CMBS Project -
The purposes of this assignment are
- To give you the opportunity see a "real" deal in the market, past or recent.
- To navigate the world of investment bankers and rating agencies in your efforts to obtain information from people who may actually be unkind and non-communicative to you.
- To sharpen you presentation skills. Be crisp; know what you're going to say; don't just read the PowerPoint slides to the class; look interested in your own subject matter - if you're bored, then your classmates and I will likely be bored.
Each team will make a presentation to the class covering the details of its CMBS deal. The presentation will be in PowerPoint format, and will be about (and, please, not more than) 25 minutes.
Below is a list of some things to consider in preparing for your presentation. While there are items listed here for you to cover in your presentation, please don't feel constrained in the content or the style (within the bounds of good taste) of your presentation. You don't have to present the content in any particular sequence, and you're not restricted to covering only the below topics. You're permitted to go off on a tangent as long as the tangent is relevant and as long as you stay within the time limit.
- Each assigned securitization is a fixed-rate fusion securitization. No conduit, single asset, agency or floating rate deals were assigned.
- What's the average maturity of the mortgages that comprise the collateral pool?
- What's the weighted average interest rate of the loans in the collateral pool?
- Who are the parties to the transaction: trustee, master servicer, special servicer, B-piece buyer, rating agencies (RAs) and originating lenders? Any primary servicers? Is there more than one Master Servicer? Is there more than one Special Servicer? If so, why?
- In their Pre-Sale Reports, what did the RAs identify as the areas of concern; the strong points. Were the rating agencies in agreement on this or did the rating agencies differ between or among themselves in the ratings assigned to the different tranches? If so how?
- What is the pool LTV and what is the pool DSCR according to both the issuer and rating agencies? How different are the issuer and the RAs?
- Does the collateral pool contain cross-collateralized loans?
- Call protection: What percent of the loans require defeasance? What percent yield maintenance? Any combination of these?
- Was there a difference in the dollar amount of the deal between the pre-sale report and the prospectus? If so, why was there a difference?
- The Prospectus/Offering deals only with the offered tranches. Can you discover who purchased the privately placed tranches, including the IO or IOs?
- Highlight any loans that were given a shadow rating by RAs. What was the rating? What does this mean? Who determines which loans are shadow-rated?
- Two of the RAs use a proprietary qualitative and/or quantitative metric: Moody's (MIS) uses a R-Y-G metric and a Herfindahl score; Fitch uses a PMM score. If your deal was rated by one or both of these RAs, explain these metrics. If rated by a RA other than MIS or Fitch (Morningstar, Kroll, DBRS), does that RA have a similar proprietary metric?
- Does the collateral pool contain any 'A' notes of A/B structure loans? If so, could you find out what happened to the B notes?
- Are there any pari passu senior notes in your loan portfolio? If so, what happened to the pari passu note(s) not in your securitization?
- If your deal has more than one IO tranche, what makes them different from one another?
- If your deal has an ARD loan, describe it, explain the purpose of it (to whose advantage).
- What percent of the loans in the collateral pool now have, or allow in the future, subordinate financing? What form of subordinate financing is allowed?
- Is the Special Servicer also the B-Piece buyer?
- In addition to rating the debt, S&P and Fitch also rate the master and special servicers. If S&P and/or Fitch rated your deal, what ratings do they give to servicers of your deal?
- If your team has one of the two 2007 deals, how many of the tranches of your deal have been downgraded by the RAs. You will likely discover that tranches have been downgraded more than once; maybe even more than twice or thrice. Give me and the class the history of any downgrades. Using the CUSIP will help you to discover this.
- If your team has one of the two "CMBS 2.0" securitizations, there is assigned to your deal a "Trust Advisor" or "Operating Advisor". What is the role of this party?
- The 2007 and the 2012 deals are SEC-registered. The DBUBS deal is a Rule 144A deal. For the ML-CFC team, what does it mean to be SEC-registered? For the DBUBS team, what's Rule 144A?
- Anything you don't understand? Share that with the class.
Readings -
1. Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 as Issuing Entity
Bear Stearns Commercial Mortgage Securities Inc. as Depositor
Bear Stearns Commercial Mortgage, Inc. Morgan Stanley Mortgage Capital Inc. Principal Commercial Funding II, LLC Wells Fargo Bank, National Association as Sponsors and Mortgage Loan Sellers
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2007-TOP26
2. Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26
3. Commercial Mortgage Presale Report Bear Stearns Commercial Mortgage Securities Trust 2007- TOP26
4. FORM 8-K - Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 - N/A
Attachment:- Assignment Files.rar