October 2010

Monthly Delinquency Report - Commentary

Executive Summary
In September 2010, the delinquent unpaid balance for CMBS continued to exhibit moderate monthly
growth having increased by an additional $801.2 million, up to $62.19 billion from $61.39 billion a month
prior (a 1.3% increase). This followed only $551.8 million in growth from July to August 2010 and $387.9
million 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 January
through June of 2010. On the other hand, outside of a slight decrease in both the 30-day and 90+-day
categories, the remaining delinquency categories each increased, fueled by further delinquency
degradation and credit deterioration. Despite ongoing loan liquidations, modifications and resolutions, the
distressed 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. Having
grown 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, the
delinquent unpaid balance is up 96% from one-year ago (when $31.73 billion of delinquent unpaid
balance for September 2009), and is now over 28 times the low point of $2.21 billion in March 2007.
Table 1 - Trailing Three Months Delinquency
Sep-10 Aug-10 The total unpaid balance for CMBS pools available for review
Jul-10
Category UPB ($BB) UPB ($BB) UPB ($BB)
30-Day $ 7.37 $ 7.80 $for the September 2010 remittance was $773.61 billion, down
7.05
60-Day $ 5.07 $ 5.00 $from $773.98 billion in August 2010. Both the delinquent
4.70
90+-Day $ unpaid balance and delinquency percentage over the trailing
27.96 $ 28.27 $ 29.64
Foreclosure $ 14.48 $ 13.51 $ 13.01
REO $ 7.32 $ 6.81 $twelve months continue to trend upward as shown in Charts 1
6.43
Current and 2, but at a moderated pace. The resultant delinquency
$ 711.42 $ 712.59 $ 720.13
Total CMBS ratio for September 2010 of 8.04% (up only 1.4% from the
$ 773.61 $ 773.98 $ 780.97
Total CMBS Del. $ 62.19 $ 61.39 $ 60.84
7.93% reported a month prior) is over two times the 3.94%
Delinq. % 8.039% 7.932% 7.790% reported one-year prior in September 2009 and over 28 times
the 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 the
rapid growth in liquidations on a monthly basis and a potential slow-down in the reporting of new
delinquency 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 were
reported for September 2010 across 58 loans, at an average loss severity of 47.5%. Eighteen of these
loans, however, at $176.2 million experienced a loss severity near or below 1%, most likely related to
workout fees, while the 40 loans at $345.5 million experienced an average loss severity near 68%. This
activity followed $583.5 million in loan workouts and liquidations for August 2010 across 95 loans, at an
average loss severity of 51.8%, and a substantial $1.035 billion in loan workouts and liquidations for July
2010 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 and
liquidations have been reported across 897 loans, at an average loss severity of 51% - including $4.15
billion in the past six-months alone.

Most noteworthy on a go forward basis, the $4.1 billion Extended Stay Hotel loan from the WBC07ESH
transaction remained 90+-day’s delinquent in September 2010 but will reach resolution with the October
remittance. On May 28, 2010, Paulson & Co., Centerbridge Partners LP and Blackstone Group LP won a
bankruptcy 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 September
2010, with certificate-holder distributions made in October 2010. Approximately 92% of the senior
trust debt is expected to be paid in full, while the delinquent unpaid balance for CMBS would be
reduced by $4.1 billion. Actual payoff and realized loss figures continue to be reported with
October 2010 distributions.

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 October 2010
Charts 1 and 2 – Monthly CMBS Delinquency: Balance vs. Percentage (source: Realpoint)

$70.00

$61.39 $62.19
$60.45 $60.84
$57.34
$60.00
$54.65

$51.05
$47.82
$50.00 $45.94

$41.64

$37.93
$40.00
$ (in billions)

$31.73 $32.55

$30.00

$20.00

$10.00

$0.00
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

9.000%

7.932% 8.039%
7.702% 7.790%
8.000%
7.270%
6.910%
7.000% 6.395%

5.999%
5.762%
6.000%
5.223%

5.000% 4.706%
Percentage

3.940% 4.013%
4.000%

3.000%

2.000%

1.000%

0.000%
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

Page 2 of 17
 October 2010
Despite this reduction in delinquent unpaid balance for October, we continue to monitor in detail many
large Realpoint Watchlisted loans that have never met pro-forma underwritten expectations as part of our
monthly 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 may
ultimately default based upon a denial of requests for loan modifications or debt restructuring by the
special servicers, or a decision by borrowers to surrender the collateral.

Realpoint has therefore adjusted its projection for the delinquent unpaid CMBS balance through year-end
2010 based on an updated trend analysis. Following the payoff of the $4.1 billion Extended Stay
Hotel loan from the WBC07ESH transaction, if delinquency growth were to continue at a slightly
moderated pace, the delinquent unpaid balance for CMBS will most likely remain between $60
billion 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 stressed
scenarios involving additional large loan defaults. This forecast / outlook is driven by several
Realpoint identified High Risk Loans from recent vintage transactions that continue to show signs of
stress and default risk, along with continued / expected balloon maturity defaults where refinance
proceeds are not available.

Forecasted Delinquency by Balance and Percentage – Scenario Analysis

When focusing on deals seasoned for at least one year, our investigation reveals the following:
x 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).
x When agency CMBS deals are removed from 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 only
6.75% six months prior).
x 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 loans
that could impact future delinquency levels and monthly movement in delinquency, highlighted as follows:
x 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 concerns
regarding the borrower's ability to refinance the loan, but remains current in payments. The pool
collateral and balance has been reduced from $6.867 billion at issuance due to the release of 42
properties. The loan, which remains current, had an initial maturity date of February 2009, but
was 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 in
the credit markets, otherwise healthy loans cannot meet stricter lender criteria for refinancing, as
decreasing net cash flow for the remaining collateral has led to an increase in LTV.
x All five CMBS transactions containing the $3 billion Peter Cooper Village / Stuyvesant Town pari
passu loan remained 90+-days delinquent as of September 2010. In early August 2010, it was
reported 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 million
and 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 in
September, 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 legal
and corporate paperwork for a takeover.
x 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 specially
serviced but current in payments. The Borrowers written correspondence in April 2010 indicated
an unwillingness to commit additional capital to fund leasing costs, capital improvements and
debt service shortfalls, due in part to lease rollover projections, and that they are seeking a loan
modification. Following this activity, default risk has been elevated.
x The Farallon MHC Portfolio loan was transferred to the special servicer on July 1, 2010 for
imminent 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 total
debt balance of $1.575 billion with an underwritten LTV of 80% and consists of 45 notes that are
Page 3 of 17
 October 2010
secured by multiple A/B and pari-passu notes. We note the transfer to the special servicer was
likely due to the floating rate portion of the transaction, which is coming up on its second renewal
in 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 loan
is secured by a portfolio of 274 mobile-home properties, with 57,165 pads, spread throughout 23
states. The weighted average year built is 1974.
x Back on October 21, 2009, the $1.0 billion CNL Hotels and Resorts loan (COM06CN2) was
transferred 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 resort
properties 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 Realpoint’s watchlist
due to diminished net cash flow but remains current and the borrower continues to pay all special
servicing fees. However, As of August 2010, the special servicer had denied two borrower
modification proposals for forbearance/modification and has presented a proposal of its own. The
special 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, the
borrower requested a one-year loan extension.

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

Scenario 1 (Six-Month Historical Assumptions):

x Over the past six months, delinquency growth by unpaid balance has averaged only $1.86 billion
per month. Assuming the payoff of the $4.1 billion Extended Stay Hotel loan from the
WBC07ESH transaction along with ongoing monthly pay-down and liquidation activity, if such
delinquency average were increased by an additional 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 unpaid balance would reach $65.1 billion and reflect a
delinquency percentage near 8.6% by December 2010.
x In addition to this growth 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,
the delinquent unpaid balance would reach $68.7 billion and reflect a delinquency
percentage of 9.1% by December 2010.
x 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 delinquency
percentage of 9.7% by December 2010

Scenario 2 (Three-Month Historical Assumptions):

x 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 from
the WBC07ESH transaction along with lower monthly pay-down and liquidation activity (as
experienced in the same time frame), if such delinquency average were increased by an
additional 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 unpaid
balance would go down to only $60.3 billion and reflect a lower delinquency percentage
near 8% by December 2010.
x 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, the
delinquent unpaid balance would reach $63.9 billion and reflect a delinquency percentage
of 8.4% by December 2010.
x 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 $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 overall
delinquency rate due to current credit market conditions for the remainder of 2010 include:

Page 4 of 17
 October 2010
x Balloon default risk remains an issue from highly seasoned CMBS transactions as loans are
unable to payoff as scheduled. In many cases, collateral properties that have otherwise
generated 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 no
amortization has taken place due to interest-only payment requirements, while collateral values
have 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 final
maturity extensions (if they have not done so already), or fail to meet debt service or cash flow
covenants necessary to exercise in-place extension options.
x Declined commercial real estate values and diminished equity in collateral properties continues to
prompt more struggling borrowers with marginal collateral performance to claim imminent default
and ask for debt relief. The aggressive pro-forma underwriting on loans originated from 2005
through 2008 vintage transactions, comingled with extinguished debt service / interest reserves
required at-issuance, has led to an increasing number of loans with an inability to meet debt
service requirements from in-place cash flow. This is especially evident with the partial-term
interest-only loans that will begin to amortize or those that have recently converted.
x 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 to
maintain an acceptable level of occupancy across the country and in some cases have
experienced severely distressed net cash flow performance as a result. Our expectations are
that more of these loans may be asking for debt relief in the near future and may ultimately
default if a resolution is not reached.
x 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 some
markets may ultimately lead to improved cash flow performance, if supply remains limited. In
many office markets, rents could potentially reset with hopes of growth as we enter 2011.
x On the other hand, special servicers will play a key role in the level of delinquency reached in the
next 12-24 months as large loan modifications, lender financing (through discounted assumptions
and modifications prior to foreclosure), maturity extensions and approved forbearance have the
potential to slow down or mitigate delinquency growth and delay losses. In addition, while
vacancies 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 smaller
balance loans, however, may continue based upon volume and time constraints, etc.
x 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 new
issuance’s speed to market. As liquidations of severely distressed defaulted loans picked up
speed in the latter half of 2009 and continues in 2010, and modifications or forbearance at the
loan level continue to be discussed between borrowers and special servicers, there may be a
delinquency “leveling-off” period late 2010 or early 2011.

Special Servicing Exposure and Other Trends

Table 2: Monthly Special Servicing Transfers Through September 2010, the unpaid balance for
Sept 2010 specially serviced CMBS under review increased on a net
Year Issued # of Loans Current Balance basis by $345 million to a trailing 12-month high of $91.17
2007 48 $ 984,119,380 billion from $90.83 billion a month prior. Newly transferred
2006 58 $ 762,980,164 specially-serviced loans totaled 237 at $2.97 billion in
2005 57 $ 792,289,696 September 2010, as shown in Table 2. Worth noting is
2004 14 $ 164,372,233
that 163 of the loans transferred in September at $2.54
2003 13 $ 101,449,734
billion (85% of newly transferred balance) were issued
2002 7 $ 38,376,924
from 2005 through 2007.
2001 9 $ 40,541,700
2000 21 $ 64,669,667
1999 4 $ 11,922,954
Despite another large amount of monthly liquidations
1998 5 $ 9,666,650 activity reported in September 2010, the corresponding
1997 1 $ 4,226,436 percentage of loans by unpaid balance in special servicing
Totals 237 $ 2,974,615,539 increased to 11.8% of all CMBS by unpaid balance in
September 2010, up from 11.74% a month prior. This is
the result of continued new loan transfer activity on a monthly basis.

Page 5 of 17
 October 2010
The overall trend of special servicing exposure since January 2005, by both unpaid balance and
percentage, 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

$100.00

Sep-10, $91.17
$90.00

$80.00

$70.00
Dec-09, $66.86

$60.00

$50.00

$40.00

$30.00

$20.00
Jan-09, $14.38
Jan-05, $8.55
$10.00 Jan-06, $5.57

$0.00 Jan-07, $3.74 Jan-08, $4.53

05

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

2010

14.00%

12.00%
Sep-10, 11.79%

10.00%

Dec-09, 8.64%
8.00%

6.00%

4.00%

Jan-05, 1.95%
2.00% Jan-09, 1.71%
Jan-06, 1.00%
Jan-07, 0.52% Jan-08, 0.52%

0.00%
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Page 6 of 17
 October 2010
Over 62% of the delinquent unpaid balance through September 2010 came from transactions issued in
2006 and 2007, with over 34% of all delinquency found in 2007-issued transactions. When we extend
our 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 the
past 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 to
aggressive lending practices prevalent in such years. We also expect to see some loans from the 2008
vintage to show signs of distress and default in cases where pro-forma underwriting assumptions fail to
be realized.

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

$25,000,000,000

$20,000,000,000

$15,000,000,000

$10,000,000,000

$5,000,000,000

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

2005 2006 2007

Monthly CMBS Loan Workouts and Liquidations

As highlighted previously, both liquidation activity and average loss severity for these liquidations has
been 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 an
average loss severity of 54.1%. This marked the highest monthly liquidation amount tracked by Realpoint
since 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 million
in loan workouts and liquidations were reported for September 2010 across 58 loans, at an average loss
severity of 47.5%. Eighteen of these loans, however, at $176.2 million experienced a loss severity near
or below 1%, most likely related to workout fees, while the 40 loans at $345.5 million experienced an
average loss severity near 68%. Such activity followed $583.5 million in loan workouts and liquidations in
August 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 million
experienced an average loss severity near 62%. Year-to-date in 2010, $5.53 billion in loan workouts and
liquidations 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 today’s credit market, true
loss 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
Page 7 of 17
 October 2010
severity to be the norm for 2010 for those loans that experience a term default where cash flow from
operations 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 newly
delinquent loans remains a high concern, especially regarding further growth in the Foreclosure and REO
categories (evidence of additional loan workouts and liquidations on the horizon for 2010). Historical
highlights regarding liquidation activity and loss severity are as follows:

x Since January 2005, over $14.53 billion in CMBS liquidations have been realized, while only 48
of the last 63 months have reported average loss severities below 40%, including 21 below 30%.
x Annual liquidations for 2009 totaled $2.18 billion, at an overall average severity of 42.1%. The
overall average was clearly brought downward by the number of loans that experienced a minor
loss via workout fees and / or sales or refinance proceeds being near total exposure, while the
true loss severities by our definition averaged 62%.
x Comparatively, annual liquidations for 2008 totaled $1.297 billion, at an overall average severity
of only 24.9% while liquidations in 2007 totaled $1.094 billion at an average severity of 32.8%.
x 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 snapshot
reported in table 3, as well as the property type severity figures presented in tables 5, 6 and 7 on the
following 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 State
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 Ev esboro 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 CA
CTG06C05 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 Exc hange Plac e 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 Various
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

Page 8 of 17
 October 2010
Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date City State
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 Eas t Post Road Retail $ 778,010 $ 6,603 0.8% 9/10/2010 WHITE PLAINS NY
GECC05C2 57.000 Pointe Invernes s 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 Retail $ 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 Severity

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

Page 9 of 17
 October 2010
Table 6 – Average Loss Severities by Property Type for 2010: Loans with Material Loss Severity Above 2% (source: Realpoint)

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

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)

Prop Type Balance Before Loss Loss Am ount Loss % # of Loans

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 Averag e $ 1,487,262,905 $ 14,724,214 1.0% 159

For comparison by property type:

x 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%).
x 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%).
x The highest loss severities in 2008 were found in mixed-use / other (36%) and multifamily
collateral (31%); multifamily collateral was again the highest by balance before liquidation
($576.97 million).
x The highest loss severities in 2009 were found in multifamily (51%) and mixed-use / other
collateral (49%); multifamily collateral was again the highest by balance before liquidation
($792.47 million).

Future Workouts – Delinquency Categories

The total balance of loans in Foreclosure and REO increased for the 34th straight month to $21.8 billion in
September from $20.33 billion in August 2010 and $19.45 billion in July 2010, despite ongoing liquidation
activity highlighted herein. The chart below shows the rapid growth of loans reflecting 90-day
delinquency 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 feel
this lends further support to our use of such as an early indicator of workouts to come for 2010 and 2011.

Page 10 of 17
 October 2010
Chart 6 – Monthly Delinquency Categories (source: Realpoint)

$30,000,000,000

$25,000,000,000

$20,000,000,000
$ Delinq.

$15,000,000,000

$10,000,000,000

$5,000,000,000

$-
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
x Multifamily secured loans have remained the greatest contributor to overall CMBS delinquency for the
past 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 month
prior), 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 (up
from $8.39 billion in September 2009).
x The retail default rate increased slightly to 6.8% in September 2010 from 6.4% in August 2010 and
6.6% in July 2010, remaining over 6% since April 2010. The current default rate compares to 4.2%
one-year ago (September 2009).
x Despite a leveling off over the past five months, we still consider retail delinquency a legitimate concern
for the remainder of 2010 and into 2011. A prolonged economic recovery could have further impact on
consumer spending and cause retailers to continue to struggle. We also cannot rule out additional
store consolidation, closings and potential bankruptcies along with growing balloon maturity default risk
as retail collateral continues to suffer from the experienced decline.
x As shown in Chart 7, multifamily, retail, office and hotel collateral loan delinquency as a percentage of
the 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
x 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 healthcare
collateral in CMBS.
x The total delinquency rate for CMBS hotel loans increased to 13.7% in September 2010 from 13.3% in
August 2010, up substantially from only 5.8% one-year ago. Future hotel collateral performance is
dependant on recent optimism surrounding pent-up business and leisure travel and the potential for
improving fundamentals in 2010. Note: The collateral securing the delinquent Extended Stay Hotel
loan (WBC07ESH) highlighted previously is identified in our database under the “Other” property-type
category, as reported by the trustee.

Page 11 of 17
 October 2010
Table 8 – Monthly Delinquency by Property Type (source: Realpoint)

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

2.500%
CMBS Universe

2.000%
Percentage

1.500%

1.000%

0.500%

0.000%
Se O N D J F M A M J J A S
p- 0 ct -0 ov- 0 ec- 0 an-1 eb-1 ar -1 pr-1 ay- un-1 ul- 10 ug- ep- 1
9 9 9 9 0 0 0 0 10 0 10 0
Month
Healthcare Hotel Industrial Multi-family Office Retail Other

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

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

Property Type 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
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%

Special Servicing
x 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.
x 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 34th straight 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.
x Conversely, for historical reference, special servicing exposure was below $4 billion for 11 straight
months through October 2007.
x Exposure by property type is now heavily weighted towards office collateral at 24%, followed by
multifamily at 23% and retail at 20%.
x Unpaid principal balance noted as current but specially-serviced decreased to a low of $1.44 billion in
July 2007, but has since increased to $32.09 billion (down slightly from $32.68 billion a month prior).

Page 12 of 17
 October 2010
x Within the 4.2% of CMBS current but specially-serviced, we found 244 loans at $28.83 billion with an
unpaid principal balance at or over $20 million, compared with 249 loans at $29.31 billion with an
unpaid principal balance at or over $20 million a month prior.
x Unpaid principal balance was at or above $50 million for 131 current but specially-serviced loans in
September 2010, and was at or over $100 million for 66 loans. The largest of such loans included the
current 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 in
COM06CN2, and the $775 million Beacon Seattle & DC Portfolio Roll-Up loan in MSC07I14.

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

All Specially Serviced Loans current but with Delinquent and

the Special Servicer Specially Serviced
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 billions

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

Property Type Stratification - Specially Serviced Assets

Healthcare Total Hotel Total

Retail Total
0.2% 15.2% Industrial Total
20.0%
2.6%

Other Total Multi-family Total

15.3% 22.8%
Office Total
23.9%

Geography
x 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. For
the past three months of 2010, however, New York jumped to second in such ranking by state pushing
Texas to fourth. Thus, California, New York, and Texas collectively accounted for 31% of delinquency
through September 2010.
x The 10 largest states by delinquent unpaid balance reflect 60% of CMBS delinquency, while the 10
largest states by overall CMBS exposure reflect 51.5% of the CMBS universe.
x 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.
x While by state delinquency exposure Florida ranks third, no Florida MSA is found in the Top 10 MSA’s
ranked by delinquency exposure (highest being Orlando, which ranked 15th in our data).
x Texas delinquency is highly concentrated within the Dallas-Fort Worth and Houston MSAs (which
ranked 11th in our data).
Page 13 of 17
 October 2010
x Notably, over 10% of total CMBS exposure in the states of Florida, Nevada, Arizona, Georgia and
Michigan are delinquent, while over 10% of total CMBS exposure in the Las Vegas, Phoenix, Atlanta
Dallas-Fort Worth, Orange County, and Detroit MSAs are delinquent.
x Two MSAs topped 4% of CMBS delinquency for September 2010 (consistent with the prior three
months).
x 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, MI Total $ 1,398,642,261 147 2.249% 18.248%
Top 10 Totals $ 22,502,016,508 1,392 36.181%

Issuance
x In September 2010, over 90% of CMBS delinquency by deal type was found in fusion and conduit
deals.
x Of note by deal type is the 30.7% delinquency for “Kickout” loan transactions.
x 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 delinquency
rate for their respective outstanding balance far above the overall rate of 8.04%.
x Deals issued from 2005 through 2007 now contribute almost 82% of total delinquency, 6.6% of all
CMBS. This is a direct result of current market conditions comingled with aggressive underwriting, and
will lead to further special servicing exposure and ultimate liquidation activity.
x While not shown in the Top 10 chart below, deals issued from 2008 contribute less than 1% (0.97%) of
total delinquency, 0.08% of all CMBS. Despite the low contribution to overall delinquency, the vintage
itself had an individual delinquency rate of 10.5% - up from 10.4% a month prior.
x Deals issued in 1998 through 2001 contribute only 7.6% of the total delinquency, 0.6% of all CMBS.

Page 14 of 17
 October 2010
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

30.0%

25.0%
Delinquency %

20.0%

15.0%

10.0%

5.0%

0.0%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
Vintage Year

Page 15 of 17
 October 2010
Franchise Transactions
x The delinquency rate for Franchise transactions remains erratic on a monthly basis due to inconsistent
reporting and high volatility (as reflected in the chart below).
x 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.
x 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)

19.642%

20.000%

18.000%
15.844%
15.906% 15.515%
16.000% 14.702%
13.340%
14.000% 12.210% 12.730%

12.000% 10.717%
9.578%
9.775%

Percentage 10.000%
8.600%

8.000%

6.000% 4.935%

4.000%

2.000%

0.000%
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 delinquency
for 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 as
to its accuracy, timeliness or completeness and does not undertake to update any information or opinions contained in the Material. The Material is published
solely 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 officers
and employees may perform other services for companies mentioned in the Material. Opinions expressed herein may differ from the opinions expressed by
other 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 and
investments discussed may not be suitable for all investors. Investors should seek financial advice regarding the suitability of investing in any securities or
following any investment strategies discussed in the Material. Past performance is not indicative of future returns. Certain assumptions may have been made in
preparing the Material that has resulted in certain returns detailed herein and any changes thereto may have a material impact on any returns detailed. No
representation 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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