SECURITIZATION RESEARCH U.S.

CMBS Strategy | 6 May 2010

Update on CMBS April Remittances

„ Credit performance summary Aaron Bryson
+1 212 412 3761
− Credit performance worsened at a slower pace than in the prior month. However,
aaron.bryson@barcap.com
the current to special servicing roll rate continued its upward trend, led by the
second largest whole loan across the fixed-rate conduit/fusion universe. Tee Yong Chew
+1 212 412 2439
„ Maturing loan update
teeyong.chew@barcap.com
− The ability of maturing loans to pay off on or close to their maturity dates
showed mixed results in April. www.barcap.com

„ Liquidation/loss severity update

− A sharp rise in liquidation activity was observed this month, while loss severity
dipped slightly.

„ Loan modification update

− Similar to last month, we see limited reported modification activity in April.

„ Loan-specific details by vintage/CMBX

− Recent vintage loans continue to underperform their more seasoned counterparts.

In particular, CMBX.1 and CMBX.4 showed a large jump in loans that are current
but transferred to their respective special servicers.

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 18
Barclays Capital | CMBS: Update on April Remittances

Credit performance summary

Credit performance worsened at a slower pace than in the prior month. The non-
performing loan rate rose by 35bp across the fixed-rate universe, roughly half of what we
saw last month. However, last month’s spike was caused by the foreclosure transfer of the
$3bn PCV&ST loan. Excluding this loan, the pace of credit deterioration is on par with prior
months. We continue to believe it is premature to declare any slowdown or stabilization in
pace of credit deterioration. Loans that are current but transferred to special servicer
increased to 3.7%. Including loans that are already in some stage of delinquency, the total
amount of loans, by current balance, in special servicing rose to 11.9%.

The current to special servicing roll rate continued its upwards trend, led by the second largest
whole loan across the fixed-rate conduit/fusion universe, the $2.9bn Beacon Seattle & DC
Portfolio loan (Figure 1). As highlighted in CMBS Strategy Weekly, April 19, 2010, the 5y
interest-only whole loan, with a 5.8% coupon and May 2012 maturity, is split across six deals
(Figure 2). May’s results are likely to be affected by the transfer to special servicing of the
$825.4mn Innkeeper’s Portfolio loan, which is split across two 2007 vintage deals.

Figure 1: Current to SS roll rate for 2005+ vintages

bp
180 GGP Beacon
160 SPE Portfolio
PCV
140 & ST
2005+ vintage conduit universe
120 T6M Current to SS+

100
80
60
40 666 5th,
20 Four Seasons Maui

0
Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10
Source: Barclays Capital

Figure 2: Exposure to the Beacon Seattle & DC Portfolio loan

Cur
Balance
CMBX Deal ($mn) Note Deal % MR DSCR AOD

4 BACM07-2 394.5 A4 12.6

4 BSCMS07-PW16 485.5 A5 14.8
MSC07-HQ12 75.0 A3 4.5
MSC07-HQ12 86.0 A2 3.9 1.07x 9/30/2009
4 MSC07-IQ14 775.0 A1 16.0
4 WBCMT07-C31 414.0 A6 7.1
4 WBCMT07-C32 414.0 A7 10.9
56.0 B1
205.0 Mez
Total 2,905.0
Source: Barclays Capital

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Barclays Capital | CMBS: Update on April Remittances

The Beacon Seattle & DC Portfolio loan has been on our internal "watch list" for quite some
time. We initially highlighted concerns about the loan in “Pro forma Now…Performing
Later,” June 23, 2008. We maintain our 15% loss estimate and 48-month extension
scenario, with an expectation of a loan modification. Our concerns lie primarily in the pro
forma nature of the underwriting and the exposure to the weak Seattle office market
(approximately 39% of the portfolio loan balance is allocated to properties in the Seattle
and Bellevue, Washington, areas). The DC office markets remain strong. Potential outcomes
include a split of the portfolio and/or a partial paydown of loans backed by the better
performing properties.

Across property sectors, while the overall delinquency rate is still led by multifamily and hotel,
the pace of increase in April was led by the office sector, which increased by 64bp. Vintage-
wise, recent vintage loans, especially 2007+ vintage, continue to underperform their more
seasoned counterparts (Figure 3 and 4). In CMBX, weakness was led by Series 4.

Figure 3: 30+ day delinquency by property type, CMBX series, vintage

Property Delinquency level, by CMBX (%) Delinquency level, by vintage (%) Overall
1 2 3 4 5 Pre-00 00–04 05 06 07+
Office 6.26 5.50 3.92 4.49 3.62 11.23 5.42 6.16 6.07 4.67 5.54
Retail 5.90 8.04 6.98 6.70 6.38 12.63 6.13 8.02 8.47 6.56 7.33
Multifamily 9.75 13.29 18.88 18.17 14.26 9.23 6.96 9.08 11.96 23.45 13.67
Industrial 3.81 9.46 3.32 5.06 4.84 14.30 5.77 4.10 6.77 4.90 5.61
Hotel 8.96 11.45 18.04 15.43 24.19 8.48 6.89 8.85 11.89 19.96 13.96
Others 2.20 4.25 4.08 8.51 3.43 10.71 2.98 2.27 5.69 6.07 4.91
Overall 6.24 8.09 8.44 9.09 9.31 11.12 5.99 7.09 8.60 10.07 8.18
SS-Cur 4.84 2.32 3.36 5.94 1.39 4.28 2.35 5.19 2.43 4.78 3.68
NPL* 6.29 8.16 8.63 9.16 9.35 5.76 5.95 6.74 8.68 10.14 7.55
Note: *As a percentage of loan balance at origination. Source: Barclays Capital

Figure 4: Change in 30+ day delinquency and special servicing

Property Delinquency level, by CMBX (%) Delinquency level, by vintage (%) Overall
1 2 3 4 5 Pre-00 00–04 05 06 07+
Office 1.21 0.79 -0.17 0.87 -0.26 0.67 0.42 0.82 0.39 0.87 0.64
Retail -1.09 0.43 0.24 0.18 0.81 1.25 0.48 -0.22 0.57 0.41 0.37
Multifamily 0.44 -0.01 -0.85 0.19 1.40 -0.24 -0.13 0.68 -0.29 0.39 0.19
Industrial -0.45 0.15 0.66 0.25 0.32 -0.01 0.37 -0.21 -0.06 0.91 0.37
Hotel 1.03 0.33 2.08 0.50 0.03 -0.95 0.31 0.85 0.20 0.74 0.53
Others -0.02 0.46 -0.93 0.54 0.65 -0.03 0.43 0.12 -0.54 0.39 0.14
Overall 0.10 0.45 -0.02 0.55 0.38 0.38 0.34 0.34 0.32 0.59 0.42
SS-Cur 0.95 -0.28 0.25 1.74 -0.16 -1.33 -0.45 0.47 -0.13 0.79 0.18
NPL* 0.18 0.45 0.08 0.56 0.40 0.11 0.25 0.29 0.37 0.62 0.35
Note: *As a percentage of loan balance at origination. Source: Barclays Capital

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Barclays Capital | CMBS: Update on April Remittances

Figure 5: Average credit indicators 1 by series Figure 6: Average credit indicators by vintage

9.00 CMBX.1 10.00 Pre-2000

CMBX.2 2000-2004
8.00 CMBX.3 2005
8.00
7.00 CMBX.4 2006
CMBX.5 2007+
6.00 6.00

5.00 4.00
4.00
3.00 2.00

2.00 0.00
1.00
-2.00
0.00
-1.00 -4.00
Jan-07 Jan-08 Jan-09 Jan-10 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10

Figure 7: NPL % 2 by average deal age, series Figure 8: NPL %2 by average deal age, vintage

10.00 12.00
CMBX.1
9.00 CMBX.2
CMBX.3 2005
10.00
8.00 CMBX.4 2006
CMBX.5 2007+
7.00
8.00
6.00
5.00 6.00
4.00
4.00
3.00
2.00 2.00
1.00
0.00 0.00
0 6 12 18 24 30 36 42 48 0 6 12 18 24 30 36 42 48 54
Average Deal Age (Months) Average Deal Age (Months)

Source: Barclays Capital Source: Barclays Capital

Maturing loan summary

The ability of maturing loans to pay off on or close to their maturity dates showed mixed
results in April. 31% of matured loans, ex-GGP-BK loans, paid off this month, which is the
lowest rate since the beginning of 2009 (Figure 9). However, looking at loans that paid off
within three months of their maturity date, 67% paid off through January, compared with
the trailing 3-month rate of 62%. If GGP loans are included, the paid-off rate for matured
loans within three months of maturity drops to 57%. This suggests that borrowers are
struggling to line up financing by maturity date but are having better success with some
additional time.

Another point worth noting is the ability of matured loans to pay off by seasonality. For the
past 16 months, seasoned loans had more success paying off close to maturity than less
seasoned loans. This month, however, the trend reversed (Figure 10). 72% of loans, ex-
GGP-BK loans, with original terms less than five years managed to pay off at maturity or
within three months after, while only 55% of loans with original terms greater than five

1
Our credit indicator is a seasoning-adjusted measure of credit performance, calculated as the difference of the actual
non-performing loan % and the seasoning implied non-performing loan %.
2
NPL %, or non-performing loan %, is calculated as the percentage of loans in 30+ days delinquency and liquidation
as a percentage of cutoff balance.

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Barclays Capital | CMBS: Update on April Remittances

Figure 9: % paid off by maturity date lowest since Jan 2009 Figure 10: Trend by seasonality reversed

85% Paid off by maturity % paidoff Original term <= 5yrs

Paidoff by maturity +1mo by maturity Original term >5yrs
100%
75% Paidoff by maturity +3mo + 3 mos.
80%
65%
60%
55%
40%
45%
20%
35%
0%
Jan-09 May-09 Sep-09 Jan-10
25%
Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Maturity

Note: Loan balance weighted, ex-GGP. Source: Barclays Capital Note: Loan balance weighted, ex-GGP. Source: Barclays Capital

years managed to do so. We caution, however, that this is only the first month this has
happened, and we will continue to monitor the trend.

None of the five largest April-maturing loans by current balance managed to pay off on time
(Figure 11). The largest loan is a GGP-BK loan and had been extended to September 2016
as per the modification agreement. Based on recent refinancing activities, exit debt yield for
loans that have successfully paid off averaged around 10-12%. Of these five loans, only
Southdale Mall and Ridgmar Mall have an exit debt yield, calculated from most recent
financials, within that range. For the former, the borrower, an affiliate of Simon Properties
Group, a retail mall REIT, had requested an extension, while the latter had been granted a
short forbearance to the end of April. We expect both loans to be extended, by 36 months
and 6 months, respectively, with a 1% loss to the trust due to servicing fees.

Figure 11: Top five maturing conduit loans in April, by loan balance
Balance MR NOI GGP-
Deal Loan ($mn) Orig Date Loan Rate IO? MR DSCR Debt Yield Property Type Location BK?

BACM05-3 Ridgedale Center 174.9 7/13/05 4.9% N 1.2 8% Retail MN Y

LBUBS05-C2 Macquarie DDR Portfolio II 171.6 4/20/05 4.8% Y 2.0 9% Retail Various
BACM05-1 Southdale Mall 150.0 4/12/05 4.9% Y 2.1 11% Retail MN
LBUBS05-C2 The Woodbury Office Portfolio I 63.5 4/20/05 5.3% Y 1.3 8% Office NY
LBUBS05-C2 Ridgmar Mall 57.4 4/20/05 6.1% Y 1.9 12% Retail TX
Source: Barclays Capital.

Loss liquidation/loss severity update

A sharp rise in liquidation activity was observed this month, while loss severity dipped
slightly, to 58%. We estimate that loss liquidations across the fixed-rate conduit universe
rose to more than $550mn in April (Figure 12), compared with an average monthly volume
of $190mn over the trailing 12-month period. The reporting of liquidation method is often
weak, but we noticed an increase in note sales and discounted payoffs. There is certainly
scope for the amount of liquidations to rise substantially. They are still skewed toward
smaller loan balance properties: only four loans over $20mn were liquidated.

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Barclays Capital | CMBS: Update on April Remittances

The largest fixed-rate CMBS loan to be liquidated in April was Highwoods II Portfolio in
LBUBS 06-C1 (CMBX.1), backed by office properties in Tampa, Florida. The $43.8mn loan
took a 50% loss in a discounted payoff. LNR is the special servicer, and the maturity date
was January 2011. The loan was transferred to the special servicer in December 2009 but
had been performing. The last reported DSCR was 1.43x as of September 2009.

Figure 12: TTM loss severity and volume

70% 3,500

60% 3,000

50% 2,500

40% 2,000

30% 1,500

20% 1,000

10% 500

0% -
Nov-01 Nov-03 Nov-05 Nov-07 Nov-09

Trailing 12 mo liquidated loan balance ($m n, rhs) Trailing 12 mo loss severity

Source: Barclays Capital

Loan modification update

Similar to last month, we see limited reported modification activity in April. The trailing 12-
month total modified loan balance, ex-GGP, rose to $3.0bn, from $2.3bn last month. By far,
the most common type of modification is maturity date extension, making up 69% of all
modified loans.

It is important to note that not all modifications are created equally. A modified loan could
always re-default. This month, we see one such case. The $60.9mn Gateway Shopping
Center loan securitized in MSC 06-HQ9 (2.44% of deal, 90+ days), backed by a retail
property in West Bloomfield, Michigan, went delinquent again this month. The loan was
previously modified in April 2009 by special servicer JE Roberts. The modification included a
coupon rate reduction of 1.18% in 2009 and 0.26% in 2010, with the caveat that the
reduction accrues to the outstanding loan balance. According to this month’s servicer’s
comment, the borrower is seeking additional relief. Financials last reported in September
2009 came in at 1.19x DSCR. Based on the most recent appraisal, a loss of 10% is expected
after the loan extends for 24 months with additional interest relief, but if the loan goes into
default, an additional 10% loss is likely.

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Barclays Capital | CMBS: Update on April Remittances

Figure 13: CMBS loan modifications, TTM through April 2010

$mn
6,000 5,301 All ex GGP
5,000

4,000 3,513

3,000
2,100
2,000 1,357

1,000 570
359 310
32 15 15
00
Amortization Combination Maturity Date Other Principal Write-
Change Extension Off

Source: Barclays Capital

Loan-specific details
The large loans that went delinquent or were transferred to special servicing-current status
in April were all securitized in CMBX constituent deals (ex-exposure to Beacon Seattle & DC
Portfolio loan), including the following:

CMBX.1 update
Series 1 continued to be the best performing CMBX series. The non-performing loan rate for
April increase by 18bp, to 6.3%. However, CMBX.1 saw a huge jump of 95bp in loans that are
performing but transferred to their respective special servicers. Of note:

„ CSFB 05-C6: The $67.3mn Preston Commons (2.83% of loan, SS-Cur), backed by an
office building in Dallas, Texas, was transferred to special servicer ING Clarion for non-
monetary default when the borrower allowed several large mechanic’s liens to be placed
on the property. In addition to the securitized A-note, the property is further
encumbered by $9.3mn in mezzanine debt that is in monetary default. The mezzanine
debt holder, Capri Capital, foreclosed out the borrower’s equity and assumed the debt.
The 5y IO loan matures in June 2010 and has an A-note debt yield of 8.7% using most
recent financials as of September 2009. Given that the loan is performing, we expect the
loan to extend 15 months with a 10% loss at the back end.

„ GMACC 06-C1: Backed by a 983-unit multifamily property located in College Park,

Maryland, the $93mn Seven Springs Village loan (5.78% of deal, SS-Cur) is the A-note of
a $98mn debt stack that consists of another $5mn B-note. This is another example of a
loan that is facing imminent maturity default due to an inability to refinance. The 5y IO
loan matured in September 2010, and the borrower is asking for a modification. The
special servicer on this loan is CW Capital. YE09 DSCR came in at 1.2x, and A-note NOI
debt yield is 6.9%; we expect a 36 month extension with a 5% loss at the back end.

„ MLMT 05-CIP1: The $160mn Highwoods Portfolio 57 loan (8.14% of deal, SS-Cur) is
collateralized by 31 office buildings split between Tampa, Florida, and Charlotte, North
Carolina (two additional buildings were allocated $0 loan balance at loan origination).
There is an additional $40mn of mezzanine debt outside the trust for a total debt stack

6 May 2010 7
Barclays Capital | CMBS: Update on April Remittances

of $200mn. The 5y IO loan matures in August 2010, and the loan transferred to special
servicer LNR when the borrower indicated an inability to pay off the loan at maturity.
Based on YE09 financials, the debt yield is 6.3%. We expect the loan to be extended 48
months with a 40% loss at the back end. There is also a possibility of an A/B note split,
as the loan is barely covering debt service.

„ MLMT 05-CKI1

− The collateral of the $125.2mn Louisiana Broadwalk loan (4.29% of deal, SS-Cur) is
a 544k sf “town center” retail development located in Bossier City, Louisiana. The
loan was transferred to JE Roberts, the special servicer, after the borrower missed the
April payment. There is a $13.7mn LOC that is expiring May 1, 2010, and the master
servicer is in the process of calling it, which should cover the debt service until loan
maturity. A modification of the loan is likely, leading to a loss of 5%.

− Three office properties located in Dallas, Texas, are the collateral for the second
large loan in this deal to be transferred to special servicer JE Roberts this month. The
$84.9mn Younan Portfolio debt stack includes the $77.2mn A-note (2.64% of deal,
30 days) securitized in this deal and the $7.7mn mezzanine debt. According to
servicer’s comment, the borrower is proposing a discounted payoff (DPO) at 90%
current balance within 90 days. Based on most recent financials reported as of June
2009, debt service is covered 1.22x. Without more recent financials, it is difficult to
determine if that is a fair value. However, a 38% drop from the underwritten
appraisal value of $112.1mn is more severe than the 26% drop in the Dallas market
office value as per PPR. According to Commercial Real Estate Direct, the borrower,
Younan Properties Inc., is attempting to recapitalize through an IPO, with a goal of
raising $575mn of new equity to address upcoming maturities. We believe the DPO
is likely to be accepted in the near term, with an estimated 12.5% loss to the trust
after factoring in fees.

„ WBCMT 05-C22: The $149.9mn Westin Casuarina Hotel & Spa loan (6.18% of deal, SS-
Cur), backed by a full service hotel in Las Vegas, Nevada, was transferred to special
servicer CW Capital because the borrower, Columbia Sussex, requested a loan
modification. The last DSCR reported as of September 2009 came in at 0.73x, with
occupancy at 60%. The debt balance per room is $182k. The loan is expected to default
in the near term, and factoring in an additional NOI haircut and expenses, a loss of 50%
is expected.

„ CD 05-CD1: A 542-unit multifamily property backed the $58mn Union Square

Apartments loan (1.56% of deal, 30 days), which went 30-day delinquent this month.
No details were available from the servicer besides the fact that the lockbox had been
sprung. The loan has a history of late payments, and we expect a maturity default with a
30% loss.

CMBX.2 update
The second worst performing series in April, the non-performing rate for CMBX.2 increased by
45bp, to 8.2%, led mostly by loans that rolled from special servicing current to delinquent. Of
note:

„ MSC 06-HQ9: See loan modification section for details of the $60.9mn Gateway
Shopping Center loan (2.44%, 90+ days).

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Barclays Capital | CMBS: Update on April Remittances

CMBX.3 update
The non-performing rate for CMBX.3 showed a small uptick this month, by 8bp, to 8.6%.
The increase in loans that are current but transferred to special servicer was led by the
following:

„ BACM 07-1: The $162.5mn 575 Lexington Avenue loan (5.26% of deal, SS-Cur) is one
of the A-notes making up the $325.0mn debt stack (the other A-note is securitized in
BACM 07-2). The 7y IO loan is backed by a 639k sf property in midtown Manhattan,
New York, consisting of office, retail, and garage spaces. The property was purchased in
2006 by CalSTRS for $433mn, and Silverstein Properties owns a 3% stake. CalSTRS had
provided a $10mn debt service guarantee at securitization. The loan was transferred to
special servicer CW Capital because the borrower indicated an inability to continue to
fund operating deficits as a result of increased vacancy and decreased rental rates. The
most recent reported DSCR as of YE09 was 0.71x; historically, reported DSCR had not
exceeded 0.74x since underwritten in February 2007. The loan is likely to be modified;
however, if it goes into default, we expect a quick liquidation at 45% loss given the
recent strong interests in Midtown Manhattan office properties.

CMBX.4 update
Underlying loans that are current but transferred to special servicing jumped 174bp this
month. This was led by exposure to the second largest loan in the fixed-rate conduit/fusion
universe, the $2.9bn Beacon Seattle & DC Portfolio loan, which alone contributed 246bp to
the roll rate from current to special servicer in the index. Other large exposures include:

„ BACM 07-2

− Besides the exposure to the other $162.5mn A-note (5.18% of deal, SS-Cur) of the
575 Lexington Avenue loan (see BACM 07-1 for more details), another exposure to a
large loan that transferred to special servicer this month is the $394.5mn A4-note of
the Beacon Seattle & DC Portfolio loan (12.6% of deal, SS-Cur) See credit
performance summary section above for more details.

− The third large loan in this deal to transfer to the special servicer is the $87mn Franklin
Avenue Plaza loan (2.77% of deal, 30 days), which has a total debt stack of $97mn,
including a $10mn mezzanine debt. The loan is backed by a 517k sf office property in
Garden City, New York. Upcoming lease expirations in 2012 include the largest tenant,
Merrill Lynch, and the third largest tenant, Healthcare Partners, leasing a total of 15.9%
of the NRA. Over the past two years, reported DSCR had never been above 1.0x, and
the most recent number as of YE09 was 0.81x. The borrower, Treeline Companies, is
attempting to negotiate a modification, according to Fitch Ratings. We expect the loan
to take a loss of 50%, by applying a cap rate of 8.5% to 2009 NOI and factoring in a
25-month liquidation period.

„ LBUBS 07-C2: The $53.3mn Marriott Suites – Garden Grove loan (1.51% of deal, SS-Cur)
backed by a full-service hotel in Garden Grove, California (near Disney World), was
transferred to special servicer LNR because the borrower is requesting a modification.
According to the servicer’s watchlist comments, the borrower is requesting an A/B-note
split, with the B-note getting excess cash flow after the split. There is also a request to
lower the monthly replacement cost to 4% of total revenue. The loan had not been
covering debt service during 2009, with the YE09 number at 0.7x. We believe the loan is
likely to get a modification with a 40% loss at the back end.

6 May 2010 9
Barclays Capital | CMBS: Update on April Remittances

„ LBUBS 07-C6: The $108.9mn Greensboro Park loan (3.69% of deal, SS-Cur) is the A-note
of the $164.3mn debt stack that consists of another $55.4mn mezzanine debt. The loan,
secured by a 485k sf of office property in McLean, Virginia, was transferred to special
servicer Midland because of imminent default. DSCR last reported in September 2009
came in at 1.07x but watchlist comments mentioned a further drop in occupancy from
91% to 86% and the borrower, an affiliate of Broadway Partners, is seeking a modification.
An extension of 36 months is expected leading to a 20% loss.

„ MLCFC 07-7: Secured by a 230k sf office property in Boston, Massachusetts, the $58mn
10 Milk Street loan (2.13% of deal, SS-Cur) was transferred to the special servicer,
Midland, on the borrower’s request for a modification. This is a 10y IO loan originated in
June 2007, which we tagged as a pro forma loan. According to servicer’s comments, the
property had lost two of its largest tenants, dropping occupancy to 65%. Financials last
reported in YE09 came in at 74% for occupancy and a 1.1x DSCR. We expect the loan to
be modified with a 35% loss.

CMBX.5 update
The non-performing loan rate for CMBX.5 increased by 40bp, also led by loans rolling from
specially service current to delinquent.

„ LBUBS 07-C6: This deal is also a constituent of CMBX.4. See CMBX.4 section for details.

Rating action summary

„ S&P performed a total of 209 rating actions this month: downgrading 147, upgrading 1,
putting 5 on negative watch, and affirming 56 bonds. The focus is mainly on seasoned
deals and the subordinate tranches of recent vintage deals.

„ Moody’s downgraded 79, upgraded 2, placed 103 on negative watch, and affirmed a bond
for a total of 185 rating actions in April. Downgrades affected bonds up to AM tranches;
the AM tranche of GCCFC 06-GG7 was downgraded to Aa3, while that of MLCFC 06-4
was downgraded to Aa2.

„ Fitch also focused on seasoned deals in April, downgrading 87, upgrading 3, and affirming a
bond for a total of 91 rating actions.

Figure 14: CMBX rating actions (upgrades/downgrades)

Original CMBX.1 CMBX.2 CMBX.3 CMBX.4 CMBX.5

tranche MTD Cum* MTD Cum* MTD Cum* MTD Cum* MTD Cum*
AAA 0/1 0/7 0/13 0/22 0/20
AJ 0/1 0/25 0/1 0/25 0/1 0/25 0/25 0/25
AA 0/1 0/25 0/1 0/25 0/1 0/25 0/25 0/25
A 0/1 0/24 0/1 0/25 0/1 0/25 0/25 0/25
BBB 0/1 0/25 0/1 0/25 0/1 0/25 0/25 0/25
BBB- 0/2 0/25 0/1 0/25 0/1 0/25 0/25 0/1 0/25
BB 0/1 0/25 0/1 0/25 0/25 0/25
Note: *Cumulative rating actions indicate the number of bonds that are no longer at their original rating on a conservative
basis; that is, the bond’s current rating is the lowest of the different agencies’ rating in the case of split-rated securities. In
this case, multiple downgrades are counted only once on a cumulative basis but highlighted separately MTD.
Source: Barclays Capital

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Barclays Capital | CMBS: Update on April Remittances

Interest shortfall summary

Interest shortfall continued to increase across the board and migrate firmly into the
originally IG-rated territory. For example, the number of originally rated BBB bonds taking
interest shortfall increased from 19% last month to 24% this month.

We revisit a familiar deal, the LBUBS 2007-C1, which saw a temporary shortfall to the AJ
class last month. This month, though, the AJ tranche did not experience an interest shortfall
and received repayment of the shortfall incurred last month. The main surprise is the
repayment of the interest shortfall, which is actually a structure built into the LBUBS deal. In
the prospectus, it states with respect to distribution of interest

“… to make distributions … in an amount equal to all Distributable Certificate Interest …

and, to the extent not previously paid, for all prior Distribution Dates …”

This implies that interest shortfall up the capital structure gets paid back as soon as
possible. Figure 15 detailed the interest payment for April.

Figure 15: LBUBS 07-C1 interest advance waterfall for April 2010
Interest Shortfall
Tranche Interest Advanced Recovery Comments

XCL 70,712.28 Full Interest advanced

XCP 321,642.38 Full Interest advanced
XW 1,177,064.00 Full Interest advanced
A-1 138,277.88 Full Interest advanced
A-2 935,081.66 Full Interest advanced
A-3 1,012,125.00 Full Interest advanced
A-AB 427,737.50 Full Interest advanced
A-4 5,225,350.52 Full Interest advanced
A-1A 3,813,556.50 Full Interest advanced
A-M 1,687,949.74 Full Interest advanced
Full Interest advanced & full recovery of
A-J 1,892,849.94 450,466.54 last month’s interest shortfall
Full Interest advanced& full recovery of
B 255,932.32 127,966.16 last month’s interest shortfall
Partial interest advanced & interest
C 106,194.20 shortfall
D–S Interest shortfall
T Partial write down for advance recovery
Source: Barclays Capital

Figures 16-18 summarize the interest shortfall this month.

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Barclays Capital | CMBS: Update on April Remittances

Figure 16: Pickup in interest shortfall for 2007+ vintage Figure 17: CMBX tranches with interest shortfall (bond count
bonds and m/m change

% of bonds
w/ shortfall
CMBX.1 CMBX.2 CMBX.3 CMBX.4 CMBX.5
80% 74% Orig.
tranche # m/m # m/m # m/m # m/m # m/m
70%
AAA 0 0 0 0 0 0 0 0 0 0
60% 53%
Sep-09 Apr-10 AJ 0 0 0 0 0 -1 0 0 0 0
50% AA 0 -1 1 0 1 0 0 0 0 0
40% A 1 0 1 0 3 2 0 0 0 0
28%
30% 24% BBB 3 1 2 0 5 -1 6 1 3 -1
15% BBB- 5 2 9 2 9 1 9 1 9 4
20%
7% BB 9 2 15 5 16 2 13 2 13 2
10% 4%
0% 0% 0%0% 1% 1% 2%
0%
AM & AJ AA A BBB BB B
above

Source: Barclays Capital Source: Barclays Capital

Figure 18: # of bonds with interest shortfall, by vintage/original rating

Pre-2000 2000-2004 2005 2006 2007+
Sr. AAA - - - - -
AM - - - - -
AJ - - - - -
AA+ - - - - -
AA - - - 2 1
AA- - - 1 3 1
A+ - - - 1 2
A - 1 1 3 2
A- - 3 2 3 4
BBB+ - 3 2 4 8
BBB 1 8 6 6 16
BBB- 3 14 15 25 24
BB+ 2 22 20 32 30
BB 13 34 25 37 34
BB- 8 49 30 45 43
B+ 5 69 30 47 48
B 36 80 34 48 49
B- 37 95 40 49 52
Below B- & NR 53 167 56 58 71
Total 158 545 262 363 385
Source: Barclays Capital

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Barclays Capital | CMBS: Update on April Remittances

Appendix A: CMBX.1
SS-Cur 30 Days Delq 60+ Days Delq Cum Liq NPL
WALA Servicer’s Pro MR DSCR
(mth) Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Watch List Forma < 1.1

CMBX.1.Average 53 4.84 0.95 1.15 0.39 5.09 (0.29) 0.40 0.12 6.29 0.18 17.99 3.07 16.49
BACM 05-4 55 18.45 1.20 0.29 (0.33) 10.93 (0.09) 0.14 - 10.51 (0.58) 18.16 - 28.99
BACM 05-5 54 1.40 0.99 2.25 (1.16) 4.18 0.03 - - 5.98 (1.11) 8.79 - 8.73
BACM 05-6 52 6.40 0.26 0.23 (0.13) 3.08 (0.00) - - 3.20 (0.13) 13.44 7.02 9.75
BSCMS 05-PWR10 52 8.54 (1.16) 0.11 (0.29) 3.34 0.29 - - 3.30 (0.00) 19.98 12.45 27.65
BSCMS 05-PWR9 55 1.05 0.32 - (0.30) 8.85 0.11 - - 8.28 (0.30) 26.48 4.72 34.22
BSCMS 05-TOP20 54 - - 0.48 0.48 0.12 0.00 - - 0.56 0.45 20.32 - 7.99
CD 05-CD1 53 3.87 (1.64) 2.98 2.04 5.17 0.49 0.06 - 7.84 2.37 15.50 3.24 18.32
CSFB 05-C5 53 0.10 0.10 0.53 0.45 2.34 0.16 0.51 - 3.27 0.59 17.28 0.55 14.57
CSFB 05-C6 52 10.80 4.82 0.64 0.64 4.87 0.61 0.20 - 5.42 1.18 21.58 0.55 20.40
GCCFC 05-GG5 53 8.62 1.18 1.64 (1.35) 9.03 2.16 0.16 - 10.53 0.78 16.87 3.67 14.60
GECMC 05-C4 52 14.82 3.26 0.99 0.99 6.25 (0.08) 0.20 - 7.17 0.87 9.05 0.65 10.57
GMACC 06-C1 51 14.47 7.50 0.20 (0.23) 5.88 0.23 2.47 - 8.22 (0.00) 15.70 2.46 14.45
JPMCC 05-CB13 53 3.54 (0.50) 1.17 0.58 15.47 (0.27) 0.48 0.31 16.30 0.54 14.77 1.07 30.27
JPMCC 05-LDP4 55 3.28 (0.73) 3.09 0.28 8.43 0.79 - - 10.78 0.94 27.46 3.45 18.81
JPMCC 05-LDP5 52 1.71 0.08 0.08 0.00 7.28 0.33 - - 6.86 (0.01) 17.49 4.39 16.42
LBUBS 05-C5 56 - - 0.32 - 0.54 (11.05) - - 0.82 (10.64) 21.66 4.84 11.47
LBUBS 05-C7 53 2.06 (0.41) 2.21 1.64 1.68 0.41 1.35 - 5.02 1.94 16.02 1.10 8.76
LBUBS 06-C1 50 5.24 (1.75) 0.18 (0.90) 1.96 0.77 2.46 1.95 4.48 1.78 16.19 0.39 11.04
MLMT 05-CKI1 52 4.64 4.64 2.88 2.64 3.96 (0.36) 0.48 - 6.97 2.17 12.71 6.68 18.05
MLMT 05-LC1 52 - - 5.24 4.32 2.61 - 0.12 - 7.48 4.05 22.24 0.87 13.20
MSC 05-HQ7 53 0.23 (0.32) 0.55 (0.72) 4.07 0.26 0.82 0.77 5.14 0.30 24.78 1.22 18.12
MSC 05-IQ10 54 3.76 (0.01) - - 3.00 (0.00) - - 2.85 (0.01) 20.80 - 15.65
MSC 06-TOP21 51 - (0.71) 0.71 0.71 0.79 - - - 1.46 0.69 24.12 10.27 14.09
WBCMT 05-C21 54 1.78 1.65 - (1.66) 3.26 (0.00) 0.61 - 3.32 (1.38) 15.53 7.19 9.15
WBCMT 05-C22 52 6.18 4.87 1.93 1.93 10.17 (1.93) - - 11.58 (0.01) 12.89 - 17.03
Note: Cumulative Liquidation and Non Performing Loan (NPL) are calculated as a percentage of cut-off balance. All other numbers are calculated as a percentage of current balance. NPL is the sum of 30+ day delinquencies and
cumulative liquidations. Source: Barclays Capital

6 May 2010 13
Barclays Capital | CMBS: Update on April Remittances

Appendix B: CMBX.2
SS-Cur 30 Days Delq 60+ Days Delq Cum Liq NPL
WALA Servicer’s Pro MR DSCR
(mth) Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Watch List Forma < 1.1

CMBX.2.Average 45 2.32 (0.28) 1.17 0.30 6.92 0.15 0.33 0.02 8.16 0.45 18.25 4.41 18.76
BACM 06-2 46 3.71 (1.32) 2.20 0.74 5.63 0.74 0.27 - 7.87 1.44 13.80 3.35 10.72
BACM 06-3 44 0.34 (0.42) - - 9.49 0.00 - - 9.32 (0.00) 17.92 5.10 19.38
BACM 06-4 44 1.36 (1.20) 0.82 0.82 10.33 0.00 - - 11.01 0.80 14.53 8.08 20.67
BACM 06-5 42 3.23 1.81 - - 12.18 0.00 1.09 - 12.96 (0.01) 10.49 2.06 19.59
BSCMS 06-PW12 46 - - - - 1.52 (0.15) 0.15 0.15 1.63 (0.00) 24.02 0.98 23.76
BSCMS 06-PW13 43 3.32 (2.30) 2.96 2.83 3.64 0.12 0.01 0.01 6.41 2.86 21.37 4.28 29.79
CGCMT 06-C4 46 0.39 (1.40) 0.24 0.24 7.58 1.16 - - 7.63 1.36 22.78 3.74 14.03
COMM 06-C7 46 2.19 0.75 2.22 (1.32) 3.15 0.26 - - 5.20 (1.03) 24.99 2.35 20.45
CSMC 06-C3 46 - (0.55) 0.55 0.14 3.16 0.50 0.12 - 3.76 0.62 12.28 13.35 11.56
CSMC 06-C4 43 5.62 (0.06) 0.09 (0.09) 11.79 0.41 0.13 - 11.84 0.31 18.98 6.99 26.90
GCCFC 06-GG7 45 1.68 1.01 4.08 0.11 3.26 (1.01) 2.38 - 9.38 (0.86) 22.21 0.82 13.81
JPMCC 06-CB15 46 4.09 0.17 4.18 0.34 9.09 (0.19) 0.23 - 13.15 0.13 18.46 1.61 26.63
JPMCC 06-CB16 43 - (5.00) 5.50 4.39 7.64 (0.00) - - 12.94 4.31 18.81 12.68 20.66
JPMCC 06-LDP7 46 1.51 (0.00) 0.56 (0.00) 7.32 0.56 0.21 - 7.89 0.54 16.33 6.50 19.71
LBUBS 06-C4 46 1.45 1.45 0.33 (1.12) 8.35 (0.33) 0.12 - 8.20 (1.36) 15.91 0.64 21.84
LBUBS 06-C6 42 - - 0.60 (0.09) 4.40 0.09 - - 4.95 (0.00) 20.30 2.62 20.65
MLCFC 06-2 46 6.01 0.00 0.97 0.31 6.03 (0.00) 0.29 - 7.08 0.30 15.17 2.41 13.67
MLCFC 06-3 43 6.92 (0.76) 0.62 (0.26) 9.08 0.78 2.27 0.11 11.56 0.59 19.89 2.54 24.15
MLMT 06-C2 44 7.83 0.78 2.07 0.48 3.12 0.01 0.44 - 4.87 0.40 31.17 4.42 22.62
MSC 06-HQ9 44 3.12 0.06 0.51 0.43 7.16 (0.16) 0.30 0.16 7.76 0.41 14.55 - 12.68
MSC 06-IQ11 46 3.57 (0.00) - (0.81) 4.80 0.64 0.06 - 4.68 (0.17) 7.59 - 8.68
MSC 06-TOP23 44 - - - - 13.50 (0.00) - - 13.06 (0.01) 9.85 - 7.43
WBCMT 06-C25 47 - - 0.68 0.68 3.77 0.03 - - 4.16 0.64 19.21 7.17 14.55
WBCMT 06-C26 46 1.01 (0.00) - (0.23) 8.58 0.23 0.14 - 8.43 (0.01) 19.63 16.22 23.45
WBCMT 06-C27 44 0.68 (0.00) - - 8.49 - - - 8.37 (0.00) 26.00 2.32 21.56
Note: Cumulative Liquidation and Non Performing Loan (NPL) are calculated as a percentage of cut-off balance. All other numbers are calculated as a percentage of current balance. NPL is the sum of 30+ day delinquencies and
cumulative liquidations. Source: Barclays Capital

6 May 2010 14
Barclays Capital | CMBS: Update on April Remittances

Appendix C: CMBX.3
SS-Cur 30 Days Delq 60+ Days Delq Cum Liq NPL
WALA Servicer’s Pro MR DSCR
(mth) Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Watch List Forma < 1.1

CMBX.3.Average 39 3.36 0.25 0.61 (0.65) 7.83 0.63 0.36 0.10 8.63 0.08 25.21 11.74 27.99
BACM 06-6 41 1.05 0.35 0.23 (4.24) 2.95 2.04 0.13 - 3.27 (2.18) 39.25 17.20 33.57
BACM 07-1 38 12.37 4.80 - (1.87) 6.17 1.87 - - 6.07 (0.01) 10.01 34.92 24.40
BSCMS 06-PW14 40 0.73 0.00 0.45 (0.07) 7.84 0.46 0.43 0.07 8.51 0.44 36.49 2.67 22.54
BSCMS 07-PW15 37 12.48 (0.17) 0.87 0.76 5.31 0.11 0.11 - 6.19 0.86 19.07 6.71 28.17
CD 07-CD4 37 4.36 (0.40) 0.84 (3.20) 12.17 4.16 - - 12.90 0.95 24.15 13.97 20.52
CGCMT 06-C5 41 0.83 0.66 0.35 (0.62) 5.55 0.68 0.65 - 6.42 0.05 13.89 5.02 14.12
COMM 06-C8 40 8.93 1.05 1.76 (1.47) 8.53 (1.48) 0.79 0.29 10.69 (2.68) 37.97 18.76 42.37
CSMC 06-C5 40 9.41 (0.11) 0.88 0.88 5.78 0.25 0.42 - 6.97 1.11 24.92 10.21 34.40
CSMC 07-C1 37 3.19 3.09 0.58 (1.64) 16.70 0.00 0.53 - 17.56 (1.62) 41.96 24.17 49.79
CWCI 06-C1 40 1.55 (0.03) 0.16 (0.77) 14.40 0.03 1.32 1.02 15.12 0.15 20.17 10.76 25.57
GCCFC 07-GG9 37 6.16 (1.16) 2.68 1.70 1.69 (0.00) - - 4.31 1.68 29.54 10.27 33.67
JPMCC 06-CB17 41 - - 1.03 0.76 6.87 0.08 0.20 0.20 7.98 1.01 27.35 21.32 26.46
JPMCC 06-LDP9 40 - (1.04) 0.48 (0.03) 3.69 (0.00) 0.37 - 4.49 (0.03) 32.75 18.88 30.41
JPMCC 07-CB18 37 - - 0.20 (1.79) 6.85 1.61 1.00 0.18 7.88 (0.00) 28.66 13.35 24.92
JPMCC 07-LDPX 37 9.42 1.24 0.20 (1.19) 6.54 0.18 - - 6.69 (1.00) 21.84 19.51 27.40
LBUBS 06-C7 40 0.85 0.40 0.48 (0.29) 4.69 (0.26) 0.53 - 5.64 (0.54) 32.41 - 16.80
LBUBS 07-C1 38 8.08 (2.26) 0.03 0.03 5.92 (0.34) 1.26 0.13 7.14 0.31 2.96 0.07 20.80
MLCFC 06-4 40 0.66 0.00 0.20 (1.46) 9.53 1.80 - - 9.61 0.34 22.16 11.26 23.13
MLCFC 07-5 37 0.53 0.36 0.25 (0.33) 22.96 0.62 0.66 0.23 23.44 0.45 19.79 23.39 39.85
MSC 06-HQ10 41 0.24 0.24 - (1.36) 8.23 1.11 - - 8.03 (0.24) 22.81 3.86 23.06
MSC 06-IQ12 40 2.84 0.01 0.48 (0.07) 11.22 0.08 0.31 0.23 11.75 0.20 15.53 1.86 24.14
MSC 07-HQ11 38 0.25 (0.08) 0.13 (1.47) 5.90 1.60 0.07 - 6.04 0.13 28.97 8.51 29.18
MSC 07-IQ13 37 - (0.79) 2.87 2.21 3.78 0.65 - - 6.54 2.82 39.41 3.82 44.41
MSC 07-T25 39 - - - (0.19) 6.64 0.10 0.10 0.10 6.61 (0.00) 15.56 3.92 24.46
WBCMT 06-C29 40 0.11 0.11 - (0.59) 5.87 0.47 - - 5.85 (0.11) 22.72 9.19 15.70
Note: Cumulative Liquidation and Non Performing Loan (NPL) are calculated as a percentage of cut-off balance. All other numbers are calculated as a percentage of current balance. NPL is the sum of 30+ day delinquencies and
cumulative liquidations. Source: Barclays Capital

6 May 2010 15
Barclays Capital | CMBS: Update on April Remittances

Appendix D: CMBX.4
SS-Cur 30 Days Delq 60+ Days Delq Cum Liq NPL
WALA Servicer’s Pro MR DSCR
(mth) Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Watch List Forma < 1.1

CMBX.4.Average 33 5.94 1.74 1.01 (0.28) 8.08 0.83 0.16 0.02 9.16 0.56 22.92 16.06 30.15
BACM 07-2 34 25.14 17.80 2.96 2.09 5.72 - 0.28 - 8.86 2.06 15.74 24.99 43.75
BACM 07-3 33 11.03 (0.16) 0.44 (5.45) 17.03 5.89 - - 17.43 0.44 13.03 29.91 36.77
BSCMS 07-PW16 34 14.88 14.88 0.36 (0.71) 4.09 0.55 0.54 0.40 4.93 0.23 17.72 19.32 32.19
BSCMS 07-PW17 31 0.34 (0.00) - (0.25) 7.28 0.25 0.53 - 7.70 (0.01) 15.18 7.45 19.48
CGCMT 07-C6 33 0.03 (0.06) 0.59 0.25 6.12 0.17 0.16 - 6.81 0.42 12.59 5.91 13.72
COMM 07-C9 32 - - - (3.06) 5.09 3.06 - - 5.08 (0.00) 17.51 22.48 15.64
CSMC 07-C3 34 4.31 (3.38) 4.60 4.21 9.08 0.17 0.20 - 13.76 4.32 25.64 7.54 36.98
CSMC 07-C4 31 0.79 0.40 0.28 (1.13) 12.93 0.93 0.92 - 13.92 (0.19) 44.77 29.09 51.76
CWCI 07-C3 32 1.29 0.00 0.81 (4.45) 7.46 4.90 - - 8.24 0.45 32.87 20.06 33.77
JPMCC 07-CB19 34 0.44 0.44 0.29 (0.36) 10.57 (0.11) 0.18 - 10.92 (0.47) 18.28 29.59 22.71
JPMCC 07-CB20 31 - (0.41) 0.41 (0.56) 5.35 0.26 0.10 0.10 5.82 (0.20) 21.66 3.69 23.38
JPMCC 07-LD11 33 - - 2.52 1.89 11.01 (1.82) - - 13.43 0.07 37.55 16.28 34.53
JPMCC 07-LDP12 32 2.44 1.47 2.00 (0.00) 4.04 (0.99) - - 5.93 (0.97) 26.49 13.92 31.00
LBCMT 07-C3 33 21.65 1.45 - - 12.07 (1.45) - - 12.06 (1.45) 17.18 2.16 35.79
LBUBS 07-C2 35 7.36 2.01 0.19 (0.59) 7.78 0.90 - - 7.94 0.31 15.93 6.83 20.20
LBUBS 07-C6 32 3.78 1.79 1.99 1.99 3.12 (0.00) 0.09 - 5.14 1.97 36.26 6.07 39.71
MLCFC 07-7 34 4.52 (3.00) 4.79 0.41 15.13 3.88 0.60 - 20.12 4.19 22.51 9.44 29.12
MLCFC 07-8 32 0.98 (1.10) 1.29 1.29 6.57 0.07 0.08 0.08 7.85 1.42 12.69 9.80 17.93
MLMT 07-C1 32 - (0.17) 0.17 0.05 5.77 0.11 0.00 - 5.87 0.16 14.20 11.03 13.40
MSC 07-IQ14 35 23.50 15.84 0.21 (0.24) 9.30 0.37 0.12 - 9.53 0.13 24.24 28.35 43.95
MSC 07-IQ15 32 - - 0.98 0.98 9.89 0.00 - - 10.77 0.97 28.90 5.56 28.35
MSC 07-T27 33 - - - (0.08) 3.60 0.08 0.06 - 3.62 (0.00) 9.72 2.19 8.24
WBCMT 07-C31 35 13.93 7.13 0.27 0.18 10.99 0.00 - - 11.18 0.17 32.88 35.90 48.58
WBCMT 07-C32 34 3.62 (10.87) - (0.58) 5.83 0.58 - - 5.81 (0.00) 31.38 34.53 36.77
WBCMT 07-C33 32 8.41 (0.50) - (2.82) 6.33 2.82 - - 6.31 (0.00) 28.19 19.42 36.01
Note: Cumulative Liquidation and Non Performing Loan (NPL) are calculated as a percentage of cut-off balance. All other numbers are calculated as a percentage of current balance. Shaded deals overlap in CMBX.4 and CMBX.5.
NPL is the sum of 30+ day delinquencies and cumulative liquidations. *Pending confirmation with servicer. Source: Barclays Capital

6 May 2010 16
Barclays Capital | CMBS: Update on April Remittances

Appendix E: CMBX.5
SS-Cur 30 Days Delq 60+ Days Delq Cum Liq NPL
WALA Servicer’s Pro MR DSCR
(mth) Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Watch List Forma < 1.1

CMBX.5.Average 29 1.39 (0.16) 0.77 (0.05) 8.53 0.43 0.13 0.03 9.35 0.40 24.05 12.90 26.43
BACM 07-4 29 0.26 (0.12) - (1.49) 7.38 1.72 - - 7.34 0.23 15.36 8.29 18.54
BACM 07-5 28 0.34 (3.55) - - 4.82 (0.00) 0.38 - 5.14 (0.00) 22.77 12.10 19.83
BSCMS 07-PW17 31 0.34 (0.00) - (0.25) 7.28 0.25 0.53 - 7.70 (0.01) 15.18 7.45 19.48
BSCMS 07-PW18 28 9.50 (0.00) 0.41 (0.49) 7.43 0.48 0.17 - 7.90 (0.01) 26.21 6.33 27.76
BSCMS 07-T28 30 - - 0.34 0.34 0.71 - - - 1.03 0.34 20.65 4.71 19.76
CD 07-CD5 29 0.20 (0.50) 0.57 (2.69) 11.94 3.19 - - 12.39 0.49 21.88 20.43 23.00
CGCMT 08-C7 24 - (3.40) 4.90 3.42 8.68 (0.37) 0.40 0.40 13.87 3.38 18.40 31.74 9.55
CSMC 07-C4 31 0.79 0.40 0.28 (1.13) 12.93 0.93 0.92 - 13.92 (0.19) 44.77 29.09 51.76
CSMC 07-C5 29 0.31 (0.48) 1.33 (0.79) 19.48 1.80 0.16 0.07 20.84 1.06 25.82 0.23 41.40
CSMC 08-C1 24 - - - - 16.49 (0.00) 0.19 - 16.52 (0.01) 20.73 - 25.72
GCCFC 07-GG11 30 - - - (0.25) 2.48 - - - 2.48 (0.25) 40.05 55.57 40.92
JPMCC 07-C1 28 2.92 2.92 - (2.92) 12.87 0.00 - - 12.77 (2.89) 16.39 19.44 18.39
JPMCC 07-CB20 31 - (0.41) 0.41 (0.56) 5.35 0.26 0.10 0.10 5.82 (0.20) 21.66 3.69 23.38
JPMCC 07-LDP12 32 2.44 1.47 2.00 (0.00) 4.04 (0.99) - - 5.93 (0.97) 26.49 13.92 31.00
JPMCC 08-C2 23 - (0.87) 0.70 0.70 23.08 0.00 - - 23.64 0.69 26.38 9.32 17.10
LBUBS 07-C6 32 3.78 1.79 1.99 1.99 3.12 (0.00) 0.09 - 5.14 1.97 36.26 6.07 39.71
LBUBS 07-C7 29 3.69 0.00 0.63 (0.07) 2.01 0.70 - - 2.63 0.63 32.70 1.24 41.04
LBUBS 08-C1 24 - - - - 9.79 - - - 9.66 (0.01) 20.23 - 33.85
MLCFC 07-8 32 0.98 (1.10) 1.29 1.29 6.57 0.07 0.08 0.08 7.85 1.42 12.69 9.80 17.93
MLCFC 07-9 29 2.30 0.15 1.12 1.12 7.61 (0.14) 0.21 0.15 8.84 1.10 20.42 25.94 28.40
MSC 07-HQ13 28 1.94 0.00 0.16 - 18.80 0.00 - - 18.76 (0.00) 9.79 28.02 25.04
MSC 07-IQ15 32 - - 0.98 0.98 9.89 0.00 - - 10.77 0.97 28.90 5.56 28.35
MSC 07-IQ16 29 4.99 (0.18) 0.34 (0.40) 4.00 0.79 0.08 - 4.39 0.39 13.96 9.41 19.24
MSC 08-TOP29 26 - - - (1.52) 2.99 1.52 - - 2.97 (0.00) 28.49 6.85 4.56
WBCMT 07-C34 29 - - 1.91 1.35 3.60 0.56 - - 5.46 1.89 35.09 7.22 35.08
Note: Cumulative Liquidation and Non Performing Loan (NPL) are calculated as a percentage of cut-off balance. All other numbers are calculated as a percentage of current balance. Shaded deals overlap in CMBX.4 and CMBX.5.
NPL is the sum of 30+ day delinquencies and cumulative liquidations. *Pending confirmation with servicer. Source: Barclays Capital

6 May 2010 17
Barclays Capital | CMBS: Update on April Remittances

Appendix F: Vintage Summary

SS-Cur 30 Days Delq 60+ Days Delq Cum Liq NPL
WALA Servicer’s Pro MR DSCR
(mth) Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Apr-10 Chg Watch List Forma < 1.1

Overall 55 3.68 0.18 0.96 (0.08) 7.22 0.50 1.31 0.06 7.55 0.35 20.03 7.44 22.98
< 2000 140 4.28 (1.33) 1.17 (0.17) 9.95 0.55 4.41 0.09 5.76 0.11 18.86 - 37.27
2000-2004 84 2.35 (0.45) 0.75 (0.01) 5.24 0.36 1.82 0.08 5.95 0.25 16.03 - 16.31
WBCMT 04-C11 72 0.89 0.89 2.61 (19.58) 24.29 18.68 - - 23.43 (0.83) 18.57 - 10.88
WBCMT 04-C14 68 - (4.17) 4.17 4.17 20.75 (0.00) 0.27 - 20.73 3.40 17.24 - 9.62
CCMSC 00-1 121 16.86 3.27 9.09 2.87 37.41 15.31 14.58 - 18.33 0.73 2.53 - 84.32
GMACC 01-C1 108 3.06 1.40 6.01 6.01 5.89 0.00 8.53 - 18.10 4.83 12.95 - 36.42
JPMC 00-C10 114 7.90 (4.49) - - 48.86 18.06 7.24 - 17.06 2.50 17.99 - 49.13
2005 56 5.19 0.47 1.11 0.15 5.98 0.18 0.43 0.05 6.74 0.29 17.84 2.41 16.16
CSFB 05-C2 59 0.54 0.11 0.23 0.23 24.74 0.12 0.33 - 21.94 0.28 17.34 - 39.03
GCCFC 05-GG3 62 2.22 0.01 0.64 0.44 23.70 (0.28) 0.58 0.29 20.19 0.33 9.42 6.05 11.10
GECMC 05-C1 62 7.88 (2.27) 2.80 2.03 11.03 0.03 0.21 0.21 11.15 1.80 8.34 6.56 10.07
GMACC 05-C1 58 6.08 0.45 0.67 (1.75) 10.59 2.64 3.51 - 11.15 0.44 39.16 3.65 27.12
BACM 05-3 57 17.68 1.22 1.61 1.11 9.28 0.59 0.14 - 10.16 1.48 11.39 - 17.98
2006 44 2.43 (0.13) 0.96 (0.10) 7.64 0.42 0.34 0.08 8.68 0.37 20.49 6.28 20.91
CSMC 06-C2 47 0.41 (0.00) 0.63 (0.10) 20.79 0.56 - - 20.79 0.42 18.33 - 24.32
JPMCC 06-CB14 49 0.94 0.00 3.21 (2.79) 12.78 3.83 0.25 0.25 15.79 1.21 16.63 6.76 22.77
WBCMT 06-C23 49 3.15 0.00 6.04 (0.14) 8.90 0.14 - - 14.57 (0.01) 16.60 19.95 28.08
MSC 06-TOP23 44 - - - - 13.50 (0.00) - - 13.06 (0.01) 9.85 - 7.43
GSMS 06-GG6 49 - - 0.67 0.67 12.06 - 0.28 - 12.70 0.65 25.23 0.31 19.13
2007+ 33 4.78 0.79 1.03 (0.27) 9.04 0.86 0.19 0.03 10.14 0.62 24.33 17.98 31.12
WBCMT 07-C30 37 0.70 0.39 0.50 0.50 21.46 0.00 0.09 - 21.97 0.49 32.09 49.19 48.37
MSC 07-HQ12 33 12.89 (8.50) 20.29 20.11 2.02 (2.74) - - 21.81 16.98 28.27 38.81 60.92
GECMC 07-C1 35 12.28 0.17 1.57 (8.28) 14.89 8.84 0.19 0.19 16.40 0.70 15.89 25.70 39.97
CWCI 07-C2 36 0.53 (0.52) 0.97 0.38 14.28 0.14 1.05 - 16.02 0.51 16.11 15.74 28.66
GSMS 07-GG10 33 1.12 (0.29) 0.63 (0.17) 13.43 0.71 0.28 - 14.30 0.53 36.74 34.71 45.38
Note: Cumulative Liquidation and Non Performing Loan (NPL) are calculated as a percentage of cut-off balance. All other numbers are calculated as a percentage of current balance. Top five delinquent deals in each vintage, ex-
CMBX, shown. Source: Barclays Capital

6 May 2010 18
Barclays Capital | CMBS: Update on April Remittances

CMBS RESEARCH CATALOG

Highlighted Publications/Presentations Surveillance Analytics Keyword

2/22/2010 Theories of CMBS relativity The Surveillance Platform provides Credit Risk Analysis for the
entire US CMBS Fixed Rate Universe
2/9/2010 Initial thoughts on AM CMBX
12/21/2009 CMBS 2010 Outlook: Mind the Gap(s) CMBS Deal Portal CMBSDeal
Click on deal name to access full suite of Surveillance Analytics
12/03/2009 Five CMBS Stories
Written analysis for all Delinquent and Specially Services Assets
09/03/2009 Reaction to legacy CMBS TALF
Bond Credit Evaluator CMBSCE
06/26/2009 A slight pullback by S&P
06/16/2009 CRE Debt in Contraction A CUSIP driven report for comparing multiple bonds
Use for relative credit analysis for CMBS bid lists
05/21/2009 Initial reaction to legacy CMBS terms
04/20/2009 Legacy TALF for CMBS: Updating upside Calculators/Models

03/25/2009 PPIP: Time for detox CMBX Calculator CMBXCalc

01/09/2009 CMBS in 2009: Deleveraging, defaults, and distress CMBS Single Security Calculator MCALC
11/14/2008 Negative CPA: Update on Commercial Property CMBS Multiple Security Calculator MSA
Values
CMBS Portal Pages
09/08/2008 Near-term Refinancing Risk in Fixed-Rate CMBS
Pools: An Update Publications CMBS
06/27/2008 A Macro Approach to CRE Fundamentals/CMBS Access our latest research
Losses: Part II Market Monitor CMBSMM
06/20/2008 A Macro Approach to CRE Fundamentals/CMBS CMBX & Cash Spreads and Index Returns
Losses: Part I
Calculators/Models CMBSCalc
05/30/2008 Pro Forma Now…Performing Later?
CMBS/X Calculators and Models Overviews
05/01/2008 CMBS: Chaos Theory
Surveillance CMBSSurv
05/01/2008 CMBS Derivative Workshop
Surveillance Tools and Reports
04/11/2008 A Guide to CMBS Loss-adjusted Yields
Index Analysis CMBSIndex
09/11/2007 CMBS Market Correction and Commercial
Property Valuations CMBS Indices' Returns

06/29/2007 Credit Performance by Property Market Size Charts CMBSTSP

05/11/2007 A Look at Early Stage Delinquencies Charts of relevant CMBS data series

03/21/2007 The Commercial Real Estate Cycle and CMBS Surveillance Reports

03/21/2007 Evolving Collateral Trends: Paradigm Shift or Delinquency Performance Reports

Slippery Slope?
Overall Performance
03/21/2007 Risk/Reward Across the CMBX Capital Structure Contributor Performance
02/15/2007 Risk/Reward Across the CMBX Capital Structure Deal Performance
11/22/2004 Moody’s-Lehman Brothers Study of Loss Severity
Property Type Performance
in Defaulted CMBS Loans
State Performance
Primers
Vintage Performance
06/26/2008 CMBX Calculator on LehmanLive
11/08/2007 CMBX Valuation: Version 2.0 of Loss Dispersion Prepayments
Approach List of Prepayments and Penalties
03/17/2006 Introduction to CMBX Historical CPR Report
11/21/2005 Credit Default Swaps in CMBS: An Introduction

6 May 2010 19
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