1) MORTGAGE-BACKED SECURITIES
Commercial Mortgage Market Monitor
February 2016 Remittances
2) Table of Contents
Foreword ............................................................................................ 3
Overview ............................................................................................ 4
Section A: Delinquencies .................................................................. 6
I. Delinquencies as a % of Unpaid Principal Balance ............. 7
II. Watch List Exposure .............................................................. 9
III.
Special Servicing Exposure ............................................. 11
IV.
Delinquency Broken Out by Vintage ............................... 16
V. Delinquency Broken Out by Status ..................................... 18
VI.
Delinquency Broken Out by Property Type..................... 20
VII.
Maturing Loans Summary .............................................. 22
VIII. Defeased Loan Trends .................................................... 25
IX.
Loan Curing Trends ......................................................... 27
Section B: Losses ............................................................................ 29
I. CDRs .................................................................................... 30
II. Loan Level Losses................................................................ 32
III.
Aggregate Severity Greater than 2% ............................... 33
IV.
Average Severity by Property Type .................................. 38
V. Average Number of Months to Liquidation ....................... 41
Section C: Prepayments .................................................................. 43
I. Top 10 Largest Refinancings ............................................... 44
II. Voluntary Prepayment Rates ............................................... 46
III.
Top 10 Largest Refinancings with Yield Maintenance ... 48
IV. Voluntary Prepayment Rates on Loans with Yield
Maintenance ....................................................................... 50
V. Top 10 Largest Refinancings with Prepayment Penalties .. 52
VI. Voluntary Prepayment Rates on Loans with Prepayment
Penalties.............................................................................. 54
Section D: Appraisal Reductions .................................................... 56
I. Percentage of Balance with Appraisal Reduction ............... 57
Section E: Modifications ................................................................. 59
I. Modifications by Type ......................................................... 60
Section F: Partial IO Resets............................................................. 63
I. Top 10 Largest Loans Beginning to Amortize .................... 64
Section G: Commercial Property Prices ......................................... 66
I. Moody’s Commercial Property Price Index (CPPI) ............ 67
3) This publication is for general information purposes only and does not constitute an offer to sell, or a solicitation of an offer to buy, any security. Any holdings of a particular company
or security discussed herein are under periodic review by the portfolio management group and are subject to change without notice. In addition, TCW manages a number of separate
strategies, and portfolio managers in those strategies may have differing views or analysis with respect to a particular company, security or the economy than the views expressed
herein. An investment in the strategy described herein has risks, including the risk of losing some or all of the invested capital. Before embarking on the described investment program,
an investor should carefully consider the risks and suitability of the described strategy based on their own investment objectives and financial position. Past performance is no
guarantee of future results.
The information contained herein may include estimates, projections and other “forward-looking statements.” Due to numerous factors, actual events may differ substantially from
those presented herein. TCW assumes no duty to update any such forward-looking statements or any other information or opinions in this document. Any information and statistical
data contained herein derived from third party sources are believed to be reliable, but TCW does not represent that they are accurate, and they should not be relied on as such or be
the basis for an investment decision. Copyright TCW 2016
4) 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 Trepp 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
5) Overview
The legacy CMBS 60+ day delinquency rate increased 11bps in February, to 9.47%, though the increase is largely the product of a shrinking
outstanding balance of legacy loans (the denominator effect), as most delinquency buckets (except REO) fell in dollar terms. Over the past 12
months roughly $57BN of conduit loans scheduled to mature between 2016-2018 either prepaid or defeased, reducing the outstanding legacy
balance by 24%. The entire legacy universe (all legacy vintages) declined by $108BN, or 34%, during that same period, with only $208BN
legacy conduit remaining (compared to $228.8BN conduit 2.0). Prepayments of open loans remained elevated during February, though 2006vintage CPY declined slightly to 90% from 92% in January (still above the 6-month moving average of 87%). The balance of 2006-vintage loans
open to prepayment increased by $1.2BN, to $28.0BN. The refinance success rate also increased, up 4% since January to 77%.
The special servicing rate for legacy loans remained stable this month at 6.3%. Liquidation volumes on delinquent loans slowed to $573MM
(44 loans), down from $2.5BN (125 loans) during a very active January. The average loss severity on liquidations was 33%, down from 60.5%
in January and well below the six-month average of 50%. Cumulative losses for legacy CMBS remain highest in the 2008, 2007, and 2006
vintages, at 10.47%, 7.00%, and 6.74% respectively. The largest legacy liquidation was the $190.8MM Gulf Coast Town Center Phases I & II
(7.01% of CSMC 2007-C5), a 10yr full term interest only loan backed by an anchored retail property in Fort Myers, FL. The property transferred
to special servicing in July 2013 due to imminent default. The borrower cited financial hardship as the property cash flows could no longer
cover operating expenses after payment of debt service (the most recent net operating income was 28% below underwriting). The loan
modification discussions were rejected and the property was liquidated with the loan taking a $44.3MM loss (23% severity).
In CMBS 2.0, 15 loans totaling $103MM became newly delinquent, including eight loans secured by properties in oil-focused regions (majority
in Texas and North Dakota). In total, 45 loans with a balance of $470MM were 30+ delinquent at the end of February, resulting in a
delinquency rate of 0.21%. During the month, eight loans totaling $104MM moved to special servicing, raising the total to $770MM across 59
loans, for a rate of 0.32%. One of newly transferred loans is $23MM 88 Hamilton Avenue, secured by a mixed use property in Stamford, CT
(2.52% of WFCM 2015-NXS2). The loan experienced financial trouble at the end of the year, including two bounced checks, which prompted
an investigation into the company’s operations and a forced the resignation of the company’s CEO. The loan was transferred to special
servicing when the lender received notice that the borrower’s sole member and manager both filed Ch. 11 bankruptcy protection.
CMBS 2.0 watchlist activity increased in February with the addition of 189 new loans ($3.0BN), up from 133 new loans ($2.3BN) in January.
One of the largest loans to be put on watchlist is $71.5MM 333 North Central Avenue, secured by an urban office property in Phoenix, AZ
(6.28% of JPMBB 2015-C28). The property is 99% leased to the mining company, Freeport McMoRan Corporation, and the move to watchlist
is the result of Moody’s downgrade of the company from Baa3 to B1. In total, 1,057 ($16.8BN) 2.0 loans are on the watchlist, resulting in a
rate of 7.37%.
Only one 2.0 loan was modified in February, resulting in total 2.0 modification volume of $392.7MM across 12 loans. The modified loan is
$94.2MM Gateway Salt Lake, secured by an anchored lifestyle retail center in Salt Lake City (30.50% of JPMCC 2010-C1). The special servicer
marked the loan for potential imminent write-down and modification in November 2015 due to a continued decline in performance after the
4
6) March 2012 opening of a competitive property, City Creek Center Mall, only 0.6 miles away. The modification report indicated that following
the sale of the property, the loan was assumed for $78.5MM with an interest rate of 0.00% in the first year of the extended term and a step-up
to 1.00% in the fifth year. In addition to the apparent $15.7MM write-off (a write-down of the entire Class NR and a partial write-down of the
Class H), the 0.00% coupon is likely to result in significant interest shortfalls to the trust. It’s worth noting that the most recent loan
commentary suggests there may be adjustments the initial terms of the resolution.
The largest 2.0 appraisal reduction during the month was $9.6MM on $18.7MM Strata Estates Suites (1.91% of COMM 2013-CR10), secured
by two corporate multifamily properties in the Bakken Shale Oil region of North Dakota. The loan moved to special servicing in February 2014
after Halliburton, a corporate tenant at the property, terminated 55 leases. After several months in default, the special servicer initiated
foreclosure and the assets became real estate owned (REO) in October 2015. According to the December 2015 rent rolls, the aggregate
occupancy stands at 52.2%, down from 72.0% June 2015 and 100% August 2013 (issuance).
One loan was liquidated in February, bringing the 2.0 liquidation total to $156.9MM across 16 loans. The liquidated loan is $12.4MM Campus
Habitat 15 (0.92% of WFRBS 2011-C3), secured by a student housing complex near the University of Wyoming. Campus Habitat 15 represents
the first 2.0 loan to be liquidated at a meaningful loss (in terms of absolute dollars and loss severity). The borrower failed to make payment in
early 2013 due to a significant decrease in occupancy (69% March 2013, down from 99% June 2011) and filed for Ch. 11 bankruptcy in late
2013. In March 2014, the borrower filed a plan of reorganization, but subsequently filed a June 2014 motion to dismiss the March 2014
reorganization plan in favor of pursuing a workout with creditors. Despite the storied history, the loan was most recently reported as current
(albeit still in special servicing) and there was no appraisal reduction on the property, so the February liquidation at a $7.1MM loss (57%
severity) surprised the market.
As for new issue, February conduit issuance totaled $5.6BN across six deals, bringing 2016 volume to $8.3BN, down 5% from a year ago.
Single asset/single borrower (SASB) issuance totaled $2.0BN across three deals, resulting in $2.2BN total volume, down 70% from a year
ago. Across the Street, banks have reduced their 2016 volume projections to reflect the significant headwinds to the new issue market. Current
volume projections range from $70-80BN ($40BN conduit and $30BN SASB), down from $100-115+BN at the end of 2015. The biggest
impediments to issuance so far have been spread volatility, which creates significant market risk between loan origination and CMBS
execution, and spread widening, which makes CMBS a less competitive lender in the market. By the second half of the year, even if spreads
have stabilized, originators and issuers will have to deal with the regulatory headwind of risk retention, which goes into effect December 24,
2016.
5
7) Section A:
6
8) I.
Delinquencies as a % of Unpaid Principal Balance
7
9) CMBS Delinquency Percentage
12.0%
5.0%
4.5%
10.0%
4.0%
3.5%
8.0%
3.0%
6.0%
2.5%
2.0%
Newly Delinquent 30++ % (rhs)
4.0%
Delinquent 30+%
3.9%
1.5%
1.0%
2.0%
0.5%
0.0%
0.0%
Exhibited by TCW from Trepp Data
8
10) II. Watch List Exposure
9
11) Watch List Exposure Percentage
30%
25%
20%
15.95%
15%
10%
5%
0%
Exhibited by TCW from Trepp Data
10
12) III. Special Servicing Exposure
11
13) Special Servicing Exposure Percentage
14%
12%
10%
8%
6%
4.89%
4%
2%
0%
Exhibited by TCW from Trepp Data
12
14) Property Type Stratification - Specially Serviced Assets
Healthcare 0.1%
Hotel 8.4%
Industrial 5.5%
Multi-Family 6.1%
Retail 37.6%
Office 35.7%
Other 6.7%
Exhibited by TCW from Trepp Data
13
15) Top 10 Largest Loans Entering Special Servicing
Deal
Property Name
Type
Balance
Pct of Tapedate
Deal
75.1% 02/15/16
DQStatus
City
State
Current
Stamford
CT
lbub04c1 UBS Center - Stamford
Office
155,329,465
comm06c 700 South Flower Plaza
7
ms07xlf HRO Hotel Portfolio
Other
121,623,564
12.7%
02/10/16
Payment not received but still in grace period
Los Angeles
CA
Hotel
114,693,870
89.9%
02/15/16
Assumed Scheduled Payment (Performing Matured Balloon)
Various
VR
ms11c2
Office
46,500,000
4.3%
02/15/16
Late Payment but less than 30 days DQ
Washington
DC
jpm5cb12 Fort Steuben Mall
Retail
37,093,108
23.7%
02/12/16
Foreclosure in Process
Steubenville
OH
wb06c26 Northland Plaza(3) (4)
Retail
30,772,179
2.9%
02/15/16
90+ Days DQ
Dekalb
IL
bacm052 OSI Systems
Office
28,549,052
02/10/16
REO
Issaquah
WA
mlcfc079 San Souci Plaza
Retail
27,200,000
100.0
%
1.8%
02/12/16
Foreclosure in Process
California
MD
wf15nxs2 88 Hamilton Avenue
Other
23,000,000
2.5%
02/15/16
60-89 Days DQ
Stamford
CT
cd06cd2 Alpine Commons Shopping Retail
Center
Total
22,232,697
6.7%
02/15/16
Assumed Scheduled Payment (Non Performing Matured
Balloon)
Wappingers
Falls
NY
Georgetown Center
606,993,936
Exhibited by TCW from Trepp Data
14
16) Watch List and Special Servicing Summary
30%
SS and Cur
25%
SS and DQ
Watch List
Special SVC Pct
20%
15.945%
15%
10%
5%
4.887%
3.472%
1.414%
0%
Exhibited by TCW from Trepp Data
15
17) IV. Delinquency Broken Out by Vintage
16
18) Monthly 30+ Delinquent % by Vintage
40%
35%
30%
25%
20%
15%
10%
5%
0%
Aug-15
Sep-15
2004
2004
2005
2005
Oct-15
2006
2006
2007
2007
2008
2008
Nov-15
2009
2009
2010
2010
Dec-15
2011
2011
2012
2012
2013
2013
Jan-16
2014
2014
Exhibited by TCW from Trepp Data
17
19) V. Delinquency Broken Out by Status
18
20) Monthly Delinquency % by Status
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
Mar-15
Apr-15
May-15
Jun-15
Jul-15
DQ30
Aug-15
DQ60
Sep-15
Oct-15
DQ90P
Nov-15
FC
Dec-15
Jan-16
Feb-16
REO
Exhibited by TCW from Trepp Data
19
21) VI. Delinquency Broken Out by Property Type
20
22) Property Type Monthly Delinquency: as Percentage of Property
Type
20%
18%
16%
14%
12%
10%
8%
6%
5.7%
4%
4.8%
5.0%
2%
2.5%
2.46%
1.7%
0%
Multi-Family
Office
Industrial
Hotel
Retail
Other
Exhibited by TCW from Trepp Data
21
23) VII. Maturing Loans Summary
22
24) Maturing Loans Summary
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Paid off no extension
Paid off with extension
Paid off in later quarter
Unpaid
Paid off with loss
Exhibited by TCW from Trepp Data
23
25) Top 10 Largest Loans Maturing without Payoff
Deal
Property Name
Type
jpm6ldp8
53 State Street
Office
280,000,000
lbub06c4
215 Fremont Street
Office
141,371,000
jpm13c15
Veritas Multifamily Portfolio
Other
119,000,000
cgc06c4
Olen Pointe Brea Office Park
Office
boa062
Bon-Ton Department Stores Portfolio (Rollup) Retail
jpm13c16
Veritas Multifamily Portfolio
Multi-Family
92,500,000
ms13c8
Boston Park Plaza
Hotel
90,420,343
comm06c8
Scottsdale 101
Retail
70,000,000
cs06c5
Roger Williams
Hotel
gcc06gg7
John Marshall II
Office
Total
Balance
Pct
Date
Prepay Action
City
State
20% 02/01/16 Payoff Prior to Maturity
Boston
MA
14% 02/11/16 Payoff Prior to Maturity
San Francisco
CA
San Francisco
CA
117,147,197
11% 01/29/16 Payoff w/Yield
17% 02/12/16 Maintenance Maturity
Payoff Prior to
Brea
CA
102,370,797
12% 01/15/16 Payoff w/Penalty
Various
VR
9% 01/29/16 Payoff w/Yield
Maintenance
9% 02/01/16 Payoff Prior to Maturity
San Francisco
CA
Boston
MA
Phoenix
AZ
58,830,772
3% 02/01/16 Payoff w/Yield
3% 02/11/16 Maintenance Maturity
Payoff Prior to
New York
NY
50,946,567
4% 02/06/16 Payoff Prior to Maturity
Mclean
VA
1,122,586,676
Exhibited by TCW from Trepp Data
24
26) VIII. Defeased Loan Trends
25
27) Outstanding Defeased Loan Balance as % of CMBS Universe
10%
9%
8%
7%
6%
5.84%
5%
4%
3%
2%
1%
0%
Exhibited by TCW from Trepp Data
26
28) IX. Loan Curing Trends
27
29) Percentage of 30 day Delinquent Loans Curing Monthly
45%
40%
35%
30%
25%
20%
15%
12.08%
10%
5%
0%
Exhibited by TCW from Trepp Data
28
30) Section B: Losses
29
31) I.
CDRs
30
32) CMBS Universe CDRs
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.8
0.0
Exhibited by TCW from Trepp Data
31
33) II. Loan Level Losses
32
34) Loans with Losses Greater than 2%
Deal
Property Name
bs6pwr1 Phillipsburg Commerce Center
3
wb07c33 Holiday Inn Express - Effingham
Type
Pct of Loss
Deal
21,826,825 1.2%
LossPct Tapedate City
State
21,826,825 100.0% 02/11/16 Phillipsburg
NJ
Hotel
6,482,438
0.3%
6,482,438 100.0% 02/15/16 Effingham
IL
boa062 West Park Apartments & SelfOther
Storage
ms07iq1 25 John A. Cummings Way Office Office
4
mlmt06c Fourth & Walnut
Office
2,199,704
0.3%
2,199,704 100.0% 02/10/16 Evansville
IN
2,923,489
0.1%
2,923,489 100.0% 02/15/16 Woonsocket
RI
21,690,329
3.3%
19,106,270
1
cs07c4
Tobin Portfolio
Industrial
Balance
88.1% 02/12/16 Cincinnati
OH
Retail
3,372,964
0.3%
2,933,468
87.0% 02/15/16
ms07iq1 Huntington Hills Plaza
3
cgc05c3 Richmond City Center - B note
loan
gmac97c 2 Property Retail Portfolio
Retail
1,372,506
0.1%
1,192,982
86.9% 02/15/16 Lakeland
FL
Retail
3,321,169 26.2%
2,859,081
86.1% 02/15/16 Richmond
CA
Retail
3,381,562
9.4%
2,659,574
78.6% 02/15/16 Various
VR
1
ms07iq1 Water Street Plaza (ADF)
3
ms07iq1 Park Plaza Shopping Center
3
gmac05c Springbrook Estates
Retail
5,515,555
0.5%
4,233,579
76.8% 02/15/16 Santa Fe
NM
Retail
3,615,081
0.3%
2,695,002
74.5% 02/15/16 Winter Park
CO
Other
12,632,316 12.5%
9,287,057
73.5% 02/10/16 Romeo
MI
1
cs07c4
Office
11,867,024
1.2%
7,353,649
62.0% 02/15/16 Dublin
OH
wf11c3 Campus Habitat 15
Multi-Family
12,397,817
1.1%
7,105,002
57.3% 02/15/16 Laramie
WY
ms07iq1 Peakview Self Storage
5
cobalt73 Buschwood III
Other
2,645,237
0.2%
1,247,497
47.2% 02/11/16 Colorado Springs
CO
Office
9,200,000
0.7%
4,297,871
46.7% 02/15/16 Tampa
FL
3,026,133
1.4%
1,362,779
45.0% 02/10/16 Pompano Beach
FL
51,896,777
3.1%
22,610,027
43.6% 02/12/16 Newark
NJ
2,262,815
41.0% 02/12/16 Tucker
GA
565 Metro Place
ge06c1 Copans Commerce Depot - B note Industrial
jpm6cb1 Sheraton at Newark International Hotel
7
ms06hq9 Airport Suites - Northlake
Comfort
Hotel
5,524,481
0.5%
boa062 Novi Industrial
Industrial
1,736,938
0.2%
jpm6cb1 Palmer Super Center
7
bs7top28Towne Center Promenade
Retail
9,100,343
0.6%
3,546,517
39.0% 02/12/16 Easton
PA
Retail
14,220,585
1.1%
3,644,077
25.6% 02/11/16 Deer Park
IL
boa062 Shopping Center
2 Rockledge Centre
Office
54,600,000
6.3%
13,124,553
24.0% 02/10/16 Bethesda
MD
cs07c3
401-431 North Raddant Road
Industrial
2,474,240
0.2%
cs07c5
Gulf Coast Town Center Phases I & Retail
II
River Ridge Crossing West
Retail
fb05c6
com05lp 4320 Broadway
5
Other
190,800,000 14.9%
5,043,397
3.4%
12,206,296 10.5%
681,838 39.3% 02/10/16 Novi
590,875 23.9% 02/15/16 Batavia
44,318,763
23.2% 02/15/16 Fort Myers
629,805 12.5% 02/15/16 Indianapolis
1,355,454
11.1% 02/10/16 New York
MI
IL
FL
IN
NY
33
35) mlmt06c Hampton Inn - Tampa
1
fb05c6 River Ridge Crossing East
Hotel
5,457,806
0.8%
570,957 10.5% 02/12/16 Tampa
FL
Retail
3,947,734
2.7%
109,571
IN
Subtotals
484,478,745
2.8% 02/15/16 Indianapolis
193,211,520 55.4%
Loans with Losses Less than 2%
mlcfc079 Sam Bass Center
Retail
Pct of Loss
1,684,098 Deal
0.1%
jpm5cb1 2209 North Halsted
3
boa061 Bellefontaine Retail
Retail
2,991,391
1.8%
36,047
1.2% 02/12/16 Chicago
IL
Retail
2,030,385
1.0%
23,005
1.1% 02/10/16 Bellefontaine
OH
jpm6cb1 Royal Pines
Other
5
lbub06c1 72nd & Ames Road/Benson Park Retail
Plaza
lbub06c3 Westwood Office Center
Office
2,139,325
0.2%
22,178
1.0% 02/12/16 Idyllwild
CA
1,670,192
0.5%
17,285
1.0% 02/15/16 Omaha
NE
15,855,095
4.4%
162,577
1.0% 02/15/16 Vienna
VA
Deal
Property Name
Type
Balance
LossPct Tapedate City
State
21,041
1.2% 02/12/16 Round Rock
TX
ge06c1 South Street Self Storage
Other
5,866,498
2.7%
59,890
1.0% 02/10/16 Long Beach
CA
jpm6cb1 Eureka Manor
5
gs05gg4 Mill Avenue Retail
Multi-Family
3,226,658
0.3%
32,838
1.0% 02/12/16 San Bernardino
CA
Retail
9,538,775
3.7%
96,938
1.0% 02/10/16 Tempe
AZ
boa056 NVR Warehouse
Industrial
5,149,532
3.5%
52,004
1.0% 02/10/16 Enon Valley
PA
gcc06gg7 Central Texas Marketplace
Retail
1,865,576
0.1%
18,751
1.0% 02/10/16 Waco
TX
20,174,142
7.0%
185,766
0.9% 02/10/16 Greensboro
NC
gmac06c Mission Greensboro Apartments Multi-Family
1
cgc05c3 Eckerd Plaza-Slane Portfolio
Retail
3,226,325 25.5%
19,732
0.6% 02/15/16 Woodside
NY
wb05c21 975 Morris Park Avenue
Other
2,141,687
0.5%
12,186
0.6% 02/15/16 Bronx
NY
ms06hq8 One Harbour Square
Office
4,049,073
1.3%
19,810
0.5% 02/12/16 League City
TX
cd05c1 Granite Bay Village
Retail
7,495,830
3.3%
13,555
0.2% 02/15/16 Granite Bay
CA
Subtotals
Aggregate Totals
89,104,582
573,583,326
793,602
0.9%
194,005,122 36.0%
34
36) III. Aggregate Severity Greater than 2%
35
37) Totals
Balance
Loss Amt
Avg Severity
Count
Feb-16
586,478,745
256,772,898
55.8%
Jan-16
2,291,161,774
1,496,833,926
62.6%
Dec-15
857,494,344
652,613,688
63.6%
Nov-15
745,000,934
413,236,854
57.1%
Oct-15
706,688,479
364,303,686
55.5%
Sep-15
819,713,908
441,109,189
52.5%
Aug-15
598,195,930
379,833,326
55.3%
Jul-15
414,609,283
227,965,152
58.3%
Jun-15
681,558,674
381,082,865
55.4%
May-15
1,018,993,679
577,257,553
53.4%
Apr-15
396,928,585
180,336,004
48.4%
Mar-15
257,507,653
189,386,052
64.6%
Feb-15
248,029,382
128,114,688
54.7%
Jan-15
835,552,120
448,885,270
53.0%
Dec-14
525,884,949
342,772,554
53.7%
Nov-14
615,315,964
368,343,938
53.9%
Oct-14
636,700,822
403,607,631
61.1%
Sep-14
1,619,608,737
953,435,943
59.3%
Aug-14
693,978,308
362,436,965
51.4%
Jul-14
508,756,910
351,022,430
61.5%
Jun-14
699,405,409
291,076,119
47.7%
May-14
770,474,276
463,377,945
58.0%
31
112
47
56
40
59
51
53
56
75
30
30
26
60
53
50
56
85
76
43
60
52
36
38) Average Loss Severity and Number of Liquidations
70.0%
120
60.0%
100
50.0%
80
40.0%
60
30.0%
40
20.0%
20
10.0%
0.0%
-
Liquidation Count (rhs)
Severity
Exhibited by TCW from Trepp Data
37
39) IV. Average Severity by Property Type
38
40) All Loans
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
Loss
Severity
Count
21,663,807
28.5%
16
3,550,554,055
54.2%
474
1,747,296,703
44.2%
452
4,232,620,023
40.2%
1,188
10,374,932,611
48.7%
1,590
2,434,574,003
44.3%
516
10,233,794,039
48.7%
2,111
32,595,435,240
44.1%
6,347
Loss
Severity
Count
20,289,687
55.8%
8
3,544,577,687
60.2%
426
1,740,793,964
55.6%
358
4,200,442,037
51.7%
917
10,325,890,285
57.9%
1,332
2,425,921,443
54.8%
415
10,205,628,739
57.9%
1,770
32,463,543,841
56.3%
5,226
160,841,670
7,140,715,492
4,017,096,556
12,500,142,566
24,634,582,961
5,147,796,785
19,762,465,618
73,363,641,649
Loans with severity greater than 2%
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
34,606,538
6,450,972,174
3,214,742,916
8,906,685,010
19,571,436,348
4,339,129,083
16,939,249,593
59,456,821,663
Exhibited by TCW from Trepp Data
39
41) Loans with severity less than 2%
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
Loss
126,235,131
689,743,318
802,353,640
3,593,457,556
5,063,146,613
808,667,702
2,823,216,025
13,906,819,985
Severity
Count
1,374,120
1.3%
8
5,976,368
0.9%
48
6,502,740
1.0%
94
32,177,986
1.0%
271
49,042,325
1.0%
258
8,652,560
1.0%
101
28,165,301
1.0%
341
131,891,399
1.0%
1,121
Exhibited by TCW from Trepp Data
40
42) V. Average Number of Months to Liquidation
41
43) Average Number of Months to Liquidation
50
250
45
40
200
35
30
150
25
20
100
15
10
50
5
0
0
Liquidation Count (rhs)
Avg Months to Liquidation
Exhibited by TCW from Trepp Data
42
44) Section C: Prepayments
43
45) I.
Top 10 Largest Refinancings
44
46) Deal
Property Name
Type
Balance
jpm6ldp8
53 State Street
Office
280,000,000
Pct
Date
Prepay Action
City
State
20% 02/01/16 Payoff Prior to Maturity
Boston
MA
lbub06c4
215 Fremont Street
Office
141,371,000
14% 02/11/16 Payoff Prior to Maturity
San Francisco
CA
jpm13c15
Veritas Multifamily Portfolio
Other
119,000,000
11% 01/29/16 Payoff w/Yield Maintenance
San Francisco
CA
cgc06c4
Olen Pointe Brea Office Park
Office
117,147,197
17% 02/12/16 Payoff Prior to Maturity
Brea
CA
boa062
Bon-Ton Department Stores Portfolio (Rollup) Retail
102,370,797
12% 01/15/16 Payoff w/Penalty
Various
VR
jpm13c16
Veritas Multifamily Portfolio
Multi-Family
92,500,000
9% 01/29/16 Payoff w/Yield Maintenance
San Francisco
CA
ms13c8
Boston Park Plaza
Hotel
90,420,343
9% 02/01/16 Payoff Prior to Maturity
Boston
MA
comm06c8
Scottsdale 101
Retail
70,000,000
3% 02/01/16 Payoff w/Yield Maintenance
Phoenix
AZ
cs06c5
Roger Williams
Hotel
58,830,772
3% 02/11/16 Payoff Prior to Maturity
New York
NY
gcc06gg7
John Marshall II
Office
50,946,567
4% 02/06/16 Payoff Prior to Maturity
Mclean
VA
Total
1,122,586,676
Exhibited by TCW from Trepp Data
45
47) II. Voluntary Prepayment Rates
46
48) CMBS Universe Voluntary Prepayment Rates ex Defeased Loans
16.0
14.0
12.0
10.0
8.0
6.6
6.0
4.0
2.0
0.0
Exhibited by TCW from Trepp Data
47
49) III. Top 10 Largest Refinancings with Yield Maintenance
48
50) Deal
Property Name
Type
jpm13c15
Veritas Multifamily Portfolio
Other
jpm13c16
Veritas Multifamily Portfolio
Balance
Pct
Date
Prepay Action
City
State
119,000,000
11% 01/29/16Payoff w/Yield Maintenance
San Francisco
CA
Multi-Family
92,500,000
9% 01/29/16Payoff w/Yield Maintenance
San Francisco
CA
comm06c8 Scottsdale 101
Retail
70,000,000
3% 02/01/16Payoff w/Yield Maintenance
Phoenix
AZ
mlcfc075
EZ Storage - Chevrolet Drive
Other
11,885,000
1% 02/01/16Payoff w/Yield Maintenance
Ellicott City
MD
cs06c5
Royal Bank Complex
Office
10,324,252
0% 02/10/16Payoff w/Yield Maintenance
Sarasota
FL
com12cr2
3018 Heath Avenue
Multi-Family
6,640,137
1% 02/11/16Payoff w/Yield Maintenance
Bronx
NY
mlcfc075
EZ Self Storage - Owings Mill
Other
6,490,000
0% 02/01/16Payoff w/Yield Maintenance
Owings Mills
MD
bs6pwr13
One City Center
Office
6,199,779
0% 02/01/16Payoff w/Yield Maintenance
Atlanta
GA
com12cr2
1576 Taylor Avenue
Multi-Family
5,918,383
0% 02/11/16Payoff w/Yield Maintenance
Bronx
NY
com12cr2
2770 Kingsbridge Terrace
Multi-Family
5,485,331
0% 02/11/16Payoff w/Yield Maintenance
Bronx
NY
Total
334,442,882
Exhibited by TCW from Trepp Data
49
51) IV. Voluntary Prepayment Rates on Loans with Yield Maintenance
50
52) CMBS Universe Voluntary Prepayment Rates with Yield
Maintenance ex Defeased Loans
2.5
2.0
1.5
1.0
0.9
0.5
0.0
Exhibited by TCW from Trepp Data
51
53) V. Top 10 Largest Refinancings with Prepayment Penalties
52
54) Deal
Property Name
Type
jpm12c8
Wolf Creek Apartments Phase II
Multi-Family
18,782,273
jpm07c1
Molasky Corporate Center - 2nd Loan
Office
ml03key1
Circa Capital - East Pool
Hotel
ml03key1
Circa Capital - West Pool
Hotel
Total
Balance
Pct
Date
Prepay Action
City
State
2% 12/11/15 Payoff w/Penalty
Raleigh
NC
24,038,999
3% 12/30/15 Payoff w/Penalty
Las Vegas
NV
10,022,637
42% 12/22/15 Payoff w/Penalty
Various
VR
6,906,253
29% 12/22/15 Payoff w/Penalty
Various
VR
59,750,163
Exhibited by TCW from Trepp Data
53
55) VI. Voluntary Prepayment Rates on Loans with Prepayment Penalties
54
56) CMBS Universe Voluntary Prepayment Rates with Prepayment
Penalties ex Defeased Loans
2.0
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.3
0.2
0.0
Exhibited by TCW from Trepp Data
55
57) Section D: Appraisal Reductions
56
58) I.
Percentage of Balance with Appraisal Reduction
57
59) Appraisal Reduction on CMBS Universe
60.0%
14.0%
55.1%
50.0%
12.0%
10.0%
40.0%
8.0%
30.0%
6.0%
Pct w/Appraisal Reduction
Appraisal Reduction Amt
3.739%
20.0%
4.0%
10.0%
2.0%
0.0%
Exhibited by TCW from Trepp Data
0.0%
58
60) Section E: Modifications
59
61) I.
Modifications by Type
60
62) Maturity Ext
Amort Change
Prin Forgiveness
Temp Rate Reduction
Interest Capitalization
Taxes Capitalization
Other
Feb-16
Nov-15
Aug-15
May-15
Feb-15
Nov-14
Aug-14
May-14
Feb-14
Nov-13
Aug-13
May-13
Feb-13
Nov-12
Aug-12
May-12
Feb-12
Nov-11
Aug-11
May-11
Feb-11
Nov-10
Aug-10
May-10
Feb-10
Nov-09
Aug-09
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Nov-07
Aug-07
May-07
Feb-07
Nov-06
Percent CMBS Universe with Modification
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Combination
Exhibited by TCW from Trepp Data
61
63) Top 10 Largest Loans Modified
Deal
Property Name
Type
jpm14gpp
Greenfield Partners Portfolio
Other
368,148,000
wb07c30
One Congress Street
Other
190,000,000
jpm14gpp
Greenfield Partners Portfolio_Prepayable
Other
38,122,730
Total
Balance
% Deal
Mod Date Loan Modification Type
City
State
91% 01/15/16 Maturity extension
Various
VR
4% 01/05/16 Maturity extension
Boston
MA
9% 01/15/16 Maturity extension
Various
VR
368,148,000
Exhibited by TCW from Trepp Data
62
64) Section F: Partial IO Resets
63
65) I.
Top 10 Largest Loans Beginning to Amortize
64
66) Deal
Property Name
Type
Balance
% Deal TapeDate Orig Date Age DQStatus
City
State
jpm11c3
Albertson's Portfolio
Retail
132,903,083
11.6% 02/15/16 12/15/10 60 Current
Various
VR
wf13c11
515 Madison Avenue
Office
119,835,611
jp13cb10
Gateway Center
Office
111,866,034
8.5% 02/15/16 12/21/12 36 Current
New York
NY
9.0% 02/15/16 12/13/12 36 Current
Pittsburgh
PA
com14ub2 Excelsior Crossings
Office
87,902,817
7.2% 02/10/16 12/13/13 24 Current
Hopkins
MN
wf14lc14
PennCap Portfolio
Other
86,615,679
7.0% 02/15/16 12/31/13 24 Current
Various
PA
gs13gc10
Nut Tree Center
Retail
67,100,657
8.3% 02/10/16 12/07/12 36 Current
Vacaville
CA
jpm14c18
Waterstone Retail Portfolio
Retail
55,946,434
5.9% 02/15/16 12/24/13 24 Current
Various
VR
wf13c18
Hotel Felix Chicago
Hotel
46,953,250
4.6% 02/15/16 12/05/13 25 Current
Chicago
IL
jpm14c19
The Summit
Retail
39,950,403
2.8% 02/15/16 12/19/13 24 Current
Reno
NV
wf14lc14
Calidus Student Housing Portfolio Multi-Family
38,776,071
3.1% 02/15/16 12/27/13 24 Current
Various
VR
Aggregate Totals
132,903,083
Exhibited by TCW from Trepp Data
65
67) Section G: Commercial Property Prices
66
68) I.
Moody’s Commercial Property Price Index (CPPI)
67
69) Moody's Commercial Property Price Index (CPPI)
300
250
200
150
100
50
0
Index, December 2000 = 100
Non-Major Markets All Properties
Major Market All Properties
Exhibited by TCW from Moody’s
68
