Commercial Mortgage Market Monitor June 2015

Transcription

MORTGAGE-BACKED SECURITIES
Commercial Mortgage Market Monitor
June 2015 Remittances
Table of Contents
Forward .............................................................................................. 3
Overview ............................................................................................ 4
Section A: Delinquencies .................................................................. 5
I. Delinquencies as a % of Unpaid Principal Balance ............. 6
II. Watch List Exposure .............................................................. 8
III.
Special Servicing Exposure ............................................. 10
IV.
Delinquency Broken Out by Vintage ............................... 15
V. Delinquency Broken Out by Status ..................................... 17
VI.
Delinquency Broken Out by Property Type..................... 19
VII.
Maturing Loans Summary .............................................. 21
VIII. Defeased Loan Trends .................................................... 24
IX.
Loan Curing Trends ......................................................... 26
Section B: Losses ............................................................................ 28
I. CDRs .................................................................................... 29
II. Loan Level Losses................................................................ 31
III.
Aggregate Severity Greater than 2% ............................... 35
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
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 2014
Forward
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
Overview
CMBS collateral performance continued to improve during June as the 60+ delinquency rate is now down to 6%. The special servicing rate,
meanwhile, is also down to 6.7% as the legacy universe continue to amortize down with 2005 loans paying off at a nearly 85% success rate.
Some of the large legacy loans that were able to refinance in June were the $208 MM Gaileo Retail Portfolio as well as the $180MM Pearlridge
Center. In the new issue space, the $53MM 6300 Wilshire Blvd and $37MM Paddock at Eastpoint both prepaid early by paying their respective
yield maintenance penalties. A total of $114MM from the 2011 vintage prepaid during June as strong financing conditions and property price
appreciation continue to incentive borrowers to refinance into higher leveraged debt. A total of $322MM from the 2011 vintage has prepaid
overall and $1.4Bn has already defeased, versus the $22Bn outstanding balance of 2011 conduit loans.
Two large loans that moved into special servicing during the month were the $87MM Chevy Chase Center loan in suburban Maryland and the
2 Rockledge Center property in Bethesda, Maryland. This follows the month of May, which saw the $200MM NGP Rubicon GSA Pool and the
$108MM Greensboro Park property move into special servicing after failing to refinance at their balloon dates. A common theme amongst the
loans being unable to refinance was suburban office properties, which have underperformed significantly over the last couple of years. The
NGP Rubicon GSA pool, located in tier 2 and 3 office markets, has struggled with vacancies as many GSA (General Services Administration)
tenants have terminated leases over the last couple of years. Similarly, the $108MM Greensboro Park property, which is located in suburban
Virginia, has had trouble attracting tenants as its market vacancy is over 20%, with most of the market dependent on either government
contracts or supporters of government businesses. Lastly, the largest loan to be liquidated during June was the $89MM Government Property
Advisors portfolio, which was also located in suburban Virginia and suffered a 42% loss severity.
In new-issue, underwriting metrics have remained fairly consistent since the first quarter of 2015. Thus far, the average underwritten debt yield
remains around 11.2% while the LTV and DSCR are at 64 and 1.8, respectively. The percentage of full and partial IO’s has increased to 68% of
the pool on average, while only 26% of the loans come from the top 10 MSA’s. Single-borrower transactions still compromise a significant
proportion of the 2015 issuance with 40% of all deals done year-to-date. Multi-family, meanwhile, compromises an average of 15% of conduit
pools thus far this year while retail exposure continues to decrease, with 26% of deals during 2Q 2015 versus 32% in 2013.
4
Section A:
5
I.
Delinquencies as a % of Unpaid Principal Balance
6
CMBS Delinquency Percentage
12.0%
5.0%
4.5%
10.0%
4.0%
3.5%
8.0%
3.0%
6.0%
2.5%
5.9%
Newly Delinquent 30++ % (rhs)
4.0%
2.0%
Delinquent 30+%
1.5%
1.0%
2.0%
0.5%
0.0%
0.0%
Exhibited by TCW from Trepp Data
7
II. Watch List Exposure
8
Watch List Exposure Percentage
30%
25%
20%
19.10%
15%
10%
5%
0%
9
III. Special Servicing Exposure
10
Special Servicing Exposure Percentage
14%
12%
10%
8%
6.77%
6%
4%
2%
0%
11
Property Type Stratification - Specially Serviced Assets
Healthcare 0.0%
Hotel 8.6%
Industrial 5.5%
Retail 29.7%
Multi-Family 16.4%
Other 6.7%
Office 33.1%
12
Top 10 Largest Loans Entering Special Servicing
Deal
Property Name
Type
ms12c4
Ty Warner Hotels & Resorts Portfolio
Hotel
Pct of
Deal
96,190,314
9.1%
06/15/15 Current
Various
lbub08c1 Chevy Chase Center
Other
87,143,037
10.3%
06/15/15 Current
Chevy Chase MD
boa062
2 Rockledge Centre
Office
54,600,000
2.6%
06/10/15 Late Payment but less than 30 days DQ
Bethesda
MD
boa063
Fifth Third Center - Columbus, OH
Office
49,238,113
3.5%
06/10/15 Payment not received but still in grace period
Columbus
OH
ge03c1
801 Market Street
Office
35,159,171
75.9%
06/10/15 REO
Philadelphia PA
csfb05c5
Broadway Office Portfolio
Office
31,256,565
2.9%
06/15/15 Current
Minneapolis MN
cs07c2
300-318 East Fordham Road - A note
Retail
30,000,000
1.2%
06/15/15 90+ Days DQ
Bronx
cgc08c7
Copper Beech - Kalamazoo, MI
Multi-Family
29,431,892
2.6%
Kalamazoo MI
cs06c3
CheckFree Corporation
Office
27,200,217
2.0%
06/15/15 Foreclosure in Process
Norcross
GA
27,175,035
2.0%
Dallas
TX
bs5pwr10 1001 Ross Avenue
Total
Multi-Family
Balance
Tapedate DQStatus
City
State
VR
NY
467,394,345
13
Watch List and Special Servicing Summary
30%
SS and Cur
25%
SS and DQ
Watch List
Special SVC Pct
20%
19.103%
15%
10%
6.767%
5%
5.450%
1.316%
0%
14
IV. Delinquency Broken Out by Vintage
15
Monthly 30+ Delinquent % by Vintage
35%
30%
25%
20%
15%
10%
5%
0%
Dec-14
Jan-15
Feb-15
2004
2005
Mar-15
2006
2007
Apr-15
May-15
2008
16
V. Delinquency Broken Out by Status
17
Monthly Delinquency % by Status
4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
Jul-14
Aug-14
Sep-14
Oct-14
Nov-14
DQ30
Dec-14
DQ60
Jan-15
Feb-15
DQ90P
Mar-15
FC
Apr-15
May-15
Jun-15
REO
18
VI. Delinquency Broken Out by Property Type
19
Property Type Monthly Delinquency: as Percentage of Property Type
20%
18%
16%
14%
12%
10%
9.18%
8%
7.2%
6.3%
6%
4%
5.8%
4.5%
2%
2.3%
0%
Multi-Family
Office
Industrial
Hotel
Retail
Other
20
VII. Maturing Loans Summary
21
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
22
Top 10 Largest Loans Maturing without Payoff
Deal
Property Name
ml05mcp1 Webster Place Shopping Center
Retail
comm05c 1710 Broadway
6
jpm05ld2
One Centennial Plaza
Other
% Maturity DQStatus
34,114,124Dea
22% 05/08/15 Assumed Scheduled Payment (Non Performing
Matured Balloon)
32,461,347 5% 05/01/15 Assumed
Scheduled Payment (Non Performing
Office
Matured Balloon)
24,781,485 7% 05/01/15 REO
Piscataway
NJ
lbub05c3 Commerce Center II
Office
17,358,304 17% 05/11/15 REO
Greenbelt
MD
gs05gg4
Hotel
15,157,992 5% 05/06/15 Foreclosure in Process
Lansdale
PA
jpm5cb12 LXP-AT&T
Office
13,631,730 2% 05/01/15 Late Payment but less than 30 days DQ
Oklahoma City
OK
lbub06c1 East Park Plaza
Retail
13,467,546 1% 05/11/15 REO
Lincoln
NE
ml05cip1 Hampton Inn Newtown
Hotel
13,464,402 3% 05/06/15 REO
Yardley
PA
gs05gg4
Hotel
13,246,811 4% 05/06/15 Assumed Scheduled Payment (Non Performing
12,328,659 9% 05/01/15 Matured
Assumed Balloon)
Scheduled Payment (Non Performing
Plymouth
Meeting
New York
PA
Homewood Suites - Lansdale (Gulph Creek)
Hampton Inn - Plymouth Meeting (Gulph
com05lp5 Creek)
4320 Broadway
Total
Type
Other
Balance
190,012,400
City
State
Chicago
IL
New York
NY
NY
Matured Balloon)
23
VIII. Defeased Loan Trends
24
Outstanding Defeased Loan Balance as % of CMBS Universe
9%
8%
7%
6%
6.21%
5%
4%
3%
2%
1%
0%
25
IX. Loan Curing Trends
26
Percentage of 30 day Delinquent Loans Curing Monthly
45%
40%
35%
30%
25%
20%
15%
10%
7.90%
5%
0%
27
Section B: Losses
28
I.
CDRs
29
CMBS Universe CDRs
7.0
6.0
5.0
4.0
3.0
2.6
2.0
1.0
0.0
30
II. Loan Level Losses
31
Loans with Losses Greater than 2%
Pct of
Loss
Deal
Deal
Property Name
Type
Balance
LossPct Tapedate City
State
cs07c1
1025 Old Country Road
Office
27,000,000
1.2%
36,925,907 136.8% 06/15/15 Westbury
NY
jpm7cb2 STF Portfolio
0
wb06c24 Park Plaza II
Industrial
30,392,808
1.7%
31,390,165 103.3% 06/12/15 Various
VR
Office
23,466,630
2.3%
23,466,630 100.0% 06/15/15 Rockville
MD
ge07c1
Wyndham Jacksonville Riverwalk Hotel
Hotel
25,036,264
1.0%
25,036,264 100.0% 06/10/15 Jacksonville
FL
cs06c4
The Plaza Evergreen Park
18,405,721 100.0% 06/15/15 Evergreen Park
IL
Retail
18,405,721
0.6%
gcc05gg5 Concord & Foulkstone - B note
Office
8,739,024
0.5%
8,739,024 100.0% 06/10/15 Wilmington
DE
ms07iq1 711 Distribution Drive
6
ge07c1 Chiodo Plaza
Industrial
3,125,303
0.2%
3,125,303 100.0% 06/12/15 Columbus
OH
Other
3,927,599
0.2%
3,927,599 100.0% 06/10/15 Pittsburgh
PA
boa062 Heathrow Center
Retail
2,353,629
0.1%
2,353,629 100.0% 06/10/15 Indianapolis
IN
wamu6sl 5501-5517 W. Washington Boulevard
1
wb06c24 Woodbridge Hilton Pool(2),(3)
Multi-Family
3,504,075
1.8%
3,391,767
96.8% 06/23/15 Chicago
IL
Other
33,477,468
3.3%
29,865,054
89.2% 06/15/15 Iselin
NJ
cs07c3
Riverview Corporate Center
Office
9,569,498
0.6%
8,312,710
86.9% 06/15/15 Cherry Hill
NJ
cs07c3a Riverview Corporate Center
Office
9,569,498
0.6%
8,312,710
86.9% 06/19/15 Cherry Hill
NJ
mlcfc076 242 Baker Avenue
Office
9,744,293
0.5%
8,159,814
83.7% 06/12/15 Concord
MA
boa066 Craig Marketplace Pads
Retail
6,211,022
0.4%
5,184,967
83.5% 06/10/15 Las Vegas
NV
bs7top28 Eckerd - Mableton, GA
Retail
1,197,000
0.1%
954,329
79.7% 06/11/15 Mableton
GA
wb06c23 Roswell Fiesta
Retail
5,134,302
0.2%
4,033,235
78.6% 06/15/15 Roswell
GA
wb07c34 GSA Building - Meeker, CO
Industrial
2,820,154
0.2%
2,200,971
78.0% 06/15/15 Meeker
CO
wb07c33 Twin Oaks Apartments
Multi-Family
3,962,974
0.2%
3,065,898
77.4% 06/15/15 Fort Myers
FL
cobalt73 Wind Hill Office Center
Office
8,705,000
0.6%
6,485,106
74.5% 06/15/15 Saint Charles
IL
wb07c32 SilverLeaf Suites - Eagle, CO
Hotel
3,075,495
0.1%
2,245,411
73.0% 06/15/15 Eagle
CO
cd05c1
Turlock Town Center
Retail
12,088,385
0.6%
8,760,819
72.5% 06/15/15 Turlock
CA
jpm5cb1 LXP-Kerr McGee
2
wb06c23 Meadows Shopping Center(7)
Office
10,125,891
1.8%
7,258,793
71.7% 06/12/15 Houston
TX
Retail
4,558,099
0.1%
3,247,687
71.3% 06/15/15 Littleton
CO
bs6pwr1 Lake Pointe Office Center
4
boa073 Holiday Inn San Antonio
Office
963,004
0.1%
680,773
70.7% 06/11/15 Ypsilanti
MI
Hotel
5,727,388
0.2%
4,035,191
70.5% 06/10/15 San Antonio
TX
cgc07c6 2345 West Ryan Road
Retail
1,874,544
0.1%
1,284,075
68.5% 06/10/15 Oak Creek
WI
32
fb04c3
Miccosukee Arms Apartments
Multi-Family
839,453
1.3%
526,039
62.7% 06/15/15 Tallahassee
FL
wb06c24 Mission Springs Apartments
Multi-Family
20,256,859
2.0%
12,441,158
61.4% 06/15/15 Jacksonville
FL
ms07t27 791 Park of Commerce
Office
27,785,113
1.4%
15,211,267
54.7% 06/11/15 Boca Raton
FL
ge20001 River Point Office Buildings
Office
6,316,939 65.3%
3,179,694
50.3% 06/15/15 Des Moines
IA
cd07cd5 Hampton Inn - Waycross, GA
Hotel
3,092,589
0.2%
1,523,492
49.3% 06/15/15 Waycross
GA
ms03iq5 Wright Executive Center-2900 Presidential
ms03iq5 Drive
Wright(III)
Executive Center-3000 Presidential
Office
3,687,369 12.9%
1,796,578
48.7% 06/15/15 Fairborn
OH
Office
3,629,754 12.7%
1,768,507
48.7% 06/15/15 Fairborn
OH
(III)
ms05iq9 Drive
Okeechobee
Industrial Park
Industrial
9,721,385
3.7%
4,418,750
45.5% 06/15/15 West Palm Beach
FL
lbub06c7 Government Property Advisors Portfolio
Office
89,785,396
4.3%
37,905,927
42.2% 06/15/15 Various
VR
bs6pwr1 Kings Highway Commerce Center
4
cgc07c6 Paducah Shopping Center
Retail
10,222,790
0.6%
3,934,781
38.5% 06/11/15 Maple Shade
NJ
Retail
1,111,200
0.0%
416,110
37.4% 06/10/15 Paducah
KY
lbub07c3 Preston Frankford
Retail
8,545,636
0.4%
3,140,213
36.7% 06/15/15 Dallas
TX
wb06c26 5 Becker Farm Road
Office
14,767,030
1.1%
5,258,085
35.6% 06/15/15 Roseland
NJ
lbub04c7 Spring Ridge Plaza
Retail
3,699,229
6.5%
1,248,666
33.8% 06/15/15 Omaha
NE
boa072 4234 Bronx Boulevard
Office
9,685,293
0.5%
2,881,422
29.8% 06/10/15 Bronx
NY
wb05c21 Kimball Crossing Shopping Center
Retail
1,717,100
0.1%
505,182
29.4% 06/15/15 Alpharetta
GA
boa074 Microtel Inn
Hotel
2,035,180
0.2%
549,414
27.0% 06/10/15 Palm Coast
FL
ms07iq1 Hilton Garden Inn (Kenner, LA)
6
cs07c5 Fairfield Inn by Marriott Hotel Portfolio
Hotel
7,774,032
0.4%
1,855,970
23.9% 06/12/15 Kenner
LA
Hotel
55,932,280
3.2%
13,315,138
23.8% 06/15/15 Various
VR
ms04hq3 Spring Centre
Retail
2,100,322 16.2%
485,648
23.1% 06/13/15 Mechanicsville
VA
wb05c22 Britannia Business Center III
Office
32,669,529
2.2%
6,606,487
20.2% 06/15/15 Pleasanton
CA
gcc07gg9 Wisconsin Hotel Portfolio
Hotel
22,980,732
0.6%
4,503,485
19.6% 06/10/15 various
VR
cd07cd5 Mission Mill Creek
Multi-Family
17,319,583
1.2%
3,218,661
18.6% 06/15/15 Antioch
TN
cgc07c6 Northlake and Atlanta Business Park
Industrial
8,250,000
0.2%
1,499,794
18.2% 06/10/15 Various
GA
cs07c2
Other
8,691,605
0.3%
1,489,573
17.1% 06/15/15 Various
VA
wb04c14 Broad Trace Apartments
Multi-Family
2,044,993
7.1%
333,550
16.3% 06/15/15 Sumter
SC
gcc7gg11 Broad River Village
Retail
8,502,927
0.5%
756,473
8.9% 06/10/15 Irmo
SC
wb05c20 Holiday Inn Express - Mechanicsville, VA
Hotel
5,334,666
0.9%
309,509
5.8% 06/15/15 Mechanicsville
VA
ge04c2
Retail
6,780,303 20.6%
198,295
2.9% 06/10/15 Marlton
NJ
Duke Portfolio
Shops at Borders
boa081 129 West Trade
Office
13,512,762
1.6%
384,082
2.8% 06/10/15 Charlotte
NC
ms06iq1 Reno Tahoe Tech Center
1
Office
11,085,129
1.2%
275,841
2.5% 06/15/15 Reno
NV
33
Subtotals
694,632,246
392,787,342
56.7%
Loans with Losses Less than 2%
Deal
Property Name
Type
fb05c3
The Columns at Chicopee
Multi-Family
Balance
Pct of Loss
7,139,330 Deal
6.9%
LossPct Tapedate City
State
114,157
1.6% 06/15/15 Gainesville
GA
1.4% 06/15/15 Atlanta
GA
1.2% 06/12/15 Lafayette
CO
cgc06c5 One & Two Securities Centre
Office
65,202,497
4.4%
892,936
ml05lc1 Centaur Commons
Office
1,712,652
0.2%
20,947
jpm5cb1 Bank of America Building
3
jpm5cb1
ParkWest 1
2
ml05lc1 Gateway Professional Building
Office
22,767,835
1.5%
256,601
1.1% 06/12/15 Boca Raton
FL
Office
4,879,732
0.9%
52,724
1.1% 06/12/15 Midlothian
VA
Office
2,537,464
0.3%
27,104
1.1% 06/12/15 Lincoln
NE
jpm7cb1 Holiday Inn North Haven
9
lbub05c2 Northmark Office
Hotel
7,092,253
0.3%
74,845
1.1% 06/12/15 North Haven
CT
Office
2,115,113 10.5%
22,112
1.0% 06/15/15 Canton
OH
gs05gg4 Brookworth Plaza
Retail
10,486,903
3.3%
109,479
Retail
6,587,948
0.3%
68,551
1.0% 06/10/15 East Bradford
Township
1.0% 06/15/15 Northport
PA
cd06cd3 Northport Corners Shopping Center
wb06c29 The Forum at Ashley Park, Phase I
Retail
17,500,000
0.7%
181,849
1.0% 06/15/15 Newnan
GA
jpm05ld2 Stafford Place II
Office
52,279,203 15.8%
536,871
1.0% 06/15/15 Arlington
VA
cobalt61 350 Long Beach
Industrial
1.0% 06/15/15 Stratford
CT
jpm5cb1 Merchant's Crossing
2
lbub05c5 Lake Worth West
AL
2,845,194
0.2%
29,133
Retail
18,527,521
3.2%
187,938
1.0% 06/12/15 North Fort Myers
FL
Retail
6,644,878
1.2%
66,883
1.0% 06/15/15 Lake Worth
FL
ms05hq6 Fairfield Inn - Jacksonville
Hotel
1,526,719
0.8%
11,991
0.8% 06/13/15 Jacksonville
NC
bs05pwr Cranston Parkade
9
jpmcib11
Clairmont Place
Retail
30,169,806
5.3%
82,090
0.3% 06/11/15 Cranston
RI
Office
7,574,423
3.0%
12,770
0.2% 06/12/15 Atlanta
GA
com05lp Hickory Grove Apartments
5
Subtotals
Multi-Family
1,110,887
0.8%
227
0.0% 06/10/15 Bloomington
IN
Aggregate Totals
268,700,357
2,749,207
0.9%
963,332,603
395,536,550
42.9%
34
III. Aggregate Severity Greater than 2%
35
Totals
Balance
Loss Amt
Avg Severity
Count
Jun-15
694,632,246
392,787,342
56.7%
May-15
1,032,816,607
581,216,588
52.7%
Apr-15
396,928,585
180,336,004
48.4%
Mar-15
274,089,809
201,624,269
65.8%
Feb-15
326,263,577
200,611,074
59.0%
Jan-15
830,163,260
451,241,217
52.5%
Dec-14
528,750,463
344,749,757
54.8%
Nov-14
646,070,089
384,731,799
52.2%
Oct-14
646,078,089
409,467,934
60.1%
Sep-14
1,620,942,313
953,473,048
58.0%
Aug-14
686,330,804
356,445,283
51.7%
Jul-14
511,857,675
352,876,894
62.6%
Jun-14
768,346,682
310,858,432
45.4%
May-14
772,685,503
463,429,596
57.0%
Apr-14
563,183,516
332,691,246
62.2%
Mar-14
1,873,196,802
1,004,982,185
59.8%
Feb-14
2,593,048,788
1,208,102,795
49.5%
Jan-14
1,208,839,761
747,973,301
59.0%
Dec-13
1,091,340,200
605,242,114
54.1%
Nov-13
1,021,595,798
559,818,951
62.5%
Oct-13
860,996,281
373,019,622
43.4%
Sep-13
689,981,146
379,005,593
51.5%
58
79
30
32
30
63
53
55
59
87
78
44
64
53
48
73
118
79
82
91
58
80
36
Average Loss Severity and Number of Liquidations
70.0%
140
60.0%
120
50.0%
100
40.0%
80
30.0%
60
20.0%
40
10.0%
20
0.0%
-
Liquidation Count (rhs)
Severity
37
IV. Average Severity by Property Type
38
All Loans
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
Loss
Severity
Count
17,595,948
25.5%
12
2,949,886,799
54.4%
435
1,449,533,064
42.5%
431
3,965,428,741
41.0%
1,178
8,700,851,457
48.3%
1,454
2,139,813,988
44.4%
500
9,312,028,264
49.7%
1,932
28,535,138,261
43.7%
5,942
Loss
Severity
Count
16,304,575
59.5%
5
2,944,651,569
60.3%
392
1,443,135,728
53.4%
341
3,933,777,337
51.9%
926
8,656,379,918
57.3%
1,222
2,131,560,986
53.5%
414
9,288,083,398
57.8%
1,656
28,413,893,511
56.2%
4,956
149,171,298
5,991,778,685
3,599,667,651
11,909,274,002
21,353,737,683
4,686,585,219
17,606,297,651
65,296,512,188
Loans with severity greater than 2%
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
27,480,732
5,389,238,260
2,813,282,234
8,373,315,573
16,803,845,027
3,918,402,372
15,294,160,404
52,619,724,602
39
Loans with severity less than 2%
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
Loss
121,690,565
602,540,425
786,385,417
3,535,958,429
4,549,892,656
768,182,847
2,312,137,248
12,676,787,586
Severity
Count
1,291,373
1.2%
7
5,235,230
0.9%
43
6,397,336
1.0%
90
31,651,404
1.0%
252
44,471,539
1.0%
232
8,253,002
1.0%
86
23,944,866
1.0%
276
121,244,751
1.0%
986
40
V. Average Number of Months to Liquidation
41
Average Number of Months to Liquidation
45
250
40
200
35
30
150
25
20
100
15
10
50
5
0
0
Liquidation Count (rhs)
Avg Months to Liquidation
42
Section C: Prepayments
43
I.
Top 10 Largest Refinancings
44
Deal
Property Name
Type
City
State
ml05cki1
Galileo NXL Retail Portfolio
Retail
208,000,000
21%
06/01/15 Payoff Prior to Maturity
Various
VR
jpm6ldp6
Smith Haven Mall
Retail
180,000,000
15%
Lake Grove
NY
ms11c1
Pearlridge Center
Retail
170,928,687
13%
Aiea
HI
bs05pwr8
One MetroTech Center
bs05t20
The Westin Copley Place
Office
159,278,794
113% 06/01/15 Payoff Prior to Maturity
Brooklyn
NY
Hotel
105,000,000
11%
Boston
MA
bs5pwr10
The Westin Copley Place
Hotel
105,000,000
8%
Boston
MA
jpm5ldp5
32 & 42 Broadway
Office
70,266,956
3%
New York
NY
comm10c1
Scottsdale Quarter Ground Lease
Other
64,976,862
12%
Scottsdale
AZ
bs05pwr9
Boston Design Center
Other
62,805,987
11%
Boston
MA
ms11c3
6300 Wilshire Boulevard
Office
53,000,000
4%
05/21/15 Payoff w/Yield
Maintenance
Los Angeles
CA
Total
Balance
1,179,257,286
Pct
Date
Prepay Action
45
II. Voluntary Prepayment Rates
46
CMBS Universe Voluntary Prepayment Rates ex Defeased Loans
14.0
12.0
10.0
8.9
8.0
6.0
4.0
2.0
0.0
47
III. Top 10 Largest Refinancings with Yield Maintenance
48
Deal
Property Name
Type
Balance
Pct
ms11c3
6300 Wilshire Boulevard
Office
53,000,000
4%
wb06c25
Campbell Technology Park
Office
42,822,208
dbub11c3
Paddock at Eastpoint
Multi-Family
ms11c1
Crowne Plaza Denver
wb06c28
Steeplechase at Adams Farm Apartments
wb06c28
ms07iq13
Date
Prepay Action
City
State
05/21/15 Payoff w/Yield Maintenance
Los Angeles
CA
2%
Campbell
CA
37,772,414
3%
Louisville
KY
Hotel
25,684,968
2%
Denver
CO
Multi-Family
21,450,000
1%
Greensboro
NC
Deep River Pointe Apartments
Multi-Family
12,400,000
1%
High Point
NC
Pacifica II - Sandcastle Inn
Hotel
11,900,000
1%
Pismo Beach
CA
sbms01mm Trails Village Center
Retail
11,194,987
40% 06/10/15 Payoff w/Yield Maintenance
Las Vegas
NV
jpm6ldp9
Pacifica - Cottage Inn
Hotel
9,365,000
0%
Pismo Beach
CA
jpm6ldp9
Pacifica - Fogcatcher Inn
Hotel
8,475,000
0%
Cambria
CA
Total
234,064,578
49
IV. Voluntary Prepayment Rates on Loans with Yield Maintenance
50
CMBS Universe Voluntary Prepayment Rates with Yield
Maintenance ex Defeased Loans
3.0
2.5
2.0
1.5
1.0
0.9
0.5
0.0
51
V. Top 10 Largest Refinancings with Prepayment Penalties
52
Deal
Property Name
Type
City
State
mlcfc078
Grandview Plaza
Retail
5,616,368
0% 06/05/15Payoff w/Penalty
Glendale
AZ
gs12gc6
Gordon Highway Self-Storage
Other
2,914,407
Augusta
GA
cs06c4
Regency Park Owners Corp.
Other
2,329,988
White Plains
NY
gfcm031
key07sl1
Suncoast Boulevard Retail
Retail
1,551,309
Homosassa Springs
FL
Desert Oasis Manufactured Home Park
Multi-Family
1,406,947
Moses Lake
WA
ms06iq11
West 11th Street Owners, Incorporated
Other
433,030
New York
NY
ms06iq11
11 Jay Street Owners Corp.
Other
261,292
New York
NY
fulb98c2
Rite Aid Pharmacey (Hogansville)
Other
230,606
Hogansville
GA
fb03cpn1
Clinton Avenue Owners Corp.
Other
154,848
Brooklyn
NY
Total
Balance
Pct
Date
Prepay Action
14,898,795
53
VI. Voluntary Prepayment Rates on Loans with Prepayment Penalties
54
CMBS Universe Voluntary Prepayment Rates with Prepayment
Penalties ex Defeased Loans
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
0.0
55
Section D: Appraisal Reductions
56
I.
Percentage of Balance with Appraisal Reduction
57
Appraisal Reduction on CMBS Universe
60.0%
14.0%
50.0%
12.0%
48.4%
40.0%
10.0%
8.0%
30.0%
5.701%
6.0%
Pct w/Appraisal Reduction
Appraisal Reduction Amt
20.0%
4.0%
10.0%
2.0%
0.0%
0.0%
58
Section E: Modifications
59
I.
Modifications by Type
60
Maturity Ext
Amort Change
Prin Forgiveness
Temp Rate Reduction
Interest Capitalization
Taxes Capitalization
Other
Combination
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar-14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Percent CMBS Universe with Modification
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
61
Top 10 Largest Loans Modified
Deal
Property Name
Type
ml05mcp1 844 Front Street
Retail
Total
Balance
11,096,289
% Deal
7%
Mod Date Loan Modification Type
05/01/15 Maturity extension
City
State
Lahaina
HI
11,096,289
62
Section F: Partial IO Resets
63
I.
Top 10 Largest Loans Beginning to Amortize
64
Deal
Property Name
Type
City
State
jpm13c13
IDS Center
Other
92,387,246
9.8% 06/15/15 04/25/13 24 Current
Minneapolis
MN
jpm13c12
IDS Center
Other
wf13c14
Cheeca Lodge & Spa
Hotel
89,880,326
6.9% 06/15/15 04/25/13 24 Current
Minneapolis
MN
84,890,569
5.8% 06/15/15 05/01/13 24 Current
Islamorada
FL
bs05t20
Lakeforest Mall - A note
Retail
82,000,000
8.8% 06/12/15 06/09/05 120 Current
Gaithersburg
MD
ubs13c6
2000 Market Street
Office
76,907,351
6.0% 06/10/15 04/01/13 25 Current
Philadelphia
PA
wf13c14
Brambleton Town Center
Retail
59,920,217
4.1% 06/15/15 05/01/13 24 Current
Ashburn
VA
gs13gc12
Marketplace at Huntingdon Valley Retail
40,696,967
3.5% 06/10/15 04/26/13 24 Current
Huntingdon Valley
PA
jpm13c12
Sunset Tower Hotel
Hotel
36,951,326
2.8% 06/15/15 04/23/13 24 Current
West Hollywood
CA
wf13c17
Olympia Development Portfolio I
Other
35,092,844
3.9% 06/15/15 10/18/13 18 Current
Various
VR
gs13gc13
The Marsol Apartments
Multi-Family
34,954,450
2.7% 06/10/15 05/01/13 24 Current
Mayfield Heights
OH
Aggregate Totals
Balance
% Deal TapeDate Orig Date Age DQStatus
92,387,246
65
Section G: Commercial Property Prices
66
I.
Moody’s Commercial Property Price Index (CPPI)
67
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

Commercial Mortgage Market Monitor June 2015

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