Shortfalls...

The AM and AMFX bonds on MSC 2006-IQ12 were hit with interest shortfalls last month equal to approximately 20% of the interest due, and I'm pretty sure that is a first for this high in the capital stack. IQ12 is part of CMBX.3, as well.

The shortfall is a direct result of the 912-unit, Memphis-based, New Horizon Apartments loan, which took a 100+% loss severity, wiping out all the classes up through about 1/2 of the N tranche.

Takeaways: CMBS are chunky, and you should probably review you your ISDAs this month.