the european and german cmbs market – an overview
TRANSCRIPT
The European and German CMBSMarket – An Overview
Dr. Gabriele Herbst
Mayer Brown Real Estate UpdateFrankfurt, 4 März 2010
Agenda
Transaction Characteristics
Loan Performance
Loan Maturities
Appendix
Agenda
Transaction Characteristics
Loan Performance
Loan Maturities
Appendix
3
European CMBS Market Overview
Total Volume and Numbers Collateral Breakdown by Country
Source: Fitch
0
10
20
30
40
50
60
70
2005 2006 2007 2008 2009
Germany UK
France Netherlands
Other(EURbn)
0
10
20
30
40
50
60
70
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
0
10
20
30
40
50
60
70
80
90
Issuance volume (LHS)
Number of transactions (RHS)
(EURbn) (No.)
4
Credit-
linked
3%
Single
borrower
33%
Granular
3%
Non-
performing
2%
Multiborrower
59%
Transaction TypeBy Rated Balance
Credit-
linked
11%
Long-
dated
17%
Single
borrower
37%
Multiborrower
28%
Granular
7%
Continental Europe United Kingdom
Source: Fitch (100% of European CMBS, Fitch rated)
5
German CMBS Volume By Collateral Type
Retail
28%
Other
3%
Office
19%MFH
40%
Industrial
2%
Mixed use
8%
0
5
10
15
20
25
2005 2006 2007 2008 2009
MFH Retail
Office Mixed use
Industrial Other(EURbn)
Breakdown by Property TypeAnnual Issuance Volume Since 2005
Overall Share of Property Types
Source: Fitch (Germany Fitch rated, volume at closing)
6
Berlin
14.4%
Munich
1.4%
West
Regional
41.2%West
Metropolitan
21.3%
Dusseldorf/
Cologne
0.7%
East
Metropolitan
7.2%
East Regional
6.9%
Frankfurt
4.0%
Hamburg
2.9%
Munich
2.3%
Berlin
13.0%
West
Regional
54.0%
West
Metropolitan
11.6%
East
Metropolitan
7.0%
Dusseldorf/
Cologne
1.5%East Regional
5.7%
Frankfurt
2.7%
Hamburg
2.1%
German CMBS Collateral Locations
By Market Value By Number of Properties
Source: Fitch (Fitch rated CMBS transactions)
Agenda
Transaction Characteristics
Loan Performance
Loan Maturities
Appendix
8
Loan Status
0
5
10
15
20
25
30
35
Nov 06 May 07 Nov 07 May 08 Nov 08 May 09 Nov 09
Servicer watchlist Fitch watchlist
Special servicing Loan EOD(%)
By Current Balance
Source: Fitch (82% of continental CMBS)
9
Current
85.6%
Maturity
default
0.02%
Other
14.4%
LTV
covenant
1.7%ICR
covenant
10.4%
Non-
payment
2.3%
Loan Status
By Securitised BalanceContinental Europe German Loans*
Source: Fitch (82% of continental CMBS, Nov 2009; German loans per February 2010)
Other
EOD
1.2%
Other
17.6%Maturity
default
0.6%
Current
82.4%
LTV
covenant
4.5%
ICR
covenant
1.4%
Non-
payment
3.6%
ICR trigger
6.4%
Agenda
Transaction Characteristics
Loan Performance
Loan Maturities
Appendix
11
Expected Loan Maturity Distribution
0
5
10
15
20
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
20
17
20
18
20
19
20
20
20
21
20
22
20
23
20
24
20
25
20
26
20
27
20
28
≥2
02
9
Germany France Netherlands Italy Other(EURbn)
By Jurisdiction
Source: Fitch (98% of continental CMBS)
12
Expected Loan Maturity Distribution
0
5
10
15
20
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
20
17
20
18
20
19
20
20
20
21
20
22
20
23
20
24
20
25
20
26
20
27
20
28
≥2
02
9
≤2004 2005 2006 ≥2007(GBPbn)
By Vintage
Source: Fitch (98% of continental CMBS)
13
European CMBS Maturity Outcomes
0
1
2
3
4
Ju
n 0
5
Au
g 0
5
Oct
05
De
c 0
5
Fe
b 0
6
Ap
r 0
6
Ju
n 0
6
Au
g 0
6
Oct
06
De
c 0
6
Fe
b 0
7
Ap
r 0
7
Ju
n 0
7
Au
g 0
7
Oct
07
De
c 0
7
Fe
b 0
8
Ap
r 0
8
Ju
n 0
8
Au
g 0
8
Oct
08
De
c 0
8
Fe
b 0
9
Ap
r 0
9
Ju
n 0
9
Au
g 0
9
Oct
09
De
c 0
9
Fe
b 1
0
Not matured Prepaid
Fully paid at maturity Fully paid after maturity
Maturity extended In standstill
In workout Loss suffered(EURbn)
Source: Fitch (CMBS, Fitch rated)
14
Maturity Distribution
0
5
10
15
20
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
20
17
20
18
20
19
20
20
20
21
20
22
20
23
20
24
20
25
20
26
20
27
20
28
≥2
02
9
Expected maturity Legal final maturity(EURbn)
By Current Securitised Balance
Source: Fitch (98% of continental CMBS)
Agenda
Transaction Characteristics
Loan Maturities
Loan Performance
Appendix
16
Fitch European CMBS Loan Maturity Bulletin
17
Fitch European CMBS Loan Maturity Bulletin
Example 1
18
Fitch European CMBS Loan Maturity Bulletin
Example 2
19
Fitch Quarterly European CMBS Performance Update
20
Fitch Quarterly European CMBS Performance Update – Example 1
21
Fitch Quarterly European CMBS Performance Update – Example 2
The Fitch Group Fitch Ratings Algorithmics Fitch Solutions
Fitch Ratingswww.fitchratings.com
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