CMBS Border's Exposure

Ultimately I identified 32 of the 200 closures that are in CMBS deals (Bodamer notes that there may be 75 more coming). The two largest balance ones in the list below are part of Centro portfolios, so the actual exposure is much less. Again, very happy to clean this up further and do a more thorough analysis just as soon as someone deposits the $25k research fee in my paypal account ;-).

Click here for the list! I'll paste it below, but Blogger is going to cut off half the info...

CMBS Deal	Loan Balance	Maturity Date	Current Loan Status	Store #	Name	Address	City	State	Zip Code	Square Feet
BACM 2004-4	39,715,516	1-Jan-14	Perform(w)	29	Vienna	8027 Leesburg Pike, Ste 100	Vienna	VA	22182	29,892
JPMCC 2007-CB18	226,109,468	1-Dec-16	Perform	60	Manchester	59 Pavilions Drive	Manchester	CT	6040	25,002
ASC 1997-D5	51,694,839	11-Jul-12	Perform	116	Dayton	2700 Miamisburg Centerville Rd, Ste 870	Dayton	OH	45459	22,000
DBUBS 2011-LC1A	36,632,537	6-Jan-21	Perform	132	Cary	1751 Walnut Street	Cary	NC	27511	27,236
LBUBS 2006-C6	10,280,610	11-Jun-16	Perform	134	Greensboro	3605 High Point Rd	Greensboro	NC	27407	30,213
MSC 2003-IQ6	2,735,209	1-Nov-18	Perform(w)	151	Oklahoma City	3209 Northwest Expressway	Oklahoma City	OK	73112	20,630
GSMS 2010-C2	7,476,586	6-Oct-15	Perform	172	Columbus	6670 Sawmill Road	Columbus	OH	43235	27,500
CD 2007-CD5	3,742,973	1-Jul-17	Perform	174	Bowie	4420 MitchellviHe Rd.	Bowie	MD	20716	30,000
WBCMT 2007-C34	4,257,000	11-Jun-17	Perform	175	Reading	1075 Woodland Rd	Reading	PA	19610	25,015
DLJCM 1998-CF1	9,656,727	1-Nov-17	Perform	189	Richfield	800 W. 78th Street	Richfield	MN	55423	25,449
WBCMT 2003-C9	67,406,764	1-Aug-13	Perform(w)	254	Ocoee	9441W. Colonial Drive	Ocoee	FL	34761	25,000
MSC 2005-HQ5	11,226,783	8-Dec-14	Perform	263	Pasadena	475 S. Lake Avenue	Pasadena	CA	91101	40,000
GSMS 2004-GG2	5,598,413	1-Mar-14	Perform	280	Metarie	3131 Veterans Memorial Blvd.	Metarie	LA	70002	25,231
LBUBS 2006-C6	140,000,000	11-Sep-16	Perform	329	Chesterfield	2040 Chesterfield Mali	Chesterfield	MO	63017	26,000
CSFB 2003-CPN1	73,303,234	11-Nov-12	In Foreclosure	347	Cincinnati	9459 Colerain Avenue	Cincinnati	OH	45251	21,208
BAFU 2001-3	14,990,278	1-Jan-11	Matured Non Performing	355	Gainesville	6837 Newberry Road	Gainesville	FL	32605	22,925
JPMCC 2010-C1	12,274,140	1-Mar-20	Perform	357	Modesto	3900 Sisk Rd	Modesto	CA	95356	24,995
BSCMS 2005-T18	8,736,321	9-Feb-15	Grace	362	San Diego	668 6th Avenue	San Diego	CA	92101	33,000
GCCFC 2005-GG5	64,580,000	6-Jul-15	Perform	374	Los Angeles	6081 Center Dr, Suite 118	Los Angeles	CA	90045	25,000
WBCMT 2006-C28	24,000,000	11-Aug-16	Perform(w)	408	St. Charles	3539 E Main	St. Charles	IL	60174	24,893
CSFB 2003-C3	9,104,392	1-Apr-13	Perform(w)	413	Greeley	2863 35th Ave	Greeley	CO	80634	23,223
BSCMS 2007-PW17	15,500,000	5-Jul-17	Perform	462	Colleyville	5615 Colleyville Blvd, Ste 100	Colleyville	TX	76034	23,000
PCMT 2003-PWR1	14,788,461	1-Feb-13	Grace	480	Bolingbrook	161 N. Webber	Bolingbrook	IL	60490	25,000
BSCMS 2004-T16	3,134,649	1-Oct-21	Perform	490	Chapel Hill	1807 Fordham Blvd.	Chapel Hill	NC	27514	25,266
CSMC 2006-C5	3,323,954	11-Sep-11	Perform	497	Chino	3833 Grand Avenue	Chino	CA	91710	25,000
WBCMT 2004-C10	3,587,549	11-Jan-14	Perform	503	McHenry	2221 Richmond Road	McHenry	IL	60050	23,800
MSC 2007-T27	4,140,000	1-Jun-14	Perform	504	Carme!	2381 Pointe Parkway	Carmel	IN	46032	23,195
JPMCC 2005-LDP2	6,941,289	11-Jun-15	Perform	516	Normal	200 A North Greenbriar Drive	Normal	IL	61761	23,000
BSCMS 2007-T26	22,035,000	1-Dec-16	Perform	517	Chicago	6103 N. Lincoln Avenue	Chicago	IL	60659	24,500
BACM 2006-1	10,292,873	1-Jan-16	Perform	518	West Lafayette	348 E. State Street	West Lafayette	IN	47906	20,000
GCCFC 2004-GG1	9,630,923	1-Mar-14	Perform	541	Mesquite	2709 N.Mesquite Drive	Mesquite	TX	75150	23,000
MSC 2005-IQ10	18,886,415	1-Apr-15	Perform(w)	626	Sarasota	3800 S.Tamiami Trail	Sarasota	FL	34239	21,239

Borders closing a couple hundred stores

Bodamer reports.

Our Exposure List.

Top retail bankruptcies this century (link from Bodamer's post).

UPDATE - here's a list. At least 36 are in CMBS deals - I'll post a list after I finish my phat lunch...

New Issue Pricings from last week

	DBUBS 2011-C1 (2/8)	MSC 2011-C1 (2/10)
AAA 10yr	S+120	S+105
AA	S+165	S+140
A	S+195	S+175
BBB-	S+295	S+225

Riverchase Galleria ARA 52%!

GGP-owned Riverchase Galleria, in BACM 2006-6, just got hit with a 52% appraisal reduction. The loan represents 12.69% of the deal, the largest.

Looks like they want to keep it and are just sticking it to the CMBS holders for a mod...

Bank of America Plaza default

Nothing unexpected here. My accountant is actually in this building and has been providing on-the-ground reporting as E&Y vacated, and now BOA is reducing its footprint from 29.9% to 13% of NRA. I get to visit it a fair amount when I fly down to play a little game she calls "Taxes", which I always lose even when I win.

The good news is that it has $4.3mm in reserves, its covering at 1.09x, and they've engaged Cushman & Wakefield to lease up the 21% of currently vacant space. The better news is that despite this being Atlanta Office, it is, according to the Bloomberg story out today, the tallest building in the Southeast - someone is going to snap this up.

The bad news is that it is 80% LTV before the Mezzanine loan, and the mezz holder (Petra Mortgage Capital) has tried and failed to auction off its interest.

New Issue Deals Shady?

Elaine Misonzhnik ponders:

That trend has apparently taken hold of the CMBS market so quickly that one S&P insider has referred to some of the stuff that’s been going into the new pools as outright “crap,” according to a Bloomberg report.

David Post was quoted at ASF this week Bloomberg saying,

“There’s some crap getting done,” David Jacob, an executive managing director at credit-rating company S&P, said today during a panel discussion at the American Securitization Forum trade group’s annual meeting in Orlando, Florida. “It’s surprising to me this early in the cycle that some of that could be happening.”

DBUBS 2011-LC11 ($2.2 billion)

Tr	Size(mm)	M/F	WAL	C/E	Priced
A1	1100	AAA	4.62		+115
A2	459	AAA	9.7		+120

Fitch Press release

WVMT 2011-SBC2 ($82mm)

Small Balance CMBS deal announced by Citi. Co: BAML
$82.046mm Waterfall Victoria Mortgage Trust

Announced last week.

Tr	Size(mm)	DBRS	WAL	C/E	Talk
A	$ 69.84	AAA	6.09	28.50%	+m200
M1	$ 4.40	AA	14.87	24.00%	+400a
M2	$ 3.91	A	16.81	20.00%	pxd
M3	$ 3.91	BBB	18.94	16.00%	pxd

MSC 2011-C1 ($1,548MM)

UPDATE W/TALK

Tr	Size(mm)	M/F	WAL	C/E	Talk
A1	$          87.86	AAA/AAA	2.6	22.88%	+90
A2	$        597.15	AAA/AAA	4.8	22.88%	+105-115
A3	$        105.12	AAA/AAA	7.5	22.88%	+120a
A4	$        404.07	AAA/AAA	9.6	22.88%	+115-120
B	$          60.00	AA/AA	9.9	19.00%	+155-165
C	$          89.03	A/A	9.9	13.25%	+200a
D	$          85.16	BBB/BBB	9.9	7.75%	+225-250
E	$          19.36	BBB-/BBB-	10	6.50%	+250-275
XA	$    1,194.20	AAA/AAA
XB	$        354.20	NR/NR

Also announced today...

Tr	Size(mm)	M/F	WAL	C/E
A1	$ 87.86	AAA/AAA	2.6	22.88%
A2	$ 597.15	AAA/AAA	4.8	22.88%
A3	$ 105.12	AAA/AAA	7.5	22.88%
A4	$ 404.07	AAA/AAA	9.6	22.88%
B	$ 60.00	AA/AA	9.9	19.00%
C	$ 89.03	A/A	9.9	13.25%
D	$ 85.16	BBB/BBB	9.9	7.75%
E	$ 19.36	BBB-/BBB-	10	6.50%
XA	$ 1,194.20	AAA/AAA
XB	$ 354.20	NR/NR

Leads: MS (76.2%), BAML (23.8%)
loans/properties: 37/79
Wavg LTV: 61.6%
DSCR: 1.60x
Debt Yield: 11.6%
top 10: 71.8%

WFRBS 2011-C2 ($1,227)

Announced earlier today...

Tr	Size(mm)	M/F	WAL	C/E
A1	$ 583.55	Aaa/AAA	4.99	17.13%
A2	$ 493.22	Aaa/AAA	9.81	17.13%
B	$ 38.98	Aa2/AA	9.85	14.13%
C	$ 43.85	A2/A	9.85	10.75%
D	$ 68.21	Baa3/BBB-	9.92	5.50%
XA	$ 1,076.77	Aaa/AAA
XB	$ 222.50	Aaa/AAA

From Wells (45.1%) and RBS (40.7%). Cos: Citi, GS, Natixis (10.9%)

50/96 loans/properties
62.6% LTV
1.62x DSCR
12% Debt Yield
5.495% Wavg rate
56.6% Top 10

Pricing expected next week.

New Issue Calendar

$15 billion slated for the first half. Sourced from Wells' weekly, which in turn was borrowed from CMAlert.

Border's Taking a Dirt Nap?

It's becoming more and more definitive that Border's books is going into bankruptcy. As reported in Traffic Court this week, they've announced that they're just going to ease those rent payments in as late as possible to preserve liquidity (sounds like a rental house tenant on the bad side of town that I'm dealing with, just fancier words). In a bankruptcy, leases get thrown out the window, stores probably go dark, and it impacts the CMBS deals - so which ones have the most exposure?

There are a few ways to look at exposure to events such as a bankruptcy, but given the average store footprint is substantial (let's call it 20k-50k sq ft) a big dark space is going to destroy a lot of these retail centers.

The deals with >10% exposure to a Border's, by non-defeased loan size, are:

1. CSFB 2004-C5 - 19.70%
2. WBCMT 2004-C14 - 15.36%
3. DLJCM 1998-CF1 - 14.50%
4. ASC 1997-D5 - 13.68%
5. JPMCC 2001-CIB3 - 13.10%
6. CSFB 2001-CK3 - 11.47%
7. JPMCC 2006-CB14 - 10.98%
   

There are some real gems too, such as CSFB 2003-CPN1 Northgate Mall which is scheduled to mature in November 2012, is already behind on the mortgage with a 0.93x DSCR, and a 156% LTV.



*If I were a fancy Wall Street firm or data provider, I'd have a cleaner and scrubbed set of data, but as it were, I'm using Bloomberg and I didn't scrub the data so I'm certain there are some cases where I have a "Mexican Across the Border Restaurant" instead of "Border's Books". Also, I see several Border's Books that just got missed for some reason. Further, if they're not a top 3 tenant (like in a mall), they don't show up. And, finally, if it is a single loan with multiple properties it's not fair to target it using the whole loan approach. For a fully scrubbed guaranteed accuracy list, please send an email for PayPal instructions for the $25,000 fee and we'll get right on it.

575 Lexington Foreclosure

Saw a note circulated today, but no additional news since. It's in BACM 2007-1 and BACM 2007-2.

Of course, 11 months ago it was "imminent" too...

Cantor 2011-1 - $1 billion

Cantor is putting together a $1 billion CMBS loan with Wells Fargo.

$186mm Hotel Loan with -0.03 DSCR Gets 5 year extension! Believe!

There are special circumstances associated with the Park Hyatt Aviara Resort loan, but I never would have believed I'd see the day where a loan losing over $1mm a month after debt service (about 1/2% of the total balance) would get extended for 5 years a full year before it's maturity date, but here we are.

After a long dispute and subsequent arbitration with Four Seasons, the operator, Broadreach Capital (the owners) were able to replace them with Hyatt. Hyatt intends to re-brand it as a Park Hyatt (looks like they've already done it). The change in management contributed substantially to the servicer's decision according to the Bloomberg story on it. It also notes that all the payments are current now and the default (September '10) was simply a strategic move to enter the negotiations.

The loan is Four Seasons Aviara Resort - Carlsbad, CA in WBCMT 2007-C30. CW Capital is the Special. 329 keys, 18 hole Arnold Palmer course, renovated in 2006. It's now scheduled to mature in February 2017.

Fitch officially changing their name to Farce

Does anyone really put any stock at all behind anything Fitch says? Is there really anything left to downgrade at this point?

The era of broad negative mortgage-backed securities ratings from Fitch Ratings is over. Sans a "few pockets of weakness," RMBS and CMBS downgrades will diminish significantly, the agency said this week.

Despite persistently high unemployment levels and projections of a slow economic recovery, Fitch expects downgrades to be more incremental in nature, seen by notches and not rating categories.

Fitch projects prime RMBS and most CMBS to be among the categories that demonstrate strong performance, even if economic trends deteriorate modestly.

"New transactions issued over the next 12 months across all of structured finance will be more conservatively structured and demonstrate superior performance compared to past vintages," says Kevin Duignan, group managing director and head of U.S. structured finance for Fitch.