WFRBS 2011-C4 ($1.480mm)

CLASS        F/MDYs     SIZE($MM) WAL(YRS) C/E   CUM LTV NOI DY

A-1    AAA(sf)/Aaa(sf)    93.159   2.51  16.875%  49.3%  15.1%

A-2    AAA(sf)/Aaa(sf)   201.377   4.81  16.875%  49.3%  15.1%

A-3    AAA(sf)/Aaa(sf)    62.389   6.74  16.875%  49.3%  15.1%

A-FL   AAA(sf)/Aaa(sf)   100.000   9.68  16.875%  49.3%  15.1%

A-4    AAA(sf)/Aaa(sf)   671.432   9.84  16.875%  49.3%  15.1%

A-SB   AAA(sf)/Aaa(sf)   102.472   7.33  16.875%  49.3%  15.1%

B       AA(sf)/Aa2(sf)    42.570   9.93  14.000%  51.0%  14.6%

C       A+(sf)/A2(sf)     42.570   9.93  11.125%  52.7%  14.1% 

D       A-(sf)/Baa1(sf)   33.316   9.93   8.875%  54.1%  13.7%

E     BBB-(sf)/Baa3(sf)   51.824   9.93   5.375%  56.2%  13.2%

X-A    AAA(sf)/Aaa(sf) 1,230.829* 

X-B         NR/Aaa(sf)   249.868*

76 loans, 132 properties, 5.335% WAC, 108 WAM, 61.5% wavgLTV, 1.79x wavgDSCR,

LOAN SELLERS:  WFB (78.9%), RBS (14.3%), GE CAPITAL (6.8%)

Retail (42.6%), Office(13.3%), Hospitality (12.3%), Industrial (11.1%), Multifamily(8.0%)

CA (19.1%), WI (12.9%), NY (10.7%), TX (7.8%), FL (7.0%)

GSMS 2011-GC4 ($1.476b)

New issue fixed-rate from GS and Citi.

Class	MSTR/S&P	Size($mm)	WAL(yr)	CE%	Cum LTV	Debt Yield (UW NOI)
A1	AAA/AAA(sf)	85.249	2.42	14.5	53.70%	13.80%
A2	AAA/AAA(sf)	332.497	4.85	14.5	53.70%	13.80%
A3	AAA/AAA(sf)	90.651	7.38	14.5	53.70%	13.80%
A4	AAA/AAA(sf)	753.667	9.77	14.5	53.70%	13.80%
B	AA+/AA-(sf)	60.889	9.95	10.375	56.30%	13.20%
C	A/A-(sf)	62.734	9.95	6.125	59.00%	12.60%
D	BBB/BBB(sf)	35.058	9.95	3.75	60.40%	12.30%

71 loans, 131 properties, 5.4639% WAC, 104 WAM, 62.8% wavgLTV, 1.67x wavgDSCR, 12.6% have additional debt.

15.0% TX, 14.5% AZ, 11.8% CA, 9.4% NY, 8.3% VA

50.6% Retail, 16.5% Office, 16.1% Multifamily, 7.2% Hospitality, 3.7% Mixed Use, 1.9% Manufactured Housing, 1.9% Industrial, 1.4% Self Storage, 0.7% Ground Leased Land

Comings and Goings

I've got one of those funny feelings that this week might be exciting...


Calendar:

Ward Center - GCMC 2005-C1

CMA also noted today that HHC is looking to refinance the Ward Center, which was previously extended to January 2014.

2600 Michelson - CSMC 2007-C4

CMA reported today that 2600 Michelson was acquired for $70mmand the loan assumed, but modified into a $70mm A note with IO payments at 5.33% and a $25mm B note. The new sponsor put in $9.5mm to partially pay down the A note balance (by $3.5mm) and $6mm went to reserves. Any profits are split in some fashion to send equity back to the new sponsors and hyper-Am down the B note.

It also noted that KBS Real Estate Investment's $15mm mezz note on the property was worthless.

666 Fifth Avenue Workout

The WSJ reports and every dealer on the street reports that Kushner has worked out a deal on 666 Fifth Avenue. They're going to take a 9.5% haircut back as a B note, Vornado is going to be a partner (improving the ownership) and the coupon is going to be reduced.

Boo, for IOs and deep credit, but huge positive for seniors and mezz portions of the CMBS deals: GECMC 2007-C1, WBCMT 2007-C31, and WBCMT 2007-C33. All of which I own some of and two of which I've had heavy reverse inquiry on the last few days.

*So far, I haven't seen any precise information on what the new coupon is or whether the special has formally confirmed the deal.

New Issue Pricings from last week

Mark Herschmeyer over at CoStar had an article highlighting all the new issue details from last week.

World Financial Center ($310mm)

Bloomberg had an article noting that BOA was only keeping 1/6th of the current Merrill space in WFC 2 and 4; it formerly occupied just over half the 8mm sq ft in the WFC complex. That's really not a big surprise. Building 1 is in CD 2007-CD4 ($310mm) and is currently fully occupied with one big lease (Fidelity National 13.06%) rolling in 2012, and I don't know their status.

GECMC 2007-C1 Manhattan Portfolio ($192mm)

Barclays also noted today that Real Estate Alert highlighted Manhattan Portfolio, a $192mm loan in GECMC 2007-C1, was in a loan portfolio for sale by LNR where average losses were 55-60%.

It was a pretty shitty deal.

Defeasance and Payoffs

There is a $165mm senior in the CSMC 2006-C5 deal and a $35mm mezz floating around. REAlert states the 49% owner is looking to recapitalize and sell it off, which would result in an early payoff and likely defeasance (its slated for maturity in 2016). Barclays noted today in a research piece that they may be able to negotiate a payoff that waives the call protection resulting in an early payoff.

Barclays also highlighted that 200 Public Square (WBCMT 2005-C20, $110mm) is for sale and is likely to be defeased.

Commercial Prices Drop 3.7% from March to April

From Bloomberg:

U.S. commercial property prices fell in April as sales of distressed assets made up a large share of transactions, according to Moody’s Investors Service. The Moody’s/REAL Commercial Property Price Index dropped 3.7 percent from March and 13 percent from a year earlier. It’s now 49 percent below the peak of October 2007 and at its lowest point in data going back to December 2000

I wanna piece of dat...

Vornado purportedly is seeking a portion of 666 Fifth Avenue and is looking to spend 9 figures.

For more on 666 Fifth, read our old posts.

Comings and Goings

Three new issues in one week:DBUBS 2011-LC2, GSMS 2011-ROCK, LSTAR 2011-1.

Beacon Capital is purportedly selling the 2mm sq. ft. 1211 Avenue of the Americas (aka 6th Ave) at $900+/sq. ft. or better.
New rent regulations in NYC being debated with landlords and lawmakers offering trades for tax caps and breaks in exchange for changes in rent regs on stabilized units.


Calendar:

World Market Center modifications

Deutsche Bank summarized the modifications nicely today. This originally represented 8.55% of PW10 (WMC1) and 12.28% of PW15 (WMC2).

For WMC 1:

1. The senior loan is split in to a $94.3mm A note and roughly a $106mm hope note. The coupon on the A note remains unchanged at 6.0165% and the hope note does not accrue interest. An immediate write-down of $10.7mm was passed to the Trust.
2. The Borrower contributed $11.2mm which brought the loan and required reserve accounts current.
3. 80% of the cash flow generated by the property in excess of the amount required to service the new A note will be used to amortize the hope note balance. If the A note is paid off on or before (the prepayment penalty was waived) the scheduled maturity date (July 2015), the hope note can be paid off for $0.2/$1.

For WMC 2:

1. The senior loan is split in to a $73mm A note and a $200mm hope note. The coupon on the A note was reduced 200bps to 4.35% and the hope note does not accrue interest. An immediate write-down of $71.9mm was passed to the Trust.
2. The Borrower contributed $14.7mm which brought the loan and required reserves current.
3. 80% of the cash flow generated by the property in excess of the amount required to service the new A note will be used to amortize the hope note balance. If the A note is paid off on or before (the prepayment penalty was waived) the scheduled maturity date (January 2017), the hope note can be paid off for $0.2/$1.

Someone at Centerline just had to write their b-piece down (on both deals) from $1 to $0 :-(

Red Roof Inn - 48% Loss Severity

That could have been way worse.... Barclays reported today that this month's remit for CGCMT 2008-C7 reflected a 48% loss severity, hitting the J tranche on that deal.

See our prior thoughts here.




And, btw, I'm back - Apparently everything wasn't really 'better' in CRE-land like they told me...

Lehman moves to CS

Roger Lehman hopped to CS from BAML - are there any BOA or ML left at the new BAML?

http://www.prnewswire.com/news-releases/credit-suisse-hires-roger-lehman-as-head-of-cmbs-research-121337278.html

Cerberus & Chatham Win Innkeepers

Bought 65 hotels for $1.1 billion, 7 hotels still for sale.

See here for more on the Innkeepers saga...

First 2.0 CMBS Delinquency

First! JPMCC 2010-C2 has experienced the first 2.0 delinquency in CMBS. The owner is effectively 60 days delinquent now and it is because the tenant failed to make their payments due to a "technical issue". Guess who the tenant is? The US Government!

CFCRE 2011-C1 ($634.5mm)

Cantor went ahead with their deal without Wells as a partner. The deal has 38 loans originated by Cantor, 17.625% subordination on the AAAs, only 27.2% retail (compared to >50% on the other deals done this year), 23.8% multifamily, and 27.1% of the leases are GSA.

I don't have structure, but I'll update this post when I get it, or someone may drop it in the comments.

GSMS 2011-GC3 ($1.4bln)

Goldman priced their $1.4bln deal yesterday

Tr	Size(mm)	M/D	WAL	Pricing
A1	$          86.00	Aaa/AAA	2.5	S+80
A2	$        399.00	Aaa/AAA	4.81	S+125
A3	$        128.00	Aaa/AAA	7.18	S+140
A4	$        532.01	Aaa/AAA	9.73	S+125
B	$          59.53	Aa3/AA	9.84	S+185
C	$          54.28	A3/A	9.87	S+235
D	$          59.53	Baa3/BBB	9.94	S+300

Villas Parkmerced ($550mm)

This loan is both pooled and serves as collateral in the rake legs on CD 2006-CD2, AND the mezz note was in SPAF 2006-1, a CRE CDO. Barclays noted today in a research note that the MAI appraiser came in at $705mm as the total value (that's good), which could lead to a full paydown. Fortress purportedly took over the Rockpoint/Stellar interest in the property four months ago and apparently paid off the mezz.

They also note the likely alternative to a refi would be a 5 year extension, which would likely require additional equity infusions to fund reserves and some further stabilization of the asset.

JPMCC 2005-LDP4 Silver City Galleria ($138mm) 5.97% of deal

A week ago it was reported that this loan's default would likely wipe out up into the G class of investors ;-(.

This is not unexpected by any stretch of the imagination as this was one of the JV assets GGP did not include in the bankruptcy, but did kick the keys back to the servicer.

New Issue Calendar

Cantor 2011-1 ($1 Billion)
GSMS 2011-GC3 ($1.4 Billion)
GSMS 2011-ALF ($325mm)
JPMCC 2011-C3 ($1.5 Billion)

There are also several multifamily agency deals:
FHMS K011 ($1.2 Billion)
MFMEG 1 ($315mm)
FREMF 2011-K701 ($1 billion)
and Ginnie Project loan deals, series 31, 33, 38, 42, 47, and 49.

Cantor 2011-1 - $1 billion - LNR to buy the B-Piece?

Bloomberg noted today that LNR might be the B-Piece buyer. See its NBD when you're a BSD.

Winners are getting back into CRE!

Bodamer notes that the rich folk are getting back into the CRE market

And he also notes that Zells says:

• No new construction for two or three years. Dearth of supply will get filled up and re-occupied.
• Once oversupply comes back, 'extend and pretend' will get replaced more with 'dilution is the solution' where buildings get recapitalized and owners get hope notes
• He's got a bunch of other clips on his Retail Traffic blog - you should click through even though he doesn't have cool picture of a cat representing the Winners and the rest of the world. I call my cat Charlie.

GGP Prepays

In 2009, the market was so idiotic about extension risk that it priced current and next pay bonds with teen yields. The pendulum has swung fully the other direction in that part of the curve. As Citi noted on Friday, 6 GGP properties are very likely to refinance, and every one of the related front-pay bonds is not only pricing above par but also has a negative yield (as bad as -12.57%) if the loans prepay as is expected.

Bond	Dollar Price	Property	0/0 Full Prepay Yield
COMM 2001-J2A A2	$      102.29	Willowbrook Mall	-3.39%
GCCFC 2004-GG1 A5	$      100.51	Deerbrook Mall	0.71%
GSMS 2001-GL3A A2	$      102.30	Northridge Fashion Center	-1.88%
LBUBS 2005-C5 A2	$      102.28	Providence Place	-5.50%
WBCMT 2004-C14 A2	$      101.46	Park Place Mall	-1.69%
WBCMT 2006-C26 A2	$      104.75	The Woodlands Mall	-12.40%

They also highlighted the "special consideration properties" that GGP has listed that are in CMBS deals where they intend to throw the keys back. The 2 in red have been transferred back to the lenders (they have stated that they have already thrown back the keys on 3 others).

Deal	Loan	PCT of Deal
WBCMT 2004-C11	Bay City Mall Bay City	2.8%
LBUBS 2006-C1	Chapel Hills Mall Colorado Springs	5.1%
CD 2005-CD1	Chico Mall Chico	1.0%
MSC 2006-HQ9	Country Hills Plaza Ogden	0.5%
WBCMT 2005-C22	Eagle Ridge Mall Lake Wales	1.9%
GECMC 2005-C4	Grand Traverse Mall Traverse City	3.9%
COMM 2006-C7	Lakeview Square Mall Battle Creek	1.8%
CGCMT 2008-C7	Mall St. Vincent Shreveport	2.8%
CGCMT 2007-C6	Moreno Valley Mall Moreno Valley	1.8%
MLCFC 2006-4	Northgate Mall Chattanooga	1.0%
MSC 2005-HQ6	Oviedo Marketplace Oviedo	2.1%
BSCMS 2006-PW14	Piedmont Mall Danville	1.4%
CSFB 2005-C3	Southland Center Mall Taylor	7.6%

Wheeler was a fine analyst and had big boots to fill, but I have to say that Jeffrey Berenbaum's new team is really doing a good job with this kind of analysis.

666 Fifth Avenue Retail space trades at $8.3k psf

Bloomberg is reporting that Inditex bought the former NBA space (39k sq ft) for $324mm, or $8.3k psf making it the highest retail valuation evah. They're going to put a Zara store there. You'll recall that Uniqlo leased space there approximately 1 year ago at $2k psf (note that in the comments Rational Realist clarified the lease with sources as well).

If you leave 30 Rock and walk through 666 Fifth and come out through the Hickey Freeman entrance, you see the Ermengildo Zegna store in front of you, and this space is on your right at the corner of 52nd and Fifth.

For some price points, the article goes on to note that the 2008 sale of a partial ownership interest in the retail portion of the building (from Kushner to Carlyle and Crown Acquisitions) valued the space at $6,187 psf.

In regards to the CMBS loan, this space was released as collateral related to the aforementioned 2008 transaction with Carlyle and Crowndid not serve as collateral. This space is part of the 95k sq feet of "Fifth Avenue Retail Space", BUT the mezzanine loans must be paid down with any proceeds from a sale of this space. I don't know if they are still outstanding, but I bet they were. BCRE and UBS made the original loans, but I also do not know who the investors were.

The "Other Retail & Storage Space" (69k sq feet) + Office + Parking constitute collateral for the CMBS loan financing original purchase by Kushner and Gellert, which used an $1.215 billion senior note split unevenly between WBCMT 2007-C31, GECMC 2007-C1, and WBCMT 2007-C33, plus $335mm of senior mezz, plus $200mm of junior mezz, for a total financing of $1.75 billion

The irony is not lost on us that precisely 1 year ago, to the day, almost to the hour, we noted that this property was in Special Servicing.

I'm going to set up a Girl Scout Cookie stand at One Park Ave

Looks like One Park Avenue is likely to pay down as early as next month according to stories in CMAlert and a report out from Barclays today. The $375mm loan is in BACM 2007-2 (6.01%) and BACM 2007-3 (5.36%), and Barclays thinks the defeasance (BB shows it as having 9 months of lockout? maybe that is incorrect) will get waived and it will pay off.

In other words, you might not want to buy the BACM 2007-2 A1s offered at 101-01 today (even though they got lowered from 101-02...), and you probably didn't get that great a deal if you bought those BACM 2007-3 A2 last week at 104

According to Barclays, the recap included a $250mm 5year from MS for the next CMBS deal, $180mm equity from Vornado for 95% of the deal, and Murray Hills is retaining the remainder 5%. The total cash involved here is $430mm. This is not a clean trophy property sale, though. The senior mezzanine holder, RXR owned $75.4mm (M1), was pressing hard for action including potential foreclosure. The $50.4mm residual was held by Citi and the $32.6mm M2 was held by BOA for a total debt stack of $483.4mm. BCG expects the M2 will take a substantial hit - my math says the M1 is going to take a pretty good hit too, and once we start adding in fees it may get worse.

I've really just been looking for an excuse to use this picture - those girl scouts are hard core and you don't want to mess with them.

14,000 surplus US-owned buildings for sale?

Probably includes some pretty useless stuff, but I'd love to see a list... anyone? anyone?

Market Square sold for $615mm

I know, I know, I'm a little behind, but late is better than never.

The trophy DC office property located on the 700 and 800 blocks of Pennsylvania Avenue was part of the Beacon Seattle Portfolio in WBCMT 2007-C31, WBCMT 2007-C32, BSCMS 2007-PW16, BACM 2007-2, MSC 2007-IQ14, and MSC 2007-HQ12. The $905 psf price implies an approximate cap rate of 4.22%.

Note that the $2.644b loan (20 properties) was extended from a May 2012 maturity to a 2017 maturity, and this should result in a partial and substantial release from the loan.

I'd definitely keep an eye out on any current- or next-pay bonds on these deals. For example, it represents 15.66% of the collateral behind the WBCMT 2007-C31 A2 that is currently offered at 255 $104-11 - all else equal, if you assume the full sales price is released, you lose nearly 100 bps of yield and your bond shortens by over 1 year. And, as Barclays pointed out earlier this week, or maybe last week, the reserve requirements are likely to go down as well resulting in further releases.

Louis Ranieri on RMBS in 2011

Skip to 4:00 minutes.

• Have to have a functioning MBS market again, but it has to be better.
• Covered bonds don't work for 30-year loans.
• Early 2002 was the beginning of the end with new MBS and mortgage structures
• The CDO was the straw that broke the camels back - the traditional subordinate tranche buyer who was sophisticated, was replaced with the CDO buyer.
• Core problem is still the same - no fiduciary responsibility (but he misspoke - brokers who sell a stock to a widow does not have any fiduciary duty, historically anyway).

This is mostly resi - I actually dug it up b/c Crabs of Steel mentioned he had said something about CMBS, but the video doesn't last long enough for that bit - couldn't find it with the google service either. If anyone has a link, shoot it over to me.

If you can't spot the sucker in the first half hour at the table, then you ARE the sucker.

From Bloomberg:

Hartford Financial Services Group Inc. Chief Investment Officer Gregory McGreevey, who slashed commercial-property holdings during the market slump, is betting on a rebound by expanding the insurer’s real-estate financing.
“The real-estate market in total has likely bottomed in terms of its price declines,” McGreevey said of commercial property in an interview at Bloomberg headquarters in New York yesterday. “Most of our opportunities are in direct whole-loan investments where we can find good properties at attractive prices.”

So, just to be clear, we sold CMBS bonds to these jokers at the peak - the worst of the worst. If it was a bunch of small balance dentists' offices with their lake house as part of the collateral, The Hartford ate it up. Then they sold at the trough, again, to me, just in a different chair. Now, once prices have recovered (but many think the sector still has a way to go), they're getting long again.

I'm actually going to stop talking and put together a BWIC of overpriced AJs to send their way right now...

Freddie 2011-K701

Tr	Size(mm)	WAL	Launch
A1	83.315	3.74	+50
A2	777.972	6.57	+65
X1	861.287	6.29

Note, both these spreads are at $101 dollar prices.

NCUA 2011-C2 ($840b)

The WSJ describes it as such:

The bond, backed by commercial mortgages, has two tranches and Barclays Capital is leading the deal. Price guidance on the $605 million, 6.05-year tranche is in the area of 53 to 55 basis points over one-month London interbank offered rate, or Libor. On the $235 million, 5.21-year portion, it is in the area of 33 to 35 basis points over one-month Libor.

NCUA is also working on a $1.253b 10-year resi deal NCUA 2011-R2.