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CRE Finance World, Summer 2012

U.S. CMBS Balloon Wave Table 2 Balloons Due in 2012 by Loan Term Source: Bloomberg, as of April 24, 2012 “Less than 5-year” includes short term floating-rate loans. “5-year” includes loan terms between 60 to 72 months In Chart 2, the balloons are broken down by loan status, focusing on 2006 and 2007 vintages. The majority of the 2006 vintage loans are distressed and unable to pay off at or prior to maturity, and it would not be surprising to see this trend exacerbated by 2007 vintage tracking a similar fate with about a third of the non-matured/ Source: Bloomberg, as of April 24, 2012 non-special serviced loans already on servicers’ watchlists. Upon further investigation, modified loans of the 2006 and 2007 Chart 2 vintage show the number of extended months varied, from as short Balloons by Vintage and Loan Status as a few months to over 60 months, but on average maturities were extended around 36 months. Some of the loans with short extensions are temporary, until a final resolution has been determined by the special servicer or have additional optional extension provisions. This historical observation should be considered when evaluating CMBS bonds highly exposed to balloon risk. For balloon exposures by deal, Table 3 lists the deals with the largest exposures, including those deals with multifamily bonds (“A1A” classes) that could also be affected by extensions. Eight fixed-rate conduit and seven floating-rate deals have at least $500 million of loans scheduled to pay off in 2012. A publication of Summer issue 2012 sponsored by CRE Finance World Summer 2012 55


CRE Finance World, Summer 2012
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