moodys emea 10-12

OCTOBER 18, 2012

COMMERCIAL MBS

The methodologies used in rating and monitoring EMEA CMBS and multi-family transactions are “Moody's Approach to Real Estate Analysis for CMBS in EMEA: Portfolio Analysis (MoRE Portfolio)" published April 2006 and "Update on Moody's Real Estate Analysis for CMBS Transactions in EMEA" published June 2005. Please see the Credit Policy page on www.moodys.com for a copy of this methodology. For a list of Related Research, please see page 21 of this report.

SPECIAL COMMENT

Table of Contents

OVERVIEW 1CHARACTERISTICS OF LOANS IN SPECIAL SERVICING 2MOODY’S ANALYSIS OF LOANS IN SPECIAL SERVICING 5REVIEW OF ALL LOANS REMOVED FROM SPECIAL SERVICING 9REVIEW OF LOANS REMOVED FROM SPECIAL SERVICING WITH LOSSES 10DETAIL TO LOANS IN SPECIAL SERVICING 12DETAIL TO LOANS REMOVED FROM SPECIAL SERVICING 13FREQUENTLY ASKED QUESTIONS 18MOODY’S RELATED RESEARCH 21

Analyst Contacts

Deniz Yegenaga, CFA Analyst +44.20.7772.8678 [email protected]

Andrea Daniels Senior Vice President – Manager +44.20.7772.1471 [email protected]

Christophe De Noaillat Associate Managing Director +44.20.7772.5536 [email protected]

» contacts continued on the last page

MOODY’S CLIENT SERVICES: London: +44.20.7772.5454 [email protected] Monitoring: [email protected]

EMEA CMBS: Monthly Update on Specially Serviced Loans – October 2012 Europe / Middle East / Africa

Overview Two loans were newly transferred into special servicing in September while one loan was worked out. A total of 140 loans were in special servicing across EMEA CMBS Large Multi-Borrower and Single Borrower transactions monitored by Moody’s as of end of September 2012. Highlights for the month include: » The larger of the new transfers is the Kurhaus Loan (EUR 48 million – 8% of the pool)

securitised in Titan Europe 2006-3 plc

» One of the two loans maturing in September, the Dundee Loan securitised in

. The loan backed by a hotel property in The Hague, Netherlands, defaulted during the term due to non-payment. It represents the ninth loan that entered special servicing in this transaction. After the work-out of two loans, seven out of the currently ten loans are in special servicing (57% of the pool).

Taurus CMBS (UK) 2006-2 plc

» Charles II Loan securitised in

, was not refinanced and was transferred into special servicing. The leverage on the GBP 11 million A-Loan (5% of the pool) increased to 93% from 48% following the April 2012 revaluation of the underlying office property in Dundee, Scotland.

Titan Europe 2007-3 Limited

» Special servicing of three loans previously by Deutsche Bank have been delegated to Situs Asset Management Limited under sub-special servicing arrangements. While Deutsche Bank remains as named Special Servicer, Situs is the special servicer for the purposes of this report. During September 2012, Situs also took over the servicing of four and subservicing of 92 performing loans across 13 CMBS transactions monitored by Moody’s.

was worked-out via a discounted pay-off with the borrower. The principal loss on the loan is reported as GBP 1 million (12% loss severity) which will be borne by the Class D Notes of the issuer. Losses realised to-date on this transaction total 50 million, approximately 6% of the initial transaction balance.

» The WA Moody’s Expected Principal Loss for loans in special servicing is 38%. FIGURE 1

Number of Loans in Special Servicing EMEA CMBS Large Multi-Borrower and Single Borrower Transactions

Data as of end of September 2012

Source: Moody’s Investors Service, Servicer Reports

0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0%16.0%18.0%20.0%22.0%

020406080

100120140

Q2

-200

8Q

3 -

2008

Q4

-20

08Q

1 -20

09Q

2 -2

009

Q3

-20

09Q

4 -

2009

Q1 -

2010

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep-

10O

ct-1

0N

ov-1

0D

ec-1

0Ja

n-11

Feb-

11M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-

11A

ug-1

1Se

p-11

Oct

-11

Nov

-11

Dec

-11

Jan-

12Fe

b-12

Mar

-12

Apr

-12

May

-12

Jun-

12Ju

l-12

Aug

-12

Sep-

12

Num

ber o

f Loa

ns

Number of Loans in Special Servicing % of Total Volume of Loans (RHS)

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2 OCTOBER 18, 2012 SPECIAL COMMENT: EMEA CMBS: MONTHLY UPDATE ON SPECIALLY SERVICED LOANS – OCTOBER 2012

COMMERCIAL MBS

Characteristics of Loans in Special Servicing

The following charts and tables provide some key characteristics of the EMEA CMBS loans currently in special servicing.

FIGURE 2

Loans Currently in Special Servicing by Origination Year

Vintage Number of Loans Loan Balance*

<2005 6 148 2005 30 2,348 2006 62 7,692 2007 42 6,315 >2007 - - TOTAL 140 16,503

* Securitised loan balance is in € million as per transfer date.

Loans Currently in Special Servicing by Loan Origination Year % of Total Loan Balance


To put Figure 2 above into context, of the loans currently securitised in CMBS, 15% (by total EMEA CMBS origination volume) were originated in 2005, 24% in 2006 and 21% in 2007. Hence, the proportion of specially serviced loans originated in 2006 and 2007 are elevated.

FIGURE 3

Loans Currently in Special Servicing by Property Location

Country Number of Loans Loan Balance*

UK 47 7,684 Germany 67 5,542 The Netherlands 9 837 France 8 2,043 Other 8 248 Italy 1 149 TOTAL 140 16,503


Loans Currently in Special Servicing by Property Location % of Total Loan Balance


Most of the loans securitised in the EMEA CMBS market are secured by properties located in the UK (approximately 58% of current total outstanding EMEA CMBS volume), followed by Germany with 27%. No other country contributes more than 5% to the total outstanding deal volume. There are no noteworthy exposures in EMEA CMBS to Spain, Ireland, Portugal or Greece. Comparing Figure 3 to the overall EMEA CMBS market, the relative contribution of specially serviced loans secured by properties in Germany and France are quite high considering that Germany contributes 27% to the total outstanding loans in EMEA CMBS and France contributes 5%. France’s large share is influenced, inter alia, by the large Windermere XII FCT transaction.

<20051%

200514%

200647%

200738%

UK47%

Germany34%

The Netherlands5%

France12%

Other1%

Italy1%


COMMERCIAL MBS

FIGURE 4

Loans Currently in Special Servicing by Property Type

Major Property Type

Number of Loans

Loan Balance*

Office 48 7,740 Industrial 12 387 Mixed 32 4,291 Multi-family 10 896 Hotel/Leisure 3 72 Retail 32 1,855 Other 3 1,262 TOTAL 140 16,503


Loans Currently In Special Servicing by Property Types % of Total Loan Balance


As background, out of the whole EMEA CMBS volume, approximately 23% of loans are secured by office properties, 23% by retail properties, 16% by multi-family properties and 16% by mixed-use properties. The remainder property types such as industrial and hotels are grouped under “Other”. When looking at the relative performance of loans secured by different property types, Moody’s notes that loans secured by multi-family properties demonstrate a relatively stable performance. As can be seen from Figure 4, only a small portion of loans in special servicing are backed by multi-family properties (6%). Similarly, the share of retail properties in special servicing is relatively low (11%) although this property type has seen considerable stress, especially for secondary quality retail properties. Moody’s notes that retail properties in EMEA CMBS have often relatively stable cash flow profiles, which have so far prevented a large number of loan defaults during the term. The large share of the “Other” type of properties included in Figure 4 (8%) is primarily driven by the loans backed by care home properties in the UK such as the loan securitised in the Titan Europe 2007-1 (NHP) Limited transaction.

FIGURE 5

Affected CMBS Programmes

CMBS Programme Number of Loans

Loan Balance *

Cornerstone Titan 17 1,362 Deco 29 1,698 Eclipse 10 2,128 Eloc (European Loan Conduit) 14 1,318 EPC (European Property Capital) 1 114 EMC (European Mortgage Capital) 8 165 Fleet Street Finance 2 263 Mesdag 3 246 Talisman 15 1,980 Taurus 3 93 Titan Europe 24 3,045 White Tower 1 1,746 Windermere 12 2,078 Other 1 267 TOTAL 140 16,503


Affected CMBS Programmes (CMBS Programmes in Which the Specially Serviced Loans Are Securitised) % of Total Loan Balance


Office47%

Industrial2%

Mixed26%

Multi-family5%

Hotel/Leisure1%

Retail11%

Other8%

Deco10%

Eclipse13%

ELoC (European Loan Conduit)8%

Talisman12%Titan Europe

18%

White Tower11%

Windermere13%

Other15%


COMMERCIAL MBS

FIGURE 6

Special Servicers (Market Share)

Special Servicer Number of Loans

Loan Balance *

Capita 40 3,659 Citibank 1 3 CBRE LS 4 4,799 Deutsche Pfandbriefbank 1 267 Hatfield Philips 64 4,954 Hudson 6 669 Morgan Stanley 14 1,318 Situs** 3 564 Solutus 7 270 TOTAL 140 16,503


** Two of the loans represent 50% participations in A-Loans. For one of the loans, the pari-passu portion is in a securitisation that is not rated by Moody’s; therefore, the balance has been excluded from the report.

Special Servicer (Market Share) % of Total Number of Loans


The special servicer of the loans is typically determined at closing of the CMBS transaction. Figure 6 shows the different special servicers active in the EMEA CMBS market and their market share by number of loans that they service. On numerous occasions, the noteholders or junior lenders have requested a transfer of a loan from one special servicer to another, as permitted under the transaction documentation. Moody’s endeavors to comment on such changes in the form of a press release for the affected transactions.

FIGURE 7

Time Elapsed Since Transfer into Special Servicing

Time Elapsed Since Transfer Date

Number of Loans

Loan Balance *

<6 months 25 1,980 6-12 months 33 2,899 1-2 years 44 2,878 2-3 years 17 1,798 >3 years 21 6,947 TOTAL 140 16,503


Time Elapsed Since Transfer into Special Servicing (Duration of Work-Out from Initial Transfer until Present) % of Total Loan Balance


Figure 7 shows the time elapsed since the loan was transferred into special servicing. Moody’s notes that next to the work-out strategy adopted, the jurisdiction in which the property is located highly impacts the work-out periods for loans. There are significant differences between the collateral security and bankruptcy regimes in individual European jurisdictions, influencing the required time to work-out loans. For a detailed discussion, please refer to Moody’s Special Report1

Citibank1%

Capita28%

CBRE LS3%

Deutsche Pfandbriefbank1%

Hatfield Philips46%

Hudson4%

Morgan Stanley10%

Situs2%

Solutus5%

on European country tiering for CMBS recovery assumptions.

<6 months12%

6-12 months18%

1-2 years17%2-3 years

11%

>3 years42%


COMMERCIAL MBS

Moody’s Analysis of Loans in Special Servicing

This section of the report provides some key data points of Moody’s analysis of loans in special servicing, namely:

» Reason for the transfer of the loan into special servicing

» Current status of the loan

» Moody’s observation regarding the primary focus of the special servicer’s current work-out strategy

» Remaining years until legal final maturity of the CMBS

» Moody’s expected principal loss on a loan-by-loan basis

FIGURE 8

Reason for Transfer into Special Servicing

Reason For Transfer* Number of Loans Loan Balance**

LTV covenant breach 25 5,729 ICR/DSCR covenant breach 13 795 Main tenant vacated/defaulted

5 362

Non-payment during term 15 1,694 Non-payment at maturity 73 4,805 Sponsor/Borrower default 3 333 Other 6 2,785 TOTAL 140 16,503

* Moody’s notes that the type and severity of performance issues may change following the initial transfer of the loans into special servicing. The data provided by Moody’s as “Reason for Transfer” is limited to the actual cause of the loan transfer. ** Securitised loan balance is in € million as per transfer date.

Reason For Transfer into Special Servicing Total € Million Loan Balance


Various factors can cause a securitised loan to default and be transferred into special servicing. Moody’s has created seven major categories to distinguish between the different types of performance issues faced by loans which result in their transfer into special servicing. As shown in Figure 8, the most common reasons include financial covenant breaches and payment defaults either during the term of the loan or at its scheduled maturity. The “Other” category includes imminent loan default as well as other specific transfer reasons that are less often observed, such as

reporting issues. As can be seen from the graph, non-payment at maturity has become more prominent as a reason for transfer starting with the first half of 2010. While the LTV covenant breach continues to be one of the most common reasons for transfer into special servicing, it is worth noting that the recent LTV covenant breaches observed were largely linked to upcoming loan maturity dates as servicers tend to call for updated valuations nearer the maturity date of the loans.

FIGURE 9

Status of Loans Currently in Special Servicing

Status of Loans Number of Loans Loan Balance *

Current 21 1,428 Non-current 19 5,634 Matured Loan / Paying 76 8,261 Matured Loan / Non-paying 24 1,180 TOTAL 140 16,503


Status of Loans Currently in Special Servicing % of Total Loan Balance


Specially serviced loans are categorised as “Current” if all debt service payments are being made by the borrowers while loans with payment arrears (delinquencies) before loan maturity are categorised as “Non-current”. A further distinction is made between loans that have past their maturity dates, with loans for which the borrowers continue making interest payments being categorised as “Matured Loan/Paying”. Loans that were not repaid at the scheduled loan maturity date and for which the borrowers do not make full interest payments are categorised as “Matured Loan/Non-paying”.

-

1,000

2,000

3,000

4,000

5,000

1st half 2008

2nd half

2008

1st half 2009

2nd half

2009

1st half 2010

2nd half

2010

1st half 2011

2nd half 2011

1st half 2012

2nd half

2012

LTV covenant breach ICR/DSCR covenant breachNon-payment during term Non-payment at maturityMajor tenant vacated / defaulted Borrower/Sponsor insolvencyOther

Current9%

Non-current34%

Matured Loan / Paying 50%

Matured Loan / Non-paying 7%


COMMERCIAL MBS

FIGURE 10

Primary Focus of Work-out for Loans in Special Servicing

Focus of Work-out Number of Loans Loan Balance *

Evaluation of Options 20 1,562 Stabilisation of Property 5 1,998 Opportunistic Sale 22 2,354 Standstill Agreement / Restructuring 31 3,591 Enforcement Action / Forced Sale 47 4,398 Worked-out / Finalisation 13 2,544 Other 2 56 TOTAL 140 16,503


Primary Focus of Work-Out for Loans in Special Servicing % of Total Loan Balance


Special servicers report on a regular basis their current actions and plans regarding the work-out of loans that they service. Overall, the format of reporting for specially serviced loans is quite heterogeneous; therefore, to give an effective overview of the loans in special servicing, Moody’s has categorised the loans by the primary focus of the current work-out strategy.

Moody’s notes that special servicers typically follow multiple work-out routes when trying to maximise recoveries from properties and other assets securing the specially serviced loan. For example, a special servicer’s main focus may be to stabilise the secured properties with a view to optimising their lease profile, which does not preclude the special servicer from realising an opportunity to sell the property, should such an opportunity arise. The categories are Moody’s interpretation of the special servicer’s currently prevailing focus of work-out. Moody’s endeavours to report multiple categories for loans for which the special servicer has clearly formulated different routes (e.g. sell/hold strategy on a property-by-property basis).

FIGURE 11

Primary Focus of Work-out for Loans in Special Servicing by the largest Special Servicer Groups

Number of Loans

Focus of Work-out Capita Hatfield Philips Morgan Stanley

Evaluation of Options 4 12 2 Stabilisation of Property 1 1 - Opportunistic Sale 6 13 2 Standstill Agreement / Restructuring

17 4 6

Enforcement Action / Forced Sale

5 29 3

Worked-out / Finalisation 5 5 1 Other 2 - - TOTAL 40 64 14

Primary Focus of Work-out for Loans in Special Servicing by the largest Special Servicer Groups % of Total Number of Loans for each Special Servicer Group


The above figure facilitates a closer look into the various focus of work-out of the major special servicers during the past month. For an overview of the active special servicers in the EMEA CMBS market, please refer to Figure 6.

Evaluation of Options10%

Stabilisation of Property12%

Opportunistic Sale14%Standstill

Agrmt. / Restructuring22%

Enforcement Action / Forced Sale27%

Worked-out / Finalisation15%

Other0%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Capita Hatfield Philips Morgan Stanley All Special Servicers

Evaluation of Options Stabilisation of PropertyOpportunistic Sale Standstill Agrmt. / RestructuringEnforcement Action / Forced Sale Worked-out / FinalisationOther


COMMERCIAL MBS

FIGURE 12

Time Elapsed Since Transfer into Special Servicing per largest Special Servicers Groups

Number of Loans

Time Elapsed Since Transfer Date Capita Hatfield Philips Morgan Stanley

<6 months 7 13 3 6-12 months 11 16 1 1-2 years 12 18 8 2-3 years 5 8 1 >3 years 5 9 1 TOTAL 40 64 14

Time Elapsed Since Transfer into Special Servicing per largest Special Servicers Group % of Total Number of Loans for each Special Servicer Group


Figure 12 illustrates for each of the major special servicer groups, the time elapsed since the loans were transferred to them. As already mentioned under Figure 7, the work-out strategy adopted and the jurisdiction in which the underlying property is located highly impact the work-out periods for loans. Moody’s reports the loans as in special servicing until a final recovery determination is issued by the respective special servicer, regardless of when the properties are liquidated and recoveries are allocated to the noteholders.

FIGURE 13

Remaining Years until Legal Final Maturity of the CMBS

Remaining Years Until Legal Final Maturity of the CMBS Number of Loans Loan Balance *

Past CMBS Legal Final Maturity - - <1 year 1 1,746 1-3 years 15 1,214 3-5 years 77 9,239 >5 years 47 4,303 TOTAL 140 16,503


Remaining Years Until Legal Final Maturity of the CMBS % of Total Loan Balance


Moody’s observes that, generally, special servicers work-out the loans with a view to maximising recoveries on a net present value basis by no later than the legal final maturity of the CMBS notes. On a weighted average basis by loan balance, there are 4.5 years remaining for specially serviced loans to be worked-out until the legal final maturity of the CMBS notes is reached. However, the first significant EMEA CMBS legal final maturity dates are already in 2012. So far, one loan was not worked-out within the tail period of the securitisation that it is in which is the Opera Finance (Uni-Invest) B.V. transaction. The loan is no longer reported as in special servicing; therefore, has been excluded from Figure 13. The transaction with less than one year left until legal final maturity of the notes, White Tower 2006-3 plc is in the finalisation of the loan work-out; the CMBS notes have already been de-listed and the only class with a an outstanding balance is no longer accruing interest.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Capita Hatfield Philips Morgan Stanley All Special Servicers

<6 months 6-12 months 1-2 years 2-3 years >3 years

Remaining < 1 year11%

Remaining 1 to 3 years7%

Remaining 3 to 5 years56%

Remaining > 5 years26%


COMMERCIAL MBS

FIGURE 14

Moody’s Expected Principal Losses as of end-September 2012

Principal Loss Severity * Number of Loans Loan Balance **

0% – 25% Loss severity 41 5,178 25% – 50% Loss severity 38 5,830 50% – 75% Loss severity 18 1,769 >75% Loss severity 7 1,603 TOTAL 104 14,380

* The Principal Loss % relates to the loan principal (notional) amount. If the loan principal amount is reduced, e.g. due to realised partial property disposals, then the expected principal loss is updated and relates to the new loan principal amount. ** Securitised loan balance is in € million as per transfer date. This overview captures loans that contribute 3% or more to their respective transaction.

Moody’s Expected Principal Losses Share as % of Total Loan Balance

Source: Moody’s Investors Service

As Moody’s ratings address the expected loss for CMBS notes by their legal final maturity, this section provides an overview of Moody’s principal loss expectation at the level of the underlying loans. Moody’s Expected Principal Loss refers to the severity of loss upon an enforcement action. Moody’s principal loss expectation is also made available on a loan-by-loan level in the next section of the report (Table 1 on page 12).

Moody’s Expected Principal Loss is largely driven by:

» Moody’s loan-to-value (LTV) ratio, which is based on Moody’s property value assessment considering the level of distress on the property value due to the work-out strategy.

» Moody’s estimate of the work-out duration until the secured properties are liquidated and recoveries are allocated to the notes.

» Moody’s expectation regarding the costs of work-out and enforcement.

» Accrued loan interest and Moody’s assessment as to how much rental cash flows are available to make interest and principal payments during the work-out period.

» Third-party claims that rank prior or equal to the loan security, hence influencing the recovery. Examples for potentially prior ranking claims are swap termination payments and senior ranking subsidised debt.

» Moody’s property value volatility assumption; for a detailed description please refer to Moody’s Rating Methodology2

Key inputs such as Moody’s property value, Moody’s property value volatility assumption and Moody’s expected work-out time are driven by Moody’s assessment of the likely work-out strategy, which is regularly reviewed and updated. Moody’s forward looking assessment of the probable work-out strategy is subject to uncertainties and might change over time, which in turn may impact Moody’s property value, recovery and ultimate principal loss expectation.

.

A further analysis of Moody’s Expected Principal Losses is provided below:

FIGURE 15

Moody’s Expected Principal Losses by Property Location

Country

0-25% Loss

Severity

25-50% Loss

Severity

50-75% Loss

Severity

>75% Loss

Severity

UK 50% 15% 12% 23% Germany 31% 56% 9% 4% Netherlands 31% 7% 62% - France 6% 94% - - Other 31% 16% 40% 13% All Loans in S.S. 36% 41% 12% 11%

Moody’s Expected Principal Losses by Property Location % of Total Loan Balance


0-25% Loss Severity 36%



>75% Loss Severity 11%

0%10%20%30%40%50%60%70%80%90%

100%

UK Germany The Netherlands

France Other All Loans in S.S.

>75% Loss Severity 50-75% Loss Severity

25-50% Loss Severity 0-25% Loss Severity


COMMERCIAL MBS

FIGURE 16

Moody’s Expected Principal Losses by Property Type

Property Type

0-25% Loss

Severity

25-50% Loss

Severity

50-75% Loss

Severity

>75% Loss

Severity

Office 33% 56% 11% - Industrial 7% - 33% 60% Mixed 37% 25% 7% 31% Multi-family 13% 80% 7% - Retail 18% 44% 33% 5% Other 94% - 6% - All Loans in S.S. 36% 41% 12% 11%

Moody’s Expected Principal Losses by Property Type % of Total Loan Balance


Review of All Loans Removed from Special Servicing

As loans are worked-out and leave special servicing, Moody’s analyses the outcome for the loans and reports some of its findings in this section.

The analysis is of loans that have left special servicing since end-Q4 2009.

FIGURE 17

Outcome for Loans Removed from Special Servicing

Outcome Number of Loans Loan Balance*

Restructured 5 1,061 Full Repayment (no losses) 20 1,305 Partial Repayment (realised losses) 36 3,028 TOTAL 61 5,394


Outcome for Loans Removed from Special Servicing % of Total Loan Balance


The above data captures all loans removed from special servicing regardless of the outcome (i.e. with or without realised losses). Within the full repayment category, there can be loans for which the respective sponsor has secured refinancing after the loan transferred into special servicing or worked-out loans for which the special servicer has sold properties with enough proceeds to fully repay the debt. As can be seen from the graph, restructuring is a possible outcome for loans that are in special servicing which results in a loan’s transfer back to primary servicing while the loan remains a part of the securitisation. However, restructurings that achieve loan corrections and their transfer back to primary servicing have been relatively few with no loans being restructured yet in 2012. Moody’s observes that restructurings via some form of loan modification frequently occur while loans remain non-performing and continue to be specially serviced. For a list of loans that have left special servicing, please see Tables 2, 3 and 4 on pages 13-17.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Office Industrial Mixed Multi-family

Retail Other All Loans in S.S.

>75% Loss Severity 50-75% Loss Severity

25-50% Loss Severity 0-25% Loss Severity

Restructured20%

Full Repayment (no losses)24%

Partial Repayment (realised losses)56%


COMMERCIAL MBS

FIGURE 18

Duration for Loans Removed from Special Servicing

Total Duration Number of Loans

Loan Balance*

< 6 months 19 825 6-12 months 8 537 1-2 years 18 1,729 2-3 years 7 1,195 >3 years 9 1,107 TOTAL 61 5,394


Duration for Loans Removed From Special Servicing % Of Total Loan Balance

Source: Moody’s Investors Service, Servicer Reports Figure 19 shows the total duration in special servicing. As mentioned earlier in the report (Figure 7), next to the work-out strategy adopted, the jurisdiction in which the property is located highly impacts the work-out periods for loans. There are significant differences between the collateral security and bankruptcy regimes in individual European jurisdictions, influencing the required time to work-out loans. We have so far observed that loans can be worked-out within as short as six months. We also note, however, that some of the loans included in the <6 month bucket are loans that had past maturity dates for which the borrowers were already working towards a refinancing before the loan was transferred into special servicing. Therefore, the loans were repaid in full (refinanced) shortly after the loans’ transfer into special servicing.

Review of Loans Removed from Special Servicing with Losses

As the number of loans that have been worked-out with losses increase over time, we look at the loss severities by various criteria such as loan size, property type and location. The following figures are based on loan work-outs where the final recovery determinations have been made by the respective special servicers. The analysis omits one loan securitised in Opera Finance (Uni-Invest) B.V. for which there is certainty of loss on the A-loan, but ultimate recoveries are indeterminate at this stage. While it is difficult to draw conclusions based on the limited work-outs to-date, we can see that the highest loss severities have

been experienced on loans with smaller balances (<EUR 10 million). The weighted average loss severity for loans with collateral in the UK have been fairly high at 40%. With respect to property types, no single property type stands out with a high loss severity whereas the multi-family loans show the lowest severity albeit based on a few work-outs.

FIGURE 19

Weighted Average Loss Severity by Loan Vintage

Loan Vintage Number of Loans

Weighted Average Loss Severity

<2005 1 33% 2005 10 27% 2006 14 42% 2007 10 23% >2007 - - TOTAL 35 36% Realised Loss Breakdown by Loan Vintage

Source: Moody’s Investors Service, Servicer Reports FIGURE 20

Weighted Average Loss Severity by Loan Size

Loan Size (EUR million) Number of Loans


<10m 7 71% 10-50m 15 43% 50-100m 4 12% 100-200m 8 28% >200m 1 52% TOTAL 35 36% Realised Loss Breakdown by Loan Size


< 6 months15%

6-12 months10%

1-2 years32%

2-3 years22%

> 3 years21%

0%

10%

20%

30%

40%

50%

60%

70%

80%

0

5

10

15

20

25

30

35

40

<2005 2005 2006 2007

Number of Loans W.A. Loss Severity

0%

10%

20%

30%

40%

50%

60%

70%

80%

0

5

10

15

20

25

30

35

40

<10m 10-50m 50-100m 100-200m >200m

Number of Loans W.A. Loss Severity (RHS)


COMMERCIAL MBS

FIGURE 21

Weighted Average Loss Severity by Jurisdiction


Weighted Average Loss

Severity

UK 25 39% Germany 7 20% The Netherlands 1 17% France 2 50% TOTAL 35 36% Realised Loss Breakdown by Jurisdiction

Source: Moody’s Investors Service, Servicer Reports FIGURE 22

Weighted Average Loss Severity by Property Type



Office 11 30% Industrial 3 52% Mixed 3 59% Multi-family 2 12% Hotel/Leisure 3 40% Retail 10 28% Other 3 31% TOTAL 35 36% Realised Loss Breakdown by Property Type


0%

10%

20%

30%

40%

50%

60%

70%

80%

0

5

10

15

20

25

30

35

40

UK Germany The Netherlands France

Number of Loans W.A. Loss Severity (RHS)

0%

10%

20%

30%

40%

50%

60%

70%

80%

0

5

10

15

20

25

30

35

40Number of Loans W.A. Loss Severity (RHS)


COMMERCIAL MBS

Detail to Loans in Special Servicing

TABLE 1

Loans newly transferred into Special Servicing (“S.S.”) Full list of loans currently in special servicing can downloaded in Excel format

Transaction Name

Loan Name

Loan Balance*

(% of Current Pool)

Status of Securitised Loan

Loan Origination Date**

Property Location

Major Property Type

Latest U/W LTV***

(Valuation Date)

Date of transfer into S.S. (Special Servicer)

Reason for Transfer into S.S.

Transaction Legal Final Maturity

S.S. Focus of Work-out

Moody’s Expected Principal

Losses****

Titan Europe 2006-3 plc

Kurhaus EUR 47.8 (8%) Non-current Dec 2005 The Hague, The Netherlands

Hotel/ Leisure

75% (Apr 2011)

Sep 2012 (Hatfield Philips)

Non-payment during term

Jul 2016 Evaluation of Options

0-25% Loss Severity

Taurus CMBS (UK) 2006-2 plc

Dundee GBP 10.7 (5%) Matured Loan / Paying

Dec 2004 Dundee, UK Office 93% (Apr 2012)

Sep 2012 (Capita)

Non-payment at maturity

Apr 2024 Evaluation of Options

0-25% Loss Severity

* Securitised balance as of transfer into special servicing (in millions) ** First drawdown or payment date *** LTV for the securitised portion only, as reported by the servicer **** Refers to the severity of loss upon an enforcement action




COMMERCIAL MBS COMMERCIAL MBS

Detail to Loans Removed from Special Servicing (“S.S.”) Since End-Q4 2009

TABLE 2

Corrected Loans (Loan remains in the CMBS pool) The data excludes loans in granular EMEA CMBS transactions

Transaction Name Loan Name Original Loan

Balance* Loan Origination Date** Property Location

Property Type

Date Transferred Into S.S.

Reason For Transfer Into S.S.

Special Servicer

Date Removed From S.S. (Duration)

Reason For Leaving S.S.

Taurus CMBS (Pan-Europe) 2007-1 plc

WPC G&S EUR 6.3 Dec 2006 Various, Germany Industrial Jun 2009 Major tenant vacated / defaulted

Capita Oct 2011 (2.4 yrs)

Restructuring

Titan Europe 2007-2 Limited Project Christie EUR 347.3 Apr 2007 Various, Germany Retail May 2010 Non-payment at maturity Capita Oct 2011 (1.4 yrs)

Restructuring

Windermere X CMBS Limited E-Shelter EUR 122.7 Oct 2006 Frankfurt, Germany Other May 2011 Non-payment during term Hatfield Philips

Sep 2011 (0.3 yrs)

Sponsor remedy

Vulcan (ELoC 28) Limited Tishman German EUR 379.0 Dec 2006 Various, Germany Mixed May 2009 Non-payment during term Morgan Stanley

Mar 2010 (1.5 yrs)

Restructuring

Hercules (Eclipse 2006-4) plc Cannon Bridge GBP 155.8 Oct 2006 London, UK Office Jun 2009 ICR/DSCR covenant breach Barclays Mar 2010 (0.8 yrs)

Restructuring

* Securitised balance at origination or transaction closing date (in millions) ** First drawdown or payment date




TABLE 3

Full Loan Principal Repayment (Loan is worked-out / removed from S.S. without loss) The data excludes worked-out loans that were in granular EMEA CMBS transactions

Transaction Name Loan Name

Original Loan Balance*

Loan Origination Date** Property Location Property Type


Reason For Transfer Into S.S. Special Servicer


Reason For Leaving S.S.

Windermere XI CMBS plc CAA House GBP 93.0 Dec 2006 London, UK Office Jan 2012 Non-payment at maturity Hatfield Philips Jul 2012 (0.5 yrs)

Property Sale (Consensual)

Juno (Eclipse 2007-2) Limited Keops EUR 249.8 Jan 2007 Various, Sweden Mixed Nov 2009 LTV covenant breach Capita Apr 2012 (2.4 yrs)

Property Sale (Enforcement)

Talisman - 1 Finance plc Alpha EUR 26.5 Jul 2005 Germany Mixed May 2010 Non-payment at maturity Hatfield Philips Jan 2012 (1.7 yrs)


Talisman - 6 Finance plc Kiwi EUR 15.4 Apr 2007 Duisburg, Germany Retail Jul 2010 Non-payment during term Hatfield Philips Dec 2011 (1.3 yrs)


Silenus (Eloc 25) Limited Cuxhaven EUR 35.7 Apr 2006 Various, Germany Multi-family May 2011 Non-payment at maturity Morgan Stanley Oct 2011 (0.5 yrs)

Repayment (Sponsor)

Silenus (Eloc 25) Limited Wolfsburg EUR 36.0 May 2006 Wolfsburg, Germany Multi-family May 2011 Non-payment at maturity Morgan Stanley Oct 2011 (0.5 yrs)

Repayment (Sponsor)

Taurus CMBS (UK) 2006-2 plc St. Katherine’s D. GBP 89.3 Jul 2005 London, UK Office Jul 2010 Non-payment at maturity Capita Aug 2011 (1 yr)


Windermere VIII CMBS plc AMG Portfolio GBP 292.8 Apr 2006 London, UK Office Apr 2010 Non-payment at maturity Hatfield Philips Jun 2011 (1.2 yrs)


Cornerstone Titan 2006-1 plc Aldermanbury GBP 34.5 Apr 2006 London, UK Office Sep 2010 LTV covenant breach Capita Apr 2011 (0.5 yrs)

Repayment (Sponsor)

Vulcan (ELoC 28) Limited PFF Paris Portfolio EUR 125.0 Feb 2007 Paris, France Office Feb 2011 Non-payment at maturity Morgan Stanley Mar 2011 (0.1 yrs)

Repayment (Sponsor)

Perseus (ELoC 22) plc Columbus Court GBP 70.8 Sep 2005 London, UK Office Oct 2010 Non-payment at maturity Morgan Stanley Jan 2011 (0.2 yrs)

Repayment (Sponsor)

Perseus (ELoC 22) plc Ladysmith GBP 28.8 Aug 2005 Ashton-Under-Lyne, UK

Retail Jul 2010 Non-payment at maturity Morgan Stanley Oct 2010 (0.2 yrs)

Repayment (Sponsor)

Indus (Eclipse 2007-1) plc Snowhill GBP 11.8 May 2006 Melton Mowbray, UK Industrial Apr 2010 Non-payment at maturity Barclays Oct 2010 (0.5 yrs)

Repayment (Sponsor)

European Property Capital 3 plc CPFM EUR 9.6 Feb 2004 Oosterhout, The Netherlands

Industrial Jan 2009 Non-payment at maturity Capita Aug 2010 (1.6 yrs)

Repayment (Sponsor)

Taurus CMBS (UK) 2006-2 plc A&A Prescot GBP 18.3 Sep 2004 London, UK Office Feb 2010 LTV covenant breach Capita Jul 2010 (0.4 yrs)

Repayment (Sponsor)

Ursus EPC plc Lamorna GBP 2.8 Oct 2004 Various, UK Mixed Nov 2009 Non-payment at maturity Capita Apr 2010 (0.4 yrs)

Repayment (Sponsor)

Ursus EPC plc Shazr GBP 0.7 Dec 2004 London, UK Mixed Nov 2009 Non-payment at maturity Capita Apr 2010 (0.4 yrs)

Repayment (Sponsor)

Juno (Eclipse 2007-2) Limited Ostend EUR 26.8 Feb 2007 Ostend, Belgium Retail Nov 2008 ICR/DSCR covenant breach Barclays Feb 2010 (1.3 yrs)

Other

AQUILA (ECLIPSE 2005-1) plc Podium & St. George GBP 34.1 Jan 2005 Various, UK Mixed Oct 2009 Non-payment at maturity Barclays Jan 2010 (0.2 yrs)

Repayment (Sponsor)

Bellatrix (Eclipse 2005-2) plc Swallow St & Old Burlington St

GBP 20.3 Jul 2005 London, UK Office Oct 2009 Non-payment at maturity Barclays Jan 2010 (0.2 yrs)

Repayment (Sponsor)

* Securitised balance at origination or transaction closing date (in millions) ** First drawdown or payment date




TABLE 4

Partial Loan Principal Repayment (Loans worked-out / removed from S.S. with loss) The data excludes worked-out loans that were in granular EMEA CMBS transactions

Transaction Loan Name

Original Loan Balance

(Millions)* Property Location

Property Type



Special Servicer Type Of Work-Out


Principal Loss

(Millions)

Loan Princpal Loss Severity

(%)**

Loss % Of Transaction

*** Affected Classes


Charles II GBP 9.1 London, UK Mixed Jul 2012 Non-payment during term

Hudson Discounted pay-off Sep 2012 (0.2 yrs)

GBP 1.1 12% 0.1% D

Opera Finance (Uni-Invest) B.V.

Opera Finance (Uni-Invest) B.V.

EUR 1,008.9 Various, The Netherlands

Mixed Feb 2010 Non-payment at maturity

Eurohypo Loan Sale Aug 2012 (2.6 yrs)

NR NR NR A, B, C, D^

Windermere VIII CMBS plc

Monument GBP 16.22 London, UK Office Feb 2009 Non-payment at maturity

Hatfield Philips


Jul 2012 (3.5 yrs)

GBP 2.4 15% 0.2% E


Angus GBP 13.4 Dundee, UK Office Jan 2012 Non-payment at maturity

Hudson Property Sale (Enforcement)

Jul 2012 (0.5 yrs)

GBP 7.4 55% 1.0% D


Sauber EUR 11.1 Frankfurt, Germany

Hotel/ Leisure

Apr 2012 Non-payment at maturity

Capita Discounted pay-off Jul 2012 (0.3 yrs)

EUR 0.1 1% 0.0% F

Cornerstone Titan 2007-1 plc

DT Berlin EUR 14.9 Berlin, Germany Office Jul 2010 LTV covenant breach Capita Loan Sale Jul 2012 (2 yrs)

EUR 10.6 71% 0.8% F

Indus (Eclipse 2007-1) plc

Greater London GBP 73.2 London, UK Office Feb 2011 LTV covenant breach Capita Property Sale (Enforcement)

Jul 2012 (1.4 yrs)

GBP 22.3 30% 2.5% D


Gullwing GBP 13.1 Various, UK Industrial Jan 2011 Non-payment at maturity

Capita Property Sale (Enforcement)

Jul 2012 (1.5 yrs)

GBP 8.2 63% 0.9% D


Agora Max GBP 68.3 Various, UK Retail May 2009 Other Capita Property Sale (Consensual)

Jul 2012 (3.2 yrs)

GBP 12.2 18% 1.4% D, E


Apex GBP 4.5 Birmingham, UK Office Jul 2008 ICR/DSCR covenant breach


Jul 2012 (4 yrs)

GBP 3.2 71% 0.4% D


Weser Strasse EUR 121.0 Frankfurt, Germany

Office Jan 2011 Non-payment at maturity

Hatfield Philips


Jul 2012 (1.5 yrs)

EUR 63.2 52% 6.7% D, E

Bellatrix (Eclipse 2005-2) plc

Market Way GBP 7.7 Coventry, UK Retail Jan 2009 Non-payment during term


Apr 2012 (3.2 yrs)

GBP 2.5 33% 0.6% E

Bellatrix (Eclipse 2005-2) plc

Admiral GBP 16.6 Various, UK Office Apr 2011 Non-payment at maturity

Capita Property Sale (Consensual)

Apr 2012 (1 yr)

GBP 0.5 3% 0.1% E


SQY Ouest EUR 110.0 SQY, France Retail May 2009 Non-payment during term

Hatfield Philips


Mar 2012 (2.9 yrs)

EUR 81.6 74% 8.7% E, F, G, H


Ventura Park GBP 28.8 Rotherham, UK Other Jan 2012 Non-payment at maturity

Hudson Discounted pay-off Mar 2012 (0.1 yrs)

GBP 8.9 31% 1.1% D, E


Solstice EUR 21.8 Pattensen, Germany

Retail Mar 2011 Major tenant vacated / defaulted


Jan 2012 (0.8 yrs)

EUR 10.1 46% 0.8% F, G

* Securitised Balance at origination or transaction closing date

** Percent of initial / closing principal balance of the loan

*** Percent of aggregate principal balance of the securitised loans at closing. The loss realised at the transaction level from a particular loan may be different than the principal loss on the loan as determined by the servicer based on transaction documentation.

^ The loss on the A-Loan has not been reported by the Special Servicer. The loss on the securitised loan will depend on deferred payments to the most senior noteholders via the issuance of new notes through a new vehicle. The issuer’s obligations toward the noteholders of Opera Finance (Uni-Invest) B.V. have been extinguished, leaving no recoveries available to the Class B, C, and D noteholders. Taking into account the payments to the senior noteholders from the new notes, the ultimate loss on the securitised loan (A-loan) is expected range from 24% to 46% on the closing principal balance of the loan.




TABLE 4





Property Type





Principal Loss

(Millions)


(%)**




Loews EUR 129.8 Various, Germany Multi-family

Sep 2008 Borrower/ Sponsor insolvency


Jan 2012 (3.4 yrs)

EUR 17.4 13% 1.3% F, G


Portier EUR 134.0 Various, Germany Multi-family

Sep 2008 Borrower/ Sponsor insolvency


Jan 2012 (3.4 yrs)

EUR 14.0 10% 0.8% F, G

Deco 8 - UK Conduit 2 plc

C. & W. GBP 3.0 Surrey, UK Industrial Feb 2010 Other Hatfield Philips


Oct 2011 (1.7 yrs)

GBP 1.5 51% 0.2% G

Epic (Industrious) plc

Epic (Industrious) plc

GBP 487.5 Various, UK Industrial Sep 2008 LTV covenant breach RBS Property Sale (Enforcement)

Oct 2011 (3.1 yrs)

GBP 266.5

52% 51% A, B, C, D, E, F

Radamantis (Eloc 24) plc

Hayes Park Estate GBP 56.6 London, UK Office Jan 2011 Non-payment at maturity

Morgan Stanley


Oct 2011 (0.7 yrs)

GBP 0.4 1% 0.1% G


KS Focus Derby GBP 4.0 Derby, UK Hotel/ Leisure

Jun 2009 Non-payment during term

Hatfield Philips


Oct 2011 (2.4 yrs)

GBP 4.0 98% 0.6% G


Paladru GBP 5.9 Paignton, UK Retail Apr 2008 LTV covenant breach Hatfield Philips


Aug 2011 (3.3 yrs)

GBP 4.7 79% 1% F

Deco Series 2005-UK Conduit 1 Plc

Metropolitan P&F GBP 1.3 Various, UK Other Aug 2009 Non-payment during term

Hatfield Philips


Jul 2011 (1.9 yrs)

GBP 0.6 44% 0.3% E

Juno (Eclipse 2007-2) Limited

SCI Clichy EUR 112.7 Paris, France Office Jul 2009 Major tenant vacated / defaulted


Jul 2011 (2 yrs)

EUR 29.3 26% 3% D, E


Kashani GBP 2.1 Various, UK Hotel/ Leisure

Dec 2006 Non-payment during term

Hatfield Philips


Jul 2011 (4.6 yrs)

GBP 1.1 52% 0.5% E

Ursus EPC plc Castlegate GBP 36.08 Stockton-on-Tees, UK

Retail Apr 2010 Non-payment at maturity


Jun 2011 (1.2 yrs)

GBP 8.9 25% 6% C, D, E

Windermere VIII CMBS plc

AMG Portfolio GBP 292.8 London, UK Office Apr 2010 Non-payment at maturity

Hatfield Philips


Jun 2011 (1.2 yrs)

GBP 0.5 0.2% 0.1% E

Equinox (Eclipse 2006-1) plc

Redleaf Portfolio GBP 55.3 Various, UK Retail Jul 2010 Non-payment at maturity


Apr 2011 (0.7 yrs)

GBP 4.1 7% 1.0% E, F

MESDAG (Charlie) B.V.

Schiphol EUR 12.1 Schiphol, The Netherlands

Office Nov 2010 Non-payment during term

Hatfield Philips

Discounted pay-off Apr 2011 (0.4 yrs)

GBP 2.1 17% 0.4% E

Talisman - 1 Finance plc

Prime EUR 139.8 Various, Germany Retail Jan 2010 Non-payment at maturity

Hatfield Philips


Jan 2011 (1 yr)

EUR 1.7 1% 0.3% G


Mondeal GBP 1.2 Various, UK Other Dec 2008 Non-payment during term

Hatfield Philips


Aug 2010 (1.7 yrs)

GBP 0.4 34% 0.2% E







TABLE 4





Property Type





Principal Loss

(Millions)


(%)**




Holmewood GBP 18.3 Chesterfield, UK Mixed Jul 2008 Major tenant vacated / defaulted


Apr 2010 (1.8 yrs)

GBP 16.5 90% 2% E, F, G,

Windermere XI CMBS plc

Shrewsbury GBP 76.6 Various, UK Retail Apr 2009 ICR/DSCR covenant breach

Hatfield Philips


Apr 2010 (1 yr)

GBP 22.1 29% 3% D, E


Peacock Place GBP 15.9 Northampton, UK

Retail Apr 2009 Non-payment during term


Apr 2010 (1 yr)

GBP 9.4 59% 2% G, H, J


A&A Express GBP 24.3 Various, UK Mixed Jan 2010 Non-payment at maturity

Hudson Discounted pay-off Apr 2010 (0.3 yrs)

GBP 12.8 53% 2% E, F, G,


Lovat Lane GBP 7.9 Greater London, UK

Office Jan 2010 Non-payment at maturity

Hudson Discounted pay-off Apr 2010 (0.3 yrs)

GBP 4.2 53% 1% E, F, G,







Frequently Asked Questions

Q1: Does the report capture all loans that are in special servicing in EMEA CMBS transactions?

A: The report includes loans securitised in Single-Borrower and Large Multi-borrower transactions which together represent approximately 80% of all transactions currently rated by Moody’s. Loans securitised in Small Multi-borrower, UK Housing Association and non-performing loan (NPL) transactions are excluded from this report.

Q2: How does Moody’s track the loans that are transferred in and out of special servicing?

A: Moody’s relies on the quarterly investor reporting provided by the servicers as well as special notices issued to investors. Special notices (typically in the form of “RIS” notifications) include material information for the transactions such as new transfers of loans into special servicing or disclosure of property re-valuations for loans that have been transferred into special servicing as well as final loss determination for worked-out loans.

Q3: How does Moody’s determine the focus of the special servicers’ work-out?

A: Categories listed as part of special servicers’ focus of work-out have been created by Moody’s to facilitate a systematic reporting of all loans that are being specially serviced by a number of different servicers. The determination for each loan is based on the information disclosed by the special servicers. Moody’s endeavours to report multiple focuses of work-out for a loan when the servicer clearly defines the various work-out options that it is pursuing.

Q4: Can you clarify the assumptions behind the Moody’s Expected Principal Losses from the loans. Do the assumptions follow a base-case, stressed-case, or a stress at a particular rating level?

A: Our assumptions as regards the estimation of the level of principal loss follow our Central Scenarios.3

Q5: Does Moody’s report its loan-to-value ratio and other factors that were considered in its analysis such as work-out costs and senior ranking swap termination payments?

Specific assumptions on a property-by-property or loan-by-loan basis depend on the particulars of the analysed loans, and these are subject to rating committee decisions.

A: Moody’s reports its estimated portfolio weighted average LTVs in its press releases for the affected transactions. The press releases typically also include Moody’s estimated LTVs for loans that comprise a large portion of the portfolio. The work-out cost assumptions generally follow our country tiering in EMEA3

Q6: How does Moody’s analysis factor in extended work-out periods including disposal plans or loan restructurings which may result in lower principal losses when compared with an immediate liquidation of properties?

; however, we may change our cost assumptions on a case-by-case basis. Significant differences in cost assumptions along with material senior ranking swap termination costs would be commented on in the press releases for transactions.

A: The general assumption which follows our Central Scenario is that we do not expect the servicers to liquidate loans right away in the current market environment. In our analysis, we determine a base case for each loan. We then look at different scenarios in relation to potential work-out routes that special servicers can follow and assess how these could impact the ratings. When there is sensitivity of the notes’ ratings arising from a potential change in the servicer’s work-out strategy for the underlying loans compared to our base case (ex: restructuring versus enforcement), we highlight this in our press releases.

Q7: Are the loss severities updated on a regular basis?

A: We monitor loan/transaction performance on an ongoing basis through review of servicer reporting and also periodic transaction reviews. Moody’s Expected Principal Losses may be adjusted when there is new information that is material and not taken into account in our latest assessment of the securitised loan.



Note on Data

This report captures loans transferred into special servicing among Single-Borrower and Large Multi-Borrower EMEA CMBS transactions rated by Moody’s. Large multi-borrower transactions are defined as transactions with a loan Herfindahl index of less than 25, comprised of securitisations of typically 2-20 loans. Single Borrower transactions are securitisations of one or more loans granted to one borrower group only and for the purposes of this report include Single-Tenant and Whole Business Securitisations. Transactions excluded from this report consist of: UK Housing Association transactions, Small Multi-Borrower transactions (loan Herfindahl index greater than 25) and securitisations of non-performing loans (NPL transactions).

At the cut-off date for the data in the report (September 2012), the total number of Single-Borrower deals monitored by Moody’s was 48 and the Large-Multi-Borrower deals was 66.

To facilitate the analysis and avoid currency fluctuations, all loan currencies have been converted to EUR using a long term average exchange rate.

Moody’s has created several criteria to report the loans in a systematic format. A breakdown the categories used is as follows:

Status of Securitised Loan Current Non-current Matured Loan / Paying Matured Loan / Non-paying

Reason for Transfer into Special Servicing LTV covenant breach ICR/DSCR covenant breach Non-payment during term Non-payment at maturity Major tenant vacated / defaulted Borrower/Sponsor insolvency Other

Special Servicer Focus of Workout Evaluation of Options Stabilisation of Property Opportunistic Sale Standstill Agreement / Restructuring Enforcement Action / Forced Sale Worked-out / Finalisation Other

Loans that have defaulted, but have not yet been transferred into special servicing are excluded from the report.



1 The differences between key European collateral security and bankruptcy regimes are further discussed in the “Moody’s European Country Tiering for CMBS Recovery Rate Assumptions: Focus on Key Jurisdictions” report, published on 28 January 2005.

2 The quantitative principal loss assessment is further described in the “Moody's Approach to Real Estate Analysis for CMBS in EMEA: Portfolio Analysis (MoRE Portfolio)” report, published 24 April 2006. The report can be found on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab.

3 European CMBS: 2012 Central Scenarios, February 2012 (SF275803)









Moody’s Related Research

For a more detailed explanation of Moody’s approach to this type of transaction as well as similar transactions please refer to the following reports:

Rating Methodologies: » Update on Moody’s Real Estate Analysis for CMBS Transactions in EMEA, June 2005 (SF57645)

» Moody’s Approach to Real Estate Analysis for CMBS in EMEA: Portfolio Analysis (MoRE Portfolio), April 2006 (SF71831)

»

Rating Caps for CMBS in the Tail Period, October 2011 (SF259026)

Special Reports:

» European CMBS Loan Maturity Outcome Q1 2012, May 2012 (SF286542)

»

»

European CMBS: 2012 Central Scenarios, February 2012 (SF275803)

»

European CMBS: 2012 Outlook, December 2011 (SF270121)

»

US CMBS: Moody’s CMBS Delinquency Tracker, September 2012 (SF299281)

US CMBS Loss Severities, Q2 2012 Update, August 2012 (SF294755)

To access any of these reports, click on the entry above. Note that these references are current as of the date of publication of this report and that more recent reports may be available. All research may not be available to all clients. Moody’s publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.













» contacts continued from page 1

Analyst Contacts:

Oliver Moldenhauer Vice President – Senior Analyst +49.69.70730.744 [email protected]

ADDITIONAL CONTACTS: Frankfurt: +49.69.2222.7847 Madrid: +34.91.414.3161 Milan: +39.02.3600.6333 Paris: +33.1.7070.2229 New York: +1.212.553.1653

Website: www.moodys.com

Report Number: SF303933

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