DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES AND ANALYST CERTIFICATIONS. CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION ® Client-Driven Solutions, Insights, and Access CMBS Market Watch Weekly Securitized Products Americas Market activity and relative value The CMBS sector offered more of the same this week, as heavy new issue supply continues to weigh on the market, pushing spreads moderately wider and keeping trading volume muted. August could bring as many as five conduit deals ($6 billion) and four single borrower transactions ($3.3 billion) before the end-of-summer slowdown. Our near-term outlook for spreads remain neutral, and we believe that CMBS is likely to trade in a range over the coming weeks, as the market digests supply and shores up positions before the September Fed meeting. MBA Origination survey shows rise in lending A quarterly survey, conducted by the Mortgage Bankers Association, showed that commercial and multifamily lending increased 29%, in the second quarter, compared to the same period last year. There have been distinct differences in the pace of recovery across lending platforms, according to the survey results. To our surprise, the survey indicates CMBS originations were down in the second quarter, the only platform to experience a decline. CMBS loans in the news USAA is buying a stake in five Westfield malls. Two of these back CMBS loans (one legacy and one recently issued). The transaction provides updated property valuations. We also discuss three properties that are selling from REO. Update on Office Depot / OfficeMax closures Office Depot indicated, on its Q2 earnings announcement that it was planning on accelerating its “store optimization plan”. The plan, which followed the merger of the two companies, calls for the closure of 400 stores, over 20% of its US base. Over the last five quarters the company has shrunk its base by 274 locations. We have mapped these closing store locations to CMBS and show the exposure. Overall the exposure remains relatively small. Loans where Office Depot/OfficeMax is a large tenant remain at risk, in our view. We update the exposure list to loans where they represent a large portion of the space as well as loans where they have a near term lease expiring. Research Analysts Roger Lehman +1 212 325 2123 [email protected]Sylvain Jousseaume, CFA +1 212 325 1356 [email protected]Serif Ustun, CFA +1 212 538 4582 [email protected]CMBS and CMBX spreads and prices CMBS swap spread/price 1-wk chg Trailing 12-month 8/4/15 Min Max Avg Legacy CMBS AAA 10yr 123 2 88 133 104 AM 235 2 120 245 146 AJ 440 5 333 444 372 New issue CMBS AAA 5yr (30% CE) 68 0 48 68 57 AAA 10yr (30% CE) 106 2 80 106 88 AAA Junior 144 1 102 144 119 AA 195 7 136 195 155 A 250 0 182 256 210 BBB- 402 2 310 425 355 CMBX.7 AAA 96.91 -0.07 96.14 97.83 97.11 AS 98.46 -0.10 97.28 99.60 98.63 AA 99.07 -0.06 98.08 100.64 99.81 A 98.87 -0.11 97.98 101.30 100.00 BBB- 97.72 -0.22 95.47 99.86 98.36 BB 97.87 -0.10 94.57 99.98 98.29 Agency CMBS GNR 10yr 110 0 100 115 107 FNA 10yr 57 0 35 57 48 FREMF 10yr 55 0 32 55 44 SBA 504 10yr 50 0 27 50 38 Source: Credit Suisse, Markit 06 August 2015 Fixed Income Research FOR INSTITUTIONAL CLIENT USE ONLY
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DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES AND
ANALYST CERTIFICATIONS.
CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION®
JPMCC 2006-CB17 3 Commons of Chicago Ridge (Centro Heritage) Depot Chicago Ridge, IL Cur Cur Oct-16 26.5 220.9 10.34% 1% 0.11%
JPMCC 2006-LDP7 2 Inland - Craig Crossing Max McKinney, TX 30 day Cur Jan-16 15.8 0.56% 16% 0.09%
06 August 2015
CMBS Market Watch Weekly 12
Exhibit 11: Office Depot and OfficeMax exposure in CMBS with expiring leases through 2016
Deal CMBX Name Tenant City, State
Loan status
(Jul 2015)
Loan status
(Jan 2015)
Lease exp
date
Alloc. loan
bal ($mn)
Total loan
bal ($mn)
Loan as a pct of deal
Store as a
pct of loan
Deal look-thru exp
JPMCC 2007-CB18 3 Office Depot Benton, Arkansas Depot Benton, AR Cur Cur Nov-16 2.1 0.07% 100% 0.07%
JPMCC 2007-CB19 4 Braker Lane Crossing Depot Austin, TX Cur Cur Dec-16 12.7 0.52% 28% 0.15%
JPMCC 2007-CB19 4 OfficeMax and Sports Authority (LG Portfolio) Depot Lilburn, GA Cur Cur Jan-16 5.8 30.7 1.26% 7% 0.08%
JPMCC 2007-LD11 4 Lakewood City Center Depot Lakewood, CO Cur Cur Sep-15 4.9 0.15% 55% 0.08%
JPMCC 2007-LD11 4 Southgate Shopping Center Max Milwaukie, OR Cur Cur Oct-15 7.8 0.24% 59% 0.14%
JPMCC 2007-LD12 4&5 Office Max - Philadelphia Max Philadelphia, PA FCL NPF Mar-16 5.2 0.37% 100% 0.37%
JPMCC 2007-LDPX 3 Hemet Village Depot Hemet, CA <30 Cur Apr-16 16.4 0.57% 23% 0.13%
JPMCC 2010-C2 Woodlands Square Shopping Center Depot Oldsmar, FL Cur Cur Sep-15 24.2 2.58% 7% 0.18%
JPMCC 2010-CNTR Kmart Plaza (Centro Portfolio) Max DeWitt, NY Cur Cur Oct-16 3.1 455.8 100.0% 0.1% 0.15%
JPMCC 2010-CNTR Superior Marketplace (Centro Portfolio) Max Superior, CO Cur Cur Jan-16 21.9 455.8 100.0% 0.4% 0.41%
JPMCC 2014-C20 8 Madison Place Max Madison Heights, MI Cur Cur Jan-15 15.2 1.74% 9% 0.16%
JPMCC 2015-FL7 Franklin Blue (Devonshire Retail Portfolio) Max Toledo, OH Cur na Dec-15 5.1 77.5 11.47% 3% 0.32%
LBUBS 2006-C7 3 First and Main North Max Colorado Springs, CO Cur Cur Jan-16 14.6 0.71% 12% 0.09%
LBUBS 2007-C1 3 Midtown Plaza Shopping Center Depot Montgomery, AL Cur Cur Sep-16 15.0 0.61% 20% 0.12%
LBUBS 2007-C6 4&5 Turfway Plaza Depot Florence, KY REO REO Dec-15 10.3 0.60% 23% 0.14%
MLCFC 2006-2 2 Maple Ridge Plaza Max Amherst, NY Cur Cur Mar-16 8.5 0.66% 25% 0.17%
MLCFC 2006-3 2 Westview Shoppes Depot Coral Springs, FL Cur Cur May-16 8.5 0.49% 35% 0.17%
MLCFC 2006-4 3 Federal Way Crossings Depot Federal Way, WA Cur Cur Jun-16 38.7 1.55% 11% 0.17%
MLCFC 2006-4 3 Signature Plaza Depot Van Nuys, CA Cur Cur Jun-13 13.3 0.53% 37% 0.20%
MLCFC 2007-6 Murdock Carrousel (MSKP Retail - A - A-1 note) Depot Port Charlotte, FL Cur Cur May-16 13.0 130.3 7.23% 1% 0.11%
MLCFC 2007-6 Murdock Carrousel (MSKP Retail - A - A-2 note) Depot Port Charlotte, FL Cur Cur May-16 9.7 93.1 5.17% 2% 0.08%
MLCFC 2007-6 Office Depot Plaza Depot Ulster, NY Cur Cur Jul-15 3.5 0.20% 52% 0.10%
MLCFC 2007-7 4 Berkshire Plaza Depot Edmond, OK <30 <30 Nov-16 4.1 0.24% 72% 0.17%
MSC 2006-HQ8 The Landings Shopping Center Depot Sarasota, FL 30 day Cur Nov-15 17.1 1.08% 20% 0.22%
MSC 2007-HQ13 5 Market Square Shopping Center Depot Prince Frederick, MD Cur Cur Dec-16 23.5 3.83% 17% 0.67%
MSC 2007-IQ14 4 City View Center Max Garfield Heights, OH 90+day 90+day Apr-16 81.0 2.77% 4% 0.11%
MSC 2007-IQ15 4&5 BoDo Lifestyle Center Depot Boise, ID Cur Cur Jan-16 23.3 1.63% 16% 0.27%
MSC 2007-IQ15 4&5 Kohl's Shopping Center Max Albany, NY Cur Cur Jun-15 6.7 0.47% 17% 0.08%
MSC 2007-T25 3 Cherryvale Plaza Depot Reisterstown, MD Cur Cur Nov-16 5.3 0.44% 25% 0.11%
MSC 2007-T25 3 Office Depot - Paramus Depot Paramus, NJ Cur Cur Sep-16 5.2 0.44% 100% 0.44%
MSC 2007-T25 3 Office Depot - State College Depot College Township, PA Cur Cur Mar-16 2.4 0.20% 100% 0.20%
MSC 2007-T25 3 Hilliard Market Max Hilliard, OH Cur Cur Mar-16 11.2 0.93% 19% 0.18%
MSC 2007-T25 3 Timber Crest Max Lakeville, MN Cur Cur Mar-16 6.2 0.51% 34% 0.17%
MSC 2008-T29 5 Greenfield Commons - Aurora Depot Aurora, IL Cur Cur Feb-16 3.6 0.38% 64% 0.24%
MSC 2012-C4 6 Horizon Park Shopping Center Depot Tampa, FL Cur Cur Dec-16 13.3 1.27% 11% 0.13%
MSDWC 2002-IQ3 Office Max Max Greensburg, PA Cur Cur Oct-15 0.1 0.27% 100% 0.27%
UBSBB 2012-C3 6 Somerset Center (Cooper Retail Portfolio) Depot Somerset, KY Cur Cur Sep-15 2.8 14.8 1.43% 8% 0.12%
VNO 2010-VNO Union (VNO Portfolio) Depot Union, NJ Cur Cur Jan-16 31.2 599.3 100.0% 0.4% 0.44%
WBCMT 2003-C7 Plaza de Laredo Depot Laredo, TX Cur Cur May-15 8.3 31.74% 10% 3.26%
WBCMT 2006-C24 Kensington Centre Shopping Center Max Appleton, WI Cur Cur Jan-16 8.8 0.92% 25% 0.23%
WBCMT 2006-C27 2 Cicero Market Place Max Cicero, NY Cur Cur Aug-16 20.0 1.01% 13% 0.13%
WBCMT 2007-C30 Gillette Retail Depot Gillette, WY Cur Cur Dec-16 2.5 0.04% 65% 0.02%
WBCMT 2007-C32 4 Pompano Plaza Depot Pompano Beach, FL Cur Cur Dec-16 18.9 0.69% 13% 0.09%
WBCMT 2007-C33 4 Paulding Exchange Shopping Center Max Hiram, GA REO 30 day May-16 6.9 0.29% 46% 0.13%
WFCM 2010-C1
Central Forest Shopping Center (Pepper Square
I & II and Central Forest Shopping Center) Depot Dallas, TX Cur Cur Apr-15 8.5 29.3 4.46% 8% 0.35%
WFRBS 2011-C5 Wolflin Village Shopping Center Depot Amarillo, TX Cur Cur Dec-16 14.3 1.38% 14% 0.19%
WFRBS 2011-C5 Silver Springs Pointe Depot Oklahoma City, OK Cur Cur Nov-16 8.8 0.85% 15% 0.13%
WFRBS 2012-C6 6 Gulfgate Square Depot Houston, TX Cur Cur Dec-16 7.2 0.81% 23% 0.19%
WFRBS 2012-C6 6 2010 South Sheridan (Sunwest Portfolio) Depot Tulsa, OK Cur Cur Jun-16 1.6 18.1 2.05% 5% 0.10%
WFRBS 2014-LC14 Off Dep Pearl MS (ArciTerra Portfolio) Depot Pearl, MS Cur Cur Dec-15 2.9 19.4 1.56% 10% 0.16%
Source: Credit Suisse, Trepp
06 August 2015
CMBS Market Watch Weekly 13
Technical update
Exhibit 12: US CMBS pipeline
August 2015 Deal type Rate type Size ($ million)
Credit Suisse, UBS - CSAIL 2015-C3 (Deal is in the market) Multiple Borrower Fixed 1,419
Deutsche Bank, Cantor, Jefferies LoanCore - COMM 2015-CR25 (Deal is in the market) Multiple Borrower Fixed 1,127
Citigroup, Principal Commercial Capital, Wells Fargo - CGCMT 2015-P1 (Deal is in the market) Multiple Borrower Fixed 1,096
J.P. Morgan, Barclays, Starwood - JPMBB 2015-C31 (Deal is in the market) Multiple Borrower Fixed 1,027
J.P. Morgan, MS, Citi (1211 Ave. of the Americas) - AOTA 2015-1211 (Deal is in the market) Single Borrower Fixed 1,035
Barclays, Cantor (NGP GSA portfolio) - BBCCR 2015-GTP (Deal is in the market) Single Borrower Fixed 660
Deutsche, MS, Wells (11 Madison Ave) Single Borrower Fixed 1,400
Wells Fargo, Societe Generale Multiple Borrower Fixed 1,250
Cantor, MSD Capital (Four Seasons Resort Hualalai) Single Borrower Floating 250
2015 Q4
JP Morgan, MS (U-Haul portfolio) Single Borrower Fixed 300
Credit Suisse, Morgan Stanley (Industrial Income Trust - Warehouse portfolio) Single Borrower Fixed 2,000
Announced Total 11,565
Source: Credit Suisse, Commercial Mortgage Alert, Commercial Real Estate Direct
Exhibit 13: 2015 CMBS issuance (in $ millions)
Month
Multi-
Borrower
Floating
Rate
Single
Borrower Other
2015
US Total
2015
Non-US Total
2015
Global Total
US Agency
CMBS*
US Resecur./
CDO
January 3,765 0 900 1,100 5,765 555 6,320 4,265 371
February 5,029 0 6,769 553 12,351 262 12,613 6,683 646
March 4,387 545 4,963 749 10,644 191 10,835 5,489 0
April 4,324 0 3,963 1,456 9,743 582 10,325 6,075 207
May 5,542 223 1,391 1,112 8,267 1,025 9,292 7,033 194
June 7,079 676 1,727 1,639 11,121 537 11,659 6,840 119
July 6,861 0 1,288 313 8,462 316 8,778 4,637 798
August 0 0 235 0 235 300 535 524 0
Total 36,988 1,444 21,236 6,922 66,589 3,767 70,356 41,548 2,334
* Multiple-pool Agency CMBS transactions only (i.e. deal tickers with GNR, FREMF, FNA, GEMS, MFMEG, SBAP and SBIC). Standalone DUS MBS and GN MBS pools are not included. Source: Credit Suisse, Commercial Mortgage Alert
06 August 2015
CMBS Market Watch Weekly 14
Relative Value Monitor
Exhibit 14: CMBX 1 through 7 prices statistics as of August 4, 2015
CMBX 7 (CMBX 2014-1) AAA AS AA A BBB- BB
Current Price 96.91 98.46 99.07 98.87 97.72 97.87
Change vs. Prior Week -0.07 -0.1 -0.06 -0.11 -0.22 -0.1
Analyst Certification Roger Lehman, Serif Ustun and Sylvain Jousseaume each certify, with respect to the companies or securities that the individual analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report.
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