.52 billion, with $25.602 billion delinquent – a 3.26% rate (up from only
1.32% six months prior).
• Conduit and fusion deals seasoned at least a year have a total unpaid balance of $693.62 billion, with
$24.26 billion delinquent – a 3.498% rate (up from only 1.38% six months prior).
Page 5 of 15
August 2009
Other concerns / dynamics within the CMBS deals we are monitoring which may affect the overall
delinquency rate due to current credit market conditions in 2009 include:
• Growing balloon default risk from highly seasoned transactions for both performing and non-
performing loans coming due that are unable to payoff as scheduled, due mostly to a lack of
refinance availability or further distressed collateral performance.
• Floating rate loan refinance and balloon default risk, as many large loans secured by un-stabilized or
transitional properties reach their final maturity extensions, or fail to meet debt service or cash flow
covenants necessary to exercise such extensions.
• Aggressive pro-forma underwriting on loans with debt service / interest reserve balances that are
declining more rapidly than originally anticipated.
• Further stress on partial-term interest-only loans that begin to amortize during the year that already
have in-place DSCRs hovering around breakeven.
• The unpaid balance related to loans underwritten with DSCRs between 1.10 and 1.25 as any decline
in performance in today’s market could cause an inability to make debt service requirements.
• A decline in distressed asset sales or liquidations as traditional avenues for securing new financing is
becoming less available.
• A negative / cautious outlook for the hotel sector as many sizeable hotel loans and portfolios from
2005-2008 vintage pools are reporting poor results in 2009.
• Continued weakening in retail performance as consumer spending is down and bankruptcy filings
may grow further.
• Layoffs, bankrurptcies and downsizing have impacted office vacancies across most MSAs including
historically strong markets like New York City, and this trend is expected to continue.
Annual liquidations for 2008 totaled $1.297 billion, at an overall average severity of only 24.9%. Such
average was clearly brought downward by the number of loans that experienced a minor loss via workout
fees and / or sales or refinance proceeds being near total exposure. Comparatively, liquidations in 2007
totaled $1.094 billion at an average severity of 32.8%. Liquidations in 2006 totaled $1.93 billion at an
average severity of 30.2%, while 2005 had $3.097 billion in liquidations at an average severity of 34.2%.
Therefore, to accurately account for such issues regarding loss severities for 2009, we have separated
those loans with a loss severity near or below 1% for monthly snapshot reporting in table 3, as well as the
property type severity figures presented in tables 5, 6 and 7 below.
Page 6 of 15
August 2009
Through July 2009, another $152.4 million in CMBS loan workouts and liquidations were reported at an
overall average loss severity of 31.3% (shown in Table 3). We highlight, however, that 15 of these loans
at $87.62 million experienced a loss severity near or below 1%, most likely related to special servicing
workout fees, while the remaining 19 loans at $64.8 million experienced an average loss severity near
55% - a clearer reflection of true loss severity. We expect higher levels of loss severity to be the norm in
2009 for those loans that experience a term default where cash flow from operations is not sufficient to
support in-place debt obligations (i.e. DSCR below break-even).
Table 3 – Liquidations for July 2009: Material Loss vs. Workout Fees, etc. (source: Realpoint)
Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date City State
BACM0605 69.000 Woodside Center Office $ 8,150,000.00 $ 2,882,419.87 35.4% 7/16/2009 Alpharetta GA
BOFC00C1 8218094696-18 Blockbuster Strip Center Retail $ 636,778.55 $ 32,135.48 5.0% 7/20/2009 NORTH CANTON OH
BSC07P17 59.000 PGA Professional Center Office $ 12,387,102.67 $ 3,028,606.77 24.4% 7/30/2009 Palm Beach Gardens FL
CBAC0401 800000689 03FIXED/VARIABLE Multi-family $ 121,605.40 $ 121,605.40 100.0% 7/27/2009 SCRANTON PA
CBAC0401 800000917 05FIXED/VARIABLE Multi-family $ 352,412.55 $ 30,454.99 8.6% 7/15/2009 PHOENIX AZ
CBAC0501 2005100625 02FIXED/VARIABLE Multi-family $ 262,443.85 $ 262,443.85 100.0% 7/3/2009 CENTRAL FALLS RI
CBAC0501 2005100614 02FIXED/VARIABLE Other $ 174,672.07 $ 99,620.88 57.0% 7/1/2009 FALL RIVER MA
CCSC00C2 57 Pike Plaza III Retail $ 1,194,577.91 $ 1,194,577.91 100.0% 7/9/2009 INDIANAPOLIS IN
CCSC00C2 56 Pike Plaza II Retail $ 8,700,725.58 $ 8,672,587.22 99.7% 7/9/2009 INDIANAPOLIS IN
CMAC98C2 000WMFG172 Circuit City Houston Retail $ 2,515,256.98 $ 2,025,960.13 80.5% 7/16/2009 HOUSTON TX
CMAC98C2 000MLMI037 Comp-USA Retail $ 1,751,735.71 $ 966,502.52 55.2% 7/16/2009 WICHITA KS
CSF02CK1 000050 Kimball Square Apartments Multi-family $ 4,257,529.28 $ 2,205,663.89 51.8% 7/17/2009 Dallas TX
CSF05C04 117.000 Seven Oaks Apartments Multi-family $ 2,411,545.62 $ 1,311,971.93 54.4% 7/31/2009 HENDERSON KY
CSM08C01 56.000 Peoria Strip Center Retail $ 1,652,950.62 $ 1,028,478.25 62.2% 7/10/2009 GLENDALE AZ
FUBA01C1 000026 Foxfire Apartments Multi-family $ 12,261,172.81 $ 4,524,485.21 36.9% 7/31/2009 DURHAM NC
FUNB02C1 000086 Western Heights Multi-family $ 1,896,283.52 $ 1,896,283.52 100.0% 7/31/2009 DETROIT MI
GSM204G2 000133 237 West Northfield Boulevard Office $ 2,387,698.99 $ 1,100,042.70 46.1% 7/1/2009 NULL TN
LBC99C01 185 Linc oln Park Mobile Home Village Multi-family $ 839,609.38 $ 112,841.04 13.4% 7/8/2009 LINCOLN PARK MI
MSDW00PR 000065 Circuit City Stores Retail $ 2,849,793.82 $ 522,243.22 18.3% 7/10/2009 PORTLAND OR
Sub-Totals $ 64,803,895.31 $ 32,018,924.78 55.2% Avg Severity
Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date City State
BACM0001 51513 Balcones Apartments Multi-family $ 1,239,067.35 $ 12,604.99 1.0% 7/8/2009 COLLEGE STATION TX
BACM0001 51511 Casa Verde Apartments Multi-family $ 2,292,430.34 $ 23,310.93 1.0% 7/8/2009 COLLEGE STATION TX
BSC99WF2 17154 521-527 & 529-535 West 20th Street Industrial $ 5,686,272.07 $ 57,271.67 1.0% 7/2/2009 New York NY
CSF99C01 99-04862 Mid-Towne Mobile Terrace Multi-family $ 1,904,682.98 $ 19,260.00 1.0% 7/1/2009 SALINAS CA
DLJ99CG2 000152 Hampton Inn - Louisville Hotel $ 2,794,288.11 $ 33,106.85 1.2% 7/1/2009 LOUISVILLE CO
DLJ99CG2 000040 Knollwood Estates Mobile Home Park (1F) Multi-family $ 2,431,262.18 $ 22,971.91 0.9% 7/2/2009 ALLENDALE MI
DLJ99CG2 000039 River Haven Mobile Home Park (1F) Multi-family $ 8,752,100.35 $ 82,653.51 0.9% 7/2/2009 GRAND HAVEN MI
FUNB99C2 000103 Delmont Village Shopping Center Retail $ 3,146,069.57 $ 64,279.68 2.0% 7/1/2009 BATON ROUGE LA
LBC99C01 115 1200 Route 9 Retail $ 2,653,494.76 $ 27,482.49 1.0% 7/1/2009 WOODBRIDGE NJ
LBUB04C1 76 Kenneth Court Multi-family $ 2,655,449.53 $ 1,792.40 0.1% 7/13/2009 TAMPA FL
LBUB05C1 73 Auburn Place & College Point I & II Apartments Multi-family $ 2,820,026.83 $ 24,613.03 0.9% 7/13/2009 STEPHENVILLE TX
MSDW01IQ 000100 Fullerton Industrial Industrial $ 2,263,559.94 $ 22,777.18 1.0% 7/1/2009 FULLERTON CA
MSDW01IQ 000099 Cerritos Industrial Industrial $ 2,358,758.10 $ 23,734.99 1.0% 7/1/2009 Cerritos CA
MSDW01IQ 000001 Town Center Plaza Retail $ 45,701,561.41 $ 459,807.58 1.0% 7/7/2009 LEAWOOD KS
PNC00C02 000174 Briarwood Apartments Multi-family $ 919,767.75 $ 7,278.67 0.8% 7/31/2009 Pueblo CO
Sub-Totals $ 87,618,791.27 $ 882,945.88 1.0% Avg Severity
Page 7 of 15
August 2009
Table 4 – Monthly CMBS Liquidations and Average Loss Severity, January 2008 to July 2009 (source: Realpoint)
Table 5 – Average Loss Severities by Property Type for 2009: All Liquidated Loans (source: Realpoint)
Table 6 – Average Loss Severities by Property Type for 2009: Loans with Material Loss Severity Above 2% (source: Realpoint)
Table 7 – Average Loss Severities by Property Type for 2009: Loans with Loss Severity Below 2%, including Assumed
Special Servicing Workout Fees (source: Realpoint)
Page 8 of 15
August 2009
For comparison by property type:
• The highest loss severities in 2006 were found in healthcare (55%) and industrial (34.5%)
collateral; multifamily collateral remained highest by balance before liquidation ($606.7 million),
but reported the lowest severity (24.5%).
• The highest loss severities in 2007 were found in industrial (50%) and healthcare collateral
(44%); multifamily collateral was again the highest by balance before liquidation ($356 million),
but reported the fourth lowest severity (32.5%).
• The highest loss severities in 2008 were found in mixed-use / other (36%) and multifamily
collateral (31%); multifamily collateral was again the highest by balance before liquidation
($576.97 million).
$12,000,000,000
$10,000,000,000
$8,000,000,000
$ Delinq.
$6,000,000,000
$4,000,000,000
$2,000,000,000
$-
Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09
Month
Page 9 of 15
August 2009
Property Type
• In July 2009, retail loans remained the greatest contributor to overall CMBS delinquency, at 1.06% of
the CMBS universe, over 33% of total delinquency, and a 3.8% delinquency rate. Retail surpassed
multifamily in May 2009 as the highest CMBS default contributor, for the first time since May 2004.
• Following a slight decline in May 2009 (the first decline since August 2008), multifamily loans remained
a poor performer in June and July 2009, with a delinquency rate over 4%. By dollar amount, multifamily
loan delinquency is now up by an astounding $5.95 billion since a low point of only $903.3 million in
July 2007.
• As shown in Chart 7 below, multifamily, retail, office and hotel collateral loan delinquency as a
percentage of the CMBS universe have clearly trended upward since mid-2008.
• Only nine healthcare loans at 0.019% of the CMBS universe were delinquent in July 2009, but such
delinquent unpaid balance reflects nearly 7% all healthcare collateral in CMBS.
• As a percentage of total unpaid balance, month-over-month delinquencies for only two of seven
categories increased by double digits or more from June to July 2009 (hotel and industrial).
• In 2009 we expect retail delinquency to continue its increase as consumer spending suffers from the
overall weakness of the U.S. economy. We also anticipate store closings and retailer bankruptcies to
continue throughout the year, along with the uncertainty regarding GGP bankruptcy loan defaults.
• In addition, the hotel sector will likely experience a significant increase in delinquency as both business
and leisure travel slows further, resulting in further declines in occupancy, REVPAR and ADR.
Prop.Type Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of Property Type
Healthcare Total $ 152,717,601.12 9 0.019% 0.595% 6.985%
Hotel Total $ 3,487,307,082.21 187 0.426% 13.579% 4.682%
Industrial Total $ 868,274,196.85 127 0.106% 3.381% 2.413%
Multi-family Total $ 6,851,062,405.82 772 0.836% 26.676% 4.215%
Office Total $ 4,203,041,121.62 394 0.513% 16.366% 1.832%
Retail Total $ 8,692,065,992.50 768 1.061% 33.845% 3.819%
Other Total $ 1,427,808,214.78 211 0.174% 5.560% 1.642%
Grand Total $ 25,682,276,614.90 2,468 3.135% 100.000%
1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
Au S O N D J F M A M J J
g- 0 ep- 0 ct -0 ov-0 ec- 0 an-0 eb-0 ar -0 pr-0 ay-0 un-0 ul- 09
8 8 8 8 8 9 9 9 9 9 9
Month
Healthcare Hotel Industrial Multi-family Office Retail Other
Table 9 – Trailing Twelve Month Delinquency by Property Type: as % of Outstanding Property Type Balance (source: Realpoint)
Trailing Twelve Month Property Type Delinquency: as % of Outstanding Property Type Balance
Property Type Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09
Healthcare 4.4% 4.2% 4.4% 5.0% 5.2% 5.9% 5.8% 5.6% 6.0% 5.5% 6.3% 7.0%
Hotel 0.3% 0.3% 0.5% 0.7% 1.1% 1.5% 1.8% 2.0% 2.2% 2.8% 4.2% 4.7%
Industrial 0.3% 0.4% 0.6% 0.6% 0.9% 1.0% 1.1% 1.3% 1.5% 1.6% 1.9% 2.4%
Multi-family 1.1% 1.3% 1.4% 1.9% 2.0% 2.4% 2.6% 2.8% 3.7% 3.4% 4.0% 4.2%
Office 0.3% 0.3% 0.3% 0.4% 0.5% 0.7% 0.8% 1.1% 1.2% 1.5% 1.8% 1.8%
Retail 0.3% 0.4% 0.6% 0.8% 1.1% 1.3% 1.6% 1.8% 2.3% 2.6% 5.2% 3.8%
Other 0.2% 0.3% 0.2% 0.3% 0.3% 0.5% 0.4% 0.7% 0.9% 1.1% 2.6% 1.6%
Page 10 of 15
August 2009
Special Servicing
• Special servicing exposure increased for the 15th straight month to $47.87 billion in July 2009 from
$40.53 billion in June and only $37.05 billion in May.
• For the 20th straight month, the total unpaid principal balance for specially-serviced CMBS when
compared to 12 months prior increased, by a high $41.4 billion since July 2008. Such exposure is up
over 642% in the trailing-12 months.
• Conversely, for historical reference, special servicing exposure was also below $4 billion for 11 straight
months through October 2007.
• With the May 2009 transfer of nearly $7.33 billion of GGP related SPE borrower loans to special
servicing, exposure by property type is now heavily weighted towards retail collateral at 37%, followed
by multifamily at 21% and other at 16%.
• Unpaid principal balance noted as current but specially-serviced decreased to a low of $1.44 billion in
July 2007, but has since increased to $25.3 billion in July 2009. This figure is inflated by the GGP-
sponsored loans paying interest-only at the non-default rate of interest (despite some requiring principal
and interest from amortization prior to transfer in May).
• Within the 3.08% of CMBS current but specially-serviced, we found 242 loans at $21.23 billion with an
unpaid principal balance over $20 million, up from 176 loans at $12.1 billion a month prior.
• Unpaid principal balance exceeded $50 million for 135 current but specially-serviced loans in July 2009,
and exceeded $100 million for 75 loans. Such loans are now highlighted by the various Extended Stay
Hotel loan notes found in the WBC07ESH transaction.
Page 11 of 15
August 2009
Geography
• The top three states ranked by delinquency exposure have remained consistent since January 2009, as
California, Texas, and Florida collectively accounted for over 30% of delinquency through July 2009.
• The 10 largest states by delinquent unpaid balance reflect 62% of CMBS delinquency, while the 10
largest states by overall CMBS exposure reflect 53% of the CMBS universe.
• The states of California and Texas remain a major concern at over 12% and 9% of CMBS delinquency
respectively. By MSA, California delinquency is diversified while Texas delinquency is concentrated
within the Houston and Dallas-Fort Worth MSAs (over 7% of CMBS delinquency), with each MSAs’
default percentage growing on a monthly basis (near 5% each).
• While no MSAs topped 4% of CMBS delinquency in June 2009, only one (Phoenix, AZ) did so in July.
• The 10 largest MSAs by delinquent unpaid balance reflect 33% of CMBS delinquency, while the 10
largest MSAs by overall CMBS exposure reflect 34% of the CMBS universe.
State Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of State Exposure
CA Total $ 3,153,545,975.64 198 0.385% 12.279% 2.935%
TX Total $ 2,436,999,529.63 276 0.297% 9.489% 4.810%
FL Total $ 2,118,480,152.82 257 0.259% 8.249% 4.990%
AZ Total $ 1,442,828,067.36 116 0.176% 5.618% 7.974%
MI Total $ 1,427,492,771.26 177 0.174% 5.558% 10.822%
GA Total $ 1,118,273,514.94 136 0.137% 4.354% 5.573%
NY Total $ 1,078,341,504.61 116 0.132% 4.199% 1.083%
OH Total $ 1,048,313,628.57 131 0.128% 4.082% 7.083%
NV Total $ 1,010,046,473.67 72 0.123% 3.933% 7.155%
IL Total $ 973,442,284.96 108 0.119% 3.790% 3.881%
Top 10 States $ 15,807,763,903.46 1,587 1.930% 61.551%
Page 12 of 15
August 2009
Issuance
• In July 2009, over 96% of CMBS delinquency by deal type was found in fusion and conduit deals.
• Of note by deal type is the 21% “kickout” loan transaction delinquencies.
• The 2006 and 2007 vintage transactions topped the list when delinquency is ranked by year of
issuance, accounting for over 53% of total delinquency. Both vintage years had an individual
delinquency rate for their respective outstanding balance above the overall rate of 3.14%.
• Deals issued from 2005 through 2007 now contribute over 70% of total delinquency, 2.2% of all CMBS.
We feel this is a result of current market conditions and aggressive underwriting, and will lead to further
special servicing exposure and ultimate liquidation activity.
• Deals issued in 1998 through 2001 contribute over 11% of the total delinquency, 0.35% of all CMBS.
Deal Type Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of Deal Type
Fusion Total $ 23,330,581,302.77 1,993 2.848% 90.843% 3.619%
Unknown Total $ 1,380,407,383.93 255 0.169% 5.375% 1.506%
Conduit Total $ 930,296,024.65 215 0.114% 3.622% 1.900%
Kickout Total $ 40,991,903.55 5 0.005% 0.160% 21.186%
Grand Total $ 25,682,276,614.90 2,468 3.135% 100.000%
Note: Kickout Deal Type added to database in May 2008
Year Total Year Loan Count % of CMBS Universe % of CMBS Delinq. % of Year Balance
2006 Total $ 7,211,163,838.10 606 0.880% 28.078% 3.632%
2007 Total $ 6,626,970,534.89 434 0.809% 25.804% 3.197%
2005 Total $ 4,180,747,608.71 401 0.510% 16.279% 2.709%
2004 Total $ 2,489,649,671.29 216 0.304% 9.694% 3.308%
2003 Total $ 1,105,263,532.53 116 0.135% 4.304% 2.217%
2001 Total $ 867,981,496.32 133 0.106% 3.380% 2.222%
1998 Total $ 707,611,810.67 139 0.086% 2.755% 6.241%
1999 Total $ 663,547,853.59 130 0.081% 2.584% 6.066%
2000 Total $ 607,263,747.45 100 0.074% 2.365% 2.449%
2002 Total $ 560,741,720.63 83 0.068% 2.183% 1.664%
Top 10 Totals $ 25,020,941,814.18 2,358 3.054% 97.425%
7.0%
6.0%
Delinquency %
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
Vintage Year
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August 2009
Franchise Transactions
• The delinquency rate for Franchise transactions remains erratic on a monthly basis (as reflected in the
chart below).
• Delinquency grew to 14.6% in December 2008, the highest it has been over the trailing-12 months, but
fell to only 9.05% in June 2009 – a low for the trailing-12 months.
• Franchise delinquency has averaged 12.6% over the trailing-12 months.
• 502 franchise loans at $269.4 million have been liquidated since January 2006 at an average severity
of 78%. This includes 76 loans at $31.5 million in 2007, 69 loans at $52.3 million in 2008, and 269
loans at $102.5 million to date in 2009.
16.000%
14.394% 14.582% 14.147%
14.119% 14.442% 14.096%
13.341% 13.172%
14.000%
11.284%
12.000%
9.324%
9.391% 9.045%
10.000%
Percentage 8.000%
6.000%
4.000%
2.000%
0.000%
Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09
Month
Page 14 of 15
August 2009
Note:
Realpoint has been tracking monthly commercial mortgage-backed securitization delinquency trends
across various categories since January 2001. This report includes monthly breakdowns of delinquency
for the entire Realpoint CMBS portfolio by delinquency category (30-day, 60-day, 90+-day, foreclosure,
and real estate owned) along with exposure across each of the seven primary property types (healthcare,
hotels, industrial, multifamily, office, retail, and other).
Realpoint LLC
Frank A. Innaurato
Managing Director
267-960-6002
Robert Dobilas
President / CEO
267-960-6001
_________________________________________________________________________________
The material contained herein (the “Material”) is being distributed in the United States by Realpoint LLC (“Realpoint”). Realpoint makes no representation as
to its accuracy, timeliness or completeness and does not undertake to update any information or opinions contained in the Material. The Material is published
solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or derivative. The Material is not to be
construed as providing investment services in any state, country or jurisdiction. From time to time, Realpoint, its affiliates and subsidiaries and/or their officers
and employees may perform other services for companies mentioned in the Material. Opinions expressed herein may differ from the opinions expressed by
other divisions of Realpoint, its affiliates and subsidiaries.
The Material has no regard to the specific investment objectives, financial situation and particular needs of any specific recipient of the Material and
investments discussed may not be suitable for all investors. Investors should seek financial advice regarding the suitability of investing in any securities or
following any investment strategies discussed in the Material. Past performance is not indicative of future returns. Certain assumptions may have been made in
preparing the Material that has resulted in certain returns detailed herein and any changes thereto may have a material impact on any returns detailed. No
representation is made that any returns detailed herein will be achieved. If an investment is denominated in a currency other than the investor's currency,
changes in the rates of exchange may have an adverse effect on value, price or income.
Realpoint LLC, 410 Horsham Road, Suite A., Horsham, PA 19044 (800) 299-1665
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