Commercial Mortgage Market Monitor March 2015

Transcription

MetWest is a wholly-owned subsidiary
of The TCW Group, Inc.
Commercial Mortgage Market Monitor
March 2015 Remittances
Table of Contents
Section C: Prepayments .................................................................. 41
I.
Top 10 Largest Refinancings ............................................... 42
Forward .............................................................................................. 2
II.
Voluntary Prepayment Rates ............................................... 44
Overview ............................................................................................ 3
III.
Top 10 Largest Refinancings with Yield Maintenance ... 46
Section A: Delinquencies .................................................................. 4
IV.
Voluntary Prepayment Rates on Loans with Yield
Maintenance ....................................................................... 48
V.
Top 10 Largest Refinancings with Prepayment Penalties .. 50
VI.
I.
Delinquencies as a % of Unpaid Principal Balance ............. 5
II.
Watch List Exposure .............................................................. 7
III.
Special Servicing Exposure ............................................... 9
IV.
Delinquency Broken Out by Vintage ............................... 14
Voluntary Prepayment Rates on Loans with Prepayment
Penalties.............................................................................. 52
Delinquency Broken Out by Status ..................................... 16
Section D: Appraisal Reductions .................................................... 54
V.
VI.
Delinquency Broken Out by Property Type..................... 18
VII.
Maturing Loans Summary .............................................. 20
VIII.
Defeased Loan Trends .................................................... 23
IX.
Loan Curing Trends ......................................................... 25
Section B: Losses ............................................................................ 27
I.
CDRs .................................................................................... 28
II.
Loan Level Losses................................................................ 30
III.
Aggregate Severity Greater than 2% ............................... 33
IV.
Average Severity by Property Type .................................. 36
V.
Average Number of Months to Liquidation ....................... 39
I.
Percentage of Balance with Appraisal Reduction ............... 55
Section E: Modifications ................................................................. 57
I.
Modifications by Type ......................................................... 58
Section F: Partial IO Resets............................................................. 61
I.
Top 10 Largest Loans Beginning to Amortize .................... 62
Section G: Commercial Property Prices ......................................... 64
I.
Moody’s Commercial Property Price Index (CPPI) ............ 65
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.
2
Overview
CMBS delinquencies remained consistent during the month of October with the 30++ delinquency rate at 8.4%. The largest loan to go
delinquent during the month was the $133MM Galleria at Pittsburgh Mills, which recently lost Sears as a major tenant at the mall. The other
large loans to move into special servicing were the $62MM 50 Danbury Road and the $83MM REPM industrial portfolio, both of which
recently had tenant departures as well. Overall, however, legacy collateral continues to perform very well with over 80% of 2005 10 year
balloon loans paying off at its maturity date. The largest loans to pay off at maturity were the $821MM Houston Galleria and the $900MM 200
Park Avenue. Two additional loans that were previously modified were the $190MM Pickwick Plaza and the $154MM Ridgedale Center, both
of which paid off during the month. CRE and CMBS continues to largely be a bifurcated recovery, with trophy assets such as the Houston
Galleria generating strong NOI growth while suburban office properties continue to be hit by tenant departures as tenants use less office
space than they were previously.
In new-issue, underwritten debt yields continue to come down with deals underwritten during the first quarter averaging 10.4%. The number
of loans underwritten with an IO period, meanwhile, continues to increase as well with over 70% incorporating a minimum 24 month IO
period. The overall underwriting standards in new-issue conduit transactions continue to deteriorate with over 32 lenders contributing
collateral to deals so far this year. The major theme of the first quarter of 2015, however, has been single-borrower issuance, with nearly
$11Bn issued during the first three months of 2015. That’s double the amount from 2014, and represents nearly 50% of the CMBS issuance
thus far this year. Previously, the majority of single-borrower issuance was shorter floating-rate transactions with the properties being mainly
hotels. In 2015, there has been more diversity with a larger percentage of 7 and 10 year fixed rate transactions as well as portfolios of
healthcare and industrial properties. A lot of that has been driven by a decrease in treasury yields allowing the dealer community to compete
with portfolio lenders at all-in rates around 4%.
Overall, with tighter spreads and lower rates, CMBS lenders continue to take away market share from other lenders in the CRE marketplace.
In 2010, CMBS lenders had a 16% market share in CRE marketplace while in 2014, their market share increased to 27%. Government
agencies, meanwhile, had a 31% market share during 2010 and in 2014, they were down to 16%. The average commercial mortgage rate,
according to Real Capital Analytics, is about 4.3%, which is the lowest since 2000 and 70 bps lower than the beginning of 2014. The lower allin financing rates has increased dealers expectations to over $110Bn in issuance this year between conduit and single-borrower.
3
Section A: Delinquencies
4
I.
Delinquencies as a % of Unpaid Principal Balance
5
CMBS Delinquency Percentage
12.0%
5.0%
4.5%
10.0%
4.0%
3.5%
8.0%
8.4%
3.0%
6.0%
2.5%
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
6
II. Watch List Exposure
7
Watch List Exposure Percentage
30%
25%
23.93%
20%
15%
10%
5%
0%
8
III. Special Servicing Exposure
9
Special Servicing Exposure Percentage
14%
12%
10%
9.46%
8%
6%
4%
2%
0%
10
Property Type Stratification - Specially Serviced Assets
Healthcare 0.0%
Hotel 8.8%
Industrial 5.6%
Retail 29.3%
Multi-Family 16.1%
Other 6.0%
Office 34.1%
11
Top 10 Largest Loans Entering Special Servicing
Deal
Property Name
Type
Balance
Pct of Deal Tapedate DQStatus
ms07hq11 Galleria at Pittsburgh Mills
Retail
133,000,000
8.5% 03/12/15 Payment not received but still in grace period
Tarentum PA
lbub07c6 Greensboro Park
Office
108,926,767
5.9% 03/15/15 Late Payment but less than 30 days DQ
McLean
VA
lbub07c3 50 Danbury Road
Office
61,870,863
2.7% 03/15/15 Late Payment but less than 30 days DQ
Wilton
CT
gcc05gg3 Doral Arrowwood Hotel
Hotel
58,231,255
wb05c16 Beach Shopping Center
Retail
35,406,757
20.3% 03/10/15 Assumed Scheduled Payment (Non Performing Matured
25.2% 03/15/15 Balloon)
Assumed Scheduled Payment (Non Performing Matured
City
State
Rye Brook NY
Peekskill
NY
ms07t27 Towne Square Mall
Retail
24,438,622
1.2% 03/11/15 Balloon)
30-59 Days DQ
ms06t21 Wells Fargo Indiana Center
Office
18,981,342
2.1% 03/12/15 Foreclosure in Process
Fort Wayne IN
wb06c23 Town Plaza(2),(5)
Other
17,139,932
0.5% 03/15/15 90+ Days DQ
Vancouver WA
jpm6ldp7 Nilfisk Advance - MN
Industrial
16,912,951
0.6% 03/15/15 30-59 Days DQ
Plymouth
MN
jpmcib11 Shoppes at IV
Retail
16,731,579
5.7% 03/12/15 Assumed Scheduled Payment (Non Performing Matured
Balloon)
Paramus
NJ
Total
491,640,069
Owensboro KY
12
Watch List and Special Servicing Summary
30%
SS and Cur
25%
SS and DQ
23.927%
Watch List
Special SVC Pct
20%
15%
10%
9.461%
7.694%
5%
1.768%
0%
13
IV. Delinquency Broken Out by Vintage
14
Monthly 30+ Delinquent % by Vintage
35%
30%
25%
20%
15%
10%
5%
0%
Oct-14
Nov-14
Dec-14
2004
2005
Jan-15
2006
2007
Feb-15
Mar-15
2008
15
V. Delinquency Broken Out by Status
16
Monthly Delinquency % by Status
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Apr-14
May-14
Jun-14
Jul-14
Aug-14
DQ30
Sep-14
DQ60
Oct-14
Nov-14
DQ90P
Dec-14
FC
Jan-15
Feb-15
Mar-15
REO
17
VI. Delinquency Broken Out by Property Type
18
Property Type Monthly Delinquency: as Percentage of Property
Type
20%
18%
16%
14%
12.56%
12%
10%
9.7%
8%
8.3%
8.2%
7.8%
6%
4%
3.9%
2%
0%
Multi-Family
Office
Industrial
Hotel
Retail
Other
19
VII. Maturing Loans Summary
20
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
21
Top 10 Largest Loans Maturing without Payoff
Deal
Property Name
Type
Balance
% Deal Maturity DQStatus
City
State
gs05gg4 One HSBC Center
Office
73,321,995
12% 02/06/15 Foreclosure in Process
Buffalo
NY
gcc05gg3 Doral Arrowwood Hotel
Hotel
58,231,255
NY
Office
32,574,000
20% 02/01/15 Assumed Scheduled Payment (Non Performing Matured
Balloon) Scheduled Payment (Non Performing Matured
1% 02/11/15 Assumed
Rye Brook
wb06c23 1100 Technology Park Drive
Billerica
MA
jpmcib11 Northern Lights Shopping
Center
fb05c2
Southlake Pavilion I & II
Retail
22,112,553
8%
Balloon) Scheduled Payment (Performing Matured Balloon)
02/01/15 Assumed
Columbus
OH
Retail
17,779,506
7%
02/11/15 REO
Morrow
GA
jpmcib11 Shoppes at IV
Retail
16,731,579
6%
Paramus
NJ
ml05mcp1Maricopa Fiesta Shopping
Center Tower 1
gs05gg4 Atlantic
Retail
13,730,505
2%
02/01/15 Assumed Scheduled Payment (Non Performing Matured
02/01/15 Balloon)
Assumed Scheduled Payment (Non Performing Matured
Maricopa
AZ
Office
11,585,779
2%
Pompano Beach FL
wb05c17 Rusty Leaf Plaza
Retail
11,531,931
9%
Balloon) Scheduled Payment (Non Performing Matured
02/06/15 Assumed
02/11/15 Balloon)
Late Payment but less than 30 days DQ
Orange
CA
boa051
Other
11,051,742
4%
02/01/15 Assumed Scheduled Payment (Non Performing Matured
Balloon)
Bellevue
WA
Masins on Main
Total
268,650,845
22
VIII.
Defeased Loan Trends
23
Outstanding Defeased Loan Balance as % of CMBS Universe
12%
10%
8%
8.24%
6%
4%
2%
0%
24
IX. Loan Curing Trends
25
Percentage of 30 day Delinquent loans Curing Monthly
40%
35%
30%
25%
20%
15%
10%
5%
3.43%
0%
26
Section B: Losses
27
I.
CDRs
28
CMBS Universe CDRs
8.0
7.0
6.0
5.0
4.0
3.0
2.0
2.0
1.0
0.0
29
II. Loan Level Losses
30
Loans with Losses Greater than 2%
Deal
Property Name
Type
Balance
Pct of Loss
Deal
17,228,537 55.4%
jpm02c3 78 Corporate Center
Office
cgc06c5 Courtyard Columbia Northwest
Hotel
7,556,721
fb02cp3 River Street Square
Retail
12,909,275
dlj00ckp Cambridge Court Retirement Community
Healthcare
2,184,089
23.1%
gs06gg8 Clybourn Galleria
Retail
9,835,560
lbub06c Parker Square - Bldg 600
Other
7
jpm05ld
6 Cambridge Drive
Office
2
jp7ldp10
Ashley Furniture Retail Center - Bakersfield - B Retail
LossPct
Tapedate City
State
20,889,222
121.2% 03/12/15 Lebanon
NJ
0.5%
8,893,388
117.7% 03/15/15 Columbia
SC
84.7%
14,001,651
108.5% 03/15/15 Elyria
OH
2,184,089
100.0% 03/10/15 Great Falls
MT
0.4%
9,835,560
100.0% 03/10/15 Chicago
IL
6,693,643
0.3%
6,673,084
99.7% 03/15/15 Flower Mound
TX
5,844,711
0.5%
5,594,724
95.7% 03/15/15 Trumbull
CT
1,379,307
0.0%
1,292,909
93.7% 03/15/15 Bakersfield
CA
cs07c4 note
2600 Michelson - B note
Office
24,850,000
2.4%
22,850,000
92.0% 03/15/15 Irvine
CA
wb05c2 Putnam Place
2
cd06cd3 Briarcliff Corporate Campus
Retail
14,514,215
0.8%
12,545,729
86.4% 03/15/15 Hamden
CT
Office
19,222,256
0.9%
16,430,115
85.5% 03/15/15 Briarcliff Manor
NY
bs7pwr1 Comfort Inn & Suites University Square
6
mlcfc06 Southgate Center I
Hotel
6,267,361
0.3%
5,031,150
80.3% 03/11/15 College Park
MD
Retail
7,066,455
0.4%
5,237,241
74.1% 03/12/15 Phoenix
AZ
3
cs07c3 216 Route 17
Office
16,074,041
1.0%
11,749,991
73.1% 03/15/15 Rochelle Park
NJ
fhmsk2 216 Route 17
Office
16,074,041
1.0%
11,749,991
73.1% 03/19/15 Rochelle Park
NJ
lbub06c Manns Mobile Home Park Portfolio
7
ms06hq Green Valley Station Shopping Center
8
ms05hq 55 Public Square
Other
7,064,655
0.3%
4,660,959
66.0% 03/15/15 Various
OH
Retail
3,657,907
0.2%
2,348,543
64.2% 03/12/15 Henderson
NV
Office
19,042,887
20.9%
11,977,083
62.9% 03/14/15 Cleveland
OH
5
cd06cd3 Corsair Building
Office
23,245,199
1.1%
12,521,468
53.9% 03/15/15 King of Prussia
PA
cs07c5 BMA Medical
Office
899,903
0.0%
434,354
48.3% 03/15/15 Phoenix
AZ
boa072 Office Depot
Retail
1,854,410
0.1%
890,470
48.0% 03/10/15 Daytona Beach
FL
cd06cd3 Jackson Pediatrics
Office
3,089,705
0.1%
1,374,435
44.5% 03/15/15 Jackson
TN
gcc07gg Hampton Inn Carbondale
9
lbub07c South City Center
6
gcc07gg
Comfort Inn Colorado Springs
Hotel
6,061,292
0.1%
2,442,443
40.3% 03/10/15 Carbondale
IL
Retail
5,080,865
0.3%
1,618,968
31.9% 03/15/15 Wichita
KS
Hotel
5,142,797
0.1%
1,528,315
29.7% 03/10/15 Colorado Springs
CO
9
gcc07gg
Hampton Inn Titusville
9
ms06hq Harbor Shores Medical I
8
gs06gg8 Clybourn Galleria
Hotel
8,085,223
0.2%
2,208,214
27.3% 03/10/15 Titusville
FL
Office
4,786,025
0.2%
1,283,175
26.8% 03/12/15 Gilbert
AZ
Retail
1,752,818
0.1%
406,010
23.2% 03/10/15 Chicago
IL
31
bs6pwr1 Upper Montclair Portfolio
3
mlcfc06
Holiday Inn - St. Louis
Other
6,943,908
0.3%
1,305,909
Hotel
5,733,889
0.3%
945,037
3
lbub06c
American Mini Storage
7
Subtotals
Other
3,440,000
0.2%
231,817
273,581,694
201,136,042
18.8% 03/11/15 Upper Montclair
NJ
16.5% 03/12/15 St. Louis
MO
6.7% 03/15/15 Memphis
TN
64.8%
Loans with Losses Less than 2%
Deal
Property Name
Type
Balance
Pct of Loss
1,634,851 Deal0.1%
ms07t25 Liberty Plaza - Gun Barrel
Retail
mlcfc07 Vineyard Village
9
gcc05gg Prospect Place Office
3
jpm4cb1
Citrus Court
Retail
15,750,000
0.9%
Office
12,472,429
Retail
3,194,908
0
lb98c1
Bradley Industrial Park
Industrial
ml05cip Euless Town Center
1
fb04c2 Dakin Mobile Home Community
LossPct
State
1.6% 03/12/15 Gun Barrel City
TX
213,416
1.4% 03/12/15 Ontario
CA
4.4%
168,948
1.4% 03/10/15 West Palm Beach
FL
1.0%
35,422
1.1% 03/12/15 Tampa
FL
4,379,965
13.9%
47,866
1.1% 03/18/15 Blauvelt
NY
Retail
8,354,000
1.0%
87,913
1.1% 03/12/15 Euless
TX
MultiFamily
Retail
1,284,486
1.8%
13,175
1.0% 03/15/15 Waynesville
OH
8,818,074
0.8%
89,185
1.0% 03/15/15 St. Paul
MN
Office
190,000,000
4.1%
1,913,009
1.0% 03/10/15 Greenwich
CT
Retail
8,248,324
18.2%
82,963
1.0% 03/10/15 Houston
TX
ge05c1 Phoenix Retail Portfolio
Retail
11,177,486
9.1%
77,895
0.7% 03/10/15 Various
NY
lbub05c Lion's Run Apartments
1
lbub05c 6900 Place Shopping Center
1
Subtotals
MultiFamily
Retail
3,742,091
3.6%
18,055
0.5% 03/15/15 Harker Heights
TX
3,164,735
3.0%
9,965
0.3% 03/15/15 Oklahoma City
OK
jpm05ld Seeger Square
2
gcc07gg Pickwick Plaza
9
ge04c2 Mariner Village Shopping Center
Aggregate Totals
26,416
Tapedate City
272,221,348
2,784,226
1.0%
545,803,042
203,920,269
46.0%
32
III. Aggregate Severity Greater than 2%
33
Totals
Balance
Loss Amt
Avg Severity
Count
Mar-15
273,581,694
201,136,042
64.8%
31
Feb-15
325,852,839
200,275,595
58.2%
29
Jan-15
827,132,306
450,555,701
53.6%
60
Dec-14
552,779,394
358,291,147
54.4%
56
Nov-14
639,338,091
384,180,831
54.2%
51
Oct-14
673,568,363
426,591,589
62.7%
59
Sep-14
1,631,327,152
956,826,962
59.1%
88
Aug-14
707,850,302
373,517,302
51.7%
77
Jul-14
542,093,149
367,342,727
60.3%
49
Jun-14
900,309,456
441,251,840
48.4%
65
May-14
859,443,048
499,296,654
56.7%
64
Apr-14
567,947,000
334,727,578
62.2%
49
Mar-14
1,887,186,139
1,024,482,375
61.0%
74
Feb-14
2,589,835,745
1,208,909,802
51.3%
114
Jan-14
1,228,131,809
756,177,573
58.4%
77
Dec-13
1,240,651,908
669,430,391
54.6%
86
Nov-13
1,075,813,376
581,835,881
62.3%
93
Oct-13
874,490,386
373,428,991
42.6%
57
Sep-13
695,508,072
382,222,303
52.9%
79
Aug-13
776,306,573
442,551,642
53.8%
61
Jul-13
1,777,439,747
893,606,200
59.9%
111
Jun-13
1,354,578,330
927,787,019
58.4%
99
34
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
35
IV. Average Severity by Property Type
36
All Loans
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
Loss
Severity
Count
139,354,585
34.9%
16
2,817,676,269
55.9%
419
1,376,589,085
43.4%
434
4,054,524,643
39.9%
1,201
8,605,265,177
47.9%
1,481
2,076,442,916
44.2%
462
9,326,171,239
49.4%
1,974
28,396,023,915
45.1%
5,987
Loss
Severity
Count
137,980,465
68.5%
8
2,812,483,566
61.4%
381
1,369,766,997
55.4%
338
4,026,918,124
51.8%
921
8,561,713,827
57.3%
1,234
2,069,233,257
53.1%
383
9,301,373,693
58.2%
1,668
28,279,469,929
58.0%
4,933
272,584,714
5,652,129,051
3,568,053,981
11,791,730,235
21,026,712,980
4,527,856,546
17,669,542,647
64,508,610,155
Loans with severity greater than 2%
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
146,349,583
5,059,127,338
2,723,388,281
8,545,853,332
16,607,195,085
3,834,999,028
15,314,866,575
52,231,779,221
Loans with severity less tha
37
Prop Type
Healthcare
Hotel
Industrial
Multi-Family
Office
Other
Retail
Total
Balance
Loss
126,235,131
593,001,713
844,665,700
3,245,876,904
4,419,517,895
692,857,518
2,354,676,073
12,276,830,934
Severity
Count
1,374,120
1.3%
8
5,192,704
0.9%
38
6,822,088
1.0%
96
27,606,519
1.0%
280
43,551,350
1.0%
247
7,209,659
1.0%
79
24,797,546
1.0%
306
116,553,986
1.0%
1,054
38
V. Average Number of Months to Liquidation
39
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
40
Section C: Prepayments
41
I.
Top 10 Largest Refinancings
42
Deal
Property Name
Type
Prepay Action
City
State
jpm5ldp5
Houston Galleria
Retail
290,000,000
12%
03/02/15
Payoff Prior to Maturity
Houston
TX
jpm6cb14
Houston Galleria
Retail
290,000,000
20%
03/02/15
Houston
TX
lbub05c5
200 Park Avenue
Office
285,131,898
29%
03/11/15
New York
NY
lbub05c7
200 Park Avenue
Office
285,131,898
23%
03/11/15
New York
NY
lbub05c3
200 Park Avenue
Office
278,500,000
47%
03/11/15
New York
NY
Total
Balance
Pct Date
1,428,763,796
43
II. Voluntary Prepayment Rates
44
CMBS Universe Voluntary Prepayment Rates ex Defeased Loans
20.0
18.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
45
III. Top 10 Largest Refinancings with Yield Maintenance
46
Deal
Property Name
Type
City
State
jpm5ldp5
Creekwood Apartments - Tulsa
Multi-Family
21,816,806
1%
03/01/15 Payoff w/Yield Maintenance
Tulsa
OK
jpm5ldp5
Winchester Apartments
Multi-Family
12,320,644
1%
Amarillo
TX
ms06iq12
Mt. Vernon Retail Center
Retail
5,946,146
0%
Dunwoody
GA
mlcfc078
Kingswood Apartments
Multi-Family
5,638,297
0%
Denton
TX
wf10c1
5,389,631
1%
Flagstaff
AZ
jpm7cb18
The Villages at Lake Mary Crossing Apartments Multi-Family
- Phase
II
Safe
Storage
Lexington
Other
3,861,514
0%
Lexington
KY
bs6pwr11
Planet Self Storage - New Milford
Other
2,190,201
0%
New Milford
CT
ml96c2
Cooper Park Apartments
Multi-Family
2,048,688
63% 02/26/15 Payoff w/Yield Maintenance
Arlington
TX
gfcm031
Oakhurst Road Retail
Retail
1,578,760
1%
Seminole
FL
ccrf07mf
5037-5045 Narragansett Ave
Multi-Family
1,446,791
1%
San Diego
CA
Total
Balance
Pct
Date
Prepay Action
62,237,478
47
IV. Voluntary Prepayment Rates on Loans with Yield Maintenance
48
CMBS Universe Voluntary Prepayment Rates with Yield
Maintenance ex Defeased Loans
2.0
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.2
0.0
49
V. Top 10 Largest Refinancings with Prepayment Penalties
50
Deal
Property Name
Type
City
State
cs07c4
2600 Michelson - A note
Office
66,642,500
6%
03/11/15 Payoff w/Penalty
Irvine
CA
gs06gg8
Clybourn Galleria
Retail
19,138,872
1%
Chicago
IL
gs06gg8
Clybourn Galleria
Retail
6,821,776
0%
Chicago
IL
lb98c1
River Oaks Apartments - Killeen_ TX
Multi-Family
2,908,375
9%
Killeen
TX
cs06c1
194 Riverside Owners Corp.
Other
1,625,358
0%
New York
NY
nm96d3
Comfort Inn - Salisbury
Hotel
1,576,199
19%
Salisbury
MD
cs06c1
60 Tenants Corp.
Other
1,565,000
0%
New York
NY
cs06c4
Fairfield Tenant Corp.
Other
1,227,931
0%
Bronx
NY
sov07c1
949-959 Metropolitan Avenue
Multi-Family
470,441
1%
Brooklyn
NY
Total
Balance
Pct
Date
Prepay Action
100,278,079
51
VI. Voluntary Prepayment Rates on Loans with Prepayment Penalties
52
CMBS Universe Voluntary Prepayment Rates with Prepayment
Penalties ex Defeased Loans
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.4
0.2
0.0
53
Section D: Appraisal Reductions
54
I.
Percentage of Balance with Appraisal Reduction
55
Appraisal Reduction on CMBS Universe
60.0%
14.0%
50.0%
12.0%
47.7%
10.0%
40.0%
8.008%
8.0%
Pct w/Appraisal Reduction
30.0%
Appraisal Reduction Amt
6.0%
20.0%
4.0%
10.0%
2.0%
0.0%
0.0%
56
Section E: Modifications
57
I.
Modifications by Type
58
Percent CMBS Universe with Modification
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
Maturity Ext
Amort Change
Prin Forgiveness
Temp Rate Reduction
Interest Capitalization
Taxes Capitalization
Other
Combination
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
Dec-05
0.0%
59
Top 10 Largest Loans Modified
Deal
Property Name
Type
ms03top9
Nora Corners Shopping Center
Retail
6,745,541
19%
cs07c4
Franklin Plaza Shopping Center - A note
Retail
4,350,000
cs07c4
Franklin Plaza Shopping Center - B note
Retail
2,159,855
Total
Balance
% Deal
Mod Date Loan Modification Type
City
State
02/25/15Maturity extension
Indianapolis
IN
0%
02/13/15Combination
Monroe Township
NJ
0%
02/13/15Combination
Monroe Township
NJ
6,745,541
60
Section F: Partial IO Resets
61
I.
Top 10 Largest Loans Beginning to Amortize
62
Deal
Property Name
Type
lbub07c6
Islandia Shopping Center - A
note
Cranberry
Woods Office Park
Retail
63,500,000
3.4% 03/15/15 06/11/07
93Current
Office
55,414,646
4.6% 03/10/15 07/19/13
Multi-Family
11,382,709
1.1% 03/15/15 07/02/13
wf13c15
Arizona Student Housing
Portfolio
College Town - Tucson
18Late Payment but less than 30 days Cranberry Township PA
DQ
18Current
Tempe
AZ
Multi-Family
8,087,714
0.8% 03/15/15 07/02/13
18Current
lbub07c6
Pecan Valley Apartments
Multi-Family
7,300,000
0.4% 03/15/15 12/28/06
fb03cpn1
261-267 Boston Road
Office
5,698,823
gs13gc14
wf13c15
Aggregate Totals
Balance
% Deal TapeDate Orig Date Age DQStatus
99Payment not received but still in
grace period
20.6% 03/15/15 02/01/03 144Current
City
State
Islandia
NY
Tucson
AZ
San Antonio
TX
Billerica
MA
151,383,891
63
Section G: Commercial Property Prices
64
I.
Moody’s Commercial Property Price Index (CPPI)
65
Moody's Commercial Property Price Index (CPPI)
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
66

Commercial Mortgage Market Monitor March 2015

Transcription

Similar documents

Commercial Mortgage Market Monitor June 2015

Commercial Mortgage Market Monitor