ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE DISCLOSURE APPENDIX.

FOR OTHER
IMPORTANT DISCLOSURES, PLEASE REFER TO https://firesearchdisclosure.credit-suisse.com

.

14 October 2011
Fixed Income Research
http://www.credit-suisse.com/researchandanalytics
CMBS and CMBX spreads and prices
Trailing 12-mth
CMBS swap
spread 10/13/11
1-wk
chg Min Max Avg
AAA 5yr 300 0 235 300 266
AAA 10yr 300 -5 157 305 216
GG10 A4 370 -10 173 390 250
AM 775 0 245 825 447
AJ 1725 0 450 1725 911
CMBS price
AA 10yr 40 0 26 64 47
A 10yr 24 0 20 44 32
BBB 10yr 14 0 6 17 13
BBB- 10yr 9 0 5 12 9
New issue CMBS
AAA 5yr (30% CE) 175 0
AAA 10yr (30% CE) 175 0
AAA Junior 340 0
AA 515 15
A 615 15
BBB- 815 15
CMBX.3
AAA 86.9 0.8 85.3 97.1 93.6
AM 72.7 1.2 70.8 94.9 86.7
AJ 53.7 0.9 51.6 90.1 76.3
BBB 11.3 -0.1 11.2 23.8 17.8
BBB- 9.8 0.1 9.5 19.1 15.3
Source: Credit Suisse, Markit
Research Analysts
Roger Lehman
+1 212 325 2123
roger.lehman@credit-suisse.com

Serif Ustun, CFA
+1 212 538 4582
serif.ustun@credit-suisse.com

Sylvain Jousseaume
+1 212 325 1356
sylvain.jousseaume@credit-suisse.com

Tee Chew
+1 212 325 8703
tee.chew@credit-suisse.com


CMBS Market Watch Weekly
Securitized Products Americas
Market activity and relative value
It was another relatively quiet week in which cash CMBS spreads were
steady to perhaps marginally tighter, despite higher equity prices and
generally tighter credit spreads.
Our recommendation remains unchanged: we believe the most senior part of
the capital stack (super-seniors and AMs) holds the best relative value. In the
legacy deals, we prefer the back-end tranches.
In AJs there is also value, but more security selection is needed. We prefer
the better name AJs, but at current dollar prices, we think that some of the
lowest-priced AJs are also becoming interesting.
Although there were muted flows, the front TRX.II contracts tightened to
cash, largely correcting the relative cheapness of the index we noted last
week.

CMBS-related news
With October remittance reports starting to be released this week, a number
of CMBS-related loans have been in the news. We discuss the mod on 575
Lexington Avenue, Innkeepers news, the bid on a CNL hotel loan property
and several GGP-related stories, among others.

A-/B-note modifications
When we did our analysis of loan modifications a few weeks ago, one of the
things that struck us was the heavy use of the A-/B-note modification, in
which the B-note is sometimes called a hope note.
The complexity of these modifications is generally greater than others and
understanding the mechanics is difficult, especially given the lack of
disclosure and standardization.
There are certainly times when we believe the hope note modification makes
sense, but there are other times when it does not seem warranted.
We look at the proportion of modifications that receive this type of
modification versus the rest of the modified universe as well as what may be
some indications of the proportional split between the size of the resulting A-
note and B-note.

14 October 2011
Market activity and relative value
It was another relatively quiet week in which cash CMBS spreads were steady to
perhaps marginally tighter, despite higher equity prices and generally tighter credit
spreads. Although the focus globally remains on resolving problems in the euro zone,
CMBS appears to have been far less reactive to headlines over the past few weeks than it
was throughout the summer.
Case in point was the equity rally that occurred Monday while the fixed income markets
were closed. Despite a 3% rally that day, there was hardly any follow through in CMBS
when investors arrived back at work, after the long weekend, on Tuesday. Equities
continued to rally throughout the week, with the S&P 500 finishing up 5.5% week over
week, staging the biggest weekly rally since July. Many credit spreads tightened as well,
with the IG index, for example, nearly 10 bp tighter on the week by mid-day Friday.
Yet despite this development and good news on the US economic front, with retail sales
coming in above expectations, CMBS spreads barely moved and volume on the week was
relatively light. The back-end legacy spreads were maybe a few bp tighter, with GG10s
quoted at S+375 bp (mid-market) on Friday afternoon, which is not too far from where it
was all week.
After seeing CMBS so tightly correlated with the macro-trade throughout the summer, that
relationship has decoupled over the past few weeks. Our sense is that the Streets position
is very light and that there is a general unwillingness to add too much risk at this stage. At
the same time, while investors still have interest in certain CMBS sectors, many have
moved to the sidelines. This could make for a slow, range bound couple of weeks and
could persist until market participants start setting up for the new year. Alternatively, given
the reduction in liquidity, a market move (in either direction) could be exacerbated if the
supply/demand dynamic were to change suddenly.
Nevertheless, we still believe there is good relative value in the sector. The move in
competing markets (with the exception of PrimeX) has made CMBS look more attractive,
in our view. Furthermore, the shift to higher yields over the past two weeks should only
help to attract more investors to the sector. The 10-year has gone from a recent low of
1.76% at the start of the month to 2.25% today.
Our recommendation remains unchanged: we believe the most senior part of the
capital stack (super-seniors and AMs) hold the best relative value. In the legacy deals,
we prefer the back-end tranches. In AJs there is also value, but more security selection is
needed. We prefer the better name AJs, but at current dollar prices, we think that some of
the lowest-priced AJs are also becoming interesting. There is also good value in select
tranches down in credit, but a blanket recommendation cannot made, and many of these
bonds remain too rich.
Turning to the recently issued (2010/2011) market, spreads were also unchanged this
week at the top of the stack. We still like these bonds, as they are attractive from a relative
value standpoint, and we believe that spreads will tighten. However, we see better value in
the legacy market, given the spread pickup. The lack of new issuance over the remainder
of the year should also help to keep the recently issued sector in check.
TRX.II saw muted flows again this week and the benchmark cash index closed 2.5 bp
tighter week over week (to Thursdays close), a further indication of little change in new
issue spreads. However, despite that outcome and light volumes, the quoted spreads on
the TRX.II indices all tightened more, with the near-term index (December 2011) rallying
13 bp. We noted last week that we thought there was good relative value in the TRX.II
indices (despite a lack of trading volume), and this was especially true in the front names.
At this point there are a few bp of value left to extract, but the vast majority of spread
tightening, relative to cash, has already been achieved, in our view.
CMBS Market Watch Weekly 2
14 October 2011
While CMBS underperformed stocks and corporates, it was not under the same pressure
as PrimeX, which has dramatically underperformed since the start of the quarter. There
have been some macro entrants into this sector and related press stories about it being
the next subprime. Nevertheless, the PrimeX trade has not weighed on CMBX, which was
up this week at the top of the capital stack. Triple-A CMBX rallied 0.65 to 0.80, with AMs
up even more. CMBX AJs also did well, although less consistently (AJ2s were the laggard).
CMBS-related news
With October remittance reports starting to be released this week, a number of CMBS-
related loans have been in the news.
575 Lexington Avenue modified
BACM 2007-1 and BACM 2007-2
The loan, backed by 575 Lexington Avenue, has been modified. Prior to the modification, the
securitized loan totaled $320 million ($325 million original). The loan was split into two equal
components and placed in BACM 2007-2 (approximately 5% of the deal) and BACM 2007-3
(4.2% estimated exposure when it reports this month). The loan was transferred to special
servicing in March 2010 and has been 60+-days delinquent since April 2011. The sponsors of
the property are Silverstein Properties and the California State Teachers Retirement System.
The BACM 2007-2 remittance report reveals that a modification was completed at the end
of September. The modification included a $75 million paydown, a change in the payment
structure and a maturity extension. The BACM 2007-1 deal has not yet released the
October remittance. Some of the information on the modification was reported in the
servicer commentary, but no modification template was provided.
The $75 million paydown resulted in a $31.8 million reduction in balance to the piece in
BACM 2007-2. The rest of the proceeds appear to have gone to pay down the
accumulated ASERs and the P&I advances.
The accrual rate on the loan is unchanged at 5.73%, but the pay rate for the next 24
months will be at 5%. The difference will be capitalized and added to the balance of the
loan. The difference in the payment and the accrual rate comes to approximately $78,000
per month on each of the components. This should lead to a shortfall, but less than the
shortfall from the loans recent delinquency.
Lastly, the loans maturity date was extended for three years from October 2013 to
October 2016. There was no mention about any changes in the prepayment provisions of
the loan, but these are often lifted when a loan gets extended.
This modification is a reminder of the cash flow volatility to which many of the front pay
bonds are exposed. The combination of the paydown from 575 Lexington as well as the
recovery of $67 million on Franklin Avenue Plaza (also in BACM 2007-2) led to a $93
million paydown on the A2 class in October.
The remittance reports for October have not been released on BACM 2007-1, but there
will likely be the same paydown from the 575 Lexington Avenue loan.
CMBS Market Watch Weekly 3
14 October 2011
Innkeepers appears to be close to a new agreement
LBUBS 2007-C6 and LBUBS 2007-C7
The trial over the decision by a joint venture to pull out of the planned purchase of a
portfolio of Innkeepers hotels, by invoking the material adverse clause (see our weekly
date August 25, 2011) was delayed this week as the two sides are in negotiations over a
new deal.
The joint venture of Cerberus Capital Management and Chatham Lodging Trust was
supposed to buy the properties in a deal for $1.1 billion. This would have included the
hotels backing the loans in LBUBS 2007-C6 ($412.7 million, 14.1% of the deal) and
LBUBS 2007-C7 ($412.7, 13.1% of the deal).
Once they pulled out, Innkeepers sued, asking the court either to force the joint venture to
complete the purchase or, alternatively, to pay damages.
There have been press reports all week that the two sides are negotiating to complete the
sale but at a lower price. Some reports estimate this to be $1 billion, below the original
agreed amount of $1.1 billion but above the original bid by another potential buyer.
Trump bidding on the Doral property in CNL deal
COMM 2006-CN2A
The owners of the properties backing the CNL Hotels & Resorts loan (the only loan
backing COMM 2006-CN2A) revealed that they have received a stalking horse bid for the
Doral Golf Resort and Spa for $170 million ($245K per key). The Florida property is the
fourth largest asset of the five resorts in the portfolio loan. The Wall Street Journal reports
that the bid is from the Trump Organization.
This bid comes after last weeks news that the Paulson Resort and Winthrop Realty Trust
reached a deal with key junior lenders, GIC and MetLife, to extend the bankruptcy case
through August of next year, allowing more time for the two parties to restructure and
recapitalize the troubled portfolio (see our previous News Alert).
Given the ongoing bankruptcy status, it is unclear when and how any proceeds from the
Doral sale, when it does take place, would be allocated to the trust.
The $170 million bid is 23% lower than the appraised value at the time of securitization but
well above the $102 million allocated balance and the $95 million re-appraisal from May
2011. In addition, the performance in the first several months of 2011 reflects a substantial
improvement in net cash flow, although we are cognizant that this is only for a seven-
month period. We show the recent seven-month cash flow on an annualized basis in
Exhibit 1. For the five properties, the reported cash flow went from $43 million in 2010 to
$85 million, at an annualized rate for the January to July 2011 period.
Exhibit 1: COMM 2006-CN2A properties
Name City State Keys
Value at
securitization
(in millions)*
May 2011
re-appraisals
(in millions)
UW NCF
(in millions)
2010 NCF
(in millions)
Jan-Jul 2011
NCF*
(in millions)
The Grand Wailea Resort Hotel & Spa Wailea HI 780 877.5 602.2 61.5 30.6 37.6
La Quinta Resort & Club and PGA West La Quinta CA 796 524.4 136.7 38.7 0.9 16.7
Arizona Biltmore Resort & Spa Phoenix AZ 739 447.3 255.4 30.7 14.6 19.8
Doral Golf Resort & Spa Doral FL 693 220.7 95.0 21.4 -2.1 12.7
The Claremont Resort & Spa Berkeley CA 279 96.7 42.8 7.2 -1.2 -2.0
3,287 2,166.6 1,131.1 159.6 42.8 84.8
* annualized amounts
Source: Credit Suisse, Trepp
CMBS Market Watch Weekly 4
14 October 2011
GGP loans in the news
Riverchase Galleria (BACM 2006-6)
There have been several news reports that
the landlord of Riverchase Galleria has
reached an agreement to sign Von Maur
as a new department store tenant. The
new tenant would fill the location formerly
occupied by Macys. The space totals
255,000 square feet and has been vacant
since 2003. From the term sheet, it would
appear that the space is not part of the
collateral for the loan.
Exhibit 2: Riverchase Galleria

Source: The Birmingham News
Part of the Riverchase Galleria property
secures a $305 million loan in BACM
2006-6 (13.4% of the deal). We last
discussed this loan (and the re-appraisal
of the property) in our weekly dated
September 16, 2011. The status of this
loan has bounced around some since it
moved into special servicing in June 2010.
It is currently less than 30-days delinquent,
but there have been some advances, as
the cash flow from the property is not
enough to cover the reserve accounts.
In addition, a proposal has been submitted to redevelop the Wynfrey Hotel at the mall
(also not part of the loans collateral) as a Hyatt. According to the press reports, the
redevelopment costs would total $60 million to $90 million, according to the proposal made
to the Hoover City Council on Monday. In return, the landlord is asking the city to provide a
sales tax rebate over the next 10 years of up to $25 million.
The mall was the states biggest shopping destination in 2010, according to the Alabama
Tourism Department. However, a downturn in the economy and competition from other
locations, including The Summit in Birmingham, has led to pressure of late.
Despite the renovations not being part of the collateral, filling the anchor space and other
changes could certainly help the overall positioning and foot traffic at the mall. In addition,
the proposed investment demonstrates the owners commitment to the property.
Faneuil Hall (BACM 2006-2)
Ashkenazy Acquisition Corp completed this week the purchase of the ground lease on
Faneuil Hall Marketplace in Boston from GGP. The deal is for $140 million on the 63-year
lease for the 371,630 square foot property that GGP was leasing from the city of Boston.
The lease is securitized in BACM 2006-2 at $91.1 million (3.6% of the transaction).
The loan was subject to a modification, as part of the GGP bankruptcy restructuring, that
extended the original maturity to September 2016. The loan remains locked out for the
next 12 months (to its original lockout date) but then becomes fully prepayable.
GGP had been under pressure from the city of Boston because it had not been upgrading
the property or working closely with the local merchants. A statement by Ashkenazy said
that it expects to make future improvements.
CMBS Market Watch Weekly 5
14 October 2011
GGP loans in MLCFC 2006-4 one paydown and one big loss in October
As we discussed previously (see our September 23, 2011 weekly) the Northgate Mall was
sold at an auction. This property, securitized in MLCFC 2006-4, was one of the GGP
special consideration properties and was part of the bankruptcy filing but no modification
agreement was reached. The company listed the mall as one of its 13 special
consideration properties. Prior to the disposition, the loans balance totaled approximately
$43.4 million (1% of the deal). As expected, the loss totaled $32 million, causing a
complete loss on Class M and Class L and a partial write-down of Class K (originally rated
BB-, BB and BB+, respectively).
In the same transaction, the loan on the First Colony Mall was paid off this month. The
loan (amortized down to $182 million) was due in October, so this was expected. This loan
was refinanced by financing from MetLife and New York State Teachers and is an
example of how private lenders have ramped up financing over the past few quarters.
Two malls refinanced, will pay off (MSC 2006-IQ12 & WBCMT 2006-C29)
In fact, there are two other GGP malls that received financing from MetLife and New York
State Teachers, according to Commercial Mortgage Alert. Neither of the deals that have
exposure have reported for October as of yet, but we would expect to see these loans
retired when the reports are published.
The Natick Mall loan is securitized in MSC 2006-IQ12 ($225 million, 9.2% of the deal).
This loan was also set to mature in October 2011 and was not part of the GGP bankruptcy.
In addition to the securitized portion, there was $125 million of mezzanine debt. The
proceeds from the new loan, which has an eight-year term, total $450 million.
The Galleria at Tyler backs a $205 million loan in WBCMT 2006-C29 (6.3% of the deal).
The loan is due in October, and like the others that are refinancing, it was not part of the
companys bankruptcy proceedings. The new loan totaling $250 million and will refinance
the senior portion as well as the $45 million B-note that was held outside the trust. The
new loan has an eight-year term.
Victoria Ward Industrial pays off (COMM 2006-C8)
Another GGP loan was also reported as fully paid off, with no loss, in October. The loan is
backed by Victoria Ward Industrial and was securitized in COMM 2006-C8 ($88.5 million
or about 2.7% before the payoff).
Although the loan was originally due this month, it received a five-year extension as part of
the GGP bankruptcy. The latest financials, as of year-end 2010, showed the loan barely
covering at 1.01x DSCR.
Maturing five-year term loans go to special servicing
LBUBS 2006-C7
Fitch reported that the three large loans, representing 7.6% of the LBUBS 2006-C7
transaction, were transferred to special servicing due to maturity default. All three were
originated as interest-only loans with five-year terms and hit the scheduled balloon date
this month.
Tishman Speyer is the borrower for the $116 million (4.1% of the deal) Colony Square and
the $65 million (2.3% of the deal) Midtown Plaza loans, both located in Atlanta. The $32.8
million loan (1.1% of the deal) backed by Archstone Woodlands Apartments is located 14
miles north of Atlanta and is sponsored by the real estate development and investment
company, Lyon Communities, which is headquartered in Newport Beach, CA.
CMBS Market Watch Weekly 6
14 October 2011
The loans share a well-known script, emblematic of legacy CMBS problems: underlying
properties were purchased at near peak values in late 2006, the pro-forma underwriting
never materialized and the debt service ratios have remained below 1.0x since
securitization for all three loans. According to Costar, Colony Square and Midtown Plaza
are 73% and 71% leased, respectively. Archstone Woodlands Apartments occupancy rate
is 90%. CWCapital is the special servicer.
Exhibit 3: The three loans transferred to special due to maturity default
Loan
Property
Type
Balance
($mn) Deal Pct Sqft / Unit City State
Colony Square Office/Retail 116.0 4.11% 827k SF Atlanta GA
Midtown Plaza Office 65.0 2.30% 494k SF Atlanta GA
Archstone Woodlands Apartments Multifamily 32.8 1.16% 644 units Smyrna GA
Source: Credit Suisse, Trepp
Bank of America Tower at Las Olas City Center sold
COMM 2005-LP5
The sale of Bank of America Tower at Las Olas City Center, an office building in Fort
Lauderdale, closed this week. The office building totals approximately 365,000 square feet
as well as 40,000 square feet of retail space and sold for approximately $164 million. The
building, which is also known as Bank of America Plaza, backs a loan in COMM 2005-LP5,
which totals $90 million (8.6% of the deal). The sale price implies a current LTV of 55%.
The loan is due in April 2015 and subject to defeasance through the end of 2014. The
recent sale price is well above the February 2005 appraised value of $123 million.
Oak Park Mall changes hands implies a high LTV
BSCMS 2005-PW10
A joint venture between TIAA-CREF and CBL Associates closed on a $1.1 billion
transaction to buy four shopping malls in the Southeast. One the four was the Oak Park
Mall in Kansas City, KS.
The 1.5 million square foot Oak Park Mall backs a $275 million loan in BSCMS 2006-
PW10 (11.8% of the deal). The reported purchase price for this property was $289 million
(implying a LTV on the loan of around 95%). The propertys appraised value in October
2005 was $394 million. The loan is not due until December 2015.
Rushmore Mall reappraised well below balance
BACM 2006-3
The Rushmore Mall backs a $94 million loan (5.5% of the deal) in BACM 2006-3. The
property backing the loan was recently re-appraised at $45 million as of the latest set of
remittance reports. The property is owned by Simon. This is a 62% appraisal reduction
and significantly lower than the $117.5 million securitization appraised value.
The loan remains current as of October but was transferred to the special servicer in July.
The servicing notes describe a JC Penney lease that expired at the end of August. JC
Penney occupied 12% of the 737K square feet of space. The tenant wanted the
construction of new space, but the borrower believes the property is worth less than the
loan amount and is not willing to invest in the property without a modification.
CMBS Market Watch Weekly 7
14 October 2011
As of the latest set financials from the first quarter, the DSCR was 1.13x and the
occupancy was 97%.
Shortfalls for this deal are already reaching Class B (originally double-A) in October. If this
loan stops paying, the shortfalls could go even higher up the stack.
The A-/B-note modifications
When we did our analysis of loan modifications a few weeks ago, we reclassified each
loan into two major categories that we called material and non-material modifications. We
then further categorized the material modifications into three broad categories:
1. A maturity date change this is a change in balloon date (of more than four months);
2. A payment change this is a change that will affect the stream of cash flows, not just
the timing of loan level cash flows. These include changes in rate, amortization or
principal balance; and
3. A combination many modifications involve both a cash flow/payment change and a
maturity date change.
One of the things that struck us when we did this analysis was the heavy use of the A-/B-
note modification or what is also sometimes called a hope note. These modifications can
fall into either category 2 or 3.
Generally, the A-/B-note modification involves splitting the note up into two parts: a senior
portion (the A-note) that pays some level of interest (and possibly some principal) and a B-
note that is subordinate and usually does not pay interest (more on this below) and may
pay principal (hence the term hope-note). In addition to the structure, these type of
modifications often call for the borrower to put up additional funds to pay down the balance,
fund reserves, pay past due interest, etc.
There are certainly times when we believe the hope note modification can make sense but
other times when it does not seem warranted. These are some of the more complex
modifications, as they usually involve splitting of the loan into additional pieces with
varying and non-standard payoff waterfalls. The added level of complexity adds difficulty in
evaluating (and modeling) these structures. Moreover, we believe that many of these B-
notes will very likely prove worthless in the end.
The universe of A/B-note modifications
We have identified $4.8 billion of loans that have made use of the A-/B-note split. This is
about 14% of the $34.2 billion in material conduit modifications in our database. If we
exclude the GGP bankruptcy-related loans and the Beacon Seattle and DC modification
(which total $11.2 billion and skew much of the modification data), A-/B-note modifications
jump to a more significant 21% of the total conduit universe modified, by balance.
By count, a total of 103 loans (totaling 212 post-modification loan components) were
modified using the hope note structure. This is 11% of the entire material modifications
universe (12% ex-GGP/Beacon modifications) by loan count. For the rest of this report, we
shall focus only on material modifications ex-GGP/Beacon modifications.
Exhibits 4 and 5 stratify the loans in our modification database by size and we compare
the A-/B-note modifications to the other material modifications. The conclusion is that
larger loans have a higher tendency to get modified using the A-/B-note split. The divide
seems to occur at the $25 million mark, with A/B-note modifications making up at least
22% of the three larger loan size buckets (by balance and count).
CMBS Market Watch Weekly 8
14 October 2011
Exhibit 4: Loan size bucket by balance Exhibit 5: and by loan count
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
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10%
15%
20%
25%
30%
A/B-splits
Other material mods
% of mods using the A-/B-note split (RHS)
$bn

0
20
40
60
80
100
120
140
160
180
200
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30%
A/B-splits
Other material mods
% of mods using the A-/B-note split (RHS)
Count
*Other material mods exclude GGP/Beacon and A/B-splits
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
*Other material mods exclude GGP/Beacon and A/B-splits
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
A similar analysis by vintage shows that the less seasoned loans have a higher likelihood
of using an A-/B-note split modification (Exhibits 6 and 7). This is not surprising, as the
later vintage legacy loans (those from pre-2010 deals) tend to be larger in size. As we
discussed in our liquidation analysis, the mid- to smaller-sized loans (less than $25 million)
tend to get liquidated, while the larger loans are more likely to be modified.
Exhibit 6: Vintage by balance Exhibit 7: and by loan count
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0%
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20%
30%
40%
50%
60%
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A/B-splits
Other material mods
% of mods using the A-/B-note split (RHS)
$bn


0
20
40
60
80
100
120
140
160
p
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2
0
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6
2
0
0
7
2
0
0
8
0%
5%
10%
15%
20%
25%
30%
35%
A/B-splits
Other material mods
% of mods using the A-/B-note split (RHS)
Count
*Other material mods exclude GGP/Beacon and A/B-splits
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
*Other material mods exclude GGP/Beacon and A/B-splits
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
In Exhibit 8 we show the number of loan modifications that used the A-/B-note split
structure over time. As noted in our initial piece on modifications, we group modifications
by actual modification date and not when the modification is first reported by the servicer
in the remittance report. Therefore, the drop off in the number of A-/B-note modifications in
the past few months reflects a reporting lag and should not be seen as a sign of decline in
the use of this strategy. That said, there is not really a discernible trend over time apart
from a general increase after December 2010.
CMBS Market Watch Weekly 9
14 October 2011
Exhibit 8: A/B-split modifications over time
0
200
400
600
800
1,000
1,200
A
p
r
-
0
9
J
u
n
-
0
9
A
u
g
-
0
9
O
c
t
-
0
9
D
e
c
-
0
9
F
e
b
-
1
0
A
p
r
-
1
0
J
u
n
-
1
0
A
u
g
-
1
0
O
c
t
-
1
0
D
e
c
-
1
0
F
e
b
-
1
1
A
p
r
-
1
1
J
u
n
-
1
1
A
u
g
-
1
1
0
2
4
6
8
10
12
B/C-notes
A-note
Count (RHS)
$mn Count
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
From the chart, we can also get a preliminary sense of the size of the splits. Of the $4.8
billion of A-/B-split loans, 69%, or $3.3 billion, are structured as A-notes, while the
remaining 31%, or $1.5 billion, are modified into B-notes (including four instances of C-
notes totaling $13.8 million). We show the five largest loans to use the A-/B-note
modification strategy in Exhibit 9. In addition to the size, its also important to understand if
these loans are paying.
Exhibit 9: Largest loans to employ the A-/B-note modification strategy
Before modification After modification
Loan (Deal)
Bal
($mn)
Cpn
(%)
Amort.
Type
Maturity
Date
Write-
down
($mn)
Pay-
down
($mn) Notes
Bal
($mn) Cpn (%) Amort. Type
Maturity
Date
A-Tranche 205.9 5.7 Full IO Jan-19 Four Seasons Resort Maui
(CD 2007-CD4)
250 5.7 Full IO Jan-14
B-Tranche 44.1 5.7 Full IO Jan-19
A-Tranche 144.1 5.7 Full IO Jan-19 Four Seasons Resort Maui
(GECMC 2007-C1)
175 5.7 Full IO Jan-14
B-Tranche 30.9 5.7 Full IO Jan-19
Total 425 5.7 425 5.7
A-note 73.1 4.35 Full IO Jan-17 World Market Center II
(BSCMS 2007-PW15)
345 6.35 Full IO Jan-17 71.9
B-note 200.0 0 80% of excess cash flow to
pay down balance
Jan-17
Total 273.1 1.16
A-note 94.3 6.02 Full IO Jul-15 World Market Center
(BSCMS 2005-PW10)
211 6.02 Partial IO
(Amort)
Jul-15 10.7
B-note 106.0 0 80% of excess cash flow to
pay down balance
Jul-15
Total 200.3 2.83
A-note 140.0 6.04 Full IO Jun-15 Peachtree Center
(GCCFC 2007-GG9)
207.6 6.044 Full IO Jul-12
B-note 67.6 0 Jun-15
Total 207.6 4.08
A-note 100.0 5.5 Full IO Aug-16 Pointe South Mountain Resort
(GSMS 2006-GG8)
190.0 6.68 Partial IO
(IO)
Aug-16
B-note 90.0 0 Aug-16
Total 190.0 2.89
Source: Credit Suisse, Trepp
There is very little standardization of the A-note profiles other than most are currently cash
flowing and some of them may even be paying down through amortization. Although the
majority are currently paying interest, the rate on some of these components has been
reduced versus the original rate. The difference between the pre-modification interest rate
CMBS Market Watch Weekly 10
14 October 2011
and the payment rate accrues in some cases, and in other cases it is simply forgiven.
There are also cases were the modified A-note rate will change over time. In most of
these, the rate is lower versus the pre-modified coupon but can step up, over time, to
return to the pre-modification rate. In other cases, the change in rate applied to the A-note
is permanent and remains at that lower level until maturity.
In contrast, a large majority of the B-notes are currently not cash flowing. As far as we can
tell, only four B-notes are currently paying interest. For example, the Crown Commerce
Center B-note pays interest at the WSJ Prime Rate and the 135 Crossways Park Drives
B-note pays interest once every 12 months. Both of these loans are in GMACC 2002-C1.
The rest of the B-notes are either structured with an interest rate of zero percent or, in
other cases, the interest accrues.
While the reporting of the terms of the modifications has improved over the past year, we
still find that in many cases the essential information is lacking. It is often difficult to
determine if a B-note that does not appear to be currently cash flowing is structured that
way or there is just not enough cash flow to service the B-note. Often, the modification
template or special servicers comments refer vaguely to paying in accordance to (some)
cash flow waterfall, which is not described in any of the available documents. An example
of such a vague comment is the description of the Highwoods Portfolio57 modification
which says B note will accrue but payments will be pursuant to the Capital Event
Waterfall without defining either a capital event or describing the waterfall.
An attempt to demystify the A/B-split
We mentioned above that the modified
balance is split, on average, approximately
70% into an A-note and 30% to the B-note.
There is some dispersion around the
range, however. The next natural question
is why are loans split differently? Why
would one loan be split 50/50 while
another gets split 70/30 between the A-
and B-note?
We first take a look at the distribution of
the A-note size in Exhibit . The majority
of the A-notes are between 60% and 80%
of the post-modification balance, with the
smallest percentage being 41%.
10
Exhibit 10: Histogram of A-note size
Ideally, the loan is modified in a way that
will allow the borrower to continue to meet
the obligations on the new A-note while
maximizing the recovery of the overall loan to the trust. We would expect that both LTV
and post-modification DSCR would be factors in determining the relative size of the A-/B-
note split. We would argue that LTV becomes more important on the modifications where
the borrower inserts new equity in the transaction that takes priority over (or is pari-passu
with) the payoff of the B-note.
0
5
10
15
20
25
30
35
40-
50%
50-
60%
60-
70%
70-
80%
80-
90%
>90%
Count
A-note size (% of A/B-notes combined)
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL
service
A-note LTV: A-note split size versus appraisal
When a loan is transferred to the special servicer, the servicer is required to get an
appraisal. This, among other things, allows them to better design a workout strategy that
maximizes the net present value to the trust.
CMBS Market Watch Weekly 11
14 October 2011
We compare the size of the A-note as a percentage of the most recent appraised value in
Exhibit 11. We have taken care to make sure the appraised value is relevant and not stale,
so we show the percentage versus the number of months between the most recent
appraisal date and the modification (negative numbers means the appraisal happened
before the modification). We have cut off the outliers, where the most recent appraisal is
more than two years old.
Exhibit 11: Most A-notes are split within a certain band with respect to appraisal
A-note bal % of appr val
0%
50%
100%
150%
200%
-25 -20 -15 -10 -5 0 5 10 15
Number of months between MR appraisal date and modification date
Source: Credit Suisse, Trepp
Disregarding some outliers, the majority of the A-notes have recent implied LTVs between
80% and 140% (an A-note LTV). A total of eight loans did not have appraisals within two
years of the modification (not shown on the exhibit). On the other side, if the most recent
appraisal is dated more than six months after the modification, the relationship breaks
down too.
We think it makes sense to have as high an A-note LTV as possible provided that the cash
flow can support it. This is especially true if there is preferred equity that comes before the
B-note in the payoff waterfall. We find it more disconcerting when the LTV is below 100%
and the DSCR is above 1.0x. While the A-note seems to be safer from this perspective, it
would also appear that the split on these loans is more favorable to the borrower.
A-note DSCR: A function of A-note split size and coupon
This naturally brings us to the performance of the loan post-split but before its balloon
date. With respect to this, we look at the A-note DSCR, using the reported financials within
a year of the modification and calculating the debt service on the A-note. Of course the A-
note debt service is a function of both the size of the A-note and the coupon rate. Both of
these factors are subject to modification. We have taken the reporting of financials at face
value. We realize that the complexity of the A-/B-note modifications can complicate the
financial reporting, but we believe this has generally improved over time.
Exhibit 12, which plots the A-note LTV versus the A-note DSCR, shows a strong
relationship between the two metrics (using only appraisals and financials near to the
modification date). We divide the plot into six unequal sectors, with DSCRs above and
below 1.0x as well as three ranges for LTV (below 100%, 100-140%, and above 140%).
CMBS Market Watch Weekly 12
14 October 2011
As would be expected, the majority of
loans fall above the 1.0x DSCR line. Some
of these loans above 1.0x DSCR have
LTVs less than 100%, but most of these
are relatively close to 100% LTV. Based
only these metrics, the modified A-note on
these loans should be relatively safe.
Exhibit 12: Modified A-note DSCR vs.
LTV
(0.5)
-
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
0
%
5
0
%
1
0
0
%
1
5
0
%
2
0
0
%
2
5
0
%
A-note LTV
A
-
n
o
t
e

D
S
C
R
100%140%
Source: Credit Suisse
There are also a good number of loans that,
as we noted above, are between 100% and
140% LTV but with a modified DSCR above
1.0x. If there is no further deterioration in
cash flow, these A-notes should perform
but may still take a loss at maturity unless
property valuations improve.
The three loans that fall in the upper right
section are covering from a debt service
perspective, but have rather high LTVs
versus the rest of the universe.
Most worrisome are the four A-notes that fall into the lower right section. These A-notes
have a high A-note LTV and below a 1.0x A-note DSCR. Of note, three out of the four are
backed by hotel properties. We do not see anything out of ordinary with these loans,
however, and as of September, these loans are current and performing.
Given the close clustering shown in Exhibit 12, it appears that when splitting a loan, the
servicer tries to balance between the implied leverage of the newly formed A-note and its
ability to cover its, albeit reduced, debt service obligation.
B-notes: Hope notes or hopeless notes?
We believe at this juncture many of the B-notes are unlikely to recoup much, if any, of the
principal owed. As we mentioned above, most of the B-notes are not currently cash flowing.
In many of the A-/B-note modifications, we have seen the borrower inject new equity or
capital. These funds are used to partially pay down the loan, to de-lever it or to establish
reserve funds, or a combination of both. In some cases, the equity infusion is also used to
recover prior interest shortfalls (although we would argue this should not be really
classified as new equity).
The priority of repayment of this new equity infusion very often comes before the
repayment of the B-note in the modification waterfall. Furthermore, there is very often a
return hurdle where the equity infusion is not only paid back, but paid back with interest (at
a high rate) before the B-note starts to recover any funds. Furthermore, the cash flow after
paying back the new equity and its preferred yield is, in some cases, shared between the
borrower and the B-note, sometimes with the larger share going to the borrower. We show
a couple examples of the waterfall below.
CMBS Market Watch Weekly 13
14 October 2011
Exhibit 13: Some examples of cash flow waterfalls
Example 1: 1100 Executive Tower
The new capital invested will accrue at a preferred return rate of 10%.
Waterfall priority as follows:
Tax and Insurance Escrow
Operating Expenses
A Note Interest (current and accrued, if any)
Sweep to Rollover/Capital Reserve up to $3,000,000
Rollover costs to the extent the Rollover Reserve is insufficient
Accrued return on preferred equity, if any
Current preferred equity
Amortization of A Note
Residual proceeds priority as follows:
A Note interest current and accrued (including any default interest)
A Note outstanding principal balance
Accrued return on preferred equity, if any
Current preferred equity return
Return of preferred equity corpus
75/25 split; 75% to the Lender applicable to the B Note accrued interest and principal balance, and 25% to the
Borrower
Residual includes excess land value/proceeds

Example 2: 1901 Newport Plaza
Excess monthly cash flow after debt and op expenses split 60/40 between borrower/lender.

Example 3: Market Street at DC Ranch
Repayment at Maturity/Refinance:
At maturity, proceeds will be applied to pay
(1) the A-Note in full,
(2) the Borrowers $3MM contribution (inclusive of a 5.5% annualized return),
(3) 70/30 split to Borrower (70%) and B-Note (30%) until proceeds are exhausted or B-Note is repaid in full.
Source: Credit Suisse, Modification templates from servicer
In light of such arrangements, it seems like it may be difficult to see much of a payback on
many of these B-notes, even given some appreciation in the value or improved
performance of the underlying property, as much of the upside has been given away.
Deal exposure to A-/B-note modifications
Exhibit 14 shows the top ten deals with exposure to B-notes by total balance and by
percentage of the deal. Not surprising, the recent vintage deals have the largest exposure
by balance. In particular, BSCMS 2007-PW15 is affected by the modification of the World
Market Center II loan with a particularly thick B-note slice making up 58% of the post
modification balance. In this particular example, because of the way the modification is
structured, the A-note after the split immediately gets written down from $145 million to
$73.1 million. If we consider the loss as not a part of the post-modification balance, the B-
note is 73% of the post-modification balance.
When we look at the percentages of B-notes across deals, the smaller balance of the
seasoned deals comes into play and a small B-note slice can cause the deal percentage
to jump (right side of Exhibit 14).
CMBS Market Watch Weekly 14
14 October 2011
Exhibit 14: Top ten B-notes exposure by balance and by % of deal
By balance By % of deal
Deal Bal ($mn) Count % of deal Deal Deal % Count Bal ($mn)
BSCMS 2007-PW15 200.0 1 8.0% BSCMS 2007-PW15 8.0% 1 200.0
GSMS 2006-GG8 124.9 4 3.5% FUBOA 2001-C1 6.4% 1 6.9
BSCMS 2005-PW10 106.0 1 4.5% BSCMS 2005-PW10 4.5% 1 106.0
GCCFC 2007-GG9 77.6 2 1.2% PNCMA 2000-C2 4.1% 1 4.8
GSMS 2007-GG10 75.9 4 1.0% MLMT 2005-CIP1 4.0% 2 70.1
MLMT 2005-CIP1 70.1 2 4.0% GMACC 2005-C1 3.9% 3 33.7
GSMS 2006-GG6 47.0 3 1.5% SBM7 2000-C3 3.6% 1 3.3
CD 2007-CD4 45.6 2 0.7% GSMS 2006-GG8 3.5% 4 124.9
CSMC 2007-C3 45.0 2 1.8% CSMC 2008-C1 3.2% 1 27.5
GECMC 2007-C1 34.4 2 1.0% GMACC 2003-C2 3.0% 1 22.6
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
Interest shortfalls and deferred accrued interest
Although the ultimate recovery from the A-/B-note split is important, what has the most
apparent near-term impact to the deal is the shortfalls from these modifications. Interest
shortfalls can occur from both ASERs and deferred accrued interest.
Once again, we see little in the way of standardization or consistency over these shortfalls.
Pre-modification ASERs, those accumulated before the A/B-note split, should, in theory,
be repaid when the modification was effected. While this does happen in some cases, it
does not appear to happen all the time. In some instances, the ASERs stopped
accumulating but were not repaid. In other examples, ASERs continue to increase. One
example is the AviStar Parking - Hartford Bradley A-note (1.1% of GMACC 2005-C1),
which is still accumulating ASERs.
Similarly, cumulative deferred accrued interest, on both the A-note and B-note, is also
reported inconsistently. In some cases, we have seen the accrued interest from the B-note
reported on the A-note, and in other examples, it is either not reported at all or reported
erroneously. In a few instances, the deferred accrued interest was capitalized as principal
in the B-note. We list the top ten deals with the largest interest shortfall contributions (by
amount) from A/B-note split loan modifications.
Exhibit 15: Top ten largest interest shortfall contributions from A/B-split (by
amount)
Deal Cum ASER ($mn) Cum deferred interest ($mn) % of deal cum interest shortfall
GSMS 2006-GG6 2.7 3.5 31%
WBCMT 2006-C29 1.6 3.2 42%
GSMS 2006-GG8 2.1 2.4 13%
BACM 2007-1 1.0 2.9 45%
GSMS 2007-GG10 2.9 0.9 7%
COMM 2006-C8 0.3 3.3 21%
BACM 2007-3 0.0 3.4 18%
BSCMS 2005-PWR9 1.4 1.1 42%
CSMC 2007-C1 2.5 0.0 10%
WBCMT 2007-C30 0.7 1.2 4%
Source: Credit Suisse, Trepp, the BLOOMBERG PROFESSIONAL service
Given the way the cash flow payment waterfall is structured, it would seem to us that it
may be better at times for the trust to forego the A-/B-note and instead take a partial write-
down of the loan upfront instead of accumulating interest shortfalls (which will be difficult to
recover given the waterfall).
CMBS Market Watch Weekly 15
14 October 2011
Current status of the A-/B-note modifications
So far, out of the 103 loans that were modified with an A-/B-note structure, 55 are current,
1 has paid-off on both notes (with the B-note taking an 86% loss) and 1 has paid-off only
on the A-note (see Exhibit 16). The remaining 46 are still with the special servicer, and of
those, 35 were modified more than three months ago and arguably will be returned to the
master servicer soon.
In addition, we also note three cases where the B-notes had already paid down or were
written down (and a loss taken) and one example where the A-note was paid off but the B-
note remained outstanding. These are shown in Exhibit . 16
Exhibit 16: B-notes status not inline with A-notes
Deal Loan
Bal after
mod ($mn)
Cur bal
($mn) Comments
B-note written down
BACM 2003-1 Ashby Crossing Apartments -
A note
25.0 22.9
Ashby Crossing Apartments -
B note
1.0 0.0
B-note was paid-down in June 2011.
Allowed in mod as "Excess cash flow first goes to
1) Cap improvement reserve
2) Reduction of B-note
LBCMT 2007-C3 Bethany Phoenix Portfolio I -
A note
133.1 123.0
Bethany Phoenix Portfolio I -
B note
31.4 0.0
"According to mod template, Additional legal fees will be
advanced from the B Note. The B Note will mature on
the original maturity date of 6/11/12."

B-note written down in Sep 2011 with 100% loss. This
could be due to legal fees.
GECMC 2005-C4 Sorensen Air Conditioned
Self Storage (A Note)
0.8 0.9
Sorensen Air Conditioned
Self Storage (B note)
1.1 0.0
"From the SS comments: Under the mod, the principal
balance has been bifurcated into two notes, without
possibility of payment on the B-Note until maturity.

But B-Note was written down in December 2010
A-note written down
JPMCC 2005-CB11 West Valley Shopping Center
- Tranche A
12.7 0.0
West Valley Shopping Center
- Tranche B
12.8 11.6
"Borrower has provided an updated appraisal in an
attempt to refinance the property that would result in a pay
off of the A-Note in full, but leave no proceeds for the B-
Note.

A-note prepaid in Jan 2011
B-note paid down by $191K but still outstanding.
Source: Credit Suisse, Modification templates from servicers


CMBS Market Watch Weekly 16
14 October 2011
Technical update

Exhibit 17: US CMBS pipeline
Deals in October Deal Type Rate Type Size ($mn)
Cantor Fitzgerald Multiple Borrower Fixed $1,000
Deals in November
Morgan Stanley, Bank of America Multiple Borrower Fixed $800
CIBC/Blackstone joint venture Multiple Borrower Fixed $800
Announced 2011 Total $2,600
Source: Commercial Mortgage Alert

Exhibit 18: 2011 CMBS issuance in millions
Month
Multi-
Borrower Floating Rate
Single
Borrower Other
2011 US
Total
2011 Non-US
Total*
2011 Global
Total
US Agency
CMBS
US Resecur. /
CDO
January $0 $0 $0 $0 $0 $207 $207 $3,636 $0
February $5,024 $0 $0 $881 $5,905 $1,104 $7,009 $3,209 $0
March $2,894 $0 $325 $0 $3,219 $0 $3,219 $4,835 $346
April $635 $0 $0 $378 $1,013 $0 $1,013 $3,152 $182
May $2,893 $0 $0 $0 $2,893 $0 $2,893 $3,485 $0
June $3,358 $0 $410 $360 $4,127 $1,427 $5,554 $4,494 $643
July $1,481 $0 $2,110 $0 $3,591 $453 $4,044 $2,911 $0
August $1,653 $0 $0 $0 $1,653 $440 $2,093 $3,766 $0
September $4,267 $0 $0 $0 $4,267 $0 $4,267 $3,533 $155
October $0 $619 $0 $0 $619 $0 $619 $964 $0
Total $22,204 $619 $2,845 $1,618 $27,286 $3,632 $30,918 $33,986 $1,326
*Does not include international deals created for central-bank exchanges.
Source: Credit Suisse, Commercial Mortgage Alert, IFR







CMBS Market Watch Weekly 17
14 October 2011
Relative Value Monitor
Exhibit 19: 10-year sector CMBS, REIT, and corporate spreads
0
50
100
150
200
250
300
350
400
450
7/20/10 9/3/10 10/18/10 12/2/10 1/16/11 3/2/11 4/16/11 5/31/11 7/15/11 8/29/11 10/13/11
0
50
100
150
200
250
300
350
400
450
CMBS AAA
REIT BBB Index
Corporate A
S
p
r
e
a
d
s

t
o

U
S
TS
p
r
e
a
d
s

t
o

U
S
T
Source: Credit Suisse

Exhibit 20: 5-year sector Exhibit 21: 10-year sector
bps bps 3-month
10/13/11 10/06/11 09/15/11 Hi Lo Avg
UST Yield 1.09 % +8 +15 1.09 0.77 0.94
Swap 33bp -2 +4 35 27 30
AAA CMBS 333 -2 +4 335 327 330
Agency 31 -2 +2 36 29 32
LUCI Single-A 181 -20 +20 201 146 168
bps bps 3-month
10/13/11 10/06/11 09/15/11 Hi Lo Avg
UST Yield 2.17 % +18 +8 2.22 1.72 2.04
Swap 17bp -4 -1 21 12 18
AAA CMBS 387 -14 +49 401 322 361
FNMA DUS 97 -4 -1 104 97 99
Agency 55 55 55 62 55 57
LUCI Single-A 169 -17 +7 186 145 165
Note: Liquid U.S. Corporate Index is an investment grade, corporate bond index consisting of
~800 liquid, US dollar-denominated issues, priced daily and rebalanced monthly by Credit Suisse.
Source: Credit Suisse
Note: Liquid U.S. Corporate Index is an investment grade, corporate bond index consisting of
~800 liquid, US dollar-denominated issues, priced daily and rebalanced monthly by Credit Suisse.
FNMA DUS spreads over swaps are for corporate settle par priced pools.
Source: Credit Suisse


CMBS Market Watch Weekly 18
14 October 2011
Exhibit 22: CMBX prices as at October 13, 2011
CMBX 5 (CMBX 2008-1) AAA AM AJ AA A BBB BBB- BB
Current Price 86.94 70.29 53.83 38.00 28.54 17.42 13.96 5.00
Change vs. Prior Week 0.77 0.89 0.56 -0.30 -0.17 -0.01 0.12 0.00
Minimum (18 mo.) 85.31 68.61 52.18 35.68 27.34 17.27 13.68 5.00
Maximum (18 mo.) 97.66 93.59 89.11 79.57 62.58 28.13 21.88 5.00
Average (18 mo.) 92.31 83.51 69.80 53.37 42.31 21.84 18.89 5.00
Standard Deviation 3.36 6.25 10.58 12.91 10.26 3.13 1.86 0.00
# of Std. Dev. -1.60 -2.12 -1.51 -1.19 -1.34 -1.41 -2.65 0.00
CMBX 4 (CMBX 2007-2) AAA AM AJ AA A BBB BBB- BB
Current Price 86.48 67.63 48.96 32.40 25.75 17.46 13.96 5.00
Change vs. Prior Week 0.69 0.63 0.28 -0.40 -0.04 -0.04 0.12 0.00
Minimum (18 mo.) 84.46 66.32 47.48 32.40 24.23 17.40 13.71 5.00
Maximum (18 mo.) 97.73 93.53 84.79 68.75 54.25 28.00 21.88 5.00
Average (18 mo.) 92.03 82.41 65.76 46.98 37.15 21.84 18.96 5.00
Standard Deviation 3.68 6.80 10.68 10.88 7.68 3.02 1.86 0.00
# of Std. Dev. -1.51 -2.17 -1.57 -1.34 -1.48 -1.45 -2.69 0.00
CMBX 3 (CMBX 2007-1) AAA AM AJ AA A BBB BBB- BB
Current Price 86.94 72.73 53.71 31.27 23.79 11.29 9.79 5.00
Change vs. Prior Week 0.75 1.19 0.85 -0.15 -0.04 -0.14 0.11 0.00
Minimum (18 mo.) 85.30 70.77 51.57 30.98 22.70 11.16 9.45 5.00
Maximum (18 mo.) 97.11 94.87 90.06 74.14 58.13 23.83 19.07 5.00
Average (18 mo.) 92.42 84.78 71.19 47.73 35.44 17.90 15.51 5.00
Standard Deviation 3.20 6.04 11.49 12.45 9.09 3.15 2.47 0.00
# of Std. Dev. -1.71 -2.00 -1.52 -1.32 -1.28 -2.10 -2.32 0.00
CMBX 2 (CMBX 2006-2) AAA AM AJ AA A BBB BBB- BB
Current Price 90.42 77.25 65.92 47.96 37.63 15.25 10.97 5.00
Change vs. Prior Week 0.84 0.40 0.04 0.05 0.75 0.02 -0.04 0.00
Minimum (18 mo.) 88.96 75.91 64.52 47.29 36.11 14.73 10.87 5.00
Maximum (18 mo.) 98.04 96.15 94.84 85.08 74.66 37.79 24.29 5.00
Average (18 mo.) 94.38 88.46 81.29 65.36 52.51 24.19 17.86 5.00
Standard Deviation 2.13 5.09 7.92 10.84 10.62 5.20 3.12 0.00
# of Std. Dev. -1.86 -2.20 -1.94 -1.61 -1.40 -1.72 -2.21 0.00
CMBX 1 (CMBX 2006-1) AAA AM AJ AA A BBB BBB-
Current Price 93.46 84.52 75.29 61.04 49.21 28.25 14.67

Change vs. Prior Week 0.73 1.14 0.96 0.41 0.50 0.17 -0.19

Minimum (18 mo.) 92.09 82.48 73.32 59.61 48.07 27.91 14.67
Maximum (18 mo.) 98.42 97.60 95.17 90.64 84.93 58.75 37.00
Average (18 mo.) 95.75 91.90 86.71 76.10 65.14 40.35 26.57
Standard Deviation 1.69 4.07 5.48 8.21 9.88 7.95 5.11
# of Std. Dev. -1.36 -1.81 -2.09 -1.83 -1.61 -1.52 -2.33
Prices before April 20, 2009 are based on Credit Suisse estimates.
CMBX 2007-1 AJ and CMBX 2007-2 AJ were added on January 4, 2008.
CMBX 2007-1 AM and CMBX 2007-2 AM were added on February 9, 2010.
Source: Credit Suisse

CMBS Market Watch Weekly 19
14 October 2011
CMBS Market Watch Weekly 20
Exhibit 23: CMBS historical spreads
CMBS Spreads - Change on the Year
SPREAD TO SWAPS 5AAA 10AAA 10AA 10A 10BBB 10BBB-
10/13/11 300 300 2635 4015 na na
12/30/10 265 215 2710 3450 na na
Change 35 85 (75) 565 na na
SPREAD TO UST 5AAA 10AAA 10AA 10A 10BBB 10BBB-
10/13/11 333 317 2652 4032 na na
12/30/10 282 223 2718 3458 na na
Change 51 94 (66) 574 na na
SWAP SPREADS 5y r Swap 10y r Swap
10/13/11 33 17
12/30/10 17 8
Change 16 9
CMBS Spread to Swaps History
5AAA 10AAA 10AA 10A 10BBB 10BBB-
YTD Average 264 206 1859 2987 na na
Range 240 - 300 157 - 305 1260 - 2710 2145 - 4180 na na
2010 Average 274 302 3341 4380 na na
Range 235-310 215-415 2710-3500 3450-4900 na na
2009 Average 736 634 4029 5729 na na
Range 350-1450 300-1200 3000-5500 3900-8100 na na
2008 Average 466 365 1362 1807 2747 3202
Range 125-1500 82-1400 275-5500 400-6500 825-9000 950-9700
2007 Average 49 44 101 142 315 386
Range 16-125 21-105 33-260 42-380 65-900 85-1000
2006 Average 17 26 38 47 87 122
Range 14 - 22 22 - 32 32 - 51 40 - 61 75 - 120 85 - 175
2005 Average 19 28 41 51 103 151
Range 16 - 25 22 - 34 28 - 49 36 - 59 80 - 122 125 - 175
2004 Average 28 30 37 45 84 126
Range 24 - 33 26 - 35 32 - 43 40 - 54 75 - 95 115 - 135
2003 Average 36 37 47 56 111 162
Range 28 - 45 29 - 47 36 - 61 44 - 77 85 - 140 130 - 185
2002 Average 44 47 59 73 121 155
Range 38 - 51 42 - 54 52 - 74 62 - 95 105 - 150 135 - 186
2001 Average 46 52 69 87 141 185
Range 35 - 60 45 - 64 59 - 84 74 - 105 125 - 170 164 - 215
2000 Average 25 36 53 70 119 165
Range 22 - 35 31 - 45 47 - 63 62 - 84 102 - 143 138 - 217
1999 Average 35 42 61 82 144 232
Range 19 - 51 35 - 54 51 - 79 66 - 109 105 - 199 185 - 298
1998 Average 32 41 57 77 125 174
Range 11-95 21-105 35-125 50-160 82-245 106-321

Source: Credit Suisse


..


GLOBAL SECURITIZED PRODUCTS RESEARCH

Dale Westhoff, Managing Director
Global Head of Securitized Products Research
+1 212 325 4203
dale.westhoff@credit-suisse.com
Eric Miller, Managing Director
Global Head of Fixed Income and Economic Research
+1 212 538 6480
eric.miller.3@credit-suisse.com


NORTH AMERICA
ABS / RMBS CMBS CDO / CLO MBS
Chandrajit Bhattacharya, Director
Senior Strategist, Group Head
+1 212 325 1546
chandrajit.bhattacharya@credit-suisse.com
Roger Lehman, Managing Director
Senior Strategist, Group Head
+1 212 325 2123
roger.lehman@credit-suisse.com
David Yan, Director
Senior Strategist
+1 212 325 5792
david.yan@credit-suisse.com
MaheshSwaminathan, ManagingDirector
Senior Strategist, Group Head
+1 212 325 8789
mahesh.swaminanthan@credit-suisse.com
Aashish Marfatia, Vice President
+1 212 325 4142
aashish.marfatia@credit-suisse.com
Sylvain Jousseaume, Vice President
+1 212 325 1356
sylvain.jousseaume@credit-suisse.com

Qumber Hassan, Director
+1 212 538 4988
qumber.hassan@credit-suisse.com
Marc Firestein, Analyst
+1 212 325 4379
marc.firestein@credit-suisse.com
Serif Ustun, Vice President
+1 212 538 4582
serif.ustun@credit-suisse.com

VikramRao, Vice President
+1 212 325 0709
vikram.rao.2@credit-suisse.com

Tee Chew, Associate
+1 212 325 8703
tee.chew@credit-suisse.com


MODELLING ANDANALYTICS
David Zhang, Managing Director
Group Head
+1 212 325 2783
david.zhang@credit-suisse.com
Taek Choi, Vice President
+1 212 538 0525
taek.choi@credit-suisse.com
Oleg Koriachkin, Vice President
+1 212 325 0578
oleg.koriachkin@credit-suisse.com
Tony Tang, Vice President
+1 212 325 2804
tony.tang@credit-suisse.com
Yihai Yu, Vice President
+1 212 325 1143
yihai.yu@credit-suisse.com
Joy Zhang, Vice President
+1 212 325 5702
joy.zhang@credit-suisse.com
Jack Yu, Associate
+1 212 538 5597
jie.yu@credit-suisse.com


LOCUS ANALYTICS
Brian Bailey, Vice President
Locus Analytics Specialist
+1 212 325 0182
brian.bailey@credit-suisse.com
Shana Bornstein, Associate


LONDON
Carlos Diaz, Associate
+ 44 20 7888 2414
carlos.diaz@credit-suisse.com

JAPAN
Tomohiro Miyasaka, Director
Japan Head
+ 81 3 4550 7171
tomohiro.miyasaka@credit-suisse.com






Disclosure Appendix
Analyst Certification
Roger Lehman, Serif Ustun, Sylvain Jousseaume and Tee Chew each certify, with respect to the companies or securities that he or she analyzes, that (1)
the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her
compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report.
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Emerging Markets Bond Recommendation Definitions
Buy: Indicates a recommended buy on our expectation that the issue will deliver a return higher than the risk-free rate.
Sell: Indicates a recommended sell on our expectation that the issue will deliver a return lower than the risk-free rate.
Corporate Bond Fundamental Recommendation Definitions
Buy: Indicates a recommended buy on our expectation that the issue will be a top performer in its sector.
Outperform: Indicates an above-average total return performer within its sector. Bonds in this category have stable or improving credit profiles and are
undervalued, or they may be weaker credits that, we believe, are cheap relative to the sector and are expected to outperform on a total-return basis. These
bonds may possess price risk in a volatile environment.
Market Perform: Indicates a bond that is expected to return average performance in its sector.
Underperform: Indicates a below-average total-return performer within its sector. Bonds in this category have weak or worsening credit trends, or they may
be stable credits that, we believe, are overvalued or rich relative to the sector.
Sell: Indicates a recommended sell on the expectation that the issue will be among the poor performers in its sector.
Restricted: In certain circumstances, Credit Suisse policy and/or applicable law and regulations preclude certain types of communications, including an
investment recommendation, during the course of Credit Suisse's engagement in an investment banking transaction and in certain other circumstances.
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reasonable, non-material deduction based on an analysis of publicly available information.
Corporate Bond Risk Category Definitions
In addition to the recommendation, each issue may have a risk category indicating that it is an appropriate holding for an "average" high yield investor,
designated as Market, or that it has a higher or lower risk profile, designated as Speculative and Conservative, respectively.
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Credit Suisse may assign rating opinions to investment-grade and crossover issuers. Ratings are based on our assessment of a company's creditworthiness
and are not recommendations to buy or sell a security. The ratings scale (AAA, AA, A, BBB, BB, B) is dependent on our assessment of an issuer's ability to
meet its financial commitments in a timely manner. Within each category, creditworthiness is further detailed with a scale of High, Mid, or Low with High
being the strongest sub-category rating: High AAA, Mid AAA, Low AAA obligor's capacity to meet its financial commitments is extremely strong; High
AA, Mid AA, Low AA obligor's capacity to meet its financial commitments is very strong; High A, Mid A, Low A obligor's capacity to meet its financial
commitments is strong; High BBB, Mid BBB, Low BBB obligor's capacity to meet its financial commitments is adequate, but adverse
economic/operating/financial circumstances are more likely to lead to a weakened capacity to meet its obligations; High BB, Mid BB, Low BB obligations
have speculative characteristics and are subject to substantial credit risk; High B, Mid B, Low B obligor's capacity to meet its financial commitments is
very weak and highly vulnerable to adverse economic, operating, and financial circumstances; High CCC, Mid CCC, Low CCC obligor's capacity to meet
its financial commitments is extremely weak and is dependent on favorable economic, operating, and financial circumstances. Credit Suisse's rating opinions
do not necessarily correlate with those of the rating agencies.



Credit Suisses Distribution of Global Credit Research Recommendations* (and Banking Clients)
Global Recommendation Distribution**
Buy 4% (of which 93% are banking clients)
Outperform 36% (of which 88% are banking clients)
Market Perform 49% (of which 91% are banking clients)
Underperform 11% (of which 74% are banking clients)
Sell <1% (of which 100% are banking clients)

*Data are as at the end of the previous calendar quarter.
**Percentages do not include securities on the firms Restricted List and might not total 100% as a result of rounding.
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