Benchmarking CMBS Maturity Performance And Loss Severities With An Eye Toward 2017

Benchmarking CMBS Maturity Performance And Loss Severities With An Eye Toward 2017 Primary Credit Analysts: Dennis Q Sim, New York (1) 212-438-3574; dennis.sim@spglobal.com James M Manzi, CFA, Charlottesville (1) 434-220-0891; james.manzi@spglobal.com Deegant R Pandya, New York (1) 212-438-1289; deegant.pandya@spglobal.com Darrell Wheeler, New York (1) 212-438-0599; darrell.wheeler@spglobal.com Table Of Contents Overall Results Reflected A 77% Successful Payoff Rate For 2014 Third-Quarter But That Trend May Not Continue For 2017 Maturities The Percentage Of Loans Liquidated With A Loss Has Declined Over the Past Few Years Term Defaults Have Longer Resolution Times Than Maturity Defaults Payoff Performance Is Expected To Be Somewhat Worse In The Next 15 Months Appendix: Payoff And Loss Severity Summaries By Property Type WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 1

Benchmarking CMBS Maturity Performance And Loss Severities With An Eye Toward 2017 By our estimate, some $119 billion in outstanding performing commercial mortgage loans are scheduled to mature during the rest of, 2017, and 2018, with roughly 77% of the total concentrated in 2017. As these loans come due, S&P Global Ratings broadly reviewed the outcomes of the $284 billion (original balance) worth of loans that already resolved in 2014, 2015, and through third-quarter to provide a benchmark of potential performance for loans coming due in the next 15 months. To do this, we analyzed the loan resolutions by classifying them into buckets using their debt (DY; most recently available net operating income divided by the loan amount), present payoff performance, and upcoming maturing amounts by calendar year, both overall and for selected property types. While payoff performance has been somewhat benign over the 2014 to third-quarter period, with a roughly 77% successful payoff rate, we believe the percentage will likely decline over the next 15 months partly due to the less favorable DY characteristics of the remaining loans. We also examined loss severity data for both term and maturity defaults that subsequently liquidated, and looked at the average time lags between default and resolution. Overview Successful loan payoffs for resolved commercial mortgage loans during the past few years have been generally positive, at about 77% by balance, for those that matured in 2014, 2015, and in through the end of third-quarter. In general, payoff percentages for resolved loans in the 2014 through first-half period were significantly lower for loans below an 8% DY. Meanwhile, nearly all loans with a DY greater than 12% successfully paid down, as well as an overwhelming majority of those with a DY above 10%. Going forward, a higher percentage of maturing loans, especially those that come due in 2017, have lower DYs, which should result in fewer successful refinancings over the next 15 months. Historically, in 2014, 2015, and through third-quarter, approximately 8% of the performing loans defaulted at maturity. If we apply the 2014 payoff experience, which is the most conservative in the period we studied, by DY to 2017 maturities, the maturity default rate rises to 13%. This implies some $12 billion of additional defaults for the 2017 cohorts, which is in addition to the $8 billion of 2017 maturing loans that have experienced term defaults and are currently with the special servicer. Loss severities have declined in recent years as the percentage of loans suffering a loss at liquidation has fallen amid factors such as rising property values and improving fundamentals. The figures for hotels and retail properties have been relatively higher than the averages, while loans with a DY below 8% (or no DY reported) also underperformed. Following the pattern in loss severities, resolution times are much longer for loans with a DY below 8% or no information reported, averaging 39-49 months for term defaults. In addition, loans that experience term defaults have much longer average resolution times (and higher loss severities) versus maturity defaults. For the purposes of this study, defeased loans were excluded to focus on the real estate analysis. The historical successful payoff would marginally increase by 1%-2% when factoring in defeased loans. These broad categorized WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 2

results are intended to help investors anticipate future loan performance as the maturity wave continues, but they are not a substitute for pool-by-pool or loan-by-loan analysis, where results may vary significantly. Overall Results Reflected A 77% Successful Payoff Rate For 2014 Third-Quarter Table 1 Overall Payoff Performance Summary, 2014-Third-Quarter Amount resolved (bil. $) Payoff %, including prepays* Term defaults (%) Maturity defaults (%) 9.3 4.0 1.2 56 72 55 39 25 37 4 4 7 8% < 18.4 22.3 24.0 32 48 46 57 41 42 11 12 12 8%-10% 9.9 20.9 18.1 71 84 77 19 10 13 10 6 10 10%-12% 11.6 21.8 18.2 86 91 85 7 4 7 7 5 8 > 12% 29.2 44.3 30.6 94 96 92 3 2 5 3 2 3 Total 78.3 113.3 92.1 71 82 75 23 12 17 6 5 8 Prepays (% of total) 58 54 62 *We define a prepay as a loan that paid off more than 30 days before its maturity date. Annual payoff rates were 71% for the $78 billion that resolved in 2014, 82% for the $113 billion in 2015, and 75% for the $92 billion in (through the third quarter) periods, with the remainder of the outcomes either term or maturity defaults. While nearly all loans with a DY above 12% (and an overwhelming majority of those above 10%) refinanced successfully, the percentage of payoffs fell significantly for loans below an 8% DY, at 46% for year-to-date compared to an average of 75%. The performance for the 8%-10% DY bucket was roughly in line with yearly averages. But That Trend May Not Continue For 2017 Maturities Table 2 Overall Maturing Loan Summary, - Fourth-Quarter 2018 (Bil. $) range Q4 2017 2018 0.0 0.2 0.2 8% < 2.8 26.9 0.8 8%-10% 5.1 24.8 1.6 10%-12% 3.3 17.7 1.9 > 12% 4.5 22.2 7.0 Total 15.8 91.7 11.2 Going forward, we see that the largest buckets for loans maturing in 2017, at nearly $27 billion, have a DY under 8%, and the next largest ($25 billion) is in the 8%-10% DY range (see table 2). Historically, in 2014, 2015, and through third-quarter, approximately 8% of the performing loans default at maturity. If we apply the 2014 payoff WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 3

experience by DY bucket (the most conservative of the 2014 through third-quarter periods) to maturing loans in 2017, the maturity default rate rises to 13%. This implies some $12 billion of additional defaults for the 2017 cohorts. That is in addition to the $8 billion of 2017 maturity loans that have experienced term defaults and are currently with the special servicer. Based on the most recent loss severity rate experienced by the term and maturity defaulted loans, this would result in an additional $5 billion in potential losses to the 2017 cohort following the resolution of the term and maturity defaulted loans. Whether these historical rates are realized will depend upon economic conditions, but the changing composition does suggest that maturity defaults will continue to increase. This trend could be exacerbated by a sharp increase in long-term interest rates. The Percentage Of Loans Liquidated With A Loss Has Declined Over the Past Few Years Table 3 Overall Term Default Loss Severity* Summary, 2014-Third-Quarter 100 96 70 50 48 42 87 78 60 56 57 53 8% < 76 73 77 40 36 34 65 52 44 49 51 56 8%-10% 62 56 29 34 22 29 43 32 19 41 37 47 10%-12% 61 59 43 24 26 37 30 31 31 48 42 41 > 12% 79 66 20 31 23 18 46 39 7 49 38 48 Total 79 71 61 41 34 34 65 49 36 51 48 53 *We're measuring LS as a percentage of original balance. LS--Loss severity. For loans that experienced a term default in 2014 through third-quarter, the percentage of those experiencing a greater than 2% loss upon liquidation has fallen from 65% in 2014 to 49% in 2015 and 36% in through the third quarter. We attribute this mainly to rising property values (although the pace of appreciation has slowed in ), and generally improving commercial real estate fundamentals, which should leave investors less inclined to default in marginal stress situations. Also, average loss severity across all liquidations declined from 41% in 2014 to 34% in both 2015 and through September. Not surprisingly, loans with below an 8% DY or no reported DY information tended to underperform. In addition, hotel and retail properties, on average, reported relatively higher loss severities upon liquidation (see appendix). Table 4 Overall Maturity Default Loss Severity* Summary, 2014-Third-Quarter >2% loss (%) H1 2014 2015 H1 2014 2015 H1 2014 2015 H1 100 100 83 29 38 24 64 79 69 38 58 33 8% < 74 67 57 8 10 17 16 18 19 41 37 44 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 4

Table 4 Overall Maturity Default Loss Severity* Summary, 2014-Third-Quarter H1 2014 2015 H1 2014 2015 (cont.) >2% loss (%) H1 2014 2015 H1 8%-10% 76 70 41 6 7 5 10 17 9 33 24 22 10%-12% 90 66 40 17 8 14 30 16 14 37 32 42 > 12% 85 79 48 3 3 9 11 6 10 29 36 38 Total 80 70 49 11 9 13 20 17 15 37 36 37 *We're measuring LS as a percentage of original balance. LS--Loss severity. H1--First half. On the whole, loans classified as maturity defaults tended to liquidate with lower loss severities versus term defaults. In fact, many maturity defaults that were resolved via liquidation in the recent past experienced little or no loss. This suggests that many maturity defaults are simple refinancing issues that when resolved--in what has been a generally favorable refinancing environment due to low interest rates and rising property values--result in limited severities. Term Defaults Have Longer Resolution Times Than Maturity Defaults Table 5 Overall Average Resolution Times, 2014- Q3 (Months) Term defaults Maturity defaults range LS > 2% Overall LS > 2% Overall 49 48 44 40 8% < 39 38 31 20 8%-10% 30 29 25 12 10%-12% 23 23 22 11 > 12% 26 26 22 10 Total 38 36 29 15 LS--Loss severity. Following the pattern in loss severities, resolution times are much longer for loans with DY below 8%, or for the loans where we have no information reported. Our default studies have shown that longer resolution times are typically correlated with higher loss severities (for more information, see "North American CMBS Loan Default And Loss Study: Key Metrics Poised To Reach Multi-Year Lows," published Jan. 8, ). In addition, loans that experience term defaults have much longer average resolution times versus maturity defaults. Further investigating maturity defaults, there is a substantial difference in resolution times for loans that have experienced a greater than 2% loss. Payoff Performance Is Expected To Be Somewhat Worse In The Next 15 Months While refinancing conditions have been benign over the past few years, we expect maturity payoff performance to deteriorate next year, when a large amount of loans become due. The severity of the deterioration depends on many WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 5

factors. On the positive side, moderate economic and job growth continue to drive gradual improvement in commercial real estate fundamentals across most property types, and low (and sometimes negative) interest rates and available s are driving property demand in many locations. On the other hand, a greater portion of maturing loans in fourth-quarter through 2018 have lower DY than in previous years, and a potential increase in interest rates or signs of slowing growth could easily hamper refinancings. U.S. risk retention regulations set to go into effect on Dec. 24,, may also add some uncertainty regarding loan refinancings in secondary/tertiary locations, especially combined with regulators' focus on bank lending (another major source of financing) in those locations. The authors would like to thank Kirankumar Jathar for his contributions to this report. Appendix: Payoff And Loss Severity Summaries By Property Type Hotels Table 6 Payoff Performance Summary, 2014-Third-Quarter : Hotels Amount resolved (bil. $) Payoff %, including prepays * Term defaults (%) Maturity defaults (%) Q3 Q3 Q3 Q3 0.9 0.4 0.1 64 38 9 36 59 89 1 3 2 8% < 1.5 1.7 0.8 13 13 32 80 69 55 8 18 12 8%-10% 0.5 0.6 0.5 67 64 65 29 9 24 5 27 11 10%-12% 0.4 0.9 0.8 83 78 76 6 20 9 11 2 15 > 12% 2.4 8.1 6.3 93 98 87 4 1 10 3 1 3 Total 5.7 11.7 8.6 64 81 78 31 15 16 5 5 6 Table 7 Term Default Loss Severity Summary, 2014-Third-Quarter : Hotels 99 92 27 63 41 23 95 84 27 53 36 53 8% < 78 83 78 45 44 76 75 81 75 59 53 67 8%-10% 59 50 15 19 12 29 31 39 15 41 17 26 10%-12% 100 51 62 29 15 3 73 28 19 33 40 11 > 12% 72 60 12 19 12 0 33 53 1 40 12 4 Total 79 79 38 46 40 53 73 73 29 54 43 55 *We're measuring LS as a percentage of original balance. LS--Loss severity. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 6

Table 8 Maturity Default Loss Severity Summary, 2014-Third-Quarter : Hotels Q3 3 2014 2015 100 100 100 29 67 52 58 100 100 50 71 52 8% < 100 85 65 12 1 20 23 3 51 51 21 26 8%-10% 100 62 22 4 1 0 32 0 0 14 N.A. N.A. 10%-12% 100 100 20 0 30 1 0 95 0 N.A. 35 N.A. > 12% 98 86 17 0 0 0 0 0 0 N.A. N.A. N.A. Total 100 80 29 7 4 11 15 8 11 41 41 34 *We're measuring LS as a percentage of original balance. LS--Loss severity. N.A. Not available. Retail Table 9 Payoff Performance Summary, 2014-Third-Quarter : Retail Amount resolved (bil. $) Payoff %, including prepays * Term defaults (%) Maturity defaults (%) Q3 Q3 Q3 Q3 2.5 1.1 0.2 55 68 43 42 31 47 3 1 10 8% < 4.6 5.6 5.5 30 47 45 58 41 41 12 12 14 8%-10% 2.7 9.3 7.4 84 84 79 11 9 10 6 7 11 10%-12% 5.5 8.1 6.5 88 90 86 3 2 3 9 7 11 > 12% 10.3 12.2 7.8 97 95 97 1 1 1 2 3 2 Total 25.6 36.3 27.5 78 83 79 17 11 12 6 6 9 Table 10 Term Default Loss Severity Summary, 2014-Third-Quarter : Retail 100 100 95 58 71 53 90 95 54 57 64 57 8% < 63 58 73 44 44 56 59 51 70 48 46 53 8%-10% 53 43 36 36 20 37 42 29 24 38 28 48 10%-12% 79 56 39 38 7 27 50 12 26 56 35 39 > 12% 68 75 56 20 19 16 29 26 19 45 40 45 Total 72 59 63 48 41 51 65 47 55 50 46 51 *We're measuring LS as a percentage of original balance. LS--Loss severity. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 7

Table 11 Maturity Default Loss Severity Summary, 2014-Third-Quarter : Retail 100 100 86 18 0 23 50 0 49 32 N.A. 40 8% < 62 50 54 5 7 37 11 13 36 44 30 34 8%-10% 90 70 34 9 5 3 18 12 4 43 29 23 10%-12% 99 60 34 19 9 17 31 12 15 43 34 39 > 12% 73 54 84 2 6 13 4 6 24 24 44 40 Total 80 59 43 11 7 20 19 11 18 39 33 35 *We're measuring LS as a percentage of original balance. LS--Loss severity. N.A. Not available. Office Table 12 Payoff Performance Summary, 2014-Third-Quarter : Office Amount resolved (bil. $) Payoff %, including prepays * Term defaults (%) Maturity defaults (%) Q3 Q3 Q3 Q3 4.1 1.6 0.4 53 82 69 40 12 19 7 6 12 8% < 7.2 9.6 9.7 36 51 58 53 36 26 11 12 16 8%-10% 3.4 6.0 5.6 58 79 66 27 15 20 15 6 14 10%-12% 2.8 6.7 5.9 76 90 79 20 4 13 4 7 8 > 12% 8.7 10.3 7.5 92 93 90 5 4 4 3 3 5 Total 26.2 34.2 29.1 64 7 72 28 15 17 7 7 11 Table 13 Term Default Loss Severity Summary, 2014-Third-Quarter : Office 100 100 100 47 24 63 85 62 100 59 45 69 8% < 72 72 71 41 41 58 62 55 68 52 56 61 8%-10% 51 62 19 32 28 32 32 35 16 43 49 44 10%-12% 50 69 46 13 52 48 17 54 39 37 55 55 > 12% 68 54 21 23 32 50 30 41 19 53 41 58 Total 74 70 52 40 38 54 58 51 48 54 53 59 *We're measuring LS as a percentage of original balance. LS--Loss severity. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 8

Table 14 Maturity Default Loss Severity Summary, 2014-Third-Quarter : Office 100 100 100 35 45 24 69 100 100 45 49 20 8% < 88 68 51 6 16 15 15 25 15 43 51 55 8%-10% 60 68 45 7 17 6 7 40 14 47 16 25 10%-12% 100 65 57 22 9 16 56 23 22 43 21 42 > 12% 94 93 47 7 3 10 28 9 13 28 31 36 Total 84 72 51 12 14 13 25 27 17 41 43 44 *We're measuring LS as a percentage of original balance. LS--Loss severity. Industrial Table 15 Payoff Performance Summary, 2014-Third-Quarter : Industrial Amount resolved (bil. $) Payoff %, including prepays * Term defaults (%) Maturity defaults (%) Q3 Q3 Q3 Q3 0.4 0.2 0.1 43 43 24 52 51 76 5 6 0 8% < 1.0 1.2 0.9 22 62 62 67 27 19 11 11 19 8%-10% 0.4 0.7 0.5 65 86 68 20 10 20 15 4 13 10%-12% 0.5 1.2 0.8 74 95 69 12 3 6 15 2 25 > 12% 1.4 2.2 2.7 90 91 93 6 6 3 4 3 3 Total 3.7 5.6 5.0 62 83 80 30 12 9 8 5 11 Table 16 Term Default Loss Severity Summary, 2014-Third-Quarter : Industrial 100 100 100 18 45 19 99 63 100 27 67 34 8% < 95 66 92 37 42 46 91 52 86 48 50 46 8%-10% 72 92 30 43 29 54 50 85 30 53 33 67 10%-12% 100 48 55 49 12 17 89 23 55 51 24 17 > 12% 100 87 34 28 18 14 62 49 9 48 36 42 Total 95 77 64 33 37 38 87 60 57 44 46 49 *We're measuring LS as a percentage of original balance. LS--Loss severity. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 9

Table 17 Maturity Default Loss Severity Summary, 2014-Third-Quarter : Industrial 100 100 N.A. 39 29 N.A. 100 76 N.A. 43 39 N.A. 8% < 48 56 50 20 9 2 36 24 4 35 32 27 8%-10% 55 79 36 4 1 23 10 0 25 20 N.A. 26 10%-12% 17 100 28 4 0 7 7 0 3 8 N.A. 60 > 12% 23 100 30 19 0 10 9 0 12 49 N.A. 29 Total 41 76 33 17 5 7 24 16 7 34 30 33 *We're measuring LS as a percentage of original balance. LS--Loss severity. N.A. Not available. Multifamily Table 18 Payoff Performance Summary, 2014-Third-Quarter : Multifamily Amount resolved (bil. $) Payoff %, including prepays * Term defaults (%) Maturity defaults (%) Q3 Q3 Q3 Q3 0.9 0.5 0.2 70 82 53 28 16 42 2 2 5 8% < 3.2 3.3 6.0 39 41 25 51 52 70 10 7 4 8%-10% 2.5 3.7 2.9 83 93 94 7 5 3 9 2 3 10%-12% 2.1 3.9 3.2 96 96 98 1 2 2 3 2 0 > 12% 3.9 6.8 4.1 97 98 94 1 1 4 1 1 2 Total 12.6 18.3 16.5 77 86 69 17 12 28 5 2 3 Table 19 Term Default Loss Severity Summary, 2014-Third-Quarter : Multifamily 100 80 67 35 32 26 69 38 67 58 72 32 8% < 93 90 83 26 15 6 63 29 10 40 49 50 8%-10% 79 79 86 17 4 6 40 12 13 35 40 44 10%-12% 79 47 41 0 1 0 0 2 0 N.A. 12 N.A. > 12% 100 58 23 34 15 0 47 12 0 58 69 N.A. Total 92 86 80 26 14 6 61 26 11 45 50 48 *We're measuring LS as a percentage of original balance. LS--Loss severity. N.A. Not available. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 10

Table 20 Maturity Default Loss Severity Summary, 2014-Third-Quarter : Multifamily 100 100 8 10 4 0 36 4 0 28 93 N.A. 8% < 100 92 87 12 4 4 28 15 8 34 31 43 8%-10% 99 100 98 2 1 1 9 5 10 24 17 10 10%-12% 100 96 79 10 0 0 32 0 0 27 N.A. N.A. > 12% 100 100 74 0 1 1 0 3 0 N.A. 14 N.A. Total 100 96 84 8 2 3 21 9 6 30 25 30 *We're measuring LS as a percentage of original balance. LS--Loss severity. N.A. Not available. Only a rating committee may determine a rating action and this report does not constitute a rating action. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT OCTOBER 20, 11

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