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CMBXView: CMBX 1
December 2012
Executive Summary
Monthly Changes Based on November 2012 Remittance Data
As of the November 2012 remittance, projected losses have slightly declined month-over-month to $2.75 billion (5.82% of the index) from $2.76 billion (5.79% of the index); however, if
we assume a 100% probability of default for the Morningstar High Risk Loans, we derive total forecasted losses of $3.38 billion (7.16% of the index), as shown in the accompanying loan
level losses spreadsheet. Specially-serviced loans account for 73% of the total forecasted losses, while losses forecasted on High Risk Loans account for 27%. Delinquencies increased
slightly to 8.87% for November 2012 from 8.80% in October 2012.
Table 1: Trailing Three Month Projected Losses
Trailing Three Month Projected Losses*
Month
November
October
September
Projected Mstar Losses
from Special Serviced Loans
$2,012,702,726
$2,030,710,641
$2,017,914,110
Projected Mstar Losses
from High Risk Loans
$732,725,884
$725,815,576
$738,366,261
Total Projected Mstar
Losses
$2,745,428,610
$2,756,526,216
$2,756,280,370
Percent of
Portfolio
5.82%
5.79%
5.75%
*Losses based on monthly credit performance of referenced loans. See definition of projected losses on page 19 for loss timing.
As of the November 2012 remittance we are projecting a 80.3% average tranche loss on the BBB- index, including 100% projected tranche loss on 18 of the 25 referenced bond classes
in the BBB- index. These losses are forecasted on bonds in the following transactions: GCC05GG5, JPC05C13, GECC05C4, WBC05C22, JPC05LD5, BSC05P10, CD05CDC1, JPC05LD4,
MLT05CK1, GMAC06C1, BSC05PW9, BACM0504, LBUB05C7, CSF05C06, MSC05I10, BSC05T20, BACM0506, and MSC05HQ7.
Deals of Most Concern
When comparing the quality of the 25 deals that compose CMBX 1, JPC05C13 is the weakest performer. We also note JPC05C13, GMAC06C1, BSC05P10, WBC05C22, GECC05C4,
GCC05GG5, and JPC05LD4 are deals of concern. We base this on the forecasted losses that could impact subordinate bond classes. While there are other deals of concern in the
index, we will focus our commentary on five of the seven worst performing deals based on our forecasted losses.
GMAC06C1 - Based on total forecasted losses of $158.7 million, the bonds referenced in the A, BBB, and BBB- indices could incur complete principal losses. Most of the total
forecasted losses ($151.7 million) are associated with 11 of the 12 specially-serviced loans. Our primary concern is the DDR/Macquarie Mervyn’s Portfolio loan ($71 million, 6% of the
pool), which transferred to the special servicer in October 2008 for imminent default. The loan is a pari-passu A-2 note. There is also a pari-passu A-1 note securitized in GECC05C4
(see GECC05C4 referenced below), as well as a pari-passu floating rate note. The loan is secured by 31 single-tenant Mervyn’s stores with a total of 2.3 million sf of retail space and
four leasehold interests. Store sizes range from about 60,000 to 90,000 sf and are in Cal, Ariz., Nev., and Texas. In July 2008, Mervyns LLC filed for Chapter 11 bankruptcy protection
and on Oct. 17, 2008, announced its plans to liquidate all of its stores. Several of the stores were released, and in October 2009 the final modification terms were approved by the
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CMBXView: CMBX 1
special servicer, certificate holders, and borrower. The terms require the borrower to make future partial payments, any outstanding balances, and incur all property holding expenses.
The borrower has sold 11 properties. Based on a December 2010 appraisal a loss of $44.2 million is forecasted. Overall, Morningstar has an outlook of ‘underperform’ for classes AM
through K.
JPC05C13 – Based on total forecasted losses of $259.4 million, the bonds referenced in the AA, A, BBB, and BBB- indices could incur complete principal losses. Most of the total
forecasted losses ($210.6 million) are associated with 14 of the 14 specially-serviced loans. Our primary concern is the DRA-CRT asset ($180.9 million, 9% of the pool), which
transferred to the special servicer in November 2009 for imminent default and is now REO. The asset is four cross-collateralized and cross-defaulted properties comprised of 16 Class
A/B+ suburban office buildings in Orlando and Jacksonville, Fla., Charlotte, N.C., and Rockville, Md. Based on a November 2011 appraisal a loss of $104 million is forecasted. There is
also a large loss forecasted on The Shore Club loan ($104.7 million, 5% of the pool), which transferred to the special servicer in September 2009 for imminent default. The loan is
secured by a 322-room, beach front boutique hotel in Miami, Fla. The borrower withdrew its threat to close the hotel after the servicer agreed to fund payroll and critical expenses from
the lockbox. Foreclosure is underway. Based on a December 2010 appraisal a loss of $52.6 million is forecasted. Overall, Morningstar has an outlook of ‘underperform’ for classes AM
through H.
BSC05P10 – Based on total forecasted losses of $246.4 million, the bonds referenced in the AA, A, BBB, and BBB- indices could incur complete principal losses. Most of the total
forecasted losses ($94.6 million) are associated with nine of the nine specially-serviced loans. Our primary concern is the World Market Center loan ($198.5 million, 9% of the pool),
which transferred to the special servicer in September 2009 for imminent default. The loan is secured by a 1.1 million sf, 10-story home furniture and furnishing accessories showroom
and design center in Las Vegas, Nevada. World Market Center is the first of eight buildings to be built within the World Market Development, which will encompass 12 million sf of
permanent showroom space on 57 contiguous acres and will serve as the hub for a semiannual furniture and design convention/exhibition called Las Vegas Market. A modification
closed on May 2, 2011. The note was split in between a $94.3 million A-note and a $106 million B-note. The A-note bears a 6.02% interest rate and the B-note is interest-only. The
loan was returned to the master servicer in March 2012. Based on a March 2010 appraisal a loss of $104.2 million is forecasted should the loan ever liquidate. Overall, Morningstar
has an outlook of ‘underperform’ for classes AM through O.
GCC05GG5 – Based on total forecasted losses of $293.8 million, the bonds referenced in the A, BBB, and BBB- indices could incur complete principal losses. Most of the total
forecasted losses ($287.2 million) are associated with 20 of the 20 specially-serviced loans. Our primary concern is the Schron Industrial Portfolio loan ($317.5 million, 10% of the pool),
which transferred to the special servicer in December 2010 for delinquency. The loan is secured by a portfolio of 36 industrial properties, totaling 6.9 million sf located throughout the
country. There appears to be an issue with the tenant rent deposits, which could have triggered the delinquency. A modification closed on Dec. 13, 2010. The note was split in
between a $74.5 million A-note and a $13 million B-note, and includes a $2 million principal pay-down. Based on a February 2012 appraisal a loss of $140.3 million is forecasted.
Overall, Morningstar has an outlook of ‘underperform’ for classes AM through J.
GECC05C4 – Based on total forecasted losses of $168.7 million, the bonds referenced in the A, BBB, and BBB- indices could incur complete principal losses. Most of the total
forecasted losses ($130.7 million) are associated with 12 of the 13 specially-serviced loans. Our primary concern is the DDR/Macquarie Mervyn’s Portfolio loan ($71 million, 4% of the
pool), which is a pari-passu with GMAC06C1 (see GMAC06C1 referenced above for loan details). Based on a December 2010 appraisal a loss of $57.1 million is forecasted. Overall,
Morningstar has an outlook of ‘underperform’ for classes AM through K.
Page 2 of 26
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CMBXView: CMBX 1
Table of Contents
Index Summary
The Index Summary shows the performance for the 25 reference obligations in each index. Our projected losses are divided by the tranche’s current subordination to show
how much credit support we believe to be in danger of being eliminated (“Morningstar Losses as % of Subordination”). If the projected losses exceed the tranches
subordination, the difference is divided by the tranche balance (“Morningstar Projected Tranche Loss %”). Based on these two metrics, the tranches are ordered from
weakest to strongest. In addition, CMBX 1 is compared to the corresponding CMBX indices at each rating level.
Deal Summary
The Deal Summary shows the referenced deals in CMBX 1 compared to each other. The first table in the Deal Summary section is the Loss Summary. This shows the total
projected losses; summing forecasted losses from specially serviced loans (short-term risks) and from High Risk Loans (long-term risks). Also included in the Deal Summary
are tables for Performance Summary, DSCR Summary, Collateral Summary, Interest Only and Maturity Summary, and Historical Delinquency since inception.
CMBX Series Comparison
The CMBX Series Comparison takes the aggregated data from the Deal Summary section and shows how it compares to the other CMBX series.
Definitions
The definitions section gives the meaning of special terms used throughout the report.
Page 3 of 26
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CMBXView: CMBX 1
Index Summary
Table 2: Projected AAA Subordination Loss
CMBX.NA.AAA.1
Deal
JPC05C13
GMAC06C1
BSC05P10
WBC05C22
BACM0504
GECC05C4
GCC05GG5
MSC05I10
JPC05LD4
MSC05HQ7
JPC05LD5
CSF05C06
MLT05CK1
CD05CDC1
BACM0506
LBUB05C5
BSC05PW9
BACM0505
WBC05C21
LBUB06C1
CSF05C05
LBUB05C7
MLT05LC1
BSC05T20
MSC06T21
Tranche
A4
A4
A4
A4
A5A
A4
A5
A4A
A4
A4
A4
A4
A6
A4
A4
A4
A4A
A4
A4
A4
A4
A4
A4
A4A
A4
CUSIP
46625YVV2
361849Q96
07387BEB5
92976BBN1
05947UX37
36828QQE9
396789LL1
617451AF6
46625YUA9
617451CL1
46625YXP3
225470NK5
59022HMU3
12513EAG9
05947U4D7
52108H6W9
07387BAH6
05947U2R8
9297667G2
52108MDH3
225470AP8
52108MAF0
59022HNC2
07387BCL5
617451CR8
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
3.6%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
3.6%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Mstar
Rating
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
Mstar Outlook
Perform
Perform
Perform
Perform
Perform
Perform
Perform
Perform
Outperform
Perform
Outperform
Outperform
Outperform
Perform
Perform
Outperform
Perform
Outperform
Outperform
Perform
Outperform
Outperform
Outperform
Perform
Outperform
Original S/M/F
NA/Aaa/AAA
AAA/NA/AAA
AAA/NR/AAA
AAA/Aaa/AAA
AAA/NA/AAA
AAA/Aaa/NR
AAA/Aaa/NA
AAA/Aaa/NA
NA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NR
AAA/Aaa/NA
AAA/Aaa/NR
AAA/NA/AAA
AAA/Aaa/NA
AAA/Aaa/NA
AAA/Aaa/AAA
AAA/NR/AAA
AAA/NA/AAA
AAA/NA/AAA
AAA/Aaa/NR
NA/Aaa/AAA
AAA/Aaa/NR
Current S/M/F
NA/Aaa/AAA
AAA/NA/AAA
AAA/NR/AAA
AAA/Aaa/AAA
AA-/NA/AAA
AAA/Aaa/NR
A+/Aa2/NA
AAA/Aaa/NA
NA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NR
AAA/Aaa/NA
AAA/Aaa/NR
AAA/NA/AAA
AAA/Aaa/NA
AAA/Aaa/NA
AAA/Aaa/AAA
AAA/NR/AAA
AAA/NA/AAA
AAA/NA/AAA
AAA/Aaa/NR
NA/Aaa/AAA
AAA/Aaa/NR
Original
C/S
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
30.00
27.00
27.00
Current
C/S
34.45
35.54
33.39
33.76
34.05
33.25
36.17
33.95
44.52
35.38
37.16
40.79
39.00
34.34
34.30
41.53
33.68
37.47
46.31
32.11
34.41
37.11
39.06
29.02
36.06
Subordination ($)
$695,661,624
$452,866,000
$738,677,839
$714,190,430
$385,371,387
$632,866,262
$1,136,617,910
$361,410,924
$735,676,716
$526,937,128
$1,238,659,214
$703,258,259
$852,405,232
$1,109,564,141
$768,564,640
$700,710,812
$539,917,072
$531,751,668
$914,576,719
$620,794,033
$818,312,680
$653,861,921
$429,374,964
$456,399,718
$368,162,769
Tranche Balance ($)
$751,702,000
$576,071,000
$1,049,504,000
$940,984,000
$485,931,000
$775,100,000
$1,427,604,000
$527,250,000
$580,269,000
$722,379,000
$1,395,870,000
$566,618,140
$1,069,709,000
$1,563,032,000
$1,355,000,000
$809,525,000
$768,026,000
$799,100,000
$814,295,690
$1,143,176,000
$1,003,000,000
$847,849,000
$425,698,000
$954,956,000
$500,174,000
Mstar Projected
Losses ($)
$259,375,914
$158,802,058
$246,386,894
$229,447,581
$87,855,397
$168,728,032
$293,843,822
$54,331,719
$138,456,510
$80,633,247
$177,849,660
$96,115,343
$109,602,598
$136,331,534
$81,432,497
$61,504,815
$71,818,301
$39,887,807
$67,027,181
$43,141,536
$47,055,903
$35,180,432
$21,801,666
$24,999,917
$13,818,248
Mstar Losses as
% of
Subordination
37.3%
35.1%
33.4%
31.9%
31.5%
26.7%
25.9%
20.8%
18.8%
15.3%
14.4%
13.7%
12.9%
12.4%
10.6%
8.8%
8.5%
7.5%
7.3%
7.0%
5.8%
5.6%
5.1%
4.0%
3.9%
16.2%
Mstar Projected
Tranche Loss (%)
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Table 3: AAA Index Projected Subordination Loss Comparison
AAA Comparison
Index
CMBX.NA.AAA.4
CMBX.NA.AAA.3
CMBX.NA.AAA.5
CMBX.NA.AAA.2
CMBX.NA.AAA.1
Average Morningstar
Projected Losses as % of
Subordination
27.51%
26.81%
25.15%
19.56%
16.21%
Average Morningstar
Projected Tranche Loss (%)
0.00%
0.00%
0.00%
0.00%
0.00%
Tranches with Outperform
Morningstar Outlook
0
0
0
0
11
Page 4 of 26
Tranches with Perform
Morningstar Outlook
25
24
24
25
14
Tranches with
Underperform Morningstar
Outlook
0
1
1
0
0
Collapsed Tranches
0
0
0
0
0
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CMBXView: CMBX 1
Table 4: Projected AM Subordination Loss
CMBX.NA.AM.1
Deal
JPC05C13
GMAC06C1
BSC05P10
WBC05C22
GECC05C4
GCC05GG5
JPC05LD4
MSC05HQ7
JPC05LD5
CSF05C06
MSC05I10
MLT05CK1
CD05CDC1
BSC05PW9
BACM0506
LBUB05C5
BACM0505
LBUB06C1
WBC05C21
BACM0504
CSF05C05
LBUB05C7
BSC05T20
MLT05LC1
MSC06T21
Tranche
AM
AM
AM
AM
AM
AM
AM
AM
AM
AM
A4B
AM
AM
A4B
AM
AM
AM
AM
AM
A5B
AM
AM
A4B
AM
AM
CUSIP
46625YVX8
361849R38
07387BED1
92976BBQ4
36828QQG4
396789LM9
46625YUC5
617451BR9
46625YXT5
225470NM1
617451AG4
59022HLJ9
12513EAJ3
07387BAJ2
05947U4E5
52108H6Y5
05947U2S6
52108MDJ9
9297667J6
05947UX45
225470AR4
52108MAH6
07387BCM3
59022HND0
617451CS6
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Mstar
Rating
AAAA+
AAAA
AA
AAAAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
Mstar Outlook
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Perform
Perform
Outperform
Outperform
Perform
Perform
Perform
Perform
Perform
Outperform
Perform
Perform
Outperform
Perform
Perform
Perform
Perform
Perform
Outperform
Original S/M/F
NA/Aaa/AAA
AAA/NA/AAA
AAA/NR/AAA
AAA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NA
NA/Aaa/AAA
AAA/Aaa/NA
AAA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NA
AAA/Aaa/NR
AAA/Aaa/NA
AAA/Aaa/NA
AAA/Aaa/NR
AAA/NA/AAA
AAA/Aaa/NA
AAA/NR/AAA
AAA/Aaa/AAA
AAA/NA/AAA
AAA/NA/AAA
AAA/NA/AAA
NA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NR
Current S/M/F
NA/Baa1/A
A/NA/A
A-/NR/AAA
A/Baa1/AAA
A-/Aa1/NR
BBB-/A2/NA
NA/Aa2/AAA
AA-/Aaa/NA
AA/Aaa/AAA
A+/Aaa/NR
AAA/Aaa/NA
A+/Aaa/NR
A+/Aaa/NA
AA/Aaa/NA
AAA/Aaa/NR
A+/NA/AAA
AA-/Aaa/NA
A-/NR/AAA
AA/Aaa/AAA
BBB+/NA/AAA
AAA/NA/AAA
AA/NA/AAA
NA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NR
Original
C/S
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
17.00
20.00
17.00
Current
C/S
20.98
22.22
21.48
21.78
20.65
22.50
28.32
22.24
24.57
26.26
24.50
24.94
22.25
24.16
22.06
27.64
23.64
19.23
29.85
24.62
22.03
23.26
19.30
24.99
22.21
Subordination ($)
$423,605,628
$283,125,927
$475,309,703
$460,778,487
$393,063,273
$707,102,986
$467,969,614
$331,275,077
$818,957,338
$452,798,388
$260,855,335
$545,031,318
$718,715,885
$387,312,842
$494,349,642
$466,303,808
$335,517,557
$371,819,841
$589,559,763
$278,725,575
$523,901,074
$409,892,984
$303,506,217
$274,749,982
$226,797,852
Tranche Balance ($)
$272,056,000
$169,740,000
$263,368,000
$253,412,000
$239,803,000
$429,515,000
$267,707,000
$195,662,000
$419,702,000
$250,460,000
$75,322,000
$307,374,000
$387,824,000
$109,718,000
$274,215,000
$234,407,000
$196,234,000
$245,597,000
$325,017,000
$69,419,000
$290,181,000
$233,862,000
$130,816,000
$154,625,000
$137,599,000
Mstar Projected
Losses ($)
$259,375,914
$158,802,058
$246,386,894
$229,447,581
$168,728,032
$293,843,822
$138,456,510
$80,633,247
$177,849,660
$96,115,343
$54,331,719
$109,602,598
$136,331,534
$71,818,301
$81,432,497
$61,504,815
$39,887,807
$43,141,536
$67,027,181
$87,855,397
$47,055,903
$35,180,432
$24,999,917
$21,801,666
$13,818,248
Mstar Losses as
% of
Subordination
61.2%
56.1%
51.8%
49.3%
42.9%
41.6%
29.6%
24.3%
21.7%
21.2%
20.8%
20.1%
19.1%
18.5%
16.5%
13.2%
11.9%
11.7%
11.4%
11.0%
9.1%
9.0%
8.2%
7.9%
6.3%
23.8%
Mstar Projected
Tranche Loss (%)
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Table 5: AM Index Projected Subordination Loss Comparison
AM Comparison
Index
CMBX.NA.AM.5
CMBX.NA.AM.4
CMBX.NA.AM.3
CMBX.NA.AM.2
CMBX.NA.AM.1
Average Mstar Projected
Losses as % of Subordination
39.67%
41.81%
42.25%
31.36%
23.78%
Average Mstar Projected
Tranche Loss (%)
1.51%
0.00%
0.00%
0.00%
0.00%
Tranches with Outperform
Mstar Outlook
0
0
0
0
5
Page 5 of 26
Tranches with Perform
Mstar Outlook
4
4
4
10
14
Tranches with
Underperform Mstar
Outlook
21
21
21
15
6
Collapsed Tranches
0
0
0
0
0
sa m pl e s a mp le s
m
e
p
l
m
a
s
e
l
p
am p e sa m l
a
s
m
e
l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 6: Projected AJ Subordination Loss
CMBX.NA.AJ.1
Deal
JPC05C13
GMAC06C1
BSC05P10
WBC05C22
GCC05GG5
GECC05C4
JPC05LD4
BACM0504
MSC05HQ7
MSC05I10
MLT05CK1
CSF05C06
JPC05LD5
CD05CDC1
BSC05PW9
LBUB06C1
BACM0506
LBUB05C5
BACM0505
WBC05C21
LBUB05C7
CSF05C05
BSC05T20
MLT05LC1
MSC06T21
Tranche
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
AJ
CUSIP
46625YVZ3
361849R46
07387BEE9
92976BBR2
396789LN7
36828QQH2
46625YUE1
05947UX60
617451BS7
617451AJ8
59022HLK6
225470NN9
46625YXV0
12513EAK0
07387BAL7
52108MDK6
05947U4F2
52108H6Z2
05947U2T4
9297667K3
52108MAJ2
225470AS2
07387BCN1
59022HNE8
617451CT4
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Mstar
Rating
CCCBBBBBBB+
BBBABBB
AA
A
A+
AAAA
A+
BBB+
BBB+
AAAAA
AA
AAA
A+
AA
A+
AAA
A
Mstar Outlook
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Perform
Perform
Underperform
Underperform
Underperform
Underperform
Outperform
Perform
Outperform
Underperform
Perform
Perform
Perform
Outperform
Original S/M/F
NA/Aaa/AAA
AAA/NA/AAA
AAA/NR/AAA
AAA/Aaa/AAA
AAA/Aaa/NA
AAA/Aaa/NR
NA/Aaa/AAA
AAA/NA/AAA
AAA/Aaa/NA
AAA/Aaa/NA
AAA/Aaa/NR
AAA/Aaa/NR
AAA/Aaa/AAA
AAA/Aaa/NA
AAA/Aaa/NA
AAA/NR/AAA
AAA/Aaa/NR
AAA/NA/AAA
AAA/Aaa/NA
AAA/Aaa/AAA
AAA/NA/AAA
AAA/NA/AAA
NA/Aaa/AAA
AAA/Aaa/NR
AAA/Aaa/NR
Current S/M/F
NA/B3/CCC
BB+/NA/CCC
BB/NR/BBB+/Ba3/BB
CCC/Ba1/NA
BB/Baa2/NR
NA/Baa3/BB
BB+/NA/BBBA-/A2/NA
BBB+/Baa1/NA
BBB-/A2/NR
BBB+/A2/NR
A/Aa3/AA
BBB-/A3/NA
BBB+/Baa2/NA
BB/NR/BB
A+/A1/NR
BBB/NA/AA
BBB+/Aa3/NA
A-/Aa2/AAA
BBB+/NA/A
A/NA/AA
NA/A3/A
A/Aa2/NR
A/Aa3/NR
Original
C/S
13.13
13.25
12.00
14.00
13.00
13.63
12.38
13.88
12.88
11.63
12.38
12.88
12.88
12.13
12.25
11.00
12.13
12.00
13.88
13.38
11.63
12.25
9.88
13.88
10.25
Current
C/S
11.72
13.23
11.96
14.59
12.94
12.62
15.97
16.04
12.88
12.33
14.21
15.91
15.60
12.72
13.75
7.64
12.42
16.52
15.17
18.95
11.67
12.44
9.91
16.38
12.87
Subordination ($)
$236,566,753
$168,551,022
$264,614,796
$308,731,490
$406,442,915
$240,187,433
$263,842,678
$181,602,574
$191,867,169
$131,306,321
$310,659,266
$274,346,313
$519,919,372
$410,921,910
$220,501,799
$147,743,493
$278,404,709
$278,777,834
$215,324,627
$374,236,836
$205,569,493
$295,800,452
$155,807,224
$180,042,053
$131,375,736
Tranche Balance ($)
$187,039,000
$114,575,000
$210,695,000
$152,047,000
$300,660,000
$152,876,000
$204,127,000
$97,123,000
$139,408,000
$129,549,000
$234,372,000
$178,452,000
$299,038,000
$305,412,000
$166,811,000
$221,037,000
$215,945,000
$187,526,000
$120,193,000
$215,323,000
$195,859,000
$224,823,000
$147,699,000
$94,708,000
$92,880,000
Mstar Projected
Losses ($)
$259,375,914
$158,802,058
$246,386,894
$229,447,581
$293,843,822
$168,728,032
$138,456,510
$87,855,397
$80,633,247
$54,331,719
$109,602,598
$96,115,343
$177,849,660
$136,331,534
$71,818,301
$43,141,536
$81,432,497
$61,504,815
$39,887,807
$67,027,181
$35,180,432
$47,055,903
$24,999,917
$21,801,666
$13,818,248
Mstar Losses as
% of
Subordination
100.0%
94.2%
93.1%
73.3%
72.3%
70.2%
52.5%
48.4%
42.0%
41.4%
35.3%
35.0%
34.2%
33.4%
32.6%
29.4%
29.3%
22.1%
18.5%
17.9%
17.9%
16.1%
16.0%
12.1%
10.8%
41.9%
Mstar Projected
Tranche Loss (%)
12.2%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.5%
Table 7: AJ Index Projected Subordination Loss Comparison
AJ Comparison
Index
CMBX.NA.AJ.3
CMBX.NA.AJ.4
CMBX.NA.AJ.5
CMBX.NA.AJ.2
CMBX.NA.AJ.1
Average Mstar Projected
Losses as % of Subordination
75.23%
74.92%
65.35%
55.99%
41.92%
Average Mstar Projected
Tranche Loss (%)
9.84%
8.52%
8.34%
2.68%
0.49%
Tranches with Outperform
Mstar Outlook
0
0
0
0
3
Page 6 of 26
Tranches with Perform
Mstar Outlook
0
0
1
1
6
Tranches with
Underperform Mstar
Outlook
25
25
24
24
16
Collapsed Tranches
0
0
0
0
0
sa m pl e s a mp le s
m
e
p
l
m
a
s
e
l
p
am p e sa m l
a
s
m
e
l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 8: Projected AA Subordination Loss
CMBX.NA.AA.1
Deal
JPC05C13
BSC05P10
GMAC06C1
GCC05GG5
GECC05C4
WBC05C22
JPC05LD4
BACM0504
MSC05I10
MSC05HQ7
MLT05CK1
JPC05LD5
BSC05PW9
CSF05C06
LBUB06C1
CD05CDC1
BACM0506
LBUB05C5
LBUB05C7
BACM0505
WBC05C21
CSF05C05
BSC05T20
MLT05LC1
MSC06T21
Tranche
B
C
B
B
C
C
B
B
B
C
B
C
C
B
C
C
C
C
C
B
B
C
C
B
B
CUSIP
46625YWB5
07387BEG4
361849R53
396789LP2
36828QQK5
92976BBT8
46625YUG6
05947UX86
617451AK5
617451BU2
59022HLL4
46625YXX6
07387BAN3
225470NP4
52108MDM2
12513EAM6
05947U4J4
52108H7B4
52108MAL7
05947U2V9
9297667L1
225470AU7
07387BCQ4
59022HNF5
617451CV9
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Mstar
Rating
D
CCCCCCCCCCCCBBBBBB
BBB
ABBB+
A+
BBBABB+
BBB+
BBB+
AA
BBB+
AAAA
BBB+
BBBAABBB
Mstar Outlook
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Perform
Underperform
Underperform
Underperform
Underperform
Underperform
Perform
Underperform
Underperform
Perform
Perform
Underperform
Perform
Perform
Original S/M/F
NA/Aa2/AA
AA/NR/AA
AA/NA/AA
AA/Aa2/NA
AA/Aa2/NR
AA/Aa2/AA
NA/Aa2/AA
AA/NA/AA
AA/Aa2/NA
AA/Aa2/NA
AA/Aa2/NR
AA/Aa2/AA
AA/Aa2/NA
AA/Aa2/NR
AA/NR/AA
AA/Aa2/NA
AA/Aa2/NR
AA/NA/AA
AA/NA/AA
AA/Aa2/NA
AA/Aa2/AA
A+/NA/A+
NA/Aa2/AA
AA/Aa2/NR
AA/Aa2/NR
Current S/M/F
NA/Caa3/CC
B+/NR/CCC
B+/NA/CCC
CCC-/B3/NA
B+/Ba3/NR
B+/Caa1/CCC
NA/Ba3/B
BB-/NA/BB
BBB-/Ba1/NA
BBB/Baa2/NA
BB/Baa1/NR
BBB+/A3/A
BB+/Ba2/NA
BBB/Baa1/NR
B+/NR/BBB/Baa3/NA
A-/A3/NR
BB+/NA/A
BB+/NA/BBBBBB/A3/NA
BBB+/A1/AAA
BBB+/NA/BBB
NA/Baa2/BBB
A-/A3/NR
BBB+/A2/NR
Original
C/S
11.13
10.13
11.13
10.75
11.38
11.88
10.50
11.88
9.63
10.75
10.63
10.50
10.00
11.13
9.25
10.25
10.00
9.75
9.51
11.75
11.38
9.75
8.13
11.75
8.38
Current
C/S
9.02
9.73
10.40
9.86
9.79
12.05
12.93
13.24
9.43
10.09
11.75
12.61
10.73
13.37
5.39
10.45
9.82
13.40
8.74
12.23
15.66
9.34
7.60
13.39
10.27
Subordination ($)
$182,155,715
$215,233,768
$132,481,014
$309,802,089
$186,232,441
$254,881,481
$213,646,636
$149,888,509
$100,368,424
$150,289,094
$256,868,328
$420,240,273
$172,073,805
$230,516,396
$104,172,506
$337,637,922
$220,133,748
$226,036,802
$154,085,533
$173,624,546
$309,233,801
$222,219,192
$119,529,332
$147,183,984
$104,869,661
Tranche Balance ($)
$54,411,000
$29,629,000
$36,070,000
$96,641,000
$29,975,000
$31,676,000
$50,196,000
$31,714,000
$30,938,000
$26,903,000
$53,791,000
$73,448,000
$34,976,000
$43,830,000
$27,630,000
$43,630,000
$30,850,000
$32,231,000
$35,197,000
$41,700,000
$65,003,000
$47,624,000
$20,730,000
$32,858,000
$25,800,000
Mstar Projected
Losses ($)
$259,375,914
$246,386,894
$158,802,058
$293,843,822
$168,728,032
$229,447,581
$138,456,510
$87,855,397
$54,331,719
$80,633,247
$109,602,598
$177,849,660
$71,818,301
$96,115,343
$43,141,536
$136,331,534
$81,432,497
$61,504,815
$35,180,432
$39,887,807
$67,027,181
$47,055,903
$24,999,917
$21,801,666
$13,818,248
Mstar Losses as
% of
Subordination
100.0%
100.0%
100.0%
94.8%
90.6%
88.5%
64.8%
58.6%
54.1%
53.7%
42.7%
42.3%
41.7%
41.7%
41.6%
40.7%
37.1%
27.2%
23.8%
23.0%
21.7%
21.5%
20.9%
14.8%
13.5%
50.4%
Mstar Projected
Tranche Loss (%)
100.0%
100.0%
72.8%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
10.9%
Table 9: AA Index Projected Subordination Loss Comparison
AA Comparison
Index
CMBX.NA.AA.4
CMBX.NA.AA.3
CMBX.NA.AA.5
CMBX.NA.AA.2
CMBX.NA.AA.1
Average Mstar Projected
Losses as % of Subordination
85.40%
88.04%
79.10%
67.52%
50.37%
Average Mstar Projected
Tranche Loss (%)
39.10%
39.44%
24.52%
16.29%
10.91%
Tranches with Outperform
Mstar Outlook
0
0
0
0
0
Page 7 of 26
Tranches with Perform
Mstar Outlook
0
0
1
0
6
Tranches with
Underperform Mstar
Outlook
25
25
24
25
19
Collapsed Tranches
0
0
0
0
0
sa m pl e s a mp le s
m
e
p
l
m
a
s
e
l
p
am p e sa m l
a
s
m
e
l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 10: Projected A Subordination Loss
CMBX.NA.A.1
Deal
GCC05GG5
JPC05C13
BSC05P10
WBC05C22
GECC05C4
GMAC06C1
LBUB06C1
JPC05LD4
MSC05I10
BACM0504
MSC05HQ7
MLT05CK1
BSC05PW9
CSF05C06
CD05CDC1
JPC05LD5
BACM0506
LBUB05C7
LBUB05C5
BACM0505
BSC05T20
CSF05C05
WBC05C21
MLT05LC1
MSC06T21
Tranche
D
D
F
E
E
E
F
D
D
D
F
D
E
E
E
F
F
F
F
D
E
F
D
D
D
CUSIP
396789LR8
46625YWD1
07387BEK5
92976BBV3
36828QQM1
361849R87
52108MDQ3
46625YUJ0
617451AM1
05947UY28
617451BX6
59022HLN0
07387BAQ6
225470NS8
12513EAP9
46625YYA5
05947U4M7
52108MAP8
52108H7E8
05947U2X5
07387BCS0
225470DP5
9297667N7
59022HNH1
617451CX5
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Mstar
Rating
D
D
D
CCCD
D
CCCCCCCCC+
CCC+
BB+
BB
CCC
BBBBB+
BB+
BB+
CCC+
BBBBBBCCC+
BB+
A
BBB
BB+
Mstar Outlook
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Perform
Underperform
Underperform
Underperform
Perform
Perform
Perform
Original S/M/F
A/A2/NA
NA/A2/A
A/NR/A
A/A2/A
A/A2/NR
A/NA/A
A/NR/A
NA/A2/A
A/A2/NA
A/NA/A
A/A2/NA
A/A2/NR
A/A2/NA
A/A2/NR
A/A2/NA
A/A2/A
A/A2/NR
A/NA/A
A/NA/A
A/A2/NA
NA/A2/A
BBB+/NA/BBB+
A/A2/A
A/A2/NR
A/A2/NR
Current S/M/F
D/Caa3/NA
NA/C/C
CCC/NR/CC
D/Ca/C
D/Caa2/NR
D/NA/C
CCC+/NR/CC
NA/Caa2/CC
BB/B2/NA
B/NA/CCC
BB/B1/NA
B+/Ba2/NR
B/Caa1/NA
BB/Ba2/NR
B+/Ba3/NA
BB+/Baa3/BB
BBB-/Ba1/NR
B/NA/CCC
B+/NA/BB
BB+/Baa3/NA
NA/B3/B
BB+/NA/BB
BBB-/Baa3/A+
BBB-/Baa3/NR
BB+/Baa3/NR
Original
C/S
8.00
8.63
7.63
9.00
8.50
8.00
6.63
7.88
7.25
9.00
8.00
8.00
7.50
8.25
7.63
7.75
7.25
6.25
6.25
8.88
6.00
7.38
8.50
8.88
5.75
Current
C/S
6.10
5.65
6.75
8.60
6.16
6.23
2.01
8.68
5.98
9.21
6.48
8.06
7.38
9.19
7.28
9.14
6.46
4.23
8.53
8.26
4.80
6.40
10.93
9.34
6.64
Subordination ($)
$191,684,824
$114,140,807
$149,391,735
$182,025,413
$117,288,323
$79,436,923
$38,816,993
$143,373,664
$63,630,331
$104,300,538
$96,482,105
$176,183,233
$118,263,926
$158,508,256
$235,039,823
$304,822,315
$144,724,769
$74,527,679
$143,993,735
$117,207,642
$75,479,257
$152,317,661
$215,790,826
$102,728,957
$67,762,115
Tranche Balance ($)
$80,534,000
$44,210,000
$26,337,000
$47,515,000
$44,963,000
$21,217,000
$21,490,000
$46,849,000
$25,137,000
$29,731,000
$19,566,000
$53,790,000
$29,595,000
$25,046,000
$58,174,000
$52,463,000
$34,277,000
$23,465,000
$29,301,000
$36,793,000
$28,503,000
$29,010,000
$60,941,000
$28,992,000
$20,639,000
Mstar Projected
Losses ($)
$293,843,822
$259,375,914
$246,386,894
$229,447,581
$168,728,032
$158,802,058
$43,141,536
$138,456,510
$54,331,719
$87,855,397
$80,633,247
$109,602,598
$71,818,301
$96,115,343
$136,331,534
$177,849,660
$81,432,497
$35,180,432
$61,504,815
$39,887,807
$24,999,917
$47,055,903
$67,027,181
$21,801,666
$13,818,248
Mstar Losses as
% of
Subordination
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
96.6%
85.4%
84.2%
83.6%
62.2%
60.7%
60.6%
58.5%
58.3%
56.4%
49.2%
42.7%
34.0%
33.1%
31.3%
31.1%
21.2%
21.0%
66.8%
Mstar Projected
Tranche Loss (%)
100.0%
100.0%
100.0%
90.4%
100.0%
100.0%
20.9%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
24.5%
Table 11: A Index Projected Subordination Loss Comparison
A Comparison
Index
CMBX.NA.A.4
CMBX.NA.A.3
CMBX.NA.A.5
CMBX.NA.A.2
CMBX.NA.A.1
Average Mstar Projected
Losses as % of Subordination
94.30%
99.18%
89.55%
86.52%
66.81%
Average Mstar Projected
Tranche Loss (%)
76.04%
76.37%
69.81%
38.25%
24.45%
Tranches with Outperform
Mstar Outlook
0
0
0
0
0
Page 8 of 26
Tranches with Perform
Mstar Outlook
0
0
1
0
4
Tranches with
Underperform Mstar
Outlook
25
24
24
25
21
Collapsed Tranches
0
1
0
0
0
sa m pl e s a mp le s
m
e
p
l
m
a
s
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p
am p e sa m l
a
s
m
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l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
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p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 12: Projected BBB Subordination Loss
CMBX.NA.BBB.1
Deal
GCC05GG5
JPC05C13
BSC05P10
WBC05C22
JPC05LD5
GECC05C4
GMAC06C1
JPC05LD4
CD05CDC1
MLT05CK1
CSF05C06
BACM0504
BACM0506
MSC05HQ7
BSC05PW9
MSC05I10
LBUB05C7
BSC05T20
BACM0505
CSF05C05
LBUB05C5
WBC05C21
MLT05LC1
MSC06T21
LBUB06C1
Tranche
G
G
J
H
J
H
H
G
H
G
H
G
J
J
H
G
J
H
G
J
J
G
G
G
J
CUSIP
396789LV9
46625YWN9
07387BEQ2
92976BCA8
46625YYH0
36828QQU3
361849S45
46625YUV3
12513EAW4
59022HLR1
225470NX7
05947UY93
05947U4Q8
617451CB3
07387BAV5
617451AQ2
52108MAT0
07387BBH5
05947U3B2
225470BE2
52108H7J7
92976BAC6
59022HNL2
617451DA4
52108MDW0
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
0.0%
Mstar
Rating
D
D
D
D
BD
D
D
CCCD
CCCD
CCCCCCCCCD
D
D
CCCCCCCCCBB
BCCCNR
Mstar Outlook
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Collapsed
Original S/M/F
BBB/Baa2/NA
NA/Baa2/BBB
BBB/NR/BBB
BBB/Baa2/BBB
BBB/Baa2/BBB
BBB/Baa2/NR
BBB/NA/BBB
NA/Baa2/BBB
BBB/Baa2/NA
BBB/Baa2/NR
BBB/Baa2/NR
BBB/NA/BBB
BBB/Baa2/NR
BBB/Baa2/NA
BBB/Baa2/NA
BBB/Baa2/NA
BBB/NA/BBB
NA/Baa2/BBB
BBB/Baa2/NA
BB+/NA/BB+
BBB/NA/BBB
BBB/Baa2/BBB
BBB/Baa2/NR
BBB/Baa2/NR
BBB/NR/BBB
Current S/M/F
D/C/NA
NA/C/C
D/NR/C
D/C/C
B+/B3/CCC
D/C/NR
D/NA/C
NA/C/C
CCC+/Ca/NA
CCC-/Ca/NR
CCC/Caa2/NR
D/NA/C
B-/Caa2/NR
B-/Ca/NA
D/C/NA
B-/Ca/NA
CCC-/NA/C
NA/Caa3/CC
B/Caa1/NA
B+/NA/CC
D/NA/CCC
BB-/Caa1/BB
B+/B3/NR
B-/B2/NR
D/NR/D
Original
C/S
4.88
4.88
4.50
5.50
4.63
5.00
4.75
4.50
4.38
4.25
4.75
5.50
4.25
4.63
4.25
4.38
3.63
3.13
5.25
4.25
3.50
5.13
5.00
3.25
4.00
Current
C/S
1.83
0.60
3.03
4.41
5.21
1.75
1.90
3.21
3.34
2.79
4.11
4.31
2.79
2.04
3.01
1.80
0.59
1.01
3.25
2.54
4.71
5.37
3.89
3.18
Subordination ($)
$57,461,960
$12,119,657
$67,088,694
$93,331,455
$173,665,500
$33,357,362
$24,270,991
$53,022,606
$108,014,051
$60,917,250
$70,847,388
$48,801,518
$62,460,673
$30,446,200
$48,310,794
$19,158,323
$10,393,921
$15,880,256
$46,072,637
$60,341,085
$79,531,686
$106,097,783
$42,811,025
$32,420,580
Tranche Balance ($)
$42,951,000
$30,607,000
$26,337,000
$28,509,000
$41,970,000
$23,980,000
$19,096,000
$26,771,000
$43,630,000
$30,738,000
$25,046,000
$17,839,000
$30,849,000
$19,566,000
$21,524,000
$11,602,000
$17,540,000
$23,321,000
$26,982,000
$32,636,000
$14,651,000
$32,502,000
$19,329,000
$10,320,000
$0
Mstar Projected
Losses ($)
$293,843,822
$259,375,914
$246,386,894
$229,447,581
$177,849,660
$168,728,032
$158,802,058
$138,456,510
$136,331,534
$109,602,598
$96,115,343
$87,855,397
$81,432,497
$80,633,247
$71,818,301
$54,331,719
$35,180,432
$24,999,917
$39,887,807
$47,055,903
$61,504,815
$67,027,181
$21,801,666
$13,818,248
$43,141,536
Mstar Losses as
% of
Subordination
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
86.6%
79.1%
77.3%
63.2%
50.9%
43.8%
0.0%
91.7%
Mstar Projected
Tranche Loss (%)
100.0%
100.0%
100.0%
100.0%
10.0%
100.0%
100.0%
100.0%
66.8%
100.0%
100.0%
100.0%
62.9%
100.0%
100.0%
100.0%
100.0%
39.1%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
65.8%
Table 13: BBB Index Projected Subordination Loss Comparison
BBB Comparison
Index
CMBX.NA.BBB.3
CMBX.NA.BBB.4
CMBX.NA.BBB.2
CMBX.NA.BBB.5
CMBX.NA.BBB.1
Average Mstar Projected
Losses as % of Subordination
100.00%
99.47%
99.62%
96.99%
91.70%
Average Mstar Projected
Tranche Loss (%)
100.00%
95.24%
91.88%
89.50%
65.78%
Tranches with Outperform
Mstar Outlook
0
0
0
0
0
Page 9 of 26
Tranches with Perform
Mstar Outlook
0
0
0
0
0
Tranches with
Underperform Mstar
Outlook
23
23
23
23
24
Collapsed Tranches
2
2
2
2
1
sa m pl e s a mp le s
m
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a
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a
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l
a
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p
a
s
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sa m pl e s a
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e
p
m
sa m pl e s a
l
s
e
p
m
a
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l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
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p
l
m l
a
s
m
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p
s
m
a
pl e
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CMBXView: CMBX 1
Table 14: Projected BBB- Subordination Loss
CMBX.NA.BBB-.1
Deal
GCC05GG5
JPC05C13
BSC05P10
WBC05C22
JPC05LD5
GECC05C4
GMAC06C1
JPC05LD4
CD05CDC1
MLT05CK1
CSF05C06
BACM0504
BACM0506
MSC05HQ7
BSC05PW9
WBC05C21
LBUB05C5
MSC05I10
CSF05C05
BACM0505
LBUB05C7
BSC05T20
MLT05LC1
MSC06T21
LBUB06C1
Tranche
H
H
K
J
K
J
J
H
J
H
J
H
K
K
J
H
K
H
K
H
K
J
H
H
K
CUSIP
396789LX5
46625YWQ2
07387BER0
92976BCC4
46625YYK3
36828QQW9
361849S52
46625YUX9
12513EAY0
59022HLS9
225470NZ2
05947UZ35
05947U4R6
617451CC1
07387BAW3
92976BAD4
52108H7K4
617451AV1
225470BG7
05947U3C0
52108MAU7
07387BBJ1
59022HNM0
617451DB2
52108MDY6
Original
Weight
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
4.0%
Current
Weight
4.4%
1.6%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
4.4%
1.9%
3.9%
4.4%
4.4%
0.0%
Mstar
Rating
D
D
D
D
CCCD
D
D
D
D
D
D
D
CCCD
CCCCCCD
CCCD
D
D
CCCCCCNR
Mstar Outlook
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Underperform
Collapsed
Original S/M/F
BBB-/Baa3/NA
NA/Baa3/BBBBBB-/NR/BBBBBB-/Baa3/BBBBBB-/Baa3/BBBBBB-/Baa3/NR
BBB-/NA/BBBNA/Baa3/BBBBBB-/Baa3/NA
BBB-/Baa3/NR
BBB-/Baa3/NR
BBB-/NA/BBBBBB-/Baa3/NR
BBB-/Baa3/NA
BBB-/Baa3/NA
BBB-/Baa3/BBBBBB-/NA/BBBBBB-/Baa3/NA
BB/NA/BB
BBB-/Baa3/NA
BBB-/NA/BBBNA/Baa3/BBBBBB-/Baa3/NR
BBB-/Baa3/NR
BBB-/NR/BBB-
Current S/M/F
D/C/NA
NA/C/C
D/NR/C
D/C/C
B+/Caa2/CCC
D/C/NR
D/NA/C
NA/C/C
CCC-/C/NA
D/C/NR
CCC-/Caa3/NR
D/NA/C
CCC-/Caa3/NR
CCC+/C/NA
D/C/NA
B+/Caa3/CCC
D/NA/CC
CCC/C/NA
CCC+/NA/C
CCC+/Ca/NA
D/NA/D
NA/Ca/D
CCC-/Caa2/NR
CCC+/Caa1/NR
D/NR/D
Original
C/S
3.75
3.63
3.13
4.13
3.13
3.88
3.38
3.38
3.13
3.13
3.63
4.00
3.25
3.63
3.13
3.88
2.63
3.25
3.13
4.00
2.63
2.25
3.63
2.38
3.00
Current
C/S
0.29
0.00
1.40
2.76
3.32
0.34
0.07
1.39
1.83
1.21
2.47
2.21
1.56
0.73
1.50
3.31
3.50
0.16
1.15
1.52
0.00
0.00
1.96
1.96
Subordination ($)
$9,141,076
$0
$30,875,808
$58,487,506
$110,710,402
$6,379,295
$932,024
$22,905,641
$59,158,059
$26,338,330
$42,671,407
$25,016,563
$35,038,635
$10,880,143
$24,096,797
$65,470,738
$59,021,678
$1,756,348
$27,230,422
$21,543,603
$0
$0
$21,550,025
$20,051,058
Tranche Balance ($)
$48,321,000
$12,119,716
$36,213,000
$34,844,000
$62,955,000
$26,978,000
$23,339,000
$30,117,000
$48,478,000
$34,579,000
$28,176,000
$23,785,000
$27,422,000
$19,566,000
$24,214,000
$40,627,000
$20,510,000
$17,402,000
$32,635,000
$24,529,000
$9,963,264
$15,880,264
$21,261,000
$12,040,000
$0
Mstar Projected
Losses ($)
$293,843,822
$259,375,914
$246,386,894
$229,447,581
$177,849,660
$168,728,032
$158,802,058
$138,456,510
$136,331,534
$109,602,598
$96,115,343
$87,855,397
$81,432,497
$80,633,247
$71,818,301
$67,027,181
$61,504,815
$54,331,719
$47,055,903
$39,887,807
$35,180,432
$24,999,917
$21,801,666
$13,818,248
$43,141,536
Mstar Losses as
% of
Subordination
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
70.8%
0.0%
98.7%
Mstar Projected
Tranche Loss (%)
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
3.8%
12.1%
100.0%
61.9%
74.8%
100.0%
100.0%
1.2%
0.0%
0.0%
80.3%
Table 15: BBB- Index Projected Subordination Loss Comparison
BBB- Comparison
Index
CMBX.NA.BBB-.3
CMBX.NA.BBB-.2
CMBX.NA.BBB-.4
CMBX.NA.BBB-.5
CMBX.NA.BBB-.1
Average Mstar Projected
Losses as % of Subordination
100.00%
100.00%
100.00%
97.21%
98.71%
Average Mstar Projected
Tranche Loss (%)
100.00%
99.08%
97.46%
94.04%
80.31%
Tranches with Outperform
Mstar Outlook
0
0
0
0
0
Page 10 of 26
Tranches with Perform
Mstar Outlook
0
0
0
0
0
Tranches with
Underperform Mstar
Outlook
19
21
18
18
24
Collapsed Tranches
6
4
7
7
1
sa m pl e s a mp le s
m
e
p
l
m
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a
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a
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a
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a
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sa m pl e s a
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p
m
sa m pl e s a
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s
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p
m
a
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p
l
m
a
s
e
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am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Deal Summary
Table 16: Loss Summary
Loss Summary
Deal
JPC05C13
GMAC06C1
BSC05P10
WBC05C22
GCC05GG5
GECC05C4
JPC05LD4
BACM0504
CSF05C06
MSC05HQ7
JPC05LD5
MSC05I10
MLT05CK1
BSC05PW9
CD05CDC1
LBUB05C5
BACM0506
WBC05C21
BACM0505
LBUB06C1
LBUB05C7
MLT05LC1
CSF05C05
BSC05T20
MSC06T21
Total
Projected Mstar Losses
from Special Serviced
Loans
$210,578,370
$151,661,705
$94,599,340
$202,261,312
$287,181,361
$130,696,498
$121,623,728
$70,865,767
$55,515,103
$42,078,585
$123,872,237
$32,960,124
$86,569,692
$23,433,089
$89,420,787
$50,779,931
$54,385,094
$54,134,249
$19,872,961
$28,793,774
$25,935,002
$17,777,306
$25,019,636
$12,687,077
$0
$2,012,702,726
Projected Mstar Losses
from High Risk Loans
Total Projected
Mstar Losses
Percent of Deal
$48,797,544
$7,140,354
$151,787,554
$27,186,269
$6,662,461
$38,031,534
$16,832,782
$16,989,630
$40,600,240
$38,554,662
$53,977,423
$21,371,596
$23,032,906
$48,385,213
$46,910,747
$10,724,884
$27,047,403
$12,892,932
$20,014,846
$14,347,762
$9,245,430
$4,024,360
$22,036,267
$12,312,840
$13,818,248
$732,725,884
$259,375,914
$158,802,058
$246,386,894
$229,447,581
$293,843,822
$168,728,032
$138,456,510
$87,855,397
$96,115,343
$80,633,247
$177,849,660
$54,331,719
$109,602,598
$71,818,301
$136,331,534
$61,504,815
$81,432,497
$67,027,181
$39,887,807
$43,141,536
$35,180,432
$21,801,666
$47,055,903
$24,999,917
$13,818,248
$2,745,428,610
12.84%
12.46%
11.14%
10.85%
9.35%
8.87%
8.38%
7.77%
5.57%
5.41%
5.33%
5.10%
5.01%
4.48%
4.22%
3.65%
3.63%
3.39%
2.81%
2.23%
2.00%
1.98%
1.98%
1.59%
1.35%
5.82%
Page 11 of 26
sa m pl e s a mp le s
m
e
p
l
m
a
s
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l
p
am p e sa m l
a
s
m
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p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 17: Performance Summary
Deal
BACM0504
BACM0505
BACM0506
BSC05P10
BSC05PW9
BSC05T20
CD05CDC1
CSF05C05
CSF05C06
GCC05GG5
GECC05C4
GMAC06C1
JPC05C13
JPC05LD4
JPC05LD5
LBUB05C5
LBUB05C7
LBUB06C1
MLT05CK1
MLT05LC1
MSC05HQ7
MSC05I10
MSC06T21
WBC05C21
WBC05C22
Total
Loans
108
86
139
188
178
196
201
237
203
135
148
102
195
154
165
101
112
121
147
120
233
191
105
191
133
3889
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
Balance
1,131,889,242
1,419,200,360
2,240,966,732
2,212,352,161
1,603,278,650
1,572,520,558
3,230,703,568
2,378,161,244
1,724,229,619
3,142,126,922
1,903,187,753
1,274,301,909
2,019,337,080
1,652,381,397
3,333,726,852
1,687,302,665
1,762,129,449
1,933,617,937
2,185,717,210
1,099,373,275
1,489,532,813
1,064,646,994
1,020,991,991
1,975,091,785
2,115,357,009
47,172,125,176
30
2.64%
0.00%
0.42%
0.38%
0.00%
0.00%
0.38%
0.35%
0.00%
0.70%
0.18%
7.34%
0.16%
0.18%
4.10%
0.00%
2.71%
0.00%
2.90%
0.49%
0.00%
0.00%
0.15%
6.29%
0.00%
1.21%
Performance Summary
Delinquency
60
90
FC
0.00%
0.29%
1.13%
0.00%
2.84%
0.00%
0.18%
1.00%
2.24%
1.51%
0.64%
0.84%
0.00%
2.91%
0.32%
0.00%
0.35%
1.31%
0.00%
1.18%
0.43%
0.00%
0.00%
0.17%
0.00%
4.91%
1.92%
0.80%
2.06%
0.35%
1.37%
7.83%
0.99%
0.28%
6.04%
2.40%
0.43%
1.30%
6.00%
0.00%
1.84%
0.45%
0.00%
1.10%
0.36%
0.00%
1.28%
0.00%
0.00%
1.40%
0.18%
0.00%
1.01%
0.58%
0.70%
3.19%
1.08%
0.75%
0.88%
2.27%
0.61%
4.86%
0.44%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.40%
2.26%
0.00%
0.32%
1.11%
7.31%
0.31%
1.96%
1.24%
Page 12 of 26
REO
5.88%
0.00%
0.84%
0.25%
0.00%
0.22%
3.50%
2.28%
0.00%
16.85%
0.96%
6.47%
12.33%
11.05%
2.72%
3.26%
0.00%
3.30%
6.63%
0.53%
1.36%
3.75%
0.00%
0.00%
9.04%
4.10%
Total
9.94%
2.84%
4.68%
3.62%
3.23%
1.88%
5.49%
2.79%
6.84%
20.76%
11.34%
22.52%
20.23%
13.53%
8.29%
4.54%
4.30%
4.89%
14.50%
4.91%
7.28%
3.75%
0.15%
8.95%
17.77%
8.83%
Servicer
Watchlist
25.9%
8.8%
10.9%
25.5%
38.0%
22.5%
18.4%
23.8%
27.4%
13.5%
30.4%
11.7%
21.5%
22.4%
24.2%
17.5%
7.8%
16.3%
17.0%
15.1%
37.3%
11.3%
22.3%
24.1%
14.4%
20.26%
Mstar
Watchlist
39.1%
27.3%
34.4%
45.2%
54.5%
27.4%
19.1%
22.7%
32.7%
32.9%
39.5%
41.0%
49.9%
34.9%
28.9%
35.3%
19.9%
43.3%
28.5%
16.3%
37.9%
34.4%
54.6%
47.7%
41.9%
34.74%
Special
Serviced
17.0%
5.2%
6.2%
8.7%
4.2%
7.1%
6.2%
2.8%
7.0%
22.8%
13.4%
27.9%
21.9%
13.5%
12.2%
6.4%
6.1%
4.9%
14.5%
3.8%
6.8%
3.7%
0.2%
11.6%
17.5%
10.54%
sa m pl e s a mp le s
m
e
p
l
m
a
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am p e sa m l
a
s
m
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p
s
m
a
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p
l
m l
a
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m
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p
s
m
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pl e
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p
a
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e sa m ple s am p l
le s m pl
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a
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p
a
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sa m pl e s a
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p
m
sa m pl e s a
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s
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p
m
a
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p
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m
a
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am p e sa m pl
a
s
m
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p
s
m
a
pl e
l
a
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m
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p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
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p
s
m
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sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 18: DSCR Summary
Deal
BACM0504
BACM0505
BACM0506
BSC05P10
BSC05PW9
BSC05T20
CD05CDC1
CSF05C05
CSF05C06
GCC05GG5
GECC05C4
GMAC06C1
JPC05C13
JPC05LD4
JPC05LD5
LBUB05C5
LBUB05C7
LBUB06C1
MLT05CK1
MLT05LC1
MSC05HQ7
MSC05I10
MSC06T21
WBC05C21
WBC05C22
Total
Defeasance
0
0.0%
2
1.6%
1
0.4%
6
2.3%
9
6.3%
2
1.9%
9
2.1%
11
4.4%
5
2.7%
3
0.3%
3
1.3%
0
0.0%
0
0.0%
4
3.6%
4
1.1%
0
0.0%
0
0.0%
0
0.0%
3
1.6%
4
2.4%
4
2.3%
2
1.0%
1
0.2%
3
2.1%
0
0.0%
76
1.5%
24
9
22
40
28
21
22
40
41
25
19
19
39
23
27
14
14
10
32
11
39
38
11
35
16
619
< 1.00
18.1%
10.4%
10.0%
21.2%
11.2%
14.6%
6.9%
8.0%
25.1%
7.4%
24.5%
22.7%
11.1%
12.3%
18.8%
6.8%
6.0%
9.4%
17.9%
4.6%
18.0%
10.7%
5.0%
20.0%
14.8%
13.4%
1.00 to 1.10
7
12.6%
3
7.0%
7
2.4%
9
2.7%
14
8.2%
7
2.8%
17
7.0%
14
9.2%
14
4.0%
7
1.9%
11
6.1%
7
1.9%
10
8.3%
8
4.1%
4
2.2%
7
4.4%
2
0.9%
10
2.2%
11
6.4%
8
7.8%
15
2.9%
7
1.7%
5
3.2%
8
3.9%
7
5.0%
219
4.6%
DSCR Summary
1.11 to 1.25
20
10.2%
8
15.4%
26
14.3%
18
7.5%
24
14.4%
12
7.9%
30
10.1%
24
10.1%
22
9.6%
19
34.1%
22
15.3%
18
21.2%
37
15.8%
20
16.5%
24
6.7%
21
18.3%
18
6.5%
17
4.8%
25
13.9%
23
25.2%
32
13.6%
32
10.9%
7
9.5%
27
16.6%
28
24.3%
554 14.2%
Page 13 of 26
1.26 to 1.50
22
32.0%
21
27.9%
32
19.5%
42
32.2%
46
22.0%
44
24.4%
54
33.1%
51
22.2%
62
28.9%
28
12.4%
33
17.8%
16
21.2%
48
31.0%
42
26.9%
51
29.7%
31
35.7%
37
37.2%
50
55.7%
30
21.8%
29
27.5%
59
37.0%
36
15.5%
16
6.0%
45
29.6%
24
16.9%
949 26.8%
1.51 to 2.00
23
13.0%
30
23.8%
31
28.6%
45
25.1%
36
18.6%
59
27.9%
54
25.1%
67
25.6%
41
19.3%
35
30.2%
37
22.1%
30
18.6%
45
28.4%
39
27.4%
34
25.8%
20
28.1%
33
45.1%
29
21.4%
33
30.4%
27
21.3%
62
20.0%
44
38.1%
31
40.7%
46
18.1%
46
29.1%
977 26.2%
12
13
20
28
21
51
15
30
18
18
23
12
16
18
21
8
8
5
13
18
22
32
34
27
12
495
> 2.00
14.2%
13.9%
24.7%
8.9%
19.3%
20.4%
15.7%
20.6%
10.4%
13.6%
12.9%
14.3%
5.3%
9.2%
15.7%
6.6%
4.3%
6.4%
8.0%
11.1%
6.2%
22.1%
35.4%
9.6%
9.9%
13.3%
Unknown
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
sa m pl e s a mp le s
m
e
p
l
m
a
s
e
l
p
am p e sa m l
a
s
m
e
l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 19: Collateral Summary
Collateral Summary
Deal
BACM0504
BACM0505
BACM0506
BSC05P10
BSC05PW9
BSC05T20
CD05CDC1
CSF05C05
CSF05C06
GCC05GG5
GECC05C4
GMAC06C1
JPC05C13
JPC05LD4
JPC05LD5
LBUB05C5
LBUB05C7
LBUB06C1
MLT05CK1
MLT05LC1
MSC05HQ7
MSC05I10
MSC06T21
WBC05C21
WBC05C22
Total
RT
26.1%
28.9%
17.1%
39.3%
41.7%
40.9%
28.7%
32.1%
31.2%
41.1%
38.0%
24.8%
29.7%
26.4%
25.6%
29.7%
25.5%
24.6%
43.1%
26.8%
33.1%
22.6%
43.4%
22.1%
24.8%
30.8%
OF
35.0%
37.2%
44.3%
14.0%
12.4%
18.2%
44.4%
24.4%
18.1%
27.1%
31.1%
33.1%
37.4%
37.1%
43.6%
44.7%
51.3%
45.9%
23.6%
20.8%
32.4%
28.1%
28.5%
36.5%
27.2%
32.6%
Property Type
MF
IN
HT
13.8%
6.0%
9.3%
16.9%
2.9%
4.9%
14.9%
1.1%
12.3%
17.1%
3.9%
7.0%
20.0%
3.6%
8.5%
8.3%
7.8%
11.9%
11.0%
3.1%
6.6%
23.3%
1.6%
7.4%
33.6%
4.4%
6.5%
0.6%
11.7%
17.6%
13.9%
1.9%
3.9%
17.9%
0.0%
7.3%
17.6%
5.0%
9.8%
15.6%
14.3%
0.0%
19.4%
3.9%
2.5%
8.4%
0.0%
14.5%
8.3%
0.0%
10.8%
5.8%
0.0%
17.0%
8.6%
5.9%
10.4%
31.6%
0.2%
5.4%
14.2%
4.5%
7.8%
26.8%
2.0%
6.5%
10.4%
2.8%
12.4%
19.6%
4.5%
7.8%
22.6%
3.7%
11.0%
15.3%
4.0%
8.9%
HC
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
OT
9.8%
7.6%
9.9%
16.5%
7.5%
11.1%
4.2%
6.8%
3.5%
1.5%
9.9%
16.9%
0.6%
3.0%
3.8%
2.7%
4.1%
6.7%
6.8%
12.7%
5.6%
12.9%
2.3%
7.4%
10.6%
6.9%
Page 14 of 26
State 1
NY
CA
NY
KS
CA
CA
CA
NY
CA
CA
CA
CA
FL
CA
TX
NY
NY
NY
CA
CA
CA
CA
NJ
CA
CA
CA
%
16.3%
31.2%
18.7%
13.2%
12.4%
18.7%
16.7%
17.7%
16.5%
20.9%
21.7%
23.1%
18.9%
11.8%
18.6%
22.1%
28.0%
38.6%
19.5%
16.1%
26.6%
20.3%
16.9%
27.6%
21.4%
15.6%
Largest State Concentration
State 2
%
State 3
%
CA
10.3%
MD
9.7%
FL
13.6%
NY
12.6%
CA
15.5%
TX
13.0%
NV
11.0%
OH
9.7%
PA
12.4%
FL
11.3%
WI
10.9%
MA
7.6%
NY
15.7%
TX
6.5%
FL
14.4%
CA
11.2%
FL
8.4%
OH
8.0%
NY
11.2%
VA
9.2%
FL
9.1%
TX
8.3%
FL
16.7%
VA
10.0%
CA
16.3%
NY
10.5%
TX
8.6%
MA
7.9%
FL
10.1%
WA
7.5%
IL
20.1%
MD
8.4%
CA
12.5%
MA
10.7%
NC
7.6%
TX
7.3%
LA
7.2%
FL
7.2%
AL
11.1%
FL
8.2%
NY
12.1%
VA
4.8%
NY
13.3%
FL
10.3%
IL
15.0%
CA
13.6%
NY
7.3%
MO
6.5%
IL
10.8%
NV
9.4%
NY
11.3%
FL
7.8%
State 4
GA
MI
NJ
CA
NJ
NY
MD
TX
NY
TX
GA
OH
TX
NJ
IL
FL
IL
MA
VA
TX
GA
DC
NY
NJ
FL
TX
%
8.3%
4.3%
5.0%
9.2%
8.8%
6.6%
6.4%
7.0%
7.5%
5.9%
8.1%
5.7%
7.4%
6.8%
6.9%
7.0%
9.8%
7.2%
6.8%
6.2%
4.4%
8.0%
8.5%
5.1%
8.2%
6.6%
sa m pl e s a mp le s
m
e
p
l
m
a
s
e
l
p
am p e sa m l
a
s
m
e
l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
sa m pl e s a
l
e
p
m
sa m pl e s a
l
s
e
p
m
a
e
p
l
m
a
s
e
l
am p e sa m pl
a
s
m
e
l
p
s
m
a
pl e
l
a
s
m
e
p
pl e sa mp le s am p
e sa m le s am p le
e sa m ple s am p le
sa m pl
l
a
s
e
p
s
m
e
sa m pl
l
a
s
e
p
s
m
a
e
p
l
m l
a
s
e
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
le s m pl
l
a
e
p
a
s
m
s m p e
l
a
CMBXView: CMBX 1
Table 20: Interest Only and Maturity Summary
Deal
BACM0504
BACM0505
BACM0506
BSC05P10
BSC05PW9
BSC05T20
CD05CDC1
CSF05C05
CSF05C06
GCC05GG5
GECC05C4
GMAC06C1
JPC05C13
JPC05LD4
JPC05LD5
LBUB05C5
LBUB05C7
LBUB06C1
MLT05CK1
MLT05LC1
MSC05HQ7
MSC05I10
MSC06T21
WBC05C21
WBC05C22
Total
Partial Term
0
0.0%
1
0.9%
0
0.0%
0
0.0%
3
1.4%
0
0.0%
1
9.8%
3
2.9%
1
2.0%
0
0.0%
0
0.0%
1
7.8%
0
0.0%
2
0.3%
3
1.9%
0
0.0%
0
0.0%
0
0.0%
1
0.2%
0
0.0%
0
0.0%
1
1.0%
0
0.0%
1
0.5%
1
0.4%
19
1.4%
Interest Only
Full Term
10
20.5%
19
20.6%
13
20.6%
6
27.5%
8
14.4%
23
27.2%
12
17.5%
7
4.8%
10
10.3%
6
18.5%
24
22.5%
10
16.2%
18
11.0%
5
8.4%
11
21.1%
17
39.3%
10
30.6%
11
36.1%
6
15.8%
2
2.8%
4
10.9%
19
14.1%
22
26.1%
23
13.4%
24
17.0%
320
18.8%
10
20
13
6
11
23
13
10
11
6
24
11
18
7
14
17
10
11
7
2
4
20
22
24
25
339
Total
20.5%
21.6%
20.6%
27.5%
15.8%
27.2%
27.2%
7.7%
12.4%
18.5%
22.5%
24.1%
11.0%
8.8%
23.1%
39.3%
30.6%
36.1%
15.9%
2.8%
10.9%
15.1%
26.1%
13.9%
17.4%
20.2%
Interest Only and Maturity Summary
Expiring Partial I/O Loans
1-6 months
7-12 months
13-24 months
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
1
0.9%
1
0.3%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
2
1.0%
1
2.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
1
0.2%
0
0.0%
1
1.2%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
1
0.2%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
1
1.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
1
0.5%
0
0.0%
0
0.0%
1
0.4%
0
0.0%
0
0.0%
3
0.1%
3
0.1%
5
0.1%
Page 15 of 26
1-6 months
0
0.0%
0
0.0%
0
0.0%
0
0.0%
1
0.2%
1
0.0%
0
0.0%
0
0.0%
0
0.0%
1
0.5%
0
0.0%
0
0.0%
0
0.0%
1
0.7%
3
0.8%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
2
2.6%
0
0.0%
1
0.5%
10
0.2%
Maturing Loans
7-12 months
1
0.4%
3
1.8%
1
1.0%
0
0.0%
1
0.7%
0
0.0%
1
0.0%
2
1.8%
0
0.0%
0
0.0%
2
0.5%
1
0.3%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
5
1.8%
0
0.0%
0
0.0%
0
0.0%
17
0.3%
13-24 months
1
0.3%
0
0.0%
4
1.2%
2
1.2%
2
0.3%
4
1.4%
3
0.9%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
2
5.6%
3
1.8%
1
0.2%
1
0.2%
0
0.0%
0
0.0%
1
0.1%
5
5.4%
0
0.0%
0
0.0%
0
0.0%
29
0.8%
sa m pl e s a mp le s
m
e
p
l
m
a
s
e
l
p
am p e sa m l
a
s
m
e
l
p
s
m
a
e
p
l
m l
a
s
m
e
p
s
m
a
pl e
l
p
a
s
m
e
e sa m ple s am p l
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CMBXView: CMBX 1
Chart 1: Historical Delinquency
Chart 2: Historical Projected Losses
Page 16 of 26
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CMBXView: CMBX 1
CMBX Series Comparison
Table 21: CMBX Index Loss Summary
Loss Summary
Series
CMBX 3
CMBX 4
CMBX 5
CMBX 2
CMBX 1
Projected Mstar Losses
from Special Serviced
Loans
$4,988,195,177
$4,588,940,815
$2,408,269,099
$2,359,381,105
$2,012,702,726
Projected Mstar Losses
from High Risk Loans
$1,543,645,692
$1,791,266,317
$887,416,023
$883,043,091
$732,725,884
Total Projected
Mstar Losses
$6,531,840,869
$6,380,207,132
$3,295,685,122
$3,242,424,196
$2,745,428,610
Percent of Portfolio
9.17%
9.13%
7.34%
6.20%
5.82%
Table 22: CMBX Index Performance Summary
Series
CMBX 1
CMBX 2
CMBX 3
CMBX 4
CMBX 5
Loans
3889
3915
4560
4526
3189
$
$
$
$
$
Balance
47,172,125,176
52,267,429,691
71,257,366,207
69,854,755,360
44,922,166,145
30
1.21%
0.54%
0.80%
1.41%
1.45%
Performance Summary
Delinquency
60
90
FC
0.31%
1.96%
1.24%
0.14%
3.89%
1.55%
0.47%
4.84%
3.12%
1.01%
4.43%
2.60%
1.32%
3.62%
1.93%
Page 17 of 26
REO
4.10%
3.75%
5.39%
3.89%
2.69%
Total
8.83%
9.87%
14.63%
13.33%
11.01%
Servicer
Watchlist
20.26%
27.53%
23.33%
26.85%
26.04%
Mstar
Watchlist
34.74%
43.13%
44.18%
50.54%
47.35%
Special
Serviced
10.54%
11.49%
17.71%
17.12%
15.23%
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CMBXView: CMBX 1
Table 23: CMBX Index DSCR Summary
Series
CMBX 1
CMBX 2
CMBX 3
CMBX 4
CMBX 5
Defeasance
76
1.5%
23
0.3%
14
0.6%
11
0.1%
4
0.0%
< 1.00
619 13.4%
763
19.1%
935
20.7%
868
21.2%
617
21.4%
1.00 to 1.10
219
4.6%
327
8.0%
404
9.3%
375
10.6%
267
8.2%
DSCR Summary
1.11 to 1.25
1.26 to 1.50
554 14.2% 949 26.8%
711
17.9% 1008 28.1%
823
16.5% 1165 26.0%
786
18.3% 1223 26.5%
588
17.6% 844
28.6%
1.51 to 2.00
977 26.2%
756
18.7%
879
18.8%
978
18.2%
644
18.0%
495
327
340
285
225
> 2.00
13.3%
7.9%
8.1%
5.1%
6.1%
Unknown
0
0.0%
0
0.0%
0
0.0%
0
0.0%
0
0.0%
Table 24: CMBX Index Collateral Summary
Collateral Summary
Series
CMBX 1
CMBX 2
CMBX 3
CMBX 4
CMBX 5
RT
30.8%
32.04%
27.38%
28.47%
34.84%
OF
32.6%
34.1%
32.8%
31.6%
26.5%
Property Type
MF
IN
HT
15.3%
4.0%
8.9%
13.12%
5.0%
10.35%
16.86%
6.9%
8.66%
18.00%
5.5%
10.84%
13.35%
7.1%
10.85%
HC
0.0%
0.0%
0.0%
0.1%
0.2%
OT
6.9%
5.08%
6.83%
5.37%
7.25%
State 1
CA
CA
NY
CA
CA
%
15.6%
15.32%
14.39%
13.81%
13.96%
Largest State Concentration
State 2
%
State 3
%
NY
11.3%
FL
7.8%
NY
11.83%
TX
6.98%
CA
14.09%
TX
7.90%
NY
12.09%
TX
8.27%
NY
11.74%
TX
8.39%
State 4
TX
FL
FL
FL
FL
%
6.6%
5.12%
5.27%
7.90%
7.55%
Table 25: CMBX Index Interest Only and Maturity Summary
Series
CMBX 1
CMBX 2
CMBX 3
CMBX 4
CMBX 5
Partial Term
19
1.4%
52
3.3%
43
1.4%
63
1.9%
67
3.8%
Interest Only
Full Term
320
18.8%
401
25.3%
845
50.4%
1198
52.2%
629
38.9%
Total
339
20.2%
453
28.5%
888
51.8%
1261
54.1%
696
42.7%
Interest Only and Maturity Summary
Expiring Partial I/O Loans
1-6 months
7-12 months
13-24 months
3
0.1%
3
0.1%
5
0.1%
25
1.9%
13
0.6%
6
0.3%
16
0.6%
10
0.4%
12
0.3%
18
0.5%
9
0.2%
22
0.5%
19
0.9%
20
1.1%
15
0.6%
Page 18 of 26
1-6 months
10
0.2%
28
0.7%
9
0.4%
8
0.4%
9
0.3%
Maturing Loans
7-12 months
17
0.30%
43
1.9%
48
1.5%
3
0.1%
6
1.4%
13-24 months
29
0.8%
15
0.3%
72
3.8%
143
6.3%
96
7.7%
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CMBXView: CMBX 1
Chart 3: Monthly Historical Delinquencies
Page 19 of 26
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CMBXView: CMBX 1
Chart 4: Seasonal Historical Delinquencies
Page 20 of 26
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CMBXView: CMBX 1
Definitions
High Risk Loans (HRLs)
Morningstar has developed a quantitative method of identifying potentially troubled loans. The method is based on six key loan metrics: DSCR, LTV, Occupancy, Term to
Maturity, MSA, and Tenant Rollover Percent within the next 12 months. Using our historical CMBS database dating back to 1999, we have created statistical models which
assign a probability of default (PD), and a risk score to all 70,000 plus loans in our database.
Projected Losses
Projected Losses are calculated using a loan’s total exposure, our estimated value, and our estimated probability of default. If the total exposure is greater than the value, the
loan is said to have a Value Deficiency. The value deficiency of a loan multiplied by the probability of default yields the Projected Loss.
Loans that have transferred to the Special Servicer are differentiated from High Risk Loans, as they are considered an immediate risk to the deal. Specially Serviced loans are
assigned a probability of default of 100%, and typically will incur a loss within two years. High Risk Loans are assigned an estimated probability of default based on historical
CMBS data, and if the loan defaults, the expected timeframe for a loss is approximately two to five years.
Outlooks for CMBS tranches
Perform
The credit risk characteristics of the respective class and pool of collateral underlying the CMBS securities have performed as expected when compared to issuance
or the last review.
Outperform
Various characteristics of the transaction and pool of collateral underlying the CMBS securities have performed better than expected when compared to issuance or
the last review. The respective class exhibits decreased credit risk characteristics and may be a candidate for an upgrade. This is evident in credit support level
changes, forecasted changes in credit support, and/or the overall performance of the underlying collateral.
Underperform
Various characteristics of the transaction and pool of collateral underlying the CMBS securities have performed worse than expected when compared to issuance or
last review. The respective class exhibits increased credit risk characteristics and may be a candidate for a downgrade or has the risk for potential loss. This is
evident in credit support level changes, forecasted changes in credit support, and/or the overall performance of the underlying collateral.
Page 21 of 26
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CMBXView: CMBX 1
CMBX 1 Index
CMBX 1 is comprised of six indices at benchmark rating levels (AAA, AJ, AA, A, BBB and BBB-). Each of the six indices reference at-issuance similarly rated tranches from 25
deals issued between August 2005 and February 2006. Each of the 25 reference obligations has the same initial weight (1/25, or 4.0%), which may change based on
payment and credit performance.
Deal
BACM0504
BACM0505
BACM0506
BSC05P10
BSC05PW9
BSC05T20
CD05CDC1
CSF05C05
CSF05C06
GCC05GG5
GECC05C4
GMAC06C1
JPC05C13
JPC05LD4
JPC05LD5
LBUB05C5
LBUB05C7
LBUB06C1
MLT05CK1
MLT05LC1
MSC05HQ7
MSC05I10
MSC06T21
WBC05C21
WBC05C22
Mstar Analyst
Kendra Hotter
Kendra Hotter
Doug Lachmuth
Michael Haas
Chris Meyer
Jonathan Ramel
William Petersen
Laura Shannon
Laura Shannon
Jonathan Ramel
Jonathan Ramel
Jonathan Ramel
Anthony Colangelo
Ricky Cipko
Michael Haas
Michael Haas
Michael Haas
Michael Haas
Jonathan Ramel
Jonathan Ramel
Laura Shannon
Chris Meyer
Doug Lachmuth
Ricky Cipko
Chris Meyer
Table 25: Deal Contact List
Deal Contacts
Phone Number
Email Address
267-960-6015
[email protected]
267-960-6015
[email protected]
267.960.6026
[email protected]
267-960-6046
[email protected]
267-960-0537
[email protected]
267-960-6011
[email protected]
267-960-6007
[email protected]
267-960-6016
[email protected]
267-960-6016
[email protected]
267-960-6011
[email protected]
267-960-6011
[email protected]
267-960-6011
[email protected]
267-960-6012
[email protected]
267-960-6013
[email protected]
267-960-6046
[email protected]
267-960-6046
[email protected]
267-960-6046
[email protected]
267-960-6046
[email protected]
267-960-6011
[email protected]
267-960-6011
[email protected]
267-960-6016
[email protected]
267-960-0537
[email protected]
267.960.6026
[email protected]
267-960-6013
[email protected]
267-960-0537
[email protected]
Page 22 of 26
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CMBXView: CMBX 1
Contacts
Primary CMBX 1 Analyst
Kendra Hotter
267-960-6015
[email protected]
Secondary CMBX 1 Analyst
Vince Piskorski
267-960-6020
[email protected]
Secondary CMBX 1 Analyst
Mark Williams
267-960-6027
[email protected]
DISCLAIMER
Copyright © 2012 Morningstar Credit Ratings, LLC (“Morningstar”). Morningstar and/or its third party licensors have exclusive proprietary rights in the data or information provided
herein. This data/information may only be used internally for business purposes and shall not be used for any unlawful or unauthorized purposes. Dissemination, distribution or
reproduction of this data/information in any form is strictly prohibited except with the prior written permission of Morningstar. Because of the possibility of human or mechanical error by
Morningstar, its affiliates or its third party licensors, Morningstar, its affiliates and its third party licensors do not guarantee the accuracy, adequacy, completeness or availability of any
information and is not responsible for any errors or omissions or for the results obtained from the use of such information.
Page 23 of 26
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