Savoy Park (CSMC 2007-C1) $210mm Seeks Refi

Another deal brought to you by a jv between Apollo (AREA) and Vantage Partners... Anyway, this is another rent control story in NY. Bought it for $175mm, leveraged it up to $367.5mm with $210mm in CSMC 2007-C1, and the $157.5 remainder in B-notes and mezz.

Without even looking, you can guess that this loan is with the special, but just so you know, it's not covering with a 0.49x DSCR (NCF; senior debt) at 97% occupancy. There is a healthy reserve, but even the Realpoint spokesperson quoted in the story in yesterday's WSJ notes that it should last "about another two months".

It's due 1/11/2014

Realpoint Delinquency Report

As expected, delinquencies got a little worse in June (note the RP report has a typo in the first table regarding the reporting month) with 7.702% of the total CMBS universe now delinquent (versus 7.27% in May, and 6.91%). Every bucket worsened expect for 60-89 day, which decreased by 31% (only half that decrease is due to loans going into the 90+day delinquency bucket though!).

Realpoint is now looking for 11-12% delinquencies by year-end. Seems pretty rosy to me, but the year is quickly passing us by.

Total delinquency at $60.45 billion.

Special Servicing - $88.6 billion (11.29%)

Average 2009 Loss Severity - 42.1%, including fees 62% (per RP)

Surprises: Hotel Average Loss Severity 2nd lowest at just 44.1%! Even taking off the tails with <2% loss severities Hotels are just at 61.3% (the third lowest of all property types?!? preceeded by RETAIL!! and Healthcare)





There are some pretty charts in there too, and a ton of additional information. Go to realpoint.com - it's a free report.

Realpoint Delinquency Report

Realpoint released their delinquency report today - guess what ?!? Delinquencies increased.

They did note that their "heavily stressed scenarios" put end of year delinquencies in the 11% to 12% range - this is similar to our most-likely-and-definitely-expect-it-to-exceed-those-levels scenario.

They have several bullet points on balloon default risk - that has been the theme in the street research the last few weeks too, but I don't see what has changed in recent months. Obviously we're going to have some real balloon default risk, especially on 5 year loans from 06/07 vintages. Next year seems like the first real tough year for maturities, and 2012 is going to be a bloodbath. Deutsche Bank was out with a report on maturities too - I haven't fully digested it yet, but the initial scan showed they noted several times that CMBS is a relatively small part of the global CRE financing marketplace. Hopefully they also note somewhere how big the maturity issues are outside of CMBS, because that seems very dire starting in 2010... Especially in the US with balance sheet loans by small & regional banks.

Big picture takeaways: Hotel really can't get much worse. Optimism seems to be the generally theme. Interest in vacant retail space is up. Multifamily starting to see a hint of improvement. Office markets expected to see growth in 2011. Loss severities >1% averaged 68%.

Realpoint Delinquency Report

• 90+, Foreclosure, and REO grew for the 26th straight month - up 9% mom, 420% yoy.
• PCV/ST still current...
• RP is looking for 8-9% delinquencies in 2010, with a 11-12% potential.
• $461.8mm new workouts and liquidations in February 2010 - 61 loans, average severity 47%. 17 of these ($222.2mm) had severities near or below 1%
• Worst severities in Healthcare (44%) and Industrial (50%) - Multifamily had the highest defaults though.
  

Month	Loss Severity
Feb-10	46.90%
Jan-10	48.10%
Dec-09	52.70%
Nov-09	45.70%
Oct-09	52.00%
Sep-09	40.60%
Aug-09	37.70%
Jul-09	31.30%
Jun-09	39.60%
May-09	35.20%
Apr-09	31.10%
Mar-09	50.70%
Feb-09	23.60%
Jan-09	37.10%

Realpoint Approved by NAIC as a rating agency

Sorry no link to Bloomy article, but this should be another big win in the AA and up space. Insurers have to set aside significantly more money once the middle rating drops below AA.

Sept. 23 (Bloomberg) -- State insurance commissioners, seeking an alternative to rating firms Moody’s Investors Service and Standard & Poor’s, approved Realpoint LLC to evaluate commercial mortgage-backed securities in companies’ portfolios.

The ruling by the National Association of Insurance Commissioners means state regulators can rely on Realpoint in determining how much capital must be held by insurers, Scott Holeman, spokesman for the group, said today. Realpoint provides analysis to bond buyers through subscription, while S&P and Moody’s are paid by companies that issue securities.