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Presentation Slides

1) MORTGAGE-BACKED SECURITIES Commercial Mortgage Market Monitor February 2016 Remittances

2) Table of Contents Foreword ............................................................................................ 3 Overview ............................................................................................ 4 Section A: Delinquencies .................................................................. 6 I. Delinquencies as a % of Unpaid Principal Balance ............. 7 II. Watch List Exposure .............................................................. 9 III. Special Servicing Exposure ............................................. 11 IV. Delinquency Broken Out by Vintage ............................... 16 V. Delinquency Broken Out by Status ..................................... 18 VI. Delinquency Broken Out by Property Type..................... 20 VII. Maturing Loans Summary .............................................. 22 VIII. Defeased Loan Trends .................................................... 25 IX. Loan Curing Trends ......................................................... 27 Section B: Losses ............................................................................ 29 I. CDRs .................................................................................... 30 II. Loan Level Losses................................................................ 32 III. Aggregate Severity Greater than 2% ............................... 33 IV. Average Severity by Property Type .................................. 38 V. Average Number of Months to Liquidation ....................... 41 Section C: Prepayments .................................................................. 43 I. Top 10 Largest Refinancings ............................................... 44 II. Voluntary Prepayment Rates ............................................... 46 III. Top 10 Largest Refinancings with Yield Maintenance ... 48 IV. Voluntary Prepayment Rates on Loans with Yield Maintenance ....................................................................... 50 V. Top 10 Largest Refinancings with Prepayment Penalties .. 52 VI. Voluntary Prepayment Rates on Loans with Prepayment Penalties.............................................................................. 54 Section D: Appraisal Reductions .................................................... 56 I. Percentage of Balance with Appraisal Reduction ............... 57 Section E: Modifications ................................................................. 59 I. Modifications by Type ......................................................... 60 Section F: Partial IO Resets............................................................. 63 I. Top 10 Largest Loans Beginning to Amortize .................... 64 Section G: Commercial Property Prices ......................................... 66 I. Moody’s Commercial Property Price Index (CPPI) ............ 67

3) This publication is for general information purposes only and does not constitute an offer to sell, or a solicitation of an offer to buy, any security. Any holdings of a particular company or security discussed herein are under periodic review by the portfolio management group and are subject to change without notice. In addition, TCW manages a number of separate strategies, and portfolio managers in those strategies may have differing views or analysis with respect to a particular company, security or the economy than the views expressed herein. An investment in the strategy described herein has risks, including the risk of losing some or all of the invested capital. Before embarking on the described investment program, an investor should carefully consider the risks and suitability of the described strategy based on their own investment objectives and financial position. Past performance is no guarantee of future results. The information contained herein may include estimates, projections and other “forward-looking statements.” Due to numerous factors, actual events may differ substantially from those presented herein. TCW assumes no duty to update any such forward-looking statements or any other information or opinions in this document. Any information and statistical data contained herein derived from third party sources are believed to be reliable, but TCW does not represent that they are accurate, and they should not be relied on as such or be the basis for an investment decision. Copyright TCW 2016

4) Foreword The Commercial Mortgage Market Monitor provides a monthly snapshot of key risk metrics in the Commercial Mortgage Market. The primary sources of data include Trepp and Moody’s. The following definitions will facilitate the use of this report. WATCH LIST If the Master Servicer observes that a loan is headed for distress it may put the loan on “negative credit watch.” The loan typically remains on watch until the Master Servicer/Special Servicer has deemed that the acute credit risk has dissipated. SPECIAL SERVICING When a loan goes delinquent, servicing is transferred from the Master Servicer to the Special Servicer. Likewise, if the Master Servicer believes that delinquency is very likely and curing in a reasonable amount of time is unlikely a transfer to the Special Servicer will occur prior to delinquency. The Special Servicer’s responsibility is to maximize the net present value of the proceeds realized from the loan. Typically, the Special Servicer has substantial commercial real estate experience and uses it to decide whether to initiate foreclosure and liquidate the loan or restructure the loan and return it to the Master Servicer. DELINQUENCY Any loan that is 30 days or more delinquent or is in Foreclosure or REO is flagged as “Delinquent” for the purposes of this report. APPRAISAL REDUCTION Typically, if a property is worth less than 90% of the loans unpaid balance, the Special Servicer is required to reset the principal loan amount to the new appraisal value. This is called appraisal reduction and is meant to preserve capital for senior certificates at the expense of junior classes. In this report we track the percentage of the CMBS loan universe that has received appraisal reductions. MODIFICATION As an alternative to liquidation through foreclosure the Special Servicer may modify the loan in accordance with the guidelines of the Pooling and Servicing Agreement. These modifications can include: maturity date extensions, change to the amortization structure, principal forgiveness, temporary rate reduction, capitalization of delinquent interest, capitalization of delinquent interest, or any combination of these modifications. In this report we track the percentage of the CMBS loan universe that has received modifications. MOODY’S/REAL CPPI The Moody’s/REAL Commercial Property Index (CPPI) methodology was developed by the Massachusetts Institute of Technology Center for Real Estate industry partner Real Capital Analytics, Inc. The index is designed to track changes in price on commercial properties involved in two or more transactions over time. Appraisal valuations are not used as part of the index but each transaction carries the same weight. The national all-property index is published monthly. Historical data are available as far back as December 2000. 3

5) Overview The legacy CMBS 60+ day delinquency rate increased 11bps in February, to 9.47%, though the increase is largely the product of a shrinking outstanding balance of legacy loans (the denominator effect), as most delinquency buckets (except REO) fell in dollar terms. Over the past 12 months roughly $57BN of conduit loans scheduled to mature between 2016-2018 either prepaid or defeased, reducing the outstanding legacy balance by 24%. The entire legacy universe (all legacy vintages) declined by $108BN, or 34%, during that same period, with only $208BN legacy conduit remaining (compared to $228.8BN conduit 2.0). Prepayments of open loans remained elevated during February, though 2006vintage CPY declined slightly to 90% from 92% in January (still above the 6-month moving average of 87%). The balance of 2006-vintage loans open to prepayment increased by $1.2BN, to $28.0BN. The refinance success rate also increased, up 4% since January to 77%. The special servicing rate for legacy loans remained stable this month at 6.3%. Liquidation volumes on delinquent loans slowed to $573MM (44 loans), down from $2.5BN (125 loans) during a very active January. The average loss severity on liquidations was 33%, down from 60.5% in January and well below the six-month average of 50%. Cumulative losses for legacy CMBS remain highest in the 2008, 2007, and 2006 vintages, at 10.47%, 7.00%, and 6.74% respectively. The largest legacy liquidation was the $190.8MM Gulf Coast Town Center Phases I & II (7.01% of CSMC 2007-C5), a 10yr full term interest only loan backed by an anchored retail property in Fort Myers, FL. The property transferred to special servicing in July 2013 due to imminent default. The borrower cited financial hardship as the property cash flows could no longer cover operating expenses after payment of debt service (the most recent net operating income was 28% below underwriting). The loan modification discussions were rejected and the property was liquidated with the loan taking a $44.3MM loss (23% severity). In CMBS 2.0, 15 loans totaling $103MM became newly delinquent, including eight loans secured by properties in oil-focused regions (majority in Texas and North Dakota). In total, 45 loans with a balance of $470MM were 30+ delinquent at the end of February, resulting in a delinquency rate of 0.21%. During the month, eight loans totaling $104MM moved to special servicing, raising the total to $770MM across 59 loans, for a rate of 0.32%. One of newly transferred loans is $23MM 88 Hamilton Avenue, secured by a mixed use property in Stamford, CT (2.52% of WFCM 2015-NXS2). The loan experienced financial trouble at the end of the year, including two bounced checks, which prompted an investigation into the company’s operations and a forced the resignation of the company’s CEO. The loan was transferred to special servicing when the lender received notice that the borrower’s sole member and manager both filed Ch. 11 bankruptcy protection. CMBS 2.0 watchlist activity increased in February with the addition of 189 new loans ($3.0BN), up from 133 new loans ($2.3BN) in January. One of the largest loans to be put on watchlist is $71.5MM 333 North Central Avenue, secured by an urban office property in Phoenix, AZ (6.28% of JPMBB 2015-C28). The property is 99% leased to the mining company, Freeport McMoRan Corporation, and the move to watchlist is the result of Moody’s downgrade of the company from Baa3 to B1. In total, 1,057 ($16.8BN) 2.0 loans are on the watchlist, resulting in a rate of 7.37%. Only one 2.0 loan was modified in February, resulting in total 2.0 modification volume of $392.7MM across 12 loans. The modified loan is $94.2MM Gateway Salt Lake, secured by an anchored lifestyle retail center in Salt Lake City (30.50% of JPMCC 2010-C1). The special servicer marked the loan for potential imminent write-down and modification in November 2015 due to a continued decline in performance after the 4

6) March 2012 opening of a competitive property, City Creek Center Mall, only 0.6 miles away. The modification report indicated that following the sale of the property, the loan was assumed for $78.5MM with an interest rate of 0.00% in the first year of the extended term and a step-up to 1.00% in the fifth year. In addition to the apparent $15.7MM write-off (a write-down of the entire Class NR and a partial write-down of the Class H), the 0.00% coupon is likely to result in significant interest shortfalls to the trust. It’s worth noting that the most recent loan commentary suggests there may be adjustments the initial terms of the resolution. The largest 2.0 appraisal reduction during the month was $9.6MM on $18.7MM Strata Estates Suites (1.91% of COMM 2013-CR10), secured by two corporate multifamily properties in the Bakken Shale Oil region of North Dakota. The loan moved to special servicing in February 2014 after Halliburton, a corporate tenant at the property, terminated 55 leases. After several months in default, the special servicer initiated foreclosure and the assets became real estate owned (REO) in October 2015. According to the December 2015 rent rolls, the aggregate occupancy stands at 52.2%, down from 72.0% June 2015 and 100% August 2013 (issuance). One loan was liquidated in February, bringing the 2.0 liquidation total to $156.9MM across 16 loans. The liquidated loan is $12.4MM Campus Habitat 15 (0.92% of WFRBS 2011-C3), secured by a student housing complex near the University of Wyoming. Campus Habitat 15 represents the first 2.0 loan to be liquidated at a meaningful loss (in terms of absolute dollars and loss severity). The borrower failed to make payment in early 2013 due to a significant decrease in occupancy (69% March 2013, down from 99% June 2011) and filed for Ch. 11 bankruptcy in late 2013. In March 2014, the borrower filed a plan of reorganization, but subsequently filed a June 2014 motion to dismiss the March 2014 reorganization plan in favor of pursuing a workout with creditors. Despite the storied history, the loan was most recently reported as current (albeit still in special servicing) and there was no appraisal reduction on the property, so the February liquidation at a $7.1MM loss (57% severity) surprised the market. As for new issue, February conduit issuance totaled $5.6BN across six deals, bringing 2016 volume to $8.3BN, down 5% from a year ago. Single asset/single borrower (SASB) issuance totaled $2.0BN across three deals, resulting in $2.2BN total volume, down 70% from a year ago. Across the Street, banks have reduced their 2016 volume projections to reflect the significant headwinds to the new issue market. Current volume projections range from $70-80BN ($40BN conduit and $30BN SASB), down from $100-115+BN at the end of 2015. The biggest impediments to issuance so far have been spread volatility, which creates significant market risk between loan origination and CMBS execution, and spread widening, which makes CMBS a less competitive lender in the market. By the second half of the year, even if spreads have stabilized, originators and issuers will have to deal with the regulatory headwind of risk retention, which goes into effect December 24, 2016. 5

7) Section A: 6

8) I. Delinquencies as a % of Unpaid Principal Balance 7

9) CMBS Delinquency Percentage 12.0% 5.0% 4.5% 10.0% 4.0% 3.5% 8.0% 3.0% 6.0% 2.5% 2.0% Newly Delinquent 30++ % (rhs) 4.0% Delinquent 30+% 3.9% 1.5% 1.0% 2.0% 0.5% 0.0% 0.0% Exhibited by TCW from Trepp Data 8

10) II. Watch List Exposure 9

11) Watch List Exposure Percentage 30% 25% 20% 15.95% 15% 10% 5% 0% Exhibited by TCW from Trepp Data 10

12) III. Special Servicing Exposure 11

13) Special Servicing Exposure Percentage 14% 12% 10% 8% 6% 4.89% 4% 2% 0% Exhibited by TCW from Trepp Data 12

14) Property Type Stratification - Specially Serviced Assets Healthcare 0.1% Hotel 8.4% Industrial 5.5% Multi-Family 6.1% Retail 37.6% Office 35.7% Other 6.7% Exhibited by TCW from Trepp Data 13

15) Top 10 Largest Loans Entering Special Servicing Deal Property Name Type Balance Pct of Tapedate Deal 75.1% 02/15/16 DQStatus City State Current Stamford CT lbub04c1 UBS Center - Stamford Office 155,329,465 comm06c 700 South Flower Plaza 7 ms07xlf HRO Hotel Portfolio Other 121,623,564 12.7% 02/10/16 Payment not received but still in grace period Los Angeles CA Hotel 114,693,870 89.9% 02/15/16 Assumed Scheduled Payment (Performing Matured Balloon) Various VR ms11c2 Office 46,500,000 4.3% 02/15/16 Late Payment but less than 30 days DQ Washington DC jpm5cb12 Fort Steuben Mall Retail 37,093,108 23.7% 02/12/16 Foreclosure in Process Steubenville OH wb06c26 Northland Plaza(3) (4) Retail 30,772,179 2.9% 02/15/16 90+ Days DQ Dekalb IL bacm052 OSI Systems Office 28,549,052 02/10/16 REO Issaquah WA mlcfc079 San Souci Plaza Retail 27,200,000 100.0 % 1.8% 02/12/16 Foreclosure in Process California MD wf15nxs2 88 Hamilton Avenue Other 23,000,000 2.5% 02/15/16 60-89 Days DQ Stamford CT cd06cd2 Alpine Commons Shopping Retail Center Total 22,232,697 6.7% 02/15/16 Assumed Scheduled Payment (Non Performing Matured Balloon) Wappingers Falls NY Georgetown Center 606,993,936 Exhibited by TCW from Trepp Data 14

16) Watch List and Special Servicing Summary 30% SS and Cur 25% SS and DQ Watch List Special SVC Pct 20% 15.945% 15% 10% 5% 4.887% 3.472% 1.414% 0% Exhibited by TCW from Trepp Data 15

17) IV. Delinquency Broken Out by Vintage 16

18) Monthly 30+ Delinquent % by Vintage 40% 35% 30% 25% 20% 15% 10% 5% 0% Aug-15 Sep-15 2004 2004 2005 2005 Oct-15 2006 2006 2007 2007 2008 2008 Nov-15 2009 2009 2010 2010 Dec-15 2011 2011 2012 2012 2013 2013 Jan-16 2014 2014 Exhibited by TCW from Trepp Data 17

19) V. Delinquency Broken Out by Status 18

20) Monthly Delinquency % by Status 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Mar-15 Apr-15 May-15 Jun-15 Jul-15 DQ30 Aug-15 DQ60 Sep-15 Oct-15 DQ90P Nov-15 FC Dec-15 Jan-16 Feb-16 REO Exhibited by TCW from Trepp Data 19

21) VI. Delinquency Broken Out by Property Type 20

22) Property Type Monthly Delinquency: as Percentage of Property Type 20% 18% 16% 14% 12% 10% 8% 6% 5.7% 4% 4.8% 5.0% 2% 2.5% 2.46% 1.7% 0% Multi-Family Office Industrial Hotel Retail Other Exhibited by TCW from Trepp Data 21

23) VII. Maturing Loans Summary 22

24) Maturing Loans Summary 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Paid off no extension Paid off with extension Paid off in later quarter Unpaid Paid off with loss Exhibited by TCW from Trepp Data 23

25) Top 10 Largest Loans Maturing without Payoff Deal Property Name Type jpm6ldp8 53 State Street Office 280,000,000 lbub06c4 215 Fremont Street Office 141,371,000 jpm13c15 Veritas Multifamily Portfolio Other 119,000,000 cgc06c4 Olen Pointe Brea Office Park Office boa062 Bon-Ton Department Stores Portfolio (Rollup) Retail jpm13c16 Veritas Multifamily Portfolio Multi-Family 92,500,000 ms13c8 Boston Park Plaza Hotel 90,420,343 comm06c8 Scottsdale 101 Retail 70,000,000 cs06c5 Roger Williams Hotel gcc06gg7 John Marshall II Office Total Balance Pct Date Prepay Action City State 20% 02/01/16 Payoff Prior to Maturity Boston MA 14% 02/11/16 Payoff Prior to Maturity San Francisco CA San Francisco CA 117,147,197 11% 01/29/16 Payoff w/Yield 17% 02/12/16 Maintenance Maturity Payoff Prior to Brea CA 102,370,797 12% 01/15/16 Payoff w/Penalty Various VR 9% 01/29/16 Payoff w/Yield Maintenance 9% 02/01/16 Payoff Prior to Maturity San Francisco CA Boston MA Phoenix AZ 58,830,772 3% 02/01/16 Payoff w/Yield 3% 02/11/16 Maintenance Maturity Payoff Prior to New York NY 50,946,567 4% 02/06/16 Payoff Prior to Maturity Mclean VA 1,122,586,676 Exhibited by TCW from Trepp Data 24

26) VIII. Defeased Loan Trends 25

27) Outstanding Defeased Loan Balance as % of CMBS Universe 10% 9% 8% 7% 6% 5.84% 5% 4% 3% 2% 1% 0% Exhibited by TCW from Trepp Data 26

28) IX. Loan Curing Trends 27

29) Percentage of 30 day Delinquent Loans Curing Monthly 45% 40% 35% 30% 25% 20% 15% 12.08% 10% 5% 0% Exhibited by TCW from Trepp Data 28

30) Section B: Losses 29

31) I. CDRs 30

32) CMBS Universe CDRs 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.8 0.0 Exhibited by TCW from Trepp Data 31

33) II. Loan Level Losses 32

34) Loans with Losses Greater than 2% Deal Property Name bs6pwr1 Phillipsburg Commerce Center 3 wb07c33 Holiday Inn Express - Effingham Type Pct of Loss Deal 21,826,825 1.2% LossPct Tapedate City State 21,826,825 100.0% 02/11/16 Phillipsburg NJ Hotel 6,482,438 0.3% 6,482,438 100.0% 02/15/16 Effingham IL boa062 West Park Apartments & SelfOther Storage ms07iq1 25 John A. Cummings Way Office Office 4 mlmt06c Fourth & Walnut Office 2,199,704 0.3% 2,199,704 100.0% 02/10/16 Evansville IN 2,923,489 0.1% 2,923,489 100.0% 02/15/16 Woonsocket RI 21,690,329 3.3% 19,106,270 1 cs07c4 Tobin Portfolio Industrial Balance 88.1% 02/12/16 Cincinnati OH Retail 3,372,964 0.3% 2,933,468 87.0% 02/15/16 ms07iq1 Huntington Hills Plaza 3 cgc05c3 Richmond City Center - B note loan gmac97c 2 Property Retail Portfolio Retail 1,372,506 0.1% 1,192,982 86.9% 02/15/16 Lakeland FL Retail 3,321,169 26.2% 2,859,081 86.1% 02/15/16 Richmond CA Retail 3,381,562 9.4% 2,659,574 78.6% 02/15/16 Various VR 1 ms07iq1 Water Street Plaza (ADF) 3 ms07iq1 Park Plaza Shopping Center 3 gmac05c Springbrook Estates Retail 5,515,555 0.5% 4,233,579 76.8% 02/15/16 Santa Fe NM Retail 3,615,081 0.3% 2,695,002 74.5% 02/15/16 Winter Park CO Other 12,632,316 12.5% 9,287,057 73.5% 02/10/16 Romeo MI 1 cs07c4 Office 11,867,024 1.2% 7,353,649 62.0% 02/15/16 Dublin OH wf11c3 Campus Habitat 15 Multi-Family 12,397,817 1.1% 7,105,002 57.3% 02/15/16 Laramie WY ms07iq1 Peakview Self Storage 5 cobalt73 Buschwood III Other 2,645,237 0.2% 1,247,497 47.2% 02/11/16 Colorado Springs CO Office 9,200,000 0.7% 4,297,871 46.7% 02/15/16 Tampa FL 3,026,133 1.4% 1,362,779 45.0% 02/10/16 Pompano Beach FL 51,896,777 3.1% 22,610,027 43.6% 02/12/16 Newark NJ 2,262,815 41.0% 02/12/16 Tucker GA 565 Metro Place ge06c1 Copans Commerce Depot - B note Industrial jpm6cb1 Sheraton at Newark International Hotel 7 ms06hq9 Airport Suites - Northlake Comfort Hotel 5,524,481 0.5% boa062 Novi Industrial Industrial 1,736,938 0.2% jpm6cb1 Palmer Super Center 7 bs7top28Towne Center Promenade Retail 9,100,343 0.6% 3,546,517 39.0% 02/12/16 Easton PA Retail 14,220,585 1.1% 3,644,077 25.6% 02/11/16 Deer Park IL boa062 Shopping Center 2 Rockledge Centre Office 54,600,000 6.3% 13,124,553 24.0% 02/10/16 Bethesda MD cs07c3 401-431 North Raddant Road Industrial 2,474,240 0.2% cs07c5 Gulf Coast Town Center Phases I & Retail II River Ridge Crossing West Retail fb05c6 com05lp 4320 Broadway 5 Other 190,800,000 14.9% 5,043,397 3.4% 12,206,296 10.5% 681,838 39.3% 02/10/16 Novi 590,875 23.9% 02/15/16 Batavia 44,318,763 23.2% 02/15/16 Fort Myers 629,805 12.5% 02/15/16 Indianapolis 1,355,454 11.1% 02/10/16 New York MI IL FL IN NY 33

35) mlmt06c Hampton Inn - Tampa 1 fb05c6 River Ridge Crossing East Hotel 5,457,806 0.8% 570,957 10.5% 02/12/16 Tampa FL Retail 3,947,734 2.7% 109,571 IN Subtotals 484,478,745 2.8% 02/15/16 Indianapolis 193,211,520 55.4% Loans with Losses Less than 2% mlcfc079 Sam Bass Center Retail Pct of Loss 1,684,098 Deal 0.1% jpm5cb1 2209 North Halsted 3 boa061 Bellefontaine Retail Retail 2,991,391 1.8% 36,047 1.2% 02/12/16 Chicago IL Retail 2,030,385 1.0% 23,005 1.1% 02/10/16 Bellefontaine OH jpm6cb1 Royal Pines Other 5 lbub06c1 72nd & Ames Road/Benson Park Retail Plaza lbub06c3 Westwood Office Center Office 2,139,325 0.2% 22,178 1.0% 02/12/16 Idyllwild CA 1,670,192 0.5% 17,285 1.0% 02/15/16 Omaha NE 15,855,095 4.4% 162,577 1.0% 02/15/16 Vienna VA Deal Property Name Type Balance LossPct Tapedate City State 21,041 1.2% 02/12/16 Round Rock TX ge06c1 South Street Self Storage Other 5,866,498 2.7% 59,890 1.0% 02/10/16 Long Beach CA jpm6cb1 Eureka Manor 5 gs05gg4 Mill Avenue Retail Multi-Family 3,226,658 0.3% 32,838 1.0% 02/12/16 San Bernardino CA Retail 9,538,775 3.7% 96,938 1.0% 02/10/16 Tempe AZ boa056 NVR Warehouse Industrial 5,149,532 3.5% 52,004 1.0% 02/10/16 Enon Valley PA gcc06gg7 Central Texas Marketplace Retail 1,865,576 0.1% 18,751 1.0% 02/10/16 Waco TX 20,174,142 7.0% 185,766 0.9% 02/10/16 Greensboro NC gmac06c Mission Greensboro Apartments Multi-Family 1 cgc05c3 Eckerd Plaza-Slane Portfolio Retail 3,226,325 25.5% 19,732 0.6% 02/15/16 Woodside NY wb05c21 975 Morris Park Avenue Other 2,141,687 0.5% 12,186 0.6% 02/15/16 Bronx NY ms06hq8 One Harbour Square Office 4,049,073 1.3% 19,810 0.5% 02/12/16 League City TX cd05c1 Granite Bay Village Retail 7,495,830 3.3% 13,555 0.2% 02/15/16 Granite Bay CA Subtotals Aggregate Totals 89,104,582 573,583,326 793,602 0.9% 194,005,122 36.0% 34

36) III. Aggregate Severity Greater than 2% 35

37) Totals Balance Loss Amt Avg Severity Count Feb-16 586,478,745 256,772,898 55.8% Jan-16 2,291,161,774 1,496,833,926 62.6% Dec-15 857,494,344 652,613,688 63.6% Nov-15 745,000,934 413,236,854 57.1% Oct-15 706,688,479 364,303,686 55.5% Sep-15 819,713,908 441,109,189 52.5% Aug-15 598,195,930 379,833,326 55.3% Jul-15 414,609,283 227,965,152 58.3% Jun-15 681,558,674 381,082,865 55.4% May-15 1,018,993,679 577,257,553 53.4% Apr-15 396,928,585 180,336,004 48.4% Mar-15 257,507,653 189,386,052 64.6% Feb-15 248,029,382 128,114,688 54.7% Jan-15 835,552,120 448,885,270 53.0% Dec-14 525,884,949 342,772,554 53.7% Nov-14 615,315,964 368,343,938 53.9% Oct-14 636,700,822 403,607,631 61.1% Sep-14 1,619,608,737 953,435,943 59.3% Aug-14 693,978,308 362,436,965 51.4% Jul-14 508,756,910 351,022,430 61.5% Jun-14 699,405,409 291,076,119 47.7% May-14 770,474,276 463,377,945 58.0% 31 112 47 56 40 59 51 53 56 75 30 30 26 60 53 50 56 85 76 43 60 52 36

38) Average Loss Severity and Number of Liquidations 70.0% 120 60.0% 100 50.0% 80 40.0% 60 30.0% 40 20.0% 20 10.0% 0.0% - Liquidation Count (rhs) Severity Exhibited by TCW from Trepp Data 37

39) IV. Average Severity by Property Type 38

40) All Loans Prop Type Healthcare Hotel Industrial Multi-Family Office Other Retail Total Balance Loss Severity Count 21,663,807 28.5% 16 3,550,554,055 54.2% 474 1,747,296,703 44.2% 452 4,232,620,023 40.2% 1,188 10,374,932,611 48.7% 1,590 2,434,574,003 44.3% 516 10,233,794,039 48.7% 2,111 32,595,435,240 44.1% 6,347 Loss Severity Count 20,289,687 55.8% 8 3,544,577,687 60.2% 426 1,740,793,964 55.6% 358 4,200,442,037 51.7% 917 10,325,890,285 57.9% 1,332 2,425,921,443 54.8% 415 10,205,628,739 57.9% 1,770 32,463,543,841 56.3% 5,226 160,841,670 7,140,715,492 4,017,096,556 12,500,142,566 24,634,582,961 5,147,796,785 19,762,465,618 73,363,641,649 Loans with severity greater than 2% Prop Type Healthcare Hotel Industrial Multi-Family Office Other Retail Total Balance 34,606,538 6,450,972,174 3,214,742,916 8,906,685,010 19,571,436,348 4,339,129,083 16,939,249,593 59,456,821,663 Exhibited by TCW from Trepp Data 39

41) Loans with severity less than 2% Prop Type Healthcare Hotel Industrial Multi-Family Office Other Retail Total Balance Loss 126,235,131 689,743,318 802,353,640 3,593,457,556 5,063,146,613 808,667,702 2,823,216,025 13,906,819,985 Severity Count 1,374,120 1.3% 8 5,976,368 0.9% 48 6,502,740 1.0% 94 32,177,986 1.0% 271 49,042,325 1.0% 258 8,652,560 1.0% 101 28,165,301 1.0% 341 131,891,399 1.0% 1,121 Exhibited by TCW from Trepp Data 40

42) V. Average Number of Months to Liquidation 41

43) Average Number of Months to Liquidation 50 250 45 40 200 35 30 150 25 20 100 15 10 50 5 0 0 Liquidation Count (rhs) Avg Months to Liquidation Exhibited by TCW from Trepp Data 42

44) Section C: Prepayments 43

45) I. Top 10 Largest Refinancings 44

46) Deal Property Name Type Balance jpm6ldp8 53 State Street Office 280,000,000 Pct Date Prepay Action City State 20% 02/01/16 Payoff Prior to Maturity Boston MA lbub06c4 215 Fremont Street Office 141,371,000 14% 02/11/16 Payoff Prior to Maturity San Francisco CA jpm13c15 Veritas Multifamily Portfolio Other 119,000,000 11% 01/29/16 Payoff w/Yield Maintenance San Francisco CA cgc06c4 Olen Pointe Brea Office Park Office 117,147,197 17% 02/12/16 Payoff Prior to Maturity Brea CA boa062 Bon-Ton Department Stores Portfolio (Rollup) Retail 102,370,797 12% 01/15/16 Payoff w/Penalty Various VR jpm13c16 Veritas Multifamily Portfolio Multi-Family 92,500,000 9% 01/29/16 Payoff w/Yield Maintenance San Francisco CA ms13c8 Boston Park Plaza Hotel 90,420,343 9% 02/01/16 Payoff Prior to Maturity Boston MA comm06c8 Scottsdale 101 Retail 70,000,000 3% 02/01/16 Payoff w/Yield Maintenance Phoenix AZ cs06c5 Roger Williams Hotel 58,830,772 3% 02/11/16 Payoff Prior to Maturity New York NY gcc06gg7 John Marshall II Office 50,946,567 4% 02/06/16 Payoff Prior to Maturity Mclean VA Total 1,122,586,676 Exhibited by TCW from Trepp Data 45

47) II. Voluntary Prepayment Rates 46

48) CMBS Universe Voluntary Prepayment Rates ex Defeased Loans 16.0 14.0 12.0 10.0 8.0 6.6 6.0 4.0 2.0 0.0 Exhibited by TCW from Trepp Data 47

49) III. Top 10 Largest Refinancings with Yield Maintenance 48

50) Deal Property Name Type jpm13c15 Veritas Multifamily Portfolio Other jpm13c16 Veritas Multifamily Portfolio Balance Pct Date Prepay Action City State 119,000,000 11% 01/29/16Payoff w/Yield Maintenance San Francisco CA Multi-Family 92,500,000 9% 01/29/16Payoff w/Yield Maintenance San Francisco CA comm06c8 Scottsdale 101 Retail 70,000,000 3% 02/01/16Payoff w/Yield Maintenance Phoenix AZ mlcfc075 EZ Storage - Chevrolet Drive Other 11,885,000 1% 02/01/16Payoff w/Yield Maintenance Ellicott City MD cs06c5 Royal Bank Complex Office 10,324,252 0% 02/10/16Payoff w/Yield Maintenance Sarasota FL com12cr2 3018 Heath Avenue Multi-Family 6,640,137 1% 02/11/16Payoff w/Yield Maintenance Bronx NY mlcfc075 EZ Self Storage - Owings Mill Other 6,490,000 0% 02/01/16Payoff w/Yield Maintenance Owings Mills MD bs6pwr13 One City Center Office 6,199,779 0% 02/01/16Payoff w/Yield Maintenance Atlanta GA com12cr2 1576 Taylor Avenue Multi-Family 5,918,383 0% 02/11/16Payoff w/Yield Maintenance Bronx NY com12cr2 2770 Kingsbridge Terrace Multi-Family 5,485,331 0% 02/11/16Payoff w/Yield Maintenance Bronx NY Total 334,442,882 Exhibited by TCW from Trepp Data 49

51) IV. Voluntary Prepayment Rates on Loans with Yield Maintenance 50

52) CMBS Universe Voluntary Prepayment Rates with Yield Maintenance ex Defeased Loans 2.5 2.0 1.5 1.0 0.9 0.5 0.0 Exhibited by TCW from Trepp Data 51

53) V. Top 10 Largest Refinancings with Prepayment Penalties 52

54) Deal Property Name Type jpm12c8 Wolf Creek Apartments Phase II Multi-Family 18,782,273 jpm07c1 Molasky Corporate Center - 2nd Loan Office ml03key1 Circa Capital - East Pool Hotel ml03key1 Circa Capital - West Pool Hotel Total Balance Pct Date Prepay Action City State 2% 12/11/15 Payoff w/Penalty Raleigh NC 24,038,999 3% 12/30/15 Payoff w/Penalty Las Vegas NV 10,022,637 42% 12/22/15 Payoff w/Penalty Various VR 6,906,253 29% 12/22/15 Payoff w/Penalty Various VR 59,750,163 Exhibited by TCW from Trepp Data 53

55) VI. Voluntary Prepayment Rates on Loans with Prepayment Penalties 54

56) CMBS Universe Voluntary Prepayment Rates with Prepayment Penalties ex Defeased Loans 2.0 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.3 0.2 0.0 Exhibited by TCW from Trepp Data 55

57) Section D: Appraisal Reductions 56

58) I. Percentage of Balance with Appraisal Reduction 57

59) Appraisal Reduction on CMBS Universe 60.0% 14.0% 55.1% 50.0% 12.0% 10.0% 40.0% 8.0% 30.0% 6.0% Pct w/Appraisal Reduction Appraisal Reduction Amt 3.739% 20.0% 4.0% 10.0% 2.0% 0.0% Exhibited by TCW from Trepp Data 0.0% 58

60) Section E: Modifications 59

61) I. Modifications by Type 60

62) Maturity Ext Amort Change Prin Forgiveness Temp Rate Reduction Interest Capitalization Taxes Capitalization Other Feb-16 Nov-15 Aug-15 May-15 Feb-15 Nov-14 Aug-14 May-14 Feb-14 Nov-13 Aug-13 May-13 Feb-13 Nov-12 Aug-12 May-12 Feb-12 Nov-11 Aug-11 May-11 Feb-11 Nov-10 Aug-10 May-10 Feb-10 Nov-09 Aug-09 May-09 Feb-09 Nov-08 Aug-08 May-08 Feb-08 Nov-07 Aug-07 May-07 Feb-07 Nov-06 Percent CMBS Universe with Modification 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Combination Exhibited by TCW from Trepp Data 61

63) Top 10 Largest Loans Modified Deal Property Name Type jpm14gpp Greenfield Partners Portfolio Other 368,148,000 wb07c30 One Congress Street Other 190,000,000 jpm14gpp Greenfield Partners Portfolio_Prepayable Other 38,122,730 Total Balance % Deal Mod Date Loan Modification Type City State 91% 01/15/16 Maturity extension Various VR 4% 01/05/16 Maturity extension Boston MA 9% 01/15/16 Maturity extension Various VR 368,148,000 Exhibited by TCW from Trepp Data 62

64) Section F: Partial IO Resets 63

65) I. Top 10 Largest Loans Beginning to Amortize 64

66) Deal Property Name Type Balance % Deal TapeDate Orig Date Age DQStatus City State jpm11c3 Albertson's Portfolio Retail 132,903,083 11.6% 02/15/16 12/15/10 60 Current Various VR wf13c11 515 Madison Avenue Office 119,835,611 jp13cb10 Gateway Center Office 111,866,034 8.5% 02/15/16 12/21/12 36 Current New York NY 9.0% 02/15/16 12/13/12 36 Current Pittsburgh PA com14ub2 Excelsior Crossings Office 87,902,817 7.2% 02/10/16 12/13/13 24 Current Hopkins MN wf14lc14 PennCap Portfolio Other 86,615,679 7.0% 02/15/16 12/31/13 24 Current Various PA gs13gc10 Nut Tree Center Retail 67,100,657 8.3% 02/10/16 12/07/12 36 Current Vacaville CA jpm14c18 Waterstone Retail Portfolio Retail 55,946,434 5.9% 02/15/16 12/24/13 24 Current Various VR wf13c18 Hotel Felix Chicago Hotel 46,953,250 4.6% 02/15/16 12/05/13 25 Current Chicago IL jpm14c19 The Summit Retail 39,950,403 2.8% 02/15/16 12/19/13 24 Current Reno NV wf14lc14 Calidus Student Housing Portfolio Multi-Family 38,776,071 3.1% 02/15/16 12/27/13 24 Current Various VR Aggregate Totals 132,903,083 Exhibited by TCW from Trepp Data 65

67) Section G: Commercial Property Prices 66

68) I. Moody’s Commercial Property Price Index (CPPI) 67

69) Moody's Commercial Property Price Index (CPPI) 300 250 200 150 100 50 0 Index, December 2000 = 100 Non-Major Markets All Properties Major Market All Properties Exhibited by TCW from Moody’s 68