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MORTGAGE-BACKED SECURITIES

Commercial Mortgage Market Monitor

April 2020 Remittances

Table of Contents Foreword ............................................................................................ 2

Overview ............................................................................................ 3

Section A: Delinquencies .................................................................. 3

I. Delinquencies as a % of Unpaid Principal Balance ............. 5

II. Watch List Exposure .............................................................. 8

III. Special Servicing Exposure ............................................. 10

IV. Delinquency Broken Out by Vintage ............................... 15

V. Delinquency Broken Out by Status ..................................... 17

VI. Delinquency Broken Out by Property Type..................... 19

VII. Maturing Loans Summary .............................................. 21

VIII. Defeased Loan Trends .................................................... 24

Section B: Losses ............................................................................ 26

I. CDRs .................................................................................... 27

II. Loan Level Losses ................................................................ 29

III. Aggregate Severity Greater than 2% ............................... 31

IV. Average Severity by Property Type .................................. 33

V. Average Number of Months to Liquidation ....................... 37

Section C: Prepayments .................................................................. 39

I. Top 10 Largest Refinancings ............................................... 40

II. Top 10 Largest Refinancings with Yield Maintenance ... 42

III. Top 10 Largest Refinancings with Prepayment Penalties .. 44

Section D: Appraisal Reductions .................................................... 46

I. Percentage of Balance with Appraisal Reduction ............... 47

Section E: Modifications ................................................................. 49

I. Modifications by Type ......................................................... 50

Section F: Commercial Property Prices .......................................... 53

I. Moody’s Commercial Property Price Index (CPPI) ............ 54

Section G: CMBS Securitization Volumes………………………………..56

2

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 Intex 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 CMBS 2.0 delinquency rate increased to 0.92% in April. In total, 66 loans with a balance of $1BN became newly delinquent in April. 324 loans with a total balance of $4.8BN are currently delinquent. The special servicing (SS) rate increased to 3.38% for the CMBS 2.0 universe. In total, 521 loans with a balance of $8.9BN are specially serviced. Of all specially serviced loans, 54.2% are collateralized by hospitality assets and 29.4% are collateralized by retail. In addition to currently delinquent and specially serviced loan percentages which came through at elevated rates, the increase in the number of loans on watch list was probably most alarming. 922 loans totaling $14.1BN were added to the watch list in April. This increase month over month puts the watch list exposure at 15.12% and rising. As expected, the private label CMBS market was largely frozen throughout the month of April. Surprisingly, Cantor was able to issue the only conduit transaction of the month, $271MM CF 2020-P1. The deal was a bit unique as it featured a call option retained by Cantor and exercisable on the AAA conduit last cash flow down to the subordinate classes (A2 through the C classes). The non-callable five year AAA class (A1) priced at a spread of swaps + 240. Agency CMBS issuance totaled $9.1BN in April. Freddie was able to issue five deals ($4.5BN) while Fannie issuance totaled $4.6BN.

4

Section A:

5

I. Delinquencies as a % of Unpaid Principal Balance

6

0.92%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

CMBS 2.0 Delinquency Percentage

Newly Delinquent 30++ % (rhs)

Delinquent 30+%

Exhibited by TCW from Intex Data

7

Top 10 Largest CMBS 2.0 Loans Entering Delinquency

Deal Property Name Type Balance % Deal Tapedate DQ City CD17CD3 229 West 43rd Street Retail Retail 100,000,000 7.6% 04/10/20 30 Days New York-Newark-Jersey City, NY-NJ-JPB15C27 The Branson at Fifth Other 72,800,253 11.1% 04/15/20 30 Days New York-Newark-Jersey City, NY-NJ-CD17CD6 Lightstone Portfolio Hotel 40,000,000 3.8% 04/13/20 30 Days Baton Rouge, LA-30.81% Fayetteville-WFC16NX6 Cassa Times Square Mixed-Use Other 34,200,000 4.6% 04/15/20 30 Days New York-Newark-Jersey City, NY-NJ-COM13CC6 70 West 45th Street Multi-Family 31,876,000 3.5% 04/10/20 30 Days New York-Newark-Jersey City, NY-NJ-COM14UB2 Clemson Student Housing Multi-Family 30,574,867 2.9% 04/10/20 30 Days Seneca, SC CSI15C01 777 East 10th Street Other 29,127,376 2.6% 04/15/20 30 Days Los Angeles-Long Beach-Anaheim, CA JPB14C21 Charlottesville Fashion Square Retail 26,892,281 2.4% 04/15/20 30 Days Charlottesville, VA MSB14C18 Louisiana Retail Portfolio Retail 26,169,023 3.7% 04/15/20 30 Days Baton Rouge, LA-38.32% Morgan City, JPD17C7 Lightstone Portfolio Hotel 25,000,000 2.3% 04/15/20 30 Days Baton Rouge, LA-30.81% Fayetteville- Total 416,639,799


8

II. Watch List Exposure

9

15.13%

0%

2%

4%

6%

8%

10%

12%

14%

16%

CMBS 2.0 Watch List Exposure Percentage


10

III. Special Servicing Exposure

11

3.38%

0%

1%

2%

3%

4%

5%

CMBS 2.0 Special Servicing Exposure Percentage


12

Hotel 54.2%

Industrial 0.4%Multi-Family 5.2%

Office 8.3%

Other 2.5%

Retail 29.4%

Property Type Stratification - Specially Serviced Assets


13

Top 10 Largest CMBS 2.0 Loans Entering Special Servicing

Deal Property Name Type Balance % Deal Tapedate DQStatus City CS17HD Hudson and Delano Hotel 218,600,000 100.0% 03/15/20 Current New York-Newark-Jersey City, MSC15XL2 Starwood National Mall Portfolio Retail 135,722,451 100.0% 03/15/20 Current Dallas-Fort Worth-Arlington, CD17CD3 229 West 43rd Street Retail Condo Retail 100,000,000 7.6% 03/10/20 Past Due New York-Newark-Jersey City, CTG12GC8 Pinnacle at Westchase Office 69,661,504 9.8% 04/10/20 30 Days Houston-The Woodlands-Sugar JPC12CBX Jefferson Mall Retail 61,571,708 7.7% 03/15/20 <30 Days Louisville/Jefferson County, KY-UBSB12C4 Newgate Mall Retail 58,000,000 4.8% 04/10/20 Current Ogden-Clearfield, UT JPB14C19 Muncie Mall Retail 33,002,095 3.9% 03/15/20 <30 Days Muncie, IN COM14L17 50 Crosby Drive Office 32,243,156 3.5% 04/10/20 <30 Days Boston-Cambridge-Newton, UBS18C13 Pier 1 Imports Headquarters Office 28,000,000 4.0% 03/15/20 Current Dallas-Fort Worth-Arlington, TX UBS18C15 Pier 1 Imports Headquarters Office 27,000,000 4.2% 03/15/20 Current Dallas-Fort Worth-Arlington, TX Total 763,800,914


14

2.578%

0.803%

15.129%

3.381%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Watch List and Special Servicing Summary

SS and Cur

SS and DQ

Watch List

Special SVC Pct


15

IV. Delinquency Broken Out by Vintage

16

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20

Monthly 30+ Delinquent % by Vintage

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019


17

V. Delinquency Broken Out by Status

18

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20

Monthly Delinquency % by Status

DQ30 DQ60 DQ90P FC REO


19

VI. Delinquency Broken Out by Property Type

20

1.46%

0.5%0.4%

1.0%1.1%

0.8%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

2.00%

Property Type Monthly Delinquency: as Percentage of Property Type

Multi-Family Office Industrial Hotel Retail Other


21

VII. Maturing Loans Summary

22

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Maturing Loans Summary

Paid off no extension Paid off with extension Paid off in later quarter Unpaid Paid off with loss


23

Top 10 Largest Loans Maturing without Payoff

Deal Property Name Type Balance % Deal Tapedate Maturity DQStatus City MSB15C22 Hilton Houston Hotel 43,080,336 4% 04/15/20 03/01/20 Current Houston-The Woodlands-Sugar Land, COM15C23 DoubleTree Norwalk Hotel 18,617,418 2% 04/10/20 03/06/20 REO Bridgeport-Stamford-Norwalk, CT BCR17CR2 Coleman Marketplace Retail 17,400,000 13% 04/15/20 03/09/20 30 Days Danville, VA Total 79,097,754


24

VIII. Defeased Loan Trends

25

5.46%

0%

1%

2%

3%

4%

5%

6%

7%

Outstanding Defeased Loan Balance as % of CMBS Universe


26

Section B: Losses

27

I. CDRs

28

0.0

-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

CMBS Universe CDRs


29

II. Loan Level Losses

31

III. Aggregate Severity Greater than 2%

32

Totals Balance Loss Amt Avg Severity Count Mar-20 14,612,172 13,026,503 77.6% 2 Feb-20 92,145,896 58,286,145 60.3% 6 Jan-20 84,047,086 47,711,806 56.4% 14 Dec-19 19,371,850 7,784,745 32.3% 4 Nov-19 32,685,185 22,957,427 76.1% 3 Oct-19 51,938,709 38,665,816 70.6% 6 Sep-19 51,406,358 18,935,764 48.5% 3 Aug-19 125,491,175 111,987,543 86.9% 3

Jul-19 44,793,158 32,369,152 72.3% 1 Jun-19 22,838,347 11,321,230 39.7% 4

May-19 68,992,754 59,471,921 81.9% 3 Apr-19 24,771,100 10,057,385 47.4% 3

Mar-19 9,431,095 1,783,216 18.9% 1 Feb-19 20,667,254 8,781,432 63.5% 5 Jan-19 70,626,197 39,221,245 66.6% 6 Dec-18 3,573,743 601,822 16.8% 1 Nov-18 63,494,311 49,690,585 76.1% 2 Oct-18 34,647,154 35,412,984 103.1% 3 Sep-18 13,343,182 4,059,399 29.2% 2 Aug-18 4,103,474 3,391,372 82.6% 1

Jul-18 23,151,359 10,225,836 45.2% 2 Jun-18 41,290,581 26,614,150 63.5% 5

May-18 25,333,283 12,864,068 45.9% 4


33

-

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

0%

20%

40%

60%

80%

100%

120%

Average Loss Severity and Number of Liquidations

Liquidation Count (rhs) Severity

34

IV. Average Severity by Property Type

35

All Loans

Prop Type Balance Loss Severity Count Total

Loans with severity greater than 2%

Total


36

Loans with severity greater than 2%


37

V. Average Number of Months to Liquidation

38

0

2

4

6

8

10

12

14

16

0

5

10

15

20

25

30

35

40

Average Number of Months to Liquidation

Liquidation Count (rhs) Avg Months to Liquidation


39

Section C: Prepayments

40

I. Top 10 Largest Refinancings

41


42

II. Top 10 Largest Refinancings with Yield Maintenance

43

Deal Property Name Type Balance Pct Date DispositionType City JPC16JP4 Hotel Palomar San Diego Hotel 38,000,000 4% 04/13/20 Payoff With YM San Diego-Carlsbad, CA JPC16JP2 TBC Place Office 13,950,000 2% 04/02/20 Payoff With YM Durham-Chapel Hill, NC MSC11C0 Briargrove Shopping Center Retail 13,721,530 3% 04/03/20 Payoff With YM Houston-The Woodlands-Sugar JPC11C05 Red Top Plaza Retail 11,400,000 3% 04/01/20 Payoff With YM Chicago-Naperville-Elgin, IL-IN-JPC11C05 Caton Crossing Retail 7,700,000 2% 04/01/20 Payoff With YM Chicago-Naperville-Elgin, IL-IN-MSBA13C Addison Office Office 7,630,040 1% 04/01/20 Payoff With YM Dallas-Fort Worth-Arlington, TX WFR13C1 Parkview Apartments Corp. Multi-Family 7,297,733 1% 03/25/20 Payoff With YM New York-Newark-Jersey City, JPC11C04 Shops of Plymouth Town Retail 5,200,000 2% 04/01/20 Payoff With YM Minneapolis-St. Paul-MSB14C1 Old Sarasota Self Storage Other 5,148,144 1% 03/13/20 Payoff With YM North Port-Sarasota-Bradenton, WFC14L1 WWG StorQuest - Louisville Other 3,708,974 0% 03/13/20 Payoff With YM Boulder, CO Total 113,756,420


44

III. Top 10 Largest Refinancings with Prepayment Penalties

45

Deal Property Name Type Balance Pct Date DispositionType City COM13LC6 Moffett Towers Office 162,926,842 19.4% 02/06/20 Payoff With Penalty San Jose-Sunnyvale-Santa Clara, CFCR11C2 Gillespie Field Industrial 7,123,164 2.2% 01/17/20 Payoff With Penalty San Diego-Carlsbad, CA Total 162,926,842


46

Section D: Appraisal Reductions

47

I. Percentage of Balance with Appraisal Reduction

48

0.628%

37.3%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

50.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Appraisal Reduction on CMBS Universe

Pct w/Appraisal Reduction

Appraisal Reduction Amt


49

Section E: Modifications

50

I. Modifications by Type

51

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

Percent CMBS Universe with Modification

Maturity Ext Amort Change Prin Forgiveness Temp Rate Reduction

Interest Capitalization Taxes Capitalization Other Combination


52

Top 10 Largest Legacy Loans Modified


53

Section F: Commercial Property Prices

54

0

20

40

60

80

100

120

140

160

180

Moody's Commercial Property Price Index (CPPI)

Index, December 2000 = 100 Non-Major Markets All Properties Major Market All Properties

55

Section G: CMBS Securitization Volumes

56

-

10,000

20,000

30,000

40,000

50,000

60,000

Conduit SASB/FLTR Total

Quarterly CMBS Origination Volume in Millions

Q12000

Q12001

Q12002

Q12003

Q12004

Q12005

Q12006

Q12007

Q12008

Q12009

Q12010

Q12011

Q12012

Q12013

Q12014

Q12015

Q12016

Q12017

Q12018

Q12019

Q12020

Exhibited by TCW from Bloomberg

57

-

50,000

100,000

150,000

200,000

250,000

Conduit SASB/FLTR Total

Annual CMBS Origination Volume in Millions

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

Exhibited by TCW from Bloomberg

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