Is the Worst yet to come

1
Is the Worst yet to come?
Henry Lorber September 1, 2009
2
Mortgage Backed Securities(CMBS)
3
Estimated maturity profile of commercial
mortgages in CMBS, bank and life company
portfolios
Annual Maturities ( Billions)
Source Deutsche Bank, Intex, Trepp Mortgage
Bankers Association, Federal Reserve
4
Annual maturities (billion) in CMBS, banks and
life companies
Maturity timing is estimated
Source Deutsche Bank, Intex, Trepp Mortgage
Bankers Association, Federal Reserve
5
Why Special Servicers Look so Tired?
Special Servicing balance Jul 09 49.4 bn
Special Servicing balance Aug 08 8.0 bn
Source Trepp LLC
6
Maturity Profile of fixed rate commercial
mortgages in CMBS transactions
Source Deutsche Bank, Intex, Trepp
7
Short term fixed rate CMBS loans maturing through
2013
Balance of Maturing Loans (bn)
Source Deutsche Bank, Intex, Trepp
8
Maturity profile of floating rate CMBS loans
Maturing Loans (bn)
Source Deutsche Bank, Intex, Trepp
9
Residential 6 Quarter Roll Forward and Predicted
CMBS Delinquencies
June 09 Actual 13.54
Dec 10 Predicted 8.90
June 09 Actual 4.18
Source MBA and Trepp LLC (Predictions from
Olasov)
10
The Banks
11
Money Center Banks Concentration Ratios 8-26-09
12
Concentration Ratios by Banks over 1 Billion
Without SunTrust
13
Concentration Ratios by Asset Size - Continued
14
Concentration Ratios by Asset Size - Continued
15
Estimated percentage of loans that do not qualify
for refinancing NOI Scenario 1
Maturity timing is estimated
Source Deutsche Bank, Intex, Trepp Mortgage
Bankers Association, Federal Reserve