December 2009

Monthly Delinquency Report - Commentary

In November 2009, the delinquent unpaid balance for CMBS increased substantially to $37.93 billion from
$32.55 billion a month prior, driven primarily by the 30-day delinquency status of the $3.5 billion portion of
the $4.1 billion Extended Stay Hotel loan from the WBC07ESH transaction. A $575 million portion of the
debt related to the A1 note / class was reported as 90+-days past due, while the remaining $3.5 billion
piece of the senior debt was reported as 30-days past due. Pursuant to an amended cash management
agreement, all excess funds are being held in a reserve account while the master servicer is only passing
through what is deemed recoverable, as governed by the Servicing Agreement. Realpoint expects the
delinquency reporting for this $4.1 billion specially-serviced loan to continue in the near-term.
Table 1 - Trailing Three Months Delinquency
Nov-09 Oct-09 Sep-09 Otherwise, the overall delinquent unpaid balance is up an
Category UPB ($BB) UPB ($BB) UPB ($BB) astounding 440% from one-year ago (when only $7.03 billion
30-Day $ 9.79 $ 7.19 $ 7.08
60-Day $ 4.62 $ 3.30 $ 4.96 of delinquent balance was reported for November 2008), and
90+-Day $ 14.74 $ 14.51 $ 13.36 is now over 17 times the low point of $2.21 billion in March
Foreclosure $ 5.95 $ 4.83 $ 4.05 2007. An increase in each of the five delinquent loan
REO $ 2.83 $ 2.71 $ 2.27
Current $ 768.18 $ 778.35 $ 773.61
categories was noted in November, while the distressed 90+-
Total CMBS $ 806.11 $ 810.90 $ 805.34 day, Foreclosure and REO categories grew in aggregate for
Total CMBS Del. $ 37.93 $ 32.55 $ 31.73 the 24th straight month – up by another $1.47 billion (7%) from
Delinq. % 4.706% 4.013% 3.940%
the previous month and over $19.97 billion (562%) in the past
year (up from only $3.55 billion in November 2008).

The total unpaid balance for CMBS pools reviewed by Realpoint for the November 2009 remittance was
$806.11 billion, down from $810.9 billion in October. Both the delinquent unpaid balance and
delinquency percentage over the trailing twelve months are shown in Charts 1 and 2 below, clearly
trending upward. The resultant delinquency ratio for November 2009 of 4.71% (up from the 4.01%
reported one month prior) is almost six times the 0.83% reported one-year prior in November 2008 and
17 times the Realpoint recorded low point of 0.283% from June 2007. The increase in both delinquent
unpaid balance and ratio over this time horizon reflects a steady increase from historic lows in mid-2007.
Charts 1 and 2 – Monthly CMBS Delinquency: Balance vs. Percentage (source: Realpoint)

$40.00
$37.93

$35.00
$32.55
$31.73

$28.65 $28.16
$30.00

$25.68

$25.00
$ (in billions)

$20.00 $18.78
$17.15

$13.89
$15.00
$11.99
$10.79

$10.00 $8.68
$7.03

$5.00

$0.00
Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09
Month

Page 1 of 15
 December 2009
5.000%
4.706%

4.500%
3.940% 4.013%

4.000%
3.505% 3.471%
3.500%
3.135%

3.000%
Percentage

2.275%
2.500%
2.066%

2.000% 1.664%
1.431%
1.500% 1.281%
1.025%
0.828%
1.000%

0.500%

0.000%
Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09
Month

When focusing on deals seasoned for at least one year, our investigation reveals the following:
• All deals seasoned at least a year have a total unpaid balance of $798.98 billion, with $37.93 billion
delinquent – a 4.75% rate (up from only 2.29% six months prior).
• When agency CMBS deals are removed from the equation, deals seasoned at least a year have a
total unpaid balance of $768.11 billion, with $37.85 billion delinquent – a 4.93% rate (up from only
2.37% six months prior).
• Conduit and fusion deals seasoned at least a year have a total unpaid balance of $682.8 billion, with
$32.46 billion delinquent – a 4.75% rate (up from only 2.57% six months prior).

Forecasted Delinquency by Balance and Percentage – Scenario Analysis

Overall, following the delinquency reporting of the $4.1 billion Extended Stay Hotel loan and the
experienced average growth month-over-month, we now project the delinquent unpaid CMBS balance to
continue along its current trend and grow to between $50 and $60 billion by mid 2010. Based upon an
updated trend analysis, we now project the delinquency percentage to grow to between 5% and
6% through the first quarter of 2010 (potentially approaching and surpassing 7-8% under more
heavily stressed scenarios through the mid-2010). This outlook is mostly due to the reporting of
several large loans from recent vintage transactions that continue to show signs of stress and default,
along with continued balloon maturity defaults from more seasoned transactions. In addition, while we
maintain our negative outlook for both the retail and hotel sectors for the remainder of 2009 and into
2010, we are closely monitoring the negative trends surrounding several large struggling multifamily loans
that have near-term default risk.

On the other hand, as three new issue deals have closed in the past two months and more new issuance
is expected to come to market in 2010, some of the delinquency growth we have experienced month-
over-month in 2009 may yet be offset somewhat by any new issuance’s speed to market in 2010. In
addition, liquidations of severely distressed defaulted loans have picked up speed in the latter half of
2009, while modifications and forbearance at the loan level continue to be discussed between borrowers
and special servicers that may also result in a delinquency “leveling-off” period.

Despite these issues, our historical scenario and trend analysis regarding recent default activity and the
potential for future delinquency growth presents the following:

Page 2 of 15
 December 2009
Scenario 1 (Six-Month Historical Assumptions):

• Over the past six months, delinquency growth by unpaid balance has averaged roughly $3.19
billion per month. Assuming ongoing monthly pay-down and liquidation activity, if such
delinquency average were increased by an additional 25% growth rate, and then carried through
the first quarter 2010, the delinquent unpaid balance would top $53 billion and reflect a
delinquency percentage above 6% by March 2010. Carried through mid-2010, the
delinquent unpaid balance would top $65 billion and reflect a delinquency percentage just
above 8% by June 2010.
• In addition to this growth scenario, if we add-in the potential default of the now specially-serviced
$3 billion Peter Cooper Village / Stuyvesant Town loan spread through multiple CMBS deals via a
pari passu structure, the delinquent unpaid balance would top $56 billion and reflect a
delinquency percentage over 7% by March 2010. Carried through mid-2010, the delinquent
unpaid balance would top $68 billion and reflect a delinquency percentage over 8.5% by
June 2010.

Scenario 2 (Three-Month Historical Assumptions):

• Over the past three months, delinquency growth by unpaid balance has averaged roughly $3.3
billion per month. Assuming ongoing monthly pay-down and liquidation activity, if such
delinquency average were increased by an additional 25% growth rate, and then carried through
the first quarter 2010, the delinquent unpaid balance would reach $54 billion and reflect a
delinquency percentage slightly above 6.5% by March 2010. Carried through mid-2010,
the delinquent unpaid balance would top $66 billion and reflect a delinquency percentage
near 8.5% by June 2010.
• In addition to this growth scenario, if we again add-in the potential default of the $3 billion Peter
Cooper Village / Stuyvesant Town loan, the delinquent unpaid balance would reach $57
billion and reflect a delinquency percentage above 7.1% by March 2010. Carried through
mid-2010, the delinquent unpaid balance would top $69.4 billion and reflect a delinquency
percentage close to 9% by June 2010.

Special Servicing Exposure and Other Trends

Special servicing exposure continues to rise dramatically on a monthly basis, having increased for the
19th straight month through November 2009. The unpaid balance for specially serviced CMBS increased
on a net basis by $7.48 billion in November 2009, up to a
Table 2: Monthly Special Servicing Transfers
trailing 12-month high of $65.84 billion from $58.36 billion
Nov. 2009
in October and $54.46 billion in September. In addition,
Year Issued # of Loans Current Balance
newly transferred specially-serviced loans totaled 324 at
2007 56 $ 1,180,968,721.81
$8.64 billion in November 2009, as shown in Table 2.
2006 80 $ 5,363,049,242.39
2005 41 $ 925,708,306.17
Worth noting is that 177 of these loans at $7.469 billion
2004 45 $ 574,023,722.04
(86% of newly transferred balance) were issued from 2005
2003 13 $ 132,051,058.57 through 2007. Our default risk concerns for the 2005 to
2002 7 $ 24,287,476.47 2007 vintage transactions relative to underlying collateral
2001 19 $ 158,410,421.12 performance and payment ability are more evident on a
2000 10 $ 64,400,482.16 monthly basis. Both the volume and unpaid balance of
1999 41 $ 169,135,225.89 CMBS loans transferred to special servicing on a monthly
1998 10 $ 44,543,258.66 basis continues to raise questions about underlying credit
1997 1 $ 391,862.48 stability in today’s market climate for these more recent
1996 1 $ 1,260,737.49 vintage CMBS deals.
Totals 324 $ 8,638,230,515.25
As a result of the recent transfer activity, the corresponding percentage of loans in special servicing
increased to 8.2% of all CMBS by unpaid balance in November 2009, up from 7.2% a month prior. The
overall trend of special servicing exposure since January 2005, by both unpaid balance and percentage,
is presented in Charts 3 and 4.

Page 3 of 15
 December 2009
Charts 3 and 4 – Special Servicing Exposure: Balance vs. Percentage (source: Realpoint)

Special Servicing Exposure by Unpaid Balance ($BB): January 2005 through November 2009

$70.00

Nov-09, $65.84

$60.00

$50.00

$40.00

$30.00

$20.00

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

Jan-08, $4.53
$0.00 Jan-07, $3.74
05

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Special Servcing Exposure as % of Outstanding CMBS: January 2005 through November 2009

9.00%

Nov-09, 8.17%
8.00%

7.00%

6.00%

5.00%

4.00%

3.00%

2.00% Jan-05, 1.95%

Jan-09, 1.71%
Jan-06, 1.00%
1.00%
Jan-07, 0.52%

Jan-08, 0.52%
0.00%
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Page 4 of 15
 December 2009
Over 63% of the delinquent unpaid balance through November 2009 came from transactions issued in
2006 and 2007, with nearly 36% of all delinquency found in 2007-issued transactions. When we extend
our review to include the 2005 vintage, an additional 15% of total delinquency is found; thus over 78% 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.

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

$14,000,000,000

$12,000,000,000

$10,000,000,000

$8,000,000,000

$6,000,000,000

$4,000,000,000

$2,000,000,000

$-
Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09
Month

2005 2006 2007

For the remainder of 2009 and most of 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.

Other concerns / dynamics within the CMBS deals we are monitoring which may affect the overall
delinquency rate due to current credit market conditions in 2009 include:

• Balloon default risk is growing rapidly from highly seasoned CMBS transactions for both
performing and non-performing loans coming due 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. This scenario has added to loans with distressed collateral
performance in today’s credit climate.
• Within this area of concern, 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 that are
soon to reach their 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.
• Aggressive pro-forma underwriting was the norm on loans originated for 2005 through 2008
vintage transactions, many with debt service / interest reserves required at-issuance. The

Page 5 of 15
 December 2009
balance of such reserves is declining more rapidly than originally anticipated, and many are close
to default or transfer to special servicing (if not already there).
• Exacerbating such concern is the large unpaid balance related to loans underwritten with DSCRs
between 1.10 and 1.25 as any decline in performance in today’s market could cause an inability
to meet debt service requirements. Further stress on in-place DSCRs hovering around
breakeven is expected on partial-term interest-only loans that will begin to amortize in the near
future, or those that have recently converted.
• Falling commercial real estate values and diminishing equity in collateral properties is projected
to prompt struggling borrowers with marginal collateral performance to hand over the keys and
walk away from properties.
• A decline in distressed asset sales or liquidations, however, is expected through the remainder of
2009 and into 2010 as traditional avenues for securing new financing is less available.
• By property type, our negative / cautious outlook for the hotel sector is growing as many sizeable
hotel loans and portfolios from 2005-2008 vintage pools are reporting poor or declined results in
2009 (especially on the luxury side) or are being transferred to special servicing for imminent
default and / or debt relief.
• Continued weakening in retail performance may lead to increased store closures and potential
loan defaults as consumer spending declines and bankruptcy filings may grow further. While
consumer spending has shown some recent signs of resiliency (prompted by programs that have
led to extended unemployment benefits and tax incentives), it is expected that consumer
spending will fall throughout 2010 – impacting the retail sector as a whole.
• Layoffs, bankruptcies and downsizing have impacted office vacancies across most MSAs,
including historically strong markets like New York City, and this trend is expected to continue.

Monthly CMBS Loan Workouts and Liquidations

Liquidation and realized loss activity by loan balance has been high over the past six months of 2009, as
the monthly unpaid balance which experienced a loss was in excess of $100 million in each of these
months. Average loss severity for these liquidations has also been on the rise.

An additional $254.6 million in loan workouts and liquidations were reported for November 2009 across
52 loans at an average loss severity of 46%. Eleven of these loans, however, at $55.2 million
experienced a loss severity near or below 1%, most likely related to workout fees, while the other 41
loans at $199.4 million experienced an average loss severity near 58%. As additional pressures are
placed on special servicers to maximize returns in today’s credit market, true loss severities are expected
to be high; however, liquidation activity may not 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 do expect higher levels of loss severity to be the norm for the
remainder of 2009 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 2009 and 2010).
Historical highlights regarding liquidation activity and loss severity are as follows:
• Since January 2005, over $8.94 billion in CMBS liquidations have been realized, while 48 of the
last 57 months have reported average loss severities below 40%, including 21 below 30%.
• Annual liquidations for 2008 totaled $1.297 billion, at an overall average severity of only 24.9%.
Such 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.
• Comparatively, liquidations in 2007 totaled $1.094 billion at an average severity of 32.8%.
• 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%.

Page 6 of 15
 December 2009
Therefore, to accurately account for such issues regarding loss severities for 2009 and going forward, we
have separated those loans with a loss severity near or below 1% for monthly snapshot reporting in table
3, as well as the property type severity figures presented in tables 5, 6 and 7 below.

Table 3 – Liquidations for November 2009: 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
BSC00WF1 9905485 Video Junction Retail Center Retail $ 745,337.00 $ 208,451.48 28.0% 11/2/2009 COVENTRY RI
BSC02TO6 000068 Park Centre Office Building Office $ 4,144,278.92 $ 1,077,514.57 26.0% 11/23/2009 SMYRNA GA
BSC04PW3 000092 Redbird Oaks Shopping Center Retail $ 2,910,236.97 $ 1,640,936.07 56.4% 11/2/2009 DALLAS TX
BSC07P17 222.000 Shoppes of Deerfield North Retail $ 2,435,000.00 $ 1,174,079.93 48.2% 11/24/2009 MASON OH
CBAC0501 2005100384 02FIXED/VARIABLE Multi-family $ 369,805.57 $ 369,805.57 100.0% 11/12/2009 SOUTH EUCLID OH
CBAC0501 2005100648 02FIXED/VARIABLE Other $ 357,119.99 $ 261,769.48 73.3% 11/11/2009 FALL RIVER MA
CBAC0601 176 302 05FIXED/VARIABLE Other $ 2,435,763.85 $ 1,895,032.34 77.8% 11/16/2009 NULL Various
CD06CD2 144.000 Circuit City - Manassas, VA Retail $ 5,426,488.77 $ 2,290,859.10 42.2% 11/25/2009 MANASSAS VA
CLT08LS1 161.000 Summerlake Mobile Home Park Multi-family $ 3,590,512.20 $ 2,981,155.67 83.0% 11/13/2009 FORT WORTH TX
COB06C01 140.000 The Shoppes on Shugart Shopping Center Retail $ 3,158,077.83 $ 1,738,270.88 55.0% 11/20/2009 DALTON GA
CSF03C05 000136 Amberwood Apartments Multi-family $ 1,063,228.61 $ 391,833.19 36.9% 11/12/2009 RIVERDALE GA
CSF03CK2 000051 Circuit City - Bolingbrook, IL Retail $ 4,363,906.20 $ 3,631,196.65 83.2% 11/5/2009 Bolingbrook IL
DLJ98CF2 000060 Holiday Inn - Metroplex-Youngstown, OH Hotel $ 5,578,005.07 $ 5,578,005.07 100.0% 11/13/2009 GIRARD OH
DLJ99CG3 137 Arbor Village South Apartments Multi-family $ 1,337,116.71 $ 1,337,116.71 100.0% 11/17/2009 ANDERSON IN
GMAC06C1 31.000 Highline Club Apartments Multi-family $ 15,312,276.22 $ 9,479,416.63 61.9% 11/5/2009 NOVI MI
GMAC06C1 15.000 Main Street Village Apartments Multi-family $ 26,592,904.41 $ 12,647,461.94 47.6% 11/5/2009 NOVI MI
GMAC97C1 00096-S046 Blue Tiplit Inc. (Poseidon Plaza) Retail $ 278,659.62 $ 31,581.48 11.3% 11/16/2009 SCRANTON PA
HMAC00P1 6103427 Spring Glade Apartments Multi-family $ 904,585.59 $ 268,412.80 29.7% 11/16/2009 TAMPA FL
JPC02C02 001100 Power Plant Live Other $ 20,170,043.42 $ 13,499,260.75 66.9% 11/4/2009 BALTIMORE MD
JPC04LN2 000166 Ohio Savings Bank Building Office $ 1,335,633.33 $ 712,543.19 53.3% 11/9/2009 CLEVELAND OH
JPC05LD3 11.000 Browns tone Apartments Multi-family $ 35,400,000.00 $ 20,313,155.07 57.4% 11/13/2009 Novi MI
JPC06LD7 244.000 3205-3225 Cres tview Drive Multi-family $ 1,817,807.58 $ 542,027.26 29.8% 11/3/2009 DALLAS TX
JPMC99C8 821 Adams Building Office $ 1,993,052.13 $ 1,769,321.26 88.8% 11/16/2009 MILW AUKEE WI
JPMC99C8 825 Van Buren Building Office $ 6,409,963.51 $ 2,332,662.46 36.4% 11/16/2009 MILW AUKEE WI
LAS06MF4 296.000 16415 Woodrow Multi-family $ 642,112.93 $ 484,671.52 75.5% 11/16/2009 Channelview TX
LAS06MF4 88.000 530 & 534 Degler St Multi-family $ 1,548,695.04 $ 979,737.66 63.3% 11/12/2009 Defiance OH
LBC98C04 000054 45 Exec utive Drive Office $ 5,882,152.46 $ 5,882,152.46 100.0% 11/1/2009 PLAINVIEW NY
LBC99C01 196 275 North Saguaro Drive Multi-family $ 696,550.41 $ 284,350.82 40.8% 11/25/2009 APACHE JUNCTION AZ
LBUB04C7 000084 Kohl's Plaza Outparcel Retail $ 1,702,077.90 $ 1,048,505.22 61.6% 11/12/2009 COLUMBUS OH
LBUB06C7 44.000 Sienna Springs Apartments Multi-family $ 11,083,006.03 $ 8,717,151.39 78.7% 11/12/2009 DALLAS TX
MLCF0705 41.000 Woodland Mall Retail $ 8,721,956.48 $ 6,984,679.32 80.1% 11/13/2009 BOWLING GREEN OH
MLM98C02 000471 Olde North Village Apartments Multi-family $ 635,586.46 $ 37,097.02 5.8% 11/20/2009 WINSTON SALEM NC
MSC04IQ8 94-001 Metro Mechanical Industrial $ 720,468.91 $ 130,975.79 18.2% 11/3/2009 FORT MYERS FL
MSC05T17 98-001 Designer Doors Warehouse Industrial $ 1,797,207.13 $ 777,311.35 43.3% 11/18/2009 PHOENIX AZ
MSC07I14 164.000 The Falls at Settler's Walk Multi-family $ 6,000,000.00 $ 1,795,452.00 29.9% 11/13/2009 Springboro OH
MSC07T27 212.000 Regent Shoppes - St. Cloud, FL Retail $ 1,650,190.94 $ 1,395,222.01 84.5% 11/30/2009 SAINT CLOUD FL
MSC199R1 000185 Chapel Centre Industrial $ 1,270,896.34 $ 930,695.76 73.2% 11/4/2009 AKRON OH
SBM700C2 62 500 South Salina Street Office $ 3,838,237.03 $ 3,838,237.03 100.0% 11/10/2009 SYRACUSE NY
SBM700C2 75 Lamar Crossing Shopping Center Retail $ 3,022,036.63 $ 1,449,590.08 48.0% 11/10/2009 PARIS TX
SVG07C01 195.000 632 Pres ident Street / 30 Huntington Street Portfolio Multi-family $ 1,470,149.25 $ 339,113.32 23.1% 11/12/2009 BROOKLYN NY
WAMU07S3 659.000 4525 Rosewood Avenue Multi-family $ 625,000.00 $ 294,051.62 47.0% 11/17/2009 Los Angeles CA
Sub-Totals $ 199,436,127.44 $ 121,540,863.92 57.7% Avg Severity

Deal ID Pros ID Loan Name Prop Type Balance Before Loss Loss Amount Loss % Loss Date City State
BACM0101 000122 Real Property Services Office Building Office $ 2,080,487.70 $ 22,161.75 1.1% 11/4/2009 NORTH LAS VEGAS NV
CMAC99C1 45 Country Club Place Shopping Center Retail $ 4,165,731.20 $ 41,887.50 1.0% 11/6/2009 SAINT CHARLES MO
CSF00C01 99-04784 Roseville Shopping Center Retail $ 2,670,419.86 $ 27,458.74 1.0% 11/24/2009 ROSEVILLE MN
CSF05C01 76.000 Unizan Plaza Office $ 6,000,000.00 $ 60,538.33 1.0% 11/4/2009 CANTON OH
DLJ99CG3 51 Lakeside Village Shopping Center Retail $ 4,834,185.87 $ 49,886.27 1.0% 11/6/2009 DALLAS TX
GECC05C1 23.000 River Place Retail $ 22,425,000.00 $ 227,099.25 1.0% 11/2/2009 JACKSONVILLE FL
GMAC00C1 TA7314 106 Apple Street Office $ 7,337,887.13 $ 82,645.26 1.1% 11/13/2009 EATONTOWN NJ
GMAC00C1 24140 Singing Oaks Apartments Multi-family $ 2,188,972.27 $ 22,745.52 1.0% 11/13/2009 DENTON TX
LBC99C01 182 Lexington Plac e Apartments Multi-family $ 1,163,307.64 $ 12,055.53 1.0% 11/5/2009 AMERICUS GA
PNC99CM1 175 West Marine Center Retail $ 1,081,184.33 $ 11,118.53 1.0% 11/25/2009 HIGHLANDS RANCH CO
PNC99CM1 167 Lake Pointe Condominiums Multi-family $ 1,212,444.90 $ 11,959.77 1.0% 11/30/2009 STOCKTON CA
Sub-Totals $ 55,159,620.90 $ 569,556.45 1.0% Avg Severity

Aggregate Total $ 254,595,748.34 $ 122,110,420.37 45.7% Avg Severity

Page 7 of 15
 December 2009
Table 4 – Monthly CMBS Liquidations and Average Loss Severity, January 2008 to November 2009 (source: Realpoint)

Totals Balance Before Loss Loss Amount Avg. Loss %

Nov-09 $ 254,595,748.34 $ 122,110,420.37 45.7%
Oct-09 $ 185,955,385.04 $ 103,648,147.36 52.0%
Sep-09 $ 229,934,937.41 $ 115,054,921.03 40.6%
Aug-09 $ 179,275,710.33 $ 63,758,343.83 37.7%
Jul-09 $ 152,422,686.58 $ 32,901,870.66 31.3%
Jun-09 $ 104,612,935.29 $ 27,604,887.58 39.6%
May-09 $ 83,774,841.23 $ 33,562,306.32 35.2%
Apr-09 $ 65,890,685.28 $ 13,820,841.89 31.1%
Mar-09 $ 157,538,109.76 $ 38,348,045.97 50.7%
Feb-09 $ 53,881,344.45 $ 21,297,774.64 23.6%
Jan-09 $ 127,512,771.20 $ 42,220,021.31 37.1%
Dec-08 $ 119,798,193.52 $ 53,191,551.67 42.0%
Nov-08 $ 134,819,667.87 $ 25,028,932.54 27.6%
Oct-08 $ 93,685,039.57 $ 8,286,575.46 13.5%
Sep-08 $ 78,271,654.89 $ 6,971,767.96 17.0%
Aug-08 $ 70,664,692.73 $ 12,174,288.96 20.0%
Jul-08 $ 201,914,661.89 $ 56,467,662.03 30.4%
Jun-08 $ 158,520,022.07 $ 31,146,059.73 24.9%
May-08 $ 81,930,650.64 $ 19,632,531.51 16.5%
Apr-08 $ 115,172,947.71 $ 62,227,934.35 29.4%
Mar-08 $ 97,384,008.72 $ 21,385,223.39 19.6%
Feb-08 $ 86,972,409.26 $ 19,949,191.89 20.3%
Jan-08 $ 58,557,636.99 $ 18,181,773.24 32.1%

Table 5 – Average Loss Severities by Property Type for 2009: All Liquidated Loans (source: Realpoint)

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

Healthcare Average $ 9,422,647.91 $ 3,997,882.72 42.7% 2
Hotel Average $ 83,821,538.75 $ 23,482,769.67 39.5% 13
Industrial Average $ 98,251,936.98 $ 23,161,269.26 24.9% 22
Multi-family Average $ 525,356,941.03 $ 302,512,044.03 47.0% 138
Office Average $ 349,144,539.65 $ 82,683,141.78 31.4% 45
Other Average $ 63,637,413.90 $ 42,675,318.78 60.7% 17
Retail Average $ 465,760,136.69 $ 135,815,154.72 34.0% 102
Grand Average $ 1,595,395,154.91 $ 614,327,580.96 40.0% 339

Table 6 – Average Loss Severities by Property Type for 2009: Loans with Material Loss Severity Above 2% (source: Realpoint)

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

Healthcare Average $ 9,422,647.91 $ 3,997,882.72 42.7% 2
Hotel Average $ 30,461,358.50 $ 23,375,893.61 72.9% 7
Industrial Average $ 34,956,144.36 $ 22,506,532.56 59.4% 9
Multi-family Average $ 451,927,021.13 $ 301,842,163.59 62.0% 104
Office Average $ 135,324,126.04 $ 80,945,886.58 58.2% 24
Other Average $ 55,669,288.05 $ 42,588,119.67 73.5% 14
Retail Average $ 230,147,768.45 $ 133,512,568.54 55.3% 62
Grand Average $ 947,908,354.44 $ 608,769,047.27 60.5% 222

Table 7 – Average Loss Severities by Property Type for 2009: Loans with Loss Severity Below 2%, including Assumed
Special Servicing Workout Fees (source: Realpoint)

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

Hotel Average $ 53,360,180.25 $ 106,876.06 0.7% 6
Industrial Average $ 63,295,792.62 $ 654,736.70 1.0% 13
Multi-family Average $ 73,429,919.90 $ 669,880.44 1.0% 34
Office Average $ 213,820,413.61 $ 1,737,255.20 0.9% 21
Other Average $ 7,968,125.85 $ 87,199.11 1.3% 3
Retail Average $ 235,612,368.24 $ 2,302,586.18 1.0% 40
Grand Average $ 647,486,800.47 $ 5,558,533.69 1.0% 117

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 December 2009
For comparison by property type:
• 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%).
• 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%).
• 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).

Future Workouts – Delinquency Categories

The total balance of loans in Foreclosure and REO increased for the 25th straight month to $8.78 billion in
November 2009 from $7.54 billion in October 2009 and $6.33 billion in September 2009, despite ongoing
liquidation activity. The chart below also shows the rapid growth of loans reflecting 90-day delinquency in
the past six months, transitioning swiftly from 30-day defaults into more distressed levels on a monthly
basis in 2009, thus supporting our use of such as an early indicator of workouts to come for 2009-2010.
Chart 6 – Monthly Delinquency Categories (source: Realpoint)

$16,000,000,000

$14,000,000,000

$12,000,000,000

$10,000,000,000
$ Delinq.

$8,000,000,000

$6,000,000,000

$4,000,000,000

$2,000,000,000

$-
Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09
Month

30-Day 60-Day 90+-Day Foreclosure REO

Property Type
• In November 2009, multifamily loans topped retail loans as the greatest contributor to overall CMBS
delinquency, at 1.23% of the CMBS universe and 26% of total delinquency.
• Following a slight decline in May 2009 (the first decline since August 2008), multifamily secured loans
have since remained a poor performer, with a delinquency rate over 6%, up from 5.5% a month prior.
By dollar amount, multifamily loan delinquency is now up by an astounding $8.99 billion since a low
point of only $903.3 million in July 2007.
• The retail default rate grew slightly to 4.49% in November from 4.05% in October 2009, up substantially
from only 0.8% one-year ago. Worth noting, retail surpassed multifamily in May 2009 as the highest
CMBS default contributor and had remained in such position prior to November 2009.

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 December 2009
• Into 2010, we expect retail delinquency to continue its increase as consumer spending suffers from the
overall weakness of the U.S. economy. We also anticipate store closings and retailer bankruptcies to
continue, along with growing balloon maturity default risk.
• As shown in Chart 7, retail, multifamily, office and hotel collateral loan delinquency as a percentage of
the CMBS universe have clearly trended upward in the trailing twelve months.
• Only seven healthcare loans at 0.018% of the CMBS universe were delinquent in November 2009, but
such delinquent unpaid balance reflects over 7% of all healthcare collateral in CMBS.
• The total delinquency rate for CMBS hotel loans grew to 7.6% in November from 7.4% a month prior,
up substantially from only 0.7% one-year ago. The hotel sector is expected to experience a continued
increase in delinquency as both business and leisure travel slows further, resulting in greater declines
in occupancy, REVPAR and ADR. 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.
• As a percentage of total unpaid balance, month-over-month delinquencies for only two of seven
categories increased by double digits or more from October to November 2009 (multifamily and other).

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 $ 144,189,630.27 7 0.018% 0.380% 7.400%
Hotel Total $ 5,547,859,139.89 288 0.688% 14.625% 7.624%
Industrial Total $ 1,036,363,882.45 168 0.129% 2.732% 2.945%
Multi-family Total $ 9,896,212,226.19 981 1.228% 26.088% 6.037%
Office Total $ 6,048,536,541.95 501 0.750% 15.945% 2.677%
Retail Total $ 9,397,486,400.47 958 1.166% 24.774% 4.186%
Other Total $ 5,862,974,664.80 374 0.727% 15.456% 7.165%
Grand Total $ 37,933,622,486.02 3,277 4.706% 100.000%

Chart 7 – Trailing Twelve Month Delinquency by Property Type (source: Realpoint)

Property Type Monthly Delinquency: as Percentage of

1.60%
CMBS Universe
1.40%
1.20%
Percentage

1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
N o D e Ja F M A M J J A S O N
v- 0 c- 0 n-0 eb-0 ar -0 pr-0 ay- 0 un-0 ul- 09 ug- 0 ep- 0 ct-0 ov- 0
8 8 9 9 9 9 9 9 9 9 9 9
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 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09
Healthcare 5.0% 5.2% 5.9% 5.8% 5.6% 6.0% 5.5% 6.3% 7.0% 7.3% 8.4% 7.0% 7.4%
Hotel 0.7% 1.1% 1.5% 1.8% 2.0% 2.2% 2.8% 4.2% 4.7% 4.9% 5.8% 7.4% 7.6%
Industrial 0.6% 0.9% 1.0% 1.1% 1.3% 1.5% 1.6% 1.9% 2.4% 2.6% 2.8% 2.8% 2.9%
Multi-family 1.9% 2.0% 2.4% 2.6% 2.8% 3.7% 3.4% 4.0% 4.2% 4.8% 5.2% 5.5% 6.0%
Office 0.4% 0.5% 0.7% 0.8% 1.1% 1.2% 1.5% 1.8% 1.8% 2.1% 2.5% 2.6% 2.7%
Retail 0.8% 1.1% 1.3% 1.6% 1.8% 2.3% 2.6% 5.2% 3.8% 3.9% 4.2% 4.0% 4.2%
Other 0.3% 0.3% 0.5% 0.4% 0.7% 0.9% 1.1% 2.6% 1.6% 2.4% 3.3% 2.5% 7.2%

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 December 2009
Special Servicing
• Special servicing exposure increased for the 19th straight month to approximately $65.84 billion across
3,823 loans in November 2009, up from $58.36 billion across 3,575 loans in October 2009 and $54.46
billion across 3,347 loans in September 2009.
• For the 24th straight month, the total unpaid principal balance for specially-serviced CMBS when
compared to 12 months prior increased, by a high $55.7 billion since November 2008. Such exposure
is up over 549% in the trailing-12 months.
• Conversely, for historical reference, special servicing exposure was below $4 billion for 11 straight
months through October 2007.
• Exposure by property type remains heavily weighted towards retail collateral at 32%, followed by
multifamily at 23% and office at 16%.
• 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 $31.54 billion in November 2009. This figure remains inflated by
the GGP-sponsored loans paying interest-only at the non-default rate of interest (despite some
requiring principal and interest from amortization prior to transfer in May).
• Within the 3.9% of CMBS current but specially-serviced, we found 305 loans at $26.7 billion with an
unpaid principal balance over $20 million, up from 303 loans at $24.6 billion with an unpaid principal
balance over $20 million a month prior.
• Unpaid principal balance exceeded $50 million for 157 current but specially-serviced loans in November
2009, and exceeded $100 million for 77 loans. Such loans are now highlighted by the various Peter
Cooper Village & Stuyvesant Town pari passu loans found in various transaction.

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
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%
Aug-09 $49.92 6.15% $25.30 3.12% $24.62 49.3%
Jul-09 $47.87 5.84% $25.26 3.08% $22.61 47.2%
Jun-09 $40.53 4.96% $15.76 1.93% $24.77 61.1%
May-09 $37.05 4.49% $21.23 2.57% $15.82 42.7%
Apr-09 $24.52 2.95% $10.35 1.25% $14.16 57.8%
Mar-09 $20.30 2.43% $8.39 1.01% $11.91 58.7%
Feb-09 $17.11 2.04% $7.14 0.85% $9.96 58.2%
Jan-09 $14.38 1.71% $5.87 0.70% $8.51 59.2%
Dec-08 $12.78 1.51% $5.77 0.68% $7.01 54.9%
Nov-08 $10.14 1.20% $4.31 0.51% $5.83 57.5%
* Figures in billions

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

Property Type Stratification - Specially Serviced Assets

Healthcare Total Hotel Total

0.3% 13.4%
Retail Total
Industrial Total
31.8%
2.1%

Multi-family Total
22.8%
Other Total
Office Total
13.4%
16.2%

Page 11 of 15
 December 2009
Geography
• The top three states ranked by delinquency exposure have remained consistent since January 2009, as
California, Florida, and Texas collectively accounted for 30% of delinquency through November 2009.
• The 10 largest states by delinquent unpaid balance reflect 56% of CMBS delinquency, while the 10
largest states by overall CMBS exposure reflect 53% of the CMBS universe.
• The state of California remains a major concern at over 12% of CMBS delinquency. By MSA, however,
such delinquency appears to be fairly diversified (outside of the Los Angeles MSA highlighted below).
• While by state delinquency exposure Florida ranks second, no Florida MSA is found in the Top 10
MSA’s ranked by delinquency exposure (highest being Miami, which ranked 13th in our data).
• Notably, over 10% of total CMBS exposure in the states of Arizona, Nevada and Michigan are
delinquent, with the Phoenix, AZ and Las Vegas, NV MSAs ranked highest by delinquency exposure.
• Credit also appears to be deteriorating further in the Detroit, MI MSA, as near 11% of the total MSA
exposure was again reported delinquent through November 2009.
• Texas delinquency is highly concentrated within the Dallas-Fort Worth and Houston MSAs.
• While only one MSA topped 4% of CMBS delinquency in November 2009, two did so in October 2009.
• The 10 largest MSAs by delinquent unpaid balance reflect 30% of CMBS delinquency, while the 10
largest MSAs by overall CMBS exposure reflect 34% 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 $ 4,610,664,394.45 269 0.572% 12.155% 4.370%
FL Total $ 3,497,486,943.23 366 0.434% 9.220% 8.371%
TX Total $ 3,156,892,392.08 350 0.392% 8.322% 6.296%
AZ Total $ 2,051,635,644.37 172 0.255% 5.408% 11.630%
NY Total $ 1,776,227,800.19 152 0.220% 4.682% 1.811%
NV Total $ 1,469,477,076.75 110 0.182% 3.874% 10.485%
MI Total $ 1,427,777,346.79 207 0.177% 3.764% 11.035%
GA Total $ 1,309,834,854.87 178 0.162% 3.453% 6.545%
OH Total $ 1,051,285,582.13 161 0.130% 2.771% 7.185%
IL Total $ 1,011,938,232.46 115 0.126% 2.668% 4.074%
Top 10 States $ 21,363,220,267.32 2,080 2.650% 56.317%

Table 12 - Delinquency by MSA (source: Realpoint)

MSA Current Balance Loan Count % of CMBS Delinq. % of total MSA

Phoenix, AZ Total $ 1,550,532,668.27 139 4.087% 10.631%
New York, NY Total $ 1,367,256,451.17 75 3.604% 1.637%
Las Vegas, NV Total $ 1,300,811,542.23 94 3.429% 10.499%
Dallas-Fort Worth, TX Total $ 1,171,173,148.23 149 3.087% 6.181%
Atlanta, GA Total $ 1,168,144,311.42 151 3.079% 7.217%
Los Angeles, CA Total $ 1,124,690,314.66 61 2.965% 2.969%
Houston, TX Total $ 1,069,495,846.63 102 2.819% 6.780%
Detroit, MI Total $ 908,159,411.21 125 2.394% 10.890%
Chicago, IL Total $ 862,514,646.50 91 2.274% 4.129%
Philadelphia, PA Total $ 760,608,750.87 50 2.005% 4.936%
Top 10 Totals $ 11,283,387,091.19 1,037 29.745%

Issuance
• In November 2009, over 85% of CMBS delinquency by deal type was found in fusion and conduit deals.
• Of note by deal type is the 32% “Kickout” loan transaction delinquencies.
• The 2006 and 2007 vintage transactions topped the list when delinquency is ranked by year of
issuance, accounting for over 63% of total delinquency. Both vintage years had an individual
delinquency rate for their respective outstanding balance far above the overall rate of 4.71%.
• Deals issued from 2005 through 2007 now contribute over 78% of total delinquency, 3.67% of all
CMBS. We feel this is the direct result of current market conditions comingled with aggressive
underwriting, and will lead to further special servicing exposure and ultimate liquidation activity.

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 December 2009
• While not shown in the Top 10 chart below, deals issued from 2008 now contribute less than 1% (0.7%)
of total delinquency, 0.03% of all CMBS. Despite the low contribution to overall delinquency, the
vintage itself had an individual delinquency rate of 4.85%, also above the overall rate of 4.71%.
• Deals issued in 1998 through 2001 contribute almost 8.5% of the total delinquency, 0.4% of all CMBS.

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 $ 31,193,741,894.81 2,630 3.870% 82.232% 4.896%
Single Borrower Total $ 3,500,000,000.00 14 0.434% 9.227% 15.579%
Floating Rate Total $ 1,522,263,697.63 24 0.189% 4.013% 4.054%
Conduit Total $ 1,263,352,884.35 272 0.157% 3.330% 2.770%
Unknown Total $ 393,489,540.37 324 0.049% 1.037% 0.810%
Kickout Total $ 52,646,830.15 10 0.007% 0.139% 32.234%
Seasoned Loan Total $ 8,127,638.71 3 0.001% 0.021% 0.305%
Grand Total $ 37,933,622,486.02 3,277 4.706% 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 $ 13,636,011,805.35 677 1.692% 35.947% 6.584%
2006 Total $ 10,355,719,334.25 827 1.285% 27.300% 5.372%
2005 Total $ 5,612,680,599.39 565 0.696% 14.796% 3.662%
2004 Total $ 2,443,279,216.17 264 0.303% 6.441% 3.387%
2003 Total $ 1,195,576,857.81 138 0.148% 3.152% 2.397%
2001 Total $ 1,107,869,212.53 176 0.137% 2.921% 2.836%
2002 Total $ 753,884,667.46 104 0.094% 1.987% 2.268%
2000 Total $ 751,902,115.36 129 0.093% 1.982% 3.278%
1998 Total $ 730,859,882.88 140 0.091% 1.927% 6.687%
1999 Total $ 621,283,675.91 138 0.077% 1.638% 10.050%
Top 10 Totals $ 37,209,067,367.11 3,158 4.616% 98.090%

Chart 9 - Delinquency by Year of Issuance: As % of Outstanding Vintage Balance (source: Realpoint)

CMBS Delinquency Exposure by Vintage: As % of Outstanding Vintage

Balance

12.0%

10.0%
Delinquency %

8.0%

6.0%

4.0%

2.0%

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

Page 13 of 15
 December 2009
Franchise Transactions
• The delinquency rate for Franchise transactions remains erratic on a monthly basis (as reflected in the
chart below).
• Over the trailing-12 months, delinquency grew to 19.6% in October 2009, the highest it has been,
compared to a low of only 9.05% in June 2009.
• Franchise delinquency has averaged 13.2% over the trailing-12 months.
• 515 franchise loans at $273.8 million have been liquidated since January 2006 at an average severity
of 78%. This includes 76 loans at $31.5 million in 2007, 69 loans at $52.3 million in 2008, and 282
loans at $106.9 million year to date in 2009.

Chart 10 – Franchise Deal Delinquency (source: Realpoint)

19.642%
20.000%

18.000% 15.844%

16.000% 14.582% 14.702%

14.147%
14.096%
13.241%
13.172%
14.000%

11.284%
12.000%
9.324%
9.391% 9.045%
Percentage 10.000%

8.000%

6.000%

4.000%

2.000%

0.000%
Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09
Month

Page 14 of 15
 December 2009
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 © 2009 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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