Greenwich Capital CMBS 2006 & Outlook For 2007

U.S.
CMBS St r at egy
2006 Review h 2007 Outlook

01.12.2007
Please see the last page of this publication for important
disclosures.

For more information visit www.rbsgc.com.

Lisa Pendergast (203) 625-2931
Managing Director
lisa.pendergast@gcm.com

Christopher Young (203) 618-6844
Associate
christopher.young@rbsgc.com
I. CMBS Spreads: Range-Bound in 2007?.....................................................................................................Page 1
II. The Migration of Commercial Real Estate from Public to Private Hands and Its Effect on CMBS Supply...Page 7
III. CRE CDO/CMBS Re-REMIC Issuance Reaches Historical High in 2006, More To Come in 2007...........Page 12
IV. Synthetic CMBS in the Flow in 2007.........................................................................................................Page 16
V. CMBS Loan Underwriting in 2007: First There Was FrothThen There Was More Froth......................Page 19
VI. CMBS Credit Performance: It Aint Broke Until It Breaks ..........................................................................Page 21
VII. CMBS Upgrade/Downgrade Ratio To Hold Firm in 2007 on Strong Property Markets/Defeasance..........Page 23
VIII. Improving Commercial/Multifamily Property Markets in 2007 ...................................................................Page 25
Appendix A: Domestic Fixed-Rate Conduit/Fusion CMBS Issuance Details ......................................................Page 34
Appendix B: December CMBS Ratings Actions..................................................................................................Page 36

I - CMBS Spreads Range-Bound in 2007
For yet another year, triple-A CMBS spreads held to
tight ranges, with triple-A super-senior (SS) bonds
trading between S+21 and S+28 basis points for a
seven basis-point range. Shorter-dated SS triple-As
had a slightly broader range of about ten basis
points, with five-year triple-As, for example, trading
between S+12 and S+22 basis points.
Fundamentally, we continue to believe that ten-year
SS triple-As should trade through S+20 basis points,
given their attractive convexity, bullet-like nature,
strong 30% credit enhancement, and relative
cheapness to competing high-rated fixed-rate asset
classes. However, so-called fast money investors
who tend to invest in fixed-rate SS triple-As in size
and oftentimes with significant leverage in play are
likely to cause the ranges noted above to contract
even further as they take advantage of relatively
minor moves in spreads to either monetize gains or
capture spread widening. For example, in early- to
mid-December, ten-year SS triple-As widened to
S+25 basis points, and hedge funds stepped into to
take down Decembers heavy new-issue supply.
Once worries subsided over the markets ability to
digest almost $28 billion in fixed-rate conduit CMBS,
spreads tightened to S+22 to S+23 basis points. The
marginal two basis points in tightening triggered two
massive bid lists just last week, with over $2 billion in
for the bid to take advantage of the tightening.
Source: RBS Greenwich Capital
Bank
6%
Mutual Fund
1%
Money Mgr.
36%
Insurance Co.
13%
Hedge/
Opportunity Fund
41%
Pension Fund
3%
2006 CMBS SS Tri ple-A Investor
2002 CMBS Triple-A Investor
Money Mgr.
45%
Bank
24%
Insurance Co.
27%
Hedge/
Opportunity
Fund
4%

Note from the exhibits that the percentage of hedge
fund participation in triple-A fixed-rate CMBS has
increased from a mere 4% in 2002 to 41% in 2006.
The second highest category of investor is money
manager, and while many money managers may not
legally be known as hedge funds, many have been
known to behave opportunistically in terms of trading
an established range.
Market Strategy U.S. CMBS

2
Commercial / Multifamily Real Estate Related Securities: 2006 Market Snapshot
4Q06 3Q06 2Q06 1Q06
2006
Avg.
Spread 4Q6 3Q06 2Q06 1Q06
2006
Avg.
Spread
AAA- 3Y SS 14 5 6 5 8 51 49 55 50 51
AAA- 5Y SS 19 16 15 16 17 59 65 70 65 65
AAA- 7Y SS 24 23 24 30 25 67 74 81 81 76
AAA- 10Y SS 23 23 23 25 24 71 77 82 79 77
AAA-10Y Mezz 25 27 27 30 27 73 81 86 84 81
AAA-10Y Jr. 28 29 30 34 30 76 83 89 88 84
AA 35 33 34 38 35 83 87 93 92 89
A 45 43 44 47 45 93 97 103 101 99
BBB 77 78 77 90 81 125 132 136 144 134
BBB- 95 100 115 135 111 143 154 174 189 165
SS Vs. Mezz. 3 4 4 5 4 -- -- -- -- --
Mezz. Vs. Junior 3 2 3 4 3 -- -- -- -- --
SS Vs. Junior 6 6 7 9 7 -- -- -- -- --
AAA 8 9 11 14 11 -- -- -- -- --
AA 21 22 25 29 24 -- -- -- -- --
A 33 35 35 44 37 -- -- -- -- --
BBB 70 80 80 100 83 -- -- -- -- --
10/9.5 10 10 10 14 11 58 64 69 68 65
3.5Y 18 12 12 13 14 55 56 61 58 57
7.5Y 25 25 25 25 25 68 76 82 76 76
10.5Y 29 29 29 28 29 77 83 88 82 82
Floating-Rate CMBS
FNMA DUS
GNMA Project Loans
Spreads to Swaps/LIBOR Spreads to Treasurys
Fixed-Rate CMBS
AAA Credits
It is this type of circular movement in spreads we
expect to see in 2007, and it suggests that another
large investor type will need to enter the fixed-rate
CMBS fray in order to push spreads through 20
basis points. Potential sources of new investors
include corporate crossover buyers enticed by the
ultra-large and liquid fixed-rate conduit deals in the
$6+billion area that are anticipated in 2007. Large
multi-billion dollar corporate deals tend to capture the
imaginations of corporate investors, and CMBS
transactions this large are expected to do the same.
Furthermore, we still look to non-U.S. investors,
particularly from Asia, to step up their focus on the
U.S. CRE structured markets. While these investors
focus predominantly on floating-rate securities, we
do anticipate that there will be pockets of interest for
both fixed- and floating-rate CMBS in these countries
over time. There has been some limited participation
from certain Asian commercial banks in CMBS
securities already. However, in many of these
countries, CMBS still have to clear regulatory
hurdles, which for now will serve to constrain the
potential growth of Asian investors in CMBS.
At a current spread of around S+23 basis points, ten-
year triple-A CMBS are close to the tighter end of the
2006 range of S+21 to S+28 basis points. The tighter
spreads reflect a number of real positive factors for
the CMBS sector, including:

Continued improvement in commercial real
estate property fundamentals (see Section VIII);

A strong bid for all types of credit amidst the
Feds hold bias;

Outstanding commercial loan-level performance
to date, and a general consensus that term
defaults should remain low for the foreseeable
future despite the fact that balloon default risk is
higher than it historically has been for
commercial-mortgage loans in the current cycle.

Triple-A SS CMBS remain attractive versus
competing markets for their carry and tightening
potential.

It is our strong view that the range in
2007 will likely be tighter and more
contracted at S+20 to S+25 basis
points. There will be short periods,
however, when spreads could break
through either end of that range, albeit
fleeting ones.


3
CMBS Credit Curves to Flatten Further in 2007

The fixed-rate CMBS credit curve flattened
dramatically throughout 2006, with the spread
differential between ten-year super-senior triple-As
and triple-B-minus bonds tightening to 72 basis
points compared to 157 basis points at the outset of
the year. The flattening of the credit curve was driven
entirely by technical factors, with the re-REMIC and
CRE CDO bid for mezzanine triple-B paper far
outweighing supply. These investors long ago
pushed out more traditional buy-and-hold CRE-
oriented investors in subordinate CMBS who clearly
would have demanded added spread for todays
greater inherent risk.
Over the course of 2006, triple-B and triple-B-minus
fixed-rate CMBS spreads tightened by 45 and 90
basis points, and are now at S+77 and S+95 basis
points, respectively. The dramatic spread tightening
of these credits (in both the cash and synthetic
markets) is explained not only by the demand side of
the equation (re-REMIC/CRE CDO bid), but also by
the supply side, as only $3.3 billion in triple-B and
triple-B-minus fixed-rate CMBS bonds were issued
in 2006. Keep in mind that re-REMIC issuance
alone in 2006 totaled almost $8 billion, and CRE
CDO issuance totaled $35.3 billion.

CMBS Fixed- and Floating-Rate Credit Curves
(2001 - 2006)
0
25
50
75
100
125
150
175
200
225
250
1
2
/
0
1
/
0
1
0
6
/
0
1
/
0
2
1
2
/
0
1
/
0
2
0
6
/
0
1
/
0
3
1
2
/
0
1
/
0
3
0
6
/
0
1
/
0
4
1
2
/
0
1
/
0
4
0
6
/
0
1
/
0
5
1
2
/
0
1
/
0
5
0
6
/
0
1
/
0
6
1
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/
0
1
/
0
6
S
p
r
e
a
d

D
i
f
f
e
r
e
n
t
i
a
l

(
B
P
s
)
Fixed-Rate: AAA/BBB- Floating-Rate: AAA/BBB

Spreads on triple-B/triple-B-minus fixed-rate CMBS
now trade inside of whats considered tight corporate
triple-Bs. While our Yield Book triple-B seven- to ten-
year industrial spread is now at T+138 basis points,
our finance spread is a tight T+108 basis points. We
continue to believe that triple-B CMBS spreads will
tighten further in 2007, albeit less dramatically than
in 2006. Our main argument is that, given where
triple-A spreads off CMBS re-REMICs backed by
triple-B bonds traded in late 2006, all indications are
that further tightening in triple-B credits is possible
and likely given the arbitrage found in these deals for
issuers. Its worth noting that we dont view the bid
for multi-sector (ABS) CDOs as being responsible for
the tightening in CMBS spreads. CMBS spreads in
general remain too tight to make the ABS CDO
arbitrage work. In fact, the widening seen in HEL
spreads recently due to concerns over a weakening
housing market, amongst other issues, highlights the
relative richness of the CMBS sector on an absolute
spread basis when compared to ABS.
That said, we stress that any further tightening in
subordinate CMBS spreads will be technically driven,
and not a fundamental move. In our view, the triple-B
sector is rich on a credit-adjusted basis, given
reduced credit enhancement, aggressive
underwriting standards, and the presence in some
deals of large single loans whose default and a
resultant loss could be more than sufficient to wipe
out the entire triple-B stack.

Triple-A CMBS Credit Stack to Contract Further

The flattening across credits has not skipped the
triple-A credit stack, with current spread differentials
between ten-year SS and AM and AJ classes at
three and six basis points, respectively, compared to
a wide in early-2006 of 6 and 14 basis points. Weve
long held that AM classes are a lay-up trade given
their sound 20% credit enhancement and spread
pickup to SS classes. Despite the reduced pickup
over SS bonds, we still like this trade.
As for AJ classes, we view extension risk as minimal
here, but do worry about potential downgrade risk.
For example, stressing the $302 million AJ class off
GSMS 2006-GG8 by extending 20% of the high-
coupon loans for 18 months after their balloon dates
causes its average life to extend marginally by three
months. Whats more, should the two largest loans
default in three years with a 35% loss severity, the
triple-B-minus class will suffer a loss and thus likely
cause the AJ class to trade with lesser liquidity and
potentially wider spreads given the heightened
downgrade risk.

As in 2006, we anticipate that the
relationships within the triple-A credit
stack will continue to tighten, with AMs

4
providing a slim one to two basis point
pickup to SS classes and AJs a mere three
basis points.

As was the case last year, we prefer to stay with the
AM classes over the AJ s, with the exception being
AJ s off large, well-diversified pools and strong top-
ten assets.

Pinpointing Value in the Down-in-Credit CMBS

Note from the historical spread pick-ups shown in
our down in credit swaps that the double-A to single-
A swap is the only one that remains in fair territory at
a pickup of ten basis points. In contrast, the
contraction in spread between triple-B and triple-B
minus is significant at 18 basis points at the outset of
2007 versus an average of 37 basis points in 2006.
We continue to favor the single-A credit given our
current positive credit outlook on the commercial
property markets and expectations that term defaults
will remain low. The carry provided by a relatively
safe single-A fixed-rate CMBS with, on average,
7.3% credit support trading at T+92 basis points is
far more attractive than current finance single-A ten-
year paper trading at T+80 basis points.

Moving Down the Fixed-Rate CMBS Credit Curve: Spread Pickups
AAA/
AM
AAA/
AJ
AAA/
AA
AA/
A
A/
BBB
BBB/
BBB-
AAA/
BBB
AAA/
BBB-
01/05/07 2 5 13 10 31 18 54 72
3M-Avg. 3 6 10 10 33 18 53 72
6M-Avg. 3 6 10 10 34 24 54 78
2006 Avg. 4 7 12 10 39 37 61 99
2005 Avg. 5 8 15 10 52 48 77 126
2004 Avg. -- -- 7 9 37 39 54 93
2003 Avg. -- -- 9 10 55 48 73 121
2002 Avg. -- -- 12 14 50 33 76 109
2001 Avg. -- -- 17 18 52 45 87 132
2000 Avg. -- -- 15 14 48 46 78 124
1999 Avg. -- -- 18 21 63 88 102 190
1998 Avg. -- -- 17 17 49 48 83 131

Cheaper Shorter-Dated CMBS To Stay That Way?

A key story throughout 2006 was the ebb and flow in
demand for shorter-dated SS triple-A CMBS. To wit,
spreads on three- and five-year SS triple-As traded
as tight as 4 and 12 basis points, and as wide as 14
and 22 basis points during 2006. In early J anuary,
three- and five-year triple-A CMBS are trading well
off their tights at S+13 and S+18 basis points,
respectively. The wider spreads reflect the sharp
pullback beginning in mid-summer by traditional
shorter-dated CMBS investors: the banks and P&C
companies. The restructuring of bank balance sheets
in 2006 was felt across the markets, but particularly
so by the CMBS sector. Its no secret that given the
shape of the yield curve, bank net interest margins
are being squeezed. For some, the short-term
answer has been to sell lower-yielding assets and
invest in higher yielding ones.

CMBS Floaters: An Attractive Alternative

Others have opted to focus on floating-rate assets
pegged to LIBOR for the absolute yield. With one-
month LIBOR trading at 5.32% on J anuary 10,
compared to swap rates of just over 5% for three-
and five-year swaps, the argument for floating-rate
assets is strong, and is likely to remain so until the
curve begins to steepen.

Spreads on CMBS floaters tightened over the course
of 2006. Super-senior triple-A CMBS floaters moved
in from a 2006 wide of around L+15 to L+8/9 basis
points at year-end 2006. J unior triple-As moved in
from around L+16 basis points to L+13/14 basis
points at year-end. Further down the credit curve,
triple-B CMBS floating-rate spreads tightened from
L+100 basis points to L+70. In our view, the
tightening in CMBS floater spreads is a direct result
of the increased participation of U.S. CMBS
investors. Triple-A buyers are focused on the sector
due to their higher yields compared to fixed-rate
short-dated CMBS and CRE CDO asset managers
are focusing on down-in-credit floaters. Perhaps the
best indication of the resurgence of U.S. investors in
CMBS floaters is the fact the last deal to price in
2006, GCCFC 2006-FL4, was rated by Fitch and
S&P only. Traditionally, non-U.S. investors prefer the
Moodys/S&P stamp of approval.

Even given the tightening, SS triple-As with around
40%+credit enhancement make sense versus tight
competing floating-rate sectors, such as three-year
credit-card floaters at L-2 basis points. We also like
junior triple-A CMBS floaters at L+13/14 for the
absolute spread pickup to super-seniors and the
quick de-leveraging that many floating-rate CMBS
transactions experience, driving up credit
enhancement. Given the absolute yields on triple-A
floating-rate CMBS at 5.40% to 5.45% (as of

5
1/10/07), we suspect that short-dated fixed-rate
CMBS are unlikely to tighten more than they have
already, assuming that the yield curve holds
relatively steady. Focus on large, well-diversified
multi-borrower floating-rate CMBS and what is
expected to be a wide selection of single-borrower
floating-rate CMBS that result from the ongoing LBO
CRE activity.

For multiborrower CMBS floaters, we continue to
advise staying up in the capital structure. The
adverse selection issues associated with floating-
rate deals will negatively affect down-in-credit bonds,
such as triple-Bs. In the current environment, it
seems that even a relatively unattractive asset can
find new floating-rate financing. However, there is no
guarantee that this environment will persist, and at
L+70 basis points, we do not believe that investors
are being sufficiently compensated. An alternative to
crossed floating-rate CMBS triple-Bs are single-loan
cash flow directed rake classes for the added yield.
The problem with rakes, however, is sourcing them,
as they have become fodder for CRE CDOs.

Investors should have continued high levels of
floating-rate CMBS on which to focus on in 2007. In
2006, $34.4 billion in multiborrower floating-rate
CMBS were issued. This represents a 51% increase
over 2005s $22.8 billion. We noted in our 2006
CMBS Outlook that the inversion of the yield curve
and the strong likelihood that more floating-rate
loans would be allocated to CRE CDOs would likely
slow floating-rate CMBS supply in 2006. However,
the robust LBO REIT activity and the public to private
CRE trend in general have created an environment
in which flexibility is key to borrowers as they comb
through their acquisitions, looking to dispose of less
desirable assets of those that dont fit with their
overall portfolio strategy. These borrowers want the
flexibility to manage these portfolios and sell off
individual assets without the prepay restrictions
applicable to fixed-rate permanent loans. With REIT
LBO activity anticipated to continue apace in 2007,
the only conclusion is that CMBS investors will be
treated to another year in which issuance can gain
50%. RBSGC projects that CMBS floating-rate
issuance will rise in 2007 to around $50 billion.

19.0
22.8
34.4
0
5
10
15
20
25
30
35
A
n
n
u
a
l

I
s
s
u
a
n
c
e

(
$
B
B
)
2004 2005 2006
Historical CMBS Floater Issuance
Source: RBS Greenwich Capital and Intex Solutions, Inc.

Continued Focus on CMBS IO

We continue to favor CMBS companion and WAC IO
for the absolute carry and extension upside.
Moreover, while other credit bonds have experienced
substantial tightening, spreads on CMBS IO have
held relatively steady, with new-issue companion IO
in 2006 pricing in a range of T+95 to T+175 basis
points at 100% CPY, depending largely on the
robustness/thickness of the IO strip. As a reminder, a
WAC IOs coupon is simply the difference between
the underlying collateral WAC and the weighted-
average bond coupons. The differential can expand
or contract depending on changes in the interest-rate
environment during the loan aggregation period. For
example, a significant amount of IO was created in
CMBS transactions structured in J une 2003, when
the ten-year Treasury rate fell to a low of 3.11%, but
had been as high as 4.11% in late-March during the
early stages of loan aggregation. Robust IOs (those
with the greatest amount of excess spread) are able
to better absorb pool losses than are more thinly
structured IOs.
Other considerations that dictated CMBS IO pricing
in 2006 included the overall credit quality of the
assets and the quality of prepayment protections.
Also, although not used in official pricing, most
investors look to the upside created for CMBS IO
should loans in the pool extend. Arguable, this
upside is priced into todays IO spread levels. In
terms of highlighting value in CMBS IO currently note
that spreads on triple-B and triple-B-minus trade in
the T+123, and T+141 area.


6
To the good, we continue to view CMBS IO as
offering substantial upside, not only due to the fact
that it is priced at the unreasonable assumption that
all loans prepay immediately upon lockout, but also
due to the significant extension potential of todays
loans, with almost 7% of them in 2006 having some
interest-only period and a stressed Moodys LTV on
average of 100.5%. RBSGCs research shows that
loans that reach their maturity dates have extended
about 10% of the time; however, this data point
reflects predominantly older-vintage deals that were
underwritten with amortization and at much lower
leverage points. Therefore, it is conceivable that the
average extension rate on CMBS fixed-rate vintages
from 2004 through the current period could be 20%
or higher. If we were to assume an extension rate of
20% (extend for 18 months) and a CPY of less than
100%, lets say around 35% CPY, the upside on
2006-vintage IO would be substantial. For example,
GG8s WAC IO priced at T+95 basis points on
October 20, 2006. If we assume a 20% extension
rate, a 35% CPY, and a 1.0% CDR (12 months
recovery), that spread climbs to 304 basis points.
Thus this relatively low three-year duration
instrument provides investors a relatively safe yield
play versus more risky triple-B-minus/double-B
bonds that trade at much tighter spreads.

Shifts in Prepayment Protection May Shift IO
Profile. One caveat to the CMBS IO trade is the
subtle and not-so-subtle changes being made to
prepayment protections; the lions share of which are
not likely to become apparent until 1Q07.

Hard
Lockout
Yield
Maint.
Defeas.
Penalty
Points
Open to
Prepay w/o
Penalty
Open to
Prepay
(Yrs.)
1995 64.3% 69.8% 0.0% 42.5% 94.5% 2.00
1996 69.8% 83.1% 5.1% 30.9% 96.7% 1.00
1997 79.6% 72.5% 21.2% 12.2% 97.5% 0.80
1998 91.5% 50.2% 43.9% 9.2% 95.1% 0.50
1999 97.6% 21.7% 71.0% 2.4% 91.6% 0.30
2000 95.5% 16.8% 74.8% 2.6% 98.8% 0.30
2001 96.6% 13.3% 84.6% 1.8% 99.4% 0.30
2002 96.4% 11.6% 87.7% 1.0% 99.0% 0.30
2003 92.0% 17.4% 80.7% 2.5% 99.8% 0.30
2004 98.0% 13.9% 80.6% 2.2% 99.1% 0.30
2005 95.1% 17.6% 79.8% 3.3% 99.7% 0.40
2006 96.4% 17.4% 83.5% 0.8% 99.2% 0.30
Evolution of Prepayment Protection in Fixed-Rate CMBS Loans

The table above highlights that prepayment
protections on fixed-rate loans have not changed
dramatically over the past few years. A subtle shift is
the slight increase in yield maintenance over
defeasance detected in 2005 and continuing in 2006
and the sharp reduction in penalty points in 2006 as
well. However, recent issuance and anecdotal
evidence suggests that a smattering of loans also
have been originated with sharply longer open
periods and that some yield maintenance provisions
allow the YM penalty to be calculated using
Treasuries plus a spread rather than Treasuries flat,
a development that will cause the penalty to decline,
all else being equal. 2006 saw the impact that rising
rates can have on CMBS IO when rates back up, but
prepays nonetheless hold at high levels due to
continued low cap rates and thus significant
incentive to refinance. In this scenario, the YM
penalty was not always sufficient to make the IO
investor whole.

CMBS Relative Value Versus Competing Markets

Relative value in the CMBS marketplace cannot be
measured by spread alone. Other factors to
consider include todays positive credit
fundamentals, excellent liquidity, convexity, secured
nature, and diversification across asset types,
economic drivers, and geographic locations. The
fixed-rate CMBS sector continues to offer investors a
spread to pickup to most like-rated asset classes.
However, over time, as this sector has evolved and
proved its worth, these spread pickups have become
more muted. As such, our one-year historical spread
analysis shows that ten-year SS triple-A CMBS now
trade fair to slightly rich to a number of competing
markets. This should come as no surprise given that
these bonds began the year at S+23 basis points,
which is the tighter end of its 2006 range.


7
Spread Sector Relative Value -01/06/06 - 01/05/07
10Y AAA CMBS versus Competing Fixed-Income Sectors
Current MinimumMaximum Average Z-Score
10Y Swaps 23 21 28 24 -0.53
10Y AAA/AA Industrials -7 -11 10 1 -1.60
10Y AAA/AA Finance 2 0 15 6 -0.90
10Y Agency Debt 39 37 47 42 -0.96
10Y PAC -30 -44 -18 -28 -0.25
Last CF HEL -62 -77 -49 -62 -0.02
FNMA 30Y CC LOAS 37 23 39 32 1.31
FNMA DUS 10/9.5 13 8 16 13 0.28
GNR 10.5 YR -6 -7 -2 -5 -0.69
10Y AAA CMBS Mezz -2 -8 -2 -4 1.44
10Y AAA CMBS J R -5 -14 -4 -8 1.01
10Y AA CMBS -13 -19 -9 -12 -0.31
10Y A CMBS -23 -31 -18 -22 -0.27
10Y BBB CMBS -54 -93 -51 -61 0.57
5Y AAA CMBS -33 -48 -33 -41 2.50
5Y Swapped CMBS 5 4 12 8 -1.38
Source: RBS Greenwich Capital and Yield Book
Spread Pick-Up/Give-Up

In contrast, however, to the ten-year sector, five-year
SS triple-A CMBS provide a more mixed picture,
trading fair to most competing markets. Of course,
the fact that five-year triple-A CMBS began the year
closer to the wider end of their 2006 range explains
its current relative value. As noted earlier, we dont
look for short-dated CMBS to return to their tights of
2006, however, the value offered by this sector
compared to that in competing markets remains
attractive, and thus should prevent further widening
in 1Q07.

Spread Sector Relative Value -01/06/06 - 01/05/07
5Y AAA CMBS versus Competing Fixed-Income Sectors
Spread Pick-Up/Give-Up
Current MinimumMaximum Average Z-Score
5Y Swaps 18 12 22 16 0.57
5Y AAA/AA Industrials 4 4 24 11 -1.33
5Y AAA/AA Finance 3 1 16 6 -0.81
5Y Credit Cards 18 14 22 18 0.14
5Y Agency Debt 34 30 47 36 -0.55
5Y PAC -23 -31 -12 -21 -0.34
5Y HE -42 -59 -39 -46 0.79
5Y HE NAS -32 -49 -26 -33 0.17
5/1 Agency ARM 3 -7 9 -1 1.05
5/1 J umbo ARM -27 -32 -21 -26 -0.50
7/1 Agency ARM -17 -27 -11 -19 0.46
7/1 J umbo ARM -38 -47 -36 -42 1.61
3.5Y GNR 18 12 18 14 1.68
Source: RBS Greenwich Capital and Yield Book

II - The Migration of Commercial Real Estate from
Public to Private Hands and Its Effect on CMBS
Supply
Domestic CMBS issuance in 2006 totaled $202
billion (see Appendix A: Domestic Fixed-Rate
Conduit/Fusion CMBS Issuance Details), a 21%
increase over 2005s total of $167 billion. Despite the
impressive 2006 reading, the 21% increase falls
short of 2005s 75% uptick. International CMBS
issuance totaled some $76 billion, for a global total of
$285 billion. December 2006 will go down as the
largest issuance month on record. Prior to
December, March 2006 held that distinction, with
volume of $28.4 billion.
Given the December push to price CMBS
transactions and the heavy J anuary/early-February
conference schedule, J anuary CMBS supply was
projected to be light at around $8 billion. This
information caused the so-called J anuary effect to
actually take place in December 2006, as spreads on
ten-year SS triple-As tightened by two to three basis
points into year-end to S+23 basis points. That said,
we have no doubt that the pipeline will resume its
torrid pace in February, driven in large part by the
high levels of REIT M&A/LBO public-to-private CRE
activity and continued high levels of prepayments
and defeasance.

202
0
50
100
150
200
9
1
9
2
9
3
9
4
9
5
9
6
9
7
9
8
9
9
0
0
0
1
0
2
0
3
0
4
0
5
0
6
I
s
s
u
a
n
c
e

(
$
B
B
)
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
1
0

Y
e
a
r

T
r
e
a
s
u
r
y

R
a
t
e
s
Domestic Issuance
Avg. 10 Y Treasury
Source: RBS Greenwich Capital and Commercial Mortgage Alert
Annual Domestic CMBS Issuance Versus. 10Y Treasury Rates


8
-
5
10
15
20
25
30
M
o
n
t
h
l
y

V
o
l
u
m
e

(
$
B
B
)
J
a
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.
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.
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S
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p
.
O
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t
.
N
o
v
.
D
e
c
.
2005 2006
Monthly YTD 2006 U.S. CMBS Volume vs. Same-Period 2005

Whats Driving Supply?

A number of factors drove CMBS supply in 2006,
and are likely to do continue to do so in 2007. They
include:

The high volume of REIT M&A/LBO activity and
the financing of these transactions via the CMBS
market;

Continued high levels of loan prepayments and
defeasance,

High levels of commercial real estate asset sales;
and

Still attractive financing rates.

Domestic CMBS volume in 2007 is likely to
surpass that of 2006 by about 10% to 15%,
with RBSGC projecting total domestic
supply of around $225 billion.

Transfer of Commercial Real Estate Assets from
Public to Private Hands. Public REITs were net
sellers of commercial real estate in 2006. The buyers
of these assets were generally private equity funds,
pension funds, and private investors seeking to (a)
increase their exposure to high-quality commercial
real estate (CRE), (b) capture the upside from below-
market rents despite historical low cap rates, and (c)
apply greater leverage to under-levered assets in
order to improve returns. Private investors were
willing to pay premiums to current REIT share prices
in order to gain access to these strategic assets (see
the exhibit above for a list of recent REIT M&A
activity). And this activity is expected to continue in
2007. According to a survey conducted jointly by
National Real Estate Investor and Marcus &
Millichap Real Estate Investment Brokerage Co.,
60% of the 1,042 private and institutional investors
surveyed plan to boost their investment in the
commercial real estate market by an average of 19%
over the next 12 months. Its notable that the same
survey conducted for 2005 and 2004 showed that
70% and 74% of the respondents planned to
increase their commercial real estate holdings in
those years.

9
REIT M&A Activity Picks Up in 2006
2006 Announced and/or Closed REIT M&A Activity
Acquirer Target Acquirer Type Boomberg Value
Blackstone Real Estate Partners Equity Office Properties Trust Private Equity Firm $32,500,309,000
Brookfield Properties Corp., The Blackstone Group Trizec Properties Public REIT $6,699,084,500
SL Green Reckson Associcates Public REIT $5,710,000,000
The Blackstone Group CarrAmerica Realty Corp. Private Equity Firm $4,518,429,700
Developers Diversified Realty Trust Inland Retail Real Estate Trust Inc. Public REIT $5,871,464,800
Host Marriott Corp. Starwood Hotel (28 properties) Public REIT $3,323,000,000
Kimco Realty Corp., PREI Pan Pacific Retail Properties, Inc. Public REIT $3,526,323,500
Cascade Investments Four Seasons Private Equity Firm $3,700,000,000
Centro Properties Heritage Property Australian LPT $3,203,000,000
Public Storage Shurgard Storage Public REIT $4,992,978,500
GE Real Estate, Inc. & Trizec Arden Realty Public non-REIT & REIT $4,651,000,000
GE Capital Solutions Trustreet Properties Investment Advisor $2,865,000,000
ING Groep Summit Real Estate Investment Advisor $3,000,000,000
Blackstone Group MeriStar Hospitality Private Equity Firm $2,494,085,400
CalEast Industrial CenterPoint Properties Real Estate Operating $3,195,000,000
Brandywine Prentiss Properties Public REIT $3,372,000,000
CDP Capital Financing Criimi Mae Investment Advisor $318,104,200
Morgan Stanley Property Glenborough Realty Trust Investment Advisor $1,601,000,000
Morgan Stanley Property AMLI Residential Investment Advisor $1,748,000,000
Duke Realty, J BG, EastBanc, Pembroke The Mark Winkler Public REIT $2,300,000,000
Health Care REIT Windrose Medical Properties Public REIT $750,650,000
Babcock & Brown BNP Residential Properties Investment Advisor $694,000,000
Berkshire Property Town and Country Private Real Estate $1,173,965,000
Mack-Cali Realty Gale Real Estate Public REIT $545,000,000
LBA Realty Bedford Property Private Real Estate $796,674,000
Record Realty Trust Government Properties Trust Public REIT $505,930,000
Kimco Realty Atlantic Realty Public REIT $79,280,000
2006 Total $104,134,278,600
2005 REIT M&A Activity
Camden Property Summit Property Public REIT $1,808,000,000
iStar Financial Falcon Financial Public REIT $120,000,000
Colonial Properties Cornerstone Realty Public REIT
Centro Properties Kramont Realty Australian LPT $1,103,000,000
Lightstone Group Prime Group Private Real Estate $662,000,000
ProLogis Catellus Development Public REIT $5,103,000,000
DRA Advisors CRT Properties Investment Advisor $1,501,000,000
ING Clarion Gables Residential Private Equity J V $2,313,732,000
DRA Advisors Capital Automotive Investment Advisor $2,960,836,000
2005 Total $15,571,568,000
Sources. RBS Greenwich Capital, Bloomberg, CreditSights.

The acquirers of these public REITs have turned to
the CMBS marketplace to finance, at least in part,
their acquisitions at leverage of 75% to 90%, as
opposed to the <50% levels at which many of these
assets were required to hold to in the public market.
The strong bid from private hands for public REITs
pushed valuations of all REITs to new highs, as
reflected in 2006 equity returns. To wit, the National
Association of Real Estate Investment Trusts
(NAREIT) Index, which tracks the performance of all
listed U.S. property trusts, posted a total return of
34.5% for 2006, sharply outperforming all other
major U.S. equity market benchmarks for the
seventh consecutive year by substantial margins. In
comparison, the DJ IA turned in only a 16.29% return
and the S&P 500 a 15.79% return in 2006.

It is this M&A REIT activity that helped to
fuel the surge in CMBS new-issue supply
late in 2006. We estimate that almost $100
billion in REIT acquisitions were
announced and/or closed in 2006,
compared to just $13 billion in 2005.
While some may be concerned that the For Sale
signs on many public REITs marks the peak of the
current CRE cycle and the beginning of lower
property valuations, we would argue that this is just
another point in a new cycle of private to public and
public to private ownership of commercial real

10
estate. Private capital turned to the public REIT
markets during the CRE recession of the late-
1980s/early-1990s. Recently, however, these public
REITs have begun to reverse course, selling off their
holdings in order to monetize the tremendous gains
in their CRE portfolios, remove themselves from Wall
Street and the pressure for quarterly revenue growth,
and expand their flexibility to maximize CRE portfolio
returns by removing themselves from restrictive REIT
covenants.
While difficult to gauge, we estimated that some $15
to $20 billion in REIT M&A-related debt was
securitized in 2006. While yet approved by its
shareholders, the Equity Office
Properties/Blackstone transaction alone, which was
announced late last year, is projected to bring as
much as $36 billion in commercial-mortgage
originations to the securitization markets in 2007.
Interestingly, just prior to publication of this report,
another bidder is reportedly weighing in with its offer
for EOP.

The general trend in financing these transactions is
to initially use floating-rate CMBS loans as short-
term bridge loans as the buyer sorts out holdings
and develops specific strategies for managing the
portfolio. These floaters could then be converted to
longer-term floaters or fixed-rate permanent loans,
depending on the borrower and its strategies. Thus
many of the deals closed in late-2006 or early-2007
are likely to result in an uptick in floating-rate CMBS
loans early in the year, followed by more fixed-rate
loans later in the year.
With the current surge in REIT activity in
mind, we anticipate that the volume of
single-borrower CMBS transactions will
increase sharply in 2007.
In addition to REIT M&A activity, the market saw a
number of non-REIT mostly retail-related M&A
actions in 2005/2006, such as the merger of
Federated and May department stores and the
purchases of Mervyns, Toys R Us, Albertsons,
Michaels Stores, PetCo Animal Supplies, HCA, and
Circuit City by groups of private investors. J ust
recently, certain media outlets have suggested that
Home Depot was a potential takeover target by
private equity firms who would be willing to pay a
record $100 billion in a leveraged buyout. The
rumors were stirred on J anuary 3, 2007 with the
resignation of Home Depots CEO Robert Nardelli.
While such rumors remain unsubstantiated, a deal
such as this does beg the questions of (a) whether
such a takeover would be financed at least in part via
the CMBS market and (b) would the CMBS market
be able to digest the supply given not only the
absolute volume, but also the single-tenant nature of
the assets. In another example, Harrah's
Entertainment announced on December 19, 2006
that it had entered into a definitive agreement for
affiliates of Texas Pacific Group (TPG) and Apollo
Management, L.P. to acquire Harrahs in an all-cash
transaction valued at approximately $27.8 billion.
This is another example of a transaction that could
be financed via the CMBS marketplace. Here a key
question would be the CMBS markets willingness to
take on such concentrated exposure to gaming-
related collateral.

Continued High Levels of Prepayments and
Defeasance. The continued appreciation in value of
CRE assets has driven commercial-property owners
to defease outstanding debt in an effort to monetize
gains. Through November 2006, the volume of
defeased loans hit a record high of $26.1 billion via
the defeasance of 2,463 loans. This compares to
2005 when 1,900 loans with an original balance of
$12.1 billion were defeased. High levels of
defeasance are likely to continue in 2007, assuming
that interest rates and cap rates hold relatively
steady. In such an environment, loans originated in
2003 and 2004, with average cap rates in the low to
mid-7% area, are strong candidates for defeasance
once they emerge from hard lockout.

For example, assume that a $98mm loan, secured
by a New York City Class-A office asset, comes out
of hard lockout in early 2007. Assume also that the
asset was purchased at a 7.9% cap rate ($124mm
appraised value) and that the loan had an LTV of
79% and a mortgage rate of 6.5%. Fast forward to
today, that same asset will likely trade at about a
5.7% cap rate, pushing its value up to $172mm.
Assuming that same 79% LTV, the borrower can
defease the loan at a cost of around $10.4 million
and still take out some $28 million.


11
Fixed-Rate Loan Defeasance by Vintage
0
200
400
600
800
1,000
1,200
1,400
98 99 00 01 02 03 04
L
o
a
n

C
o
u
n
t
0
1
2
3
4
5
6
7
8
9
10
L
o
a
n

O
r
i
g
i
n
a
l

B
a
l
a
n
c
e

(
$
B
)
Loan Count
Original Balance

0
500
1,000
1,500
2,000
2,500
3,000
00 01 02 03 04 05 06
D
e
f
e
a
s
e
d

L
o
a
n
s

b
y

C
o
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t
0
5
10
15
20
25
30
D
e
f
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a
s
e
d

L
o
a
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s

b
y

O
r
i
g
i
n
a
l

B
a
l
a
n
c
e

(
$
B
)
Loan Count
Original Balance
Fixed-Rate CMBS Annual Defeasance Activity
(2000-2006)

Vintage
WA
Cpn.
YoY
Change
Average Cap
Rate Across
Property
Types
10YR
Trsy.
(%)
Loan
Spread
(Bps)
Avg. 2Y/
10Y Trsy.
Spread
1996 8.89% -- 8.59% 6.43% 246 60
1997 8.46% -0.43% 8.59% 6.34% 212 37
1998 7.40% -1.06% 8.33% 5.26% 214 14
1999 7.50% 0.10% 8.07% 5.63% 187 22
2000 8.21% 0.71% 8.18% 6.02% 219 -22
2001 7.59% -0.62% 8.30% 5.00% 259 120
2002 6.97% -0.62% 8.02% 4.59% 238 198
2003 5.68% -1.29% 7.65% 3.76% 192 237
2004 5.52% -0.16% 7.10% 4.26% 126 190
2005 5.37% -0.15% 6.42% 4.22% 115 43
2006 6.18% 0.81% 6.22% 4.82% 136 3
Source: RBS Greenwich Capital and Trepp
Fixed Rate Weighted Average Coupons and Cap Rates by Vintage

CRE Sales Activity High in 2006. Real Capital
Analytics estimates that more than $210.8 billion in
commercial and multifamily properties traded hands
during the first three quarters of 2006, a 5% increase
over the same-period 2005s $200.1 billion (estimate
included deals in excess of $5 million and does not
include hotels). In general, while few believe that the
focus on CRE investments will not change
dramatically in 2007, the consensus opinion is that
investment activity is likely to moderate this year,
driven by uncertainties over the economy and the
run up in property prices. Both of these factors are
highly likely to inject some caution into the mindsets
of CRE investors, and thus while these investors
may not pullback from the markets altogether, they
are expected to become more selective over time.

Shifting CMBS Deal/Asset Types Reflect Curve
Shape and Underlying CRE Trends

CMBS issuance by deal type in 2006 was little
changed from 2005, with fixed-rate conduit CMBS
comprising about 80% of total issuance. Large-loan
floating-rate deals grew modestly to 14% from 12%
in 2005, a surprising development given the shape of
the yield curve, but likely explained by the higher
volume of floating-rate loans that have resulted from
the significant uptick in M&A activity. Small balance
CMBS deals made it on to the list of deal types in
2006, but at only 1%. The growing number of small-
balance CMBS deals reflects the desire of conduit
lenders to move into less competitive markets that
allow for greater profit margins.
2006 CMBS Issuance by Deal Type
Conduit
78%
Small Balance
1%
Single
Asset/Borr.
4%
Mezz. Loans
0%
Large Loan
14%
Agency
3%
Source: RBS GreenwichCapital and Commercial Mort gage
Alert

The pool of asset types that qualify as CMBS
collateral continued to expand in 2006, reflecting not
only an expansion of the CMBS borrower base and
the ample liquidity available to these borrowers, but
also a greater willingness on the part of CMBS
participants to invest in these more esoteric assets.
Condominium conversion loans, cell towers, and
even casino-related collateral made the scene in
2006, predominantly in floating-rate transactions, but
also in fixed-rate conduit/fusion ones. Whats more,

12
those asset classes whose presence in the CMBS
market previously fell below 5% saw a significant
pickup in exposure in 2006. The hotel sector is the
most obvious example, with its percentage of fixed-
rate conduit collateral rising to an average of 10.6%
in 2006 from 7.2% in 2005 and a low of 1.2% in
2002. We anticipate that the trend of expanding the
number of asset types and increasing the
percentage of currently used esoteric asset classes
will continue in 2007.

0
5
10
15
20
25
30
35
(
%

o
f

T
o
t
a
l
)
H
o
t
e
l
I
n
d
u
s
t
r
i
a
l
L
a
n
d
M
i
x
e
d
-
U
s
e
M
f
g
.

H
o
u
s
i
n
g
M
u
l
t
i
f
a
m
i
l
y
O
f
f
i
c
e

R
e
t
a
i
l
S
e
l
f

S
t
o
r
a
g
e
O
t
h
e
r
2005
2006
CMBS Fixed-Rate Conduit-Fusion Issuance by Property Type

III - CRE CDO/CMBS Re-REMIC Issuance Reaches
Historical High in 2006, More To Come in 2007

The CRE CDO sector came into its own in 2006, with
its profile raised not only by the groundswell of new-
issue volume, but also by a growing acceptance by
both issuers and investors alike. A number of
industry associations embraced CDO technology in
2006, with the Commercial Mortgage Securities
Association (CMSA) and the Mortgage Bankers
Association (MBA) hosting CRE CDO conferences
for the first time. CRE CDO and re-REMIC issuance
totaled $43.5 billion in 2006, which represents a
210% increase over 2005s total. Broken down by
the two major food groups, eight static re-REMICs
were issued in 2006 for a total of $7.0 billion, while
generally revolving CRE CDOs comprised the
balance at $35.3 billion via 48 transactions.

14.03
43.49
0
5
10
15
20
25
30
35
40
45
I
s
s
u
a
n
c
e

(
$
B
B
)
2005 2006
CRE CDO & CMBS Re-REMIC Issuance
Source: RBS Greenwich Capital and Commercial Mort gage Alert

Major CRE CDO Themes

Migration toward Fully Managed CRE CDOs to
Continue in 2007. At the outset of the CRE CDO
marketplace, all pools were (a) static in nature, (b)
completely ramped up at pricing, and (c) did not
allow reinvestment of principal. However, that began
to change once shorter-dated assets with much
reduced prepayment restrictions were added to the
mix. The shorter-dated assets triggered concerns
that these CDOs would de-lever too quickly in the
traditional static pool CRE CDO structure. In order to
avoid this issue, the concept of managed CRE
CDOs began to take hold in 2004. Initially, the
majority of managed CDOs were fairly restrictive,
allowing for the sale of assets only if credit impaired.
Specifically, the reinvestment of principal proceeds
was allowed only when the proceeds were due to the
sale of an impaired asset, a prepayment, or a loan
repayment or amortization. It wasnt until late in 2005
that CRE CDO asset managers were able to use
their discretion in the trading of assets within the
CDO, and thus asset pools took on a revolving
nature.

Broadening Investor Base. The increased use of
managed CRE CDOs has enticed greater numbers
of non-U.S. investors into the CRE CDO fold. While
non-U.S. investors traditionally have not played a
major role in the U.S. CMBS marketplace, they have
come to play a significant role in the pricing of CDO
liabilities secured by commercial real estate assets
of all kinds. These investors are attracted not only by
the enhanced yields offered by CRE CDOs versus
CMBS, but also by the presence of a skilled
collateral manager who is considered an expert in
choosing and managing portfolios of U.S.
commercial real estate assets. In contrast, U.S.

13
investors traditionally preferred to kick the tires
themselves by performing their own credit work on
static CMBS pools of commercial real estate assets.
However, given the quest for yield in the current
market, domestic investors have more fully begun to
embrace CRE CDOs as higher-yielding CMBS
alternatives.

Shift from Arbitrage CDOs to Financing CDOs
Leads to Consistent CDO Issuance/Injects
Commercial Real Estate Expertise. The term
funding (better asset/liability match), low cost of
funds, and the lack of market-to-market requirements
have attracted traditional commercial real estate
managers, such as mortgage REITs and subordinate
CMBS investors, to the CRE CDO vehicle to finance
their lending operations. Many of the participants
have begun to originate whole loans with the intent
of placing these loans into CDOs. Look for the
arbitrage CDO issuers to focus more on the
opportunities in the synthetic market going forward.

Expanding Asset Mix. The two main assets in early
CRE CDOs were CUSIP CMBS and REIT debt.
However, the list of assets that have been/can be
included in CRE CDOs has exploded and now
includes rake bonds, B-notes, mezzanine loans,
condo-conversion loans, land loans, whole loans,
preferred equity, trust preferred shares, CTLs, and
CMBS synthetics. Whole loans are generally broken
down into three categories: stabilized, transitional,
and developmental. The inclusion of these more
esoteric assets into CDOs has been welcomed by
those CDO investors who otherwise would not be
able to gain exposure to these certain credits. Note
from the exhibit that cash CMBS comprises the
largest CRE CDO collateral bucket at 30%, and is
followed by synthetic CMBS and whole loans at 20%
and 18%, respectively. Together B-notes and
mezzanine loans comprise 13% of CRE CDO
collateral. The strong bid for B-notes and mezzanine
loans as fodder for CDO collateral is most evident in
current pricing levels on these investments. For
example, many B-notes were trading as wide as 350
to 500 basis points at the outset of last year but have
tightened into the 200 to 350 basis-points area more
recently. As the balance of outstanding CRE CDOs
grows, also look for an increase of CRE CDOs
bonds as collateral for new CRE CDOs.

2006 CRE CDO Collateral Breakdown
Bridge
5%
Mezz
7%
Whole
Loans
18%
CRE CDOs
2%
CMBS
Synth.
20%
CMBS Cash
30%
Other
12%
B-Notes
6%
Source: RBS Greenwich Capital and Commercial Mort gage

We fully anticipate that CRE CDO and re-REMIC
issuance growth will continue in 2007. Volume will be
driven in part by the heightened levels of
commercial-mortgage origination volume and the
expansion of asset classes used as CRE CDO
collateral, as well as the continued practice of slicing
and dicing the capital structure, with the increasing
use of tranched B-notes and mezzanine loans and
preferred equity. Finally, the increasing use of
synthetic CRE CDOs and cash CDOs with large
buckets for synthetics also will drive supply. The
ability to tap into the synthetic CMBS market not only
allows CDO asset managers to express an opinion
on subordinate credits that may be inaccessible in
the cash market, but also to more quickly complete
the ramp up of their transactions.


14
2006 CRE CDO/ReREMIC Issuance Detail
Deal Name
Pricing
Date
Amount
($MM)
Type Collateral Manager
CMBS
Cash
CMBS
Synth.
CRE
CDOs
Whole
Loans
B-
Notes
Mezz Bridge Other
Attentus CDO III 12/20/06 511.0 CRE CDO Merrill Lynch 100.0
Guggenheim 06-4 12/20/06 500.0 CRE CDO Guggenheim 15.0 5.0 13.0 9.0 13.0 45.0
Crystal River Re-Securit. 06-1 12/19/06 439.0 Re-REMIC Hyperion Brookfield 100.0
Highland 06-1 12/12/06 600.0 CRE CDO Highland Capital 2.0 28.0 12.0 58.0
Abacus 06-17 12/07/06 600.0 CRE CDO Goldman Sachs 100.0
Capital Source 06-1 12/06/06 1,300.0 CRE CDO Capital Source 88.0 1.0 11.0
GSMS 06-RR3 12/06/06 728.0 Re-REMIC Goldman Sachs
MMCaps XVIII 12/04/06 345.6 CRE CDO Deutsche Bank
MSC 06-SRR2 12/01/06 1,200.0 CRE CDO Morgan Stanley 100.0
Concord CDO 06-1 11/22/06 465.0 CRE CDO Winthrop / Newkirk 12.0 2.0 17.0 29.0 19.0 21.0
Arbor CDO 06-1 11/21/06 600.0 CRE CDO Arbor Realty Trust 62.0 4.0 11.0 23.0
N-Star REL CDO VIII 11/10/06 900.0 CRE CDO NorthStar 5.0 50.0 1.0 16.0 28.0
CWCapital COBALT III 11/03/06 500.0 CRE CDO CWCapital 90.0 10.0
Newcastle CDO VIII 11/02/06 950.0 CRE CDO NCT 11.0 3.0 15.0 31.0 40.0
GCCFC 06-RR1 11/02/06 661.0 Re-REMIC Redwood 100.0
Rock1 CRE CDO 06 11/01/06 500.0 CRE CDO Prudential 93.0 1.0 6.0
Trapeza XI 10/27/06 509.0 CRE CDO J P Morgan
Prima CRE Securitization 06- 10/26/06 557.0 CRE CDO Prima Capital 10.0 18.0 25.0 23.0 24.0
Ansonia CRE CDO 06-1 10/25/06 807.0 CRE CDO ING Clarion Capital, LLC 94.0 1.0 5.0
AMAC CDO Funding 10/18/06 400.0 CRE CDO AMAC 88.0 7.0 5.0
RAIT CRE CDO 06-12 10/17/06 1,000.0 CRE CDO RAIT Investment Trust 32.0 65.0 3.0
Dillon Read CMBS CDI 06-1 10/04/06 1,000.0 Re-REMIC Dillon Read Capital Mgmt 20.0 65.0 5.0 10.0
J ER CRE CDO 06-2 09/27/06 1,200.0 CRE CDO J E Robert 76.2 4.2 12.0 7.6
Taberna VII 09/15/06 700.0 CRE CDO Bear Stearns
Attentus CDO II 08/31/06 512.0 CRE CDO J P Morgan
Kimberlite CDO I 08/30/06 750.0 CRE CDO Blackrock Financ. Mgmt, Inc. 10.0 90.0
Kodiak CDO I (Trust 08/22/06 750.0 CRE CDO Barclay's
MSC 06-SRR1 08/11/06 620.0 Re-REMIC Morgan Stanley 100.0
Abacus 06-13 08/09/06 795.0 Re-REMIC Goldman Sachs 100.0
Sorin RE CDO IV 08/08/06 400.0 CRE CDO Sorin Capital 8.8 2.6 36.0 9.8 42.9
Harbor SPC 08/01/06 2,000.0 CRE CDO Wachovia 100.0
Resource RE Funding CDO 07/31/06 345.0 CRE CDO Resource RE Inc. 20.5 40.6 38.9
G-Force 06-1 07/31/06 880.4 CRE CDO Bear Stearns 100.0
Gramercy CRE CDO 06-1 07/31/06 1,000.0 CRE CDO GKK Manager, LLC 62.0 1.0 12.0 25.0
Seawall 06-4 07/28/06 300.0 CRE CDO Deutsche Bank 100.0
Guggenheim Struct. RE 07/26/06 400.0 CRE CDO Guggenheim 4.0 17.0 52.0 27.0
Abacus 06-NS1 07/21/06 676.7 CRE CDO NS Advisors, LLC. 81.4 18.6
Capmark VII CRE CDO 07/18/06 1,000.0 CRE CDO Capmark Investments LP 100.0
Cedarwoods CRE CDO 07/13/06 400.0 CRE CDO Angelo Gordon & Co., LP 56.3 15.2 28.5
GSMS 06-RR2 07/11/06 771.0 Re-REMIC Goldman Sachs 100.0
Wachovia CRE CDO 06-1 06/09/06 1,300.0 CRE CDO Structured Asset Investors 11.7 10.2 4.1 57.7 16.3
Taberna VI 06/07/06 723.6 CRE CDO Merrill Lynch
Trapeza X 06/05/06 507.5 CRE CDO J P Morgan
N-Star Real Estate CDO 06- 05/25/06 550.0 CRE CDO NS Advisors 59.1 2.7 38.3
Vertical 06-1 05/19/06 300.0 CRE CDO Vertical Capital 71.7 14.3 13.7 0.3
J PMCC 06-RR1 05/03/06 523.9 Re-REMIC J P Morgan 100.0
Anthracite CRE CDO 06-HY3 05/02/06 645.4 CRE CDO Blackrock Financial Mgmt. 66.5 11.8 21.7
Marathon 06-1 04/26/06 1,000.0 CRE CDO Marathon Asset Mgmt. 8.5 0.6 35.0 24.9 24.7 6.3
ARCap 06-RR1 04/24/06 769.2 Re-REMIC ARCap REIT, Inc. 48.1 51.9
CW Capital Cobalt II, Ltd. 04/12/06 700.0 CRE CDO CW Capital 21.4 0.9 57.0 0.5 0.2 20.0
Attentus I 03/30/06 500.0 CRE CDO Credit Suisse
Taberna Preferred Funding V, 03/17/06 700.0 CRE CDO Cohen
Sorin Real Estate CDO III Ltd. 03/17/06 1,000.0 CRE CDO Sorin Capital 52.0 2.0 12.0 5.0 29.0
GSMS 06-CC1 03/16/06 406.2 CRE CDO ING Clarion Capital, LLC 100.0
CBRE Realty Finance CDO 03/16/06 600.0 CRE CDO CBRE Realty 17.3 37.8 22.3 22.5
Legg Mason 06-1 03/15/06 532.0 CRE CDO Legg Mason RE Capital II, Inc. 97.0 3.0
CT CDO Ltd., 06-4A 03/01/06 488.6 CRE CDO Capital Trust 60.8 0.0 29.8 6.1 3.3
N-Star CDO III 02/25/06 400.0 CRE CDO Citi 73.0
Abacus 06-10 02/24/06 750.0 CRE CDO Ares Mgmt LLC
LNR 06-1A 02/16/06 1,598.3 CRE CDO Lennar Partners 100.0
N-Star REL CDO VI CDO 02/15/06 450.0 CRE CDO NS Advisors, LLC. 9.9 44.4 21.7 17.0 7.0
ARMSS 2005-1QA 01/11/06 475.0 CRE CDO Arbor Realty
Sources. RBSGC, Bloomberg, Commercial Mortgage Alert


15
At first, synthetic CMBS were included only as a
small percentage of an overall CRE CDO, in which
cash CRE assets comprised the majority of the
assets. In almost all cases, the CMBS synthetics
employed in these structures were single-name
CMBS credit default swaps (CDS). The presence of
CMBS synthetics in CRE CDOs increased during the
latter half of 2005, and it wasnt long before all-
synthetic CRE CDOs came to market. Initially, these
all-synthetic deals were comprised of higher-grade
synthetics, but expanded in early 2006 to include
down-in-credit synthetics as well (e.g., Abacus Ltd.,
2006-1). Going forward, we expect to see some
exposure to the CMBX indices, and perhaps even
CMBX index tranches. The volume of synthetic
deals, however, is limited to some extent given that
liquidity remains a factor in the CMBS CDS sector,
where there has been an overwhelming supply of
protection sellers and fewer protection buyers.

While spread levels across the credit stack on CRE
CDO are determined in large part by the type of
collateral backing the deal, triple-A publicly offered
spreads average around 34 basis points, whereas
triple-B spreads average about 160 basis points. The
exhibit that follows details 2006s CRE CDO and re-
REMIC issuance. Note the wide divergence in
collateral types, as well as divergent deal structures
and attributes, including credit enhancement levels,
WARF scores, revolving or static.

Like the CMBS marketplace, upgrades outpaced
downgrades in the re-REMIC/CRE-CDO space in
2006. Static CRE CDOs tend to receive the majority
of the upgrades, as the performance of the bonds is
tied closely to the underlying assets because they
are fully ramped at closing. The upgrade/downgrade
ratio in the CMBS market is quite high and thus the
improved credit quality of the underlying assets in
static pools and the de-leveraging of the liabilities
through amortization of senior tranches contribute
strongly to the CRE CDO upgrades. Going forward,
the growing percentage of revolving CRE CDOs is
likely to slow the number of upgrades, as rating
agencies are usually reluctant to upgrade bonds in
these deals as they could experience negative credit
migration through trading and reinvestment.

Deal Series Action Class
Current
Balance
From To Date Agency
Fixed/
Floating
MADSQ 2004-1 UP H 19857770 Baa1 Aa2 02/22/06 Moodys Fixed
MADSQ 2004-1 UP J 23751000 Baa2 Aa3 02/22/06 Moodys Fixed
MADSQ 2004-1 UP K 60155762 Baa3 A1 02/22/06 Moodys Fixed
MACH 2004-1 UP B 51500000 AA AAA 08/10/06 Fitch Fixed
MACH 2004-1 UP C 10500000 AA- AAA 08/10/06 Fitch Fixed
MACH 2004-1 UP D 28100000 A AA 08/10/06 Fitch Fixed
MACH 2004-1 UP E 7200000 A- AA- 08/10/06 Fitch Fixed
MACH 2004-1 UP F 17700000 BBB+ A 08/10/06 Fitch Fixed
MACH 2004-1 UP G 15300000 BBB A- 08/10/06 Fitch Fixed
MACH 2004-1 UP H 14500000 BBB- BBB 08/10/06 Fitch Fixed
MACH 2004-1 UP J 17700000 BB+ BBB- 08/10/06 Fitch Fixed
MACH 2004-1 UP K 8800000 BB BB+ 08/10/06 Fitch Fixed
MSC 2004-RR2 UP B 30200000 AA AAA 08/10/06 Fitch Fixed
MSC 2004-RR2 UP C 15100000 A A+ 08/10/06 Fitch Fixed
MSC 2004-RR2 UP D 5300000 A- A 08/10/06 Fitch Fixed
MSC 2004-RR2 UP E 12200000 BBB BBB+ 08/10/06 Fitch Fixed
MSC 2004-RR2 UP F 3300000 BBB- BBB 08/10/06 Fitch Fixed
LNR CFL 2004-1 UP I-4 3200000 AA+ AAA 08/23/06 Fitch Fixed
LNR CFL 2004-1 UP I-5 3200000 AA AAA 08/23/06 Fitch Fixed
LNR CFL 2004-1 UP I-6 3200000 BBB+ AA 08/23/06 Fitch Fixed
LNR CFL 2004-1 UP I-7 3200000 BBB- A 08/23/06 Fitch Fixed
LNR CFL 2004-1 UP I-8 3700000 BB+ A- 08/23/06 Fitch Fixed
LNR CFL 2004-1 UP I-9 7800000 BB+ BBB 08/23/06 Fitch Fixed
LNR CFL 2004-1 UP I-10 4700000 BB+ BBB- 08/23/06 Fitch Fixed
STRIP 2002-1 UP G 27,342,000 A3 Aaa 08/30/06 Moodys Floating
STRIP 2002-1 UP J 17,798,000 Baa2 Aa2 08/30/06 Moodys Floating
STRIP 2002-1 UP K 6,286,000 Baa3 A1 08/30/06 Moodys Floating
STRIP 2002-1 UP L 5,761,000 Ba1 A3 08/30/06 Moodys Floating
STRIP 2002-1 UP M 6,328,000 Ba2 Baa2 08/30/06 Moodys Floating
STRIP 2002-1 UP N 6,060,000 Ba3 Baa3 08/30/06 Moodys Floating
STRIP 2002-2 UP G 5,115,000 A3 Aaa 08/30/06 Moodys Floating
STRIP 2002-2 UP J 2,264,000 Baa2 Aa2 08/30/06 Moodys Floating
STRIP 2002-2 UP K 1,948,000 Baa3 A1 08/30/06 Moodys Floating
STRIP 2002-2 UP L 1,939,000 Ba1 A3 08/30/06 Moodys Floating
STRIP 2002-2 UP M 1,474,000 Ba2 Baa2 08/30/06 Moodys Floating
STRIP 2002-2 UP N 1,342,000 Ba3 Baa3 08/30/06 Moodys Floating
CRIMT 1996-C1 DOWN E 62697783 B B- 09/07/06 Fitch Fixed
CRIMT 1996-C1 DOWN F 12000000 B- C 09/07/06 Fitch Fixed
CREST 2004-1 UP B-1 9,362,531 Aa2 Aaa 09/15/06 Moodys Floating
CREST 2004-1 UP B-2 10,298,785 Aa2 Aaa 09/15/06 Moodys Fixed
CREST 2004-1 UP C-1 1,872,506 A3 Aa2 09/15/06 Moodys Floating
CREST 2004-1 UP C-2 15,377,958 A3 Aa2 09/15/06 Moodys Fixed
CREST 2004-1A UP B-1 44,000,000 Aa2 Aaa 09/15/06 Moodys Floating
CREST 2004-1A UP B-2 8,491,250 Aa2 Aaa 09/15/06 Moodys Fixed
CREST 2004-1A UP C-1 2,710,000 A3 Aa2 09/15/06 Moodys Floating
CREST 2004-1A UP C-2 23,000,000 A3 Aa2 09/15/06 Moodys Fixed
ARCap 2003-1 UP B 36000000 Aa2 Aaa 09/21/06 Moodys Fixed
ARCap 2003-1 UP C 20500000 A2 Aa1 09/21/06 Moodys Fixed
ARCap 2003-1 UP D 15400000 A3 Aa2 09/21/06 Moodys Fixed
ARCap 2003-1 UP E 36100000 Baa2 A1 09/21/06 Moodys Fixed
ARCap 2003-1 UP F 13000000 Baa3 A2 09/21/06 Moodys Fixed
GFORCE 2003-1 UP B-FL 28,750,000 Aa2 Aaa 09/22/06 Moodys Floating
GFORCE 2003-1 UP C-FL 12,000,000 A2 Aa1 09/22/06 Moodys Floating
GFORCE 2003-1 UP B-FX 30,000,000 Aa2 Aaa 09/22/06 Moodys Floating
GFORCE 2003-1 UP C-FX 34,155,000 A2 Aa1 09/22/06 Moodys Floating
GFORCE 2003-1 UP D 13,800,000 A3 Aa2 09/22/06 Moodys Floating
GFORCE 2003-1 UP E 26,200,000 Baa2 A1 09/22/06 Moodys Floating
GFORCE 2003-1 UP F 21,550,000 Baa3 A2 09/22/06 Moodys Floating
ARCAP 2005-RR5 DOWN C 21938000 AA AA- 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN D 3134000 AA A+ 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN E 12536000 A+ A- 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN F 9402000 A- BBB 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN G 9402000 BBB+ BBB- 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN H 15670000 BBB BB 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN J 6268000 BBB- BB- 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN K 9402000 BB+ B+ 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN L 9402000 BB+ B- 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN M 9402000 BB CCC 09/29/06 S&P Fixed
ARCAP 2005-RR5 DOWN N 9402000 BB CCC- 09/29/06 S&P Fixed
ARCAP 2004-1A UP B 30600000 Aa2 Aaa 10/12/06 Moodys Fixed
ARCAP 2004-1A UP C 26500000 A2 Aa3 10/12/06 Moodys Fixed
ARCAP 2004-1A UP D 8500000 A3 A1 10/12/06 Moodys Fixed
ARCAP 2004-1A UP E 30700000 Baa2 A3 10/12/06 Moodys Fixed
ARCAP 2004-1A UP F 13600000 Baa3 Baa1 10/12/06 Moodys Fixed
RKCDO 2006-1A UP C 38,600,000 A1 Aaa 12/08/06 Moodys Floating
RKCDO 2006-1A UP D 9,083,000 A2 Aa1 12/08/06 Moodys Floating
RKCDO 2006-1A UP E 11,353,000 A3 Aa2 12/08/06 Moodys Floating
RKCDO 2006-1A UP F 15,894,000 Baa1 A2 12/08/06 Moodys Floating
WMMM 2001-1RR UP A4 4191000 Aa1 Aaa 12/08/06 Moodys Fixed
WMMM 2001-1RR UP A5 3142000 Aa3 Aaa 12/08/06 Moodys Fixed
WMMM 2001-1RR UP B1 9428000 A2 Aa3 12/08/06 Moodys Fixed
WMMM 2001-1RR UP B2 4191000 Baa1 A3 12/08/06 Moodys Fixed
WMMM 2001-1RR UP B3 6285000 Baa3 Baa2 12/08/06 Moodys Fixed
WMMM 2001-1RR UP B1 9428000 Aa3 Aaa 12/14/06 Moodys Fixed
WMMM 2001-1RR UP B2 4191000 A3 Aaa 12/14/06 Moodys Fixed
WMMM 2001-1RR UP B3 6285000 Baa2 Aa3 12/14/06 Moodys Fixed
WMMM 2001-1RR UP B4 9428000 Ba2 Baa2 12/14/06 Moodys Fixed
WMMM 2001-1RR UP B5 4190000 Ba3 Ba1 12/14/06 Moodys Fixed
ARMSS 2004-1A UP D1 16,368,789 BBB BBB+ 12/18/06 S&P Floating
Source: Moody's Investors Service and Standard & Poor's
2006 CRE CDO/Re-REMIC Ratings Actions

16
The vast majority of re-REMIC/CRE CDO ratings
actions in 2006 took place in well-seasoned
transactions and consisted mostly of upgrades. The
one significant exception to this was the downgrades
in ARCAP 2005-RR5 Resecuritization Inc. on
September 29, 2006. S&P downgraded 11 classes of
this transaction, with the downgrades working their
way fairly high up in the capital structure to the
double-A level. According to the agency, the
downgrades reflected actual and anticipated
principal losses, as well the susceptibility of certain
classes to interest interruptions. At issuance, the
collateral for ARCAP 2005-RR5 consisted of 26
classes of pass-through certificates from 17 CMBS
transactions and five classes of pass-through
certificates from one re-REMIC transaction, with an
aggregate balance of $313.4 million. According to
S&P, ARCAP 2005-RR5 was more susceptible to
principal losses sustained by the underlying
transactions because $184 million (71% or 16
certificates) of the transactions collateral is
composed of the subordinate certificates from the
underlying transactions.

IV - Synthetic CMBS in the Flow in 2007
CMBS synthetics are gaining in popularity as
participation in these instruments now ranges from
triple-A hedge fund investors to subordinate CRE
CDO asset managers. The CMBS market currently
enjoys a full complement of synthetic instruments to
help participants to more efficiently express a variety
of market opinions. In fact, with spreads in 2007
anticipated to be somewhat of a range-bound affair,
the synthetic CMBS markets are likely to grow in
stature and trading volume given the added relative-
value opportunities these new instruments provide to
the CMBS market.

The market now has CMBS total-return swaps,
single-name credit-default swaps (CDS), and the
CMBX indices, a basket of credit default swaps on
fixed-rate conduit/fusion CMBS, at its disposal. The
CMBX indices were introduced on March 2, 2006.
Although the new index got off to a rather slow start
initially, trading volume picked up over the course of
2006, led by increased momentum in down-in-credit
trades. To the good, the increased trading volume in
the CMBX indices spawned increased activity in
total-return swaps and single-name CDS, given the
numerous opportunities to express opinions across
these various instruments. For example, synthetic
market participants can go long cash bonds at wider
spreads and short either single-name CDS or a
CMBX sub-index. Investors also can put on basic
basis trades within the same credits or different
credits, such as a long single-A cash position at
S+46 basis points and a short in CMBS.1.NA.BBB at
43 basis points. Another strategy would be to take a
long position in CMBX and a short position in a
single-name CDS on a bond perceived to be at risk.

To the good, synthetic spreads have become better
correlated with the cash market as technical factors
affecting the cash bonds are affecting the synthetic
markets too. For example, the CRE CDO bid has
increased dramatically for synthetic CMBS, driving
spreads tighter as sellers of protection dominate
buyers of protection. Further adding to the at times
one-way street is that buying protection in the current
environment can prove to be an expensive
proposition given the negative carry associated with
the trade. The key here is that while there are
concerns about heightened default balloon risk on
certain commercial-mortgage loans, the consensus
is that term risk (defaults during the life of a
commercial mortgage) are relatively muted due to
continuing improvement in the underlying
commercial-property markets and the generally
accepted theory that newly originated commercial
mortgage loans dont tend to experience defaults
and losses until seasoned three years or more.
Thus, buyers of protection may be forced to wait
years before realizing any upside that would result
from loan defaults and losses. However, there are a
growing number of combination strategies that allow
investors to express a negative view on a particular
bond, vintage and/or credit rating without incurring
negative carry. One example is to sell protection on
CMBX.NA.A.1 at 18 basis points and short
CMBX.NA.BBB.2 at -52 basis points at a 10:1 ratio.
By doing so, an investor can enter into a short
position while offsetting the negative carry
associated with the short by a higher-rated long
position that is less likely to take a loss in a default
scenario.

At some point, however, it is our view that credit
fundamentals rather than simply technicals will play
a more active role in both cash and synthetic CMBS
spreads, much as they do currently in the cash ABS
and synthetic ABX markets. More investors will look
to hedge CMBS credit risk as both the real estate
cycle and more recently originated commercial
mortgage loans season further. CMBS synthetic
trading volume and liquidity certainly improved in
2006 and is expected to so again in 2007 as market
participants grow to better understand these

17
strategies and obtain the necessary approvals to
trade synthetics. However, it is our view that
synthetic CMBS will become a core component of
the CMBS marketplace only when the number and
breadth of the protection buyer universe increases.

More Opportunities in CMBS Total-Return Swaps

Trading volume in the CMBS total-return swap
market continued to grow in 2006, but remained
concentrated in the triple-A CMBS space. The TRR
swap market remains the purview of dealers looking
to hedge their pipelines and investors wishing to take
advantage of attractive funding spreads when dealer
hedging needs rise. The CMBS total-return swap
market provided good opportunity for investors to tap
the CMBS triple-A market at attractive all-in spread
levels from time to time in 2006. For example, in
early December 2006, funding spreads gapped out
to 30 basis points (albeit short-lived), and
represented an excellent opportunity for investors to
get long the basis at an all-in spread of around 55
basis points.

At that time, the combination of year-ends fast
approach, prospects of a historical December
issuance high, and the monster M&A activity that
yielded increased numbers of large-loan originations
revved up dealer hedging activity. The large-scale
exchange of commercial real estate holdings from
public to private hands taking place has played a
significant role in ballooning the size of conduit
lender/dealer balance sheets. With no near-term end
in sight to this activity, prospects are that dealer
hedging needs will flare periodically over the course
of 2007 as lenders finance these oftentimes massive
transactions.
The increased hedging needs of the dealer
community suggest that investors should be
diligent for opportunities to go long the
basis via the CMBS TRR swap market in
2007.

2006 CMBS Lehman AAA 8.5 vs. TRR Funding Spreads
0
5
10
15
20
25
30
35
1
/
6
/
0
6
2
/
1
7
/
0
6
3
/
3
1
/
0
6
5
/
1
2
/
0
6
6
/
2
3
/
0
6
8
/
4
/
0
6
9
/
1
5
/
0
6
1
0
/
2
7
/
0
6
1
2
/
8
/
0
6
L
e
h
m
a
n

A
A
A

8
.
5

S
p
r
e
a
d

(
B
P
s
)
-30
-20
-10
0
10
20
30
M
e
d
i
a
n

F
u
n
d
i
n
g

S
p
r
e
a
d

(
B
P
s
)
Lehman AAA 8.5 Median Funding Spread

Single-Name CDS and CMBX

The introduction of CMBS single-name credit default
swaps (CDS) was the first step in allowing CMBS
market participants to synthetically take long and/or
short positions in CMBS across the credit stack.
While single-name CDS allow market participants to
express a view on a specific credit, liquidity and
transparency traditionally have not been their
hallmarks. The introduction of CMBX.1 and its
evolution over the course of 2006 went a long way
toward changing the situation for the better. CMBX
provides an easy way to gain exposure to the CMBS
market in size, hedge existing CMBS exposure,
and/or trade the basis.

CMBX is comprised of six separate sub-indices,
each referencing CMBS with different ratings (triple-
A through double-B). Specifically, the index allows
participants to gain exposure to an equally-weighted
basket of 25 CMBS securities issued over a given
six-month period. The fact that 14 dealers committed
to provide daily index closes and that the index and
its rules, standards and prices would be monitored
by Markit (same company responsible for the
corporate CDX indices) and posted on its website
went a long way toward addressing liquidity and
transparency concerns. The benefits provided by the
CMBX indices are particularly pertinent to CMBS
credit tranches. In the past, long exposure to
subordinate tranches was very difficult to achieve
and short exposure almost impossible. This was due
mainly to limited supply of subordinate CMBS bonds,
given that almost 90% of the fixed-rate market is
comprised of triple-A securities.


18
The first CMBX index (CMBX.1) was intended to be
only one of a series of indices, and so CMBX.2 was
launched in late October 2006. Each successive new
series of the index references the most currently
qualifying CMBS transaction issued. Thus the CMBX
indices allow not only for exposure to a diversified
set of CMBS transactions and bonds, but also to
various vintages, such that investors can focus on
on-the-run CMBS, as well as older vintages.

CMBX.1 and CMBX.2 Market Snapshot (Index Launch Vs. Year-End 2006)
CMBX.1
CMBX Sub-Index
Fixed
Rate
3/7/06 12/29/06 3/7/06 12/29/06 3/7/06 12/29/06
CMBX.NA.AAA.1 10 9 5 25 23 -16 -18
CMBX.NA. AA.1 25 22 12 36 35 -14 -23
CMBX.NA. A.1 35 32 18 46 45 -14 -27
CMBX.NA.BBB.1 76 71 43 77 77 -6 -34
CMBX.NA.BBB-.1 134 124 68 95 95 29 -27
CMBX.2
CMBX Sub-Index
Fixed
Rate
10/25/06 12/29/06 10/25/06 12/29/06 10/25/06 12/29/06
CMBX.NA.AAA.2 7 7 6 25 23 -18 -18
CMBX.NA. AA.2 15 13 12 36 35 -24 -23
CMBX.NA. A.2 25 21 18 46 45 -25 -27
CMBX.NA.BBB.2 60 56 52 77 77 -21 -25
CMBX.NA.BBB-.2 87 84 85 95 95 -11 -10
CMBX.NA.BB.2 180 164 192 300 300 -136 -108
Source: Markit Inc.
CMBX Close Cash Basis
CMBX Close Cash Basis

When CMBX.1 was introduced, higher investment-
grade spreads were quick to tighten. For example,
CMBX.NA.AAA.1 tightened from nine to five basis
points since it was first launched in early March
2006. Currently the basis between cash and
CMBX.NA.AAA.1 is -18 basis points. The negative
basis can be explained by the fact that the CDS in
CMBX have none of the interest-rate duration or
convexity issues associated with cash bonds. The
lack of such risks naturally suggests that the CDS
should trade tighter; the extent to which it does so is
best reflected in the cost of acquiring a balance-
guaranteed swap (generally valued at around six
basis points) on the underlying cash bond. Another
factor driving the basis is funding costs; the riskier
the underlying asset or the lower the credit quality of
the investor, the higher the funding costs for the cash
holder. Arguably, funding costs on SS CMBS are a
relatively low three basis points. Todays tight spread
level of just five basis points on CMBX.NA.AAA.1
highlights the growing realization among participants
that CMBS SS triple-As are highly likely not to ever
take a loss. In fact, it is for this reason that we
believe spreads could tighten by another one to two
basis points on the triple-A sub-index. For many
investors, however, the trade still makes sense.
Investors can simply sell protection at a spread of
S+5 basis points, and the fact that CDS do not
expend valuable balance sheet space make it all the
more attractive. Another way to participate up in
credit is by investing in cash CMBS at S+22 basis
points and hedging (buying protection) with either a
single-name CDS on the same bond or the CMBX
triple-A index.

Further down in credit, things get more interesting. In
general, triple-B through double-B CMBX sub-indices
experienced sharp spread tightening, but with some
volatility. The triple-B and triple-B-minus CMBX.1
sub-indices are trading at 43 and 68 basis points,
respectively, with negative bases of 34 and 27 basis
points, respectively. In contrast, the triple-B and
triple-B-minus CMBX.2 sub-indices are trading at 52
and 85 basis points, respectively. The wider
CMBX.2 subordinate indices trade wider than their
CMBX.1 counterparts for two reasons. The first is
that the nature of the risk referenced in CMBX.2
differs from that referenced in CMBX.1, mainly in that
this latest set of indices references deals secured by
commercial-mortgage loans originated in 2Q06 and
3Q06, whereas the first series of CMBX references
deals secured by loans originated in 4Q05 and
1Q06. The perception is that underwriting standards
were less aggressive in 2005 than in 2006. The
second reason has to do with the presence of a
troubled large loan, Le-Nature, in MSCI 2006-IQ11,
which is one of the deals referenced in CMBX.2. Le-
nature filed for bankruptcy and vacated the single-
tenant property it occupied. While the ultimate health
of the loan and the outcome of the situation remain
uncertain, the market was quick to punish the cash
and single-name CDS spreads on this bonds, but
also the subordinate CMBX.2 sub-indices, despite
the fact that MSCI 12006-IQ11 comprises just 4% of
the index.

Weve always held that additional trading
opportunities will result from the addition of new
CMBX indices, as investors will be provided with
added options to trade the various vintages.

Fixed-Rate CMBS Credit Curves
(Cash, CMBX.1, and CMBX.2)
0
50
100
150
200
250
300
AAA AA A BBB BBB- BB
S
p
r
e
a
d

(
B
P
s
)
Cash
CMBX.1
CMBX.2
Source: RBS GreenwichCapital and Markit


19
Conduit/Fusion Fixed-Rate CMBS Credit Statistics
2006 2005 2002
Avg. Conduit/Fusion Deal Size 2,610,140,190 2,068,210,435 1,007,396,168
Avg. Loan Size ($MM) 14.52 13.26 8.25
Avg. Top-10 Loans % of Pool 41.4% 40.3% 38.1%
Largest Loan as a % of Total 9.5% 8.2% 8.8%
Shadow Rated IG Loans (%) 11.8% 11.6% 14.4%
Avg. Issuer DSCR 1.47 1.56 1.51
Avg. Issuer LTV 68.0% 69.0% 68.9%
% of IO Loans 74.4% 64.4% 6.2%
Moody's Property Quality Score 1.78 1.75 2.52
Moody's Cash-Flow Haircut 3.26 2.40 3.00
Moody's Stressed DSCR 1.00 1.03 1.27
Moody's Stressed LTV 100.5% 97.1% 89.6%
% Stressed Agency LTV >90% 74.8% 76.5% 41.5%
Avg. Reserves for Taxes 69.9% 72.8% 84.8%
Avg. Reserves for Insurance 55.9% 57.7% 72.5%
Avg. Reserves for TI/LC 31.9% 38.3% 61.5%
Lockbox - Hard (%) 38.0% 38.9% 22.5%
Avg. AAA Credit Support 12.0% 12.9% 20.7%
Avg. BBB- Credit Support 3.1% 3.4% 8.1%
Subordinate Debt 43.7% 38.7% 8.6%
Source: Fitch, S&P, and Moody's
V - CMBS Loan Underwriting in 2007: First There
Was FrothThen There Was More Froth?
There has been much discussion on the topic of
frothy commercial real estate markets and a very
competitive lending environment over the last 24
months, with secondary-market trading and even
the CMBX indices highlighting the markets
preference for older-vintage CMBS over 2006
credits. The table shown here breaks down the
underwriting and credit metrics most watched by
the CMBS market and clearly quantifies the
degradation that has occurred in many of these
metrics over the years, as well as the changes in
the complexion of the fixed-rate CMBS market as
a whole. RBSGC tracks all fixed-rate
conduit/fusion CMBS issued over the last seven
years, and this data are available to our clients
upon request.

Before reviewing the details, its worth noting that
2006 will likely mark the year during which shifts in
underwriting standards became slightly less
transparent than the exhibit would imply. The
increasing use of pro-forma underwriting is more
difficult to detect. Although one could assume that any
egregious pro-forma assumptions would be offset by
increases in credit enhancements, the fact that credit
enhancement levels continued to decline in 2006 leads
one to question that assumption. In such an
environment, investors must be mindful of the potential
for actual cash flows to not live up to underwritten pro-
forma cash flows. Watch for loans that are underwritten
with some of the following aggressive assumptions: (a)
revenues grow sharply faster than expenses, (b) a
property is assumed to lease-up at too fast a clip, (c)
when below-the-line capital costs items such as leasing
costs do not appear adequate, or (d) expenses,
particularly real estate taxes and insurance costs, are
held steady. This is not to argue that pro-forma cash
flows are not ever warranted. For example, one could
argue that strong, well-positioned assets with below-
market rents in markets with sound demographic
trends should incorporate the anticipated upside.
However, in todays markets, pro-forma cash flows are
being applied equally to all assets, regardless of
property quality and market. The hope is of course,
that faulty assumptions and overly aggressive
underwriting in general, as well as high leverage will be
bailed out by the continued improvement in the CRE
property markets. While this may be true, investors are
strongly advised to become more selective in their non-
SS triple-A investments.
Transaction Size/Loan Size. The size of the
average fixed-rate conduit/fusion CMBS transaction
rose in 2006 to $2.6 billion from $2.1 billion in 2005
(see Appendix A: Domestic Fixed-Rate
Conduit/Fusion CMBS Issuance Details). Whats
interesting is that the range of deal sizes expanded
in 2006, with the smallest deal at $1.44 billion and
the largest at $4.87 billion. The larger deals are
clearly driven by the M&A activity that has caused
conduit originator balance sheets to swell at times.
Whats more, fewer loans are being done as pari-
passu notes, with the entire whole loan or A-note
being contributed to a given pool. The average pari-
passu percentage of total deal collateral rose in 2006
to 8.3% from 5.4% in 2005, but is still well below the
12.6% level of 2004. Not surprisingly, the average
loan size rose to $14.5 million from $13.3 million,
with the largest single loan contributed to a deal
being the $806 million 11 Madison Avenue loan in
CSMC 2006-C4. In 2006, the impact of including
ultra-large loans into a transaction became
noticeable, with the largest loan as a percent of a
pool rising to an average of 9.5% from 8.2% in 2005.

The return of chunkier loans to pools
raises concerns given the declines in credit
enhancement experienced over the past few
years.


20
On the one hand, should a loan that comprises 10%
of the pool default with a 35% loss severity, that
3.5% loss is likely to wipe out the triple-B-minus
rated class, which had average credit enhancement
in 2006 of 3.1%. Other higher-rated bonds are likely
to be downgraded under such a scenario. A counter-
argument to this is that RBSGC research shows that
larger fixed-rate commercial loans tend to have
much lower loss severities than smaller loans. For
example, when loans from 1995 through 2005 are
analyzed, we find that troubled loans with an
average balance of $2 to $5 million have average
loss severities of around 35%, compared to just 18%
for loans with balances of $20 million or more.
Keeping to the lumpier trend, the average top-ten
loans as a percentage of the entire pool rose slightly
in 2006 to 41.4% from 40.3% in 2005 and 38.1% in
2002.

An Optical Illusion? Issuer DSCR and LTV. Given
that issuers generally underwrite loans using actual
cap rates and cash flows as opposed to the stressed
levels employed by the rating agencies, issuer LTVs
have generally held steady over the past several
years, with, for example, average LTVs in 2006 of
68% versus 68.9% in 2002. The same can be said
for DSCRs, at least at first glance. The average
DSCR in 2002 was 1.51x, and it remained relatively
high in 2006 at an average of 1.47x. A key
difference, however, is that current DSCRs are being
calculated on loans with little to no amortization. We
estimate that 74.4% of all loans in 2006 had some
interest-only period; this compares to 2002 when the
average percentage of interest-only loan exposure
was a minimal 6.2%. If DSCRs were calculated
assuming amortization, DSCRs would be much
lower than currently recorded. Of course, the ever
increasing use of interest-only loans only
exaggerates what we consider to be a growing risk in
the market loans today have far greater balloon
refinance risk that term-default risk.

Eye-Popping Rating Agency Stressed LTVs and
DSCRs. When measuring so-called froth, there are
no better metrics that rating agency stressed LTVs
and DSCRs. In 2006, Moodys average stressed
LTV, for example, rose to 100.5%, compared to
89.6% in 2002. Whats more, the average
percentage of loans with stressed LTVs >90% per
deal rose to a high 74.8%. The high stressed LTVs
are the result of rating agency stabilized cap rates
that are far in excess of current market levels in
many markets. For example, Moodys core stabilized
cap rates are largely in the 9% area; this is in
contrast to todays cap rates that tend to be in the
6% to 7% area. Moodys average stressed DSCR in
2006 fell to 1.00x from 1.03x in 2005 and a high of
1.28x in 2003. Rating agency adjusted net cash flow
and a stressed rate are applied to the pool balance
in order to derive stressed DSCRs.

Overall IO Loan Exposure Rises, But Full-Term IO
Loans Decline. The percent of IO loans in fixed-rate
conduit/fusion transactions continued to rise in 2006,
with an average of 74.4% of the loans in CMBS
pools having some IO component, compared to
64.4% in 2005 and 6.2% in 2002. To the good, the
average percentage of loans that are interest only for
the full term of the loan has declined thus far in 2006
to 29.2% from 41.3% in 2005. However, even here,
we would argue that minimal amortization is likely to
these partial IO loans. The use of interest-only loans
in conduit deals adds further to concerns of over-
leverage, and certainly adds to concerns that current
borrowers may find it more difficult to refinance their
loans at the scheduled maturity date, given the lack
of principal paydown. Whats more, the lack of
amortization may slow the pace of bond upgrades by
the rating agencies as normal amortization always
has played a key role in the rating agencies decision
to upgrade bonds.

Subordinate Debt. The growing percentage of loans
with additional debt held outside a trust continued to
rise in 2006 to an average of 43.7%, compared to
38.7% in 2005 and just 8.6% in 2002. It is this
significant liquidity provided by Wall Street lenders
that has made it possible for borrowers to achieve
90% leverage with relative ease, and for conduit
lender market share to rise sharply.

Loan Structural Integrity. The percentages of
upfront reserves and escrows for taxes, insurance,
and tenant improvements and leasing commissions
(TI/LC) have declined fairly dramatically over the
past few years, with some plateau-ing of that
decline detected in 2006. For example, reserves for
taxes and insurance fell only marginally to 69.9%
and 55.9%, respectively, in 2006 from 72.8% and
57.7% in 2005. Yet, both of these figures are down
dramatically from 2002 when they stood at 84.8%
and 72.5%.

Credit Enhancement Levels Dip Yet Again in
2006. Actual fixed-rate CMBS triple-A credit support
fell in 2006 by just over 7% to 12.0% from 12.9%. Of
course, the advent of super-senior 30% credit
enhancement makes this point somewhat moot for
the majority of triple-A investors. The more important
movement in our view came in the mezzanine

21
credits, with credit support levels on triple-B, triple-B-
minus, and double-B CMBS each falling by around
10%, to 4.2%, 3.1%, and 2.3%, respectively. We
continue to hold that the risk/reward has shifted
recently to mezzanine investment-grade credits
purchased at par over deep-discounted non-
investment-grade credits whose investors
increasingly use the CRE CDO market to finance
their purchases and to shed some additional risk.

Date AAA AA A BBB BBB- BB B
1996 31.5 25.3 19.7 14.8 12.6 7.9 3.3
1997 30.3 24.1 18.5 13.3 11.5 6.0 3.0
1998 28.8 23.7 18.7 12.6 10.9 5.8 3.2
1999 27.0 22.3 17.3 12.3 10.5 6.1 2.9
2000 22.2 17.8 13.7 9.6 8.3 4.5 2.1
2001 21.0 17.4 12.9 9.1 8.0 4.6 2.4
2002 20.7 16.1 12.3 8.1 7.1 4.4 2.2
2003 16.5 13.7 10.0 6.7 5.4 3.5 1.9
2004 13.7 11.3 8.3 5.0 3.7 2.9 1.7
2005 12.9 10.5 7.9 4.6 3.4 2.6 1.7
2006 12.0 10.0 7.3 4.2 3.1 2.3 1.5
WA Fixed-Rate Conduit CMBS Subordination (%)
Source. RBSGC, Intex Solutions, Inc. and Commercial Mortgage Alert.

VI - CMBS CREDIT PERFORMANCEIT AINT
BROKE UNTIL IT BREAKS

The most recently available CMBS delinquency data
highlight that CMBS credit performance improved
during the course of 2006, with falling delinquency
rates, still very low cumulative historical losses, and
upgrades continuing to dwarf downgrades.

The fixed CMBS delinquency rate dropped sharply in
November to 0.57% from 0.67% in October.
However, the large percentage decline is explained
in part by the fact that eight fixed-rate conduit/fusion
CMBS transactions with a total outstanding balance
of $21.9 billion were added to the RBSGC universe
during the month. Yet, the fact remains that the
absolute dollar value of delinquent loans outstanding
continues to decline, falling to $2.3 billion in
November 2006 from $3.1 billion in J anuary 2006
and $3.8 billion in November 2005.

Fixed-Rate CMBS Conduit/Fusion
Monthly Delinquency Rate
0.0
0.5
1.0
1.5
2.0
2.5
3.0
N
o
v
-
9
9
M
a
y
-
0
0
N
o
v
-
0
0
M
a
y
-
0
1
N
o
v
-
0
1
M
a
y
-
0
2
N
o
v
-
0
2
M
a
y
-
0
3
N
o
v
-
0
3
M
a
y
-
0
4
N
o
v
-
0
4
M
a
y
-
0
5
N
o
v
-
0
5
M
a
y
-
0
6
N
o
v
-
0
6
D
e
l
i
n
q
u
e
n
c
y

R
a
t
e

(
%
)
Source. RBS Greenwich Capital and Intex Solutions, Inc.

The 0.57% delinquency reading reflects loans that
are 30-, 60- and 90+-days delinquent, as well as
loans in foreclosure and REO. The market-standard
default reading, which excludes loans that are 30-59-
days delinquent, was just 0.48% in November.
RBSGC tracks 59,332 loans with a current balance
of $398.1 billion, as of November 2006. The loans
collateralize 383 fixed-rate CMBS conduit/fusion
transactions issued between 1995 and 2005 (only
those deals seasoned at least one year are included
in the database). In addition to the eight transactions
(1,488 loans with an outstanding balance of $21.9
billion) added to the universe in November, 233
loans with an outstanding balance of $1.24 billion
prepaid or paid-off during the month, while 17 loans
with an outstanding balance of $158.4 million were
liquidated from the pool. Thus, the net change in the
universe in November was approximately $20.5
billion.

The peak in delinquencies for the current cycle was
reached in October 2003 at 2.5%. This compares
well to the previous cycles peak of 7.5% in J une
1992 (based on life-company commercial-mortgage
data ACLI). Appendix B provides detailed
information on the credit performance of outstanding
fixed-rate conduit/fusion CMBS grouped by vintage
as of December 2006.

The outstanding dollar balance of
delinquent fixed-rate loans is expected to
fall, albeit modestly, during 1H07.

The recent data show that newly-delinquent (loans
30-59 days delinquent) in November remain below

22
year-ago levels, as do 60- and 90+-day delinquent
and in foreclosure and REO loans. Moreover, the
volume of loan liquidations remains high, although it
is off the pace seen earlier in the year. Therefore, the
pool of delinquent and defaulted loans continues to
contract due to the positive barbell effect of a
slowdown in newly delinquent loans and the
disposition of seriously delinquent loans.

0.0
0.1
0.1
0.2
0.2
0.3
0.3
0.4
0.4
D
e
l
i
n
q
u
e
n
c
y

R
a
t
e

(
%
)
3
0
6
0
9
0
F
c
l
.
R
E
O
November 2006 Conduit/Fusion
CMBS Delinquency by Loan Status
N-06
N-05
Sources. RBS GreenwichCapital, Intex Solutions, Inc.

Loan Liquidations Moderate in 2006, but Loss
Severity Continues to Decline

Through the first 11 months of 2006, the average
monthly balance of liquidated loans was $164.1
million, sharply lower than the 2005 monthly average
of $230.8 million in 2005, and close to 2004s pace
of $157.7 million. To the good, the slowdown in
liquidations may be due in part to the fact that the
absolute volume of seriously delinquent loans fell in
2006, thus reducing the absolute volume of
dispositions. Year-to-date 2006, 300 loans with an
outstanding balance of $1.8 billion were liquidated.

Monthly Loan Disposition Balances and
WA Loss Severities
0
50
100
150
200
250
300
350
400
N
-
0
4
J
-
0
5
M
-
0
5
M
-
0
5
J
-
0
5
S
-
0
5
N
-
0
5
J
-
0
6
M
-
0
6
M
-
0
6
J
-
0
6
S
-
0
6
N
-
0
6
D
i
s
p
o
s
i
t
i
o
n
s
(
$
M
M
)
26
28
30
32
34
36
38
W
A

L
o
s
s

S
e
v
e
r
i
t
y

(
%
)
Monthly Loan
Dispositions
WA Loss
Severity (%)
Source. RBS Greenwich Capital and Intex Solutions, Inc.

In a credit-positive trend, average monthly loss-
severity rates continue to fall, although month-to-
month gyrations persist, as this number is highly
dependent on the types of assets disposed of in a
given month and the particular circumstances
associated with those loans. The WA loss severity
for loans liquidated thus far in 2006 is a low 22.7%.

The cumulative loss severity as of
November 2006 is 28.8%; this compares
well to the high in severity for the current
cycle of 43.4%. August 2006 marked the
first time that the cumulative weighted-
average loss severity on fixed-rate CMBS
loans fell below 30%. Keep in mind that the
market employs a 35% loss severity when
performing standard default scenarios.

Year-to-Date 2006 Credit Highlights

The fixed CMBS delinquency reading stood at 1.02%
in J anuary 2006 and has fallen since to a low of
0.57% as of November 2006. Again the argument
can be made that the lower rate is driven by the
increasingly large universe of outstanding loans (the
denominator in our delinquency rate calculation)
swamping the numerator (current delinquent loans).
While this might be true, the fact remains that there
were $3.13 billion in delinquent loans outstanding in
J anuary 2006, and that reading fell to $2.29 billion as
of November 2006.

By asset type, the delinquency rate on most asset
classes fell by 40% or more during the first 11
months of 2006. Mixed-use and healthcare asset
classes experienced the sharpest declines at -70.4%
and -69.0%, respectively. Keep in mind that
healthcare comprises less than 1% of the
outstanding CMBS loans. Whats surprising is that
hotel now comprises 5.5% of the outstanding fixed-
rate universe, ahead of industrial at 5.0%, mixed-use
at 3.7%, and self-storage at 2.1%. As of November
2006, the largest components of the fixed-rate
CMBS universe are retail at 33%, office at 28%, and
multifamily at 19%. Retail and office have the lowest
delinquency rates of the core asset classes at 0.29%
and 0.43%, respectively. In sharp contrast, the
multifamily and industrial delinquency rates remain

23
relatively high at 1.13% and 1.05%, respectively. In
both cases, declines have been substantial since the
outset of the year when these rates stood at 1.93%
and 1.54%.

1.26
1.19
0.29
1.13
0.43
0.29
1.05
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
D
e
l
i
q
u
e
n
c
y

R
a
t
e

(
%
)
H
e
a
l
t
h

C
a
r
e
H
o
t
e
l
M
i
x
e
d

U
s
e
M
u
l
t
i-
F
a
m
il
y
O
f
f
ic
e
R
e
t
a
i
l
I
n
d
u
s
t
r
ia
l
Fixed Rate CMBS Delinquencies by Property Type (11/06)
Sources. IntexSolutions, Inc., RBSGC

Loss Severity on Key Core Asset Classes Holds
Below 30%. The retail, office, multifamily, mixed-
use, and self-storage assets all boast weighted-
average loss severities through the November 2006
reporting period of less than 30%. Industrial is the
only core asset class with a weighted-average loss
severity above 30% at 32.8%. Hotel and healthcare
continue to register the highest severity rates at 35%
and 45%, respectively. However, loss severities on
both of these sectors have declined dramatically thus
far in 2006. Hotel severity fell from 37.1% in J anuary
2006, while healthcare plummeted from 66.4%. Note
from the exhibit below that multifamily continues to
have the highest number of liquidated loans at 467,
but has the lowest loss severity of the core assets at
just 20%. Even though hotel comprises a still small
5% of the outstanding fixed-rate universe, the
number of disposed hotel loans, at 348, is quite high
in comparison to other core asset classes. Whats
more, as noted above the loss severity on hotel
loans is also high at 35%.

WA Loss Severity and Liquidated
Fixed-Rate Conduit/Fusion Loans by Property Type
(as of 11/06)
4
4
.
9
3
4
.
9
3
2
.
8
2
8
.
0
2
7
.
5
2
0
.
7
2
0
.
0
1
9
.
9
0
5
10
15
20
25
30
35
40
45
50
H
e
a
l
t
h
c
a
r
e
H
o
t
e
l
I
n
d
u
s
t
r
ia
l
O
f
f
ic
e
R
e
t
a
i
l
M
i
x
e
d

U
s
e
M
u
l
t
if
a
m
il
y
S
S
W
A

L
o
s
s

S
e
v
e
r
i
t
y

(
%
)
0
50
100
150
200
250
300
350
400
450
500
#

o
f

L
i
q
u
i
d
a
t
e
d

L
o
a
n
s
WA Loss Severity
# of Liquidated Loans
Source. RBSGC and Intex Solutions, Inc.

High Levels of Defeased Loans Continues, Bodes
Well for CMBS Upgrades. Last year hands down
saw the highest number of loans defeased to date
in the history of the CMBS marketplace. Some 2,463
loans with a total original balance of $23.5 billion
were defeased in the first 11 months of 2006. This
compares favorably to 2005 when 1,900 loans with
an original balance of just $15.4 billion were
defeased. The high levels of defeasance are one
clear-cut reason for why CMBS issuance has
skyrocketed as it has in 2006. Broken down by
vintage, 1999 issued fixed-rate CMBS saw the
highest number of loans defeased thus at 1,247, or
loans or 24% of all loans defeased. It was followed
by the 1998 vintage with 1,095 loans defeased and
the 2000 vintage with 800 loans defeased.
Considering that most hard lockout periods run
between 24 and 36 months, one can assume that
the 2003 and 2004 vintages are likely to experience
sharp increases in the volume of loan defeasances
in 2007 as the loans come out of hard lockout. Only
129 2004-vintage loans were defeased thus far in
2006; we anticipate that this vintage will experience
a sizable increase in the number of loans defeased
in 2007 as more defeasable loans come out of hard
lockout.
The high level of loan defeasances that have
occurred and are likely to continue bode well for
further CMBS upgrades. The larger the loan
defeasance and the greater number of loans
defeased within a pool are key determinants of the
degree of upgrade a given pool will enjoy. In
October, there were 16 loans with a current balance
of $25 million or more defeased. The largest loan to
be defeased in October was the $66.5 million One
Alliance Center Loan in J PMCC 2003-CIBC6.

VII - CMBS Upgrade/Downgrade Ratio to Hold Firm
in 2007 on Strong Property Markets/Continued
Defeasance
The CMBS 2006 upgrade-downgrade ratio of 15:1
remains impressive not only on a historical basis
within the CMBS market, but also in comparison to
competing markets. There has been discussion by
the rating agencies that the lack of amortization in
current deals, lower levels of credit support, and a
decline in loan defeasance will dampen the pace of
CMBS upgrades. Over time this may occur.
However, certainly for 2007, we see the volume and
pace of upgrades matching or exceeding that of
2006 as prepayments and defeasance on loans just

24
coming out of hard lock (those deals issued prior to
2005) cause deals to de-lever quickly and replace
CRE collateral with U.S. Government related
securities.
Following a well-established trend, fixed-rate
investment grade (IG) CMBS saw the largest number
of upgrades in 2006 at 2,428 versus downgrades of
just 16. In sharp contrast, fixed-rate non-investment
grade (NIG) bonds saw the most downgrades as 169
classes. The downgrades to NIG bonds were
generally the result of increased loss expectations.
Its worth noting that even in the fixed-rate NIG
sector, upgrades outpaced downgrades at 587 to
169. In the floating-rate CMBS sector, IG classes
experienced 461 upgrades and only 27 downgrades,
reflecting the significant de-leveraging these deals
encounter as floating-rate loans with minimal prepay
protection are removed from the pool. The floating-
rate NIG sector was the only one to experience a
greater number of downgrades than upgrades in
2006, with 14 upgrades and 21 downgrades. Note
that given the floating-rate structure, there generally
tends to be limited NIG classes in these transactions.

CMBS Ratings Activity: J anuary to December 2006
Upgrade Downgrade Total
Fixed 3,015 185 3,200
Investment Grade 2,428 16 2,444
Non-Investment Grade 587 169 756
Floating 475 48 523
Investment Grade 461 27 488
Total 3,490 233 3,723
CMBS Ratings Activity: J anuary to December 2005
Upgrade Downgrade Total
Fixed 1,734 209 1,943
Investment Grade 1,391 21 1,412
Floating 399 67 466
Investment Grade 373 36 409
Total 2,133 276 2,409
Sources. FitchRatings, Moody's Investors Service, Standard & Poor's.

The classes upgraded in 2006 had a few common
themes including increased credit enhancement,
strong collateral performance, and high levels of loan
defeasance, to which strong real estate appreciation
and a low interest-rate environment contributed
heavily. Given the growing percentage of loans
originated with either partial or full-term interest-only
periods, its possible that the bonds that they secure
will experience fewer upgrades due to the lack of de-
leveraging.
While the very positively skewed upgrade to
downgrade ratio is welcomed, the ability to capture
the value of bond upgrades remains difficult. The
generally consistent performance of the rating
agencies in upgrading CMBS bonds has caused
most bonds that are strong candidates for upgrade to
trade as if they have been upgraded already. Whats
not been as clear is when a given bond will be
downgraded. In this aspect, the rating agencies have
shown some differentiation, with Moodys, for
example, having a greater propensity for
downgrading bonds when underlying loans are
performing but not to the expectations established
when the loan was underwritten. Fitch and S&P take
a more muted approach to underperforming assets,
choosing instead to keep bonds on watch negative
until the potential fate of the loan becomes clearer.
The average upgrade in 2006 was 2.5 notches, while
the average notch downgrade was 2.8. This
demonstrates that although CMBS transactions were
upgraded 15 times more frequently in 2006, the
severity of downgrades is slightly greater on
average. This is explained in party on the
unexpected nature of negative event risk in certain
CMBS transactions.
By rating agency, Fitch took action on 349 CMBS
and 1,667 CMBS classes. It was followed by
Moodys, which took action of 299 deals and 1,162
classes, and then S&P, which took action on 158
CMBS transactions and 894 bonds. Historically,
Fitch consistently has led the way in terms of the
absolute number of CMBS transactions and classes
that received either downgrades or upgrades, while
the performance has been mixed for second
between Moodys and S&P.

Deals Classes
35 150
62 191
17 51
114 392
Source: FitchRatings, Moody's Investors Service, Standard & Poor's
Deals Classes
349 1,667
299 1,162
158 894
806 3,723
Source: FitchRatings, Moody's Investors Service, Standard & Poor's
Total
S&P
CMBS Ratings Actions by Agency (J an - Dec 2006)
Agency
Fitch
Moody's
Moody's
CMBS Ratings Actions by Agency (Dec 2006)
Agency
S&P
Total
Fitch


25
0%
10%
20%
30%
40%
50%
60%
%

o
f

T
o
t
a
l

A
c
t
i
o
n
s
1
9
9
9
2
0
0
0
2
0
0
1
2
0
0
2
2
0
0
3
2
0
0
4
2
0
0
5
2
0
0
6
Historical Rating Agency Upgrade/Downgrade Activity
Fitch
Moody's
S&P
Source: Fitch Ratings, Moody's Investors Service, and Standard & Poor's

In 2007, Moodys will continue to leverage their
quantitative (Q) Tools, including Moodys
Commercial Mortgage Metrics (CMM) and
Moodys Surveillance Trend Scores (MOST).
These tools were responsible for the upgrade of 110
classes of 44 CMBS transactions, affecting $2.8
billion of securities, in December alone. In the past,
Moodys tended to lag the other two rating agencies
in the number of classes upgraded and downgraded
given their lack of intra-review analysis. Fitch utilizes
its SMARTView Under Analysis designation to
capture loan defeasance amounts, payoffs and
paydowns in order to filter transactions for formal
rating action review. Many of the deals identified
through this system are expected to result in rating
upgrades.

9
.
7
7
.
0
1
1
.
4
6
.
1
7
.
1
1
.
3 1
.
7
3
.
3
7
.
7
1
5
.
0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
U
p
g
r
a
d
e
/
D
o
w
n
g
r
a
d
e

R
a
t
i
o
1
9
9
7
1
9
9
8
1
9
9
9
2
0
0
0
2
0
0
1
2
0
0
2
2
0
0
3
2
0
0
4
2
0
0
5
2
0
0
6

Sources. Fitch Ratings, Moody's Investors Service, Standard &Poor's.
CMBS Historical Ratings Actions (1997-2006):
Upgrade/Downgrade Ratio

VIII Continued Improvement in the
Commercial/Multifamily Property Markets in 2007
The outlook for the commercial-property markets
remains generally upbeat again for 2007, supported
by continued robust acquisition activity, ample
liquidity, improving property fundamentals, and high
construction costs, which should keep supply
relatively in check. CMBS will benefit from
anticipated strong performance of the commercial-
property markets over the next few years. While
there is little dispute that underwriting is at times
overly aggressive, the anticipated continued
improvements in the property markets should
ameliorate these concerns during loan terms, if not
at maturity.
In 2006, the National Council of Real Estate
Investment Fiduciaries (NCREIF) Index showed that
unleveraged equity returns on commercial real
estate posted an annualized 14.86%, down from
2005s high of 18.72%, but still above the ten-year
average of just 11.8%. In 2006, the return was more
evenly split between income and capital appreciation
at 6.13% and 8.73%, respectively. In 2005, a
precipitous decline in cap rates triggered a 12.13%
capital appreciation return and just 6.59% in income.
Not surprisingly, the cap appreciation component of
the index tends to be more volatile.

-20
-10
0
10
20
30
40
1
9
7
8
1
9
8
0
1
9
8
2
1
9
8
4
1
9
8
6
1
9
8
8
1
9
9
0
1
9
9
2
1
9
9
4
1
9
9
6
1
9
9
8
2
0
0
0
2
0
0
2
2
0
0
4
2
0
0
6
*
A
n
n
u
a
l

U
n
l
e
v
e
r
a
g
e
d

E
q
u
i
t
y

R
e
t
u
r
n

(
%
)
Income
Capital Appreciation
Annual Return
Source: NCREIF. *Annualized as of 3Q06.
Total Returns on Retail Commercial Real Estate Investments

Note that all four core property types experienced a
decline in NCREIF total returns in 2006. The retail
sector in particular saw a sharp decline in 2006,
falling to 14.86% from 16.88% in 2005. In 2006,
office had the highest total return at 16.2% of the
four core property types, while the hotel sector
outpaced all markets with a return of 19.62%.

26
Annual Unleveraged Equity Returns on Commercial
Real Estate by Property Type
-15
-10
-5
0
5
10
15
20
25
1
9
8
6
1
9
8
8
1
9
9
0
1
9
9
2
1
9
9
4
1
9
9
6
1
9
9
8
2
0
0
0
2
0
0
2
2
0
0
4
2
0
0
6
*
R
e
t
u
r
n

(
%
)
Apartment
Office
Retail
Industrial
Source: NCREIF, Annualized Returns as of 3Q06

Continued strong demand for commercial/multifamily
assets and continued lows in Treasury rates have
served to keep capitalization rates low. NCREIF
implied cap rates in 2006 across core market types
held at 5.96%, compared to 6.42% in 2006. By
property type, multifamily and retail boast the lowest
cap rates at 5.28% and 5.96%, respectively.

Capitalization Rates on Core Properties Trend Lower
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
9.0%
9.5%
10.0%
8
5
8
7
8
9
9
1
9
3
9
5
9
7
9
9
0
1
0
3
0
5
A
v
e
r
a
g
e

A
n
n
u
a
l

C
a
p
i
t
a
l
i
z
a
t
i
o
n

R
a
t
e

(
%
)
Multi
Industrial
Office
Retail
Source. NCREIF

Some REIT sectors generated higher total returns
than others. The office segment, which saw heavy
privatization activity in 2006, delivered a 45.22% total
return. REIT performance in particular and
commercial real estate performance in general in
2007 depends on a number of key factors, including
continued sound economic growth, muted supply
growth, attractive financing, and continued demand
from real estate-hungry funds. Cap rates have likely
bottomed out for now, indicating that growth will have
to come from increased net operating income.
Office Space-Market Fundamentals Positive,
More of the Same on Tap in 2007

Is it possible that a housing correction could cause
the U.S. economy to stumble, reducing office-using
employment growth and thus demand for office
space? Certainly, a more macro economic slowdown
spurred by housing cannot be ruled out. However,
for now it appears that the effect of a housing
correction will likely be concentrated in certain
economic sectors, such as construction, retail sales,
and consumer-related businesses, and thus will have
a reduced effect than would a broader ranging
recession. The fact that office supply has been well
constrained over the past several years is also
supportive to the office property markets should
office demand soften. Torto Wheaton Research
projects that in a scenario in which the economy
softens only marginally and housing weakness
remains concentrated in the economic sectors noted
above, the national office vacancy rate would
increase to 14.5%. This is compared to a peak of
17% during the last recession.

In 2006, the office space markets registered
impressive gains. Vacancy rates declined
and rent growth proved substantial in
many markets. The key drivers behind the
improvement remain modest new supply
and continued sound demand for space,
given modest to good office employment
growth and continued sound corporate
profits.

Cap Rates Show Slight Upward Movement in
3Q06, but Remain Close to Historical Lows.
Capital continues to flow well into the U.S. office
property markets. According to Real Capital
Analytics, office transaction volume through August
2006 grew by 17%, to more than $73 billion. There
was a noticeable dip in sales activity for competing
property types this past summer, but the office sector
did not participate in the dip. The strong demand for
office assets, as demonstrated by the explosion of
office REIT LBO activity, has caused office
capitalization rates to hold at low historical levels
through 3Q06 of 6.18%.


27
The U.S. national office vacancy rate fell by 20 basis
points to 12.9% in 3Q06 from 13.1% in 2Q06 and
13.6% at year-end 2005. The quarterly mean
vacancy rate between 1998 and year-to-date 2006 is
15.4%. The office vacancy rate has declined for 13
consecutive quarters, after peaking at 17.0% in
2Q03. The gains in occupancy suggest that rent
growth should continue apace, particularly in
downtown markets, which have registered greater
declines in vacancy than suburban markets. For
downtown markets, the 3Q06 vacancy rate fell to
10.9% from 11.9% at year-end 2005. For suburban
markets, the rate fell to 14.1% from 14.6% at year-
end 2005. While the higher vacancy rates in
suburban markets suggest that there may be greater
upside in this sector, we are mildly concerned about
the potential for an uptick in suburban office
development, which could keep vacancy rates higher
and thus prevent substantial rent growth. For now,
high construction costs prevent concerns over an
abundance of new suburban office supply from
growing. On the negative side, the office market did
experience a decline in net absorption from 87.81
million square feet in 2005 to 52.74 million square
feet as of 3Q06.

However, still modest levels of new construction,
expected sound positive absorption for full-year
2006, and falling vacancy rates have gradually given
landlords more negotiating power with current and
prospective tenants. Rental concessions have
become almost non-existent in certain markets and
have moderated in most others. The result is that
rents on a national level continue to rise. In 3Q06,
class-A office gross asking rents rose 2.1% on a
quarter-over-quarter basis to $23.53 per square foot.
This represents a 6.6% increase from year-ago
levels. The high in quarterly gross asking rents for
this cycle was hit in 2Q01 at $25.75, whereas the
lows were registered in 3Q04 at $21.76. We expect
rent growth to continue apace, particularly in major
24/7 downtown markets. However, the most
significant upside may come from those markets
whose vacancy rates remain above 10%, but whose
new supply remains muted, while demographics
suggest rising office-using employment growth. For
many office investors, it is the anticipated boost in
office rents that are behind todays low office
capitalization rates, with investors focusing on office
assets with significant near-term lease rollover.

Supply Picking Up, but Still Constrained by High
Construction Costs. Perhaps the most important
factor in the office markets strong recent gains in
occupancy and rent growth is the muted new supply
to which the sector has been privy. New office
completions in 3Q06 totaled 13.3 million square feet,
the highest quarterly figure since 2Q02, but still
relatively low in historical terms. For example, in
2001, completions topped 32.1 million square feet,
and back in 1988, that number was a high 47.2
million square feet. Despite the recent modest uptick,
the potential for a meaningful increase is low given
high new construction costs. According to TWR,
National Office Status Report
2006* 2005 2004 2003 2002 2001
U.S. Office NRA (SF x 1,000)** 3,291,420 3,256,776 3,220,493 3,185,846 3,147,219 3,078,722
Value of Office Const. Put in Place
($BB - Seasonally Adjusted)
47.80 49.78 46.26 42.56 42.89 43.40
Office Completions (SF x 1,000)* 34,644 36,283 34,647 38,627 68,497 81,996
Vacancy (%) 12.92 13.60 15.38 16.76 16.45 14.15
Net Absorption Rate (SF x 1,000)* 52,737 87,809 73,600 22,163 -14,385 -97,567
Gross Asking Rent ($/PSF) 23.53 22.39 22.01 22.17 23.13 24.89
Capitalization Rate (%)** 6.18 6.60 7.56 8.12 8.55 8.50
CMBS Delinquencies (%) 0.43 0.92 1.42 1.79 0.78 0.51
NCREIF CBD Total Return (%)* 16.20 17.43 11.52 5.55 2.75 5.76
Whole Loan Spread (BPs) 119 112 123 150 188 230
National Office Construction Forecasts
2006 2007 2008 2009 2010 2011
Stock (SF X 1000) 3,313,950 3,365,444 3,401,113 3,443,889 3,495,762 3,554,385
Completions (SF x 1000) 57,174 51,495 35,670 42,778 51,870 58,633
Net Absorption Rate (SF x 1,000) 59,957 44,382 46,924 56,395 65,829 67,094
Office -Using Financial Activities (J obs x
1000)
4,811 4,834 4,899 4,960 5,010 5,070
Office -Using Services (J obs x 1000) 11,938 12,268 12,664 13,110 13,558 14,042
Source: RBS Greenwich Capital, Torto-Wheaton Research, Korpacz, U.S. Census Bureau, NCREIF, and Intex Solutions, Inc. *YTD as of 3Q06. **Annualized.


28
despite the continued lows in capitalization rates,
there are currently only a handful of markets where
replacement costs are below sale values. Perhaps
the one sobering piece of office property-market data
is the reduction in net absorption thus far in 2006.
The net office absorption rate in 3Q06 was 18.7
million square feet. The figure is still considered
sound, but is weaker than that seen in 2005. The
average quarterly absorption rate for the first three
quarters of 2006 is down to 17.6 million from 2005s
quarterly average of almost 22 million square feet.
The reduced level of absorption is likely the result of
some softening in the economy and the mild uptick in
office completions. To the good, office employment
growth remains sound and has not played a role in
the reduced absorption figures. Through October,
the professional and business services sector of the
non-farm-payroll reading accounted for 17.5 million
jobs. Over the last 20 years, this reading has ranged
between a low of 9.4 million (1986) and a high of
17.5 million (11/06).

Of the 56 major markets tracked by Torto Wheaton
Research (TWR) 34 registered declines in vacancy
rates in 3Q06. The most significant declines were
registered in smaller markets, including Wilmington,
Fort Worth, Austin, Pittsburgh, San J ose, Stamford,
and Hartford. Seventeen metros saw increases in
vacancy rates. Markets that led the increases were

Rank Metro
Rent %
Change
Rank Metro
Rent %
Change
1 New York 3.7 63 Pittsburgh 0.0
2 San Francisco 3.5 64 Kansas City -0.1
3 Austin 3.4 65 Oakland-East Bay -0.2
4 Orange County 3.1 66 Hartford -0.2
5 Boston 3.1 67 St. Louis -0.2
6 Fort Lauderdale 2.8 68 Indianapolis -0.3
7 Palm Beach 2.6 69 Birmingham -0.3
8 Suburban Virginia 2.4 70 Greensboro/Win.-Salem -0.4
9 Houston 2.3 71 Detroit -0.4
10 Phoenix 2.3 72 Minneapolis -0.5
Rank Metro
Vac.
Rate %
Rank Metro
Vac. Rate
%
1 District of Columbia 6.8 63 Memphis 17.9
2 Orange County 7.2 64 Tulsa 18.2
3 New York 7.8 65 Cleveland 18.4
4 Miami 8.2 66 Pittsburgh 18.5
5 Suburban Maryland 8.5 67 Greenville 18.7
6 San Bernardino/Riverside 8.6 68 Cincinnati 18.8
7 Orlando 9.1 69 Columbus 19.0
8 Palm Beach 9.5 70 Rochester 19.3
9 Tucson 9.8 71 Detroit 21.2
10 Norfolk/Hampton Roads 9.9 72 Dallas 21.6
Source: REIS Data is based on quarter-over-quarter analysis.
Top 10 Office Rent
Growth - 3Q06
Bottom 10 Office Rent
Growth - 3Q06
Top 10 Lowest Office
Vacancy Rate - 3Q06
Bottom 10 Highest Office
Vacancy Rate - 3Q06
San Diego, Oakland, and Detroit. Of the larger
metros, Chicago and Dallas were the only ones to
register gains in vacancies. On an absolute basis, 12
markets registered vacancy rates of 10% or less in
3Q06. Based on TWRs analysis, 31 markets
registered rent gains in 3Q06, three were
unchanged, and 22 saw declines. In general, the
markets with the most significant rent growth tended
to be linked to markets with strong tourism,
technology, or trade areas. Specifically, markets with
the greatest year-to-date rent increases included
Phoenix, West Palm Beach, and Boston.

Retail: Continued Sound Fundamentals, But
Worries about the Strength of U.S. Consumers

Notwithstanding concerns of volatile energy costs
and the effect reduced, flat, or even negative home
price appreciation will have on consumer spending
and retail sales growth, the performance of the retail
property markets in 2007 is expected to remain
sound. Employment and income growth levels
remain quite healthy and thus are likely to support
consumer spending in 2007. The December
employment report was strong across the board,
showing that payrolls increased by 167,000, the best
reading since September, and that the jobless rate
held to a low 4.5%. Wages jumped by 0.5% in
December 2006, putting the year-over-year increase
at a five-year high of 4.2%. To the good, any
softening in consumer spending that does
materialize as a result of the current housing cycle
will likely be offset by favorable demographic trends
as the crest of the baby-boomer generation will be
moving through their peak spending years over the
next five to ten years, a factor that should continue to
underpin consumer spending.

Highlighting the still strong demand for retail assets,
retail cap rates continued to decline in 3Q06, falling
to 5.96% versus 6.06% in 2Q06 and 6.47% at year-
end 2005. Like the office sector, considerable M&A
activity has been focused on retail REITs, as private
equity turns to the REIT market to access large,
high-quality, low-levered retail portfolios. In
particular, the focus has been on shopping centers,
and reflects the high level of consolidation taking
place in the retail property markets.

29
National Retail Status Report
2006* 2005 2004 2003 2002 2001
U.S. Inventory (SF x 1,000)** 1,814,631 1,781,324 1,749,762 1,749,762 1,695,212 1,667,235
U.S. Completions (SF x 1,000)** 33,307 31,562 29,302 25,248 27,042 26,444
Net Absorption (SF x 1,000)** 28,125 32,615 31,092 23,537 23,678 14,442
Vacancy Rate (%) 6.90 6.80 7.00 7.20 7.20 7.00
REIS Effective Rent ($/PSF) 17.22 16.67 16.15 15.69 15.33 15.17
Capitalization Rate (%)* 5.96 6.47 7.29 8.10 8.33 8.45
NCREIF Total Return (%)* 14.86 16.88 21.26 16.17 13.10 6.49
National Retail Status Report - Construction Forecast
2006 2007 2008 2009 2010
Vacant Stock 125,824,000 132,639,000 133,995,000 135,934,000 134,876,000
Occupied Stock 1,688,807,000 1,720,650,000 1,747,997,000 1,772,493,000 1,799,127,000
Net Absorption 28,125,000 31,843,000 27,347,000 24,496,000 26,634,000
Inventory (Sf/Units) 1,814,631,000 1,853,289,000 1,881,992,000 1,908,427,000 1,934,003,000
Completions 33,307,000 38,658,000 28,703,000 26,435,000 25,576,000
Total Employment 81,256,920 82,217,580 83,361,100 84,695,250 86,022,340
Sources. RBS Greenwich Capital, NCREIF, Korpacz, Reis, Intex Solutions, Inc. *Forcast as of 3Q06. **Annual rate.
The net effect of consolidating ownership
of retail assets should be positive, pushing
out weaker companies and replacing them
with stronger companies with greater
geographic and tenant diversification.

Given that many of these acquisitions will be
financed via the CMBS marketplace, we anticipate
that the retail component of CMBS transactions will
remain at current high levels of around 35%, despite
a decline in individual retail property sales.

Effective rents rose in 3Q06 to $17.22 per square
foot from $16.97 in 2Q06 and $16.67 at year-end
2005. While NCREIF unleveraged equity returns on
retail investments remain sound at 14.86%, retail
returns are now lower than on competing assets.
However, this comes after a long period during which
retail returns vastly outpaced those on competing
asset classes. Within the retail sector, shopping
centers boasted the highest returns at 23.11%,
followed by freestanding retail at 11.55%, and
regional malls at 11.12%. In recent years, regional
malls have been the best performer within retail.
More recently, however, this sector has suffered
some at the hands of its own success. Plunging cap
rates and thus ever higher prices have removed the
perceived upside on many of these assets.
Moreover, the public to private groundswell seen
building over the past year and a half has favored
smaller shopping centers over large regional malls.
Rank Metro
Rent %
Change
Rank Metro
Rent %
Change
1 Norfolk/Hampton Roads 2.4 61 Seattle 0.5
2 San Bernardino/Riverside 2.2 62 Birmingham 0.4
3 Las Vegas 2.1 63 Portland 0.4
4 Orange County 2.0 64 Oklahoma City 0.3
5 Palm Beach 2.0 65 Central New J ersey 0.3
6 Kansas City 1.9 66 St. Louis 0.3
7 Little Rock 1.9 67 Buffalo 0.1
8 Nashville 1.8 68 Tulsa -0.1
9 Columbia 1.8 69 Pittsburgh -0.4
10 San Diego 1.7 70 San Francisco -1.1
Rank Metro
Vac.
Rate %
Rank Metro
Vac.
Rate %
1 Orange County 2.3 61 Houston 11.2
2 Ventura County 2.4 62 Greenville 11.3
3 Suburban Virginia 2.8 63 Birmingham 11.4
4 San J ose 2.8 64 Fort Worth 11.5
5 Oakland-East Bay 2.8 65 Memphis 11.7
6 Los Angeles 2.9 66 Indianapolis 11.8
7 San Diego 3.0 67 Cincinnati 12.3
8 Seattle 3.2 68 Buffalo 13.0
9 Baltimore 3.5 69 Dayton 13.4
10 San Francisco 3.5 70 Columbus 13.8
Source: REIS Rent growth reflects quarter-over-quarter analysis.
Strongest Retail Rent
Growth MSAs - 3Q06
Weakest Retail Rent
Growth MSAs - 3Q06
Lowest Retail Vacancy
MSAs - 3Q06
Highest Retail Vacancy
MSAs - 3Q06

Across the 73 retail markets tracked by REIS, 46
metro areas recorded positive absorption, down from
54 of 70 markets in the previous quarter. Effective
rent gains were recorded in 66 of 73 markets.
However, the occupancy readings were not as
positive, with only 26 of the 73 markets registering
gains in occupancy in 3Q06. According to REIS,
3Q06 asking rent gains were strongest in the
Norfolk/Hampton Roads (Virginia) MSA with a gain

30
of 2.4% from the previous quarter. San
Bernadino/Riverside (California) followed at 2.2%
(see table for strongest and weakest markets by
asking rents). Asking rent declines were registered in
San Francisco, Pittsburgh, and Tulsa. Its interesting
to note that asking rents in New Orleans are now
1.1% higher than prior to last years hurricanes. The
retail vacancy rate in New Orleans now stands at
6.6%, 200 basis points below its pre-Katrina level. In
terms of vacancy, Orange County registered the
lowest vacancy rate at just +2.3%, whereas
Columbus registered the highest rate at 13.8%. The
rise in completions in 3Q06 was unusually
concentrated in a relatively small number of markets.
The five most active metros in terms of completions
accounted for over 2 million square feet of new
inventory.

The credit performance of CMBS loans secured by
retail properties remains the best of the core property
types. The current delinquency rate on fixed-rate
retail loans in CMBS issued between 1995 and 2005
is a low 0.33%, compared to the average
delinquency rate across property types of 0.65%.
The health of retail loans simply reflects the stable to
improving retail space market fundamentals over the
past few years, the continued growth of real retail
rents, and the strong demand for retail properties
from commercial real estate investors.

Higher Interest Rates and Uncertainty over
Housing Market Bode Well for Multifamily

In sharp contrast to our negative outlook over the
past several years, we now view the multifamily
sector as one that should continue to register
improvements, with occupancy and rental rates on
the rise in 2007, driven largely by employment and
income growth, sound demographic trends, and the
continued uncertainty as to valuations in the housing
market. Our outlook is tempered only by the potential
backlash in certain markets of overdone
condominium conversions. The rush to convert
multifamily to condominiums initially drove
multifamily occupancy rates higher in some MSAs as
rental inventories were reduced. However, that
positive is beginning to turn into a negative in some
markets as condo units that were purchased for
investment purposes by individuals are being offered
for lease, while other conversion projects are finding
no traction at all and are forcing owners to offer units
as rentals. To the good, the condo-conversion issue
is not a national one, but is generally focused in the
South.
In a positive supply trend, multifamily starts and
permits fell as of 3Q06. For example, starts and
permits in late-2006 were in 277,000 and 299,000
units, respectively, compared to 2005s 338,000 and
381,000 units. The gains in occupancy and rents
experienced in 2006 are not expected to spur new
multifamily construction activity, given both high
construction costs and the fact the land values in
many MSAs have been driven sky-high by condo
developers.
Rank Metro
Rent %
Change
Rank Metro
Rent %
Change
1 San J ose 2.6 63 Chattanooga 0.3
2 Tampa-St. Petersburg 2.5 64 Louisville 0.3
3 New York 2.4 65 Greensboro/Win.-Salem 0.3
4 Seattle 2.3 66 Buffalo 0.3
5 San Francisco 2.1 67 Long Island 0.3
6 Phoenix 2.1 68 Minneapolis 0.2
7 Los Angeles 2.0 69 Omaha 0.2
8 Orange County 1.9 70 Atlanta 0.1
9 Miami 1.9 71 Tulsa 0.0
10 Ventura County 1.8 72 Memphis -0.2
Rank Metro
Vac.
Rate %
Rank Metro
Vac.
Rate %
1 New York 2.5 63 Greensboro/Win.-Salem 8.5
2 Los Angeles 2.9 64 Fort Worth 8.5
3 Central New J ersey 3.0 65 Raleigh-Durham 8.5
4 Fort Lauderdale 3.1 66 Wichita 8.7
5 Orange County 3.2 67 Columbia 8.7
6 Fairfield County 3.2 68 Oklahoma City 8.7
7 San Diego 3.3 69 Indianapolis 9.2
8 Miami 3.3 70 Tulsa 9.3
9 Suburban Virginia 3.6 71 Greenville 9.8
10 San J ose 3.7 72 Memphis 10.3
Top-10 Multifamily MSAs
by Rent Growth - 3Q06
Bottom-10 Multifamily
MSAs by Rent Growth - 3Q06
Lowest Multifamily
Vacancy Rates - 3Q06
Highest Multifamily
Vacancy Rates - 3Q06

The more subdued multifamily supply has kept
occupancy rates at 94.4%, compared to the 2003
low of 93.1%. Occupancy leaders tending to be
those markets in which housing costs were well high
of the national average. Markets with the highest
occupancy rates as of 3Q06 were New York, Los
Angeles, Central New J ersey, Fort Lauderdale,
Orange County, Fairfield County, San Diego, Miami,
Suburban Virginia, and San J ose. The one real
surprise in 3Q06 was Salt Lake City, which topped
all MSAs with an occupancy rate of 98.6%.
According to M/PF Research, the high occupancy
rate in Salt Lake City occurred when condo
conversions in 2005 dissipated what has been a
chronic overhang of apartment product built up as
the city prepared to host the 2002 Winter Olympics,
followed by recent jobs growth that produced
demand to help fill the apartments that remained in
stock. Based on the above, its clearly the coasts
have seen the best performance thus far.


31
National Multifamily Status Report
3Q06 2005 2004 2003 2002 2001
Inventory (SF/Units) 9,171,563 9,141,669 9,208,936 9,182,056 9,082,643 8,956,357
U.S. Multifamily Starts (000)* 277 338 281 381 314 266
U.S. Building Permits (000)* 299 381 379 362 409 356
Completions 87,422 85,983 97,710 119,036 128,422 142,979
Net Absorption 42,501 26,207 41,155 37,723 -18,345 -1,444
Conversions -56,602 -148,692 -68,825 -17,893 -1,866 -358
Occupancy Rate (%) 94.40 94.30 93.30 93.10 93.70 95.30
Effective Rent ($) 933 895 869 851 847 855
Capitalization Rate (%) 5.28 6.13 5.91 6.20 6.84 7.74
NCREIF Total Return (%)* 13.72 18.55 12.61 8.62 8.48 8.97
Home Ownership Rate (%) 69.00 68.90 69.00 68.30 67.90 67.80
National Multifamily Status Report - Construction Forecast
2006 2007 2008 2009 2010
Inventory (Sf/Units) 9,171,563 9,261,781 9,351,875 9,444,724 9,541,490
Completions 87,422 90,218 90,094 92,849 96,766
Vacant Stock 509,794 516,498 518,507 519,541 511,181
Occupied Stock 8,661,769 8,745,283 8,833,368 8,925,183 9,030,309
Net Absorption 42,501 83,514 88,085 91,815 105,126
Total Employment 81,256,920 82,217,580 83,361,100 84,695,250 86,022,340
Sources. RBS Greenwich Capital, U.S. Census Bureau, MPF, NCREIF, Korpacz, Intex Solutions, Inc. *Forcast as of 3Q06. **Annual rate.
Sources. RBS Greenwich Capital and Reis.
Chicagos occupancy rate of 97.1% tied Oakland in
3Q06 and marks the first time since late 2000 that a
large Midwest city broke through the top-tier
occupancy performers. MSAs that dropped from this
top-tier occupancy performers in 3Q06 were
generally tied to the condo-conversion issue and
included Norfolk, Las Vegas, and Orlando, and Fort
Lauderdale. West Palm Beach is another Florida
market that has lost occupancy to individually-owned
condos now being offered for lease. Occupancy
declines were noted in MSAs tied to Hurricane
Katrina, and the loss of evacuees who left the area
once housing assistance ended. Memphis and
Birmingham occupancy rates fell once housing
assistance ceased between the fall of 2005 and fall
of 2006. The Houston MSA is likely to suffer a similar
fate given that housing assistance for evacuees is
scheduled to cease between 4Q06 and 1Q07.

Effective rents experienced a nice surge during the
year ending September 2006, rising by 4.3% to $933
from $895 in 2005 and a cycle low of $847 in 2002.
Not surprisingly, rents in the West saw the highest
growth rate at 6%, but even the South managed to
gain 4% as upturns in previously weaker markets,
such as Raleigh, Atlanta, Charlotte, Dallas, Fort
Worth, and Louisville countered declines across
Florida. On an absolute basis, the most expensive
rental markets are generally concentrated in
California, with San Francisco leading the 57 major
metros surveyed by M/PF, with overall monthly rents
averaging $1,779 as of September 2006. Other
metros with overall high rents included Los Angeles,
Orange County, San J ose, and Boston. Reflecting
the overall strength in the multifamily market, there
were only three MSAs that saw rent declines; these
were Dayton, Pittsburgh, and Detroit.

Solid Improvement in Industrial Property Markets

The industrial property markets registered gains
through 3Q06, with the availability rate falling by
almost 30 basis points to 9.53% and the net
absorption rate at a positive 138 million square feet.
That said, absorption, while still positive, is down
from 2005s levels, but we will await the full-year
data until we draw any conclusions. As in other
sectors, it appears that through the Fall 2006
industrial sales transactions had slowed as Real
Capital Analytics reports that sales of industrial
properties fell to $1.7 billion in October, which is the
lowest monthly total in two years. Again, it remains to
be seen as to how the full-year 2006 will look. For
now, overall demand appears strong for industrial
properties, as evidenced by the fact that national

32
National Industrial Status Report
2006* 2005 2004 2003 2002 2001
U.S. Industrial Stock (SF x 1,000)** 11,977,221 11,862,997 11,712,308 11,578,849 11,474,569 11,326,202
U.S. Completions (SF x 1,000)** 114,224 150,689 133,459 104,280 148,367 241,942
Availability Rate (%) 9.53 9.82 11.15 11.80 11.39 10.15
Net Absorption Rate (SF x 1000)** 137,606 295,224 194,966 46,518 -7,377 -147,824
TW Warehouse Rent Index ($ PSF) 5.69 5.58 5.42 5.41 5.57 5.77
NCREIF Total Return (%)** 15.86 18.97 11.56 7.98 6.53 8.80
National Industrial Status Report - Construction Forecast
2006 2007 2008 2009 2010 2011
Stock (SF X 1000) 12,042,789 12,224,189 12,383,523 12,539,926 12,699,855 12,866,178
Completions (SF x 1000) 179,792 181,405 159,333 156,406 159,929 166,332
Net Absorption Rate (SF x 1,000) 170,186 140,966 163,045 185,213 181,348 170,785
Manufacturing Employment (J obs x 1000) 5,952 5,993 6,061 6,101 6,112 6,131
Distribution Employment (J obs x 1000) 4,260 4,339 4,426 4,513 4,589 4,661
Source: RBS Greenwich Capital, Torto-Wheaton Research, NCREIF, Korpacz, and Intex Solutions, Inc. *YTD as of 3Q06. **Annual rate.
average industrial cap rates fell to 6.41% as of 3Q06
compared to 6.99% at year-end 2005.

Rents grew by a modest 1.6% in 3Q06. Nonetheless,
the declines in availability rates have been
impressive over the past two years, given the high in
2004 of 11.2%. Availability rates across all industrial
sub-categories have improved as well. The R&D
sector has shown the greatest improvement, with its
availability rate declining 90 basis points to 13.6%.
The warehouse availability rate fell below 10% as of
3Q06 to 9.8%, and the manufacturing sector boasts
the lowest availability rate at 7.3%, down from 7.6%
in 1Q06.

The general drivers of growth in the
industrial sector remain the still sound U.S.
economy, strong corporate profits and thus
robust business-to-business activity, good
levels of global trade flows, and the
revitalization of certain technology sectors.

Increased trade activity is driving net absorption.
According to TWR, this is particularly true in the
largest 15 distribution markets, that comprise about
45% of all industrial space, or 5.3 billion square feet.
By size, the Chicago and Los Angeles markets
remain the largest, with Los Angeles posting a low
availability rate of just 4.6% and Chicagos
availability rate falling by 100 basis points to 11.8%
since 3Q05. As the exhibit highlights, Southern
Rank Metro
Rent %
Change
Rank Metro
Rent %
Change
1 San Bernardino/Riverside 5.9 35 Charlotte 0.8
2 Palm Beach 5.7 36 Seattle 0.6
3 San Diego 5.7 37 Denver 0.6
4 Orange County 5.7 38 Portland 0.5
5 Miami 5.3 39 San Antonio 0.5
6 Los Angeles 5.0 40 Memphis 0.4
7 Philadelphia 4.7 41 Columbus 0.3
8 Phoenix 4.6 42 Raleigh-Durham 0.2
9 Fort Lauderdale 4.5 43 Boston -0.2
10 San J ose 3.7 44 Detroit -1.4
Rank Metro
Vac.
Rate %
Rank Metro
Vac.
Rate %
1 Los Angeles 3.9 35 Fort Worth 13.1
2 San Bernardino/Riverside 4.9 36 Dallas 13.1
3 Orange County 4.9 37 Baltimore 13.2
4 Palm Beach 5.7 38 Austin 13.8
5 Miami 5.9 39 Atlanta 15.1
6 Seattle 6.2 40 San J ose 15.7
7 San Diego 6.8 41 Richmond 15.7
8 Tampa-St. Petersburg 6.9 42 Memphis 16.9
9 Fort Lauderdale 7.4 43 Raleigh-Durham 19.2
10 St. Louis 7.9 44 Boston 19.9
Top 10 Industrial
Rent Growth - 3Q06
Bottom 10 Industrial
Rent Growth - 3Q06
Top 10 Lowest Industrial
Vacancy Rate - 3Q06
Bottom 10 Highest Industrial
Vacancy Rate - 3Q06

California, particularly Riverside, continues to excel
on the back of strong trade flows in both the ports of
L.A. and Long Beach in 2006 compared to 2005.
Technology oriented industrial markets, such as
Raleigh, San J ose, and Austin, all showed
improvements on a year-over-year basis, with their
availability rates falling by 970, 310, and 440 basis
points, respectively. Rent growth is projected to be
highest in these technology oriented sectors in 2007,

33
National Hotel Status Report
2006* 2005 2004 2003 2002 2001
Number of Available Rooms Change (% 0.40 0.40 1.00 1.70 1.70 2.30
Number of Rooms Sold Change (%) 1.50 3.30 4.60 2.00 0.70 -3.50
Average Daily Rate ($) (YTD 10/06) 97.26 90.84 86.41 83.28 83.35 77.14
RevPAR ($) (YTD 10/06) 63.42 57.34 52.93 49.34 49.24 34.75
Occupancy (%) (YTD 10/06) 65.20 63.10 61.30 59.2 59.1 45.0
NCREIF Total Return (%)** 19.62 17.85 9.80 5.95 7.38 -3.51
Whole Loan Spread (BPs) (12/06) 193 194 236 252 261 286
Sources. RBS Greenwich Capital, STR, NCREIF, Korpacz, Intex Solutions, Inc. *Forecast as of 3Q06. **Annualized
given growth projections for many business-to-
business services. Torto Wheaton Research projects
that San Francisco, San J ose, and Raleigh will lead
in terms of rent performance in 2007.

While demand in key industrial markets remains
strong, there are concerns over supply in some of
these markets. Six markets saw supply outpace net
absorption in 2006, including Riverside, Atlanta,
Indianapolis, Columbus, St. Louis, and Cincinnati.
Each of these MSAs should be watched closely in
2007 to gauge if demand catches up.

Hotels Shine in 2006, Beware of Aggressive Loan
Underwriting

Hotel performance was sterling in 2006, with all
segments of the hotel sector enjoying sharp
increases in ADRs and rising revPAR (albeit at the
expense in some cases of dips in occupancies). An
attractive supply/demand ratio, and much improved
operating fundamentals have spurred significant
investor focus on the hotel sector, driving cap rates
down to an average of 8.17% in 3Q06 from 8.4% in
2005. Real Capital Analytics reported that mid-year
2006 hotel transaction volume was running some
60% higher than in 2005. Smith Travel Research
(STR) noted that overall room supply has been
growing at less than 1% of existing inventory for
about three year; although it does note that supply in
the limited service sector has begun to pickup.

According to Smith Travel Research, the luxury hotel
segment experienced the strongest performance in
2006. Year-over-year increases for the trailing 12
months as of November 2006 in occupancy, ADR,
and revPAR were 2.6%, 9.1%, and 11.9%,
respectively. Geographically, the Middle Atlantic
region saw the strongest performance for the same
period. Increases in occupancy, ADR, and revPAR
were 1.1%, 8.8%, and 10.0%, respectively.

Meanwhile, the economy hotel segment experienced
the weakest performance in 2006. Year-over-year
changes for the trailing 12 months as of November
2006 in occupancy, ADR, and revPAR were -4.8%,
4.4%, and -0.6%, respectively. Geographically, the
West South Central region saw the weakest
performance for the same period. Changes in
occupancy, ADR, and revPAR were -7.1%, 3.9%,
and -3.5%, respectively.

Going forward, prospects for continued growth in the
hotel sector remain highly dependent on U.S.
economic growth, business travel, and the lack of
events that could cause the sectors performance to
tumble, such as another U.S. based terrorist attack.
One cause for concern associated particularly with
the hotel sector is that, in some respects, the sector
has become the poster child for aggressive
underwriting. The reality is that hotels are operating
businesses whose rents are marked to market daily.
Thus revenue streams can be very volatile. So while
the good news remains that the hotel property
markets are quite sound, there is always the risk of a
downturn in the U.S. economy and thus concerns
over the long-term performance of hotel loans given
todays high leverage levels and the massive
revenue growth that many underwriters are current
assuming.
Fitch Mdy's S&P Fitch Mdy's S&P
10YR
AAA SS BBB-
2006 Average -- 2,610 11.83 8.27 6.90 43.73 45.20 29.15 41.45 9.48 68.03 95.7 100.5 100.4 1.47 1.20 1.38 1.40 25 116 12.02
J PMCC 2006-LDP9 12/15/06 4,875 16.4 11.5 4.7 58.1 20.5 63.4 40.6 7.7 68.4 97.3 99.8 104.1 1.49 1.17 1.51 1.43 24.5 90 11.25
MSCI 2006-IQ12 12/14/06 2,730 12.5 0.0 9.8 31.1 31.8 37.9 38.8 9.2 60.5 95.8 -- 97.3 1.48 1.17 -- 1.49 23.5 100 11.13
WBCMT 2006-C29 12/13/06 3,371 24.0 3.9 12.4 56.1 23.4 73.1 46.1 9.5 68.5 -- 99.0 104.3 1.57 -- 1.52 1.44 24 87 11.00
COMM 2006-C8 12/13/06 3,822 4.1 14.6 4.3 28.1 44.4 47.7 35.9 9.0 71.1 103.2 104.5 -- 1.40 1.10 1.36 -- 25 93 12.00
CSMC 2006-C5 12/13/06 3,433 8.5 4.1 1.1 50.0 53.0 29.0 37.6 5.6 67.3 -- 101.2 100.6 1.36 -- 1.33 1.25 24 90 11.63
COBALT 2006-C1 12/6/06 2,545 12.2 17.1 7.9 39.0 38.7 39.7 35.0 7.9 70.6 102.3 -- 106.5 1.41 1.09 -- 1.28 25.5 100 11.75
BSCMS 2006-PWR14 12/6/06 2,468 10.4 0.0 4.5 35.5 41.9 24.5 28.2 4.1 67.5 97.8 -- 99.9 1.42 1.15 -- 1.34 24 95 11.00
MLCFC 2006-4 12/1/06 4,618 1.1 8.4 2.3 37.1 33.1 45.8 34.2 8.4 70.1 -- 106.5 106.3 1.34 -- 1.31 1.28 25 95 11.63
LBUBS 2006-C7 11/21/06 3,044 36.8 17.2 5.3 60.1 32.4 55.5 53.7 15.6 63.6 90.9 -- 96.8 1.57 1.20 -- 1.40 25 100 10.25
BACM 2006-6 11/20/06 2,462 0.0 6.1 0.0 46.8 21.5 63.0 61.7 12.4 72.1 -- 108.1 107.3 1.35 -- 1.33 1.30 25 85 12.13
J PMCC 2006-CIBC17 11/16/06 2,537 8.7 10.4 1.8 54.3 37.2 38.8 46.2 10.4 71.4 99.1 105.9 -- 1.38 1.10 1.32 -- 25.5 95 12.00
CGCMT 2006-5 11/8/06 2,126 9.2 4.5 10.4 42.7 39.0 35.2 35.0 5.8 69.7 97.6 100.9 -- 1.37 1.11 1.33 -- 24 95 11.88
MSC 2006-HQ10 11/1/06 1,491 18.3 6.8 11.6 42.6 38.7 36.0 46.0 8.1 67.0 94.6 97.8 -- 1.55 1.13 1.46 -- 22 95 12.00
CD 2006-CD3 10/23/06 3,583 14.3 19.6 15.0 28.0 50.4 28.4 42.4 8.4 70.1 -- 100.4 102.8 1.40 -- 1.33 1.27 22 100 11.75
WBCMT 2006-C28 10/19/06 3,595 5.3 22.3 9.7 47.3 85.1 49.6 42.1 6.4 70.6 101.6 104.9 107.5 1.39 1.12 1.32 1.24 23 95 12.25
BSCMS 2006-TOP24 10/18/06 1,535 8.5 9.9 0.0 30.0 73.9 45.3 46.4 12.2 61.9 90.8 99.8 -- 1.54 1.24 1.50 -- 21 90 10.38
GSMS 2006-GG8 10/18/06 4,333 8.8 2.7 13.3 73.7 45.4 44.3 37.2 4.9 71.8 101.3 103.3 -- 1.33 1.33 1.28 -- 22 95 12.88
BACM 2006-5 9/28/06 2,246 12.8 3.1 9.0 21.0 57.9 22.7 38.7 6.8 70.9 -- 101.0 101.5 1.34 -- 1.30 1.30 24 100 12.00
J PMCC 2006-LDP8 9/22/06 3,067 5.7 33.9 11.9 44.6 62.0 24.8 61.0 12.6 67.3 -- 97.3 101.9 1.40 -- 1.35 1.36 N/A 105 11.50
LBUBS 2006-C6 9/22/06 3,047 36.6 13.5 0.0 76.9 55.0 29.4 53.9 13.1 61.1 -- 97.4 98.8 1.45 -- 1.40 1.34 23 105 12.50
CSMC 2006-C4 9/21/06 4,273 7.0 8.4 1.1 50.6 49.2 32.6 46.1 18.9 66.9 99.1 101.9 100.3 1.43 1.11 1.30 1.27 25 N/A 12.00
MLCFC 2006-3 9/21/06 2,425 6.4 0.0 7.2 34.8 61.2 11.6 35.7 10.2 67.8 96.7 101.4 -- 1.36 1.11 1.30 -- 25 105 12.13
J PMCC 2006-CIBC16 9/14/06 2,147 0.0 21.1 1.3 37.8 43.5 33.9 50.6 11.6 72.2 -- 101.1 101.6 1.34 -- 1.27 1.23 24 105 12.13
BSCMS 2006-PWR13 9/13/06 2,907 3.6 2.6 3.9 20.2 40.5 16.7 24.5 5.0 69.1 98.2 -- 101.0 1.35 1.12 -- 1.28 23 N/A 12.00
BACM 2006-4 8/18/06 2,813 5.0 8.3 0.0 38.9 62.8 25.7 34.4 6.8 70.0 -- 103.8 107.9 1.33 -- 1.28 1.23 25 110 13.00
WBCMT 2006-C27 8/10/06 3,080 0.0 14.8 4.9 49.9 46.0 39.5 39.6 6.1 71.9 -- 105.7 108.5 1.33 -- 1.26 1.23 26 110 12.75
MSC 2006-HQ9 8/8/06 2,565 22.3 3.8 0.0 70.7 43.0 18.6 48.3 9.7 64.3 94.8 -- 99.2 1.48 1.14 -- 1.40 24 105 12.13
MLMT 2006-C2 8/8/06 1,543 7.2 17.2 11.0 45.8 57.3 16.5 44.4 11.0 68.1 -- 101.3 100.5 1.42 -- 1.3 1.28 24 110 12.88
BACM 2006-3 7/20/06 1,979 9.5 0.0 0.0 59.8 34.5 32.3 49.1 5.8 70.4 97.1 -- 99.4 1.37 1.12 -- 1.29 24 110 12.25
MSC 2006-TOP23 7/19/06 1,614 25.0 9.3 0.0 36.9 31.0 31.0 44.0 9.3 59.8 85.5 -- 88.9 1.73 1.30 -- 1.68 23 105 10.00
GCCFC 2006-GG7 6/26/06 3,612 5.5 14.8 8.1 47.9 43.8 38.8 44.1 6.9 71.7 -- 103.8 106.4 1.36 -- 1.3 1.24 24 115 12.75
J PMCC 2006-LDP7 6/23/06 3,940 0.0 5.2 0.0 47.3 44.2 31.9 36.1 6.1 71.5 98.8 101.5 -- 1.39 1.13 1.34 -- 26 115 12.13
CSMC 2006-C3 6/22/06 1,999 0.6 0.0 0.9 36.4 55.0 28.0 52.4 17.7 69.3 -- 103.9 103.4 1.35 -- 1.32 1.24 25 115 12.88
LBUBS 2006-C4 6/20/06 1,982 30.9 10.1 2.9 34.0 46.4 41.4 53.3 13.2 65.8 -- 95.5 98.0 1.44 -- 1.05 1.4 25 110 12.50
CGCMT 2006-C4 6/20/06 2,264 3.2 8.8 0.3 18.5 57.5 10.5 34.1 8.8 71.7 101.3 103.2 -- 1.34 1.09 0.97 -- 26 115 12.75
WBCMT 2006-C26 6/20/06 1,755 10.0 8.5 24.8 61.8 51.5 26.3 41.7 10.0 70.1 -- 99.8 101.1 1.39 -- 1.00 1.29 26 110 12.13
MLCFC 2006-2 6/19/06 1,841 9.8 0.0 1.3 49.8 49.5 14.0 32.1 9.8 68.5 -- 98.5 98.4 1.41 -- 1.03 1.4 27 120 12.50
BACM 2006-2 6/13/06 2,669 7.0 4.9 0.0 57.6 42.1 19.2 42.7 7.7 69.9 98.1 -- 100.8 1.40 1.13 -- 1.32 27 115 12.00
J PMCC 06-CIBC15 6/9/06 2,118 1.2 0.0 4.7 18.2 41.9 22.0 43.2 13.8 73.3 100.0 103.4 -- 1.32 1.28 1.28 -- 27 120 12.25
BSCMS 2006-PWR12 6/8/06 2,079 7.5 0.0 8.8 39.9 59.8 8.4 32.1 7.5 68.7 -- 98.6 98.5 1.38 -- 1.36 1.34 27 105 12.25
COMM 2006-C7 5/26/06 2,447 7.9 5.4 2.4 11.6 64.1 5.1 36.4 5.4 70.5 98.8 -- 102.2 1.37 1.12 -- 1.30 25 115 12.25
Appendix A: 2006 Domestic Fixed-Rate Conduit/Fusion CMBS Issuance
Top 10
Loans
(%)
Largest
Loan (%)
UW LTV
(%)
Rating Agency LTV
UW
DSCR
Rating Agency DSCR Spreads
Credit
Support
AAA J r.
Interest
Only-
Term
(%)
Interest
Only-
Initial
(%)
Subord-
inate
Debt (%)
B-Note
(%)
Pari-
Passu
(%)
Inv. Grade
Loans (%)
Size
($MM)
Pricing
Date Deal Name
34
Fitch Mdy's S&P Fitch Mdy's S&P
10YR
AAA SS BBB-
2006 Average -- 2,610 11.83 8.27 6.90 43.73 45.20 29.15 41.45 9.48 68.03 95.7 100.5 100.4 1.47 1.20 1.38 1.40 25 116 12.02
Appendix A: 2006 Domestic Fixed-Rate Conduit/Fusion CMBS Issuance
Top 10
Loans
(%)
Largest
Loan (%)
UW LTV
(%)
Rating Agency LTV
UW
DSCR
Rating Agency DSCR Spreads
Credit
Support
AAA J r.
Interest
Only-
Term
(%)
Interest
Only-
Initial
(%)
Subord-
inate
Debt (%)
B-Note
(%)
Pari-
Passu
(%)
Inv. Grade
Loans (%)
Size
($MM)
Pricing
Date Deal Name
MSC 2006-IQ11 5/24/06 1,616 13.3 9.9 0.4 49.1 15.5 4.9 35.2 9.9 61.6 89.3 -- 91.4 2.05 1.70 -- 2.07 22 110 10.88
WBCMT 2006-C25 5/18/06 2,862 6.0 11.0 17.1 61.6 65.7 18.2 41.2 11.0 69.4 97.1 99.5 -- 1.50 1.15 1.41 -- 22 N/A 12.38
MLMT 2006-C1 5/17/06 2,496 14.4 0.0 14.2 47.6 41.2 13.2 35.3 6.5 67.0 91.6 -- 96.3 1.50 1.21 -- 1.58 22 115 11.25
CSMC 2006-C2 5/17/06 1,439 1.7 0.0 5.8 23.6 59.6 5.1 33.3 10.9 73.0 -- 103.5 101.6 1.33 -- 1.27 1.26 22 N/A 13.00
BSCMS 2006-TOP22 4/6/06 1,704 25.9 9.9 14.0 37.3 25.9 27.4 29.2 7.0 57.8 82.1 83.2 -- 2.00 1.36 1.27 -- 22 N/A 9.63
LBUBS 2006-C3 4/3/06 1,768 9.4 8.5 9.0 45.6 31.3 39.6 44.5 8.3 70.4 -- 106.0 107.3 1.32 -- 1.32 1.21 25 125 11.63
J PMCC 2006-LDP6 3/24/06 2,099 14.4 3.1 4.1 30.1 51.6 24.6 44.4 11.4 67.2 -- 97.8 98.4 1.55 -- 1.48 1.45 26 135 12.38
WBCMT 2006-C24 3/23/06 2,002 17.6 0.0 11.8 78.6 58.5 25.6 55.5 16.7 67.9 -- 96.3 101.2 1.59 -- 1.56 1.47 26 135 12.75
MLCFC 2006-1 3/22/06 2,142 13.5 0.0 13.2 33.6 50.8 18.8 45.7 9.9 65.3 90.2 -- 95.6 1.60 1.24 -- 1.82 26 145 11.50
MSC 2006-HQ8 3/17/06 2,731 0.4 9.0 12.8 38.1 43.7 15.0 30.7 9.8 71.9 -- 105.2 106.7 1.33 -- 1.28 1.26 26 140 12.75
GECMC 2006-C1 3/15/06 1,644 25.6 11.8 27.3 30.5 46.4 24.4 43.1 11.6 63.0 89.9 -- 89.4 1.80 1.25 -- 1.73 25 145 10.88
BSCMS 2006-PWR11 3/8/06 1,864 7.0 5.3 0.7 8.0 28.7 28.2 42.5 10.5 69.0 92.3 -- 98.3 1.25 1.25 -- 1.80 24 150 12.13
GSMS 2006-GG6 3/7/06 3,901 6.1 5.6 9.3 37.8 59.6 25.3 36.1 5.5 63.0 98.1 -- 106.5 1.91 1.43 -- 1.30 25 165 12.50
CSMC 2006-1 3/7/06 3,000 22.5 -- 7.3 45.4 53.9 5.9 33.6 9.3 72.7 94.4 -- 91.7 1.43 1.16 -- 1.83 25 N/A 13.00
J PMCC 2006-CIBC14 3/2/06 2,788 19.3 14.6 12.4 54.0 34.0 34.1 42.2 10.4 67.8 -- 94.1 94.8 1.55 -- 1.04 1.45 26 155 12.50
BACM 2006-1 2/28/06 2,045 10.0 16.4 -- 53.6 58.5 3.8 34.6 7.3 67.7 -- 98.3 99.1 1.48 -- 1.10 1.40 28 160 12.13
CD 2006-CD2 2/27/06 3,059 13.8 -- 9.9 53.1 15.7 29.4 30.7 9.8 69.2 -- 100.7 100.0 1.50 -- 1.41 1.34 28 160 11.00
WBCMT 2006-C23 2/24/06 4,230 1.2 11.3 6.0 47.2 55.6 50.9 33.7 7.5 71.6 -- 103.0 105.8 1.38 -- 1.32 1.26 30 175 11.38
GMACC 2006-C1 1/25/06 1,719 12.4 17.4 8.6 35.9 50.0 26.4 43.3 6.2 70.8 96.8 -- 101.6 1.47 1.14 -- 1.39 29 160 13.25
MSC 2006-T21 1/20/06 1,376 45.2 20.1 18.7 65.8 28.2 36.6 52.2 17.1 56.8 -- 83.1 83.8 2.01 -- 1.93 1.92 26 N/A 10.25
LBUBS 2006-C1 1/20/06 2,456 33.5 5.9 -- 40.1 30.1 41.6 57.1 12.0 61.8 90.1 -- 97.9 1.61 1.27 -- 1.48 28 190 11.00
Source. Fitch, S&P, Moody's, Commercial Mortgage Alert, and Commercial Real Estate Direct
35
Appendix B - December 2006 CMBS Rating Activity
Deal Series Action Class Current Balance
Rating
From
Rating To Action Date
Fixed or
Floater
Deal Type
Fitch
GMACC 1998-C2 UP H 18,978,000 BB+ BBB- 12/05/06 Fixed Conduit
GMACC 1998-C2 UP J 18,977,000 BB- BB+ 12/05/06 Fixed Conduit
GMACC 1998-C2 UP K 18,978,000 B+ BB- 12/05/06 Fixed Conduit
MSC 1999-CAM1 UP G 14,113,000 AA AA+ 12/05/06 Fixed Seasoned Collateral
MSC 1999-CAM1 UP H 14,112,000 A A+ 12/05/06 Fixed Seasoned Collateral
MSC 1999-CAM1 UP J 6,049,000 BBB- BBB+ 12/05/06 Fixed Seasoned Collateral
MSC 1999-CAM1 UP K 8,064,000 BB BBB- 12/05/06 Fixed Seasoned Collateral
PNCMA 2000-C1 UP E 26,036,000 AA+ AAA 12/05/06 Fixed Conduit
PNCMA 2000-C1 UP F 12,016,000 AA- AA 12/05/06 Fixed Conduit
PNCMA 2000-C1 UP G 12,017,000 A- A 12/05/06 Fixed Conduit
PNCMA 2000-C1 UP H 18,024,000 BBB- BBB 12/05/06 Fixed Conduit
PNCMA 2000-C1 UP J 8,011,000 BB+ BBB- 12/05/06 Fixed Conduit
PNCMA 2000-C1 UP K 7,010,000 BB- BB 12/05/06 Fixed Conduit
COMM 2000-C1 DOWN M 6,734,000 CCC C 12/05/06 Fixed Conduit
COMM 2000-C1 DOWN L 7,856,000 B- CCC 12/05/06 Fixed Conduit
COMM 2000-C1 UP D 13,469,000 AA+ AAA 12/05/06 Fixed Conduit
COMM 2000-C1 UP E 25,815,000 A AA+ 12/05/06 Fixed Conduit
COMM 2000-C1 UP F 11,224,000 BBB+ AA- 12/05/06 Fixed Conduit
COMM 2000-C1 UP G 26,938,000 BB+ BBB 12/05/06 Fixed Conduit
COMM 2000-C1 UP H 6,734,000 BB BB+ 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP E 27,109,000 AA- AA+ 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP F 10,844,000 A AA- 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP G 17,349,000 BBB BBB+ 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP H 6,506,000 BB+ BBB 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP J 6,506,000 BB BBB- 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP K 7,591,000 BB- BB 12/05/06 Fixed Conduit
J PMCC 2001-CB3 UP L 4,337,000 B B+ 12/05/06 Fixed Conduit
COMM 2005-FL11 UP B 36,235,248 AA+ AAA 12/05/06 Floating Large Loan
COMM 2005-FL11 UP C 41,177,742 AA AAA 12/05/06 Floating Large Loan
COMM 2005-FL11 UP D 27,999,857 AA- AAA 12/05/06 Floating Large Loan
COMM 2005-FL11 UP E 36,236,035 A+ AA+ 12/05/06 Floating Large Loan
COMM 2005-FL11 UP F 32,941,564 A AA 12/05/06 Floating Large Loan
COMM 2005-FL11 UP G 27,999,857 A- A+ 12/05/06 Floating Large Loan
COMM 2005-FL11 UP H 24,706,173 BBB+ A 12/05/06 Floating Large Loan
COMM 2005-FL11 UP J 28,000,644 BBB BBB+ 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP B 43,025,500 AA+ AAA 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP C 51,187,425 AA AA+ 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP D 30,309,875 AA- AA 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP E 30,309,875 A+ AA- 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP F 30,309,875 A A+ 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP G 30,309,875 A- A 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP H 25,314,640 BBB+ A- 12/05/06 Floating Large Loan
BALL 2005-MIB1 UP J 28,760,678 BBB BBB+ 12/05/06 Floating Large Loan
PMCC2 2000-C1 UP D 27,120,000 AA+ AAA 12/08/06 Fixed Single Asset/Borrrower
PMCC2 2000-C1 UP E 27,120,000 A+ AAA 12/08/06 Fixed Single Asset/Borrrower
PMCC2 2000-C1 UP F 8,495,659 A AAA 12/08/06 Fixed Single Asset/Borrrower
CSFB 1997-C2 UP F 73,299,000 A AA- 12/12/06 Fixed Conduit
CSFB 1997-C2 UP G 14,660,000 BBB+ A- 12/12/06 Fixed Conduit
CSFB 1997-C2 UP H 29,320,000 B B+ 12/12/06 Fixed Conduit
ASC 1997-MD7 UP A3 39,965,452 BBB- A+ 12/12/06 Fixed Large Loan
HFCMC 1999-PH1 UP G 17,670,000 AA AA+ 12/12/06 Fixed Conduit
HFCMC 1999-PH1 UP H 35,341,000 BBB+ A- 12/12/06 Fixed Conduit
GMACC 2000-C1 DOWN L 7,782,423 B- CCC 12/12/06 Fixed Conduit
GMACC 2000-C1 UP F 15,398,000 AA AAA 12/12/06 Fixed Conduit
GSMS 2001-LIBA UP B 50,751,000 AA AAA 12/12/06 Fixed Single Asset/Borrrower
GSMS 2001-LIBA UP C 43,649,000 A AA+ 12/12/06 Fixed Single Asset/Borrrower
GSMS 2001-LIBA UP D 11,577,000 A- AA 12/12/06 Fixed Single Asset/Borrrower
GSMS 2001-LIBA UP E 16,238,000 BBB+ AA- 12/12/06 Fixed Single Asset/Borrrower
GSMS 2001-LIBA UP F 17,367,000 BBB A+ 12/12/06 Fixed Single Asset/Borrrower
GSMS 2001-LIBA UP G 41,169,000 BBB- BBB 12/12/06 Fixed Single Asset/Borrrower
MSDWC 2001-TOP1 UP J 5,783,000 CCC B- 12/12/06 Fixed Conduit
MSDWC 2001-TOP1 UP K 5,782,000 C CCC 12/12/06 Fixed Conduit
MSDWC 2001-TOP1 UP C 31,801,000 AA- AA 12/12/06 Fixed Conduit
MSDWC 2001-TOP1 UP D 11,565,000 A AA- 12/12/06 Fixed Conduit
MSDWC 2001-TOP1 UP E 27,465,000 BBB BBB+ 12/12/06 Fixed Conduit
MSDWC 2001-TOP1 UP F 10,118,000 BBB- BBB 12/12/06 Fixed Conduit
36
Rating
From
Fixed or
Floater
Deal Type
BSCMS 2002-PWB1 UP B 26,483,000 AA+ AAA 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP C 31,089,000 A+ AAA 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP D 8,060,000 A AAA 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP E 9,211,000 A- AA+ 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP F 13,817,000 BBB+ AA- 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP G 13,817,000 BBB A 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP H 16,120,000 BBB- BBB+ 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP J 10,363,000 BB BBB- 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP K 3,454,000 BB- BB+ 12/12/06 Fixed Conduit
BSCMS 2002-PWB1 UP L 5,757,000 B+ BB- 12/12/06 Fixed Conduit
BSCMS 2002-TOP8 UP B 25,267,000 AA AAA 12/12/06 Fixed Conduit
BSCMS 2002-TOP8 UP C 28,426,000 A A+ 12/12/06 Fixed Conduit
BSCMS 2002-TOP8 UP D 9,475,000 A- A 12/12/06 Fixed Conduit
GMACC 2004-C1 UP D 15,330,000 AA AA+ 12/12/06 Fixed Conduit
GMACC 2004-C1 UP E 8,116,000 AA- AA 12/12/06 Fixed Conduit
GMACC 2004-C1 UP F 12,624,000 A A+ 12/12/06 Fixed Conduit
GMACC 2004-C1 UP G 8,116,000 BBB+ A- 12/12/06 Fixed Conduit
GMACC 2004-C3 DOWN K 6,255,000 BB B 12/12/06 Fixed Conduit
GMACC 2004-C3 DOWN L 4,692,000 BB- B- 12/12/06 Fixed Conduit
CSFB 2005-TF3A UP B 21,000,000 AA+ AAA 12/12/06 Floating Large Loan
CSFB 2005-TF3A UP C 20,000,000 AA AAA 12/12/06 Floating Large Loan
CSFB 2005-TF3A UP D 13,000,000 AA- AA+ 12/12/06 Floating Large Loan
CSFB 2005-TF3A UP E 13,000,000 A+ AA 12/12/06 Floating Large Loan
CSFB 2005-TF3A UP F 13,000,000 A AA- 12/12/06 Floating Large Loan
CSFB 2005-TF3A UP G 13,000,000 A- A 12/12/06 Floating Large Loan
DLJ CM 1999-CG2 DOWN B8 15,505,000 B- CCC 12/13/06 Fixed Conduit
GECMC 2001-1 UP D 15,523,000 AA+ AAA 12/13/06 Fixed Conduit
GECMC 2001-1 UP E 15,522,000 AA AAA 12/13/06 Fixed Conduit
GECMC 2001-1 UP F 15,523,000 A+ AA+ 12/13/06 Fixed Conduit
GECMC 2001-1 UP G 15,523,000 A- AA- 12/13/06 Fixed Conduit
GECMC 2001-1 UP H 25,400,000 BBB BBB+ 12/13/06 Fixed Conduit
GECMC 2001-1 UP I 18,345,000 BB+ BBB- 12/13/06 Fixed Conduit
DMARC 1998-C1 UP D 99,909,000 AA+ AAA 12/14/06 Fixed Conduit
DMARC 1998-C1 UP E 27,248,000 AA- AAA 12/14/06 Fixed Conduit
DMARC 1998-C1 UP F 45,413,000 BBB+ AA 12/14/06 Fixed Conduit
DMARC 1998-C1 UP G 45,413,000 BB+ BBB+ 12/14/06 Fixed Conduit
DMARC 1998-C1 UP H 18,165,000 BB BB+ 12/14/06 Fixed Conduit
DMARC 1998-C1 UP J 22,706,000 B- B+ 12/14/06 Fixed Conduit
J PMC 1998-C6 UP E 15,928,000 AA AAA 12/19/06 Fixed Conduit
J PMC 1998-C6 UP F 39,820,000 BB+ BBB- 12/19/06 Fixed Conduit
MSC 1998-WF2 UP F 21,240,000 AA- AA 12/19/06 Fixed Conduit
MSC 1998-WF2 UP G 23,896,000 BBB+ A- 12/19/06 Fixed Conduit
CSFB 2000-C1 UP E 29,100,000 AA AAA 12/19/06 Fixed Conduit
CSFB 2000-C1 UP F 13,900,000 A+ AAA 12/19/06 Fixed Conduit
CSFB 2000-C1 UP G 30,600,000 BBB A 12/19/06 Fixed Conduit
CSFB 2000-C1 UP H 12,500,000 BBB- BBB+ 12/19/06 Fixed Conduit
CSFB 2000-C1 UP J 9,800,000 BB BBB- 12/19/06 Fixed Conduit
CSFB 2000-C1 UP K 11,100,000 B+ BB- 12/19/06 Fixed Conduit
GMACC 2003-C2 UP D 30,654,000 AA+ AAA 12/19/06 Fixed Conduit
GMACC 2003-C2 UP E 16,133,000 AA AA+ 12/19/06 Fixed Conduit
GMACC 2003-C2 UP F 20,973,000 A+ AA- 12/19/06 Fixed Conduit
GMACC 2003-C2 UP G 11,294,000 A A+ 12/19/06 Fixed Conduit
GMACC 2003-C2 UP H 16,133,000 BBB+ A- 12/19/06 Fixed Conduit
GMACC 2003-C2 UP J 20,973,000 BBB- BBB 12/19/06 Fixed Conduit
GMACC 2003-C2 UP K 8,067,000 BB+ BBB- 12/19/06 Fixed Conduit
GMACC 2003-C2 UP L 8,067,000 BB- BB+ 12/19/06 Fixed Conduit
MCFI 1997-MC1 UP F 29,793,261 BBB- AA 12/20/06 Fixed Conduit
MCFI 1997-MC1 UP G 6,585,416 B+ BB 12/20/06 Fixed Conduit
MCFI 1997-MC1 UP H 11,531,804 CC CCC 12/20/06 Fixed Conduit
CCMSC 2000-3 UP D 10,553,593 AA+ AAA 12/20/06 Fixed Conduit
CCMSC 2000-3 UP E 23,985,440 AA- AA 12/20/06 Fixed Conduit
CCMSC 2000-3 UP F 7,675,340 A+ AA- 12/20/06 Fixed Conduit
SBM7 2000-NL1 UP K 8,355,000 BBB+ AA 12/20/06 Fixed Private
SBM7 2000-NL1 UP L 3,342,000 B- BB- 12/20/06 Fixed Private
LBUBS 2001-C2 UP E 18,157,000 AA+ AAA 12/20/06 Fixed Conduit
LBUBS 2001-C2 UP F 24,209,000 A+ AA+ 12/20/06 Fixed Conduit
LBUBS 2001-C2 UP G 12,104,000 A- AA- 12/20/06 Fixed Conduit
LBUBS 2001-C2 UP H 15,131,000 BBB- BBB+ 12/20/06 Fixed Conduit
LBUBS 2001-C2 DOWN N 6,052,000 CC C 12/20/06 Fixed Conduit
LBUBS 2002-C7 UP E 14,843,000 AA+ AAA 12/20/06 Fixed Conduit
LBUBS 2002-C7 UP F 14,843,000 AA AA+ 12/20/06 Fixed Conduit
LBUBS 2002-C7 UP G 14,842,000 A+ AA- 12/20/06 Fixed Conduit
37
Rating
From
Fixed or
Floater
Deal Type
AMC 1998-C1 UP F 8,413,000 A+ AA 12/21/06 Fixed Conduit
AMC 1998-C1 UP G 5,609,000 BB BB+ 12/21/06 Fixed Conduit
NASC 1998-D6 UP B-2 37,226,863 BBB A- 12/21/06 Fixed Conduit
NASC 1998-D6 UP B-3 37,226,863 BB+ BBB 12/21/06 Fixed Conduit
BACM 2001-1 UP D 18,974,209 AA+ AAA 12/21/06 Fixed Conduit
BACM 2001-1 UP E 9,487,105 AA AA+ 12/21/06 Fixed Conduit
BACM 2001-1 UP F 9,487,105 A+ AA 12/21/06 Fixed Conduit
BACM 2001-1 UP G 18,974,209 A- A 12/21/06 Fixed Conduit
BACM 2001-1 UP H 14,230,657 A- A 12/21/06 Fixed Conduit
GCCFC 2005-FL3A UP D 23,805,000 AA AA+ 12/21/06 Floating Large Loan
GCCFC 2005-FL3A UP E 16,638,000 AA- AA 12/21/06 Floating Large Loan
GCCFC 2005-FL3A UP F 14,094,000 AA- AA 12/21/06 Floating Large Loan
Moody's
FTST 2000-4TS UP C 68,000,000 Aa1 Aaa 12/05/06 Fixed Single Asset/Borrower
FTST 2000-4TS UP D 36,000,000 Baa1 Aaa 12/05/06 Fixed Single Asset/Borrower
PMCC2 2000-C1 UP D 27,120,000 Aa2 Aaa 12/05/06 Fixed Single Asset/Borrower
PMCC2 2000-C1 UP E 27,120,000 A3 Aaa 12/05/06 Fixed Single Asset/Borrower
PMCC2 2000-C1 UP F 8,495,659 Baa1 Aaa 12/05/06 Fixed Single Asset/Borrower
GMACC 1997-C1 UP E 93,334,000 A1 Aaa 12/08/06 Fixed Conduit
GMACC 1997-C1 UP F 25,454,000 A3 A1 12/08/06 Fixed Conduit
CSFB 1997-C2 UP E 25,655,000 Aa2 Aaa 12/08/06 Fixed Conduit
MLMI 1997-C2 UP E 12,011,000 A1 Aaa 12/08/06 Fixed Conduit
BSCMS 1998-C1 UP C 32,163,260 Aa1 Aaa 12/08/06 Fixed Conduit
BSCMS 1998-C1 UP D 32,163,260 Baa1 A2 12/08/06 Fixed Conduit
CMAC 1998-C1 UP E 20,862,000 Aa1 Aaa 12/08/06 Fixed Conduit
DMARC 1998-C1 UP D 99,909,000 Aa3 Aaa 12/08/06 Fixed Conduit
DMARC 1998-C1 UP E 27,248,000 A2 Aa3 12/08/06 Fixed Conduit
ICH 1998-C1 UP F 18,271,000 Baa3 Baa1 12/08/06 Fixed Conduit
CSFB 1998-C2 UP D 105,500,000 A1 Aaa 12/08/06 Fixed Conduit
CSFB 1998-C2 UP E 28,800,000 A3 Aa1 12/08/06 Fixed Conduit
GMACC 1998-C2 UP E 37,955,000 Aa2 Aaa 12/08/06 Fixed Conduit
NASC 1998-D6 UP A4 167,520,883 A1 Aaa 12/08/06 Fixed Conduit
NASC 1998-D6 UP A5 55,840,294 A2 Aa3 12/08/06 Fixed Conduit
CSFB 1999-C1 UP C 58,500,000 Aa3 Aaa 12/08/06 Fixed Conduit
CSFB 1999-C1 UP D 14,700,000 A1 Aaa 12/08/06 Fixed Conduit
CSFB 1999-C1 UP E 40,900,000 Baa1 A2 12/08/06 Fixed Conduit
CSFB 1999-C1 UP F 20,500,000 Baa3 Baa2 12/08/06 Fixed Conduit
FUCMT 1999-C1 UP D 67,014,000 A1 Aa1 12/08/06 Fixed Conduit
FUCMT 1999-C1 UP E 17,482,000 A3 Aa3 12/08/06 Fixed Conduit
SBM7 1999-C1 UP E 27,557,000 Aa1 Aaa 12/08/06 Fixed Conduit
SBM7 1999-C1 UP F 11,022,000 Aa3 Aa2 12/08/06 Fixed Conduit
SBM7 1999-C1 UP G 14,697,000 A3 A2 12/08/06 Fixed Conduit
DLJ CM 1999-CG3 UP A3 49,461,000 Aa1 Aaa 12/08/06 Fixed Conduit
DLJ CM 1999-CG3 UP A4 13,489,000 Aa2 Aaa 12/08/06 Fixed Conduit
DLJ CM 1999-CG3 UP A5 15,738,000 A1 Aa2 12/08/06 Fixed Conduit
DLJ CM 1999-CG3 UP B1 17,986,000 A3 A1 12/08/06 Fixed Conduit
MSC 1999-WF1 UP C 43,583,000 Aa2 Aaa 12/08/06 Fixed Conduit
MSC 1999-WF1 UP D 9,685,000 Aa3 Aaa 12/08/06 Fixed Conduit
MSC 1999-WF1 UP E 29,056,000 Baa1 A3 12/08/06 Fixed Conduit
GMACC 2000-C1 UP D 8,798,000 Aa1 Aaa 12/08/06 Fixed Conduit
GMACC 2000-C1 UP E 30,796,000 A3 A2 12/08/06 Fixed Conduit
PNCMA 2000-C1 UP D 10,014,000 Aa2 Aa1 12/08/06 Fixed Conduit
PNCMA 2000-C1 UP E 26,036,000 A3 A2 12/08/06 Fixed Conduit
J PMC 2000-C10 UP C 29,541,000 Aa3 Aaa 12/08/06 Fixed Conduit
J PMC 2000-C10 UP D 9,232,000 A2 Aa1 12/08/06 Fixed Conduit
J PMC 2000-C10 UP E 23,079,000 Baa2 A3 12/08/06 Fixed Conduit
GMACC 2000-C3 UP C 57,138,000 Aa2 Aaa 12/08/06 Fixed Conduit
GMACC 2000-C3 UP D 12,125,802 Aa3 Aa2 12/08/06 Fixed Conduit
HFCMC 2000-C3 UP C 47,846,000 Aa1 Aaa 12/08/06 Fixed Conduit
HFCMC 2000-C3 UP D 11,962,000 Aa2 Aaa 12/08/06 Fixed Conduit
HFCMC 2000-C3 UP E 35,885,000 A2 Aa2 12/08/06 Fixed Conduit
HFCMC 2000-C3 UP F 14,354,000 Baa1 A1 12/08/06 Fixed Conduit
38
Rating
From
Fixed or
Floater
Deal Type
LBUBS 2000-C4 UP B 42,460,000 Aa1 Aaa 12/08/06 Fixed Conduit
LBUBS 2000-C4 UP C 39,963,000 A1 Aaa 12/08/06 Fixed Conduit
LBUBS 2000-C4 UP D 12,488,000 A2 Aa1 12/08/06 Fixed Conduit
LBUBS 2000-C4 UP E 7,493,000 A3 Aa2 12/08/06 Fixed Conduit
LBUBS 2000-C4 UP F 17,483,000 Baa2 A1 12/08/06 Fixed Conduit
LBUBS 2000-C4 UP G 12,489,000 Baa3 Baa2 12/08/06 Fixed Conduit
LBUBS 2000-C5 UP C 44,873,000 A1 Aa3 12/08/06 Fixed Conduit
LBUBS 2000-C5 UP D 14,958,000 A3 A2 12/08/06 Fixed Conduit
J PMC 2000-C9 UP D 10,179,000 Aa1 Aaa 12/08/06 Fixed Conduit
J PMC 2000-C9 UP E 28,503,000 A3 A2 12/08/06 Fixed Conduit
DLJ CM 2000-CPK1 UP A3 58,047,000 A1 Aaa 12/08/06 Fixed Conduit
DLJ CM 2000-CPK1 UP A4 16,124,000 A3 Aa2 12/08/06 Fixed Conduit
DLJ CM 2000-CPK1 UP B1 16,124,000 Baa2 A2 12/08/06 Fixed Conduit
WMMM 2001-1RR UP A4 4,191,000 Aa1 Aaa 12/08/06 Fixed Re-REMIC
WMMM 2001-1RR UP A5 3,142,000 Aa3 Aaa 12/08/06 Fixed Re-REMIC
WMMM 2001-1RR UP B1 9,428,000 A2 Aa3 12/08/06 Fixed Re-REMIC
WMMM 2001-1RR UP B2 4,191,000 Baa1 A3 12/08/06 Fixed Re-REMIC
WMMM 2001-1RR UP B3 6,285,000 Baa3 Baa2 12/08/06 Fixed Re-REMIC
FUNB 2001-C2 UP E 20,031,000 Aa2 Aaa 12/08/06 Fixed Conduit
FUNB 2001-C2 UP F 10,015,000 Aa3 Aa1 12/08/06 Fixed Conduit
FUNB 2001-C2 UP G 15,023,000 A2 Aa3 12/08/06 Fixed Conduit
FUNB 2001-C2 UP H 17,527,000 Baa1 A3 12/08/06 Fixed Conduit
LBUBS 2001-C2 UP C 62,656,000 A1 Aa2 12/08/06 Fixed Conduit
LBUBS 2001-C2 UP D 16,488,000 A2 A1 12/08/06 Fixed Conduit
LBUBS 2001-C2 UP E 13,191,000 Baa1 A3 12/08/06 Fixed Conduit
SBM7 2001-C2 UP C 10,810,000 Aa1 Aaa 12/08/06 Fixed Conduit
SBM7 2001-C2 UP D 27,022,000 A1 Aa2 12/08/06 Fixed Conduit
SBM7 2001-C2 UP E 11,890,000 A2 A1 12/08/06 Fixed Conduit
SBM7 2001-C2 UP F 10,809,000 A3 A2 12/08/06 Fixed Conduit
GECMC 2002-1A UP B 36,349,000 Aa1 Aaa 12/08/06 Fixed Conduit
GECMC 2002-1A UP C 22,070,000 Aa3 Aa2 12/08/06 Fixed Conduit
GMACC 2002-C1 UP E 8,875,000 Aa3 Aa2 12/08/06 Fixed Conduit
WBCMT 2002-C2 UP D 28,439,000 Aa3 Aa2 12/08/06 Fixed Conduit
WBCMT 2002-C2 UP E 8,751,000 A1 Aa3 12/08/06 Fixed Conduit
WBCMT 2002-C2 UP F 10,938,000 A3 A2 12/08/06 Fixed Conduit
J PMCC 2002-CIB4 UP C 33,954,000 Aa3 Aa2 12/08/06 Fixed Conduit
CSFB 2002-CKP1 UP D 26,063,000 Aa2 Aa1 12/08/06 Fixed Conduit
CSFB 2002-CP3 UP C 40,307,000 Aa3 Aa2 12/08/06 Fixed Conduit
CSFB 2002-CP3 UP D 8,957,000 A1 Aa3 12/08/06 Fixed Conduit
MLMT 2002-MW1 UP C 46,011,000 Aa3 Aaa 12/08/06 Fixed Conduit
MLMT 2002-MW1 UP D 10,826,000 A1 Aa3 12/08/06 Fixed Conduit
MLMT 2002-MW1 UP E 18,945,000 A3 A2 12/08/06 Fixed Conduit
BACM 2002-PB2 UP B 50,594,789 Aa2 Aa1 12/08/06 Fixed Conduit
BACM 2002-PB2 UP C 16,864,930 Aa3 Aa2 12/08/06 Fixed Conduit
J PMCC 2003-C1 UP D 32,031,000 Aa3 Aa2 12/08/06 Fixed Conduit
J PMCC 2003-C1 UP E 14,680,000 A2 A1 12/08/06 Fixed Conduit
J PMCC 2003-C1 UP F 17,350,000 Baa1 A3 12/08/06 Fixed Conduit
WMCMS 2003-C1A UP D 12,867,000 A1 Aa3 12/08/06 Fixed Conduit
WMCMS 2003-C1A UP E 2,860,000 A2 A1 12/08/06 Fixed Conduit
WMCMS 2003-C1A UP F 4,289,000 Baa1 A3 12/08/06 Fixed Conduit
J PMCC 2003-CB7 UP FS1 13,220,966 A1 Aa2 12/08/06 Fixed Conduit
J PMCC 2003-CB7 UP FS2 13,122,302 A2 Aa3 12/08/06 Fixed Conduit
J PMCC 2003-CB7 UP FS3 13,023,638 A3 A1 12/08/06 Fixed Conduit
J PMCC 2003-CB7 UP FS4 44,497,429 Baa2 A3 12/08/06 Fixed Conduit
CSFB 2003-CPN1 UP B 30,192,000 Aa1 Aaa 12/08/06 Fixed Conduit
CSFB 2003-CPN1 UP C 10,064,000 Aa2 Aa1 12/08/06 Fixed Conduit
CSFB 2003-CPN1 UP D 30,191,000 A1 Aa3 12/08/06 Fixed Conduit
CSFB 2003-CPN1 UP E 10,064,000 A2 A1 12/08/06 Fixed Conduit
CSFB 2003-CPN1 UP F 10,064,000 A3 A2 12/08/06 Fixed Conduit
J PMCC 2004-C1 UP B 27,355,000 Aa2 Aa1 12/08/06 Fixed Conduit
J PMCC 2004-C1 UP C 11,724,000 Aa3 Aa2 12/08/06 Fixed Conduit
39
Rating
From
Fixed or
Floater
Deal Type
J PMCC 2004-CB8 DOWN J 6,270,000 Ba1 Ba2 12/08/06 Fixed Conduit
J PMCC 2004-CB8 DOWN K 6,269,000 Ba2 Ba3 12/08/06 Fixed Conduit
J PMCC 2004-CB8 DOWN L 6,270,000 Ba3 B2 12/08/06 Fixed Conduit
J PMCC 2004-CB8 DOWN M 4,702,000 B1 B3 12/08/06 Fixed Conduit
J PMCC 2004-CB8 DOWN N 4,702,000 B2 Caa2 12/08/06 Fixed Conduit
J PMCC 2004-CB8 DOWN P 3,135,000 B3 Caa3 12/08/06 Fixed Conduit
WBCMT 2005-WL6A UP B 38,257,000 Aa1 Aaa 12/08/06 Floating Large Loan
WBCMT 2005-WL6A UP C 35,524,000 Aa2 Aaa 12/08/06 Floating Large Loan
WBCMT 2005-WL6A UP D 30,059,000 Aa3 Aaa 12/08/06 Floating Large Loan
WBCMT 2005-WL6A UP E 27,326,000 A1 Aaa 12/08/06 Floating Large Loan
WBCMT 2005-WL6A UP F 24,593,000 A2 Aa1 12/08/06 Floating Large Loan
WBCMT 2005-WL6A UP G 24,594,000 A3 Aa3 12/08/06 Floating Large Loan
WBCMT 2005-WL6A UP H 24,593,000 Baa1 A3 12/08/06 Floating Large Loan
RKCDO 2006-1A UP C 38,600,000 A1 Aaa 12/08/06 Floating CRE CDO
RKCDO 2006-1A UP D 9,083,000 A2 Aa1 12/08/06 Floating CRE CDO
RKCDO 2006-1A UP E 11,353,000 A3 Aa2 12/08/06 Floating CRE CDO
RKCDO 2006-1A UP F 15,894,000 Baa1 A2 12/08/06 Floating CRE CDO
SBM7 2001-C1 UP B 40,490,000 Aa1 Aaa 12/13/06 Fixed Conduit
SBM7 2001-C1 UP C 40,489,000 A2 Aa1 12/13/06 Fixed Conduit
SBM7 2001-C1 UP D 11,909,000 A3 Aa2 12/13/06 Fixed Conduit
SBM7 2001-C1 UP E 14,290,000 Baa1 A1 12/13/06 Fixed Conduit
SBM7 2001-C1 UP F 14,291,000 Baa2 Baa1 12/13/06 Fixed Conduit
SBM7 2001-C1 DOWN K 7,145,000 B1 B2 12/13/06 Fixed Conduit
SBM7 2001-C1 DOWN L 7,145,000 B3 Caa1 12/13/06 Fixed Conduit
SBM7 2001-C1 DOWN M 7,145,000 Caa2 C2 12/13/06 Fixed Conduit
SBM7 2001-C1 DOWN N 1,090,902 Caa3 C2 12/13/06 Fixed Conduit
BACM 2001-PB1 UP C 9,382,832 Aa1 Aaa 12/13/06 Fixed Conduit
BACM 2001-PB1 UP D 11,728,540 Aa2 Aaa 12/13/06 Fixed Conduit
BACM 2001-PB1 UP E 18,765,664 A2 Aa2 12/13/06 Fixed Conduit
BACM 2001-PB1 UP F 11,728,540 A3 Aa3 12/13/06 Fixed Conduit
BACM 2001-PB1 UP G 14,074,248 Baa1 A2 12/13/06 Fixed Conduit
BACM 2001-PB1 UP H 14,074,248 Baa2 Baa1 12/13/06 Fixed Conduit
GSMS 2004-C1 UP B 20,076,000 Aa2 Aa1 12/13/06 Fixed Conduit
GSMS 2004-C1 UP C 7,808,000 Aa3 Aa2 12/13/06 Fixed Conduit
LBFRC 2006-CCL UP D 20,790,000 Aa1 Aaa 12/13/06 Floating Large Loan
LBFRC 2006-CCL UP E 26,270,000 Aa2 Aa1 12/13/06 Floating Large Loan
LBFRC 2006-CCL UP F 22,260,000 Aa3 Aa2 12/13/06 Floating Large Loan
LBFRC 2006-CCL UP G 22,260,000 A1 Aa3 12/13/06 Floating Large Loan
J PMC 2000-C10 UP F 10,155,000 Baa3 Baa2 12/14/06 Fixed Conduit
J PMC 2000-C10 DOWN L 7,386,000 Caa2 Ca2 12/14/06 Fixed Conduit
J PMC 2000-C10 DOWN M 1,858,332 Ca2 C2 12/14/06 Fixed Conduit
WMMM 2001-1RR UP B1 9,428,000 Aa3 Aaa 12/14/06 Fixed Re-REMIC
WMMM 2001-1RR UP B2 4,191,000 A3 Aaa 12/14/06 Fixed Re-REMIC
WMMM 2001-1RR UP B3 6,285,000 Baa2 Aa3 12/14/06 Fixed Re-REMIC
WMMM 2001-1RR UP B4 9,428,000 Ba2 Baa2 12/14/06 Fixed Re-REMIC
WMMM 2001-1RR UP B5 4,190,000 Ba3 Ba1 12/14/06 Fixed Re-REMIC
WBCMT 2004-C11 UP B 28,641,000 Aa2 Aa1 12/14/06 Fixed Conduit
GCCFC 2004-FL2A UP C 26,363,000 Aa1 Aaa 12/14/06 Floating Large Loan
GCCFC 2004-FL2A UP D 22,736,000 Aa2 Aaa 12/14/06 Floating Large Loan
GCCFC 2004-FL2A UP E 12,356,000 Aa3 Aaa 12/14/06 Floating Large Loan
LBCMT 1999-C2 UP C 37,929,000 Aa3 Aaa 12/21/06 Fixed Conduit
LBCMT 1999-C2 UP D 13,386,000 A1 Aa1 12/21/06 Fixed Conduit
LBCMT 1999-C2 UP E 23,427,000 A3 A1 12/21/06 Fixed Conduit
LBCMT 1999-C2 UP F 12,271,000 Baa2 A3 12/21/06 Fixed Conduit
LBCMT 1999-C2 UP G 11,155,000 Ba1 Baa3 12/21/06 Fixed Conduit
LBUBS 2000-C5 UP C 44,873,000 Aa3 Aa1 12/21/06 Fixed Conduit
LBUBS 2000-C5 UP D 14,958,000 A2 Aa3 12/21/06 Fixed Conduit
LBUBS 2000-C5 UP E 7,479,000 Baa1 A2 12/21/06 Fixed Conduit
LBUBS 2000-C5 UP F 12,464,000 Baa2 Baa1 12/21/06 Fixed Conduit
LBUBS 2000-C5 DOWN L 7,479,000 B3 Caa2 12/21/06 Fixed Conduit
LBUBS 2000-C5 DOWN M 4,986,000 Caa3 Ca2 12/21/06 Fixed Conduit
WBCMT 2003-C5 UP B 40,531,000 Aa2 Aaa 12/21/06 Fixed Conduit
WBCMT 2003-C5 UP C 15,011,000 Aa3 Aaa 12/21/06 Fixed Conduit
WBCMT 2003-C5 UP D 31,524,000 A2 Aa2 12/21/06 Fixed Conduit
WBCMT 2003-C5 UP E 10,508,000 A3 Aa3 12/21/06 Fixed Conduit
WBCMT 2003-C5 UP F 16,513,000 Baa1 A2 12/21/06 Fixed Conduit
WBCMT 2003-C5 UP G 19,515,000 Baa2 Baa1 12/21/06 Fixed Conduit
WBCMT 2003-C7 UP B 27,840,000 Aa2 Aaa 12/21/06 Fixed Conduit
WBCMT 2003-C7 UP C 11,389,000 Aa3 Aaa 12/21/06 Fixed Conduit
WBCMT 2003-C7 UP D 25,309,000 A2 Aa3 12/21/06 Fixed Conduit
WBCMT 2003-C7 UP E 13,920,000 A3 A2 12/21/06 Fixed Conduit
LBUBS 2003-C8 UP B 14,872,000 Aa1 Aaa 12/21/06 Fixed Conduit
LBUBS 2003-C8 UP C 14,872,000 Aa2 Aaa 12/21/06 Fixed Conduit
LBUBS 2003-C8 UP D 17,496,000 Aa3 Aa2 12/21/06 Fixed Conduit
40
Rating
From
Fixed or
Floater
Deal Type
BACM 2004-2 UP B 27,045,564 Aa2 Aa1 12/21/06 Fixed Conduit
BACM 2004-2 UP C 12,811,056 Aa3 Aa2 12/21/06 Fixed Conduit
BSDB 2005-AFR1 DOWN E 6,080,000 A1 Ba1 12/21/06 Fixed Private
BSDB 2005-AFR1 DOWN F 7,600,000 A2 Ba2 12/21/06 Fixed Private
BSDB 2005-AFR1 DOWN G 8,360,000 A3 Ba3 12/21/06 Fixed Private
S&P
TRIZE 2001-TZHA UP D3 50,300,000 AA AAA 12/01/06 Fixed Private
TRIZE 2001-TZHA UP D4 40,700,000 AA AA+ 12/01/06 Fixed Private
TRIZE 2001-TZHA UP E3 39,700,000 A A+ 12/01/06 Fixed Private
GMACC 2002-C3 UP D 18,463,000 AA AA+ 12/04/06 Fixed Conduit
GMACC 2002-C3 UP E 11,661,000 AA- AA 12/04/06 Fixed Conduit
GMACC 2002-C3 UP F 9,717,000 A AA- 12/04/06 Fixed Conduit
GMACC 2002-C3 UP G 9,718,000 A- A 12/04/06 Fixed Conduit
GMACC 2002-C3 UP H 9,718,000 BBB+ A- 12/04/06 Fixed Conduit
GMACC 2002-C3 UP J 18,464,000 BBB- BBB 12/04/06 Fixed Conduit
LBUBS 2000-C5 DOWN L 7,479,000 B- CCC 12/07/06 Fixed Conduit
LBUBS 2000-C5 DOWN M 4,986,000 CCC D 12/07/06 Fixed Conduit
MSDWC 2002-IQ3 UP B 26,152,000 AA AA+ 12/12/06 Fixed Conduit
WBCMT 2003-C9 UP B 34,476,000 AA AAA 12/12/06 Fixed Conduit
WBCMT 2003-C9 UP C 17,238,000 AA- AA+ 12/12/06 Fixed Conduit
WBCMT 2003-C9 UP D 33,039,000 A AA- 12/12/06 Fixed Conduit
WBCMT 2003-C9 UP E 14,366,000 A- A+ 12/12/06 Fixed Conduit
BANC1 2000-C1A UP G 23,568,000 A AA+ 12/13/06 Fixed Large Loan
BANC1 2000-C1A UP H 14,999,000 BB+ BBB+ 12/13/06 Fixed Large Loan
CSFB 2004-C1 UP B 44,586,000 AA AAA 12/13/06 Fixed Conduit
CSFB 2004-C1 UP C 18,240,000 AA- AA+ 12/13/06 Fixed Conduit
CSFB 2004-C1 UP D 36,480,000 A A+ 12/13/06 Fixed Conduit
J PMCC 2001-CIB2 UP D 14,425,000 AA AA+ 12/15/06 Fixed Conduit
J PMCC 2001-CIB2 UP E 28,851,000 A- A+ 12/15/06 Fixed Conduit
J PMCC 2001-CIB2 UP F 12,021,000 BBB+ A- 12/15/06 Fixed Conduit
J PMCC 2001-CIB2 UP G 25,245,000 BBB- BBB 12/15/06 Fixed Conduit
WBCMT 2003-C8 UP B 29,227,000 AA AA+ 12/15/06 Fixed Conduit
WBCMT 2003-C8 UP C 13,396,000 AA- AA 12/15/06 Fixed Conduit
WBCMT 2003-C8 UP D 28,009,000 A AA- 12/15/06 Fixed Conduit
WBCMT 2003-C8 UP E 13,396,000 A- A+ 12/15/06 Fixed Conduit
WBCMT 2003-C8 UP F 15,831,000 BBB+ A- 12/15/06 Fixed Conduit
WBCMT 2003-C8 UP G 12,178,000 BBB BBB+ 12/15/06 Fixed Conduit
ARMSS 2004-1A UP D1 16,368,789 BBB BBB+ 12/18/06 Floating CRE CDO
GSMS 1998-C1 UP D 107,038,000 AA AA+ 12/19/06 Fixed Conduit
GSMS 1998-C1 UP E 32,576,000 A- A 12/19/06 Fixed Conduit
GSMS 2005-FL7A UP B 54,609,000 AA+ AAA 12/19/06 Floating Large Loan
GSMS 2005-FL7A UP C 32,123,000 AA- AAA 12/19/06 Floating Large Loan
GSMS 2005-FL7A UP D 16,062,000 A+ AA+ 12/19/06 Floating Large Loan
GSMS 2005-FL7A UP E 26,533,000 A- A+ 12/19/06 Floating Large Loan
GSMS 2005-FL7A UP F 20,425,000 BBB A- 12/19/06 Floating Large Loan
GSMS 2005-FL7A DOWN KPR 1,000,000 BB+ BB- 12/19/06 Floating Large Loan
41
Rating
From
Fixed or
Floater
Deal Type
GMACC 2003-C3 UP B 41,676,000 AA AAA 12/20/06 Fixed Conduit
GMACC 2003-C3 UP C 16,671,000 AA- AA+ 12/20/06 Fixed Conduit
GMACC 2003-C3 UP D 30,007,000 A AA 12/20/06 Fixed Conduit
GMACC 2003-C3 UP E 21,672,000 A- A 12/20/06 Fixed Conduit
CBAC 2004-1A DOWN M6 2,930,000 BB BB- 12/20/06 Floating Private
CBAC 2004-1A DOWN M7 890,000 B CCC- 12/20/06 Floating Private
CBAC 2005-1A DOWN M7 5,640,000 BB B 12/20/06 Floating Private
CBAC 2005-1A DOWN M8 1,880,000 B CCC- 12/20/06 Floating Private
COMM 2004-LB2A UP B 25,298,000 AA AA+ 12/21/06 Fixed Conduit
BSCMS 1999-CLF1 DOWN E 3,545,657 B+ D 12/22/06 Fixed Credit Tenant
BSCMS 1999-CLF1 DOWN F 0 CCC D 12/22/06 Fixed Credit Tenant
42

IMPORTANT INFORMATION FOR EVALUATING THIS MATERIAL

The author of this publication is an employee of the firms trading desk and not of a research department, and will be compensated based in part on the
performance of the trading desk for which the author works. This material is for your private information and we are not soliciting any action based upon it.
Assumptions, estimates, and opinions expressed constitute our judgment as of the date of this material and are subject to change without notice. This
material is based upon information that we consider reliable, but we do not represent that it is accurate or complete. This material includes analyses of
securities and related derivatives that the firms trading desk may make a market in, and in which it likely as principal (or agent) will have a long or short
position at any time, including possibly a position that was accumulated based on this analysis prior to its dissemination. The views expressed herein may
differ from the views of other firm departments or representatives. While the author of this publication believes there is a reasonable basis for the analyses
and recommendations contained herein, decisions concerning what topics to analyze, what points to emphasize, and the information to be included or
excluded, will also reflect the interests of the firm and its trading desks, and should not be presumed to be or relied upon as independent of those interests.
Except as to securities issued by the U.S. government and debentures issued by government-sponsored enterprises, RBS Greenwich Capital does not
permit the author of this material to engage in transactions in the securities or other financial instruments discussed herein in any personal account of the
author or a member of the authors immediate family.

This publication reflects the genuine views of the author, and the author has not and will not be compensated for having expressed the views
contained herein.

Copyright 2006 by Greenwich Capital Markets, Inc. Certain transactions or securities mentioned herein, including those involving futures, options, and
other derivatives products give rise to substantial risk and are not suitable for all investors. RBS Greenwich Capital transacts business with counterparties on
an arm's length basis and on the basis that each counterparty is sophisticated and capable of independently evaluating the merits and risks of each
transaction and that, each counterparty is making an independent decision regarding any transaction.

This material has been approved by and made available in the European Economic Area ("EEA") and in Asia by The Royal Bank of Scotland plc ("RBS"),
authorized and regulated by the Financial Services Authority (FSA). The material contained herein is intended for EEA institutional clients. This material may
not be issued or passed on to any person in the EEA except (a) a person to whom it may lawfully be issued, or (b) in the UK, to persons other than private
customers, as defined by the FSA.

Greenwich Capital CMBS 2006 & Outlook For 2007

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