Commercial Mortgage Market Monitor

Transcription

MORTGAGE-BACKED SECURITIES
Commercial Mortgage Market Monitor
May 2016 Remittances
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 ............................................. 12
IV.
Delinquency Broken Out by Vintage ............................... 19
V. Delinquency Broken Out by Status ..................................... 21
VI.
Delinquency Broken Out by Property Type..................... 23
VII.
Maturing Loans Summary .............................................. 25
VIII. Defeased Loan Trends .................................................... 28
IX.
Loan Curing Trends ......................................................... 30
Section B: Losses ............................................................................ 32
I. CDRs .................................................................................... 33
II. Loan Level Losses................................................................ 35
III.
Aggregate Severity Greater than 2% ............................... 36
IV.
Average Severity by Property Type .................................. 42
V. Average Number of Months to Liquidation ....................... 45
Section C: Prepayments .................................................................. 47
I. Top 10 Largest Refinancings ............................................... 48
II. Voluntary Prepayment Rates ............................................... 50
III.
Top 10 Largest Refinancings with Yield Maintenance ... 52
IV. Voluntary Prepayment Rates on Loans with Yield
Maintenance ....................................................................... 54
V. Top 10 Largest Refinancings with Prepayment Penalties .. 56
VI. Voluntary Prepayment Rates on Loans with Prepayment
Penalties ............................................................................. 58
Section D: Appraisal Reductions .................................................... 60
I. Percentage of Balance with Appraisal Reduction ............... 61
Section E: Modifications ................................................................. 63
I. Modifications by Type ......................................................... 64
Section F: Partial IO Resets............................................................. 67
I. Top 10 Largest Loans Beginning to Amortize .................... 68
Section G: Commercial Property Prices ......................................... 70
I. Moody’s Commercial Property Price Index (CPPI) ............ 71
Section H: CMBS Securitization Volumes………………………………..76
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 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
Overview
The 60+ delinquency rate for legacy conduit increased 0.63% in May to 10.76%. All delinquency buckets except 90-day increased in dollar
terms, though the non-performing matured bucket increased the most, by $268MM (to a total rate of 1.22%). The rise in the legacy
delinquency rate is also due to an increasingly pronounced denominator effect, as the outstanding balance declined by $7.5BN (3.9%) during
the month, reducing the remaining legacy universe to $186BN (compared to $237BN 2.0 outstanding).
Liquidation activity increased by $263MM during the month, to $965MM; however, this represents the fourth straight month of under $1BN
in liquidation volume, compared to a 2015 rate of $1.2BN. The largest loan to liquidate was $62.8MM Gale Office Pool (55% WBCMT 2004C15), secured by a portfolio of four office buildings in Parsippany and Roseland, NJ. The portfolio was appraised at $57.2MM December 2015,
a decline of more than 36% from the appraised value at issuance. Liquidation proceeds totaled $55.4MM and expenses totaled $3.3MM,
including $2.2MM of servicer advances, for a loss severity of 17.2% to the trust. Overall loss severities averaged 26% in May, slightly above
April’s level but below the six-month average of 28%. Excluding low-loss severity loans, the average loss severity in May was 53%, up 4.0%
month-over-month and 1.0% higher than the six-month average.
Defeasance activity decreased during the month to $877MN, about 30% lower than the six-month average of $1.3BN, while the amount of
loans that prepaid with penalties also declined, to a total of $177MM, down 25% month-over-month and almost 42% year-over-year. The
payoff success rate for legacy conduit loans scheduled to mature in 2016 decreased 1.0% to 82.2%. Looking at the payoff rate by vintage, pre2006 vintages have a 70.3% payoff rate, 2006 vintages have a 83.0% payoff rate, and 2007 vintages have a 70.1% payoff rate. The largest loan
to refinance was $319MM Duke Realty Industrial Pool (12.80% WBCMT 2006-C29), secured by 27 industrial buildings in Indiana and Georgia
totaling 8.3MM square feet (SF). As of year-end 2015, the portfolio was 95% occupied with a 1.45x debt service coverage ratio.
In CMBS 2.0, four loans totaling $31.5MM became newly delinquent, bringing the total balance of 30+ delinquency to $618MM across 61
loans (0.26% rate). The largest loan to become newly delinquent was $12.2MM Pathmark-Baldwin (0.85% COMM 2013-LC6), secured by a
single-tenant grocer in North Baldwin, NY. The parent company of the single-tenant filed for chapter 11 bankruptcy in July 2015. Additionally,
seven loans totaling $101MM transferred to special servicing, bringing the aggregate balance to $1.06BN across 83 loans (0.45% rate). The
largest loan newly transferred to special servicing was $28.2MM Studio Green Apartments (2.40% WFRBS 2013-C12), secured by a 665-unit
student housing in Newark, DE, located one mile from the University of Delaware Campus. The debt service coverage ratio on the loan fell
from 1.73x year-end 2014 to 0.68x third-quarter 2015, as occupancy fell from 93% to 73%.
37 loans totaling $691MM paid off in May, bringing the total CMBS 2.0 paid-off balance to $8.7BN across 395 loans, resulting in a payoff
success rate of 94%. Additionally, six loans totaling $132MM were defeased, bringing the total 2.0 defeased balance to $5.4BN (of which
$3.2BN across 195 loans remain outstanding). The largest loan to defease was $59MM 1460 North Halsted (4.37% COMM 2013-CR8),
4
secured by a 224,204 square foot (SF) mixed use property in Chicago, IL. The debt yield on the property was 11.90% as of third-quarter 2015,
2.0% higher than the 2013 underwriting.
Nine loans totaling $76MM realized Appraisal Reduction Amounts (ARAs) during the month, resulting in a 2.0 ARA total of $271MM across
25 loans. The loan with the largest new ARA was $18.1MM Strata Estate Suites (1.84% COMM 2013-CR10), secured by two multifamily
properties in Williston, ND and Watford, ND. Both properties are in Real Estate Owned (REO) status though neither asset is listed for sale;
the ARA was $9.8MM.
In new issue, seven private-label transactions totaling $5.6BN priced. All of the new issue deals were conduit, representing a 2.7x increase
month-over-month (April 2016) and an 8% increase year-over-year (May 2015). Execution on the 10yr LCF AAA’s ranged from sw+110bps to
sw+130bps while the BBB-‘s ranged from sw+565bps to sw+720bps. Despite the monthly increase in issuance, year-to-date conduit volume
stands at $18.5BN, 18% lower than year-to-date 2015. In Single Asset Single Borrower (SASB), year-to-date issuance totals $6.2BN, down 66%
from year-to-date 2015. It’s tough to anticipate a meaningful increase in private-label issuance volume in the second half of this year with risk
retention going into effect December 24th.
5
Section A:
6
I.
Delinquencies as a % of Unpaid Principal Balance
7
Legacy CMBS Delinquency Percentage
12.0%
5.0%
4.5%
10.9%
10.0%
4.0%
3.5%
8.0%
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
8
CMBS 2.0 Delinquency Percentage
1.0%
0.5%
0.8%
0.4%
0.6%
0.3%
0.4%
Newly Delinquent 30++ % (rhs)
0.2%
Delinquent 30+%
0.2%
0.1%
0.001854377
0.0%
0.0%
9
II. Watch List Exposure
10
Legacy Watch List Exposure Percentage
35%
30%
28.98%
25%
20%
15%
10%
5%
0%
11
CMBS 2.0 Watch List Exposure Percentage
10%
9%
9.05%
8%
7%
6%
5%
4%
3%
2%
1%
0%
12
III. Special Servicing Exposure
13
Legacy Special Servicing Exposure Percentage
16%
14%
13.56%
12%
10%
8%
6%
4%
2%
0%
14
CMBS 2.0 Special Servicing Exposure Percentage
0.30%
0.25%
0.25%
0.20%
0.15%
0.10%
0.05%
0.00%
15
Legacy Property Type Stratification - Specially Serviced Assets
Healthcare 0.0%
Hotel 8.2%
Industrial 5.6%
Retail 33.6%
Multi-Family 7.5%
Other 6.6%
Office 38.5%
16
Top 10 Largest Legacy Loans Entering Special Servicing Deal Property Name gs06gg8 CA Headquarters Type Balance Pct of Deal Tapedate DQStatus City State Office 165,643,200 9.0% 05/10/16 Current Islandia NY boa071 Skyline Portfolio ‐ B note Office 131,200,000 8.9% 05/15/16 Current VA jpm6ldp7 JQH Hotel Portfolio Hotel 127,897,513 13.4% jp7ldp10 Skyline Portfolio ‐ A Office 105,000,000 3.8% 05/15/16 Assumed Scheduled Payment (Non Performing Matured ll
)
05/15/16 30‐59 Days DQ Falls h h
Various VA ge07c1 Office 105,000,000 4.6% 05/10/16 30‐59 Days DQ Falls h h
Falls h h
Falls h h
Falls VA Skyline Portfolio ‐ A jp7ldp10 Skyline Portfolio ‐ B Note Office 98,400,000 3.5% 05/15/16 Current ge07c1 98,400,000 4.3% 05/10/16 Current Skyline Portfolio ‐ B Note Office VR VA ms06hq1 PPG Portfolio Office 97,727,995 13.8% 05/12/16 Late Payment but less than 30 days DQ VA h
h
Longmont CO cs07c1 Office 90,000,000 4.3% 05/15/16 Current St. Paul MN gs07gg10 State House Square Office 87,550,000 05/10/16 Current Hartford CT 1,106,818,708 Wells Fargo Place Total 1.8% Top 10 Largest CMBS 2.0 Loans Entering Special Servicing Deal Property Name Type Balance Pct of Deal Tapedate DQStatus City State DE wf13c12 Studio Green Apartments Multi‐Family 28,205,901 2.4% 05/15/16 Current Newark com13c13 Abbotts Square Other 23,869,053 2.2% 05/10/16 Late Payment but less than 30 days DQ Philadelphia PA ubs11c1 Other 18,858,424 3.0% 05/10/16 Late Payment but less than 30 days DQ Chicago IL com13lc6 Pathmark ‐ Baldwin Retail 12,150,000 0.8% 05/10/16 30‐59 Days DQ NY wf12c8 Springhill Suites ‐ San Angelo Hotel 7,947,119 0.6% 05/15/16 Late Payment but less than 30 days DQ North l
San Angelo wf14c19 Radisson Hotel ‐ Baton Rouge Hotel 7,287,806 0.7% 05/15/16 60‐89 Days DQ Baton Rouge LA com13cr7 Hampton Inn & Suites Williston, ND Hotel 7,119,608 0.8% 05/10/16 60‐89 Days DQ Williston ND com13cr7 Microtel Inn & Suites Williston, ND Hotel 4,301,213 0.5% 05/10/16 60‐89 Days DQ Williston ND com13cr7 Microtel Inn & Suites Dickinson, ND Hotel 3,448,258 0.4% 05/10/16 60‐89 Days DQ Dickinson ND com15c27 Bonita Springs Self Storage Other 3,200,000 0.3% 05/10/16 Payment not received but still in grace period Bonita FL 116,387,382 Chicago Portfolio Total TX Exhibited by TCW from Trepp Data
17
Legacy Watch List and Special Servicing Summary
35%
30%
SS and Cur
SS and DQ
28.976%
Watch List
25%
Special SVC Pct
20%
15%
13.560%
10%
5%
9.627%
3.933%
0%
18
IV. Delinquency Broken Out by Vintage
19
Legacy Monthly 30+ Delinquent % by Vintage
40%
35%
30%
25%
20%
15%
10%
5%
0%
Nov-15
Dec-15
Jan-16
2004
2005
Feb-16
2006
2007
Mar-16
Apr-16
2008
20
V. Delinquency Broken Out by Status
21
Legacy Monthly Delinquency % by Status
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Jun-15
Jul-15
Aug-15
Sep-15
Oct-15
DQ30
Nov-15
DQ60
Dec-15
Jan-16
DQ90P
Feb-16
FC
Mar-16
Apr-16
May-16
REO
22
VI. Delinquency Broken Out by Property Type
23
Property Type Legacy Monthly Delinquency: as Percentage of
Property Type
25%
20%
15%
13.1%
13.0%
12.4%
11.4%
10%
7.1%
5%
4.78%
0%
Multi-Family
Office
Industrial
Hotel
Retail
Other
24
VII. Maturing Loans Summary
25
Legacy 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
26
Top 10 Largest Loans Maturing without Payoff Deal Property Name Type Balance jpm6ldp7 JQH Hotel Portfolio Hotel 127,897,513 lbub06c4 Canyon Park Technology Office 65,858,668 wb06c25 Hercules Plaza Office gcc06gg7 Corporate Center City State
13% 04/11/16 Assumed Scheduled Payment (Non Performing Matured ll
)
12% 04/11/16 Assumed Scheduled Payment (Non Performing Matured Various VR Orem UT 65,106,036 ll
)
28% 04/11/16 Current Wilmington DE Office 37,268,853 4% 04/06/16 Foreclosure in Process Fort Lauderdale FL jpm6ldp7 GC Sacramento Office f l
bs6pwr12 Stone Mountain Square Office 32,220,291 3% 04/01/16 Foreclosure in Process Sacramento Retail 27,638,461 15% 04/01/16 REO Stone Mountain GA gcc06gg7 3 Gannett Drive Office 26,033,223 3% 04/06/16 Foreclosure in Process Harrison NY comm06c Heyman Properties ‐ LGA Other 23,761,810 8% 04/01/16 Foreclosure in Process East Elmhurst NY jpm6ldp6 71 Clinton Road Industrial 18,065,048 Garden City NY wb06c25 Skagit Valley Square Retail 16,643,416 23% 04/01/16 Assumed Scheduled Payment (Non Performing Matured ll
)
7% 04/11/16 REO Mount Vernon WA 440,493,321 Total % Deal Maturity DQStatus CA Exhibited by TCW from Trepp Data
27
VIII. Defeased Loan Trends
28
Outstanding Defeased Loan Balance as % of Legacy CMBS
Universe
14%
12.65%
12%
10%
8%
6%
4%
2%
0%
29
IX. Loan Curing Trends
30
Percentage of 30 day Delinquent Legacy Loans Curing Monthly
60%
50%
40%
30%
20%
10%
2.84%
0%
31
Section B: Losses
32
I.
CDRs
33
Legacy CMBS Universe CDRs
14.0
12.0
10.0
8.0
6.0
5.6
4.0
2.0
0.0
34
II. Loan Level Losses
35
Loans with Losses Greater than 2% Deal Type Balance Pct of Deal Loss boa022 One Gateway Plaza Office 7,630,421 74.9% 1,225,541 16.1% 05/11/16 Colorado Springs CO ms05t17 Coventry Mall ‐ A note Retail 37,481,467 23.1% 25,537,384 68.1% 05/13/16 Pottstown PA wb04c15 Gale Office Pool Office 62,819,281 55.0% 10,781,427 17.2% 05/15/16 Various NJ ms05t17 Coventry Mall ‐ B note Retail 26,198,697 17.3% 26,198,697 100.0% 05/13/16 Pottstown PA wb05c18 Plaza at Wellington Green Retail 14,030,069 21.7% 356,842 2.5% 05/15/16 Wellington FL gs05gg4 Temple Mall Retail 32,769,218 17.9% 29,996,437 91.5% 05/10/16 Temple TX jpm04c3 South Hadley Shopping Center Retail 6,744,201 16.1% 4,895,091 72.6% 05/15/16 South Hadley MA bs04pwr Deerfield Parkway Industrial 5,709,630 9.7% 2,028,745 35.5% 05/11/16 Buffalo Grove IL gs05gg4 Ocean Walk Shoppes Retail 16,644,686 9.1% 16,664,042 100.1% 05/10/16 Daytona Beach FL cs06c2 Industrial 7,275,187 8.4% 1,115,800 15.3% 05/15/16 Eatontown Hotel 21,461,824 7.4% 5,679,621 26.5% 05/10/16 Palm Beach Gardens FL gs05gg4 El Dorado Shopping Center ‐ McKinney ‐ B Retail 9,547,867 5.2% 3,933,217 41.2% 05/10/16 Mckinney TX boa061 Residence Inn Hotel 8,670,427 5.1% 8,526,568 98.3% 05/10/16 Merrimack NH jpm05ld1 Lenoir Festival Centre Retail 4,041,196 5.1% 2,473,161 61.2% 05/15/16 Lenoir NC jpmcibc7 Farmer Jack Food Market Retail 2,925,956 3.1% 1,420,012 48.5% 05/12/16 Toledo OH cs06c1 Retail 2,923,907 2.1% 979,115 33.5% 05/15/16 Cathedral City CA jpm5ldp4 CVS Center Retail 1,754,533 1.7% 829,048 47.3% 05/15/16 Allison Park PA lbub05c7 Brooksville Plaza Retail 2,221,329 1.6% 742,487 33.4% 05/15/16 Brooksville FL gmac06c Sierra Suites AZ Hotel 4,178,361 1.5% 4,178,361 100.0% 05/10/16 Sierra Vista AZ bs05t20 5676 Innovation Drive Industrial 1,936,878 1.3% 620,207 32.0% 05/12/16 Valley City OH ms07iq14 Fairgrounds Square Mall Retail 33,259,920 1.2% 40,993,683 boa062 TGI Friday's Plaza Retail 3,317,860 1.1% 105,679 3.2% 05/10/16 Dickson City PA mlmt06c Centerpointe at Natomas ‐ B note Other 2,895,658 1.1% 2,895,658 100.0% 05/12/16 Sacramento CA mlcfc079 TBC Facility Industrial 9,696,730 0.7% 5,499,489 56.7% 05/12/16 Memphis TN cobalt72 Oak Plaza Office Office 9,100,000 0.6% 7,795,789 85.7% 05/15/16 Rockville MD cgc07c6 Creekside Place Retail 18,600,000 0.5% 13,573,258 73.0% 05/10/16 Santa Clarita CA Property Name 34‐38 Industrial Way East boa062 Doubletree Hotel ‐ Palm Beach Gardens Cathedral City Retail LossPct Tapedate City 123.3% 05/15/16 Reading State NJ PA 36
mlcfc077 Jennifer Meadows 7,600,000 0.5% 2,730,410 35.9% 05/12/16 Memphis TN cobalt61 Southgate Shopping Center Multi‐
l
Retail 3,591,469 0.4% 1,904,511 53.0% 05/15/16 Southgate MI bs7pwr1 Greenbriar Medical Office Building Office 5,020,000 0.3% 3,081,825 61.4% 05/11/16 Downers Grove IL cgc07c6 Nob Hill Apartments 9,066,823 0.3% 8,003,891 88.3% 05/10/16 Birmingham AL cgc07c6 Randstad Building Multi‐
l
Office 7,400,000 0.2% 6,694,076 90.5% 05/10/16 Marietta GA lbub07c3 Gold Mile Plaza Retail 3,679,373 0.2% 2,108,690 57.3% 05/15/16 Frederick MD cgc07c6 Bloomingdale Commons Other 6,316,392 0.2% 4,524,678 71.6% 05/10/16 Brandon FL ms07iq14 Melbourne Professional Complex Office 4,454,313 0.2% 2,344,623 52.6% 05/15/16 Melbourne FL lbub07c3 Gardendale Exchange Retail 3,036,758 0.1% 2,529,866 83.3% 05/15/16 Gardendale AL lbub07c3 Shoppes of Southland Retail 2,687,611 0.1% 1,194,420 44.4% 05/15/16 Orlando FL lbub07c3 Center Creek Plaza Office 2,283,475 0.1% 1,906,494 83.5% 05/15/16 Garland TX lbub07c3 City Mattress Retail 1,990,046 0.1% 1,140,252 57.3% 05/15/16 Jenson Beach FL jp7ldp10 Belle Terre Shoppes Retail 2,664,370 0.1% 284,366 10.7% 05/15/16 Palm Coast FL lbub07c3 Dulles Town Crossing Out Lot Retail 1,830,054 0.1% 1,584,088 86.6% 05/15/16 Sterling VA cgc07c6 Belvedere Apartments 3,011,120 0.1% 3,244,697 107.8% 05/10/16 Jackson MS lbub07c3 2130 Pleasant Hill Road Multi‐
l
Retail 1,595,718 0.1% 1,340,003 84.0% 05/15/16 Duluth GA lbub07c3 Riverview Plaza Outparcel Retail 1,547,719 0.1% 887,733 57.4% 05/15/16 Frederick MD lbub07c3 1646 Seminole Trail Retail 1,383,773 0.1% 1,161,911 84.0% 05/15/16 Charlottesville VA lbub07c3 Trace Fork Retail 1,205,158 0.1% 1,012,676 84.0% 05/15/16 Charleston WV lbub07c3 12890 Pines Boulevard Retail 893,310 0.0% 517,070 57.9% 05/15/16 Pembroke Pines FL lbub07c3 Monroe Center Retail 691,905 0.0% 580,995 84.0% 05/15/16 Monroe LA lbub07c3 2055 Scenic Highway Retail 170,981 0.0% 25,474 14.9% 05/15/16 Snellville GA lbub07c3 Mason Road Center Retail 97,687 0.0% 72,962 74.7% 05/15/16 Katy TX Subtotals 426,053,354 267,921,069 61.4% Loans with Losses Less than 2% Deal Pct of Deal Loss Type Balance jpm6cb1 Warner Building Property Name Office 292,700,000 34.2% 2,981,236 ml05cip1 Impression Industrial Industrial 6,692,747 gcc05gg5 DeZavala Crossing Retail mlmt06c Centerpointe at Natomas ‐ A note Other LossPct Tapedate City State 1.0% 05/12/16 Washington DC 6.6% 11,854 0.2% 05/12/16 Lorton VA 9,025,083 3.1% 96,036 1.1% 05/10/16 San Antonio TX 5,300,000 2.1% 53,954 1.0% 05/12/16 Sacramento CA 37
jpm6ldp7 One Ontario Commercial Office 19,003,141 2.0% 53,496 0.3% 05/15/16 Chicago IL bs6pwr1 The Shops at Stratford Hills Retail 3,755,704 2.0% 42,153 1.1% 05/11/16 Richmond VA ms06iq11 63 Putnam & 75 Woodlawn Other 4,861,158 1.8% 72,836 1.5% 05/15/16 Saratoga Springs NY jpm6cb1 Becker Building Multi‐
l
7,991,216 1.5% 79,086 1.0% 05/12/16 Philadelphia PA ge06c1 Porter Commons Retail 2,710,851 1.5% 28,282 1.0% 05/10/16 Blytheville AR ge06c1 The Shoppes at Rockwood Retail 2,440,028 1.4% 25,457 1.0% 05/10/16 Cabot AR jpm4cb1 Mitchell Plaza Retail 2,321,577 0.9% 29,175 1.3% 05/12/16 Batesburg SC ge06c1 Ridge Park Center Retail 1,502,929 0.8% 15,686 1.0% 05/10/16 Jonesboro AR bs6pwr1 2106 North Forbes Boulevard Industrial 1,442,159 0.8% 10,427 0.7% 05/11/16 Tucson AZ cs06c1 Multi‐
l
Other 999,467 0.7% 12,125 1.2% 05/15/16 Wilmington NC 7,082,221 0.7% 75,253 1.1% 05/15/16 Los Angeles CA Multi‐
l
Multi‐
957,822 0.7% 11,807 1.2% 05/15/16 High Point NC 2,704,681 0.5% 7,920 0.3% 05/15/16 Columbus GA 3,710,592 0.4% 4,956 0.1% 05/15/16 Greenville NC cd06cd3 516 ‐ 544 Raymond Boulevard l
Multi‐
l
Retail 4,276,121 0.3% 2,684 0.1% 05/15/16 Newark NJ Subtotals 379,477,497 3,614,424 0.9% Aggregate Totals 805,530,851 44.5% NC MHP Portfolio ‐ Pine Terrace wb06c27 8070‐8080 Melrose Avenue cs06c1 NC MHP Portfolio ‐ Lakeview lbub06c4 Northwood Apartments jpm6ldp7 Brighton Park Apartments 271,535,492 38
III. Aggregate Severity Greater than 2%
39
Totals Balance Loss Amt Avg Severity Count May‐16 455,470,559 280,537,395 61.7% 51 Apr‐16 243,579,972 171,398,231 72.3% 33 Mar‐16 403,183,348 304,491,393 59.6% 30 Feb‐16 571,566,978 247,875,935 56.5% 30 Jan‐16 2,291,915,894 1,497,018,138 62.3% 113 Dec‐15 857,494,344 652,613,688 63.6% 47 Nov‐15 730,180,336 399,178,422 57.6% 56 Oct‐15 709,057,293 365,791,984 55.9% 44 Sep‐15 817,519,261 435,278,396 50.6% 61 Aug‐15 598,195,930 379,833,326 55.3% 51 Jul‐15 414,609,283 227,965,152 58.3% 53 Jun‐15 685,062,749 384,474,632 56.2% 57 May‐15 1,032,816,607 581,216,588 52.7% 79 Apr‐15 399,220,672 181,151,374 48.0% 31 Mar‐15 355,831,679 276,137,812 65.9% 32 Feb‐15 318,393,088 194,302,575 58.3% 29 Jan‐15 839,371,084 449,886,539 51.7% 64 Dec‐14 574,261,334 365,087,892 53.1% 58 Nov‐14 637,974,561 382,531,781 53.2% 53 Oct‐14 664,183,483 415,167,432 58.7% 60 Sep‐14 1,592,803,121 920,593,295 57.1% 88 Aug‐14 691,503,766 361,880,525 51.9% 78 40
Average Legacy Loss Severity and Number of Liquidations
80.0%
120
70.0%
100
60.0%
80
50.0%
40.0%
60
30.0%
40
20.0%
20
10.0%
0.0%
-
Liquidation Count (rhs)
Severity
41
IV. Average Severity by Property Type
42
All Loans Prop Type Healthcare Hotel Industrial Multi‐Family Office Other Retail Total Balance Loss Severity Count 126,555,449 11,951,434 26.7% 6 8,626,039,009 3,833,557,651 54.6% 482 4,338,458,836 1,864,804,477 43.0% 522 13,072,143,755 4,492,073,845 43.8% 1,489 26,229,884,880 10,855,284,071 47.9% 1,733 5,554,843,389 2,664,821,776 45.5% 594 20,923,618,562 10,909,064,169 47.7% 2,250 78,871,543,880 34,631,557,423 44.2% 7,076 Loans with severity greater than 2% Prop Type Healthcare Hotel Industrial Multi‐Family Office Other Retail Total Balance Loss Severity Count 12,968,890 10,772,031 77.8% 2 6,805,272,504 3,817,924,333 60.9% 431 3,431,680,007 1,857,467,379 54.2% 412 9,331,293,868 4,458,419,312 54.5% 1,192 20,569,618,109 10,800,547,222 57.5% 1,438 4,613,187,138 2,654,825,398 55.4% 486 17,892,248,169 10,879,225,891 57.2% 1,870 62,656,268,684 34,479,181,568 59.6% 5,831 Exhibited by TCW from Trepp Data
43
Loans with severity less than 2% Prop Type Healthcare Hotel Industrial Multi‐Family Office Other Retail Total Balance Loss Severity Count 113,586,559 1,179,403 1.1% 4 1,820,766,505 15,633,318 0.9% 51 906,778,828 7,337,098 1.0% 110 3,740,849,887 33,654,533 1.0% 297 5,660,266,771 54,736,849 1.0% 295 941,656,251 9,996,377 1.0% 108 3,031,370,394 29,838,278 1.0% 380 16,215,275,196 152,375,856 1.0% 1,245 Exhibited by TCW from Trepp Data
44
V. Average Number of Months to Liquidation
45
Average Number of Months to Liquidation: Legacy
50
250
45
40
200
35
30
150
25
100
20
15
50
10
5
0
0
Liquidation Count (rhs)
Avg Months to Liquidation
46
Section C: Prepayments
47
I.
Top 10 Largest Legacy Refinancings
48
Deal Property Name Type Balance wb06c29 Duke Realty Industrial Pool Industrial 159,488,000 wb06c29 Duke Realty Industrial Pool Industrial bs6pwr13 Alexandria Portfolio Office jpm6cb16 Centro Portfolio jpm6cb16 Pct Date City State 7% 05/11/16Payoff Prior to Maturity Various VR 159,488,000 7% 05/11/16Payoff Prior to Maturity Various VR 126,019,506 11% 05/02/16Payoff Prior to Maturity South San Francisco CA Other 86,000,000 10% 05/02/16Payoff Prior to Maturity Various VR Lightstone Michigan Multifamily Portfolio Multi‐Family 71,418,381 8% 05/09/16Payoff Prior to Maturity Various MI bs6pwr13 Brandywine Anchors Retail 61,375,000 5% 04/29/16Payoff Prior to Maturity Wilmington DE boa064 Extra Space Portfolio (Rollup) Other 59,287,620 8% 05/02/16Payoff Prior to Maturity Various VR wb06c27 AIM Investments Corporate Campus Office 43,700,000 4% 05/11/16Payoff Prior to Maturity Denver CO boa064 Union Development Self‐Storage (Rollup) Other 42,965,779 6% 04/29/16Payoff Prior to Maturity Various CA bs6pwr13 Brandywine Center Crescent Lower Level Retail 31,550,000 3% 04/29/16Payoff Prior to Maturity Wilmington DE Total 841,292,286 Prepay Action Exhibited by TCW from Trepp Data
49
II. Voluntary Prepayment Rates
50
Legacy CMBS Voluntary Prepayment Rates ex Defeased Loans
35.0
30.0
25.0
20.0
15.0
15.9
10.0
5.0
0.0
51
III. Top 10 Largest Legacy Refinancings with Yield Maintenance
52
Deal Property Name Type Balance Pct gcc07gg9 Arbrook Park Apartments Multi‐Family 26,584,983 1% boa073 Bartow Marketplace Retail 23,297,527 cobalt61 Forest Hills Medical Office Building Office 17,065,410 boa073 Brandon Centre South Retail boa073 Anderson Central bs6pwr14 bs6pwr13 Date City State 05/06/16 Payoff w/Yield Maintenance Arlington TX 1% 04/08/16 Payoff w/Yield Maintenance Cartersville GA 2% 05/09/16 Payoff w/Yield Maintenance Forest Hills NY 16,133,156 1% 04/29/16 Payoff w/Yield Maintenance Brandon FL Retail 13,653,259 1% 04/29/16 Payoff w/Yield Maintenance Anderson SC Foundry Shopping Center Retail 12,120,000 1% 04/22/16 Payoff w/Yield Maintenance Chicago IL Gateway Plaza Shopping Center Retail 12,018,307 1% 05/02/16 Payoff w/Yield Maintenance Shoreline WA gs07gg10 Plantation Plaza Shopping Center Retail 10,500,000 0% 04/15/16 Payoff w/Yield Maintenance Jacksonville FL lbub07c7 San Joaquin MHP Other 7,800,000 0% 05/11/16 Payoff w/Yield Maintenance Fresno CA boa073 East Gate Retail 6,800,038 0% 04/29/16 Payoff w/Yield Maintenance Aiken SC Total 145,972,679 Prepay Action Exhibited by TCW from Trepp Data
53
IV. Voluntary Prepayment Rates on Legacy Loans with Yield
Maintenance
54
Legacy CMBS Voluntary Prepayment Rates with Yield Maintenance
ex Defeased Loans
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
1.2
0.5
0.0
55
V. Top 10 Largest Legacy Refinancings with Prepayment Penalties
56
Deal Property Name Type Balance Pct ge07c1 Walgreen's ‐ Mundelein, IL Retail 1,848,660 0% wamu7sl3 4305 Gateway Avenue Multi‐Family 1,739,755 wamu7sl3 2005 Ivar Avenue Multi‐Family 1,657,498 ccrf07mf Portage Creek Apartments Multi‐Family ms07iq13 88‐30 182nd Street Realty Corp. wamu7sl3 Date City State 04/08/16 Payoff w/Penalty Mundelein IL 1% 05/05/16 Payoff w/Penalty Los Angeles CA 1% 04/29/16 Payoff w/Penalty Los Angeles CA 1,220,431 0% 05/06/16 Payoff w/Penalty Arlington WA Other 1,206,665 0% 04/25/16 Payoff w/Penalty Jamaica NY 3422 Northwest Avenue Multi‐Family 43,198 0% 04/29/16 Payoff w/Penalty Bellingham WA Total 7,716,207 Prepay Action Exhibited by TCW from Trepp Data
57
VI. Voluntary Prepayment Rates on Legacy Loans with Prepayment
Penalties
58
Legacy CMBS Voluntary Prepayment Rates with Prepayment
Penalties ex Defeased Loans
3.0
2.5
2.0
1.5
1.0
0.5
0.0
0.1
59
Section D: Appraisal Reductions
60
I.
Percentage of Balance with Appraisal Reduction
61
Appraisal Reduction on Legacy CMBS Universe
60.0%
14.0%
54.9%
50.0%
12.0%
10.250%
10.0%
40.0%
8.0%
30.0%
6.0%
Pct w/Appraisal Reduction
Appraisal Reduction Amt
20.0%
4.0%
10.0%
2.0%
0.0%
0.0%
62
Section E: Modifications
63
I.
Modifications by Type
64
Percent Legacy CMBS Universe with Modification
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
Maturity Ext
Amort Change
Prin Forgiveness
Temp Rate Reduction
Interest Capitalization
Taxes Capitalization
Other
Combination
May-16
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
0.0%
65
Top 10 Largest Legacy Loans Modified Deal Property Name Type Balance % Deal Mod Date Loan Modification Type jpm6cb15 Scottsdale Plaza Resort Hotel 57,155,286 11%
bs6pwr11 Hickory Point Mall Retail 27,446,366 9%
bs7pwr15 Country Club Plaza Retail 13,210,783 1%
Total 57,155,286 City State 04/01/16Combination Scottsdale AZ 04/01/16Amortization Change Forsyth IL 04/11/16Combination Country Club Hills IL Exhibited by TCW from Trepp Data
66
Section F: Partial IO Resets
67
I.
Top 10 Largest Legacy Loans Beginning to Amortize
68
Deal Property Name Type Balance cs06oma mezzanine loan Office 365,150,330 gs07gg10 Country Inn & Suites ‐ Cedar Falls ‐ Hotel 3,600,000 gs07gg10 Country Inn & Suites ‐ Waterloo ‐ A Hotel 3,300,000 Aggregate Totals 365,150,330 % Deal TapeDate Orig Date Age DQStatus City State New York NY 0.1% 05/10/16 04/20/07 107Foreclosure in Process Cedar Falls IA 0.1% 05/10/16 04/20/07 107Foreclosure in Process Waterloo IA 88.0% 05/15/16 05/01/05 132Current Exhibited by TCW from Trepp Data
69
Section G: Commercial Property Prices
70
I.
Moody’s Commercial Property Price Index (CPPI)
71
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
72
Section H: CMBS Securitization Volumes
73
Quarterly CMBS Origination Volume in Millions
60,000
Q12000
Q12001
50,000
Q12002
Q12003
Q12004
40,000
Q12005
Q12006
Q12007
30,000
Q12008
Q12009
Q12010
20,000
Q12011
Q12012
Q12013
10,000
Q12014
Q12015
Q12016
Conduit
SASB/FLTR
Total
Exhibited by TCW from Bloomberg
74
Annual CMBS Origination Volume in Millions
250,000
2000
2001
200,000
2002
2003
2004
2005
150,000
2006
2007
2008
2009
100,000
2010
2011
2012
2013
50,000
2014
2015
2016 Proj
Conduit
SASB/FLTR
Total
Exhibited by TCW from Bloomberg
75

Commercial Mortgage Market Monitor

Transcription

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