Realpoint Oct Research

8/8/2019 Realpoint Oct Research

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October 2010

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Table 1 - Trailing Three Months DelinquencySep-10 Aug-10 Jul-10

Category UPB ($BB) UPB ($BB) UPB ($BB)30-Day 7.37$ 7.80$ 7.05$60-Day 5.07$ 5.00$ 4.70$90+-Day 27.96$ 28.27$ 29.64$Foreclosure 14.48$ 13.51$ 13.01$REO 7.32$ 6.81$ 6.43$Current 711.42$ 712.59$ 720.13$Total CMBS 773.61$ 773.98$ 780.97$Total CMBS Del. 62.19$ 61.39$ 60.84$

Delinq. % 8.039% 7.932% 7.790%

Monthly Delinquency Report - Commentary

Executive SummaryIn September 2010, the delinquent unpaid balance for CMBS continued to exhibit moderate monthlygrowth having increased by an additional $801.2 million, up to $62.19 billion from $61.39 billion a monthprior (a 1.3% increase). This followed only $551.8 million in growth from July to August 2010 and $387.9million in growth from June to July 2010 optimistically showing signs of slowdown from earlier this year,as it remained well below the average growth per month of $3.14 billion experienced from Januarythrough June of 2010. On the other hand, outside of a slight decrease in both the 30-day and 90+-daycategories, the remaining delinquency categories each increased, fueled by further delinquencydegradation and credit deterioration. Despite ongoing loan liquidations, modifications and resolutions, thedistressed 90+-day, Foreclosure and REO categories as a whole grew by $1.16 billion (2.4%) from the

previous month after falling for the first time in almost three years from July to August 2010. Havinggrown in aggregate for 31 straight months prior to such decline, these distressed categories remain up$30.07 billion (153%) in the past year (up from only $19.69 billion in September 2009). Overall, thedelinquent unpaid balance is up 96% from one-year ago (when $31.73 billion of delinquent unpaidbalance for September 2009), and is now over 28 times the low point of $2.21 billion in March 2007.

The total unpaid balance for CMBS pools available for reviewfor the September 2010 remittance was $773.61 billion, downfrom $773.98 billion in August 2010. Both the delinquentunpaid balance and delinquency percentage over the trailingtwelve months continue to trend upward as shown in Charts 1and 2, but at a moderated pace. The resultant delinquencyratio for September 2010 of 8.04% (up only 1.4% from the7.93% reported a month prior) is over two times the 3.94%

reported one-year prior in September 2009 and over 28 timesthe Realpoint recorded low point of 0.283% from June 2007.The continued increase in both delinquent unpaid balance and percentage is now being impacted by therapid growth in liquidations on a monthly basis and a potential slow-down in the reporting of newdelinquency for the remainder of 2010.

Both liquidation activity and average loss severity has been on the rise over the trailing 12-months,especially in the past few months of 2010. Another $521.6 million in loan workouts and liquidations werereported for September 2010 across 58 loans, at an average loss severity of 47.5%. Eighteen of theseloans, however, at $176.2 million experienced a loss severity near or below 1%, most likely related toworkout fees, while the 40 loans at $345.5 million experienced an average loss severity near 68%. Thisactivity followed $583.5 million in loan workouts and liquidations for August 2010 across 95 loans, at anaverage loss severity of 51.8%, and a substantial $1.035 billion in loan workouts and liquidations for July2010 across 200 loans, at an average loss severity of 54.1%. Such activity marked the highest monthly

liquidation amount tracked by Realpoint. Year-to-date in 2010, $5.53 billion in loan workouts andliquidations have been reported across 897 loans, at an average loss severity of 51% - including $4.15billion in the past six-months alone.

Most noteworthy on a go forward basis, the $4.1 billion Extended Stay Hotel loan from the WBC07ESHtransaction remained 90+-days delinquent in September 2010 but will reach resolution with the Octoberremittance. On May 28, 2010, Paulson & Co., Centerbridge Partners LP and Blackstone Group LP won abankruptcy auction bid for the Extended Stay Hotel chain at $3.925 billion ($53,375/key). The U.S.Bankruptcy court approved the auction in June 2010 and the sale to Centebridge closed in September2010, with certificate-holder distributions made in October 2010. Approximately 92% of the seniortrust debt is expected to be paid in full, while the delinquent unpaid balance for CMBS would bereduced by $4.1 billion. Actual payoff and realized loss figures continue to be reported withOctober 2010 distributions.


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Charts 1 and 2 Monthly CMBS Delinquency: Balance vs. Percentage (source: Realpoint)

$31.73 $32.55

$37.93

$41.64

$45.94

$47.82

$51.05

$54.65

$57.34

$60.45 $60.84$61.39

$62.19

$0.00

$10.00

$20.00

$30.00

$40.00

$50.00

$60.00

$70.00

$

(inb

illions)

Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

Month

3.940% 4.013%

4.706%

5.223%

5.762%5.999%

6.395%

6.910%

7.270%

7.702% 7.790%7.932% 8.039%

0.000%

1.000%

2.000%

3.000%

4.000%

5.000%

6.000%

7.000%

8.000%

9.000%

Percentage

Sep-09 O ct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

Month


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Despite this reduction in delinquent unpaid balance for October, we continue to monitor in detail manylarge Realpoint Watchlisted loans that have never met pro-forma underwritten expectations as part of ourmonthly surveillance efforts of every CMBS transaction. This includes a large number of loans that

remain current in payment but have already been transferred into special servicing - many of which mayultimately default based upon a denial of requests for loan modifications or debt restructuring by thespecial servicers, or a decision by borrowers to surrender the collateral.

Realpoint has therefore adjusted its projection for the delinquent unpaid CMBS balance through year-end2010 based on an updated trend analysis. Following the payoff of the $4.1 billion Extended StayHotel loan from the WBC07ESH transaction, if delinquency growth were to continue at a slightlymoderated pace, the delinquent unpaid balance for CMBS will most likely remain between $60billion and $70 billion through year-end 2010, equating to a delinquency percentage between 8%and 9%. The potential to grow higher than 9%, however, remains under more heavily stressedscenarios involving additional large loan defaults. This forecast / outlook is driven by severalRealpoint identified High Risk Loans from recent vintage transactions that continue to show signs ofstress and default risk, along with continued / expected balloon maturity defaults where refinanceproceeds are not available.

Forecasted Delinquency by Balance and Percentage Scenario AnalysisWhen focusing on deals seasoned for at least one year, our investigation reveals the following: All deals seasoned at least a year have a total unpaid balance of $750.03 billion, with $62.19 billion

delinquent an 8.29% rate (up from only 6.5% six months prior). When agency CMBS deals are removedfrom the equation, deals seasoned at least a year have a

total unpaid balance of $718.27 billion, with $62.13 billion delinquent an 8.65% rate (up from only6.75% six months prior).

Conduit and fusion deals seasoned at least a year have a total unpaid balance of $641.2 billion, with$56.06 billion delinquent an 8.74% rate (up from only 6.77% six months prior).

We also continue to emphasize some large loan exposure to delinquent and/or specially-serviced loansthat could impact future delinquency levels and monthly movement in delinquency, highlighted as follows:

The $4.93 billion floating-rate Equity Office Portfolio loan (GSM207EO transaction) secured by

103 office properties was transferred to the special servicer on May 21, 2010 due to concernsregarding the borrower's ability to refinance the loan, but remains current in payments. The poolcollateral and balance has been reduced from $6.867 billion at issuance due to the release of 42properties. The loan, which remains current, had an initial maturity date of February 2009, butwas extended twice, most recently to February 1, 2011. The borrower has one remaining 12-month extension option (final maturity February 1, 2012). We believe that due to a dislocation inthe credit markets, otherwise healthy loans cannot meet stricter lender criteria for refinancing, asdecreasing net cash flow for the remaining collateral has led to an increase in LTV.

All five CMBS transactions containing the $3 billion Peter Cooper Village / Stuyvesant Town paripassu loan remained 90+-days delinquent as of September 2010. In early August 2010, it wasreported that Winthrop Realty Trust and Pershing Square Capital Management have formed a

joint venture to buy the $300 million senior mezzanine loan for a purchase price of $45 millionand take over as borrowing entity. The reported intention was to convert the property from a rent-controlled multifamily property to a low- to middle-income co-op. A judge has since blocked

Pershing/Winthrop from foreclosing on the equity portion and taking control of the properties inSeptember, while the planned foreclosure sale was postponed for the second time to Oct. 22.The senior lenders have resolved their dispute with a rival group but are still putting together legaland corporate paperwork for a takeover.

We are closely monitoring $2.64 billion of debt associated with the Beacon and Seattle pool,broken down into six securitized pari passu notes, all of which were reported as speciallyserviced but current in payments. The Borrowers written correspondence in April 2010 indicatedan unwillingness to commit additional capital to fund leasing costs, capital improvements anddebt service shortfalls, due in part to lease rollover projections, and that they are seeking a loanmodification. Following this activity, default risk has been elevated.

The Farallon MHC Portfolio loan was transferred to the special servicer on July 1, 2010 forimminent default as the borrower delivered written correspondence to the primary servicer,KeyBank, requesting a loan modification, and that the loan be transferred. The loan has a totaldebt balance of $1.575 billion with an underwritten LTV of 80% and consists of 45 notes that are


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secured by multiple A/B and pari-passu notes. We note the transfer to the special servicer waslikely due to the floating rate portion of the transaction, which is coming up on its second renewalin August 2010. The floating rate notes had an original maturity date of August 2009, which was

the first of three one-year extension options. The loan is interest-only for the entire term and the$200 million component has a fixed rate of 6.522% with an August 2014 maturity date and the$50 million component has a fixed rate of 6.465% with an August 2017 maturity date. This loanis secured by a portfolio of 274 mobile-home properties, with 57,165 pads, spread throughout 23states. The weighted average year built is 1974.

Back on October 21, 2009, the $1.0 billion CNL Hotels and Resorts loan (COM06CN2) wastransferred to the special servicer for imminent default after the borrower requested an extension.The loan is secured by five cross-collateralized and cross-defaulted upscale and luxury resortproperties collectively containing 3,287 rooms, 14 golf courses and 3,065 acres of land. The loan,which matures February 1, 2011, had been on both the master servicer and Realpoints watchlistdue to diminished net cash flow but remains current and the borrower continues to pay all specialservicing fees. However, As of August 2010, the special servicer had denied two borrowermodification proposals for forbearance/modification and has presented a proposal of its own. Thespecial servicer hired a hospitality advisor to assist with evaluation of collateral and to project

future operating performance and capital expenditures. As of the September 2010 update, theborrower requested a one-year loan extension.

Along with these figures and concerns, our historical scenario and stressed trend analysis regardingrecent default activity and the potential for future delinquency growth presents the following:

Scenario 1 (Six-Month Historical Assumptions):

Over the past six months, delinquency growth by unpaid balance has averaged only $1.86 billionper month. Assuming the payoff of the $4.1 billion Extended Stay Hotel loan from theWBC07ESH transaction along with ongoing monthly pay-down and liquidation activity, if suchdelinquency average were increased by an additional 25% growth rate (to account for unforeseendefaults of specially-serviced assets and upcoming maturing loans), and then carried throughyear-end 2010,the delinquent unpaid balance would reach $65.1 billion and reflect adelinquency percentage near 8.6% by December 2010.

In addition to this growth scenario, when we add-in the potential default of the $2.64 billionspecially-serviced Beacon and Seattle loan and the $1.0 billlion CNL Hotels and Resorts loan,the delinquent unpaid balance would reach $68.7 billion and reflect a delinquency

percentage of 9.1% by December 2010. If we also add-in the potential default of the $4.93 billion specially-serviced Equity Office Portfolio

loan, the delinquent unpaid balance would reach $73.6 billion and reflect a delinquencypercentage of 9.7% by December 2010

Scenario 2 (Three-Month Historical Assumptions):

Over the past three months, delinquency growth by unpaid balance has averaged a slightly lower$0.58 billion per month. Assuming the payoff of the $4.1 billion Extended Stay Hotel loan fromthe WBC07ESH transaction along with lowermonthly pay-down and liquidation activity (asexperienced in the same time frame), if such delinquency average were increased by anadditional 25% growth rate (to account for unforeseen defaults of specially-serviced assets and

upcoming maturing loans), and then carried through year-end 2010, the delinquent unpaidbalance would go down to only $60.3 billion and reflect a lower delinquency percentagenear 8% by December 2010.

In addition to this scenario, when we add-in the potential default of the $2.64 billion specially-serviced Beacon and Seattle loan and the $1.0 billlion CNL Hotels and Resorts loan, thedelinquent unpaid balance would reach $63.9 billion and reflect a delinquency percentageof 8.4% by December 2010.

If we also add-in the potential default of the $4.93 billion specially-serviced Equity Office Portfolioloan, the delinquent unpaid balance would reach $68.8 billion and reflect a delinquency

percentage of 9.1% by December 2010.

Other concerns / dynamics within the CMBS deals we continue to monitor which may affect the overalldelinquency rate due to current credit market conditions for the remainder of 2010 include:


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Year Issued # of Loans Current Ba lance

2007 48 984,119,380$

2006 58 762,980,164$

2005 57 792,289,696$

2004 14 164,372,233$

2003 13 101,449,734$

2002 7 38,376,924$

2001 9 40,541,700$

2000 21 64,669,667$

1999 4 11,922,954$

1998 5 9,666,650$

1997 1 4,226,436$

Totals 237 2,974,615,539$

Table 2: Monthly Special Servicing Transfers

Sept 2010

Balloon default risk remains an issue from highly seasoned CMBS transactions as loans areunable to payoff as scheduled. In many cases, collateral properties that have otherwisegenerated adequate / stable cash flow results are not able to refinance their balloon payment at

maturity, due mostly to a lack of refinance proceeds availability. In some cases little or noamortization has taken place due to interest-only payment requirements, while collateral valueshave also declined. Large floating rate loan refinance and balloon default risk continues to grow,as many of such large loans are secured by un-stabilized or transitional properties reaching finalmaturity extensions (if they have not done so already), or fail to meet debt service or cash flowcovenants necessary to exercise in-place extension options.

Declined commercial real estate values and diminished equity in collateral properties continues toprompt more struggling borrowers with marginal collateral performance to claim imminent defaultand ask for debt relief. The aggressive pro-forma underwriting on loans originated from 2005through 2008 vintage transactions, comingled with extinguished debt service / interest reservesrequired at-issuance, has led to an increasing number of loans with an inability to meet debtservice requirements from in-place cash flow. This is especially evident with the partial-terminterest-only loans that will begin to amortize or those that have recently converted.

Despite some signs of recent optimism, a cautious outlook for the hotel sector remains as many

sizeable hotel loans from 2005-2008 vintage pools have had to significantly lower rates tomaintain an acceptable level of occupancy across the country and in some cases haveexperienced severely distressed net cash flow performance as a result. Our expectations arethat more of these loans may be asking for debt relief in the near future and may ultimatelydefault if a resolution is not reached.

Increased interest for vacant retail space and pent-up demand may fuel a recovery for the sector.Multifamily statistics have also shown that decreased concessions and a rise in rents in somemarkets may ultimately lead to improved cash flow performance, if supply remains limited. Inmany office markets, rents could potentially reset with hopes of growth as we enter 2011.

On the other hand, special servicers will play a key role in the level of delinquency reached in thenext 12-24 months as large loan modifications, lender financing (through discounted assumptionsand modifications prior to foreclosure), maturity extensions and approved forbearance have thepotential to slow down or mitigate delinquency growth and delay losses. In addition, whilevacancies across most if not all property types are near historic highs, optimism has recently

surfaced regarding asking rents and vacancy across distressed loans. Liquidations on smallerbalance loans, however, may continue based upon volume and time constraints, etc. Regarding new issuance, as the market continues to grow in the second half of 2010, some

delinquency growth we have experienced in the trailing 12-months may be offset by any newissuances speed to market. As liquidations of severely distressed defaulted loans picked upspeed in the latter half of 2009 and continues in 2010, and modifications or forbearance at theloan level continue to be discussed between borrowers and special servicers, there may be adelinquency leveling-off period late 2010 or early 2011.

Special Servicing Exposure and Other TrendsThrough September 2010, the unpaid balance forspecially serviced CMBS under review increased on a netbasis by $345 million to a trailing 12-month high of $91.17billion from $90.83 billion a month prior. Newly transferred

specially-serviced loans totaled 237 at $2.97 billion inSeptember 2010, as shown in Table 2. Worth noting isthat 163 of the loans transferred in September at $2.54billion (85% of newly transferred balance) were issuedfrom 2005 through 2007.

Despite another large amount of monthly liquidationsactivity reported in September 2010, the correspondingpercentage of loans by unpaid balance in special servicingincreased to 11.8% of all CMBS by unpaid balance inSeptember 2010, up from 11.74% a month prior. This is

the result of continued new loan transfer activity on a monthly basis.


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The overall trend of special servicing exposure since January 2005, by both unpaid balance andpercentage, is presented in Charts 3 and 4.

Charts 3 and 4 Special Servicing Exposure: Balance vs. Percentage (source: Realpoint)

Special Servicing Exposure by Unpaid Balance ($BB): January 2005 through September 2010

Sep-10, $91.17

Dec-09, $66.86

Jan-08, $4.53

Jan-09, $14.38

Jan-07, $3.74

Jan-06, $5.57

Jan-05, $8.55

$0.00

$10.00

$20.00

$30.00

$40.00

$50.00

$60.00

$70.00

$80.00

$90.00

$100.00

Jan-05

Apr-05

Jul-0

5

Oct

-05

Jan-06

Apr-0

6

Jul-0

6

Oct

-06

Jan-07

Apr-07

Jul-0

7

Oct

-07

Jan-08

Apr-0

8

Jul-0

8

Oct

-08

Jan-09

Apr-0

9

Jul-0

9

Oct

-09

Jan-10

Apr-1

0

Jul-1

0

Special Servcing Exposure as % of Outstanding CMBS: January 2005 through September

2010

Sep-10, 11.79%

Dec-09, 8.64%

Jan-05, 1.95%

Jan-06, 1.00%

Jan-07, 0.52% Jan-08, 0.52%

Jan-09, 1.71%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

Jan-05

Apr-05

Jul-0

5

Oct

-05

Jan-06

Apr-0

6

Jul-0

6

Oct

-06

Jan-07

Apr-07

Jul-0

7

Oct

-07

Jan-08

Apr-0

8

Jul-0

8

Oct

-08

Jan-09

Apr-0

9

Jul-0

9

Oct

-09

Jan-10

Apr-1

0

Jul-1

0


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Over 62% of the delinquent unpaid balance through September 2010 came from transactions issued in2006 and 2007, with over 34% of all delinquency found in 2007-issued transactions. When we extendour review to include the 2005 vintage, an additional 19.2% of total delinquency is found; thus almost

82% of CMBS delinquency comes from 2005 to 2007 vintage transactions.

Chart 5 below shows the increased delinquent unpaid balance relative to these three vintages over thepast six months, clearly reflecting the continuing trends of increase we have highlighted in recent months.For 2010, we expect to see continued high delinquency by unpaid balance for these three vintages due toaggressive lending practices prevalent in such years. We also expect to see some loans from the 2008vintage to show signs of distress and default in cases where pro-forma underwriting assumptions fail tobe realized.

Chart 5 Monthly Delinquent Unpaid Balance for 2005, 2006 and 2007 Vintage Transactions

$-

$5,000,000,000

$10,000,000,000

$15,000,000,000

$20,000,000,000

$25,000,000,000

Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

Month

2005 2006 2007

Monthly CMBS Loan Workouts and LiquidationsAs highlighted previously, both liquidation activity and average loss severity for these liquidations hasbeen on the rise over the trailing 12-months, especially in the past few months of 2010. A substantial$1.035 billion in loan workouts and liquidations were reported for July 2010 across 200 loans, at anaverage loss severity of 54.1%. This marked the highest monthly liquidation amount tracked by Realpointsince the prior month, when $762.9 million in loan workouts and liquidations were reported for June 2010

across 126 loans, at an average loss severity of 49%. Through September 2010, another $521.6 millionin loan workouts and liquidations were reported for September 2010 across 58 loans, at an average lossseverity of 47.5%. Eighteen of these loans, however, at $176.2 million experienced a loss severity nearor below 1%, most likely related to workout fees, while the 40 loans at $345.5 million experienced anaverage loss severity near 68%. Such activity followed $583.5 million in loan workouts and liquidations inAugust 2010 across 95 loans, at an average loss severity of 51.8%. Sixteen of these loans, however, at$78.4 million experienced a loss severity near or below 1%, while the 79 loans at $505.1 millionexperienced an average loss severity near 62%. Year-to-date in 2010, $5.53 billion in loan workouts andliquidations have been reported across 897 loans, at an average loss severity of 51%.

As pressure continues to be placed on special servicers to maximize returns in todays credit market, trueloss severities are expected to be high, and liquidation activity is expected continue at the recent pace.This would be the result of reduced or distressed asset pricing, lower availability of take-out financing,and increased extensions of balloon defaults through 2010. We expect higher liquidation volume and loss


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severity to be the norm for 2010 for those loans that experience a term default where cash flow fromoperations is not sufficient to support in-place debt obligations (i.e. DSCR below break-even).

Otherwise, the growing rate at which liquidated or resolved CMBS credits are replenished by newlydelinquent loans remains a high concern, especially regarding further growth in the Foreclosure and REOcategories (evidence of additional loan workouts and liquidations on the horizon for 2010). Historicalhighlights regarding liquidation activity and loss severity are as follows:

Since January 2005, over $14.53 billion in CMBS liquidations have been realized, while only 48of the last 63 months have reported average loss severities below 40%, including 21 below 30%.

Annual liquidations for 2009 totaled $2.18 billion, at an overall average severity of 42.1%. Theoverall average was clearly brought downward by the number of loans that experienced a minorloss via workout fees and / or sales or refinance proceeds being near total exposure, while thetrue loss severities by our definition averaged 62%.

Comparatively, annual liquidations for 2008 totaled $1.297 billion, at an overall average severityof only 24.9% while liquidations in 2007 totaled $1.094 billion at an average severity of 32.8%.

Liquidations in 2006 totaled $1.93 billion at an average severity of 30.2%, while 2005 had $3.097

billion in liquidations at an average severity of 34.2%.

Therefore, we have separated those loans with a loss severity near or below 1% for the monthly snapshotreported in table 3, as well as the property type severity figures presented in tables 5, 6 and 7 on thefollowing pages.

Table 3 Liquidations for September 2010: Material Loss vs. Workout Fees, etc. (source: Realpoint)

Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date City Stat

BACM0505 29.000 Mervyn's - Laguna Niguel Retail 14,014,752$ 7,955,943$ 56.8% 9/23/2010 LAGUNA NIGUEL CA

BACM0606 63.000 Becker - Winter Park Office 5,689,103$ 3,675,367$ 64.6% 9/10/2010 WINTER PARK FL

BSC06P12 191.000 4400 Blalock Industrial 1,732,361$ 608,369$ 35.1% 9/15/2010 HOUSTON TX

BSC07P15 120.000 320 Evesboro Medford Road Retail 4,902,025$ 1,540,211$ 31.4% 9/10/2010 MARLTON NJ

CBAC0501 2005100573 02FIXED/VARIABLE Other 149,177$ 149,177$ 100.0% 9/1/2010 SOUTHBRIDGE MA

COM06C07 56.000 The Equitable Building Office 14,213,120$ 7,912,598$ 55.7% 9/13/2010 BALTIMORE MD

COMM9901 TA5434 Settlers Landing Shopping Center Retail 7,014,542$ 4,531,592$ 64.6% 9/7/2010 MONTGOMERY IL

CSF01CK6 000067 Greenville Business Center Office 3,309,718$ 1,808,920$ 54.7% 9/11/2010 RICHARDSON TX

CSF04C03 000014 Fountain Valley Town Center Retail 23,524,812$ 1,570,508$ 6.7% 9/9/2010 FOUNTAIN VALLEY CACTG06C05 112.000 Circuit City - Cincinnati, OH Retail 4,640,419$ 4,578,283$ 98.7% 9/1/2010 CINCINNATI OH

FUNB01C2 000054 1425 Lover's Lane Industrial 4,783,975$ 3,776,051$ 78.9% 9/3/2010 AUGUSTA GA

GECC0201 000128 Park Colony Apartments Multi-family 1,714,929$ 685,243$ 40.0% 9/8/2010 Houston TX

GMAC00C3 991091644 Descanso Plaza Apartments Multi-family 1,005,150$ 616,807$ 61.4% 9/1/2010 AURORA CO

GMAC03C3 25 The Oxford Apartments Multi -family 15,610,000$ 11,307,853$ 72.4% 9/1/2010 HOUSTON TX

GMAC06C1 113.000 Kelly Carlos Office Building Office 1,522,616$ 1,121,226$ 73.6% 9/1/2010 FORT MYERS FL

GSM206G6 113.000 Boardwalk Inn & Suites Hotel 7,500,000$ 5,717,239$ 76.2% 9/29/2010 DAYTONA BEACH FL

JPC01C01 000050 Academy Point Atrium I Office 5,996,493$ 4,041,534$ 67.4% 9/7/2010 COLORADO SPRINGS CO

JPC03C01 000063 Lakewood Village Shopping Center Retail 3,723,621$ 2,755,049$ 74.0% 9/20/2010 CELINA OH

JPC06LD6 41.000 Crow Canyon Center Office 4,792,546$ 1,299,490$ 27.1% 9/8/2010 SAN RAMON CA

LAS06MF3 130.000 5120-36-48 Suder Road Multi -family 1,234,109$ 961,813$ 77.9% 9/8/2010 Toledo OH

LAS06MF4 90.000 2030 E Broadway Multi -family 1,524,455$ 1,194,525$ 78.4% 9/13/2010 Mesa AZ

LBUB04C4 39 Winbranch Apartments Multi -family 6,204,868$ 5,716,730$ 92.1% 9/13/2010 MEMPHIS TN

LBUB05C2 23.000 Schubiner Portfolio Office 13,492,735$ 11,152,389$ 82.7% 9/3/2010 BLOOMFIELD HILLS MI

MLM98C01 000014 Circuit City Stores, Inc. Retail 5,747,651$ 4,538,273$ 79.0% 9/1/2010 PITTSBURGH PA

MLT07C01 229.000 The Annex at Pima Crossing Retail 1,751,771$ 1,452,442$ 82.9% 9/2/2010 SCOTTSDALE AZ

MSC06I12 155.000 Jones Road Shopping Center Retail 3,915,546$ 3,008,044$ 76.8% 9/1/2010 HOUSTON TX

MSC07H12 20.000 Uptown Plaza Retail 19,900,000$ 5,860,497$ 29.4% 9/3/2010 DALLAS TX

WAMU06S1 78.000 22-28 Exchange Place Multi -family 1,645,035$ 1,306,679$ 79.4% 9/17/2010 Port Chester NY

WAMU07S3 833.000 1322-1328 Stratford Avenue Other 431,592$ 337,898$ 78.3% 9/17/2010 Bridgeport CT

WAMU07S3 494.000 20 Sands Street Other 860,391$ 673,077$ 78.2% 9/17/2010 Port Chester NY

WAMU07S3 353.000 29-31-33 Oak Street Multi -family 1,147,187$ 893,027$ 77.8% 9/17/2010 Port Chester NY

WAMU07S3 329.000 49 Oak Street Multi -family 1,218,887$ 940,077$ 77.1% 9/17/2010 Port Chester NY

WAMU07S3 276.000 50-54-62 Fox Island Road Multi -family 1,433,984$ 1,070,365$ 74.6% 9/17/2010 Port Chester NY

WAMU07S3 530.000 435-437 West Street Multi -family 788,691$ 584,164$ 74.1% 9/17/2010 Port Chester NY

WAMU07S3 532.000 391 Irving Avenue Multi -family 786,704$ 578,481$ 73.5% 9/17/2010 Port Chester NY

WAMU07S3 470.000 46 Fox Island Road Multi -family 896,240$ 654,710$ 73.1% 9/17/2010 Port Chester NY

WBC03C05 115 Village at Dana Park II Retail 2,435,653$ 1,446,412$ 59.4% 9/8/2010 MESA AZ

WBC05C20 116.000 Macon & Burlington Mall Pool Retail 130,637,679$ 127,288,255$ 97.4% 9/13/2010 Various Variou

WBC06C27 63.000 Forest Hill MHP Multi -family 10,545,647$ 9,148,097$ 86.7% 9/8/2010 FORT WORTH TX

WBC07C30 106.000 Athalon Center Office 13,050,000$ 8,562,851$ 65.6% 9/2/2010 Rancho Cucamonga CA

Sub-Totals 345,488,184$ 253,020,268$ 68.3% Avg Severity


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Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date City Stat

CCA1_3 800066 Shops on the Green Retail 2,533,142$ 27,815$ 1.1% 9/1/2010 CORNELIUS NC

CCSC00C2 68 South Bay Tech Center Industrial 12,774,209$ 128,819$ 1.0% 9/2/2010 MILPITAS CA

CCSC00C3 64 Office Depot - San Carlos Retail 2,157,457$ 23,595$ 1.1% 9/1/2010 SAN CARLOS CA

CCSC00C3 25 Cambrian Apartments Multi-family 16,988,417$ 175,571$ 1.0% 9/1/2010 AURORA CO

CCSC99C2 15 Atrium Court Office 4,102,473$ 42,236$ 1.0% 9/10/2010 SANTA ROSA CA

CCSC99C2 12 Apple Blossom Mall Retail 34,427,699$ 347,470$ 1.0% 9/10/2010 WINCHESTER VA

DLJ99CG3 24 BJ's Wholesale Club Retail 7,758,821$ 82,897$ 1.1% 9/3/2010 DUBLIN OH

FUBA01C1 000173 130-144 East Post Road Retail 778,010$ 6,603$ 0.8% 9/10/2010 WHITE PLAINS NY

GECC05C2 57.000 Pointe Inverness Multi-family 9,600,267$ 99,644$ 1.0% 9/14/2010 FORT WAYNE IN

GECC05C2 24.000 Willows of Coventry Multi-family 16,124,721$ 167,197$ 1.0% 9/14/2010 FORT WAYNE IN

GMAC00C3 991091657 Eckerd Drug/Children's Hospital Retail 1,131,785$ 22,063$ 1.9% 9/1/2010 CINNAMINSON NJ

GMAC00C3 11029222 The Willows Apartments Multi-family 4,941,978$ 50,914$ 1.0% 9/1/2010 NEW BALTIMORE MI

GSM204C1 000001 Water Tower Place Retail 49,984,914$ 501,151$ 1.0% 9/28/2010 CHICAGO IL

LBUB05C7 96.000 Lankershim Retail Retai l 4,175,986$ 42,187$ 1.0% 9/13/2010 NORTH HOLLYWOOD CA

SBM700C3 20003020009 6396, 6392, 6372 McLeod Drive Office 2,184,433$ 22,137$ 1.0% 9/1/2010 LAS VEGAS NV

SBM700C3 03-0812602 Woodbend Apartments Multi-family 1,961,000$ 19,751$ 1.0% 9/1/2010 OPELIKA AL

SBM701C1 6604942 TECH SURGICAL CENTER Office 3,026,293$ 30,547$ 1.0% 9/1/2010 LAS VEGAS NV

WMA03C01 000098 Harper Square Apartments Multi-family 1,520,241$ 12,751$ 0.8% 9/8/2010 CLINTON TOWNSHIP MI

Sub-Totals 176,171,848$ 1,803,346$ 1. 1% Avg Seve ri ty

Aggregate Total 521,660,031$ 254,823,614$ 47.5% Avg Severity

Table 4 Monthly CMBS Liquidations and Average Loss Severity, January 2009 to September 2010 (source: Realpoint)

Totals Balance Before Loss Loss Amount Avg. Loss %

Sep-10 521,660,031$ 254,823,614$ 47.5%

Aug-10 583,460,078$ 353,998,765$ 51.8%

Jul-10 1,035,438,520$ 512,875,630$ 54.1%

Jun-10 762,900,959$ 395,150,777$ 49.1%

May-10 507,188,463$ 218,269,227$ 53.6%

Apr-10 740,477,633$ 312,908,439$ 51.6%

Mar-10 598,986,581$ 168,126,189$ 47.1%

Feb-10 461,803,464$ 129,291,797$ 46.9%

Jan-10 313,902,767$ 121,578,411$ 48.1%

Dec-09 585,058,502$ 307,079,307$ 52.7%

Nov-09 254,595,748$ 122,110,420$ 45.7%

Oct-09 185,955,385$ 103,648,147$ 52.0%

Sep-09 229,934,937$ 115,054,921$ 40.6%

Aug-09 179,275,710$ 63,758,344$ 37.7%

Jul-09 152,422,687$ 32,901,871$ 31.3%

Jun-09 104,612,935$ 27,604,888$ 39.6%

May-09 83,774,841$ 33,562,306$ 35.2%

Apr-09 65,890,685$ 13,820,842$ 31.1%

Mar-09 157,538,110$ 38,348,046$ 50.7%

Feb-09 53,881,344$ 21,297,775$ 23.6%

Jan-09 127,512,771$ 42,220,021$ 37.1%

Table 5 Average Loss Severities by Property Type for 2010: All Liquidated Loans (source: Realpoint)

Prop Type Balance Before Loss Loss Amount Loss % # of Loans

Healthcare Average 25,085,684$ 3,511,395$ 10.9% 6

Hotel Average 512,378,975$ 210,814,755$ 49.2% 59

Industrial Average 270,035,438$ 127,588,084$ 49.9% 56

Multi-family Average 1,372,746,832$ 681,287,039$ 54.4% 297

Office Average 1,600,680,713$ 568,988,994$ 45.5% 169

Other Average 183,241,552$ 83,714,011$ 51.5% 49

Retail Average 1,561,649,301$ 791,118,572$ 51.3% 261

Grand Average 5,525,818,496$ 2,467,022,848$ 50.8% 897


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Table 6 Average Loss Severities by Property Type for 2010: Loans with Material Loss Severity Above 2% (source: Realpoint)


Healthcare Average 10,304,075$ 3,479,105$ 32.1% 2

Hotel Average 322,645,659$ 208,864,742$ 61.5% 47

Industrial Average 223,234,173$ 127,127,030$ 60.5% 46

Multi-family Average 1,087,235,783$ 678,560,868$ 64.2% 251

Office Average 1,014,077,882$ 563,063,581$ 56.7% 135

Other Average 162,708,656$ 83,498,805$ 59.9% 42

Retail Average 1,218,349,364$ 787,704,503$ 62.1% 215

Grand Average 4,038,555,592$ 2,452,298,634$ 61.5% 738 Table 7 Average Loss Severities by Property Type for 2010: Loans with Loss Severity Below 2%, including Assumed

Special Servicing Workout Fees (source: Realpoint)


Healthcare Average 14,781,609.95$ 32,289.51$ 0.3% 4

Hotel Average 189,733,316$ 1,950,013$ 1.0% 12

Industrial Average 46,801,265$ 461,054$ 0.9% 10

Multi-family Average 285,511,049$ 2,726,170$ 1.0% 46

Office Average 586,602,832$ 5,925,413$ 1.1% 34

Other Average 20,532,896$ 215,206$ 1.1% 7

Retail Average 343,299,937$ 3,414,069$ 1.0% 46

Grand Average 1,487,262,905$ 14,724,214$ 1.0% 159 For comparison by property type:

The highest loss severities in 2006 were found in healthcare (55%) and industrial (34.5%)collateral; multifamily collateral remained highest by balance before liquidation ($606.7 million),but reported the lowest severity (24.5%).

The highest loss severities in 2007 were found in industrial (50%) and healthcare collateral

(44%); multifamily collateral was again the highest by balance before liquidation ($356 million),but reported the fourth lowest severity (32.5%).

The highest loss severities in 2008 were found in mixed-use / other (36%) and multifamilycollateral (31%); multifamily collateral was again the highest by balance before liquidation($576.97 million).

The highest loss severities in 2009 were found in multifamily (51%) and mixed-use / othercollateral (49%); multifamily collateral was again the highest by balance before liquidation($792.47 million).

Future Workouts Delinquency CategoriesThe total balance of loans in Foreclosure and REO increased for the 34

thstraight month to $21.8 billion in

September from $20.33 billion in August 2010 and $19.45 billion in July 2010, despite ongoing liquidationactivity highlighted herein. The chart below shows the rapid growth of loans reflecting 90-daydelinquency through July 2010, tapering off a bit in August and September, while loans continye to

transition swiftly from 30-day defaults into more distressed levels on a monthly basis in 2010. We feelthis lends further support to our use of such as an early indicator of workouts to come for 2010 and 2011.


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Chart 6 Monthly Delinquency Categories (source: Realpoint)

$-

$5,000,000,000

$10,000,000,000

$15,000,000,000

$20,000,000,000

$25,000,000,000

$30,000,000,000

$Delinq.

Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

Month

30-Day 60-Day 90+-Day Foreclosure REO Property Type

Multifamily secured loans have remained the greatest contributor to overall CMBS delinquency for thepast four months (surpassing delinquent retail loans in June of this year). Delinquent multifamily loans

equate to at 1.99% of the CMBS universe and 24.7% of total delinquency (down slightly from a monthprior), with a delinquency rate of 9.1% (compared to 9.5% a month prior and only 5.2% one-year ago).By dollar amount, multifamily loan delinquency is now up by a high $6.99 billion from one year ago (upfrom $8.39 billion in September 2009).

The retail default rate increased slightly to 6.8% in September 2010 from 6.4% in August 2010 and6.6% in July 2010, remaining over 6% since April 2010. The current default rate compares to 4.2%one-year ago (September 2009).

Despite a leveling off over the past five months, we still consider retail delinquency a legitimate concernfor the remainder of 2010 and into 2011. A prolonged economic recovery could have further impact onconsumer spending and cause retailers to continue to struggle. We also cannot rule out additionalstore consolidation, closings and potential bankruptcies along with growing balloon maturity default riskas retail collateral continues to suffer from the experienced decline.

As shown in Chart 7, multifamily, retail, office and hotel collateral loan delinquency as a percentage ofthe CMBS universe have clearly trended upward in the trailing twelve months. Office collateral has

clearly demonstrated the most aggressive increase in defaults in such time horizon Only 15 healthcare loans at 0.01% of the CMBS universe were delinquent in September 2010

(consistent with the prior month), while such delinquent unpaid balance reflects 4.8% of all healthcarecollateral in CMBS.

The total delinquency rate for CMBS hotel loans increased to 13.7% in September 2010 from 13.3% inAugust 2010, up substantially from only 5.8% one-year ago. Future hotel collateral performance isdependant on recent optimism surrounding pent-up business and leisure travel and the potential forimproving fundamentals in 2010. Note: The collateral securing the delinquent Extended Stay Hotelloan (WBC07ESH) highlighted previously is identified in our database under the Other property-typecategory, as reported by the trustee.


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Page 12 of 17

Table 8 Monthly Delinquency by Property Type (source: Realpoint)

Prop.Type Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % o f Property Type

Healthcare Total 75,014,373$ 15 0.010% 0.121% 4.844%

Hotel Total 9,474,706,456$ 438 1.225% 15.234% 13.662%Industrial Total 1,989,162,051$ 260 0.257% 3.198% 6.003%

Multi-family Total 15,383,590,474$ 1,168 1.989% 24.735% 9.125%

Office Total 13,499,722,748$ 881 1.745% 21.706% 6.341%

Retail Total 14,298,470,588$ 1,365 1.848% 22.990% 6.849%

Other Total 7,472,829,531$ 350 0.966% 12.015% 9.423%

Grand Total 62,193,496,220$ 4,477 8.039% 100.000% Chart 7 Trailing Twelve Month Delinquency by Property Type (source: Realpoint)

Property Type Monthly Delinquency: as Percentage of

CMBS Universe

0.000%

0.500%

1.000%

1.500%

2.000%

2.500%

Sep-09

Oct-09

Nov-09

Dec-09

Jan-10Feb-10

Mar-10

Apr-10

May-10

Jun-10

Jul-10Aug-10

Sep-10

Month

Percentage

Healthcare Hotel Industri al Multi-family Office Retail Other

Table 9 Trailing Twelve Month Delinquency by Property Type: as % of Outstanding Property Type Balance(source: Realpoint)

Property Typ e Sep-09 Oct -09 No v- 09 D ec-09 Jan -10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Ju l- 10 Aug- 10 Sep -10

Healthcare 8.4% 7.0% 7.4% 8.2% 3.9% 3.8% 9.2% 3.5% 3.2% 4.1% 4.2% 4.3% 4.8%

Hotel 5.8% 7.4% 7.6% 8.1% 9.5% 10.2% 11.2% 11.6% 12.6% 13.4% 12.8% 13.3% 13.7%

Industrial 2.8% 2.8% 2.9% 3.5% 4.3% 4.2% 4.8% 5.1% 4.9% 5.0% 5.5% 6.1% 6.0%

Multi-family 5.2% 5.5% 6.0% 6.5% 7.0% 7.0% 7.4% 7.9% 8.2% 9.4% 9.3% 9.5% 9.1%

Office 2.5% 2.6% 2.7% 3.1% 3.7% 4.2% 4.6% 5.3% 5.6% 5.9% 6.2% 6.3% 6.3%

Retail 4.2% 4.0% 4.2% 4.8% 5.4% 5.4% 5.6% 6.2% 6.5% 6.4% 6.6% 6.4% 6.8%

Other 3.3% 2.5% 7.2% 7.6% 7.3% 7.6% 7.8% 7.9% 8.4% 8.7% 8.9% 9.4% 9.4%

Trailing Twelve Month Property Type Delinquency: as % of Outstanding Property Type Balance

Special Servicing Special servicing exposure had increased for 26 straight months through June 2010, up to

approximately $88.6 billion across 4,830 loans from $83.38 billion across 4,755 loans in May 2010.Through July 2010, however, such exposure decreased to $88.51 billion across 4,713 loans.

Through September 2010, special servicing exposure increased to $91.17 billion across 4,714 loans up from $90.83 billion across 4,722 loans in August 2010. For the 34

thstraight month, the total unpaid

principal balance for specially-serviced CMBS when compared to 12 months prior increased, by a high$36.7 billion since September 2009. Such exposure is up nearly 67% in the trailing-12 months.

Conversely, for historical reference, special servicing exposure was below $4 billion for 11 straightmonths through October 2007.

Exposure by property type is now heavily weighted towards office collateral at 24%, followed bymultifamily at 23% and retail at 20%.

Unpaid principal balance noted as current but specially-serviced decreased to a low of $1.44 billion inJuly 2007, but has since increased to $32.09 billion (down slightly from $32.68 billion a month prior).


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Within the 4.2% of CMBS current but specially-serviced, we found 244 loans at $28.83 billion with anunpaid principal balance at or over $20 million, compared with 249 loans at $29.31 billion with anunpaid principal balance at or over $20 million a month prior.

Unpaid principal balance was at or above $50 million for 131 current but specially-serviced loans inSeptember 2010, and was at or over $100 million for 66 loans. The largest of such loans included thecurrent but specially-serviced EOP Portfolio loan at $4.93 billion in the GSM207EO transaction, the$1.058 billion Farallon MHC Portfolio loan in BALL07B1, the $1 billion CNL Hotels and Resorts loan inCOM06CN2, and the $775 million Beacon Seattle & DC Portfolio Roll-Up loan in MSC07I14.

Table 10 Trailing Twelve Month Special Servicing Exposure (source: Realpoint)

Month UPB* % of CMBS UPB % of CMBS UPB % of CMBS SS

Sep-10 $91.17 11.79% $32.09 4.15% $59.08 64.8%

Aug-10 $90.83 11.74% $32.68 4.23% $58.15 64.0%

Jul-10 $88.51 11.33% $30.86 3.95% $57.65 65.1%

Jun-10 $88.60 11.29% $30.90 3.94% $57.71 65.1%

May-10 $83.38 10.57% $29.73 3.77% $53.65 64.3%

Apr-10 $81.38 10.29% $30.04 3.80% $51.34 63.1%Mar-10 $79.83 10.00% $32.13 4.03% $47.70 59.8%

Feb-10 $76.13 9.55% $31.65 3.97% $44.48 58.4%

Jan-10 $71.83 9.01% $30.25 3.79% $41.58 57.9%

Dec-09 $66.86 8.64% $31.22 3.92% $37.64 54.7%

Nov-09 $65.84 8.17% $31.54 3.91% $34.30 52.1%

Oct-09 $58.36 7.20% $29.12 3.59% $29.24 50.1%

Sep-09 $54.46 6.76% $26.38 3.28% $28.08 51.6%

* Figures in b illions

Delinquent andAll Specially Serviced Loans curren t but wit h

the Special Servicer Specially Serviced

Chart 8 Special Servicing Exposure by Property Type (source: Realpoint)

Property Type Stratification - Specially Serviced Assets

Healthcare Total

0.2%Hotel Total

15.2% Industrial Total

2.6%

Multi-family Total

22.8%

Office Total

23.9%

Other Total

15.3%

Retail Total

20.0%

Geography The top three states ranked by delinquency exposure had remained consistent since January 2009, as

California, Florida, and Texas collectively accounted for 32% of delinquency through June 2010. Forthe past three months of 2010, however, New York jumped to second in such ranking by state pushingTexas to fourth. Thus, California, New York, and Texas collectively accounted for 31% of delinquencythrough September 2010.

The 10 largest states by delinquent unpaid balance reflect 60% of CMBS delinquency, while the 10largest states by overall CMBS exposure reflect 51.5% of the CMBS universe.

The state of California remains a major concern at almost 13% of CMBS delinquency. By MSA,however, such delinquency is concentrated in the Los Angeles and Orange County, MSAs.

While by state delinquency exposure Florida ranks third, no Florida MSA is found in the Top 10 MSAsranked by delinquency exposure (highest being Orlando, which ranked 15

thin our data).

Texas delinquency is highly concentrated within the Dallas-Fort Worth and Houston MSAs (whichranked 11

thin our data).


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October 2010

Page 14 of 17

Notably, over 10% of total CMBS exposure in the states of Florida, Nevada, Arizona, Georgia andMichigan are delinquent, while over 10% of total CMBS exposure in the Las Vegas, Phoenix, AtlantaDallas-Fort Worth, Orange County, and Detroit MSAs are delinquent.

Two MSAs topped 4% of CMBS delinquency for September 2010 (consistent with the prior threemonths). The 10 largest MSAs by delinquent unpaid balance reflect 36.2% of CMBS delinquency, while the 10

largest MSAs by overall CMBS exposure reflect 33.6% of the CMBS universe.

Table 11 - Delinquency by State (source: Realpoint)

State Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of State Exposure

CA Total 7,889,585,590.54$ 484 1.020% 12.686% 7.961%

NY Total 6,424,476,899.91$ 184 0.830% 10.330% 6.975%

FL Total 5,256,010,481.26$ 479 0.679% 8.451% 13.606%

TX Total 4,119,083,776.91$ 476 0.532% 6.623% 8.811%

NV Total 3,305,429,117.55$ 190 0.427% 5.315% 25.750%

AZ Total 2,678,287,109.79$ 267 0.346% 4.306% 16.204%

GA Total 2,268,445,733.57$ 251 0.293% 3.647% 11.880%

MI Total 1,914,478,699.72$ 229 0.247% 3.078% 15.976%

IL Total 1,818,776,952.45$ 159 0.235% 2.924% 7.701%PA Total 1,649,165,727.99$ 110 0.213% 2.652% 8.815%

Top 10 States 37,323,740,090$ 2,829 4.825% 60.012%

Table 12 - Delinquency by MSA (source: Realpoint)

MSA Current Balance Loan Count % of CMBS Delinq. % of total MSA

New York, NY Total 5,293,381,374$ 90 8.511% 6.742%

Las Vegas, NV Total 3,112,674,598$ 170 5.005% 27.527%

Phoenix, AZ Total 2,302,310,182$ 228 3.702% 16.847%

Atlanta, GA Total 2,069,013,194$ 213 3.327% 13.377%

Washington, DC Total 1,915,902,031$ 71 3.081% 5.528%

Dallas-Fort Worth, TX Total 1,793,084,589$ 183 2.883% 10.077%

Los Angeles, CA Total 1,644,552,166$ 121 2.644% 4.591%

Chicago, IL Total 1,542,389,962$ 123 2.480% 7.760%

Orange County, CA Total 1,430,066,150$ 46 2.299% 12.775%Detroit, M I Total 1,398,642,261$ 147 2.249% 18.248%

Top 10 Totals 22,502,016,508$ 1,392 36.181%

Issuance In September 2010, over 90% of CMBS delinquency by deal type was found in fusion and conduit

deals. Of note by deal type is the 30.7% delinquency for Kickout loan transactions. The 2006 and 2007 vintage transactions continue to top the list when delinquency is ranked by year of

issuance, accounting for 62.6% of total delinquency. Both vintage years had an individual delinquencyrate for their respective outstanding balance far above the overall rate of 8.04%.

Deals issued from 2005 through 2007 now contribute almost 82% of total delinquency, 6.6% of allCMBS. This is a direct result of current market conditions comingled with aggressive underwriting, andwill lead to further special servicing exposure and ultimate liquidation activity.

While not shown in the Top 10 chart below, deals issued from 2008 contribute less than 1% (0.97%) oftotal delinquency, 0.08% of all CMBS. Despite the low contribution to overall delinquency, the vintageitself had an individual delinquency rate of 10.5% - up from 10.4% a month prior.

Deals issued in 1998 through 2001 contribute only 7.6% of the total delinquency, 0.6% of all CMBS.


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October 2010

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Table 13 - Delinquency by Deal Type (source: Realpoint)

Deal Type Current Balance Loan Count % of CMBS Universe % of CMBS Delinq. % of Deal Type

Fusion Total 54,248,948,011$ 3,872 7.012% 87.226% 8.983%

Single Borrower Total 3,500,000,000$ 14 0.452% 5.628% 17.174%Floating Rate Total 2,295,214,565$ 41 0.297% 3.690% 5.760%

Conduit Total 1,808,828,476$ 363 0.234% 2.908% 4.726%

Unknown Total 167,661,530$ 173 0.022% 0.270% 0.288%

Single Property Total 114,404,232$ 1 0.015% 0.184% 0.561%

Kickout Total 31,121,853$ 6 0.004% 0.050% 30.713%

Seasoned Loan Total 27,317,554$ 7 0.004% 0.044% 1.124%

Grand Total 62,193,496,220$ 4,477 8.039% 100.000%

Table 14 - Delinquency by Year of Issuance (source: Realpoint)

Year Total Year Loan Count % of CMBS Universe % of CMBS Delinq. % of Year Balance

2007 Total 21,348,015,483$ 968 2.760% 34.325% 10.448%

2006 Total 17,572,271,277$ 1,066 2.271% 28.254% 9.206%

2005 Total 11,920,896,563$ 816 1.541% 19.167% 8.578%

2004 Total 3,217,857,180$ 360 0.416% 5.174% 4.785%

2003 Total 1,715,520,432$ 186 0.222% 2.758% 3.797%

2000 Total 1,645,930,557$ 332 0.213% 2.646% 21.869%

2001 Total 1,445,217,999$ 203 0.187% 2.324% 3.928%

1999 Total 889,489,029$ 191 0.115% 1.430% 24.378%

2002 Total 861,008,689$ 120 0.111% 1.384% 2.717%

1998 Total 726,915,746$ 134 0.094% 1.169% 7.950%

Top 10 Totals 61,343,122,954$ 4,376 7.929% 98.633%

Chart 9 - Delinquency by Year of Issuance: As % of Outstanding Vintage Balance (source: Realpoint)

CMBS Delinquency Exposure by Vintage: As % of Outstanding Vintage

Balance

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

Vintage Year

Delinquency%


16/17

October 2010

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Franchise Transactions

The delinquency rate for Franchise transactions remains erratic on a monthly basis due to inconsistentreporting and high volatility (as reflected in the chart below).

Over the trailing-12 months, delinquency grew to 19.6% in October 2009, the highest it has been,compared to a low of only 4.9% in September 2010. 549 franchise loans at $291.9 million have been liquidated since January 2006 at an average severity

of 80%. This includes 76 loans at $31.5 million in 2007, 69 loans at $52.3 million in 2008, 294 loans at$109.6 million in 2009, and 22 loans at $15.4 million in 2010.

Chart 10 Franchise Deal Delinquency (source: Realpoint)

15.844%

19.642%

14.702%

15.906%

13.340%

12.210%

10.717%

8.600%

15.515%

9.578%9.775%

12.730%

4.935%

0.000%

2.000%

4.000%

6.000%

8.000%

10.000%

12.000%

14.000%

16.000%

18.000%

20.000%

Percentage

Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

Month


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October 2010

Note:

Realpoint has been tracking monthly commercial mortgage-backed securitization delinquency trends

across various categories since January 2001. This report includes monthly breakdowns of delinquencyfor the entire Realpoint CMBS portfolio by delinquency category (30-day, 60-day, 90+-day, foreclosure,and real estate owned) along with exposure across each of the seven primary property types (healthcare,hotels, industrial, multifamily, office, retail, and other).

Realpoint LLC

Frank A. Innaurato

Managing Director

267-960-6002

Robert Dobilas

President / CEO

267-960-6001

_________________________________________________________________________________

Copyright 2010 Realpoint LLC

The material contained herein (the Material) is being distributed in the United States by Realpoint LLC (Realpoint). Realpoint makes no representation asto its accuracy, timeliness or completeness and does not undertake to update any information or opinions contained in the Material. The Material is publishedsolely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or derivative. The Material is not to be

construed as providing investment services in any state, country or jurisdiction. From time to time, Realpoint, its affiliates and subsidiaries and/or their officersand employees may perform other services for companies mentioned in the Material. Opinions expressed herein may differ from the opinions expressed byother divisions of Realpoint, its affiliates and subsidiaries.

The Material has no regard to the specific investment objectives, financial situation and particular needs of any specific recipient of the Material andinvestments discussed may not be suitable for all investors. Investors should seek financial advice regarding the suitability of investing in any securities orfollowing any investment strategies discussed in the Material. Past performance is not indicative of future returns. Certain assumptions may have been made inpreparing the Material that has resulted in certain returns detailed herein and any changes thereto may have a material impact on any returns detailed. Norepresentation is made that any returns detailed herein will be achieved. If an investment is denominated in a currency other than the investor's currency,changes in the rates of exchange may have an adverse effect on value, price or income.

Realpoint LLC, 410 Horsham Road, Suite A., Horsham, PA 19044 (800) 299-1665

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