Residential and Commercial Delinquencies

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

CMBS

Resi 6Qtr Roll

Source: MBA and Trepp, LLC

June ‘09Actual13.54%

Dec ‘10Predicted8.90%

June ‘09Actual4.18%

Combined Delinquency and Specially Serviced

$-

$5,000,000,000

$10,000,000,000

$15,000,000,000

$20,000,000,000

$25,000,000,000

$30,000,000,000

$35,000,000,000

$40,000,000,000

$45,000,000,000

$50,000,000,000

Aug-08

Sep-08

Oct-08

Nov-08

Dec-08

Jan-09

Feb-09

Mar-09

Apr-09

May-09

Jun-09

Jul-09

Performing Special Serviced

Defaulted

Source: Trepp, LLC

Special Servicingbalance Aug ’08$8.0 bn

Special Servicingbalance Jul ’09$49.4 bn

Maturing CMBS Loans, by Quarter

Source: Trepp, LLC

-

5,000,000,000

10,000,000,000

15,000,000,000

20,000,000,000

25,000,000,000

30,000,000,000

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12