Subject: CMBS Pricing (PRICE)

Commercial Real Estate Direct Staff ReportBear Stearns and Morgan Stanley late yesterday priced a $3.3 billion conduit transaction at spreads that indicate the CMBS market is still far from its pre-correction buoyancy.The super-senior AAA class from the deal, Bear Stearns ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingFitchFinalPricing (bp)BnchmarkA-1101.7530.003.39AAAAAA+50swapsA-2194.0530.004.85AAAAAA+70swapsA-3311.8030.006.79AAAAAA+79swapsA-AB132.0030.007.15AAAAAA+74swapsA-41,178.2630.009.76AAAAAA+62swapsA-1A364.3330.008.17AAAAAANAswapsA-M231.0320.009.87AAAAAA+84swapsA-MFL95.0020.009.87AAAAAA+69LiborA-J268.9711.759.95AAAAAA+115swapsB28.5310.8759.96AA+AA++135swapsC44.839.509.96AAAA+145swapsD24.458.759.96AA-AA-+155swapsE20.388.1259.96A+A++180swapsF28.537.509.96AA+205swapsG32.606.259.96A-A-+235swapsH36.685.1259.96BBB+BBB++300swapsJ32.604.1259.96BBBBBB+350swapsK32.603.1259.96BBB-BBB-+425swapsL12.232.759.96BB+BB+NATreasM12.232.3759.96BBBBNATreasN12.232.009.96BB-BB-NATreasO8.151.759.96B+B+NATreasP4.081.6259.96BBNATreasQ8.151.3759.96B-B-NATreasS44.830.0010.08NRNRNATreasXW3,260.26*NA8.63AAAAAANATreas*Notional amount, interest onlyCollateral balance: $3,260.26 millionBookrunner(s): Bear Stearns, Morgan StanleyLead Managers: Bear Stearns, Morgan StanleyB-piece Buyer: Centerline REITMaster Servicer: Wells Fargo, Prudential Asset ResourcesSpecial Servicer: Centerline ServicingTrustee: LaSalle BankOriginators: Wells Fargo (34.3 percent), Bear Stearns (21.7 ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingFitchFinalPricing (bp)BnchmarkA-1101.7530.003.39AAAAAA+50swapsA-2194.0530.004.85AAAAAA+70swapsA-3311.8030.006.79AAAAAA+79swapsA-AB132.0030.007.15AAAAAA+74swapsA-41,178.2630.009.76AAAAAA+62swapsA-1A364.3330.008.17AAAAAANAswapsA-M231.0320.009.87AAAAAA+84swapsA-MFL95.0020.009.87AAAAAA+69LiborA-J268.9711.759.95AAAAAA+115swapsB28.5310.8759.96AA+AA++135swapsC44.839.509.96AAAA+145swapsD24.458.759.96AA-AA-+155swapsE20.388.1259.96A+A++180swapsF28.537.509.96AA+205swapsG32.606.259.96A-A-+235swapsH36.685.1259.96BBB+BBB++300swapsJ32.604.1259.96BBBBBB+350swapsK32.603.1259.96BBB-BBB-+425swapsL12.232.759.96BB+BB+NATreasM12.232.3759.96BBBBNATreasN12.232.009.96BB-BB-NATreasO8.151.759.96B+B+NATreasP4.081.6259.96BBNATreasQ8.151.3759.96B-B-NATreasS44.830.0010.08NRNRNATreasXW3,260.26*NA8.63AAAAAANATreas*Notional amount, interest onlyCollateral balance: $3,260.26 millionBookrunner(s): Bear Stearns, Morgan StanleyLead Managers: Bear Stearns, Morgan StanleyB-piece Buyer: Centerline REITMaster Servicer: Wells Fargo, Prudential Asset ResourcesSpecial Servicer: Centerline ServicingTrustee: LaSalle BankOriginators: Wells Fargo (34.3 percent), Bear Stearns (21.7 ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingMoody'sFinalPricing (bp)BnchmarkA-125.5030.002.7AAAAaa+40swapsA-1A275.2930.007.5AAAAaaNAswapsA-2219.2030.004.7AAAAaa+70swapsA-3333.7930.006.7AAAAaa+75swapsA-AB36.9430.007.0AAAAaa+65swapsA-4566.1730.009.7AAAAaaNAswapsA-M50.0020.009.9AAAAaa+85swapsA-1AM158.1320.009.8AAAAaaNAswapsA-J50.0014.6259.9AAAAaa+100swapsA-1AJ61.8714.6259.9AAAAaaNAswapsB23.4113.509.9AA+Aa1+125swapsC28.6212.1259.9AAAa2+135swapsD23.4111.009.9AA-Aa3+150swapsE18.2110.1259.9A+A1+170swapsF18.219.259.9AA2+195swapsG20.818.259.9A-A3+225swapsH20.817.259.9BBB+Baa1+285swapsJ26.026.009.9BBBBaa2+335swapsK28.624.6259.9BBB-Baa3+435swapsL20.813.6259.9BB+Ba1NATreasM7.813.259.9BBBa2NATreasN5.203.009.9BB-Ba3NATreasO5.202.759.9B+B1NATreasP5.202.509.9BB2NATreasQ7.812.1259.9B-B3NATreasS44.230.0010.2NRNRNATreasA-X2,081.26*NA8.3AAAAaaNATreas*Notional amount, interest onlyCollateral balance: $2,081.26Bookrunner(s): Credit SuisseLead Managers: Credit SuisseCo-managers: RBS Greenwich Capital, PNC Capital MarketsB-piece Buyer: ING ClarionMaster Servicer: KeyCorp Real Estate Capital Markets; Wachovia Bank; Midland Loan Services; NCB FSBSpecial Servicer: ING Clarion; National ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingMoody'sFinalPricing (bp)BnchmarkA-125.5030.002.7AAAAaa+40swapsA-1A275.2930.007.5AAAAaaNAswapsA-2219.2030.004.7AAAAaa+70swapsA-3333.7930.006.7AAAAaa+75swapsA-AB36.9430.007.0AAAAaa+65swapsA-4566.1730.009.7AAAAaaNAswapsA-M50.0020.009.9AAAAaa+85swapsA-1AM158.1320.009.8AAAAaaNAswapsA-J50.0014.6259.9AAAAaa+100swapsA-1AJ61.8714.6259.9AAAAaaNAswapsB23.4113.509.9AA+Aa1+125swapsC28.6212.1259.9AAAa2+135swapsD23.4111.009.9AA-Aa3+150swapsE18.2110.1259.9A+A1+170swapsF18.219.259.9AA2+195swapsG20.818.259.9A-A3+225swapsH20.817.259.9BBB+Baa1+285swapsJ26.026.009.9BBBBaa2+335swapsK28.624.6259.9BBB-Baa3+435swapsL20.813.6259.9BB+Ba1NATreasM7.813.259.9BBBa2NATreasN5.203.009.9BB-Ba3NATreasO5.202.759.9B+B1NATreasP5.202.509.9BB2NATreasQ7.812.1259.9B-B3NATreasS44.230.0010.2NRNRNATreasA-X2,081.26*NA8.3AAAAaaNATreas*Notional amount, interest onlyCollateral balance: $2,081.26Bookrunner(s): Credit SuisseLead Managers: Credit SuisseCo-managers: RBS Greenwich Capital, PNC Capital MarketsB-piece Buyer: ING ClarionMaster Servicer: KeyCorp Real Estate Capital Markets; Wachovia Bank; Midland Loan Services; NCB FSBSpecial Servicer: ING Clarion; National ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingFitchRatingMoody'sFinalPricing (bp)BnchmarkA-121.0030.003.47AAAAAAAaa+45swapsA-1A422.8530.008.18AAAAAAAaaNAswapsA-2495.0030.004.78AAAAAAAaa+73swapsA-3169.0030.006.95AAAAAAAaa+75swapsA-AB67.0030.006.93AAAAAAAaa+67swapsA-4910.4130.009.80AAAAAAAaa+59swapsA-M297.8920.009.88AAAAAAAaa+85swapsA-J156.4014.759.88AAAAAAAaa+105swapsB33.5113.6259.88AA+AA+Aa1+135swapsC37.2412.3759.88AAAAAa2+145swapsD33.5111.259.88AA-AA-Aa3+155swapsE29.7910.259.88A+A+A1+175swapsF29.799.259.90AAA2+195swapsG33.518.1259.96A-A-A3+225swapsH37.246.8759.96BBB+BBB+Baa1+300swapsJ40.965.509.96BBBBBBBaa2+350swapsK29.784.509.96BBB-BBB-Baa3+450swapsL44.683.00NABB+BB+NRNATreasM14.902.50NABBBBNRNATreasN11.172.125NABB-BB-NRNATreasP3.722.00NAB+B+NRNATreasQ7.451.75NABBNRNATreasS7.451.50NAB-B-NRNATreasT44.680.00NANRNRNRNATreas*Notional amount, interest onlyCollateral balance: $2,978.94 millionBookrunner(s): Lehman Brothers, UBS SecuritiesLead Managers: Lehman Brothers, UBS SecuritiesCo-managers: Banc of America SecuritiesMaster Servicer: Wachovia BankSpecial Servicer: Midland Loan ServicesTrustee: LaSalle BankOriginators: Lehman Brothers (64.1 percent), UBS (35.9 percent)Number of ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingFitchRatingMoody'sFinalPricing (bp)BnchmarkA-121.0030.003.47AAAAAAAaa+45swapsA-1A422.8530.008.18AAAAAAAaaNAswapsA-2495.0030.004.78AAAAAAAaa+73swapsA-3169.0030.006.95AAAAAAAaa+75swapsA-AB67.0030.006.93AAAAAAAaa+67swapsA-4910.4130.009.80AAAAAAAaa+59swapsA-M297.8920.009.88AAAAAAAaa+85swapsA-J156.4014.759.88AAAAAAAaa+105swapsB33.5113.6259.88AA+AA+Aa1+135swapsC37.2412.3759.88AAAAAa2+145swapsD33.5111.259.88AA-AA-Aa3+155swapsE29.7910.259.88A+A+A1+175swapsF29.799.259.90AAA2+195swapsG33.518.1259.96A-A-A3+225swapsH37.246.8759.96BBB+BBB+Baa1+300swapsJ40.965.509.96BBBBBBBaa2+350swapsK29.784.509.96BBB-BBB-Baa3+450swapsL44.683.00NABB+BB+NRNATreasM14.902.50NABBBBNRNATreasN11.172.125NABB-BB-NRNATreasP3.722.00NAB+B+NRNATreasQ7.451.75NABBNRNATreasS7.451.50NAB-B-NRNATreasT44.680.00NANRNRNRNATreas*Notional amount, interest onlyCollateral balance: $2,978.94 millionBookrunner(s): Lehman Brothers, UBS SecuritiesLead Managers: Lehman Brothers, UBS SecuritiesCo-managers: Banc of America SecuritiesMaster Servicer: Wachovia BankSpecial Servicer: Midland Loan ServicesTrustee: LaSalle BankOriginators: Lehman Brothers (64.1 percent), UBS (35.9 percent)Number of ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingFitchRatingMoody'sFinalPricing (bp)BnchmarkA-119.0130.002.36AAAAAAAaa+60swapsA-1A287.3030.008.59AAAAAAAaaNAswapsA-2444.9030.004.78AAAAAAAaa+65swapsA-SB54.1830.006.89AAAAAAAaa+60swapsA-3346.1930.006.81AAAAAAAaa+83swapsA-4601.6930.009.80AAAAAAAaa+57swapsA-M250.4720.009.90AAAAAAAaa+85swapsA-J197.2412.1259.96AAAAAANR+110swapsB21.9211.259.96AA+AA+NR+135swapsC28.1810.1259.96AAAANR+145swapsD21.929.259.96AA-AA-NR+155swapsE12.528.759.96A+A+NR+185swapsF25.057.759.96AANR+215swapsG28.186.6259.96A-A-NR+245swapsH28.185.509.96BBB+BBB+NR+325swapsJ28.184.3759.96BBBBBBNR+400swapsK28.183.259.96BBB-BBB-NR+500swapsL9.392.875NABB+BB+NRNATreasM9.392.50NABBBBNRNATreasN6.262.25NABB-BB-NRNATreasP6.262.00NAB+B+NRNATreasQ6.261.75NABBNRNATreasT3.131.625NAB-B-NRNATreasNR40.700.00NANRNRNRNATreas*Notional amount, interest onlyCollateral balance: $2,504.67 millionBookrunner(s): JPMorgan SecuritiesLead Managers: JPMorgan Securities, UBS SecuritiesCo-managers: Natixis SecuritiesB-piece Buyer: JER Investors TrustMaster Servicer: Wells Fargo BankSpecial Servicer: J.E. Robert Cos.Trustee: LaSalle Bank Originators: JPMorgan Chase (41.2 percent), UBS Real ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingFitchRatingMoody'sFinalPricing (bp)BnchmarkA-119.0130.002.36AAAAAAAaa+60swapsA-1A287.3030.008.59AAAAAAAaaNAswapsA-2444.9030.004.78AAAAAAAaa+65swapsA-SB54.1830.006.89AAAAAAAaa+60swapsA-3346.1930.006.81AAAAAAAaa+83swapsA-4601.6930.009.80AAAAAAAaa+57swapsA-M250.4720.009.90AAAAAAAaa+85swapsA-J197.2412.1259.96AAAAAANR+110swapsB21.9211.259.96AA+AA+NR+135swapsC28.1810.1259.96AAAANR+145swapsD21.929.259.96AA-AA-NR+155swapsE12.528.759.96A+A+NR+185swapsF25.057.759.96AANR+215swapsG28.186.6259.96A-A-NR+245swapsH28.185.509.96BBB+BBB+NR+325swapsJ28.184.3759.96BBBBBBNR+400swapsK28.183.259.96BBB-BBB-NR+500swapsL9.392.875NABB+BB+NRNATreasM9.392.50NABBBBNRNATreasN6.262.25NABB-BB-NRNATreasP6.262.00NAB+B+NRNATreasQ6.261.75NABBNRNATreasT3.131.625NAB-B-NRNATreasNR40.700.00NANRNRNRNATreas*Notional amount, interest onlyCollateral balance: $2,504.67 millionBookrunner(s): JPMorgan SecuritiesLead Managers: JPMorgan Securities, UBS SecuritiesCo-managers: Natixis SecuritiesB-piece Buyer: JER Investors TrustMaster Servicer: Wells Fargo BankSpecial Servicer: J.E. Robert Cos.Trustee: LaSalle Bank Originators: JPMorgan Chase (41.2 percent), UBS Real ...

  ClassAmt$mlnSubLevel%AvgLife (yrs)RatingS&PRatingMoody'sFinalPricing (bp)BnchmarkA-1672.0046.681.49AAAAaa+50LiborA-2216.4529.501.73AAAAaa+56LiborB44.1126.001.90AAAAa1+60LiborC37.8123.001.98AA+Aa2+70LiborD37.8020.001.98AAAa3+85LiborE37.8117.001.98AA-A1+105LiborF37.8114.002.31A+A2+125LiborG37.8011.002.93AA3+140LiborH37.818.003.06BBB+Baa1+170LiborJ37.815.003.16BBBBaa2+210LiborK31.502.504.32BBB-Baa3NALiborL31.510.004.81BBB-Ba1NALibor*Notional amount, interest onlyCollateral balance: $1,295.00 Bookrunner(s): Morgan StanleyLead Managers: Morgan StanleyCo-managers: Banc of America, Merrill LynchMaster Servicer: Midland Loan ServicesSpecial Servicer: Midland Loan ServicesTrustee: Wells Fargo BankOriginators: Morgan Stanley (100 percent)Number of Loans/Properties: 13/21Property Types: Office ...