Commercial Mortgage Market Monitor December 2018 · 2020-02-03 · Overview The CMBS 2.0...

MORTGAGE-BACKED SECURITIES

Commercial Mortgage Market Monitor

December 2018 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 minimally in December from 0.57% to 0.58%. The special servicing (SS) rate increased from 1.17%

to 1.28% with thirty loans totaling $653MM transferring to SS.

There were 22 loans ($292.5MM) that became newly delinquent in December. One large, notable delinquency was the $54MM West Ridge

Mall & Plaza (5% COMM 2014-CR16). The loan is secured by the fee simple interest in a portion of a two-story super regional mall and a

portion of an anchored retail center located in Topeka, Kansas.

The collateral for the West Ridge Mall & Plaza Loan is 482,602 total square feet which consists of 392,249 square feet at the West Ridge Mall

property and 90,353 square feet at the West Ridge Plaza property. The West Ridge Mall is a super-regional mall with five anchor tenants at the

time of loan origination, including Dillard’s, JC Penney, Furniture Mall of Kansas, Sears, and Burlington Coat Factory. The West Ridge Plaza is

an anchored retail center with two anchor tenants at the time of loan origination including Target and Toys R Us.

Asset performance has declined since underwriting. Most recent reported occupancy sits at 85% versus 90% at the time of underwriting. The

borrower (Washington Prime Group) was not able to make their November loan payment. The loan is in delinquency status due to imminent

default.

There were no large CMBS loans that took material losses in December.

In new issue CMBS, seven private label deals ($5.1BN) priced, including five conduit deals ($4.2BN) and two single asset/single borrower

(SASB) deals ($0.9BN). Four of the five conduit transactions utilized a horizontal risk retention structure while one deal used an L-shaped risk

retention piece. The AAA LCFs priced at a weighted average spread of swaps +103 bps which is 10 bps wider versus the November weighted

average.

The largest SASB transaction was a $597MM 2yr floater with five 1yr extension options collateralized by the Grande Lakes Resort in Orlando,

Florida. The Grande Lakes Resort is a 1,580 room full service resort comprised of the 582 room Ritz-Carlton Grande Lakes Luxury Hotel and

the 998 room JW Marriott Grande Lakes Luxury Hotel. The loan proceeds were used by GLO Hotel Owner LLC, a joint venture among funds

managed by Elliott Management and Trinity Real Estate Investments, to acquire the resort. The AAA tranche priced at 1mL + 128 bps and the

deal utilized a horizontal risk retention structure.

2018 private label issuance across conduit/SASB totaled $75.8BN across 119 deals, compared to $82BN of private label conduit/SASB

issuance that priced across 116 deals in 2017.

4

Section A:

5

I. Delinquencies as a % of Unpaid Principal Balance

6

0.58%

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% 12/10/1830 Days Topeka, KS-100.00%

COM14UB2 Canyon Crossing Retail 44,071,672 4.0% 12/10/1830 Days Riverside-San Bernardino-Ontario, CA

COM13C12 Harbourside North Office 37,711,067 3.6% 12/10/1830 Days Washington-Arlington-Alexandria, DC-VA-MD-WV

WFC16C35 San Fernando Value Square Retail 23,439,970 2.3% 12/15/1830 Days Los Angeles-Long Beach-Anaheim, CA

GS213G14 Indiana Mall Retail 14,248,070 1.3% 12/10/1830 Days Indiana, PA

CSI17CX9 Tenalok Portfolio Retail 13,241,734 1.5% 12/15/1830 Days Memphis, TN-MS-AR-71.15% Bartlesville, OK-

15.54% WFC15C31 Windsor Square Retail 12,100,000 1.3% 12/15/1830 Days Knoxville, TN

MSB14C14 Pence Building Office 9,448,432 0.8% 12/15/1830 Days Minneapolis-St. Paul-Bloomington, MN-WI

CFCR16C4 Wharfside Village Other 8,929,382 1.1% 12/10/1830 Days NULL

SGCM16C5 Shilo Inn Newport Hotel 8,730,091 1.2% 12/10/1830 Days Newport, OR

Total 221,851,018


8

II. Watch List Exposure

9

10.19%

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

1.28%

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 17.2%

Industrial 1.4%

Multi-Family 13.5%

Office 20.3%

Other 15.0%

Retail 32.6%

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

WFC15NX1 Patriots Park Office 95,000,000 10.2% 12/15/18 <30 Days Washington-Arlington-Alexandria, DC-VA-MD-

WV WFC15NX2 Patriots Park Office 90,000,000 10.1% 12/15/18 <30 Days Washington-Arlington-Alexandria, DC-VA-MD-

WV MSB14C16 Outlets of Mississippi Retail 62,000,000 5.1% 12/15/18 Current Jackson, MS

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

COM14UB2 Canyon Crossing Retail 44,071,672 4.0% 12/10/18 30 Days Riverside-San Bernardino-Ontario, CA

CTG15G27 Highland Square Multi-Family 38,220,000 3.3% 12/10/18 Current Oxford, MS

COM14C18 Met Center 10 Industrial 27,176,784 2.9% 12/15/18 <30 Days Austin-Round Rock, TX

COM15C22 Patriots Park Office 26,000,000 2.1% 12/10/18 <30 Days Washington-Arlington-Alexandria, DC-VA-MD-

WV COM13CC9 Raintree Apartments Multi-Family 25,755,742 2.3% 12/10/18 <30 Days Buffalo-Cheektowaga-Niagara Falls, NY

COM14C20 Two Park Central Office 17,168,266 1.5% 12/10/18 <30 Days Albuquerque, NM

Total 475,323,062


14

0.715%0.566%

10.192%

1.281%

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%

Aug-18 Sep-18 Oct-18 Nov-18 Dec-18

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%

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

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

1.23%

0.3%0.2%

0.7%0.8%

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

COM13C12 SpringHill Suites Bel Air Hotel 8,567,749 1% 12/10/18 11/06/18 Current Baltimore-Columbia-Towson, MD

WFR13UB1 Gander Mountain Tuscaloosa Retail 3,754,105 1% 12/15/18 11/01/18 REO Tuscaloosa, AL

IMPF1001 Vintage Knolls Senior

Apartments

Multi-

Family

1,110,349 1% 12/25/18 11/01/18 Current Sacramento--Roseville--Arden-

Arcade, CA Total 13,432,203


24

VIII. Defeased Loan Trends

25

3.38%

0%

1%

1%

2%

2%

3%

3%

4%

4%

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

0.1

-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

COM13CC

6

La Quinta Inn & Suites Canton Hotel 3,573,743 0.3% 601,822 16.8% 12/10/18 Canton-Massillon, OH

Subtotals 3,573,743 601,822 16.8%

Loans with Losses Less than 2%

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

Subtotals - - #DIV/0!

Aggregate Totals 3,573,743 601,822 16.8%

31

III. Aggregate Severity Greater than 2%

32

Totals Balance Loss Amt Avg Severity Count

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 3,573,743 601,822 16.8% 1

Total 3,573,743 601,822 16.8% 1

Loans with severity greater than 2%


Hotel 3,573,743 601,822 16.8% 1

Total 3,573,743 601,822 16.8% 1

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

Deal Property Name Type Balance Pct TapeDate Prepay Action

COM15C22 Lions Run Apartments Multi-Family 5,259,560 0% 12/10/18 Disposition / Liquidation

Total 5,259,560


42

II. Top 10 Largest Refinancings with Yield Maintenance

43

Deal Property Name Type Balance Pct Date DispositionType City

JPB13C17 EIP National Industrial 89,677,624 11% 11/30/18 Payoff With Yield Maintenance Chicago-Naperville-Elgin, IL-IN-WI-23.70%

Orlando-Kissimmee-Sanford, FL-21.78% JPC11C05 Google Kirkland Campus Office 46,349,249 8% 12/01/18 Payoff With Yield Maintenance Seattle-Tacoma-Bellevue, WA

JPC12LC9 Torrance Towne Center Retail 45,368,584 6% 12/01/18 Payoff With Yield Maintenance Los Angeles-Long Beach-Anaheim, CA

CTG14G23 Dolce Living Rosenberg Multi-Family 33,000,000 3% 12/01/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX

JPC16JP3 Homewood Suites Nashville

Downtown

Hotel 23,065,372 2% 12/01/18 Payoff With Yield Maintenance Nashville-Davidson--Murfreesboro--

Franklin, TN BCR18CR3 Legacy at Westchase Apartments Multi-Family 20,200,000 7% 12/07/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX

JPC16JP4 The Riviera Multi-Family 15,065,434 2% 12/03/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX

JPC16JP3 Shadow Creek Apartments Multi-Family 14,054,730 1% 12/01/18 Payoff With Yield Maintenance Houston-The Woodlands-Sugar Land, TX

JPC13C10 Pine Island Road Portfolio Office 10,173,476 1% 11/09/18 Payoff With Yield Maintenance Miami-Fort Lauderdale-West Palm Beach,

FL-100.00% CTG12GC8 Dallas & OKC MHC Portfolio

(Stonetown Acquisitions)

Other 6,927,406 1% 11/27/18 Payoff With Yield Maintenance Oklahoma City, OK-77.22% Dallas-Fort

Worth-Arlington, TX-22.78% Total 303,881,875


44

III. Top 10 Largest Refinancings with Prepayment Penalties

45

Deal Property Name Type Balance Pct Date DispositionType City

IMPF1001 Bermuda Park Apartments Multi-Family 1,774,653 1% 11/30/18 Payoff With Penalty Riverside-San Bernardino-Ontario, CA

Total 1,774,653


46

Section D: Appraisal Reductions

47

I. Percentage of Balance with Appraisal Reduction

48

0.378%

37.8%

-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 December 2018 · 2020-02-03 · Overview The CMBS 2.0...

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