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DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES AND
ANALYST CERTIFICATIONS.
CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION®
Client-Driven Solutions, Insights, and Access
CMBS Market Watch Weekly Securitized Products Americas
Market activity and relative value The CMBS sector offered more of the same this week, as heavy new issue
supply continues to weigh on the market, pushing spreads moderately wider
and keeping trading volume muted.
August could bring as many as five conduit deals ($6 billion) and four single
borrower transactions ($3.3 billion) before the end-of-summer slowdown.
Our near-term outlook for spreads remain neutral, and we believe that CMBS
is likely to trade in a range over the coming weeks, as the market digests
supply and shores up positions before the September Fed meeting.
MBA Origination survey shows rise in lending A quarterly survey, conducted by the Mortgage Bankers Association, showed
that commercial and multifamily lending increased 29%, in the second
quarter, compared to the same period last year.
There have been distinct differences in the pace of recovery across lending
platforms, according to the survey results. To our surprise, the survey
indicates CMBS originations were down in the second quarter, the only
platform to experience a decline.
CMBS loans in the news USAA is buying a stake in five Westfield malls. Two of these back CMBS
loans (one legacy and one recently issued). The transaction provides updated
property valuations.
We also discuss three properties that are selling from REO.
Update on Office Depot / OfficeMax closures Office Depot indicated, on its Q2 earnings announcement that it was planning
on accelerating its “store optimization plan”.
The plan, which followed the merger of the two companies, calls for the
closure of 400 stores, over 20% of its US base. Over the last five quarters the
company has shrunk its base by 274 locations.
We have mapped these closing store locations to CMBS and show the
exposure. Overall the exposure remains relatively small. Loans where Office
Depot/OfficeMax is a large tenant remain at risk, in our view.
We update the exposure list to loans where they represent a large portion of
the space as well as loans where they have a near term lease expiring.
Research Analysts
Roger Lehman
+1 212 325 2123
Sylvain Jousseaume, CFA
+1 212 325 1356
Serif Ustun, CFA
+1 212 538 4582
CMBS and CMBX spreads and prices
CMBS swap spread/price
1-wk chg
Trailing 12-month
8/4/15 Min Max Avg
Legacy CMBS
AAA 10yr 123 2 88 133 104
AM 235 2 120 245 146
AJ 440 5 333 444 372
New issue CMBS
AAA 5yr (30% CE) 68 0 48 68 57
AAA 10yr (30% CE) 106 2 80 106 88
AAA Junior 144 1 102 144 119
AA 195 7 136 195 155
A 250 0 182 256 210
BBB- 402 2 310 425 355
CMBX.7
AAA 96.91 -0.07 96.14 97.83 97.11
AS 98.46 -0.10 97.28 99.60 98.63
AA 99.07 -0.06 98.08 100.64 99.81
A 98.87 -0.11 97.98 101.30 100.00
BBB- 97.72 -0.22 95.47 99.86 98.36
BB 97.87 -0.10 94.57 99.98 98.29
Agency CMBS
GNR 10yr 110 0 100 115 107
FNA 10yr 57 0 35 57 48
FREMF 10yr 55 0 32 55 44
SBA 504 10yr 50 0 27 50 38
Source: Credit Suisse, Markit
06 August 2015
Fixed Income Research
FOR INSTITUTIONAL CLIENT USE ONLY
06 August 2015
CMBS Market Watch Weekly 2
Market activity and relative value The CMBS sector offered more of the same this week as heavy new issue supply
continues to weigh on the market, pushing spreads moderately wider and keeping trading
volume muted.
Two conduit deals ($2.5 billion) are close to pricing and two more ($2.2 billion) were
recently announced. It also appears that there is potentially one more conduit deal in the
wings, bringing the total to nearly $6.0 billion over the month of August, before the pace
finally slows down during the last couple of weeks, as end-of-summer vacations take hold.
In addition, as we have discussed, we believe we could see as many as four single-
borrower deals ($3.3 billion) this month.
Recently issued spreads were weaker again this week, with new issue last cash flow
super-seniors back out to around S+105 bp, a couple of basis points wider on the week,
and back to where they were in mid-July. The triple-B minus bonds remain in the S+high-
300 area, out around 5 bp week-over-week, but again tighter than the levels from a few
weeks ago.
In addition to the heavy new issue volume, the market has once again seen rate volatility
pick up (which we show in Exhibit 1 using the CIRVE index) even as equity volatility
remains subdued (shown by the VIX in Exhibit 2).
Exhibit 1: Rates volatility (CIRVE index) Exhibit 2: Equity volatility (VIX index)
50
60
70
80
90
100
Au
g 1
4
Se
p 1
4
Oct
14
No
v 1
4
De
c 1
4
Jan
15
Fe
b 1
5
Ma
r 1
5
Ap
r 15
Ma
y 1
5
Jun
15
Jul 15
Au
g 1
5
10
12
14
16
18
20
22
24
26
28A
ug 1
4
Se
p 1
4
Oct
14
No
v 1
4
De
c 1
4
Jan
15
Fe
b 1
5
Ma
r 1
5
Ap
r 15
Ma
y 1
5
Jun
15
Jul 15
Au
g 1
5
Source: Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
The spike in the CIRVE index came earlier in the week and was, in part, a response to
comments made by Atlanta Fed President Lockhart that indicated the Fed was close to
being ready to raise short-term rates.
Higher rate volatility and widening of corporate spreads remain hurdles to CMBS spread
tightening, in our view.
Our near-term outlook for spreads remain neutral and we believe that CMBS is likely to
trade in a range over the coming weeks as the market digests supply and shores up
positions before the September Fed meeting. We continue to recommend investors use
the new issue calendar to selectively add better quality deals.
As we discussed last week, in a review of second quarter new issue quality, there has
been increased tiering from deal to deal, based on the perception of credit quality and
subordination level. In addition, we believe tiering is being influenced by a deal’s
anticipated liquidity and the rating agencies used.
06 August 2015
CMBS Market Watch Weekly 3
Longer-term, we remain positive both on the outlook for spreads as well as on the
performance of the commercial real estate cycle. A reduction in rate volatility and a clearer
path on the Fed’s game plan is likely to pull investors off the sidelines, in our view,
allowing spreads to retrace, some of their recent widening.
CMBX spreads, like cash, were also wider on the week, although only marginally so
(Exhibits 3 and 4). The curve did not steepen or flatten markedly but BBB- bonds were the
universal underperformers, on the week.
Exhibit 3: CMBX.7 from July 29 to August 5 Exhibit 4: CMBX.8 from July 29 to August 5
92
120
162 215
333
533
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
AAA.7 AS.7 AA.7 A.7 BBB-.7 BB.7
bp
103
134
180
238
387
608
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
AAA.8 AS.8 AA.8 A.8 BBB-.8 BB.8
bp
Source: Credit Suisse, Markit Source: Credit Suisse, Markit
MBA Origination survey shows rise in lending A quarterly survey conducted by the Mortgage Bankers Association showed that
commercial and multifamily lending increased 29% in the second quarter, compared to the
same period last year. The index was also 16% higher than the prior quarter.
We follow the MBA’s index as an indication of lending volume for commercial mortgages,
across a variety of lending platforms. It has been our view that the continued improvement
in the availability of financing, over the past several years, has been a crucial ingredient in
the recovery of commercial real estate prices, and we believe this is a big positive for
legacy CMBS credit as well.
We show the quarterly index, as well as a four quarter moving average (which addresses
seasonality issues) in Exhibit 5.
Exhibit 5: MBA index shows commercial mortgage originations continue to rise 1
82 21
0
165
242261
289
108
5473
119148 170 181
$508
$181
$82
$119
0
50
100
150
200
250
300
350
400
450
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 15
MBA Origination Index
Yearly avg $359$406 $400
$184
$244
Source: Credit Suisse, MBA
06 August 2015
CMBS Market Watch Weekly 4
The exhibit shows that commercial mortgage lending has continued to increase, at a
reasonably consistent pace, over the past few quarters. The index is up, on average, 37%
versus the first half of 2014 and is consistent with our view that originations would continue
to rise this year.
There have been distinct differences in the pace of recovery across lending platforms,
according to the survey results. For example, the CMBS lending index actually fell versus
the first quarter while the others were all positive. This surprised us. However, quarter-
over-quarter the data can show some volatility so instead we show the breakout of the
MBA index, again using a four-quarter moving average by lender type, in Exhibit 6.
Exhibit 6: MBA index shows commercial mortgage originations continue to rise
0
100
200
300
400
500
600
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 15
Conduits
Commercial banks
Life company
FNMA/FHLMC
Index 4Q Average
Source: Credit Suisse, MBA
Most of the lending platforms have been trending higher although the pace has varied.
CMBS growth has been relatively slow compared to the other lending platforms such as
banks and especially, over the past few quarters, GSEs.
CMBS loans in the news USAA buys stake in Westfield Malls
A USAA Real Estate partnership has agreed to buy stakes in five malls, currently owned
by Westfield, according to Real Estate Alert. The transaction values the assets at
$1.1 billion for the malls. Two of the five properties back securitized CMBS loans.
UBSBM 2012-WRM
USAA is buying a 79% stake in Westfield MainPlace, located in Santa Ana, California. The
mall backs one of two uncrossed loans that back the single-borrower UBSBM 2012-WRM
transaction. The Westfield MainPlace loan’s balance is $140.0 million and accounts for
33.7% of the deal. The other loan in the deal is backed by Westfield Galleria at Roseville.
The sale values the property at $353.9 million. This compares to the $327.2 million
appraised value, at securitization in April 2012. While the mall totals over 1.1 million
square feet, the collateral is listed at around 617k and excludes some of the anchors. The
JC Penney pad (145k square feet) is included as part of the collateral.
The loan is scheduled to mature in June 2022 but can currently be prepaid, subject to a
penalty. The assigned valuation, based on the transaction price, implies a current LTV
ratio of 40%.
06 August 2015
CMBS Market Watch Weekly 5
WBCMT 2006-C29
The deal also includes the sale, to USAA, of a 49% stake in Westfield Fox Valley, in
Aurora, Illinois. The property backs a $150.0 million loan that accounts for 4.9% of
WBCMT 2006-C29. The mall totals 1.4 million square feet, but 552k square feet serve as
loan collateral. The space occupied by the anchors, including Macy’s, Sears, JC Penney
and Carson Pirie Scott, are owned by the tenant and not part of the collateral.
The transaction values the property at $170 million, which compares to an appraised value
of $259.0 million, established back in 2006. The loan matures in November 2016 but is
prepayable, subject to a penalty.
Trafalgar Plaza selling from REO for $7 million
CD 2006-CD2
Trafalgar Plaza, a Fort Lauderdale office building, sold for $7.3 million, according to the
Florida Business Journal.
The property was an REO asset of CD 2006-CD2 and part of the Trafalgar Plaza Portfolio,
with an associated balance of $18.8 million (1.1% of the deal). The loan was originally
backed by this two-building complex as well as the Zimmerman Corporate Center. The
Zimmerman building was sold, to the same buyer, in May, for $3.3 million, leading to a
recovery of the ASER and servicing advances outstanding at that time, as well as a slight
principal paydown.
We estimate that the sale of the remaining property will lead to a loss to the trust of
approximately $12 million to $13 million, in line with the appraisal reduction amount. This
would write down a large portion of the remaining balance of Class D (originally rated
double-A minus).
Sale of REO River Park Plaza closes
GCCFC 2005-GG5
River Park Plaza, an REO asset of GCCFC 2005-GG5 ($29.8 million and 1.7% of the
deal), was put up for auction in June, along with several other properties from the same
deal. At the time of the sale, we noted a high bid of $20.1 million and indicated that it was
likely sold.
The completed sale of the office building was confirmed by the Minneapolis / St. Paul
Business Journal, although it noted a sale price of $20.5 million. The sale price compares
favorably to the series of appraised values for the property, the most recent of which was
$16.6 million, dated last September.
In addition to the outstanding balance, the loan has also accumulated advances of
approximately $3.0 million and cumulative ASERs of nearly $4.2 million. Given this, we
believe that the trust could incur a loss from this loan in the neighborhood of $17 million. It
should also result in the recoupment of some of the prior interest shortfalls owed.
The effect on the various tranches is hard to estimate because it seems likely that some,
or all, of the other REO loans that were part of the June auction may have also closed.
06 August 2015
CMBS Market Watch Weekly 6
The Shops of Collierville also selling from REO
LBUBS 2008-C1
The Shops of Collierville sold for $7.4 million, according to The Commercial Appeal, a
Memphis newspaper. The article confirms the price that we noted in a recent auction. The
retail property totals 60k square feet in Collierville, Tennessee.
The property is one of the remaining REO assets that originally backed the Memphis
Retail Portfolio in LBUBS 2008-C1 ($24.3 million and 2.9% of the deal). The loan was
originally backed by five retail and office properties. Two of the five properties were sold in
April 2013. The sale reduced the outstanding advances and ASERs at that time.
All three assets were put up for sale, as part of a June online auction, as were other
properties from this deal. It appeared to us that the Chickasaw Gardens property, which
was part of the same loan, was also sold during the auction and we noted a high bid of
$3.0 million. The third property, Country Club Collections, seemed to obtain a high bid of
$3.4 million but it was unclear if the asset traded, as part of the auction process.
Update on Office Depot / OfficeMax closures Over the past couple of weeks, we have discussed retail store closures related to the
A&P bankruptcy as well as the first round of announced closures of Gap stores, which
the company announced in back in June. Since then, we have received a number of
questions with regards to some of the other retailers that are closing shops. Some of
these we have been following consistently (such as Sears/Kmart) and others we have
been revisiting periodically.
Given this renewed focus, as well as this week’s earnings report from Office Depot (ODP),
we thought it may be a good time to look at this company’s closures and which CMBS
loans have been impacted.
As a reminder, in May 2014, following the Office Depot merger with OfficeMax, the
combined company announced that it planned to close 400 stores through 2016, to create
synergies and reduce costs. At the time, the company operated approximately 1,900 US
stores so the closures represented about 21% of the US store base.
In February, Staples (SPLS) announced it reached a definitive agreement to buy Office
Depot. We noted at the time that such an acquisition would very likely result in accelerated
store closures. The proposal has been approved by both companies' boards of directors
as well as Office Depot shareholders, although they continue to need clearance from US
regulatory agencies. The quarterly earnings press release reiterated that the transaction is
scheduled to close by the end of the year.
One this week’s Q2 earnings report, ODP also discussed its financial performance as well
as what it calls its “store optimization plan”. Although sales in the second quarter ($3.4
billion) dropped, versus the same period last year ($3.8 billion), the company attributed
that, in part, to planned store closures. As a result operating income improved, from the
same period last year.
Turning to store closures the company announced it was planning to accelerate its
closures and shut approximately 175 stores this year and at least 60 next year. This, plus
what they closed last year, would bring them to at least 400 closures.
We show the store count over time in Exhibit 7. Since the initial store optimization
announcement the company has closed 274 US locations through the end of the
second quarter.
06 August 2015
CMBS Market Watch Weekly 7
Exhibit 7: Office Depot and OfficeMax store count
1,104 1,089 1,082
829 823 818
1,870 1,8511,745 1,725
1,626
0
200
400
600
800
1000
1200
1400
1600
1800
2000
Q3 2013 YE 2013 Q1 2014 Q2 2014 Q3 2014 YE 2014 Q1 2015 Q2 2015
TotalOfficeMaxOffice Depot
1,933 1,912 1,900
Source: Office Depot, Credit Suisse
As we previously discussed, the store closures accelerated toward the end of 2014,
after the back-to-school season. In the last three quarters of the year, 155 locations
were closed.
In the first half of this year, they have closed an additional 119 stores, mostly in the second
quarter. We would not be surprised if once again they slow the closures in the third quarter
and then accelerate them again in Q4.
We believe we were able to pinpoint the vast majority of locations that closed since the
rollout of the store optimization plan (including 115 of the 119 that came in the first half of
2015. While these do not tie exactly to the statistics provided by the firm, we believe they
represent a very large overlap (although we may be missing a handful of store closures).
We have mapped these closing store locations to CMBS and present them in two exhibits.
The exhibits are broken by timing of the closures, in order to get a sense of how the loans
have fared after the location closed.
Exhibit 8 shows the most recent closures, those that occurred in the first half of 2015. We
find 19 loans where an Office Depot/OfficeMax location has recently closed. A few things
are evident.
06 August 2015
CMBS Market Watch Weekly 8
Exhibit 8: YTD 2015 Office Depot and OfficeMax store closures in CMBS
Deal CMBX Name Tenant City, State
Nearest ODP
location (mile)
Loan status
(Jul 2015)
Loan status
(Jan 2015)
Lease exp
date
Alloc. loan
bal ($mn)
Total loan
bal ($mn)
Loan as pct
of deal
Store as a
pct of loan
Deal look-thru exp
BACM 2007-3 4 Yuba City Marketplace Depot Yuba City, CA 35.5 <30 <30 Dec-15 27.0 1.16% 13% 0.15%
CGCMT 2007-C6 4 Market Square (DDR Southeast Pool) Depot Douglasville, GA 3.3 Cur Cur Dec-15 6.3 441.0 11.93% 0.3% 0.04%
COMM 2007-C9 4 Market Square (DDR Portfolio) Depot Douglasville, GA 3.3 Cur Cur Dec-15 3.2 221.3 9.25% 0.3% 0.03%
WBCMT 2007-C32 4 Market Square (DDR Southeast Pool) Depot Douglasville, GA 3.3 Cur Cur Dec-15 3.2 221.3 8.10% 0.3% 0.02%
CGCMT 2015-GC27 Whitman Square Max Philadelphia, PA 4.6 Cur na Jan-16 31.9 2.68% 14% 0.37%
COMM 2015-LC19 Candlewood Lake Plaza Max Brookfield, CT 28.5 <30 na Jan-18 41.7 2.93% 12% 0.35%
CSFB 2004-C5 Emerald Coast Centre Max Destin, FL 2.5 Cur Cur Jul-15 3.9 6.97% 37% 2.59%
FUNBC 2001-C2 Regency Pointe Shopping Center Depot Jacksonville, FL 0.5 REO REO Feb-19 4.8 42.68% 12% 5.14%
GSMS 2013-GC14 7 Cobblestone Court Max Victor, NY 12.4 Cur Cur Jan-16 21.2 1.75% 14% 0.25%
GSMS 2014-GC18 Monroe Street Portfolio (Toledo Retail) Depot Toledo, OH 0.3 Cur Cur Sep-17 10.0 23.9 2.17% 8% 0.16%
JPMBB 2014-C22 8 Buick Center Miller Rd (PlazaCorp) Max Flint, MI 0.7 Cur Cur Jan-16 4.2 53.9 4.78% 3% 0.15%
JPMCC 2003-ML1A High Ridge Center Max Racine, WI 1.1 REO 90+day Jun-15 10.9 22.24% 10% 2.13%
JPMCC 2006-CB16 2 Gainesville Towne Center Depot Gainesville, GA 1.3 Cur Cur Dec-14 8.4 0.57% 18% 0.10%
JPMCC 2006-LDP9 3 Kimco PNP - Rainbow Promenade Max Las Vegas, NV 0.4 REO REO Jan-17 37.9 1.25% 13% 0.16%
LBUBS 2006-C4 2 Fountains of Miramar Depot Miramar, FL 2.0 Cur Cur Dec-15 24.0 1.55% 14% 0.22%
MSBAM 2012-C5 6 Premier Center of Canton Depot Canton, MI 4.6 Cur Cur Dec-16 15.7 1.22% 12% 0.15%
MSC 2011-C3 Coventry Portfolio - Antioch, TN Depot Antioch, TN 3.4 Cur Cur Jun-15 2.2 17.0 1.30% 7% 0.09%
TIAAS 2007-C4 Algonquin Commons Phase II Max Algonquin, IL 1.6 FCL FCL Jan-16 17.2 5.18% 10% 0.49%
WBCMT 2006-C23 Lansing Towne Centre Max Lansing, MI 10.0 REO 90+day May-15 12.7 0.41% 24% 0.10%
WBCMT 2007-C30 Concord Square Shopping Center Depot Wilmington, DE 15.8 Cur Cur Mar-19 32.1 0.48% 9% 0.04%
WBCMT 2007-C33 4 OfficeMax - Sanford FL Max Sanford, FL 6.2 <30 Cur Apr-19 2.1 0.09% 100% 0.09%
Source: Credit Suisse, Trepp
In only two of the 19 loans we identified, the closed stores represented more than 25% of
the property’s space. In one case the loan was relatively small, in the other, a more
seasoned deal (CSFB 2004-C5), the loan was small but represented a larger percentage
of the deal. We tried to marry the combination of loan size and store size in “look-through
exposure” in the last column of the exhibit.
Several of the loans were already in trouble, and had been delinquent at the start of the
year. Five of the loans are either REO or in the process of foreclosure.
As far as which stores are being shut, we continue to believe that the lease expiration and
proximity to another Office Depot/OfficeMax location play a role in the likelihood of closure.
Twelve of the 19 loans had a lease expiration in 2015 or the early part of 2016. In addition,
13 of the 19 locations had another location within five miles (and seven within two miles).
In Exhibit 9 we look at the loans with exposure to closures that occurred in the latter part of
2014. We find 31 CMBS loans with exposure to a closed Office Depot/OfficeMax store.
There are similar findings here. Most of the look-through exposure is small and there is a
large number of closures with near-term lease expirations and with other stores nearby.
06 August 2015
CMBS Market Watch Weekly 9
Exhibit 9: 2014 Office Depot and OfficeMax store closures in CMBS
Deal CMBX Name Tenant City, State
Nearest ODP
location (mile)
Loan status
(Jul 2015)
Loan status
(May 2014)
Lease exp
date
Alloc. loan
bal ($mn)
Total loan
bal ($mn)
Loan as a pct of deal
Store as a
pct of loan
Deal look-thru exp
BACM 2006-5 2 Columbia Marketplace Depot Columbia, TN 0.1 <30 <30 Nov-15 8.3 0.52% 24% 0.12%
BSCMS 2006-PW11 Riverdale Crossing Depot Coon Rapids, MN 1.2 Cur Cur Mar-17 29.7 2.22% 6% 0.13%
BSCMS 2006-PW13 2 OfficeMax Plaza Max Tucson, AZ 0.9 Cur Cur Dec-09 8.0 0.38% 30% 0.11%
BSCMS 2006-T22 Tucson Fiesta Center Depot Tucson, AZ 0.9 Cur Cur Mar-09 4.8 0.47% 37% 0.17%
BSCMS 2006-T24 Marketplace Center Max Murfreesboro, TN 2.1 REO REO Dec-11 11.8 1.26% 20% 0.25%
BSCMS 2007-PW17 4&5 West Valley City Retail Depot West Valley City, UT 5.3 Cur Cur Jan-15 3.5 0.16% 64% 0.10%
CD 2006-CD2 Woods Cross Center Max Woods Cross, UT 0.8 Cur Cur Aug-12 3.8 0.21% 43% 0.09%
CGCMT 2008-C7 5 Century Square Shopping Center Depot West Mifflin, PA 1.9 REO FCL Jun-13 18.5 1.61% 6% 0.10%
COMM 2006-C8 3 Atlantic Crossings Max Coral Springs, FL 0.3 Cur Cur Mar-14 14.0 0.59% 13% 0.08%
COMM 2007-C9 4 West Volusia Max Deland, FL 6.2 Cur Cur May-15 18.9 0.79% 9% 0.07%
COMM 2007-C9 4 Western Plaza Max Jacksonville, NC 51.9 Cur Cur Oct-14 7.4 0.31% 34% 0.11%
COMM 2014-UBS5 Peachtree Square Shopping Center Depot Atlanta, GA 2.4 Cur na Sep-19 6.5 0.46% 37% 0.17%
CSMC 2006-C4 2 President Street Garage Depot Baltimore, MD 6.2 Cur Cur Dec-14 7.9 0.26% 12% 0.03%
CSMC 2007-C5 5 Rosemont Marketplace Max Rosemont, IL 6.4 Liqd. Cur Aug-14 0.0 na 53% na
GSMS 2006-GG8 1441 Broadway Depot New York, NY 5.0 Cur Cur Dec-14 183.0 7.36% 4% 0.30%
JPMCC 2007-CB18 3 Crossroads I & II (Centro Heritage IV) Depot Manchester, CT 13.5 Cur Cur May-14 15.2 226.1 7.24% 1% 0.11%
JPMCC 2007-CB19 4 Circuit City and OfficeMax (LG Protf.) Max Wichita, KS 0.6 Cur Cur Jan-12 7.7 30.7 1.26% 11% 0.14%
JPMCC 2011-C5 Hamilton Crossing Center (Kite Retail) Depot Carmel, IN 3.6 Cur Cur Jun-14 12.3 41.1 4.32% 11% 0.48%
JPMCC 2011-C5 Franklin Centre Max Franklin, WI 3.0 Cur Cur Jul-19 8.1 0.85% 15% 0.13%
LBUBS 2005-C1 Route 30 Mall Depot Framingham, MA 12.5 Cur Cur Jan-14 8.1 8.62% 66% 5.68%
LBUBS 2005-C3 The Crossing Max Matthews, NC 0.4 Cur Cur Jun-12 8.7 9.69% 31% 3.05%
MLCFC 2006-2 2 Woodland Crossings Depot Woodland, CA 12.1 Cur Cur Nov-16 8.5 0.65% 17% 0.11%
MLCFC 2007-8 4&5 Interlochen Village Max Norcross, GA 5.4 Cur Cur Oct-14 11.2 0.65% 26% 0.17%
MLMT 2006-C1 Copperwood Village Shopping Center Max Houston, TX 0.5 Cur Cur Oct-14 47.8 2.77% 7% 0.19%
MSC 2005-HQ7 1 Fairfield Gateway Max Fairfield, CA 17.5 Cur Cur Sep-14 13.4 1.55% 28% 0.44%
MSC 2006-HQ8 Washington Park - Office Depot Depot La Quinta, CA 0.6 Cur Cur Dec-19 2.1 0.13% 100% 0.13%
MSC 2008-T29 5 Broadview Village Square Max Broadview, IL 3.0 Cur Cur Apr-15 31.5 3.32% 7% 0.23%
MSC 2012-C4 6 University Park Shopping Center Depot Denver, CO 1.1 Cur Cur Sep-17 19.2 1.83% 29% 0.52%
SBM7 2000-C1 Office Max Traverse Depot Traverse City, MI 42.5 Cur Cur Jan-17 0.4 3.60% 100% 3.60%
WBCMT 2007-C32 4 OfficeMax - Eden Prairie, MN Max Eden Prairie, MN 1.2 Cur Cur Jan-18 2.8 0.10% 100% 0.10%
WFRBS 2011-C4 Clinton Gardens Depot Clinton, MD 11.3 Cur Cur Oct-23 9.3 0.71% 57% 0.41%
Source: Credit Suisse, Trepp
For the most part, the loan performance has shown little change between May 2014
(before the closures started) and the most recent remittance period for this set of
CMBS loans.
One exception to this is a smaller loan on Rosemont Marketplace (CSMC 2007-C5). The
loan was transferred to the special servicer when OfficeMax (53% of the space) did not
renew its space, when its lease expired, last year. The loan was eventually liquidated with
close to a 40% loss severity.
In Exhibit 10 we show the list of loans in which Office Depot or OfficeMax occupies 50% or
more of the collateral space.
Lastly, in Exhibit 11, we look at loans where there is an Office Depot or OfficeMax with a
lease that is scheduled to expire between now and the end of next year.
06 August 2015
CMBS Market Watch Weekly 10
Exhibit 10: Office Depot and OfficeMax high tenancy CMBS loans (50% or higher GLA)
Deal CMBX Name Tenant City, State
Loan status (Jul 2015)
Loan status (Jan 2015)
Lease exp
date
Loan bal
($mn)
Loan as a
pct of deal
Store as a
pct of loan
Deal look-thru exp
BACM 2007-2 4 OfficeMax - Porterville, CA Max Porterville, CA Cur Cur Jul-18 1.8 0.10% 100% 0.10%
BACM 2008-1 Shops at Tara Depot Jonesboro, GA Cur Cur Aug-31 4.4 0.53% 70% 0.37%
BSCMS 2005-PW10 1 Lover's Lane Station Depot Dallas, TX Cur Cur Jun-16 9.8 0.75% 60% 0.45%
BSCMS 2007-PW16 4 Office Depot - Dallas Depot Dallas, TX Cur Cur Jun-16 2.2 0.10% 100% 0.10%
BSCMS 2006-PW14 3 Office Depot Oxford MS Depot Oxford, MS Cur Cur Oct-21 2.3 0.13% 100% 0.13%
BSCMS 2006-PW14 3 OfficeMax / Party America Max Grand Chute, WI Cur Cur Dec-15 3.7 0.22% 72% 0.15%
BSCMS 2007-PW16 4 Glenwood Springs Retail Depot Glenwood Springs, CO Cur Cur Dec-16 2.8 0.12% 76% 0.09%
BSCMS 2007-PW17 4&5 Office Max Chesapeake Max Chesapeake, VA Cur Cur Sep-15 2.1 0.09% 100% 0.09%
BSCMS 2007-T26 Office Depot Enterprise Depot Enterprise, AL Cur Cur Oct-21 1.9 0.12% 100% 0.12%
CD 2005-CD1 1 Office Depot Plaza Depot Los Angeles, CA Cur Cur Apr-16 8.0 0.60% 74% 0.44%
CD 2007-CD5 5 Office Depot - Palestine, TX Depot Palestine, TX Cur Cur Jan-16 2.2 0.15% 100% 0.15%
CD 2007-CD5 5 Office Depot - El Dorado, AR Depot El Dorado, AR Cur Cur Apr-15 2.2 0.16% 100% 0.16%
CGCMT 2013-GC17 7 Office Depot Depot Charlotte, NC Cur Cur Jan-24 2.2 0.25% 100% 0.25%
CGCMT 2014-GC23 8 Office Max Max Memphis, TN Cur Cur Oct-16 2.9 0.24% 83% 0.20%
CSFB 2005-C3 Riverside Center Max East Peoria, IL NPF Cur Jan-19 3.2 3.35% 70% 2.35%
CSFB 2005-C6 1 Citadel Square Depot Stone Mountain, GA 60 day Cur Dec-15 4.0 0.33% 52% 0.17%
CSMC 2007-C4 4&5 Office Depot Greensboro Depot Greensboro, NC <30 <30 Dec-21 1.6 0.16% 99% 0.15%
GSMS 2015-GC32 Delray Pointe Depot Delray Beach, FL na na May-19 4.4 0.44% 64% 0.28%
JPMCC 2007-CB18 3 Office Depot Benton, Arkansas Depot Benton, AR Cur Cur Nov-16 2.1 0.07% 100% 0.07%
JPMCC 2007-CB19 4 Office Max - Mesa, AZ Max Mesa, AZ Cur Cur Nov-19 2.7 0.11% 100% 0.11%
JPMCC 2007-LD11 4 Lakewood City Center Depot Lakewood, CO Cur Cur Sep-15 4.9 0.15% 55% 0.08%
JPMCC 2007-LD11 4 Southgate Shopping Center Max Milwaukie, OR Cur Cur Oct-15 7.8 0.24% 59% 0.14%
JPMCC 2007-LD12 4&5 Office Max - Philadelphia Max Philadelphia, PA FCL NPF Mar-16 5.2 0.37% 100% 0.37%
JPMCC 2008-C2 5 OfficeMax Savannah Max Savannah, GA Cur <30 Oct-18 2.8 0.38% 100% 0.38%
LBUBS 2007-C7 5 Arvada Office Max Max Arvada, CO Cur Cur Oct-18 1.2 0.06% 100% 0.06%
MLCFC 2007-5 3 Office Depot Marble Falls Depot Marble Falls, TX Cur Cur Sep-21 1.7 0.05% 100% 0.05%
MLCFC 2007-6 Office Depot Plaza Depot Ulster, NY Cur Cur Jul-15 3.5 0.20% 52% 0.10%
MLCFC 2007-7 4 Berkshire Plaza Depot Edmond, OK <30 <30 Nov-16 4.1 0.24% 72% 0.17%
MSBAM 2013-C12 7 Garden Plaza - Santa Barbara Max Santa Barbara, CA Cur Cur Jan-18 11.3 0.90% 60% 0.54%
MSC 2003-T11 Office Depot Plaza Depot Sylmar, CA Cur Cur Sep-17 0.9 1.12% 67% 0.75%
MSC 2005-HQ7 1 Office Max - Vincennes Max Vincennes, IN Cur 30 day Jan-19 1.8 0.21% 100% 0.21%
MSC 2007-HQ13 5 Office Depot Depot Arlington, TX Cur Cur Dec-17 2.5 0.41% 100% 0.41%
MSC 2007-IQ14 4 Office Depot Depot Hendersonville, TN Cur Cur Apr-22 2.4 0.08% 100% 0.08%
MSC 2007-T25 3 Office Depot - Paramus Depot Paramus, NJ Cur Cur Sep-16 5.2 0.44% 100% 0.44%
MSC 2007-T25 3 Office Depot - State College Depot College Township, PA Cur Cur Mar-16 2.4 0.20% 100% 0.20%
MSC 2008-T29 5 Greenfield Commons - Aurora Depot Aurora, IL Cur Cur Feb-16 3.6 0.38% 64% 0.24%
MSDWC 2002-IQ3 Office Max Max Greensburg, PA Cur Cur Oct-15 0.1 0.27% 100% 0.27%
PSSF 1999-C2 Office Depot Ormond Beach Depot Ormand Beach, FL Cur Cur Dec-18 2.0 11.32% 100% 11.32%
SBM7 2000-C1 Office Max Mankato Max Mankato, MN Cur Cur Oct-17 0.5 4.03% 100% 4.03%
SBM7 2000-C1 Office Max Martinsburg Max Martinsburg, WV Cur Cur Feb-18 0.6 4.81% 100% 4.81%
WBCMT 2006-C26 2 Office Depot - Dayton, OH Depot Dayton, OH Cur Cur Dec-21 2.1 0.16% 100% 0.16%
WBCMT 2007-C30 Gillette Retail Depot Gillette, WY Cur Cur Dec-16 2.5 0.04% 65% 0.02%
Source: Credit Suisse, Trepp
06 August 2015
CMBS Market Watch Weekly 11
Exhibit 11: Office Depot and OfficeMax exposure in CMBS with expiring leases through 2016
Deal CMBX Name Tenant City, State
Loan status
(Jul 2015)
Loan status
(Jan 2015)
Lease exp
date
Alloc. loan
bal ($mn)
Total loan
bal ($mn)
Loan as a pct of deal
Store as a
pct of loan
Deal look-thru exp
BACM 2006-2 2 Lakewood City Commons Max Lakewood, CO Cur Cur Jan-16 40.8 2.06% 8% 0.17%
BACM 2006-3 2 Hedwig Village Max Houston, TX Cur Cur Mar-16 33.9 2.43% 9% 0.21%
BSCMS 2003-PWR2 Dartmouth Towne Center Max North Dartmouth, MA Cur Cur Jan-16 5.6 8.55% 9% 0.77%
BSCMS 2003-T12 Eagle Plaza Shopping Center Depot Voorhees, NJ Cur Cur Dec-16 12.1 18.18% 10% 1.78%
BSCMS 2005-PW10 1 Lover's Lane Station Depot Dallas, TX Cur Cur Jun-16 9.8 0.75% 60% 0.45%
BSCMS 2007-PW16 4 Office Depot - Dallas Depot Dallas, TX Cur Cur Jun-16 2.2 0.10% 100% 0.10%
BSCMS 2005-T20 1 The Colonnade Shopping Center Depot Kennewick, WA Cur Cur Apr-16 13.7 2.05% 13% 0.27%
BSCMS 2006-PW13 2 Orchards Shopping Center Depot Loveland, CO Cur Cur Jun-16 13.4 0.63% 13% 0.08%
BSCMS 2006-PW14 3 OfficeMax / Party America Max Grand Chute, WI Cur Cur Dec-15 3.7 0.22% 72% 0.15%
BSCMS 2007-PW16 4 Glenwood Springs Retail Depot Glenwood Springs, CO Cur Cur Dec-16 2.8 0.12% 76% 0.09%
BSCMS 2007-PW16 4 Jackson Downs Max Nashville, TN Cur Cur Jan-16 14.7 0.66% 17% 0.12%
BSCMS 2007-PW17 4&5 City Center Englewood Depot Englewood, CO Cur Cur Jul-16 33.0 1.47% 10% 0.15%
BSCMS 2007-PW17 4&5 Shiloh Crossing Depot Avon, IN Cur Cur Dec-16 13.0 0.58% 18% 0.10%
BSCMS 2007-PW17 4&5 Office Max Chesapeake Max Chesapeake, VA Cur Cur Sep-15 2.1 0.09% 100% 0.09%
CD 2005-CD1 1 Office Depot Plaza Depot Los Angeles, CA Cur Cur Apr-16 8.0 0.60% 74% 0.44%
CD 2005-CD1 1 Lovejoy Square Max Portland, OR NPF Cur Jan-16 10.2 0.76% 27% 0.21%
CD 2006-CD3 Village at Century Depot Inglewood, CA Cur Cur Sep-16 33.3 1.71% 11% 0.19%
CD 2007-CD5 5 Office Depot - Palestine, TX Depot Palestine, TX Cur Cur Jan-16 2.2 0.15% 100% 0.15%
CD 2007-CD5 5 Office Depot - El Dorado, AR Depot El Dorado, AR Cur Cur Apr-15 2.2 0.16% 100% 0.16%
CGCMT 2006-C4 2 Bossier Corners Depot Bossier City, LA REO REO Mar-15 21.1 1.43% 21% 0.30%
CGCMT 2013-GC11 McIntosh Village SC Depot Peachtree City, GA Cur Cur May-16 23.3 1.98% 15% 0.29%
CGCMT 2014-GC19 Barnes Crossing Plaza Max Tupelo, MS Cur Cur Dec-16 10.3 1.02% 15% 0.15%
CGCMT 2014-GC23 8 Office Max Max Memphis, TN Cur Cur Oct-16 2.9 0.24% 83% 0.20%
CGCMT 2015-GC29 Six Flags Village Max Arlington, TX Cur na Aug-16 7.1 0.64% 27% 0.17%
COMM 2005-C6 Union Village Center Max Monroe, NC NPF <30 Jan-15 9.9 4.22% 12% 0.49%
COMM 2006-C8 3 Shoppes at Dadeland Depot Miami, FL Cur Cur Jun-15 39.0 1.64% 16% 0.25%
COMM 2014-CR16 Town and Country Plaza Depot Hammond, LA Cur Cur Sep-15 12.4 1.18% 10% 0.12%
COMM 2014-UBS6 8 Larkridge Shopping Center Max Thornton, CO Cur Cur Jan-16 30.5 2.40% 8% 0.18%
CSFB 2005-C2 Alexandria Power Center Depot Alexandria, LA FCL FCL Nov-15 8.2 4.28% 10% 0.43%
CSFB 2005-C6 1 Citadel Square Depot Stone Mountain, GA 60 day Cur Dec-15 4.0 0.33% 52% 0.17%
CSFB 2005-C6 1 Jackson West Shopping Center Max Jackson, MI Cur Cur Jul-16 16.0 1.33% 11% 0.15%
CSMC 2006-C3 2 Poinsettia Plaza Depot Ventura, CA Cur Cur Nov-15 35.2 2.64% 14% 0.38%
CSMC 2006-C5 3 North 41 Plaza Depot Marietta, GA Cur Cur Jun-16 6.3 0.28% 18% 0.05%
CSMC 2007-C2 Schaumburg Corners (REFI) Depot Schaumburg, IL Cur Cur Dec-16 22.8 0.91% 19% 0.18%
CSMC 2007-C2 Quail Lakes Max Stockton, CA Cur Cur Apr-16 12.9 0.52% 18% 0.09%
CSMC 2007-C3 4 Shoppes at New Tampa Depot Wesley Chapel, FL Cur Cur Oct-16 13.3 0.88% 30% 0.26%
CWCI 2007-C3 4 Rio Norte Shopping Center Max Laredo, TX Cur Cur Nov-16 24.0 1.68% 9% 0.15%
GCCFC 2005-GG3 University Plaza Depot Huntsville, AL REO FCL Jan-16 11.4 4.05% 21% 0.87%
GCCFC 2006-GG7 2 Buckhead Crossing Depot Atlanta, GA Cur Cur Jan-16 33.2 1.25% 10% 0.13%
GCCFC 2007-GG9 3 Chapel Ridge Shopping Center Depot Fort Wayne, IN Cur Cur Nov-16 5.9 0.15% 35% 0.05%
GSMS 2006-GG6 East Broad Street Large Retail Max Reynoldsburg, OH Cur Cur Jan-16 8.6 0.44% 36% 0.16%
GSMS 2011-GC3 Eastgate Plaza Max Wichita, KS Cur Cur Jan-15 14.3 1.23% 11% 0.13%
GSMS 2011-GC5 Northpointe Commons (Rivercrest Realty 2) Depot Columbia, SC Cur Cur Feb-16 6.1 25.5 1.54% 6% 0.09%
GSMS 2013-GC16 7 McDonough Marketplace Depot McDonough, GA Cur Cur Jun-16 7.3 0.68% 33% 0.22%
JPMBB 2014-C25 8 Crossroads Square Shopping Center Depot Jacksonville, FL Cur Cur Feb-16 10.2 0.86% 13% 0.11%
JPMBB 2014-C25 8 Westfield Village Depot Westminster, CO Cur Cur Oct-15 13.7 1.15% 13% 0.15%
JPMC 1997-C5 The Spectrum at Reston Town Center Depot Reston, VA Cur Cur Dec-15 15.6 86.21% 14% 11.92%
JPMCC 2004-LN2 Stadium Marketplace Max Honolulu, HI Cur Cur Jan-16 9.6 6.23% 10% 0.61%
JPMCC 2005-CB11 Colonial Plaza Max Bloomington, IL Cur <30 Jan-16 3.7 1.55% 11% 0.18%
JPMCC 2005-CB13 1 Southport Shopping Center Max Kenosha, WI <30 <30 Jan-16 31.7 2.53% 7% 0.16%
JPMCC 2006-CB14 Westside Plaza Depot Jacksonville, FL REO REO Mar-15 4.2 0.31% 17% 0.05%
JPMCC 2006-CB17 3 Commons of Chicago Ridge (Centro Heritage) Depot Chicago Ridge, IL Cur Cur Oct-16 26.5 220.9 10.34% 1% 0.11%
JPMCC 2006-LDP7 2 Inland - Craig Crossing Max McKinney, TX 30 day Cur Jan-16 15.8 0.56% 16% 0.09%
06 August 2015
CMBS Market Watch Weekly 12
Exhibit 11: Office Depot and OfficeMax exposure in CMBS with expiring leases through 2016
Deal CMBX Name Tenant City, State
Loan status
(Jul 2015)
Loan status
(Jan 2015)
Lease exp
date
Alloc. loan
bal ($mn)
Total loan
bal ($mn)
Loan as a pct of deal
Store as a
pct of loan
Deal look-thru exp
JPMCC 2007-CB18 3 Office Depot Benton, Arkansas Depot Benton, AR Cur Cur Nov-16 2.1 0.07% 100% 0.07%
JPMCC 2007-CB19 4 Braker Lane Crossing Depot Austin, TX Cur Cur Dec-16 12.7 0.52% 28% 0.15%
JPMCC 2007-CB19 4 OfficeMax and Sports Authority (LG Portfolio) Depot Lilburn, GA Cur Cur Jan-16 5.8 30.7 1.26% 7% 0.08%
JPMCC 2007-LD11 4 Lakewood City Center Depot Lakewood, CO Cur Cur Sep-15 4.9 0.15% 55% 0.08%
JPMCC 2007-LD11 4 Southgate Shopping Center Max Milwaukie, OR Cur Cur Oct-15 7.8 0.24% 59% 0.14%
JPMCC 2007-LD12 4&5 Office Max - Philadelphia Max Philadelphia, PA FCL NPF Mar-16 5.2 0.37% 100% 0.37%
JPMCC 2007-LDPX 3 Hemet Village Depot Hemet, CA <30 Cur Apr-16 16.4 0.57% 23% 0.13%
JPMCC 2010-C2 Woodlands Square Shopping Center Depot Oldsmar, FL Cur Cur Sep-15 24.2 2.58% 7% 0.18%
JPMCC 2010-CNTR Kmart Plaza (Centro Portfolio) Max DeWitt, NY Cur Cur Oct-16 3.1 455.8 100.0% 0.1% 0.15%
JPMCC 2010-CNTR Superior Marketplace (Centro Portfolio) Max Superior, CO Cur Cur Jan-16 21.9 455.8 100.0% 0.4% 0.41%
JPMCC 2014-C20 8 Madison Place Max Madison Heights, MI Cur Cur Jan-15 15.2 1.74% 9% 0.16%
JPMCC 2015-FL7 Franklin Blue (Devonshire Retail Portfolio) Max Toledo, OH Cur na Dec-15 5.1 77.5 11.47% 3% 0.32%
LBUBS 2006-C7 3 First and Main North Max Colorado Springs, CO Cur Cur Jan-16 14.6 0.71% 12% 0.09%
LBUBS 2007-C1 3 Midtown Plaza Shopping Center Depot Montgomery, AL Cur Cur Sep-16 15.0 0.61% 20% 0.12%
LBUBS 2007-C6 4&5 Turfway Plaza Depot Florence, KY REO REO Dec-15 10.3 0.60% 23% 0.14%
MLCFC 2006-2 2 Maple Ridge Plaza Max Amherst, NY Cur Cur Mar-16 8.5 0.66% 25% 0.17%
MLCFC 2006-3 2 Westview Shoppes Depot Coral Springs, FL Cur Cur May-16 8.5 0.49% 35% 0.17%
MLCFC 2006-4 3 Federal Way Crossings Depot Federal Way, WA Cur Cur Jun-16 38.7 1.55% 11% 0.17%
MLCFC 2006-4 3 Signature Plaza Depot Van Nuys, CA Cur Cur Jun-13 13.3 0.53% 37% 0.20%
MLCFC 2007-6 Murdock Carrousel (MSKP Retail - A - A-1 note) Depot Port Charlotte, FL Cur Cur May-16 13.0 130.3 7.23% 1% 0.11%
MLCFC 2007-6 Murdock Carrousel (MSKP Retail - A - A-2 note) Depot Port Charlotte, FL Cur Cur May-16 9.7 93.1 5.17% 2% 0.08%
MLCFC 2007-6 Office Depot Plaza Depot Ulster, NY Cur Cur Jul-15 3.5 0.20% 52% 0.10%
MLCFC 2007-7 4 Berkshire Plaza Depot Edmond, OK <30 <30 Nov-16 4.1 0.24% 72% 0.17%
MSC 2006-HQ8 The Landings Shopping Center Depot Sarasota, FL 30 day Cur Nov-15 17.1 1.08% 20% 0.22%
MSC 2007-HQ13 5 Market Square Shopping Center Depot Prince Frederick, MD Cur Cur Dec-16 23.5 3.83% 17% 0.67%
MSC 2007-IQ14 4 City View Center Max Garfield Heights, OH 90+day 90+day Apr-16 81.0 2.77% 4% 0.11%
MSC 2007-IQ15 4&5 BoDo Lifestyle Center Depot Boise, ID Cur Cur Jan-16 23.3 1.63% 16% 0.27%
MSC 2007-IQ15 4&5 Kohl's Shopping Center Max Albany, NY Cur Cur Jun-15 6.7 0.47% 17% 0.08%
MSC 2007-T25 3 Cherryvale Plaza Depot Reisterstown, MD Cur Cur Nov-16 5.3 0.44% 25% 0.11%
MSC 2007-T25 3 Office Depot - Paramus Depot Paramus, NJ Cur Cur Sep-16 5.2 0.44% 100% 0.44%
MSC 2007-T25 3 Office Depot - State College Depot College Township, PA Cur Cur Mar-16 2.4 0.20% 100% 0.20%
MSC 2007-T25 3 Hilliard Market Max Hilliard, OH Cur Cur Mar-16 11.2 0.93% 19% 0.18%
MSC 2007-T25 3 Timber Crest Max Lakeville, MN Cur Cur Mar-16 6.2 0.51% 34% 0.17%
MSC 2008-T29 5 Greenfield Commons - Aurora Depot Aurora, IL Cur Cur Feb-16 3.6 0.38% 64% 0.24%
MSC 2012-C4 6 Horizon Park Shopping Center Depot Tampa, FL Cur Cur Dec-16 13.3 1.27% 11% 0.13%
MSDWC 2002-IQ3 Office Max Max Greensburg, PA Cur Cur Oct-15 0.1 0.27% 100% 0.27%
UBSBB 2012-C3 6 Somerset Center (Cooper Retail Portfolio) Depot Somerset, KY Cur Cur Sep-15 2.8 14.8 1.43% 8% 0.12%
VNO 2010-VNO Union (VNO Portfolio) Depot Union, NJ Cur Cur Jan-16 31.2 599.3 100.0% 0.4% 0.44%
WBCMT 2003-C7 Plaza de Laredo Depot Laredo, TX Cur Cur May-15 8.3 31.74% 10% 3.26%
WBCMT 2006-C24 Kensington Centre Shopping Center Max Appleton, WI Cur Cur Jan-16 8.8 0.92% 25% 0.23%
WBCMT 2006-C27 2 Cicero Market Place Max Cicero, NY Cur Cur Aug-16 20.0 1.01% 13% 0.13%
WBCMT 2007-C30 Gillette Retail Depot Gillette, WY Cur Cur Dec-16 2.5 0.04% 65% 0.02%
WBCMT 2007-C32 4 Pompano Plaza Depot Pompano Beach, FL Cur Cur Dec-16 18.9 0.69% 13% 0.09%
WBCMT 2007-C33 4 Paulding Exchange Shopping Center Max Hiram, GA REO 30 day May-16 6.9 0.29% 46% 0.13%
WFCM 2010-C1
Central Forest Shopping Center (Pepper Square
I & II and Central Forest Shopping Center) Depot Dallas, TX Cur Cur Apr-15 8.5 29.3 4.46% 8% 0.35%
WFRBS 2011-C5 Wolflin Village Shopping Center Depot Amarillo, TX Cur Cur Dec-16 14.3 1.38% 14% 0.19%
WFRBS 2011-C5 Silver Springs Pointe Depot Oklahoma City, OK Cur Cur Nov-16 8.8 0.85% 15% 0.13%
WFRBS 2012-C6 6 Gulfgate Square Depot Houston, TX Cur Cur Dec-16 7.2 0.81% 23% 0.19%
WFRBS 2012-C6 6 2010 South Sheridan (Sunwest Portfolio) Depot Tulsa, OK Cur Cur Jun-16 1.6 18.1 2.05% 5% 0.10%
WFRBS 2014-LC14 Off Dep Pearl MS (ArciTerra Portfolio) Depot Pearl, MS Cur Cur Dec-15 2.9 19.4 1.56% 10% 0.16%
Source: Credit Suisse, Trepp
06 August 2015
CMBS Market Watch Weekly 13
Technical update
Exhibit 12: US CMBS pipeline
August 2015 Deal type Rate type Size ($ million)
Credit Suisse, UBS - CSAIL 2015-C3 (Deal is in the market) Multiple Borrower Fixed 1,419
Deutsche Bank, Cantor, Jefferies LoanCore - COMM 2015-CR25 (Deal is in the market) Multiple Borrower Fixed 1,127
Citigroup, Principal Commercial Capital, Wells Fargo - CGCMT 2015-P1 (Deal is in the market) Multiple Borrower Fixed 1,096
J.P. Morgan, Barclays, Starwood - JPMBB 2015-C31 (Deal is in the market) Multiple Borrower Fixed 1,027
J.P. Morgan, MS, Citi (1211 Ave. of the Americas) - AOTA 2015-1211 (Deal is in the market) Single Borrower Fixed 1,035
Barclays, Cantor (NGP GSA portfolio) - BBCCR 2015-GTP (Deal is in the market) Single Borrower Fixed 660
Deutsche, MS, Wells (11 Madison Ave) Single Borrower Fixed 1,400
Wells Fargo, Societe Generale Multiple Borrower Fixed 1,250
Cantor, MSD Capital (Four Seasons Resort Hualalai) Single Borrower Floating 250
2015 Q4
JP Morgan, MS (U-Haul portfolio) Single Borrower Fixed 300
Credit Suisse, Morgan Stanley (Industrial Income Trust - Warehouse portfolio) Single Borrower Fixed 2,000
Announced Total 11,565
Source: Credit Suisse, Commercial Mortgage Alert, Commercial Real Estate Direct
Exhibit 13: 2015 CMBS issuance (in $ millions)
Month
Multi-
Borrower
Floating
Rate
Single
Borrower Other
2015
US Total
2015
Non-US Total
2015
Global Total
US Agency
CMBS*
US Resecur./
CDO
January 3,765 0 900 1,100 5,765 555 6,320 4,265 371
February 5,029 0 6,769 553 12,351 262 12,613 6,683 646
March 4,387 545 4,963 749 10,644 191 10,835 5,489 0
April 4,324 0 3,963 1,456 9,743 582 10,325 6,075 207
May 5,542 223 1,391 1,112 8,267 1,025 9,292 7,033 194
June 7,079 676 1,727 1,639 11,121 537 11,659 6,840 119
July 6,861 0 1,288 313 8,462 316 8,778 4,637 798
August 0 0 235 0 235 300 535 524 0
Total 36,988 1,444 21,236 6,922 66,589 3,767 70,356 41,548 2,334
* Multiple-pool Agency CMBS transactions only (i.e. deal tickers with GNR, FREMF, FNA, GEMS, MFMEG, SBAP and SBIC). Standalone DUS MBS and GN MBS pools are not included. Source: Credit Suisse, Commercial Mortgage Alert
06 August 2015
CMBS Market Watch Weekly 14
Relative Value Monitor
Exhibit 14: CMBX 1 through 7 prices statistics as of August 4, 2015
CMBX 7 (CMBX 2014-1) AAA AS AA A BBB- BB
Current Price 96.91 98.46 99.07 98.87 97.72 97.87
Change vs. Prior Week -0.07 -0.1 -0.06 -0.11 -0.22 -0.1
Minimum (since inception) 95.71 96.65 97.18 97.28 92.93 92.34
Maximum (since inception) 97.83 100.12 101.49 102.17 100.68 101.07
Average (since inception) 97.06 98.67 99.84 100.08 98.11 98.07
# of Std. Dev. / Avg -0.34 -0.33 -0.90 -1.32 -0.30 -0.13
CMBX 6 (CMBX 2013-1) AAA AS AA A BBB- BB
Current Price 98.08 99.35 100.10 100.01 99.87 99.77
Change vs. Prior Week 0.03 -0.06 -0.02 -0.19 -0.14 -0.01
Minimum (18 mo.) 96.88 97.64 98.14 98.67 96.31 96.40
Maximum (18 mo.) 98.82 100.28 101.80 102.48 102.22 102.94
Average (18 mo.) 98.08 99.32 100.51 100.88 100.17 100.19
# of Std. Dev. / Avg 0.00 0.06 -0.57 -1.16 -0.27 -0.33
CMBX 5 (CMBX 2008-1) AAA AM AJ AA A BBB BBB- BB
Current Price 99.62 97.00 82.37 57.00 28.50 18.25 14.75 4.75
Change vs. Prior Week 0 0 0 -0.38 0 0 0 0
Minimum (18 mo.) 98.36 92.32 76.59 51.24 27.50 12.75 11.50 4.29
Maximum (18 mo.) 99.64 97.00 83.64 60.02 40.88 18.83 15.67 5.00
Average (18 mo.) 99.13 95.01 81.53 56.69 33.56 16.75 13.60 4.88
# of Std. Dev. / Avg 1.38 1.82 0.72 0.13 -1.13 1.37 2.03 -1.00
CMBX 4 (CMBX 2007-2) AAA AM AJ AA A BBB BBB- BB
Current Price 99.81 98.22 81.81 56.13 32.25 24.50 13.00 4.69
Change vs. Prior Week 0 0.03 0.34 0.44 0 0 0 0
Minimum (18 mo.) 98.43 92.72 76.06 46.75 27.50 14.83 11.50 4.29
Maximum (18 mo.) 99.82 98.22 82.98 56.13 33.93 24.50 13.67 5.00
Average (18 mo.) 99.46 96.26 80.86 50.72 31.39 17.63 12.66 4.78
# of Std. Dev. / Avg 1.08 1.56 0.92 2.02 0.47 2.42 1.78 -0.71
CMBX 3 (CMBX 2007-1) AAA AM AJ AA A BBB BBB- BB
Current Price 99.62 99.00 81.69 38.25 21.75 8.00 5.75 4.69
Change vs. Prior Week 0 0.03 0.22 0.12 0 0 0 0
Minimum (18 mo.) 98.15 93.67 75.79 35.88 15.51 5.50 5.08 3.97
Maximum (18 mo.) 99.65 99.00 82.96 43.30 22.50 8.83 6.42 5.00
Average (18 mo.) 99.19 97.15 80.77 39.06 19.65 7.48 6.09 4.85
# of Std. Dev. / Avg 1.15 1.49 0.84 -0.38 1.41 1.54 -1.42 -1.30
CMBX 2 (CMBX 2006-2) AAA AM AJ AA A BBB BBB- BB
Current Price 99.85 99.81 91.34 66.19 37.69 9.37 7.00 5.00
Change vs. Prior Week 0 0 0.09 0.07 -0.19 0 0 0
Minimum (18 mo.) 98.65 97.15 88.59 65.31 33.52 8.83 6.33 4.33
Maximum (18 mo.) 99.85 99.81 92.70 71.90 44.20 12.63 9.30 5.40
Average (18 mo.) 99.46 98.96 91.47 68.51 38.00 11.27 8.59 4.98
# of Std. Dev. / Avg 1.34 1.64 -0.22 -1.32 -0.11 -1.91 -2.83 0.15
CMBX 1 (CMBX 2006-1) AAA AM AJ AA A BBB BBB-
Current Price 99.95 100.00 98.81 87.50 69.75 35.38 23.75
Change vs. Prior Week 0 0 0 1 1.06 0.07 0
Minimum (18 mo.) 99.13 98.61 95.80 80.56 62.83 27.47 20.50
Maximum (18 mo.) 99.96 100.02 98.81 87.50 69.75 36.25 25.04
Average (18 mo.) 99.75 99.72 97.76 85.28 66.61 32.76 23.43
# of Std. Dev. / Avg 1.11 1.14 1.64 1.88 1.96 1.10 0.29
Source: Credit Suisse, Markit
06 August 2015
CMBS Market Watch Weekly 15
Recent publications The table below provides links to some of our recent CMBS publications.
Date published Loans in the News
Aug-04 Portion of the Empirian Portfolio 2 may have been sold and modified (MLCFC 2007-8)
Jul-31 1615 L Street may be sold (JPMCC 2013-C15, JPMCC 2013-C16)
Mall at Steamtown sale closes (LBUBS 2003-C5)
Another Kmart closing (MSC 2007-T27)
Staples closing (LBUBS 2005-C5)
Great Northern Mall turned over to lender (BSCMS 2004-PWR3)
Jul-30 New deal refis two legacy loans that should now defease (BACM 2006-2, COMM 2006-8)
CoBank Building sells for $16 million from REO (MSC 2007-HQ11)
The Villages at Bonita Glen selling for $49 million (FREMF 2014-K36/FHMS K036)
Columbia Center potential resolution timing (MSC 2007-HQ12)
1211 Avenue of the Americas deal hits (LBUBS 2006-C6, LBUBS 2006-C7)
Gap closure update – 19 US stores shut so far
Second quarter conduit credit quality review
Jul-22 Lighthouse Building selling for more than $170 million (DBUBS 2011-LC3A)
Port Authority renews for less space at Trinity Centre (UBSC 2011-C1, UBSCM 2012-C1)
Agreement in place to buy Two Buckhead Plaza (MSC 2007-HQ13)
Highlands Plaza selling for $22 million (MLCFC 2006-2)
Follow up: Belk shifting space to Sears pad at Bel Air Mall (MLMT 2005-LC1)
Follow up: One Illinois Center set to defease (WBCMT 2006-C27)
Online auction update – today’s sale (CD 2007-CD4)
Denominator effect pushes up delinquencies
Jul-20 A&P declares bankruptcy again; CMBS exposure report (Various)
Jul-16 Commons at Manahawkin sold; backs 2012 loan (WFRBS 2011-C3)
A four-asset Lowe’s portfolio sold for over $81 million (COMM 2012-CR4)
75-101 Federal Street sold for $327 million (MSC 2007-IQ13)
Jul-15 Portfolio of nine San Diego retail properties trades (JPMCC 2007-LDP12)
Logan Town Center selling for over $100 million (MSC 2007-HQ13)
2014 delinquent loan put up for auction (COMM 2014-UBS2)
Charles River Plaza North loan may be defeasing (CD 2007-CD5, CWCI 2007-C3)
Early lease renewal at 237 Park Avenue (LBCMT 2007-C3)
Colony Palms Hotel changes hands for $24 million (MSBAM 2012-C6)
Home Depot in Spoke sells (WBCMT 2005-C19)
Philips at Sunrise liquidates at $13+ million loss (BSCMS 2006-PW14)
Green Oak Village Place modified (BACM 2007-5)
CRE fundamentals: Q2 2015 update
GLOBAL FIXED INCOME AND ECONOMIC RESEARCH
Ric Deverell
Global Head of Fixed Income and Economic Research
1 212 538 8964
GLOBAL SECURITIZED PRODUCTS RESEARCH
Roger Lehman
Head of Global Securitized Products Research
1 212 325 2123
RESIDENTIAL MORTGAGES CMBS
Mahesh Swaminathan Roger Lehman
Group Head Group Head
1 212 325 8789 1 212 325 2123
[email protected] [email protected]
AGENCY MBS NON-AGENCY MBS
Qumber Hassan Marc Firestein Serif Ustun, CFA Sylvain Jousseaume, CFA
1 212 538 4988 1 212 325 4379 1 212 538 4582 1 212 325 1356
[email protected] [email protected] [email protected] [email protected]
Glenn Russo Jonathan Corwin
1 212 538 6881 1 212 538 6490
[email protected] [email protected]
EUROPE CS PLUS/LOCUS MARKETING
Helen Haworth, CFA Jason Howell Scott Atha
Group Head 1 212 325 2117 1 212 538 3978
44 20 7888 0757 [email protected] [email protected]
Carlos Diaz Marion Pelata
44 20 7888 2414 44 20 7883 1333
Disclosure Appendix
Analyst Certification Roger Lehman, Serif Ustun and Sylvain Jousseaume each certify, with respect to the companies or securities that the individual analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report.
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