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CMBS Monthly Update

MAY 2018

A Guide to United States CMBS Monthly Activity

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CMBS Monthly Update

MAY 2018

A Monthly Guide to US CMBS Activity

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CMBS Monthly Report

MAY 2018

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CONTENTS CMBS CREDIT UPDATE: 3

DISTRESSED LOANS UPDATE: 4-5

SECONDARY MARKET OVERVIEW: 6

SECONDARY MARKET DATA: 7

PRIMARY MARKET OVERVIEW: 8

PLACED ISSUANCE DATA: 9

MAY ISSUANCE: 10-13

MAY HEADLINES: 14-15

ABOUT US: 18

AUTHOR EDITORIAL Maura Webber Sadovi John Wilen

Reporter, Assistant Editor Managing Editor

+1 773 540 8950 +1 954 462 0298

maura.sadovi@acuris.com john.wilen@acuris.com

Ganesh Kalicharan

DW ABS Database Manager

+1 212 390 7845

ganesh.kalicharan@acuris.com

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CMBS Monthly Report

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Brookfield Asset Management stepped into the politically charged saga of Kushner Cos.’ 666 Fifth Avenue property in May when it was revealed that the company was in late-stage discussions to buy out Vornado Realty Trust’s stake in its office portion.

Brookfield would commit more than USD 500m to purchase the interest and redevelop the 39-story tower which secures about USD 1.3bn in CMBS debt. The office condo, which had an occupancy rate of about 73% as of January, secures debt in GECMC 2007-C1 (USD 249m),WBCMT 2007-C33 (USD 285.5m) and WBCMT 2007-C31 (USD 395m).

Brookfield’s signaled interest the watchlisted Manhattan office property underscores growing investor appetite for opportunities in distressed corners of the office market. In May, more details emerged about a number of value-add office plays that are smoothing the way for a range of workouts.

In Chicago, Brookfield is also ponying up capital to turn around a Loop office building that secures the USD 275m 175 West Jackson CMBS office loan. Brookfield is assuming the loan held by COMM 2013-CR12 (USD 147.2m), COMM 2013-CR13 (USD 88.3m) and COMM 2014-CR14(USD 39.24m) and will invest about USD 20m into the 1.45m sq ft asset. Its occupancy was 83.9% as of March.

In suburban Dallas, a Taconic Capital affiliate has acquired the JPMorgan International Plaza I & II and is assuming a modified loan secured by the properties, which is held in GCCFC 2006-GG7. Special servicer LNR modified the structure of the loan, which was originated with a USD 194.5m A note and an unsecuritized USD 30.75m B note. The loan was bifurcated into a USD 120m A-1 tranche with interest-only payments at the current note rate of 4.94% and a USD 31.8m A-2 tranche. The B note remains outstanding and is accruing interest at 8.17%. The loan’s maturity date was pushed out to 6 June 2020 from 6 June 2018. The property was reportedly sold for USD 115m.

JPMorgan did not renew its lease for the space, which expired in February.

And in Phoenix, Taconic Capital teamed up in a joint venture with Wentworth Property Co. to acquire the REO Chase Tower office property that is part of the collateral backing the USD 134.5m JPMorgan Portfolio loan in GECMC 2007-C1. Wentworth said it plans to redevelop the tower, which is the state’s largest. The building’s future occupancy is

uncertain as JPMorgan is the primary tenant but has plans to move 2,000 of its employees to Tempe, Arizona.

Redevelopment is also cropping up as a way forward for malls backing CMBS. The USD 140.3m Westside Pavilion loan in WFCM 2012-LC5 — secured by a Los Angeles mall — will be defeased as the result of plans to redevelop the property as a creative office play by a joint venture of Hudson Pacific Properties and the Macerich Company.

But for the most part the news remained grim in May for retail investors as lenders, borrowers and owners continued to deal with a blizzard of store closures.

On 31 May, Sears identified 100 more non-profitable stores, and said many will close in the near future. CWCapital put a planned 31 May online auction of 15 Sears stores on indefinite hold pending a decision by the retailer as to whether to sell the properties individually or as a portfolio.

Meanwhile the workout process for many malls continued to drag on with valuations under pressure and special servicers such as C-III preparing to take back three malls.

The value of the Fashion Outlets of Las Vegas, the troubled Primm, Nevada, retail center that backs a USD 66.6m loan in CMBX 6 reference deal COMM 2012-CR4, was cut by nearly 80% to USD 25.54m in a 1 April appraisal, according to May remittance notes. The 375,722 sq ft property was last appraised at USD 125m.

Special servicer C-III is preparing to take title to three malls in Texas and Oklahoma after the USD 110.4m Central Mall portfolio loan they secure in MSC 2005-IQ9 matures on 5 June. Separately, special servicer KeyBank National has engaged counsel to begin the process of filing into receivership the Rushmore Mall in Rapid City, South Dakota, which secures USD 94m in debt in BACM 2006-3.

Meanwhile efforts to hammer out an A/B modification of the USD 55.5m Rosemont Commons loan in GSMS 2007-GG10 stalled in May after the borrower backed away from the approved modification terms and instead proposed alternative that was unacceptable to noteholders. The mortgage is secured by a 483,347 sq ft grocery-anchored retail property at 3750-1 West Market Street in Fairlawn, Ohio, near Akron.

CMBS Credit Update:

Brookfield’s jump into Kushner-666 Fifth fray was only one of May’s value-add office plays

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DISTRESSED LOAN HIGHLIGHTS

Bond names Collateral

ID Property and location

Loan balance (USD)

Delinquency status

Default history Special servicer Update

BACM 2006-3 7 Rushmore Mall Rapid City, SD

58m Imminent Maturity Default

Loan has no prior default history.

KeyBank, NA

Special servicer KeyBank National has engaged counsel to begin the process of filing the mall into receivership. Loan was transferred into special servicing at the request of the borrower due to Sears leaving in April and Herberger’s potential closure following BonTon’s bankruptcy proceedings.

GECMC 2007-C1 WBCMT 2007-C33 WBCMT 2007-C31

Various 666 Fifth Avenue New York, NY

939.5m Current Modified in 2011 and returned to mastered servicer in March 2012.

C-III Asset Management

A Brookfield-affiliated entity as of 18 May was in late-stage discussions to buy out Vornado Realty Trust's stake in the office portion of Kushner Cos.' jointly held property. Kushner in February said it is in talks to buy Vornado Realty Trust’s 49.5% stake in the 666 Fifth Avenue Office Condominium in Manhattan. The talks do not include a Vornado-owned retail portion of the property. The talks were first revealed after Vornado said it was looking to sell its stake in the property. The building is jointly owned by Vornado and Kushner and secures about USD 1.3bn in CMBS debt, a large chunk of which matures next year.

GCCFC 2006-GG7 3 JP Morgan International Plaza I and II Various Location, TX

156m Deed-in-lieu of Foreclosure

Loan was transferred into special servicing on 24 October for imminent default due to tenancy issues.

US Bank, NA

A Taconic Capital affiliate has acquired the suburban Dallas JPMorgan International Plaza I & II, assuming a modified loan secured by the properties, according to May remittance notes. The deal was valued at USD 115m. Special servicer LNR modified the structure of the loan that was originated with a USD 194.5m A note and an unsecuritized USD 30.75m B note, according to the notes. The loan has been bifurcated into an USD 120m A-1 tranche with interest-only payments at the current note rate of 4.94% and a USD 31.8m A-2 tranche. The B note remains outstanding and is accruing interest at 8.17%. The loan’s maturity date was pushed out to 6 June 2020 from 6 June 2018.

COMM 2013-CR12

COMM 2013-CR13

COMM 2014-CR14

1

8

4

175 West Jackson Chicago, IL

275m Defaulted

Loan was transferred into special servicing on 7 March due to imminent monetary default.

LNR Partners

Rialto Capital

Wells Fargo Bank, NA

Brookfield Properties assumed the USD 275m 175 West Jackson CMBS office loan as part of a modification that closed on 12 April, according to May remittance notes. As part of the transaction the loan was bought current and an operating shortfall account was set up for anticipated shortfalls for the first 12 months, according to the remit. Brookfield also paid more than USD 5m into the rollover reserve at closing. Brookfield plans to invest capital in the property to stabilize it and bring up the occupancy.

GSMS 2007-GG10 32 Rosemont Commons Fairlawn, OH

56m A/B Loan Modification

Loan transferred into special servicing on 28 April due to imminent default in June.

C-III Asset Management

Efforts to hammer out an A/B loan modification have stalled. After the lender approved the mod "the borrower backed away from the approved terms," according to May remittance notes. The negotiations come after the borrower sent a discounted payoff proposal to C-III, according to the August 2017 remit. The loan transferred to special servicer on 28 April 2017 due to imminent maturity default. The super regional shopping center is anchored by a 77,000 sq ft Giant Eagle with a lease expiring 30 June and a 139,000 sq ft Sam's Club with a lease expiring 7 June .

MSC 2006-HQ10 2 PPG Portfolio Various Locations

55m REO

The loan was transferred into special servicing due to imminent default in May 2016.

LNR Partners

The remaining properties are now REO and are pending applicable redemption and title transfers, according to the May remittance report The loan failed to trade after receiving a final bid of USD 49m at auction on 24 January, when it was offered for sale via NAI Farbman and RealINSIGHT Marketplace. There are five medical offices located in Colorado and Arizona backing the loan. The loan received a USD 15.5m principal prepayment in February, bringing its balance down to USD 80.4m, following the sale of two Indiana properties. The tenant at the Indiana property had previously indicated its interest in either buying or exiting the location.

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DISTRESSED LOAN HIGHLIGHTS

Bond names Collateral

ID Property and location

Loan balance (USD)

Delinquency status

Default history Special servicer Update

MSC 2007-T25 3 Shoppe at Park Place Pinellas Park, FL

71m Foreclosure

Loan was transferred into special servicing due to maturity default on 3 January.

C-III Asset Management

Following the 4 April hearing, the court has ordered the borrower to turn over rents and a motion for summary judgment was denied. The trust filed the foreclosure complaint in March 2017 that is being disputed by the borrower. A court ordered mediation occurred in November, where the parties failed to reach a settlement. The borrower had said that it intended to pay the loan off in October, but the trust continues to pursue its rights and remedies.

JPMCC 2007-LD11 1 GSA Portfolio , various locations

225m Loan Modification

Loan was modified in March 2017, extending maturity until 9 May 2020. The loan underwent a pervious modification on 6 September 2013 which resulted in an A/B note split.

CWCapital Asset Management

The loan recently transferred into special servicing as borrower is seeking another loan modification to allow individual releases of four properties which were recently marketed for sale.

MSC 2005-IQ9 2 Central Mall Portfolio various locations

112m Imminent Maturity Default

Loan was transferred into special servicing on 21 December.

C-III Asset Management

Special servicer C-III is preparing to take title to the malls in the portfolio, one in Oklahoma and two in Texas, after the loan they secure matures on 5 June, according to May remittance notes. A 2016 modification extended the maturity date two years from the original date and restructured payments to include an interest-only period from 5 June 2016 through 5 February 2017 followed by a principal and interest period through the new maturity date. After Hurricane Harvey last year, the Port Arthur, Texas, mall was used as a staging area for relief efforts.

CSMC 2007-C5 9 Mesilla Valley Mall Los Cruces, NM

54m Foreclosure

Loan was transferred into special servicing on 9 June 2017 due to imminent maturity default. A receiver was appointed on 28 September.

Keycorp Real Estate Capital

Foreclosure sale was completed on 17 April and the lender has engaged a property manager and will take possession after a 30-day redemption period, according to May remittance report.

WFRBS 2014-LC14 6 Williams Center Towers Tulsa, OK

44.88m Imminent Monetary Default

Loan has no prior default history .

Rialto Capital Advisor, LLC

Loan was transferred into special servicing on 16 May and represents 3.8% of remaining bond balance.

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Retail-heavy CMBX 6 BBB- and BB indices tightened in May, though they ended the month wider than their midmonth lows after market sentiment darkened on news of more Sears store closures and the unexpected resignation of JCPenney’s CEO on 22 May.

Spreads on the CMBX 6 BBB- and BB tranches tightened to 614bps and 1,096bps by 31 May, respectively, from 647bps and 1,155bps on 30 April, according to JPMorgan data. But the indices touched 591bps and 1,080bps on 14 May.

Reports began to circulate mid-month of another round of Sears closures, and indeed the retailer announced on 31 May that 72 more stores would close. Still, some investors think the CMBX indices have been oversold.

Meanwhile, secondary market CMBS cash bond spreads held mostly steady in May, though there was some further tightening in A rated bonds. Post-crisis AAA CMBS bond spreads closed the month on average around S+ 83bps, mostly unchanged from April but wide of the S+ 79bps touched in late March. A rated paper tightened to S+ 175bps from S+ 195bps in April, according to Credit Suisse.

Trading was active in BBB- securities in May. Money manager demand was strong for BBB- bonds, with spreads holding mostly steady over the month near the low-to-mid 300bps area. They have remained anchored well below their trailing 12-month high of about 435bps due to strong demand and because regulations that require

some BBB- securities to be held for the life of the bonds has damped supply, as reported.

For instance, on 4 May a USD 7m COMM 2015-CR27 D covered at S+ 378.9bps and a USD 5.1m MSBAM 2015-C23 D covered in the mid S+ 300bps area after both were talked in the S+ 450bps area.

A USD 5.2m GSMS 2015-GC34 D covered at S+ 430bps on 31 May after being talked in the mid to high 400s area. The GSMS deal includes a USD 69.6m Hammons Hotel Portfolio loan that is embroiled in the borrower’s bankruptcy case, according to Trepp.

But there were exceptions: on 7 May a USD 10m CSAIL 2017-CX10 D covered at S+ 325bps and a USD 5m JPMDB 2016-C2 D covered at S+ 334bps, after both were talked in the low 300bps area, according to Solve Advisors’ SolveQuotes database.

Separately, AAA bonds were also active in secondary trading with some spread-tiering evident.

On 31 May, all bonds on a four-item BWIC traded, including a USD 5m JPMCC 2017-JP7 AS, which covered at S+ 104bps after being talked in the mid-to-high 90s to low 100bps area; a USD 5.2m WFCM 2015-NXS1 AS, which covered at S+ 95bps after being talked at S+ 92bps; and a USD 10.1m WFCM 2015-C28 A4, which covered at S+ 71.5bps after being talked in the S+ 70bps area, according to Solve.

CMBS Secondary Market:

Retail-heavy CMBX tranches tighten, cash bonds hold mostly steady

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2018 MONTHLY VOLUME ACTIVITY

Source: Debtwire

2.8

1.41.02

1

0.9

0.5

1

0.3

1.5

1.5

0.7

2.6

0.9

0

1

1

2

2

3

3M

ay-1

7

Jun

-17

Jul-

17

Au

g-1

7

Sep

-17

Oct

-17

No

v-1

7

De

c-1

7

Jan

-18

Feb

-18

Mar

-18

Ap

r-1

8

May

-18

Vo

lum

e b

y O

rigi

nal

Am

ou

nt

(Bn

)

2018 TOTAL ACTIVITY

Source: Debtwire

USD 1.8BN IDENTIFIED

TRADES

USD 7.2BN IN OFFERS

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New CMBS issuance rose to USD 6.3bn in May from USD 3.8bn in April, though it lagged the USD 8.32bn issued in May 2017. Year-to-date supply is USD 32.46bn, well above the USD 24.22bn that had priced at this point last year.

Four conduits priced in May, though only the USD 1.1bn COMM 2018-COR3 surpassed USD 1bn in size. The deal’s last cash flow, AAA rated USD 372.25m A-3 tranche priced on 4 May at S+ 90bps, and its USD 49m A- rated C bonds priced at S+ 195bps.

Conduit spreads wobbled later in the month, tightening and then widening, with investors more willing to pay up for the BANK shelf that is viewed as more liquid.

The USD 40.66m A-/A rated Cs of BANK 2018-BNK12 priced on 16 May at S+ 155bps, while the deal’s USD 243m AAA rated LCF A-4s priced at S+ 79bps. On 23 May, spreads widened again as JPMDB 2018-C8's A-/A rated USD 30.85m C bonds priced at S+ 170bps and the conduit’s USD 176.43m LCF AAAs priced at S+ 82bps. Also that day the USD 730.4m UBSCM 2018-C10’s USD 237.135m LCF AAA rated A-4s priced at S+ 92bps.

Issuers are increasingly indicating tranche ranges rather than specific sizes for some senior conduit bonds because they have been having trouble placing the last cash flow pieces. The JPMDB deal’s LCF AAAs were sized at the low end of its offered range.

The single-asset/single-borrower market came back to life in May on the strength of the lodging sector, with four hotel CMBS pricing.

The largest SASB offering was the USD 600m NCMS 2018-20TS, backed by a

fixed-rate loan on 701 Seventh Avenue in New York City that is collateralized by retail, signage and a 452-room EDITION Hotel by Marriott set to open next month in Times Square. The deal’s AAA rated A bonds printed on 9 May at S+ 65bps, and its AA- rated D bonds priced at S+ 135bps.

The USD 281m BX 2018-BILT’s AAA rated As priced at L+ 83bps on 3 May. The deal is backed by a single two-year, floating-rate interest-only mortgage with five one-year extension options secured by the fee interest in the Arizona Biltmore Resort, a 606-key hotel in Phoenix.

The USD 510m BX 2018-GW’s AAA rated As priced at L+ 83bps on 1 May. The deal is backed by a single, two-year, floating-rate interest-only loan secured by a fee interest in the Grand Wailea Resort in Maui, Hawaii.

The USD 370m Braemar Hotels and Resorts Trust 2018-PRME’s AAA rated As priced at L+ 82bps on 23 May. They are collateralized by a two-year, floating-rate loan with five one-year extensions secured by a mortgage on the fee simple interests in four hotel properties that include the Sofitel Chicago Magnificent Mile, the Courtyard San Francisco Downtown and the Courtyard Philadelphia Downtown.

Two CRE CLOs priced in May, including the USD 1.1bn LNCR 2018-CRE1 — one of the largest post-crisis CRE CLOs. The deal’s BBB- E bonds priced on 18 May at L+ 295bps, while its AAA rated As priced at L+ 113bps. Meanwhile the USD 560m ARCLO 2018-FL1’s AAA rated A1s priced at L+ 115bps on 24 May.

CMBS Primary Market:

Issuance USD 8bn above last year as USD 6.3bn prices in May

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MONTHLY PLACED ISSUANCE

Source: Debtwire

PROPERTY TYPE

Source: Debtwire

PROPERTY LOCATION

Source: Debtwire

TOP SELLERS

Source: Debtwire

OTHER32%

HI10%CA

11%

NY31%

AZ11%

WA5%

1.6

0

8.7

0

5.8

0

2.8

0

5.3

0 4.2

0

3.8

0

3.8

0

9.6

0

6.9

0

11

.30

5.6

0

1.7

0 3.2

0

6.0

1

3.6

0

8.3

2

10

.40

7.6

0

10

.96

9.1

0

9.5

1

9.6

4

8.7

2

5.2

2

7.2

0

9.4

0

3.8

0

6.3

0

0

2

4

6

8

10

12

14

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

USD

bn

2016 2017 2018

OTHER16%

RETAIL10%

HOTEL44%

OFFICE22%

MULTIFAMILY

8%

COMM 2018-COR3USD 644m

BX 2018-BILT

BX 2018-GWUSD 511m

COMM 2018-COR3

LNCR 2018-CRE1USD 1053m

JPMDB 2018-C8USD 212m BX 2018-BILT

USD 183m

COMM 2018-COR3USD 225m JPMDB 2018-C8

USD 194m

0

250

500

750

1000

1250

1500

Loancore Capital Markets, LLC Deutsche Bank Blackstone Real Estate PartnersJP Morgan Chase Bank

US

D (

m)

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NEW ISSUES

Market status Bond name Issuer Asset type Class Size (USD m) WAL (yrs) Ratings

(S/F/K/D/MS) Bench Guidance Spread Price

Coupon

(%)

Yield

(%) CE (%)

Priced 5/1 BX 2018-GW Blackstone Real Estate Partners

SASB A 216 -/AAA/-/AAA/- 57.69

B 43 -/AA-/-/AA/- 49.27

C 30 -/A-/-/A/- 43.39

D 46 -/BBB-/-/BBB/- 34.38

E 48 -/NR/-/BBB/- 24.98

F 68 -/NR/-/BB/- 11.66

G 34 -/NR/-/B/- 5

HRR 25.5 -/NR/-/NR/- 0

Priced 5/3 BX 2018-BILT JPMorgan Chase Bank

SASB A 110 -/AAA/-/-/- 1ML 83 60.9

B 22 -/AA-/-/-/- 1ML 105 53

C 16 -/A-/-/-/- 1ML 125 47.3

D 25 -/BBB-/-/-/- 1ML 180 38.4

E 37 -/BB-/-/-/- 25.3

F 43 -/B-/-/-/- 10

HRR 28 -/NR/-/-/- 0

Priced 5/4 COMM 2018-COR3 Loancore Capital Market, LLC

Conduit A-1 11.7 -/-/AAA/-/- 30

A-SB 17.3 -/-/AAA/-/- 30

A-2 337.63 -/-/AAA/-/- 30

A-3 337.62 -/-/AAA/-/- 30

A-M 56.59 -/-/AAA/-/- 24.38

B 51.56 -/-/AA/-/- 19.25

C 49.05 -/-/A-/-/- 14.38

D 47.34 -/-/BBB-/-/- 9.67

E-RR 11.77 -/-/BBB-/-/- 8.5

F-RR 120.12 -/-/BB-/-/- 6.5

G-RR 18.86 -/-/B-/-/- 4.63

H-RR 46.53 -/-/NR/-/- 0

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NEW ISSUES

Market status Bond name Issuer Asset type Class Size (USD m) WAL (yrs) Ratings

(S/F/K/D/MS) Bench Guidance Spread Price

Coupon

(%)

Yield

(%) CE (%)

Priced 5/9 NCMS 2018-20TS Natixis Real Estate

Capital SASB A 114.82 -/-/-/-/AAA SWAPS 65 64.69

B 56.88 -/-/-/-/AAA 57.12

C 50.2 -/-/-/-/AA+ SWAPS 100 50.41

D 69.63 -/-/-/-/AA- SWAPS 135 41.13

E 64.66 -/-/-/-/A- 32.51

F 85.66 -/-/-/-/BBB- SWAPS 180 21.09

G 94.2 -/-/-/-/BB- 8.53

H 63.95 -/-/-/-/B-

Priced 5/16 BANK 2018-BNK12 Wells Fargo Bank Conduit A-1 33.53 2.54 AAA/AAA/AAA/-/- SWAPS 20 99.99 3.09 3.06 30

A-2 76.22 4.95 AAA/AAA/AAA/-/- SWAPS 40 102.99 4.07 3.4 30

A-SB 36.5 7.42 AAA/AAA/AAA/-/- SWAPS 64 102.99 4.17 3.7 30

A-3 210 9.79 AAA/AAA/AAA/-/- SWAPS 77 100.99 3.99 3.88 30

A-4 243.03 9.89 AAA/AAA/AAA/-/- SWAPS 79 102.99 4.26 3.9 30

A-S 83.47 9.96 AAA/AAA/AAA/-/- SWAPS 95 102.99 4.49 4.06 20.25

B 39.6 9.96 AA/AA-/AA+/-/- SWAPS 110 102.99 4.55 4.21 15.63

C 40.67 9.96 A-/A-/A/-/- SWAPS 155 98.7 4.55 4.66 10.88

D 37.46 NR/BBB-/BBB-/-/- 6.5

E 22.47 NR/BB-/BB-/-/- 3.88

F 8.56 NR/B-/B-/-/- 2.88

G 24.61 NR/NR/NR/-/- 0

Priced 5/18 LNCR 2018-CRE1 Loancore Capital Market, LLC

CRE CLO A 473.81 -/-/AAA/-/- 55

A-S 142.14 -/-/AAA/-/- 41.5

B 64.49 -/-/AA-/-/- 35.38

C 63.17 -/-/A-/-/- 29.38

D 61.86 -/-/BBB/-/- 23.5

E 30.17 -/-/BBB-/-/- 1ML 295 20.64

F 38.27 -/-/BB-/-/- 17

G 47.38 -/-/B-/-/- 12.5

P 131.61 -/-/NR/-/- 0

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NEW ISSUES

Market status Bond name Issuer Asset type Class Size (USD m) WAL (yrs) Ratings

(S/F/K/D/MS) Bench Guidance Spread Price

Coupon

(%)

Yield

(%) CE (%)

Priced 5/23 JPMDB 2018-C8 JPMorgan Chase

Bank Conduit A-1 20.52 2.63 -/AAA/AAA/-/- SWAPS 27 99.99 3.12 3.09 30

A-2 131.98 4.7 -/AAA/AAA/-/- SWAPS 40 102.99 4.03 3.35 30

A-3 78.01 -/AAA/AAA/-/- SWAPS 80 100.99 3.94 3.83 30

A-4 235.52 -/AAA/AAA/-/- SWAPS 82 102.99 4.21 3.86 30

A-SB 33.17 7.33 -/AAA/AAA/-/- SWAPS 69 102.99 4.15 3.68 30

A-S 64.18 9.92 -/AAA/AAA/-/- SWAPS 103 102.99 4.42 4.07 21

B 32.98 9.92 -/AA-/AA/-/- SWAPS 113 102.99 4.52 4.17 16.38

C 32.09 9.92 -/A-/A/-/- SWAPS 170 100.82 4.74 11.88

D 35.66 -/BBB-/BBB-/-/- 6.88

E 8.91 -/BB+/BB+/-/- 5.63

F 7.13 -/BB-/BB-/-/- 4.63

G 7.13 -/B-/B/-/- 3.63

NR-RR 25.85 -/NR/NR/-/- 0

Priced 5/24 UBS 2018-C10 UBS Bank Conduit A-1 21.31 2.74 -/AAA/AAA/-/- SWAPS S+ 25a 30 99.99 3.18 3.15 30

A-2 23.13 4.94 -/AAA/AAA/-/- SWAPS S+ 45a 60 99.99 3.56 3.55 30

A-SB 34.71 7.39 -/AAA/AAA/-/- SWAPS S+ 75a 75 102.99 4.21 3.75 30

A-3 216.07 9.83 -/AAA/AAA/-/- SWAPS S+ 90a 90 100.99 4.05 3.94 30

A-4 216.07 9.95 -/AAA/AAA/-/- SWAPS S+ 92a 92 102.99 4.31 3.96 30

A-S 41.09 9.96 -/AAA/AAA/-/- SWAPS S+ 110a 110 102.99 4.49 4.14 24.38

B 33.78 9.96 -/AA-/AA/-/- SWAPS S+ 130a 130 102.99 4.7 4.34 19.75

C 37.34 9.96 -/A-/A-/-/- SWAPS S+ 200a 220 99.47 5.26 5.24 10.25

D 31.96 -/BBB-/BBB/-/- 8.63

D-RR 13.54 -/BBB-/BBB-/-/- 5.88

E-RR 20.87 -/BB-/BB-/-/- 4.63

F-RR 9.13 -/B-/B-/-/- 0

NR-RR 33.78 -/NR/NR/-/- 0

Priced 5/24 BHR 2018-PRME Bank of America SASB A 117.71 AAA/-/-/AAA/- 1ML 82 68.19

B 41.61 AA-/-/-/AA/- 56.94

C 30.88 A-/-/-/A/- 48.6

D 40.85 BBB-/-/-/BBB/- 1ML 180 37.56

E 64.41 BB-/-/-/BB/- 20.15

F 56.05 B-/-/-/B/- 5

RR 18.5 NR/-/-/NR/- 0

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NEW ISSUES

Market status Bond name Issuer Asset type Class Size (USD m) WAL (yrs) Ratings

(S/F/K/D/MS) Bench Guidance Spread Price

Coupon

(%)

Yield

(%) CE (%)

Priced 5/24 ARCLO 2018-FL1 Arbor Reality CRE CLO A-1 1ML 115

AS 1ML 150

B 1ML 170

C 1ML 250

Announced 5/21 COMM 2018-HOME Deutsche Bank Multifamily A 289.2 -/AAA/-/-/- 25.86

B 41.6 -/AA-/-/-/- 15.17

C 32 -/A-/-/-/- 6.34

D 5.714 -/BBB+/-/-/- 5.51

HRR 21.486 -/BBB-/-/-/- 0

Announced 5/29 US 2018-USDC Citigroup SASB A 146.089 AAA/-/-/-/AAA 53.4

B 31.374 AA-/-/-/-/AAA 42.44

C 25.78 A-/-/-/-/AA+ 34.21

D 31.625 BBB-/-/-/-/AA- 24.13

E 62.632 NR/-/-/-/BBB- 4.15

F 13 NR/-/-/-/BB+ 0

VRR 16.5 NR/-/-/-/NR 0

Announced 5/30 DBGS 2018-BIOD Deutsche Bank SASB A 340.5 -/AAA/-/-/AAA 53

B 65 -/AA-/-/-/AA- 44.1

C 43 -/A-/-/-/A+ 38.1

D 68.5 -/BBB-/-/-/BBB+ 28.7

E 67.98 -/NR/-/-/BBB- 0

F 83.03 -/NR/-/-/BB- 0

G 20.75 -/NR/-/-/B+ 0

HRR 36.25 -/NR/-/-/B- 0

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CMBS Monthly Report

MAY 2018

Debtwire.com 14

RECENT DEBTWIRE COVERAGE

Date Headline CMBS Bond Intelligence Type

2/5/2018 PREIT could add hotels, 7,000 multifamily units to mall properties MSC 2012-C4 GSMS 2014-GC18

Investor Strategy

3/5/2018 Ladder may shift back to CMBS from loans, CRE later this year LCCM 2014-PKMD Investor Strategy

3/5/2018 Suburban Chicago shopping center owner files Chapter 11 CRE Bankruptcy

4/5/2018 Westside Pavilion in WFCM 2012-LC5 set to be defeased WFCM 2012-LC5 Credit Analysis

7/5/2018 California shopping center from MLCFC 2007-5 is filed into bankruptcy MLCFC 2007-5 CRE Bankruptcy

8/5/2018 TPG RE continues to eye another CRE CLO TRTX 2018-FL1 Investor Strategy

10/5/2018 KKR RE sells most CMBS B-pieces at 18% IRR, plans more purchases Investor Strategy

10/5/2018 NY appellate judge questions Davidson Kempner’s right to sue C-III CSMC 2007-C5 Legal Analysis

11/5/2018 Judge confirms Hammons hotel sale; separate default interest dispute looms CGCMT 2015-GC33 GSMS 2015-GC34 BACM2007-3 JPMCC 2006-LDP7

Legal Analysis, Bankruptcy

14/5/2018 Rockport files for Chapter 11, cites lackluster interest in North American retail assets CRE Bankruptcy

14/5/2018 LNR modifies 175 West Jackson CMBS loan assumed in April by Brookfield COMM 2013-CR12 COMM 2014-CR14

Credit Analysis

14/5/2018 BANK 2018-BNK12 guided tight BANK 2018-BNK12 WFCM 2018-C44

New Issue

14/5/2018 Taconic buys vacant Texas offices, assumes modified GCCFC 2006-GG7 loan GCCFC 2006-GG7 Credit Analysis

15/5/2018 Receivership likely for Rushmore Mall backing remaining debt in BACM 2006-3 BACM 2006-3 Credit Analysis

15/5/2018 Supply picks up with two conduits, hotel deal prepped for market BANK 2018-BNK12 UBS 2018-C10 JPMDB 2018-C8

New Issue

15/5/2018 Taconic-Wentworth JV acquires Phoenix building in GECMC 2007-C1 GECMC 2007-C1 Credit Analysis

16/5/2018 BANK 2018-BNK12 prices tight BANK 2018-BNK12 WFCM 2018-C44

New Issue

16/5/2018 At least USD 455.6m in CMBS loans have exposure to bankrupt Rockport MSBAM 2013-C8 COMM 2016-COR1 MSBAM 2016-C29

CRE Bankruptcy

17/5/2018 Kushner in talks with Brookfield-managed private fund to buy 50% stake in 666 Fifth GECMC 2007-C1 WBCMT 2007-C33

CRE Transaction

17/5/2018 Arbor preps CRE CLO Arbor CRE 2018-1 New Issue

18/5/2018 Brookfield to commit more than USD 500m to 666 Fifth stake purchase, redevelopment GECMC 2007-C1 WBCMT 2007-C33

CRE Transaction

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Debtwire.com

CMBS Monthly Report

MAY 2018

Debtwire.com 15

RECENT DEBTWIRE COVERAGE

Date Headline CMBS Bond Intelligence Type

18/5/2018 C-III to take back keys to Central Mall assets in MSC 2005-IQ9 MSC 2005-IQ9 Credit Analysis

18/5/2018 Las Vegas outlet mall in COMM 2012-CR4, a CMBX 6 deal, gets 80% appraisal haircut COMM 2012-CR4 Credit Analysis

18/5/2018 JPMDB conduit hits market JPMDB 2018-C8 New Issue

21/5/2018 Online auction of Sears stores delayed a second time CRE Auction

21/5/2018 Large CRE CLO’s BBB- bonds price at L+ 295bps LNCR 2018-CRE1 GPMT 2018-FL1

New Issue

23/5/2018 Four CMBS loan reps press default interest fight in Hammons case after a fifth settles JPMCC 2006-LDP7 WFCM 2015-C26 COMM 2006-C8

Legal Analysis, Bankruptcy

23/5/2018 Mod for Rosemont Commons loan in GSMS 2007-GG10 hits impasse GSMS 2007-GG10 Credit Analysis

23/5/2018 JPMDB conduit’s LCF AAAs price at S+ 82bps; UBS deal guided wider BANK 2018-BNK12 JPMDB 2018-C8 UBSCM 2018-C10

New Issue

24/5/2018 Elements Behavioral files for bankruptcy, assures landlord of June rents CRE Bankruptcy

24/5/2018 UBSCM conduit prices wide UBSCM 2018-C10 JPMDB 2018-C8 DBGS 2018-BIOD

New Issue

25/5/2018 Recalcitrant investors squeeze yield out of RMBS, CMBS, ABS primary NAVSL 2018-B Investor Strategy

25/5/2018 Banks, M&A drive marketing of USD 70m-plus in CRE, mixed loans CRE Loan Sale

30/5/2018 Conversion to single-asset status will speed Chicago retail bankruptcy CRE Bankruptcy

30/5/2018 Atrium hotels, 5 Bryant Park deals prepped; DBGS deal sized at USD 725m

DBGS 2018-BIOD CGCMT 2018-C5 5 Bryant Park 2018-5BP

New Issue

31/5/2018 Online auction of 15 Sears stores put on indefinite hold CRE Auction

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CMBS Monthly Report

MAY 2018 An Acuris Company

Debtwire.com

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We have obtained the information provided in this report in good faith from sources that we consider to be reliable, but we do not independently verify the information. The information is not intended to provide tax, legal or investment advice. We shall not be liable for any mistakes, errors, inaccuracies or omissions in, or incompleteness of, any information contained in this report. All such liability is excluded to the fullest extent permitted by law. Data has been derived from company reports, press releases, presentations and Debtwire intelligence.

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An Acuris Company

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Debtwire is an Acuris company

EMEA

10 Queen Street Place

London

EC4R 1BE

United Kingdom

+44 203 741 1000

Asia

Suite 1602-6

Grand Millennium Plaza

181 Queen’s Road, Central

Hong Kong

Americas

330 Hudson St.

4th Floor

New York,

NY 10013 USA

Disclaimer

We have obtained the information provided in this report in good faith from sources that we consider to be reliable, but we do not independently verify the information. The information is not intended to provide tax, legal or investment advice. We shall not be liable for any mistakes, errors, inaccuracies or omissions in, or incompleteness of, any information contained in this report. All such liability is excluded to the fullest extent permitted by law. Data has been derived from company reports, press releases, presentations and Debtwire intelligence.

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With an ever-evolving market, Debtwire ABS tracks and reports on faulty legacy loans as well as emerging asset classes such as marketplace lending.

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