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CMBS and Freddie Refi Analysis

Ability to Refinance in Various Debt Yield Scenarios % Current Loan Amount where Refi Bal < Current Bal by more than 25% % Current Loan Amount where Refi Bal < Current Bal Assumed DY 20.9% 42.2% 10% 26.4% 50.0% 11% 34.1% 57.4% 12% 40.7% 63.8% 13% 46.6% 68.4% 14%

By Property Type – 10% Minimum Debt Yield Refinancing Scenario Scenario: Assumed DY = 10%

Maturing Loan Volume ($Blns)

Loan Amount where Refi Bal < Current Bal ($Blns)

% where Refi Bal < Current Bal

Property Type

Office Retail

$48.8 $40.7 $40.1 $37.1

$23.2 $16.4 $20.7 $8.8

47.6% 40.3% 51.6% 23.8%

Multi-Family

Lodging

Notes: Analysis looks at CMBS and Freddie loans that mature within the next 24 months

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3 Monitoring Portfolio Risk