commercial mortgage market monitor january 2019€¦ · real estate industry partner real capital...

MORTGAGE-BACKED SECURITIES

Commercial Mortgage Market Monitor

January 2019 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% ............................... 30

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 in January from 0.58% to 0.66%. The special servicing (SS) rate decreased from 1.28% to 1.12%

with twelve loans totaling $160MM newly transferred to SS.

There were 30 loans ($670MM) that became newly delinquent in January. One large, notable delinquency/transfer to SS was the $50.3MM

Heron Lakes loan (3.81% JPMBB 2014-C26). The loan is secured by the fee simple interest in seven class A/B suburban office buildings

located in Houston, Texas.

The collateral for the Heron Lakes loan includes 314,504 square feet of suburban office space across seven buildings that were developed

between 2001 and 2008. The buildings are situated across 14.4 acres with frontage along the Sam Houston Parkway which is approximately 13

miles north of the Houston central business district. At the time of loan origination, the assets were 98% occupied by 37 tenants. As of the

most recent financial report, the assets were 83% occupied, down 15% since loan origination. Subsequently, the borrower and sponsor

(Mohammad Nasr) filed for bankruptcy. Once the bankruptcy filing was reported, the loan immediately became delinquent and transferred to

SS.

The largest loan that took a material loss in January was $15.3MM Eagle Ford (COMM 2014-LC17). The loan was collateralized by three

limited service hotel properties. The Hampton Inn & Suites – Cotulla, Hampton Inn & Suites – Pleasanton, and La Quinta – Pearsall, were all

located in the Eagle Ford formation of South Texas. Asset performance was highly dependent on the oil and gas industry and has declined

significantly since the loan was originated in 2014. The properties were liquated and resulted in a loss to the trust of $13.4MM (87% loss

severity).

In new issue CMBS, three single asset/single borrower deals ($2.3BN) priced. Two of the transactions were floating rate and utilized a vertical

risk retention structure while the other transaction was a five year fixed rate deal and used a horizontal risk retention piece. The floating rate

AAAs priced at a weighted average spread of 1mL+111 bps. The AAA tranche on the five year fixed rate deal priced at a spread of swaps+87

bps.

The largest SASB transaction was a $1.1BN 2yr floater with five 1yr extension options collateralized by the leasehold interest in eight life

sciences properties located in Cambridge, Massachusetts. The loan proceeds were used by Brookfield Asset Management to complete the

acquisition of the life sciences building portfolio in conjunction with their purchase of Forest City Realty Trust.

4

Section A:

5

I. Delinquencies as a % of Unpaid Principal Balance

6

0.006689368

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 PercentageCMBS 2.0 Delinquency PercentageCMBS 2.0 Delinquency PercentageCMBS 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 Status City

COM14C16 West Ridge Mall & Plaza Retail 49,930,599 5.0% 12/10/18 30 Days Topeka, KS-100.00%

COM14UB Canyon Crossing Retail 44,071,672 4.0% 12/10/18 30 Days Riverside-San Bernardino-Ontario, CA

COM13C12 Harbourside North Office 37,711,067 3.6% 12/10/18 30 Days Washington-Arlington-Alexandria, DC-VA-

WFC16C35 San Fernando Value Square Retail 23,439,970 2.3% 12/15/18 30 Days Los Angeles-Long Beach-Anaheim, CA

GS213G14 Indiana Mall Retail 14,248,070 1.3% 12/10/18 30 Days Indiana, PA

CSI17CX9 Tenalok Portfolio Retail 13,241,734 1.5% 12/15/18 30 Days Memphis, TN-MS-AR-71.15% Bartlesville,

WFC15C31 Windsor Square Retail 12,100,000 1.3% 12/15/18 30 Days Knoxville, TN

MSB14C14 Pence Building Office 9,448,432 0.8% 12/15/18 30 Days Minneapolis-St. Paul-Bloomington, MN-WI

CFCR16C4 Wharfside Village Other 8,929,382 1.1% 12/10/18 30 Days NULL

SGCM16C5 Shilo Inn Newport Hotel 8,730,091 1.2% 12/10/18 30 Days Newport, OR

Total 221,851,018


8

II. Watch List Exposure

9

10.12%

0%

2%

4%

6%

8%

10%

12%

CMBS 2.0 Watch List Exposure PercentageCMBS 2.0 Watch List Exposure PercentageCMBS 2.0 Watch List Exposure PercentageCMBS 2.0 Watch List Exposure Percentage


10

III. Special Servicing Exposure

11

1.12%

0%

1%

2%

3%

4%

5%

CMBS 2.0 Special Servicing Exposure PercentageCMBS 2.0 Special Servicing Exposure PercentageCMBS 2.0 Special Servicing Exposure PercentageCMBS 2.0 Special Servicing Exposure Percentage


12

Hotel 19.6%

Industrial 1.8%

Multi-Family 15.7%

Office 24.4%

Other 5.3%

Retail 33.2%

Property Type Stratification Property Type Stratification Property Type Stratification Property Type Stratification ---- Specially Serviced AssetsSpecially Serviced AssetsSpecially Serviced AssetsSpecially Serviced Assets


13

Top 10 Largest CMBS 2.0 Loans Entering Special Servicing

Deal Property Name Type Balance % Deal Tapedate DQStatus City

JPB14C26 Heron Lakes Office 50,277,171 3.8% 01/15/19 30 Days Houston-The Woodlands-Sugar Land, TX

CSI16C07 Preserve at Autumn Ridge II Multi-Family 20,072,943 2.7% 01/15/19 Current Watertown-Fort Drum, NY

GS214G18 Hilton Garden Inn Pittsburgh - Cranberry Hotel 16,056,603 1.7% 01/10/19 Current Pittsburgh, PA

DBUB11L3 Western Lights Shopping Center Retail 15,021,554 2.9% 01/10/19 Current Syracuse, NY

COM14C19 Chestnut Ridge Road Office Portfolio Office 14,129,042 1.3% 01/10/19 Current New York-Newark-Jersey City, NY-NJ-PA

COM15C27 Chestnut Street Other 10,000,000 1.1% 01/10/19 <30 Days Philadelphia-Camden-Wilmington, PA-NJ-DE-

MD WFC16NX5 Shilo Inn Ocean Shores & Nampa Hotel 9,325,724 1.1% 01/15/19 90+ Days Aberdeen, WA-68.24% Boise City, ID-31.76%

JPB15C32 Old Stage Warehouse Industrial 8,012,262 0.7% 01/15/19 60 Days Richmond, VA

COM14L17 Peru Retail Center Retail 5,342,802 0.5% 01/10/19 <30 Days Ottawa-Peru, IL

GSM212G9 Woodridge Plaza Retail 4,911,506 0.5% 01/10/19 30 Days Chicago-Naperville-Elgin, IL-IN-WI

Total 153,149,607


14

0.502%0.617%

10.116%

1.119%

0%

2%

4%

6%

8%

10%

12%

Watch List and Special Servicing SummaryWatch List and Special Servicing SummaryWatch List and Special Servicing SummaryWatch 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%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

Sep-18 Oct-18 Nov-18 Dec-18 Jan-19

Monthly 30+ Delinquent % by Vintage Monthly 30+ Delinquent % by Vintage Monthly 30+ Delinquent % by Vintage Monthly 30+ Delinquent % by Vintage

2010 2011 2012 2013 2014 2015 2016


17

V. Delinquency Broken Out by Status

18

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19

Monthly Delinquency % by StatusMonthly Delinquency % by StatusMonthly Delinquency % by StatusMonthly Delinquency % by Status

DQ30 DQ60 DQ90P FC REO


19

VI. Delinquency Broken Out by Property Type

20

1.26%

0.3%

0.1%

0.6%

0.9%

0.6%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

Property Type Monthly Delinquency: as Percentage of Property Property Type Monthly Delinquency: as Percentage of Property Property Type Monthly Delinquency: as Percentage of Property Property Type Monthly Delinquency: as Percentage of Property TypeTypeTypeType

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 SummaryMaturing Loans SummaryMaturing Loans SummaryMaturing 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

JPC15FL7 Quorum Business Center

Pooled

Other 21,000,000 22% 01/15/19 12/09/18 Current Miami-Fort Lauderdale-West Palm Beach,

FL MSB13C13 1200 Howard Blvd. Office 15,193,712 2% 01/15/19 12/01/18 In Foreclosure Philadelphia-Camden-Wilmington, PA-NJ-

DE-MD WFR13C18 Creekside Estates MHC Other 2,451,494 0% 01/15/19 12/01/18 30 Days Grand Rapids-Wyoming, MI

Total 38,645,206


24

VIII. Defeased Loan Trends

25

3.96%

0%

1%

1%

2%

2%

3%

3%

4%

4%

5%

Outstanding Defeased Loan Balance as % of CMBS UniverseOutstanding Defeased Loan Balance as % of CMBS UniverseOutstanding Defeased Loan Balance as % of CMBS UniverseOutstanding Defeased Loan Balance as % of CMBS Universe


26

Section B: LossesLossesLossesLosses

27

I. CDRs

28

0.2

-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

CMBS Universe CDRsCMBS Universe CDRsCMBS Universe CDRsCMBS Universe CDRs


29

II. Loan Level Losses

30

Loans with Losses Greater than 2%

Deal Property Name Type Balance % of Deal Loss LossPct Tapedate City

DBUB11L2 Montgomery Village

Professional Center

Office 8,528,653 0.7% 7,747,859 90.8% 01/10/19 Washington-Arlington-Alexandria, DC-VA-

MD-WV COM14L17 Eagle Ford Hotel 15,326,719 1.3% 13,389,881 87.4% 01/10/19 San Antonio-New Braunfels, TX-35.38%

COM14UB6 Black Gold Suites Hotel

Portfolio

Hotel 8,655,112 0.7% 7,229,830 83.5% 01/10/19 Williston, ND-50.00%

WFC12LC5 Belle Foods Portfolio Retail 8,521,992 0.9% 6,228,051 73.1% 01/15/19 Birmingham-Hoover, AL-14.86% Albany,

GA-13.83% Milledgeville, GA-12.83% COM16CR1 Comfort Inn Jamestown Hotel 6,593,720 0.8% 4,237,810 64.3% 01/10/19 Jamestown-Dunkirk-Fredonia, NY

Subtotals 47,626,197 38,833,431 79.8%

Loans with Losses Less than 2%

Deal Property Name Type Balance % of Deal Loss LossPct Tapedate City

GS214G

26

129-131 Greene Street Retail 23,000,000 2.0% 549,717 2.4% 01/10/19 New York-Newark-Jersey City, NY-NJ-PA

Subtotals 23,000,000 549,717 2.4%

Aggregate Totals 70,626,197 39,383,148 46.6%

31

III. Aggregate Severity Greater than 2%

32

Totals Balance Loss Amt Avg Severity Count

Jan-19 70,626,197 39,383,148 66.9% 6

Dec-18 47,690,545 41,874,016 83.6% 7

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 70,447,140 46,427,798 66.3% 11

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

Apr-18 7,518,024 3,912,153 52.0% 1

Jan-18 15,438,934 8,943,647 55.0% 2

Nov-17 17,942,540 8,643,041 49.6% 2

Aug-17 5,495,687 3,518,584 63.4% 2

Jul-17 937,061 720,934 76.9% 1

Apr-17 23,389,777 8,353,097 35.7% 1

Mar-17 7,184,789 3,063,581 70.1% 2

Feb-17 37,715,064 14,686,944 39.0% 2

Jan-17 76,640,608 49,503,297 56.6% 4

Jun-16 498,663 170,444 34.2% 1

Feb-16 12,397,817 7,105,002 57.3% 1


33

-

1

2

3

4

5

6

7

8

9

10

11

12

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

Hotel 30,575,552 24,857,521 78.4% 3

Office 8,528,653 7,747,859 90.8% 1

Retail 31,521,992 6,777,768 37.7% 2

Total 70,626,197 39,383,148 69.0% 6

Loans with severity greater than 2%


Hotel 30,575,552 24,857,521 78.4% 3

Office 8,528,653 7,747,859 90.8% 1

Retail 31,521,992 6,777,768 37.7% 2

Total 70,626,197 39,383,148 69.0% 6

Loans with severity less than 2% Exhibited by TCW from Intex Data

36


Total - - #DIV/0! -


37

V. Average Number of Months to Liquidation

38

0

1

2

3

4

5

6

7

8

0

10

20

30

40

50

60

70

80

90

Average Number of Months to LiquidationAverage Number of Months to LiquidationAverage Number of Months to LiquidationAverage 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

JPC12C06 GTECH Center Office 33,696,832 4% 12/21/18 Payoff With Yield Maintenance Providence-Warwick, RI-MA

UBS17C02 GM Logistics Center 2 Industrial 30,223,593 4% 01/01/19 Payoff With Yield Maintenance Huntington, IN

JPB13C12 Links at Georgetown Multi-Family 24,848,740 2% 01/01/19 Payoff With Yield Maintenance Savannah, GA

MSB13C11 University Towers Co-op Multi-Family 16,573,649 3% 12/28/18 Payoff With Yield Maintenance New York-Newark-Jersey City, NY-NJ-

PA JPC13C13 Harbour Green Multi-Family 12,526,488 2% 01/01/19 Payoff With Yield Maintenance Panama City, FL

CTG14G21 Branford Business Center Office 8,935,471 1% 12/21/18 Payoff With Yield Maintenance New Haven-Milford, CT

MSBA12C6 United Artists Theaters at Forest

Avenue

Retail 4,717,587 1% 12/28/18 Payoff With Yield Maintenance New York-Newark-Jersey City, NY-NJ-

PA WFR14C23 StorQuest - Hollywood Other 3,894,357 0% 01/01/19 Payoff With Yield Maintenance Los Angeles-Long Beach-Anaheim, CA

CSI15C02 Vanderbilt Square Retail 2,020,621 0% 01/11/19 Payoff With Yield Maintenance Tampa-St. Petersburg-Clearwater, FL

WFR13C12 Work of Art Loft Corp. Multi-Family 968,902 0% 01/01/19 Payoff With Yield Maintenance New York-Newark-Jersey City, NY-NJ-

PA Total 138,406,239


44

III. Top 10 Largest Refinancings with Prepayment Penalties

45


46

Section D: Appraisal Reductions

47

I. Percentage of Balance with Appraisal Reduction

48

0.382%

37.1%

-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 UniverseAppraisal Reduction on CMBS UniverseAppraisal Reduction on CMBS UniverseAppraisal 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 ModificationPercent CMBS Universe with ModificationPercent CMBS Universe with ModificationPercent 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

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

55

0

20

40

60

80

100

120

140

160

Moody's Commercial Property Price Index (CPPI)Moody's Commercial Property Price Index (CPPI)Moody's Commercial Property Price Index (CPPI)Moody's Commercial Property Price Index (CPPI)

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

Exhibited by TCW from Moody’s

56

Section G: CMBS Securitization Volumes

57

-

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

Conduit SASB/FLTR Total

Quarterly CMBS Origination Volume in MillionsQuarterly CMBS Origination Volume in MillionsQuarterly CMBS Origination Volume in MillionsQuarterly CMBS Origination Volume in Millions

Q42000

Q42001

Q42002

Q42003

Q42004

Q42005

Q42006

Q42007

Q42008

Q42009

Q42010

Q42011

Q42012

Q42013

Q42014

Q42015

Q42016

Q42017

Q42018

Exhibited by TCW from Bloomberg

58

-

50,000

100,000

150,000

200,000

250,000

Conduit SASB/FLTR Total

Annual CMBS Origination Volume in MillionsAnnual CMBS Origination Volume in MillionsAnnual CMBS Origination Volume in MillionsAnnual CMBS Origination Volume in Millions

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

Exhibited by TCW from Bloomberg

commercial mortgage market monitor january 2019€¦ · real estate industry partner real capital...

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