Securitization Research

U.S. CMBS Strategy

29 May 2015

CMBS Strategy Weekly

Comparing bookrunners versus other

contributors in CMBS 2.0 originators

Jasraj Vaidya
+1 212 412 2099

Market Monitor

The CMBS market slipped in the Memorial Day-shortened week, as concerns over
Federal Reserve rate hikes pushed the market wider. The slip represents the first
movement in CMBS spreads in nearly a month, as the market has remained largely
rangebound this spring.

Comparing bookrunner versus non- bookrunner origination quality in

CMBS 2.0
3
We take a look at origination quality and performance of CMBS 2.0 loans contributed by
the bookrunners versus other originators. There are some signs that non-bookrunner
originations have higher leverage and have had more early transfers to special servicing.

Exposure in CMBS: Texas and Oklahoma flooding

We look at CMBS exposure to the flooding in Texas and Oklahoma, but expect few effects
on CMBS.

Federal Reserve Boards proposal on adding municipal bonds to highquality liquid assets (HQLA)
7
On May 21, 2015, the Federal Reserve Board made a proposal to add US municipal
bonds to category 2B assets under the Liquidity Coverage Ratio (LCR) requirements, we
take a look at what it means for agency CMBS.

Appendix

Weekly new issuance

12

Research catalog

13

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 14

jasraj.vaidya@barclays.com
BCI, US
Aaron Haan
+1 212 412 3661
aaron.haan@barclays.com
BCI, US
Mengbai Wang
+1 212 412 2099
mengbai.wang@barclays.com
BCI, US
www.barclays.com

Barclays | CMBS Strategy Weekly

Views on a page
Comments
The CMBS market slipped modestly wider this week, in line with the rest of the securitized products market. Underlying fundamentals remain
positive in the CRE market as the economy continues to recover. We prefer new issue credit curve flatteners in the CMBS 3.0 space, but moving
higher up in the capital stack to avoid worsening underwriting. In particular, we recommend going long AA/single-A rated tranches in recent
issuance and investing in BBBs from the 2013 vintage, particularly H1 13 deals. We recommend staying neutral on 3.0 dupers, which have a
limited ability to tighten further in the face of increasing supply and low absolute yields. We are also neutral on legacy CMBS, where AJ and
mezzanine bonds appear priced to optimistic scenarios and senior bonds are exposed to fast CPY speeds. In agency CMBS, Freddie K 10y A2
seniors have returned to a more historical range versus conduit AAAs, but remain attractive compared with similar duration agency MBS.

CMBS index monitor

2.0

U.S.
Agg.
Comp.

CMBS
Index

2.0

32
-13
155

33
-13
164
-7
0
54

2.0

2.0 BBB

Agenc
y All

Agcy
CMBS
8.5+

Agcy
CMBS
Mezz

53
-28
303

60
-9
394

46
-5
197

71
-34
176

48
-6
359

-13
-1
144

-3
17
236

-4
12
46

-14
9
30

-2
11
213

AAA

AAA
LCF

2.0 AA

2.0 A

46
-27
221

45
-26
203

59
-51
229

50
-38
282

-12
-4
78

-11
-5
62

-22
-13
76

-21
-7
126

Total return
(bp)
May. 23-May. 28
MTD May. 28
YTD 2015

Excess return to Treasuries (bp)

May. 23-May. 28
MTD May. 28
YTD 2015

-8
0
47

Excess return to Swaps (bp)

May. 23-May. 28

-1

-1

MTD May. 28

-1

YTD 2015

47

53

Source: Barclays Research

Comparing bookrunners versus other contributors in CMBS

2.0 originators
Conduit CMBS secondary spreads were moderately wider w/w, and the issuance pipeline
remained quiet after the long weekend but should pick up next week. We examine the
origination quality/performance of CMBS 2.0 loans contributed by the bookrunners and
other originators. We find some signs that non-bookrunner originations have higher
leverage and experience more early transfers to special servicing. We also look at CMBS
exposure to the flooding in Texas and Oklahoma, but expect few effects on CMBS.
The CMBS market slipped in the Memorial Day-shortened week, in line with other
securitized credit sectors in a week when rates rallied. The slip represents the first
movement in CMBS spreads in nearly a month, as the market has remained largely rangebound this spring. The move followed the weakening in equity markets early in the week, as
positive data, such as strong new home sales (US new home sales rise strongly in April, May
26, 2015), increased concerns about pending rate hikes.
In secondary trading of recent issuance, LCF AAA bonds were 2bp wider, to S+88bp. More
credit exposed single-A rated mezzanine tranches were 3bp wider, to S+210bp, and BBB rated
mezzanine tranches were also 3bp wider, to S+341bp. Agency CMBS spreads held up a bit
better than conduits this week, with the 10y Freddie K 10y A2 tranches flat at S+45bp. Fannie
DUS pools were 2bp wider, to S+57bp. Unguaranteed Freddie K tranches were flat to a bit
tighter, with the BBB rated C tranche moving in 5bp, to S+205bp, and the single-A rated B
tranche remaining flat at S+155bp. Ginnie Mae project loan REMICs were moderately
tighter, with the front 3y bond tightening 5bp, to S+85bp, at 15 CPJ, and the 5y sequential
tightening 5bp, to S+120bp, at 15 CPJ.
29 May 2015

Barclays | CMBS Strategy Weekly

No new issuance in holiday-shortened week, but set to return

No new deals priced this week, as issuers decided to hold off on issuance in the holidayshortened week. However, we expect issuance to pick up significantly next week and for the
rest of June, with up to eight, but more likely around six conduits potentially pricing based on
CM Alert issuer surveys (CMBS Strategy Weekly, May 15, 2015), which also reported that two
conduits are already set to begin marketing in the coming days, in addition to a $282mn small
balance/CRE CLO deal by Lone Star. The recent increase in US Treasury rates in May should
help pricings, particularly for yield-focused investors at the top of the capital stack. However, if
all of the potential supply comes too fast for the market, this effect may overwhelm the effects
of higher rates and lead to wider spreads.

Comparing bookrunner versus non- bookrunner origination

quality in CMBS 2.0
A rising trend in the CMBS new issuance market has been the growth of loan contributions
to CMBS deals from smaller third-party originators that are not bookrunners of the CMBS
transactions. Most conduit deals have two bookrunners (such as Morgan Stanley and Bank
of America for the MSBAM shelf) and possibly up to three, and they usually contribute the
majority of loans to the deal. Using Commercial Mortgage Alert data, there have been
thirteen bookrunners of conduit CMBS 2.0 to date: Bank of America, Barclays, Cantor
Fitzgerald, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, JP Morgan, Jefferies,
Morgan Stanley, RBS, UBS, and Wells Fargo. The non-bookrunner originators may be
smaller or more specialized lenders, the largest among which are Ladder, Natixis, and Rialto.
We examine loans originated by both bookrunner and non-bookrunner originators to see if
there are trends in underwriting quality between the two groups. Bookrunners are generally
large investment banks, possibly with stricter underwriting processes and larger balance
sheets, allowing them to compete on the loan rates better. At the risk of generalizing, for
smaller non-bookrunner lenders to be able to compete, they may have to offer more leverage
or looser underwriting terms (such as partial release, lockbox, and reserve requirements).

Non-bookrunner share of issuance increasing; largest in multifamily sector

The share of non-bookrunners in CMBS 2.0 has grown in the past few years. Their share has
increased to as much as 35% of new issuance in 2015 from a low of 9% in 2011, steadily
increasing each year as more and more conduit lenders were set up (Figure 1). Across
FIGURE 1
Non-bookrunner originations are increasing share in CMBS
$bn

Bookrunner originations

50.0

Non-bookrunner originations

40.0

Non-bookrunner percent
(RHS)

30.0
20.0
10.0
0.0

FIGURE 2
Most common in multifamily sector
$bn

Bookrunner originations

40%

35.0

35%

30.0

30%

25.0

25%

20.0

20%

15.0

15%

10.0

10%

5.0

5%

5%

0.0

0%

Non-bookrunner originations
Non-bookrunner percent

40%
35%
30%
25%
20%
15%
10%

0%
2010

2011

2012

2013

2014

Source: Commercial Mortgage Alert, Trepp, Barclays Research

29 May 2015

2015
Note: 2013-15 issuance. Source: Commercial Mortgage Alert, Trepp, Barclays
Research

Barclays | CMBS Strategy Weekly

FIGURE 3
Non-managers have higher underwritten LTVs
underwritten LTV

Bookrunner

70

FIGURE 4
Pro forma percentage is similar in recent years
Bookrunner originated share of collateral where U/W NOI
is at least 20% higher than trailing 12m NOI

Non-bookrunner

16%

68

Non-bookrunner originated share of collateral where U/W

NOI is at least 20% higher than trailing 12m NOI

14%

66

12%

64

10%

62
60

8%

58

6%

56

4%

54

2%

52
2010

2011

2012

2013

2014

Source: Commercial Mortgage Alert, Trepp, Barclays Research

2015

0%
2010-2011

2012

2013

2014

2015

Source: Commercial Mortgage Alert, Trepp, Barclays Research

property types, in post-2013 issuance, non-bookrunners have had a larger share of

multifamily properties than other sectors, but are generally well represented across the
various asset classes, with at least 20% market share of the major asset classes (Figure 2).

Non-bookrunners have higher LTVs; but similar pro forma underwriting

In terms of underwriting quality, there are some signs that non-bookrunner underwriting has
higher leverage. Since 2012, non-bookrunners have consistently originated loans with higher
underwritten LTVs than bookrunners (Figure 3). The difference has been 2-4 percentage
points in the past three years and appears to be near the higher end in 2015. Another way to
compare underwriting is to look for the pro forma write-up, where the underwritten NOI is
significantly higher (>20%) than the trailing twelve-month NOIs. While the overall pro forma
share has risen since 2013, there is no obvious pattern indicating greater use of pro forma by
smaller non-bookrunner originators. Figure 4 highlights that non-bookrunners have tended to
use pro forma NOIs as often as bookrunner originators in the past three years.

Non-bookrunner originators lend in more tertiary locations

Another way in which smaller lenders can compete is through offering loans in more
tertiary locations. Figure 5 highlights that smaller non-bookrunner originators have
generally had fewer loans originated in the top ten largest MSAs than bookrunners.
Properties from secondary and tertiary locations are generally more volatile, as tenants can
be hard to replace and there may be fewer buyers for the property, reducing liquidity.

Smaller lender loans have experienced higher transfers to special servicing

Despite a steadily growing market and stricter underwriting standards compared to pre
2009 CMBS, there have already been $831mn in loans from CMBS 2.0 that have moved into
special servicing. While some of these loans have ended up being technical issues, several
loans have turned delinquent and are likely to be or already have been liquidated (see
$14.7mn The Hills bid to $18.1mn at auction; indicates around 14% potential severity
(GSMS 11-GC5), March 25, 2015). Of the loans that have moved into special servicing, an
oversized share of the loans from 2010-13 vintages has come from non-bookrunner
issuance (Figure 6). For instance, in the 2013 vintage, while non-bookrunners form less
than 20% of issuance, within loans that are special serviced, their share is more than 35%,
indicating worse performance unadjusted for other characteristics or property type mix.

29 May 2015

Barclays | CMBS Strategy Weekly

FIGURE 5
Property locations

FIGURE 6
More small lender loans have moved into special servicing

Bookrunner % of originations in top 10 MSAs

%
35%

Non-bookrunner % of originations in top 10

MSAs

30%

40%

% of loans transferred to special servicing from

non-bookrunner loans

35%

Non-bookrunner percent of issuance

30%

25%

25%

20%

20%

15%

15%

10%

10%

5%

5%
0%

0%
2012

2013

2014

2010

2015

Source: Commercial Mortgage Alert, Trepp, Barclays Research

2011

2012

2013

Source: Commercial Mortgage Alert, Trepp, Barclays Research

Avoid deals with higher non-bookrunner concentration

With some signs of weaker underwriting and worse performance among non-bookrunner
originators, we would, all else equal, favor deals with a smaller share of non-bookrunner
origination. This also reinforces our view of favoring seasoned BBB-s from the 2013 and
earlier vintages, which generally have lower concentrations of non-bookrunner originations
and are less prone to worsening underwriting. In 2014 and later vintages, we continue to
recommend the single-A/double-A part of the stack, which will likely remain well protected
from losses even in a severe stress scenario, while spreads in the space remain 85-100bp
higher than comparably rated corporate credit bonds.

Exposure in CMBS: Texas and Oklahoma flooding

Texas and Oklahoma have experienced severe storms and flooding over the past few weeks,
culminating in a large flash flood in the Houston area on Monday night. On May 26, FEMA
issued a Major Disaster Declaration for all counties situated in Oklahoma, while Texas
Governor Greg Abbott issued an Emergency Disaster Proclamation on May 11, 2015 for
various counties in Texas, and later added additional counties to that list. We take a look at
the CMBS exposure pertaining to the flooding in these two states and base our analysis on
the county lists mentioned above.
In total, $23bn CMBS appears to be exposed in these two states, with Texas having
approximately $19bn of the total balance, while Oklahoma has $4bn (Figure 7). $17bn of
the loans are conduits, while the rest are primarily agency CMBS loans. While agency CMBS
loans are backed by guarantees, involuntary prepayments can result in losses for bonds
trading at premiums, and any losses could affect Freddie K mezzanine tranche
subordination as well.
FIGURE 7
Total exposure in CMBS
Texas

Oklahoma

Total

Conduit

14,935,611,429

2,122,358,505

17,057,969,935

Agency

2,945,220,964

1,869,534,686

4,814,755,650

SASB

1,050,000,000

1,050,000,000

Total

18,930,832,393

3,991,893,191

22,922,725,584

Source: Trepp, Barclays Research

29 May 2015

Barclays | CMBS Strategy Weekly

Texas/Oklahoma flooding has large exposure for CMBS, but the effect may
be minimal
For Texas, where a total of 46 counties were included in the governors Emergency Disaster
Proclamation, the flooded counties capture a large number of CMBS loans, including the
city of Houston. For conduit, a total of $14.9bn loans have some exposure to the flooded
counties. However, it is likely that many of these assets were not affected by the flooding,
which often impacts only localized areas within the damaged counties, often based on areas
subject to flooding and localized downpours.
The only single-asset and single-borrower loan affected in Texas was the Houston Galleria,
recently securitized in the $1.05bn HGMT 2015-HGLR, where a parking garage appears to
have been damaged by the flooding, according to NBCNews.com, but the mall has
remained open and we do not expect cash flow issues to cause concern for the debt service
for the large loan at this time.
One area particularly hard hit in Texas included the towns of Wimberley and San Marcos in
central Texas after the Blanco River experienced record flooding. While Wimberley had no
CMBS exposure, about $314mn in loans in San Marcos are in CMBS, a college town with a
significant amount of student housing. We list the exposure in the town in Figure 8; however,
we do not know which, if any, of these properties may have been subject to flooding, nor the
extent of the damage.
As we pointed out in CMBS Strategy Weekly: Limited impact of Hurricane Sandy on CMBS,
November 2, 2012, property defaults due to flooding have historically been low, even in the
face of large disasters. We expect most of the properties to be protected by flood insurance
should a property be located in a pre-defined flood zone, as well as business interruption
insurance for many properties. While some properties may be underinsured, it is still often
in the owners best interest to repair a property and not default on a mortgage. Ultimately, it
is possible the flooding could trigger a few defaults of smaller properties, where owners
may not have the reserves to handle cash flow interruptions and may be underinsured.
FIGURE 8
CMBS loans in San Marcos, Texas
Loan

Deal

Deal Type

Property Type

Address
1415 Craddock Avenue

Loan Balance

Cottages Of San Marcos

FREMF 2015-KKA

Agency CMBS

Student

Aspen San Marcos

CSAIL 2015-C1

Conduit

Student Housing 1980 Aquarena Springs Drive

33,600,000

47,427,000

Purgatory Creek Apartments

WFCM 2014-LC16

Conduit

Garden

1951 Hunter Road

31,600,000

Aspen Heights

FREMF 2012-K19

Agency CMBS

Student

201 Telluride Street

26,932,961

Autumn Chase Apartments

COMM 2015-DC1

Conduit

Garden

1606 IH 35 Frontage Road

17,500,000

San Mar Plaza Shopping Center JPMCC 2007-CB19

Conduit

Anchored

901-935 Highway 80

16,084,078

University Heights II Student

Housing

MSC 2006-IQ12

Conduit

Student Housing 1101 East River Ridge Parkway

Villagio Apartments

CSMC 2007-C2

Conduit

Conventional

1850 Aquarena Springs Drive

15,298,565

Hillside Ranch Apartments

BACM 2005-6

Conduit

Garden

1350 North LBJ Drive

12,701,278

Dakota Ranch Apartments

WBCMT 2006-C23

Conduit

Conventional

1818 Ranch Road 12

10,628,237

15,772,287

Savannah Club Apartments

JPMCC 2006-CB15

Conduit

Garden

250 South Stagecoach Trail

9,162,621

University Springs Apartments

BACM 2006-1

Conduit

Student

109 West Avenue

8,965,339

Park Hill Apartments

FNA 2012-M8

Agency CMBS

Multifamily

1001 Leah Avenue

8,773,274

Cedars of San Marcos

LBUBS 2007-C7

Conduit

Garden

1101 Leah Avenue

7,014,819

Hampton Inn - San Marcos

MLCFC 2007-6

Conduit

Limited Service

106 Interstate 35 North

6,827,896

Treehouse Apartments

GSMS 2013-GC10

Conduit

Student Housing 800 North LBJ Drive

6,355,626

University Club Apartments

GSMS 2006-GG8

Conduit

Student Housing 1441 Leah Avenue

6,315,195

29 May 2015

Barclays | CMBS Strategy Weekly

Loan

Deal

Deal Type

Property Type

Address

Loan Balance

Country Oaks Apartments

FNA 2011-M9

Agency CMBS

Multifamily

(blank)

5,055,577

Metropolitan Apartments

LBUBS 2006-C3

Conduit

(blank)

121 Craddock Avenue

4,578,237

1230 N LBJ Drive

3,718,880

HILL COUNTRY APARTMENTS

FNA 2012-M15

Agency CMBS

Dedicated
Student

Summit Apartments - San

Marcos, TX

BACM 2007-5

Conduit

Student Housing 1348 Thorpe Lane

3,574,222

Crescent Oaks Apartments

JPMBB 2015-C28

Conduit

Garden

518 Linda Drive

3,191,795

Englebrook Apartments

FNA 2013-M3

Agency CMBS

Multifamily

200 Robbie Lane

2,856,401

Bishops Square

FNA 2012-M7

Agency CMBS

Dedicated
Student

109 Craddock Avenue

2,836,866

San Marcos MHP

CSMC 2006-C1

Conduit

Manufactured
Housing

1005 River Road

2,358,203

Village Green Apartments

FNA 2013-M14

Agency CMBS

Multifamily

201 First Street

2,208,443

(blank)

FNA 2010-M7

Agency CMBS

Multifamily

(blank)

1,966,054

Conduit

Shadow
Anchored

1023 Highway 80

1,257,378

San Marcos Plaza

BSCMS 2005-PWR9

Source: Trepp, Barclays Live

Federal Reserve Boards proposal on adding municipal bonds

to high-quality liquid assets (HQLA)
On May 21, 2015, the Federal Reserve Board made a proposal to add US municipal bonds to
category 2B assets under the Liquidity Coverage Ratio (LCR) requirements. The proposal is
based on similar liquidity characteristics shared by municipal bonds with investment grade
corporate bonds and other HQLA asset classes.
Under the proposal, investment grade municipal bonds would be counted as HQLA up to a
certain level if they meet the same liquidity criteria that are currently applied to Level 2b
securities, as this ensures compatibility across all Level 2b assets. In addition, a holding limit
similar to those mentioned previously will be applied to municipal bonds. Lastly, it is
proposed that a single entity cannot account for more than 25% of the total outstanding
securities on the market by the same CUSIP as HQLA, and this is applied before the 50%
haircut for Level 2b assets.

Implications for agency CMBS

The addition of municipals bonds for the LCR could take away some marginal demand for
agency CMBS, as more options can be used to meet the LCR. However, the effect would
likely be minimal, since GNMA-backed securities are Level 1 LCR assets and Freddie
Mac/Fannie Mae securities are Level 2a, while municipal bonds would be Level 2b assets.
There remains some uncertainty as to whether GNMA project loan REMICs meet the
liquidity requirements for the LCR rules (CMBS Strategy Weekly: NAIC assumptions and LCR
regulation updates, September 15, 2014).
While this new proposed rule has no direct bearing on LCR for agency CMBS, some of the
conditions for holding limits that are proposed give some insight into possible tests that
may be applied on other asset classes, at least informally. However, it is possible that GNMA
PL bonds, which carry the full-faith-and-credit guarantee of the US government, will
continue to be treated differently. As a reminder, the discussion released when the LCR
criteria were finalized characterized GNMA bonds as having the same credit and liquidity
risk as Treasury bonds (see the September 15, 2014, link above for details).

29 May 2015

Barclays | CMBS Strategy Weekly

APPENDIX: SPREAD MONITOR

New issue CMBS 3.0 credit curve
(bar shows T-6M min/max spreads)

Fixed-rate conduit/fusion over swaps (bp)

400

5/28

Avg.

High

Low

350

AAA LCF

98

97

105

92

300

AM

158

156

165

142

AJ

511

507

521

488

AAA LCF

90

89

97

83

AM
AJ

118
299

2
2

116
297

125
307

102
282

AAA LCF

97

96

104

88

AM
AJ

90
154

0
0

91
155

97
162

72
137

2007

Category

2005

2006

6-month

1 wk
chg

250
200
150
100
50
0
5yr

AAA LCF

AM

AA

BBB-

CMBS 3.0 spreads

6-month

6-month

Rating

5/28

1-wk. chg.

Avg.

High

Low

Rating

5/28

1-wk. chg.

Avg.

High

Low

2015 5y
2015 LCF
2015 AS
2015 AA
2015 A
2015 BBB-

59
88
123
156
210
341

2
2
2
3
3
3

59
87
119
154
206
340

66
94
124
165
215
354

53
82
115
146
198
328

2013 5y
2013 LCF
2013 AS
2013 AA
2013 A
2013 BBB-

55
79
111
130
186
314

2
2
2
3
3
3

55
79
109
130
185
315

62
86
116
142
198
332

49
73
103
120
176
301

2014 5y
2014 LCF
2014 AS
2014 AA
2014 A
2014 BBB-

59
87
119
151
198
336

2
2
2
3
3
3

59
86
116
151
198
337

66
94
124
165
212
354

53
81
111
141
188
323

2012 5y
2012 LCF
2012 AS
2012 AA
2012 A
2012 BBB-

48
73
100
123
176
268

2
2
2
3
3
2

48
73
98
122
175
269

55
80
105
133
186
283

42
67
92
113
166
258

Spread comparison versus benchmark sectors

Agency debentures

Fixed-rate ABS

CMBS 2.0 AAA spread pick-up (bp)

Term

Libor
OAS

28-May

21-May

6-mo. avg.

5y

51

49

50

10y

82

80

81

CMBS 2.0 spread pick-up (bp)

Category
Cr. Cards AAA

Avg.
life

Spread
(Libor)

28-May

5 yr.

57

Credit

6-mo.
avg.
2

MBS

CMBS IG index (bp) spread pick up

Spread
(Tsy)

28-May

21-May

6-mo.
avg.

136

16

16

16

Industrials

140

12

12

12

Financials

144

CDX.IG.OTR*

122

Credit index

21-May

CMBS 2.0 AAA spread pick-up (bp)

Current Coupon

OAD

Libor
OAS

28-May

21-May

6-mo.
avg.

6.9

30

29

27

29

Note: *Protection Premium. Agency, ABS, and MBS are compared against similar-term CMBS 2.0 spreads. Source for all tables on this page: Trepp, Barclays Research

29 May 2015

Barclays | CMBS Strategy Weekly

AGENCY CMBS
Agency CMBS spreads are now available on Barclays Live, Keyword Chart.
Agency CMBS Spreads

160

Category

Bond

5/28

1 wk chg

4 wk chg

140

5yr A1
7yr A2
10yr A2
IO (X1)
B

30
32
45
140
155

0
-2
0
0
0

0
2
0
5
10

120

205

-5

40

DUS

57

-2

Ginnie Project Loan

Remic

Fannie
DUS

Freddie K series

Spreads over time

10yr Freddie K
DUS
10yr Ginnie

100
80
60

20

3yr

85

-5

-15

5yr

120

-5

-30

10yr

125

-5

Z
IO

120
200

-5
5

0
15

0
Dec-11

Jul-12

Feb-13 Sep-13 Apr-14 Nov-14

Spread comparison versus agency RMBS

Freddie K series vs Agency RMBS PAC
Freddie AAA spread pick-up vs
OAS (bp)

Spread

Libor
OAS

5y PAC

75

25

7y PAC

80

30

10y PAC

85

35

10

15

RMBS

Fannie DUS vs Agency RMBS PAC

5/28
5

5/21
10

RMBS
10yr PAC

Spread

Libor
OAS

85

35

Fannie DUS spread pick-up vs

OAS(bp)

5/28
22

5/21
25

Ginnie SEQ vs Agency RMBS SEQ*

Ginnie spread pickup vs OAS
spread (bp)

RMBS

Spread

Libor
OAS

3yr SEQ

60

-1

5/28
86

5/21
91

5yr SEQ

70

115

120

10yr SEQ

80

10

115

120

110

40

80

90

Note: *GNR spreads assume 15 CPJ pricing convention. Closest available term agency PAC/spread used for comparison.
Source for all tables on this page: Barclays Research

29 May 2015

Barclays | CMBS Strategy Weekly

THE SYNTHETIC SUPPLEMENT

CMBX spread performance
CMBX.6-8

CMBX.1-5
6-month

6-month

Rating
AAA.8
AS.8
AA.8
A.8
BBB-.8
BB.8

5/28
94
122
164
218
362
581

1-wk. chg.
1
3
5
2
3
3

Avg.
92
118
159
215
359
578

High
94
122
164
218
363
584

Low
90
117
156
212
355
575

AAA.7
AS.7
AA.7
A.7
BBB-.7
BB.7

81
111
148
196
314
516

2
3
3
1
3
2

84
114
147
193
315
516

94
125
160
203
342
545

78
100
140
182
299
487

AAA.6
AS.6
AA.6
A.6
BBB-.6
BB.6

70
100
134
180
284
487

3
2
2
1
2
2

75
106
137
181
285
483

85
117
150
195
308
507

67
96
129
171
269
455

Rating
AAA.5
AM.5
AJ.5
AAA.4
AM.4
AJ.4

5/28
56
191
839
45
148
1031

1-wk. chg.
0
0
3
-1
-5
-3

Avg.
62
215
805
51
182
951

High
79
239
865
73
229
1038

Low
53
186
707
42
148
799

AAA.3

35

43

68

31

AM.3
AJ.3
AAA.2
AM.2
AJ.2
AAA.1
AM.1
AJ.1

124
1223
28
82
829
22
47
341

-4
-17
0
-7
6
-1
-3
-9

164
1110
37
107
681
32
67
328

218
1249
68
148
830
76
114
390

123
943
24
76
539
16
39
251

Source: Barclays Research

DTCC : CMBX Net Long Protection for Dealers (Notional, $mn)

6-month
Rating
AAA
AM
AJ
AA
A
BBB

5/22/15

5/15/15

Avg.

High

Low

2422
-3
241
-99
201
-76

2422
-3
249
-89
200
-76

1565
-37
195
39
59
-197

2734
58
289
205
201
-66

-271
-114
77
-99
-57
-397

AAA.6
AS.6
AA.6
A.6
BBB-.6
BB.6

572
-21
269
114
276
226

572
-21
294
134
276
246

1029
-199
179
-2
163
158

1796
4
315
134
420
404

140
-378
-3
-137
-94
16

AAA.7
AS.7
AA.7
A.7
BBB-.7
BB.7

2076
-11
44
-85
522
10

2126
-11
19
-125
542
35

1197
-28
0
-113
404
67

2126
45
128
-16
666
208

-151
-117
-141
-264
66
-126

AAA.8
AS.8
AA.8
A.8
BBB-.8
BB.8

781
30
20
7
-75
14

728
10
20
12
-91
14

339
6
21
12
-53
-8

781
30
35
41
15
14

137
0
0
-4
-114
-26

CMBX.AAA Net Long Protection for Dealers (Notional, $bn)

3.0

AAA. 1-5

AAA. 6

2.5

AAA. 7

AAA.8

2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-2.0
Apr-13 Aug-13 Dec-13 Mar-14 Jul-14 Nov-14 Mar-15

Source: DTCC, Barclays Research

29 May 2015

10

Barclays | CMBS Strategy Weekly

TRADING VOLUME UPDATE

TRACE reported volumes
5/22 - 5/28

5/15 - 5/21

6m Average

Total Volume Traded (Notional)

2,476,002,000

6,676,043,700

5,144,005,082

Total Volume Traded (Market Value)

2,502,107,176

6,461,875,905

5,076,348,008

Customer Sell (Notional)

1,245,849,300

3,142,775,100

2,199,073,454

CMBS P&I Customer Buy (Notional)

1,064,154,400

3,190,017,900

2,527,916,764

-181,694,900

47,242,800

328,843,311

Net Customer Buy (Notional)

IG% of Volume

59%

56%

61%

Avg IG Price

103.8

103.6

104.0

3,066,626,500

3,532,297,200

4,606,651,586

128,823,709

110,321,023

226,961,560

Total Volume Traded (Notional)

Total Volume Traded (Market Value)
CMBS IO Customer Sell (Notional)

1,321,437,200

1,329,140,000

1,073,642,736

Customer Buy (Notional)

606,923,200

1,872,807,900

1,598,533,904

Net Customer Buy (Notional)

-714,514,000

543,667,900

524,891,168

Source: FINRA, Barclays Research

Bid list activity (cash market)*

Breakdown by type of security (%)
AAA

CMBS 2.0

Time Period

Notnl.
($mn)

Snr.

AM

AJ

Mezz.

AAA/AJ

Mezz.

Single
Borrower

Agency

Others

May 22 - May 28
Weekly avg. (6-mo.)

1,421
1,277

22
24

9
5

7
5

4
10

10
22

10
6

3
8

34
22

1
2

Bid list activity broken out by seller

Breakdown by type of seller (%)*
Time period

Notional ($mn)

Money Mgr.

Ins. Co.

Hedge

Other

May 22 - May 28

1,421

58

11

18

Weekly avg. (6-mo.)

1,277

58

13

13

19

Source: Barclays Research

Note: This represents all the CMBS bid lists that Barclays saw in the past week, not necessarily all securities traded. Source for all tables on this page: Barclays Research

29 May 2015

11

Barclays | CMBS Strategy Weekly

CMBS NEW ISSUANCE SUMMARY

Month

Conduit

Floating-Rate
Fusion

SingleBorrower

REO Rental

Agency

Seasoned/
Subordinate

Liquidation
Vehicle

Total

2015 Cum.*

January

$3,765

$466

$900

$1,100

$4,691

$0

$0

$10,921

$10,921

February

$5,029

$346

$6,569

$553

$5,308

$0

$0

$17,805

$28,727

March

$4,387

$545

$4,963

$637

$3,676

$0

$113

$14,320

$43,047

April

$4,324

$0

$3,972

$381

$5,376

$210

$0

$14,261

$57,308

May

$5,459

$181

$1,391

$674

$4,639

$0

$0

$12,344

$69,652

2015 Total

$22,964

$1,538

$17,794

$3,344

$23,690

$210

$113

$69,652

2014 Total
2013 Total

$57,128
$53,074

$7,525
$1,464

$24,485
$24,538

$5,627
$479

$53,547
$66,381

$278
$343

$873
$757

$149,464
$147,037

2012 Total

$32,165

$1,560

$9,839

$0

$52,421

$0

$668

$96,653

2011 Total

$25,067

$1,403

$2,676

$0

$35,088

$0

$0

$64,234

2010 Total

$6,918

$0

$6,939

$0

$26,757

$1,021

$0

$41,635

2009 Total

$0

$0

$2,089

$0

$8,055

$0

$0

$10,223

2008 Total

$10,708

$1,438

$0

$0

$3,674

$0

$0

$15,398

2007 Total

$189,298

$20,865

$13,548

$0

$3,166

$4,122

$0

$233,365

2006 Total

$162,813

$27,128

$10,857

N/A

$7,452

$860

$0

$209,111

2005 Total

$136,224

$19,688

$11,170

N/A

$4,625

$2,088

$0

$173,794

2004 Total

$74,064

$13,093

$5,672

N/A

$6,220

$285

$0

$99,334

2003 Total

$52,885

$14,551

$7,776

N/A

$8,347

$2,637

N/A

$86,195.2

June
July
August
September
October
November
December

Source: Commercial Mortgage Alert, Barclays Research

2013 and 2014 monthly issuance

$bn

2014 Conduit/Single-Borrower/Floating-Rate issuance (RHS)

100

2015 Conduit/Single-Borrower/Floating-Rate issuance (RHS)

$bn
14

Cumulative 2014 issuance

12

Cumulative 2015 issuance

80

10
60

40

6
4

20

0
Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Note: Cumulative only includes conduit, single-borrower, and floating-rate issuance. Source: Commercial Mortgage Alert, Barclays Research

29 May 2015

12

Barclays | CMBS Strategy Weekly

RESEARCH CATALOG
Please see Barclays Live, keyword= CMBSPUB for the complete list of past publications
Outlooks and Primers

Loan level Intradays

CMBS Outlook 2015: Testing the rebound

A guide to bond selection in new issue IOs
Introducing Barclays CMBS Credit Model
A guide to single-borrower deals
Outlook for cap rates
Navigating CMBS remittance reports
Scaling the maturity wall
Agency CMBS: A Primer
Interest shortfalls: A Primer
Remittance Updates
CMBS Credit Handbook - May remits
Agency CMBS Handbook - May
Recent Highlighted Publications
CMBS Focus: CMBS Sector Overview: Retail

4/17/15

CMBS Focus: CMBS Sector Overview: Office

3/13/15

S&P banned from rating new CMBS conduits for

one year; minimal effect on CMBS market

1/21/15

Final Credit Risk Retention Rules released

10/22/14

Improving CRE market to have steady but modest 10/10/14

growth into 2015
Some hope for hope notes?

9/5/14

$620mn of CMBS exposed to Napa, California,

earthquake; effect likely limited

8/25/14

How far has 2014 new issue quality slipped?

7/18/14

Nearly $500mn in auctions this summer

6/27/14

Agency CMBS rallies as Agg inclusion nears

6/20/14

First look at 3.0 delinquencies

5/30/14

More CWCap auctions on the way

5/23/14

What drives early prepayments?

5/9/14

The question of coterminous leases

4/25/14

Nearly $200mn in auctions set for May and June

4/21/14

Tracking delinquent loan cash flows

4/11/14

An early look at YE 13 financials

4/4/14

How predictive are reported appraisals?

3/21/14

More details on the Crapo-Johnson proposal for

agency CMBS

3/17/14

Final Credit Risk Retention Rules released

29 May 2015

10/22/14

$39mn The Mill moves into special servicing as Connecticut

offices continue to struggle (LD11)
GG9 sees $242mn liquidated at 57% severity and no B-note
recoveries for Schron Industrial Portfolio payoff
($220mn/$85mn)
CMBS: 2.0 $96mn Ty Warner Hotels & Resorts Portfolio
transferred to special serving (MSC 12-C4)
$200mn NGP Rubicon GSA Pool (WBCMT 05-C20/C21) and
$57mn Scottsdale Plaza Resort (CB15) move into special
servicing
2.0 $50mn Hudson Valley Mall moves into special servicing
after JCP closes (CFCRE 2011-C1)
$320mn in CMBS out for auction in late April and May, $62mn
exposure in WBCMT 2006-C24
$375mn modified The Belnord pays off with 1.3% loss; should
reduce future AJ shortfalls (LDP9)
$77.6mn in auction liquidations hit MLCFC 2007-7 at 46%
severity, AJ credit support nearly gone
MLCFC 2006-4 sees large principal cash flows after Park La
Brea prepayment ($775m, MLCFC 06-4/LDP8) and $123mn
of liquidations (49% severity)
$68.8mn Indian River Mall & Commons receives $39mn
appraisal (BACM 05-1)
$83mn Fiesta Mall receives updated appraisal at just $8mn
(BACM 2005-3)
Sears REIT plan could lead to closures in H2 15
$38.5mn Eastland Mall sold for $9.25mn at auction for an
81% severity (LBUBS 07-C1)
$14.7mn The Hills bid to $18.1mn at auction; indicates
around 14% potential severity (GSMS 11-GC5)
$62mn 50 Danbury Road and $7mn 64 Danbury Road move
into special servicing (LBCMT 2007-C3)
$83mn REPM portfolio moves into special servicing (JPMCC
2006-CB16)
$775mn Willis Tower (Sears Tower) sold for $1.3bn to
Blackstone; could be defeased (LBUBS 07-C2, 07-C7, 08-C1,
JPMCC 13-WT)
$133mn Galleria at Pittsburgh Mills moves into special
servicing near maturity after losing Sears (MSC 2007-HQ11)
$300mn/$80mn AB modified Columbia Center out for sale
(MSC 2007-HQ12)
$190mn Pickwick Plaza pays off with 1% loss (GG9)
$154mn Ridgedale Center payoff workout fee leads to large AM
shortfall (BACM 2005-3)
$570mn out for auction in March and April, including first REO
CMBS 2.0 loan
$116mn 1818 Market Street moves into special servicing due
to tenant-in-common bankruptcy (WBCMT 06-C24)
$Hope note-modified $72mn/28mn Park 80 West pays off
with 100% B note loss (LBUBS 05-C2)
$200mn Pickwick Plaza receives rate reduction modification; open
to prepayment with conditions and Hawaiian Retail portfolio
($46.5mn/$16.5mn) pays off with 100% B-note loss (GG9)
Update: $53mn National Envelope receives $35mn appraisal;
takes first ASER Shortfall (GECMC 07-C1)
$53mn National Envelope receives $35mn appraisal; takes
first ASER Shortfall (GECMC 07-C1)
$3.2bn+ exposed to RadioShack potential bankruptcy, but
only $33mn has >20% exposure
$417mn in CMBS out for auction in February and March, GG9
and MLCFC 07-7 have the largest exposure

5/15

5/12
5/5

4/29
4/17
4/16
4/15
4/14

4/13
4/13
4/10
4/1
3/26
3/25
3/18
3/18

3/17
3/12
3/12
3/12
3/10
3/6
2/18
2/18

2/12
2/11
2/10
2/4
2/3

13

Barclays | CMBS Strategy Weekly

US SECURITIZATION STRATEGY ANALYSTS

Ajay Rajadhyaksha
Co-Head of FICC Research
+1 212 412 7669
ajay.rajadhyaksha@barclays.com
BCI, US

Sandeep Bordia
Head of Securitized Products
Research
+1 212 412 2099
sandeep.bordia@barclays.com
BCI, US

Jasraj P. Vaidya
Head of US Residential
Credit/CMBS Strategy
+1 212 412 2265
jasraj.vaidya@barclays.com
BCI, US

Sandipan Deb
Agency MBS Strategy
+1 212 412 2099
sandipan.deb@barclays.com
BCI, US

Aaron Haan
US Residential Credit/CMBS
Strategy
+1 212 412 2099
aaron.haan@barclays.com
BCI, US

Anuj Jain
Agency MBS Strategy
+1 212 412 2099
anuj.x.jain@barclays.com
BCI, US

Brian Ford, CFA

Esoterics/Consumer ABS
Research
+1 212 412 6701
brian.ford@barclays.com
BCI, US

Dennis Lee
Agency MBS Strategy
+1 212 412 2099
dennis.lee2@barclays.com
BCI, US

Leo Wang
Agency MBS Strategy
+1 212 412 7571
leo.wang@barclays.com
BCI, US

Mengbai Wang
CMBS Strategy
+1 212 412 2099
mengbai.wang@barclays.com
BCI, US

29 May 2015

14

Analyst Certification
We, Aaron Haan, Jasraj Vaidya and Mengbai Wang, hereby certify (1) that the views expressed in this research report accurately reflect our personal views
about any or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly or
indirectly related to the specific recommendations or views expressed in this research report.
Important Disclosures:
Barclays Research is a part of the Investment Bank of Barclays Bank PLC and its affiliates (collectively and each individually, "Barclays"). For current
important disclosures regarding companies that are the subject of this research report, please send a written request to: Barclays Research Compliance,
745 Seventh Avenue, 14th Floor, New York, NY 10019 or refer to http://publicresearch.barclays.com or call 212-526-1072.
Barclays Capital Inc. and/or one of its affiliates does and seeks to do business with companies covered in its research reports. As a result, investors should
be aware that Barclays may have a conflict of interest that could affect the objectivity of this report. Barclays Capital Inc. and/or one of its affiliates
regularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are the subject of
this research report (and related derivatives thereof). Barclays trading desks may have either a long and / or short position in such securities, other
financial instruments and / or derivatives, which may pose a conflict with the interests of investing customers. Where permitted and subject to
appropriate information barrier restrictions, Barclays fixed income research analysts regularly interact with its trading desk personnel regarding current
market conditions and prices. Barclays fixed income research analysts receive compensation based on various factors including, but not limited to, the
quality of their work, the overall performance of the firm (including the profitability of the Investment Banking Department), the profitability and revenues
of the Markets business and the potential interest of the firm's investing clients in research with respect to the asset class covered by the analyst. To the
extent that any historical pricing information was obtained from Barclays trading desks, the firm makes no representation that it is accurate or complete.
All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since the
publication of this document. The Investment Bank's Research Department produces various types of research including, but not limited to, fundamental
analysis, equity-linked analysis, quantitative analysis, and trade ideas. Recommendations contained in one type of research may differ from
recommendations contained in other types of research, whether as a result of differing time horizons, methodologies, or otherwise. Unless otherwise
indicated, trade ideas contained herein are provided as of the date of this report and are subject to change without notice due to changes in prices. In
order
to
access
Barclays
Statement
regarding
Research
Dissemination
Policies
and
Procedures,
please
refer
to
https://live.barcap.com/publiccp/RSR/nyfipubs/disclaimer/disclaimer-research-dissemination.html. In order to access Barclays Research Conflict
Management Policy Statement, please refer to: https://live.barcap.com/publiccp/RSR/nyfipubs/disclaimer/disclaimer-conflict-management.html.
Barclays legal entities involved in publishing research:
Barclays Bank PLC (Barclays, UK)
Barclays Capital Inc. (BCI, US)
Barclays Securities Japan Limited (BSJL, Japan)
Barclays Bank PLC, Tokyo branch (Barclays Bank, Japan)
Barclays Bank PLC, Hong Kong branch (Barclays Bank, Hong Kong)
Barclays Capital Canada Inc. (BCCI, Canada)
Absa Bank Limited (Absa, South Africa)
Barclays Bank Mexico, S.A. (BBMX, Mexico)
Barclays Capital Securities Taiwan Limited (BCSTW, Taiwan)
Barclays Capital Securities Limited (BCSL, South Korea)
Barclays Securities (India) Private Limited (BSIPL, India)
Barclays Bank PLC, India branch (Barclays Bank, India)
Barclays Bank PLC, Singapore branch (Barclays Bank, Singapore)
Barclays Bank PLC Australia branch (Barclays Bank, Australia)

Disclaimer:
This publication has been produced by the Investment Bank of Barclays Bank PLC and/or one or more of its affiliates (collectively and each individually,
"Barclays"). It has been distributed by one or more Barclays legal entities that are a part of the Investment Bank as provided below. It is provided to our
clients for information purposes only, and Barclays makes no express or implied warranties, and expressly disclaims all warranties of merchantability or
fitness for a particular purpose or use with respect to any data included in this publication. Barclays will not treat unauthorized recipients of this report as
its clients. Prices shown are indicative and Barclays is not offering to buy or sell or soliciting offers to buy or sell any financial instrument.
Without limiting any of the foregoing and to the extent permitted by law, in no event shall Barclays, nor any affiliate, nor any of their respective officers,
directors, partners, or employees have any liability for (a) any special, punitive, indirect, or consequential damages; or (b) any lost profits, lost revenue, loss
of anticipated savings or loss of opportunity or other financial loss, even if notified of the possibility of such damages, arising from any use of this
publication or its contents.
Other than disclosures relating to Barclays, the information contained in this publication has been obtained from sources that Barclays Research believes
to be reliable, but Barclays does not represent or warrant that it is accurate or complete. Barclays is not responsible for, and makes no warranties
whatsoever as to, the content of any third-party web site accessed via a hyperlink in this publication and such information is not incorporated by
reference.
The views in this publication are those of the author(s) and are subject to change, and Barclays has no obligation to update its opinions or the information
in this publication. The analyst recommendations in this publication reflect solely and exclusively those of the author(s), and such opinions were prepared
independently of any other interests, including those of Barclays and/or its affiliates. This publication does not constitute personal investment advice or
take into account the individual financial circumstances or objectives of the clients who receive it. The securities discussed herein may not be suitable for
all investors. Barclays recommends that investors independently evaluate each issuer, security or instrument discussed herein and consult any
independent advisors they believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes in
relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ
substantially from those reflected. Past performance is not necessarily indicative of future results.
This material has been issued and approved for distribution in the UK and European Economic Area by Barclays Bank PLC. It is being made available

primarily to persons who are investment professionals as that term is defined in Article 19 of the Financial Services and Markets Act 2000 (Financial
Promotion) Order 2005. It is directed at, and therefore should only be relied upon by, persons who have professional experience in matters relating to
investments. The investments to which it relates are available only to such persons and will be entered into only with such persons. Barclays Bank PLC is
authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and is a
member of the London Stock Exchange.
The Investment Bank of Barclays Bank PLC undertakes U.S. securities business in the name of its wholly owned subsidiary Barclays Capital Inc., a FINRA
and SIPC member. Barclays Capital Inc., a U.S. registered broker/dealer, is distributing this material in the United States and, in connection therewith
accepts responsibility for its contents. Any U.S. person wishing to effect a transaction in any security discussed herein should do so only by contacting a
representative of Barclays Capital Inc. in the U.S. at 745 Seventh Avenue, New York, New York 10019.
Non-U.S. persons should contact and execute transactions through a Barclays Bank PLC branch or affiliate in their home jurisdiction unless local
regulations permit otherwise.
Barclays Bank PLC, Paris Branch (registered in France under Paris RCS number 381 066 281) is regulated by the Autorit des marchs financiers and the
Autorit de contrle prudentiel. Registered office 34/36 Avenue de Friedland 75008 Paris.
This material is distributed in Canada by Barclays Capital Canada Inc., a registered investment dealer, a Dealer Member of IIROC (www.iiroc.ca), and a
Member of the Canadian Investor Protection Fund (CIPF).
Subject to the conditions of this publication as set out above, the Corporate & Investment Banking Division of Absa Bank Limited, an authorised financial
services provider (Registration No.: 1986/004794/06. Registered Credit Provider Reg No NCRCP7), is distributing this material in South Africa. Absa Bank
Limited is regulated by the South African Reserve Bank. This publication is not, nor is it intended to be, advice as defined and/or contemplated in the
(South African) Financial Advisory and Intermediary Services Act, 37 of 2002, or any other financial, investment, trading, tax, legal, accounting, retirement,
actuarial or other professional advice or service whatsoever. Any South African person or entity wishing to effect a transaction in any security discussed
herein should do so only by contacting a representative of the Corporate & Investment Banking Division of Absa Bank Limited in South Africa, 15 Alice
Lane, Sandton, Johannesburg, Gauteng 2196. Absa Bank Limited is a member of the Barclays group.
In Japan, foreign exchange research reports are prepared and distributed by Barclays Bank PLC Tokyo Branch. Other research reports are distributed to
institutional investors in Japan by Barclays Securities Japan Limited. Barclays Securities Japan Limited is a joint-stock company incorporated in Japan with
registered office of 6-10-1 Roppongi, Minato-ku, Tokyo 106-6131, Japan. It is a subsidiary of Barclays Bank PLC and a registered financial instruments firm
regulated by the Financial Services Agency of Japan. Registered Number: Kanto Zaimukyokucho (kinsho) No. 143.
Barclays Bank PLC, Hong Kong Branch is distributing this material in Hong Kong as an authorised institution regulated by the Hong Kong Monetary
Authority. Registered Office: 41/F, Cheung Kong Center, 2 Queen's Road Central, Hong Kong.
Information on securities/instruments that trade in Taiwan or written by a Taiwan-based research analyst is distributed by Barclays Capital Securities
Taiwan Limited to its clients. The material on securities/instruments not traded in Taiwan is not to be construed as 'recommendation' in Taiwan. Barclays
Capital Securities Taiwan Limited does not accept orders from clients to trade in such securities. This material may not be distributed to the public media
or used by the public media without prior written consent of Barclays.
This material is distributed in South Korea by Barclays Capital Securities Limited, Seoul Branch.
All Indian securities related research and other equity research are distributed in India by Barclays Securities (India) Private Limited (BSIPL). BSIPL is a
company incorporated under the Companies Act, 1956 having CIN U67120MH2006PTC161063. BSIPL is registered and regulated by the Securities and
Exchange Board of India (SEBI) as a Portfolio Manager INP000002585; Stock Broker/Trading and Clearing Member: National Stock Exchange of India
Limited (NSE) Capital Market INB231292732, NSE Futures & Options INF231292732, NSE Currency derivatives INE231450334, Bombay Stock Exchange
Limited (BSE) Capital Market INB011292738, BSE Futures & Options INF011292738; Merchant Banker: INM000011195; Depository Participant (DP) with
the National Securities & Depositories Limited (NSDL): DP ID: IN-DP-NSDL-299-2008; Investment Adviser: INA000000391. The registered office of BSIPL
is at 208, Ceejay House, Shivsagar Estate, Dr. A. Besant Road, Worli, Mumbai 400 018, India. Telephone No: +91 22 67196000. Fax number: +91 22
67196100. Any other reports are distributed in India by Barclays Bank PLC, India Branch.
Barclays Bank PLC Frankfurt Branch distributes this material in Germany under the supervision of Bundesanstalt fr Finanzdienstleistungsaufsicht (BaFin).
This material is distributed in Malaysia by Barclays Capital Markets Malaysia Sdn Bhd.
This material is distributed in Brazil by Banco Barclays S.A.
This material is distributed in Mexico by Barclays Bank Mexico, S.A.
Barclays Bank PLC in the Dubai International Financial Centre (Registered No. 0060) is regulated by the Dubai Financial Services Authority (DFSA).
Principal place of business in the Dubai International Financial Centre: The Gate Village, Building 4, Level 4, PO Box 506504, Dubai, United Arab Emirates.
Barclays Bank PLC-DIFC Branch, may only undertake the financial services activities that fall within the scope of its existing DFSA licence. Related financial
products or services are only available to Professional Clients, as defined by the Dubai Financial Services Authority.
Barclays Bank PLC in the UAE is regulated by the Central Bank of the UAE and is licensed to conduct business activities as a branch of a commercial bank
incorporated outside the UAE in Dubai (Licence No.: 13/1844/2008, Registered Office: Building No. 6, Burj Dubai Business Hub, Sheikh Zayed Road, Dubai
City) and Abu Dhabi (Licence No.: 13/952/2008, Registered Office: Al Jazira Towers, Hamdan Street, PO Box 2734, Abu Dhabi).
Barclays Bank PLC in the Qatar Financial Centre (Registered No. 00018) is authorised by the Qatar Financial Centre Regulatory Authority (QFCRA).
Barclays Bank PLC-QFC Branch may only undertake the regulated activities that fall within the scope of its existing QFCRA licence. Principal place of
business in Qatar: Qatar Financial Centre, Office 1002, 10th Floor, QFC Tower, Diplomatic Area, West Bay, PO Box 15891, Doha, Qatar. Related financial
products or services are only available to Business Customers as defined by the Qatar Financial Centre Regulatory Authority.
This material is distributed in the UAE (including the Dubai International Financial Centre) and Qatar by Barclays Bank PLC.
This material is distributed in Russia by OOO Barclays Capital, affiliated company of Barclays Bank PLC, registered and regulated in Russia by the FSFM.
Broker License #177-11850-100000; Dealer License #177-11855-010000. Registered address in Russia: 125047 Moscow, 1st Tverskaya-Yamskaya str.
21.
This material is distributed in Singapore by the Singapore branch of Barclays Bank PLC, a bank licensed in Singapore by the Monetary Authority of
Singapore. For matters in connection with this report, recipients in Singapore may contact the Singapore branch of Barclays Bank PLC, whose registered
address is One Raffles Quay Level 28, South Tower, Singapore 048583.
Barclays Bank PLC, Australia Branch (ARBN 062 449 585, AFSL 246617) is distributing this material in Australia. It is directed at 'wholesale clients' as
defined by Australian Corporations Act 2001.
IRS Circular 230 Prepared Materials Disclaimer: Barclays does not provide tax advice and nothing contained herein should be construed to be tax advice.
Please be advised that any discussion of U.S. tax matters contained herein (including any attachments) (i) is not intended or written to be used, and
cannot be used, by you for the purpose of avoiding U.S. tax-related penalties; and (ii) was written to support the promotion or marketing of the
transactions or other matters addressed herein. Accordingly, you should seek advice based on your particular circumstances from an independent tax
advisor.

 Copyright Barclays Bank PLC (2015). All rights reserved. No part of this publication may be reproduced or redistributed in any manner without the prior
written permission of Barclays. Barclays Bank PLC is registered in England No. 1026167. Registered office 1 Churchill Place, London, E14 5HP. Additional
information regarding this publication will be furnished upon request.

US28935