Commentary Coronavirus Puts Pressure on $4.6 Billion of Maturing CMBS Loans Backed by Regional Malls

DBRS Morningstar DBRS Morningstar Perspective April 13, 2020 The ongoing Coronavirus Disease (COVID-19) pandemic is affecting every facet of the U.S. economy and

commercial real estate is no exception. The possibility that stores will remain closed for a longer period Contents of time is becoming more likely, which pressures about $4.6 billion in regional mall loans packaged in 1 DBRS Morningstar Perspective 1 Regional Malls Take Immediate Hit Amid commercial mortgage-backed security (CMBS) transactions that are scheduled to mature through 2021. Coronavirus Response Efforts DBRS Morningstar analyzed these near-term maturities and identified some key characteristics to 2 Regional Mall Stress Compounded by evaluate the likelihood of either a successful refinance or short- to medium-term extension that could Near-Term Maturities in CMBS 4 Evaluating the Road Ahead for Maturing facilitate takeout financing down the road. Sponsor strength and willingness to invest have historically CMBS Mall Loans played a critical role in mall performance in general, and we expect those trends to continue for the 13 Looking Forward maturing CMBS mall loans coming due in the next few years. Overall, borrowers are more likely to invest 14 Appendix capital in more stable malls with more predictable long-term prospects for success.

Alex Sgorlon With a likelihood of stressed cash flows across the spectrum, DBRS Morningstar notes that high-quality Senior Analyst North American CMBS Class A assets with reasonable leverage and consistent cash flow performance and a cushion to service +1 416 728-8144 debt are the most attractive refinance or maturity extension candidates. Performance trends and [email protected] characteristics including occupancy, exposure to anchor (and dark anchor) tenants, sales performance, Jason de Souza and capitalization rates relative to comparable assets speak to the asset’s performance in a stabilized Senior Analyst environment. We also consider factors such as the property’s position compared with other properties in North American CMBS +1 416 597-7401 the market and its history of innovation in attracting newer, more entertainment-based tenants and/or [email protected] more popular retailers in today’s consumer environment relative to historically prevalent mall retailers.

Gwen Roush Senior Vice President Regional Malls Take Immediate Hit Amid Coronavirus Response Efforts North American CMBS As city officials, governors, and federal agencies have issued guidance regarding social distancing and +1 312 332-9575 [email protected] limitations on large gatherings, retailers and mall operators have temporarily closed or remain open only for essential purchases. Some prominent retailers, such as Macy’s and , Inc. (rated BBB (high) Steven Jellinek with a Negative trend by DBRS Morningstar), have suspended dividend payouts, citing significant Vice President North American CMBS uncertainty ahead. According to Autonomous Research LLP, 126 consumer companies, including +1 312 244-7908 retailers such as Best Buy Co, Inc.; The TJX Companies, Inc.; and Kohl’s, have drawn a total of $86 billion [email protected] from credit lines.

Whether by companywide mandates, such as those put into place by , Inc. (Simon); Prime Group Inc. (WPG), and Unibail-Westfield-Rodamco SE, or by government mandate, most regional malls in the U.S. are closed because of the coronavirus. Amid mall and store closures, some retailers have notified mall operators of their inability or unwillingness to pay rent for

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April with at least one operator, Inc. (Taubman), advising that it will not offer rent concessions at this time.

The ongoing uncertainty is particularly problematic for regional malls, many of which were already

facing strong headwinds before the coronavirus. Traditional enclosed mall properties have been exposed

to the declining performance of department store anchors, which have announced mass store closures over the last several years. This trend has left many properties with an expansive footprint to redevelop and backfill, often at a significant expense and in a highly competitive environment for operators working to attract the handful of major retailers typically filling those vacant spaces. When larger vacancies begin to occur, sponsors with weaker portfolios and less access to capital are restricted in their ability to fully implement a turnaround strategy. Such sponsors also face the challenge of quickly adapting to changing consumer preferences that benefit the malls’ interests in the long term.

The coronavirus' effect will undoubtedly (1) put added stress on these operators and weaker assets because temporary mall closures will affect retailers’ ability to pay rent and (2) test the sustainability of anchors and in-line tenants that are already experiencing lower sales, particularly for locations outside primary markets. Although many have predicted the death of the American over the last few decades, the number of enclosed malls in the U.S. has actually grown to 1,170—the highest in the last 50 years, according to the International Council of Shopping Centers. The excess supply, combined with changing consumer habits that have affected malls in particular, has driven many malls to or near the brink of closure as survival of the fittest plays out for owners seeking financing, a trend that we believe will be expedited by the economic fallout of the coronavirus.

Regional Mall Stress Compounded by Near-Term Maturities in CMBS Based on the data available in DBRS Viewpoint, 49 regional mall CMBS loans (see the Appendix) with a combined balance of over $4.5 billion are scheduled to mature in 2020 and 2021. Loans that are secured by underperforming properties are unable to handle significant cash flow declines that we expect during the coronavirus pandemic and therefore, will face the greatest challenge in obtaining replacement financing.

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Exhibit 1 Debt Service Coverage Ratio (DSCR) Performance

< 1.50x 1.50x - 1.75x 1.75x - 2.00x > 2.00x

39.0% 20.9%

6.3% 33.8%

Exhibit 2 DBRS Morningstar Market Rank

Upcoming Maturity Loans

50.0%

40.0%

30.0%

20.0% % of% Current Debt

10.0%

0.0% 1 2 3 4 5 6 7 Market Rank

Source: DBRS Morningstar.

Within that set of loans, 16 loans, comprising over $957 million of outstanding debt, reported year-end DSCRs of under 1.50 times (x) as of the most recent available reporting period. Ten of these loans, comprising $562 million, would be unable to cover their debt service following a 20% haircut to the in- place net cash flow (NCF). In addition to malls reporting lower cash flows, we also see increased risks based on location. Because of reduced investor demand and less willingness from banks and other financial institutions to lend, malls in rural or suburban markets will likely see fewer options for takeout at maturity compared with malls in denser, more populated markets. Across the cohort of near-term CMBS mall maturities we identified, 31 loans, representing $2.0 billion, are collateralized by a mall located in a city with a DBRS Morningstar Market Rank of 3 or lower.

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Exhibit 3 Current Loan-to-Value (LTV) Ratio

Upcoming Maturity Loans 30.0%

20.0%

of% Current Debt 10.0%

0.0% < 45% 45%-50% 51%-55% 56%-60% 61%-65% > 65% LTV Category

Source: DBRS Morningstar.

Approximately 75% of the outstanding CMBS mall debt with a near-term maturity has a loan-to-value (LTV) ratio between 45% and 60%. Although these figures suggest more cushion against market disruptions and general value declines for this property type in the last 10 years, particularly for those with declining performance metrics and/or locations in secondary markets, we note that these properties' values will likely sharply reduce from issuance. These factors could impair a sponsor’s willingness to continue investing in the property to effect stabilization, which could ultimately lead to the sponsor's unwillingness to work with the servicer to hold onto the asset if refinancing cannot be secured.

According to the DBRS Viewpoint platform, 31 outstanding regional mall CMBS loans and loan pieces (originated in 2010 or later) with a combined balance of $2.2 billion were in special servicing as of the March 2020 remittance dates. In general, these loans exhibited healthy issuance LTVs with a weighted- average (WA) figure of 62.8%; however, 14 of these loans, comprising a combined balance of $540 million, reported new valuations since issuance, with value declines ranging between -40.9% and - 79.6% with a WA value decline of -67.7%. The average DBRS Morningstar Market Rank for the collateral securing these loans is 2.7 with only a handful of loans secured by properties located in cities with market ranks above 3 and none with a market rank above 5.

These trends point to the binary nature of regional mall valuations and sale prices as significant value declines become the standard in difficult periods. The current economic stress related to the coronavirus, particularly when coupled with the generally lackluster forecast for regional malls in secondary markets over the near to moderate term even before the pandemic’s impact, suggests that values will be even more stressed, further depressing the value of a seasoned regional mall loan’s LTV in providing guidance for refinance prospects.

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The concentration of smaller sponsors by loan count is high in the CMBS mall loans currently in special servicing, but there are exceptions in two loans sponsored by WPG—one real estate owned property

and one foreclosure expected to be executed in the near term on another property. There are also two single-asset/single-borrower (SASB) deals backed by two separate mall portfolios that are owned and

operated by Starwood Capital Group affiliates; these loans comprise a combined $817.3 million in

outstanding debt, representing 37.7% of the total balance of specially serviced mall loans, and are in special servicing for maturity default.

Evaluating the Road Ahead for Maturing CMBS Mall Loans Key characteristics in evaluating the likelihood of a successful refinance or extension that could facilitate takeout financing once the market stabilizes include sponsor strength, market position, and asset stability. We believe that borrowers’ ability and willingness to invest have historically played a critical role in mall performance in general. In addition, malls that occupy a dominant position in their markets may be able to wait for weaker competition to fail. Finally, investors are more likely to back malls that are more stable.

Approximately 65.1% of the outstanding balance of near-term CMBS mall maturities is backed by a strong sponsor in Brookfield Property Partners L.P. (Brookfield) or Simon. There is also a concentration of relatively weaker sponsorship with 23.0% of the balance backed by malls owned by CBL Properties (CBL), WPG, and The Pyramid Companies (Pyramid). Strong sponsors are generally expected to have the necessary resources to secure takeout financing when loans come due, but such sponsors are also willing to give back underperforming properties. There have been noteworthy losses in CMBS for loans backed by Simon and GGP Inc. (which filed for bankruptcy in 2009 and was acquired by Brookfield in 2018), including the Independence Mall loan in the Wachovia Bank Commercial Mortgage Trust Series 2007-C33 transaction (not rated by DBRS Morningstar) and the loan in the J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4 transaction (rated by DBRS Morningstar), which were resolved with a combined loss amount of nearly $260.0 million at liquidation in 2019 and 2013, respectively.

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Exhibit 4 Sponsor Allocation of Maturing Debt

Simon Brookfield WPG CBL Pyramid Other

12.7% 25.7%

9.9%

6.2%

5.9%

39.4%

Exhibit 5 Total Debt by Sponsor

Simon Brookfield WPG CBL Pyramid Other $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600

Total Maturing Debt ($ millions) $400 $200 $- Sponsor

Source: DBRS Morningstar.

Loans Backed by Well-Positioned Sponsors Sponsors, such as affiliates of Simon and Brookfield, are considered generally well positioned to withstand the current headwinds as both manage premium portfolios of retail assets. Both sponsors typically focus on markets with dense populations, high incomes, and diversified tenant mixes and can quickly deploy capital if a property in their portfolios requires investment to address a major tenant departure or general change in the retail demands for their respective markets.

Simon and Brookfield are real estate investment trusts (REITs) or have REIT affiliates and both companies are investment grade rated. DBRS Morningstar does not rate Simon and recently changed the trend on Brookfield's Senior Unsecured Debt rating of BBB to Negative from Stable, citing “weaker-

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than-expected key financial metrics, combined with material deterioration in the outlook and heightened uncertainty…in light of the ongoing Coronavirus Disease (COVID-19) pandemic” (see our April 1, 2020,

press release ). However, DBRS Morningstar also noted that Brookfield has access to $6.9 billion in liquidity and has no unsecured debt maturities until October 2021. While Brookfield has warned of a

challenging year ahead, it also notes that it is well positioned for this volatility. Brookfield expects its

tenants to face many challenges ahead, but the company’s liquidity and the strong performance of its encumbered loans should allow it to refinance or retire its maturing CMBS loans with few issues.

Although it is the largest mall operator in the U.S., Simon could decide to cut its dividend although it has made no announcements to date. For now, the company's strategy appears to be stay ing the course with its previously announced plan to acquire an 80% stake in Taubman's portfolio of Class A malls for $3.6 billion, which is still a go as of the date of this commentary. In addition, Simon's 2019 Annual Report noted that it had more than $7.0 billion of liquidity at year end.

Simon Property Group, Inc. (Simon) Simon has approximately $1.2 billion of outstanding CMBS debt that matures before 2022, representing approximately 26.0% of all maturing CMBS mall debt that we analyzed as part of this commentary. Simon’s maturing loans have reported a WA NCF growth of 39.5% since issuance and, as a whole, generally appear to be prepared for the current market disruptions, given the overall strong cash flow performance, strong debt coverage of 2.74x, and high WA market rank of 4.6 relative to its peers.

Exhibit 6 Simon's Maturing Loans

Loan Conduit DBRS Current City State Dark Preceding DBRS Preceding Preceding NCF Securitizations Morningstar Balance Anchor Occupancy Morningstar Loan PSF DSCR Change Rated (Y/N) (Y/N) Market Since Rank Issuance

The Outlet WFRBS 2013-C18 Y $350,000,000 Elizabeth NJ N 97.0% 5 $269 4.66x 67.8% Collection | WFRBS 2014-LC14 Jersey Gardens WFRBS 2013-UBS1 The Domain WFRBS 2011-C5 N $179,692,767 Austin TX N 92.0% 4 $204 1.95x 44.8%

Newport Centre JPMCC 2011-C4 Y $172,706,412 Jersey City NJ N 97.0% 7 $178 2.05x 21.4%

Arizona Mills JPMCC 2010-C2 N $148,586,204 Tempe AZ Y 91.0% 4 $119 2.27x 25.1%

Ingram Park Mall MSC 2011-C2 N $124,487,421 San Antonio TX N 84.0% 4 $332 1.66x

Cape Cod Mall GSMS 2011-GC3 Y $86,415,803 Hyannis MA Y 94.0% 4 $166 1.69x 5.8%

Dover Mall and DBUBS 2011-LC3 N $81,426,158 Dover DE Y 95.0% 2 $147 1.33x 6.7% Commons Auburn Mall COMM 2010-C1 N $36,046,786 Auburn MA Y 98.0% 3 $85 2.76x 40.2%

$1,179,361,550 93.8% 4.6 $ 212 2.74x 39.5%

Source: DBRS Morningstar.

Simon has demonstrated its willingness to invest in well-positioned properties, even those in smaller markets, with the $86.4 million loan (secured in the DBRS Morningstar-rated GS Mortgage Securities Trust, Series 2011-GC3 transaction). After losing in 2018, Simon quickly re-

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leased the vacant space to desirable replacement tenants in and Dick’s Sporting Goods, Inc. In addition, Simon reportedly plans to demolish the former Sears Auto Center building to

create additional parking and accommodate a recently signed 25,000-square foot (sf) tenant, Ryan's Ten Pin Eatery & Arcade, as well as relocated Chipotle Mexican Grill, Five Guys, and Visionworks of America

to the west side of the Macy’s entrance. While sales were projected to decline in 2019, Simon’s quick

capital infusion coupled with the mall’s dominance in the larger Cape Cod, , area speaks to the loan's relatively strong refinance prospects in 2021, despite a relatively recent disruption in a lost and higher risks associated with its secondary location.

Brookfield Property Partners L.P. (Brookfield) Holding the largest allocation of maturing CMBS debt at $1.8 billion, representing 39.4% of maturing CMBS mall debt, Brookfield’s maturity portfolio is also well positioned to withstand upcoming challenges. Brookfield's set of near-term maturing loans reported WA NCF growth of a more modest 16.1% since issuance; however, the WA debt coverage is strong at 2.09x, suggesting that leverage is generally healthy. The set also reported strong occupancy as of the most recent reporting period as all but one property are more than 90% occupied and all are more than 90% leased, and, like Simon, Brookfield has a higher concentration of assets in higher-ranked markets.

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Exhibit 7 Brookfield's Maturing Loans

Loan Conduit DBRS Current City State Dark Preceding DBRS Preceding Preceding NCF Securitizations Morningstar Balance Anchor Occupancy Morningstar Loan PSF DSCR Change

Rated (Y/N) (Y/N) Market Since Rank Issuance

Northridge WFRBS 2012-C7 N $212,971,325 Northridge CA Y 98.0% 5 $331 1.61x 15.1% Fashion Center WFRBS 2012-C8

Kenwood Towne DBUBS 2011-LC1 N $197,913,314 Cincinnati OH N 97.0% 4 $262 2.35x 19.9% Centre WFCM 2013-LC12 N $190,000,000 Baltimore MD N 98.0% 4 $271 2.51x -5.5% WFRBS 2013-C14 Willowbrook Mall DBUBS 2011-LC2 Y $182,596,243 Houston TX N 100.0% 4 $456 1.71x 22.1% GSMS 2013-GC13 Mall St. Matthews GSMS 2013- Y $171,337,461 Louisville KY N 95.0% 4 $256 2.02x 2.3% GCJ14 Park Place Mall GSMS 2011-GC5 Y $170,466,055 Tucson AZ Y 98.0% 4 $356 1.52x 9.6%

Fox River Mall WFRBS 2011-C4 N $139,396,077 Appleton WI N 92.0% 2 $215 1.70x 9.7% CFCRE 2011-C2 RiverTown COMM 2012- N $134,437,819 Grandville MI Y 92.0% 3 $211 2.00x 18.6% Crossings Mall CCRE1 MSC 2011-C2 N $131,231,593 Humble TX N 96.0% 3 $237 2.07x 32.8%

Oxmoor Center (5) MSC 2011-C3 Y $ 81,545,341 Louisville KY N 81.0% 4 $ 87 1.51x 5.7%

Whalers Village GSMS 2011-GC3 Y $ 80,000,000 Lahaina HI N 96.0% 2 $724 4.04x 72.1%

Visalia Mall UBSBB 2012-C4 Y $ 74,000,000 Visalia CA N 96.0% 2 $169 3.69x 29.8% DBUBS 2011-LC3 N $ 43,357,701 Providence RI Y 91.0% 6 $ 44 1.86x 6.0% Mall

$1,809,252,929 95.7% 3.7 $ 293 2.09x 16.1% Source: DBRS Morningstar.

The $171.3 million Mall St. Matthews loan secured by a regional mall in Louisville, (securitized in two DBRS Morningstar-rated conduit transactions), lost a major in-line tenant, Forever 21; however, Brookfield quickly backfilled the space with Dave & Buster’s and Ulta Beauty. The mall has reported strong cash flow and coverage metrics since issuance, with in-line sales just below $400 psf, and benefits from a diverse anchor mix in Cinemark, Dillard’s, and JCPenney. There are concerns about the JCPenney anchor tenant, given the company’s well-publicized financial struggles amid rapidly falling sales, as well as the Cinemark anchor tenant, both of which have temporarily closed as part of their respective chainwide coronavirus-related closures of all locations. We note that both tenants have historically performed relatively well, however, and thus expect both retailers to be committed to both locations once the social distancing measures are lifted and consumers can resume normal shopping patterns.

Notably, Brookfield operates (securitized in MSC 2011-C3), which is less than 2.0 miles from Mall St. Matthews, and recently backfilled a vacant anchor spot at that property with Topgolf, scheduled to open in late 2020. The complementary tenant mix and different shopper demographics of the respective malls enables both properties to coexist. Brookfield will likely seek a short-term extension beyond its original June 2020 maturity date for the Mall St. Matthews loan, solely because of the

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general freeze in the financial markets amid the coronavirus pandemic; however, we believe that Brookfield’s prospects for ultimately retiring its existing debt in the near to medium term are strong.

Loans Backed by At-Risk Sponsors

Other regional mall operators may not be as well positioned to resolve their upcoming maturities. While

any number of factors can affect our analysis of maturity risk, there are added risks for loans (1) secured by properties in tertiary markets, (2) with uneven performance, and (3) with sponsors that generally have lower access to capital. For example, Simon spun off weaker performing assets into WPG in 2014 and as such, WPG's portfolio is primarily located in tertiary or secondary markets. According to WPG’s annual reporting, its net income dropped significantly in 2019. While CBL was able to recently draw down on a credit line to improve its liquidity position, it has a history of handing back loans to its lenders. In 2019 alone, CBL returned the Acadiana Mall and Triangle Town Center loans (in transactions not rated by DBRS Morningstar) to their respective lenders, and had two other malls classified as “Lender Malls” (i.e., CBL was working with its lenders on a restructure) as of its 2019 Annual Report. As a private company, Pyramid may also lack access to additional liquidity, given its weaker and more regionally concentrated portfolio of mall assets.

Washington Prime Group (WPG) WPG owns a portfolio of 104 shopping centers primarily located in suburban markets. Its maturity profile in the next two years is concerning, considering that there are three loans already in special servicing and the lack of positive NCF growth since issuance for six of the seven malls securing loans with upcoming maturity dates. WPG has shown recent willingness to let go of underperforming assets as evidenced by the Charlottesville Fashion Square loan (secured in two DBRS Morningstar-rated conduit transactions) and the Muncie Mall loan (secured in JP Morgan Commercial Mortgage Finance Corporation 2014-C19), both of which were transferred to special servicing in anticipation of foreclosures. Of the seven WPG-owned malls and securing loans approaching maturity, WPG classifies five as Tier 1 core assets and one, Oak Court Mall, as a Tier 2 asset. Muncie Mall is listed as a “noncore asset” for the firm. Liquidity concerns surrounding WPG's short-term debt obligations of $2.96 billion, as reported in its YE2019 financials, may force the REIT to part with its less desirable assets.

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Exhibit 8 WPG's Maturing Loans

Loan Conduit DBRS Current City State Dark Preceding DBRS Preceding Preceding NCF Securitizations Morningstar Balance Anchor Occupancy Morningstar Loan PSF DSCR Change Rated (Y/N) (Y/N) Market Since

Rank Issuance

Mall at Johnson Johnson GSMS 2010-C1 Y $47,846,088 TN Y 100.0% 2 $ 84 1.57x 2.1% City City

Lincolnwood Town Lincolnwoo JPMCC 2014-C20 Y $47,339,098 IL N 64.0% 5 $112 0.92x -39.9% Center d Grand Central Mall GSMS 2010-C1 Y $38,526,270 Vienna WV Y 95.0% 2 $ 52 1.63x -16.3% WFRBS 2014-C21 Oak Court Mall WFCMT 2014- Y $36,068,838 Memphis TN N 97.0% 3 $150 1.45x -19.5% LC16 Ashland Town GSMS 2011-GC5 Y $35,728,777 Ashland KY N 99.0% 3 $ 82 2.37x 31.2% Center Port Charlotte Port WFRBS 2011-C2 N $33,773,252 FL Y 94.0% 2 $ 69 1.95x -5.5% Town Center Charlotte Muncie Mall JPMBB 2014-C19 N $33,002,095 Muncie IN Y 96.0% 2 $ 64 1.78x -16.1%

$272,284,418 91.3% 2.8 $89 1.63x -10.0% Source: DBRS Morningstar.

Sponsors that are willing to continuously invest in their properties generally have a higher likelihood of securing refinancing, but even the most committed operators may face liquidity crunches as the coronavirus' negative effects extend throughout the year. In December 2019, WPG gave notice that it would not be able to refinance its $47.8 million loan on the Mall at Johnson City (secured in the DBRS Morningstar-rated GS Mortgage Securities Trust, 2010-C1 transaction), ahead of its May 2020 maturity date. The loan is backed by a regional mall in Johnson City, Tennessee, and reported a September 2019 occupancy rate of 97.5%. Although cash flows have declined year over year, the loan still reported a relatively healthy coverage of over 1.57x.

The property recently lost a collateral Sears, representing 17.3% of the net rentable area, and its appraised value declined by 41% to $52 million as of September 2019, resulting in a current LTV of 92%. Nevertheless, WPG remains committed to the property, classifying the mall as one of the Tier 1 core assets in its portfolio. A loan modification approved by the special servicer extended the maturity by three years with WPG paying the loan balance down by $5.0 million and funding a $10.0 million tenant improvement and capital projects reserve. If the REIT can survive the next year with no major issues while progressing on the mall’s re-stabilization plan, the loan should be a more desirable refinance candidate in May 2023.

CBL Properties (CBL) CBL has committed to replacing vacant anchor spaces with nontraditional tenants as part of an overall focus on its highest-quality assets. Over 45 of CBL's core malls have been redeveloped since 2013 and the company has disposed of over 24 lower-productivity malls as it focuses on growth markets and market-dominant assets.

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Exhibit 9 CBL's Maturing Loans

Current Loan Conduit DBRS City State Dark Preceding DBRS NCF Balance Preceding Preceding Securitizations Morningstar Anchor Occupancy Morningstar Change Loan PSF DSCR Rated (Y/N) (Y/N) Market Since

Rank Issuance

Park Plaza WFRBS 2011-C3 N $ 77,577,124 Little Rock AR N 94.0% 4 $274 1.03x -25.0%

Parkdale Mall & GSMS 2011-GC5 Y $75,121,001 Beaumont TX N 90.0% 3 $101 1.67x 14.2% Crossing Burnsville Center GSMS 2010-C1 Y $64,232,995 Burnsville MN Y 85.0% 3 $123 1.23x -30.6% Alamance COMM 2012-LC4 N $44,386,597 Burlington NC N 88.0% 2 $ 97 1.37x 1.4% Crossing Union Eastgate Mall WFRBS 2011-C4 N $24,706,934 OH Y 86.0% 3 $ 91 1.74x Township $286,024,650 89.3% 3.1 $ 151 1.36x -10.6% Source: DBRS Morningstar.

DBRS Morningstar previously placed the CBL-sponsored $64.2 million Burnsville Center loan (securitized in the DBRS Morningstar-rated GS Mortgage Securities Trust, 2010-C1 transaction) on the DBRS Morningstar Hotlist because of a significant decline in cash flow and sales performance. The loan recently transferred to special servicing with the April 2020 remittance as CBL cited imminent default as the loan approaches its July 2020 maturity date. A combination of occupancy and related cash flow declines, generally driven by the declining market conditions surrounding the subject mall, have contributed to sustained performance declines in the last several years with the most recent DSCR reportedly below 1.0x for the trailing nine-month period ending September 2019. While there may be opportunities for investment to reposition the property, CBL does not appear to be focused on putting significant capital toward its lowest performers, such as the Burnsville Center property. We expect that the servicer will eventually process a foreclosure, which will result in a significant loss at resolution for this loan.

The Pyramid Companies (Pyramid) Private mall operators, such as Pyramid, are particularly threatened by any cash flow issues caused by the coronavirus as their ability to raise additional capital to fund shortfalls or execute their business plans will be more limited than public companies. Pyramid’s total portfolio consists of 16 retail properties in , Massachusetts, and . The company has reportedly invested over $750 million in its portfolio over the last several years and owns four of the most visited shopping malls in the U.S. As the largest privately owned U.S. mall developer, Pyramid will attempt to maintain its status as a prominent operator by focusing resources on its high-profile assets, which may necessitate giving up some of its weaker properties. Although not a 2020 or 2021 maturity, we note that a Pyramid-sponsored SASB loan, (the DBRS Morningstar-rated JP Morgan Chase Commercial Mortgage Securities Corporation 2012-WLDN transaction), recently transferred to special servicing with the April 2020 remittance and the initial workout code suggests a loan modification.

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Exhibit 10 Pyramid's Maturing Loans

Loan Conduit DBRS Current City State Dark Preceding DBRS NCF Preceding Preceding Securitizations Morningstar Balance Anchor Occupancy Morningstar Change Loan PSF DSCR Rated (Y/N) (Y/N) Market Since

Rank Issuance

Holyoke Mall JPMCC 2011-C3 Y $183,581,846 Holyoke MA N 74.0% 2 $135 1.26x -22.0%

UBSC 2011-C1 Poughkeepsie Poughkeep UBS 2012-C1 Y $140,225,223 NY N 89.0% 3 $203 1.06x -18.2% Galleria sie WFRBS 2011-C5 Sangertown New JPMCC 2011-C3 Y $ 54,064,021 NY N 94.0% 3 $ 60 1.09x -23.7% Square Hartford

Champlain Centre GSMS 2011-GC5 Y $29,870,958 Plattsburgh NY N 83.0% 2 $ 62 1.47x -24.5%

Hampshire Mall WFRBS 2011-C3 N $20,080,682 Hadley MA N 85.0% 2 $ 59 1.44x 10.4% Queensbur WFRBS 2011-C2 N $19,931,417 NY Y 47.0% 2 $ 39 1.22x -34.7% y Poughkeepsie Poughkeep WFRBS 2011-C5 N $7,293,805 NY N 100.0% 3 $ 89 2.22x 18.9% Galleria II sie $455,047,950 81.3% 2.4 $134 1.21x -19.7% Source: DBRS Morningstar.

In addition to financing concerns, Pyramid, as a regional investor, faces increased geographic risks with a majority of its assets in northeastern suburban or tertiary markets. All seven loans approaching maturity report a DBRS Morningstar Market Rank of 2 or 3 which, coupled with NCF declines for all but two of the loans, does not bode well for the portfolio's general refinancing prospects. In general, Pyramid’s risk exposure is elevated because of further cash flow declines as the WA DSCR for the portfolio is 1.21x and all but one loan reports a DSCR below 1.50x.

Looking Forward The regional mall industry is experiencing a seismic shift as owners of larger Class A malls invest in their properties while Class B malls struggle to find their place in a changing retail landscape. We note that lower-quality assets, especially those in secondary and tertiary markets, are losing tenants and cash flow while upper-quality assets see investment from their owners to broaden their appeal. Some malls that we highlighted have positive metrics that will enable them to pay off. Some with high leverage at issuance feature mitigating factors, such as improving cash flow or a strong location, which can boost the property's value. We believe that banks' and financial institutions' lack of activity during the ongoing coronavirus pandemic may require better malls to receive loan modifications to extend the maturity dates whereas the same circumstances may result in the ultimate transfer to special servicing and eventual liquidation for underperforming properties, particularly those held by sponsors in weaker financial positions.

Page 14 of 15 Coronavirus Puts Pressure on $4.6 Billion of Maturing CMBS Loans Backed by Regional Malls | April 13, 2020

Appendix DBRS DBRS NCF Change Conduit Morningstar Maturity Dark Anchor Preceding Morningstar Preceding Preceding Preceding Preceding Since Loan Securitizations Rated (Y/N) Current Balance Square Feet Date City State Sponsor (Y/N) Occupancy Market Rank Loan PSF Value PSF Cap Rate LTV DSCR Issuance Loan Status WFRBS 2013-C18 The Outlet Collection | Jersey Gardens WFRBS 2014-LC14 Y $ 350,000,000 1,298,801 11/1/2020 Elizabeth NJ Simon Property Group N 97.0% 5 $ 269 $ 544 5.47% 49.5% 4.66x 67.8% WFRBS 2013-UBS1 WFRBS 2012-C7 Northridge Fashion Center N $ 212,971,325 643,564 12/1/2021 Northridge CA Brookfield Y 98.0% 5 $ 331 $ 573 6.21% 57.7% 1.61x 15.1% WFRBS 2012-C8 DBUBS 2011-LC1 N $ 197,913,314 756,412 12/6/2020 Cincinnati OH Brookfield N 97.0% 4 $ 262 $ 542 7.36% 48.3% 2.35x 19.9% WFCM 2013-LC12 White Marsh Mall N $ 190,000,000 702,317 5/1/2021 Baltimore MD Brookfield N 98.0% 4 $ 271 $ 427 6.24% 63.3% 2.51x -5.5% WFRBS 2013-C14 Holyoke Mall JPMCC 2011-C3 Y $ 183,581,846 1,356,382 2/1/2021 Holyoke MA Pyramid Companies N 74.0% 2 $ 135 $ 295 6.36% 45.9% 1.26x -22.0% Willowbrook Mall DBUBS 2011-LC2 Y $ 182,596,243 400,466 4/6/2021 Houston TX Brookfield N 100.0% 4 $ 456 $ 762 6.46% 59.9% 1.71x 22.1%

The Domain WFRBS 2011-C5 N $ 179,692,767 878,974 8/1/2021 Austin TX Simon Property Group N 92.0% 4 $ 204 $ 443 4.88% 46.2% 1.95x 44.8% Newport Centre JPMCC 2011-C4 Y $ 172,706,412 972,484 5/1/2021 Jersey City NJ Simon Property Group N 97.0% 7 $ 178 $ 347 6.95% 51.2% 2.05x 21.4% GSMS 2013-GC13 Mall St. Matthews Y $ 171,337,461 670,376 6/6/2020 Louisville KY Brookfield N 95.0% 4 $ 256 $ 418 6.39% 61.2% 2.02x 2.3% GSMS 2013-GCJ14 Park Place Mall GSMS 2011-GC5 Y $ 170,466,055 478,333 5/6/2021 Tucson AZ Brookfield Y 98.0% 4 $ 356 $ 654 5.83% 54.5% 1.52x 9.6%

Arizona Mills JPMCC 2010-C2 N $ 148,586,204 1,244,815 7/1/2020 Tempe AZ Simon Property Group Y 91.0% 4 $ 119 $ 268 6.68% 44.6% 2.27x 25.1% UBSC 2011-C1 Poughkeepsie Galleria UBS 2012-C1 Y $ 140,225,223 691,325 11/6/2021 Poughkeepsie NY Pyramid Companies N 89.0% 3 $ 203 $ 343 6.39% 59.2% 1.06x -18.2% WFRBS 2011-C5

Fox River Mall WFRBS 2011-C4 N $ 139,396,077 648,728 6/1/2021 Appleton WI Brookfield N 92.0% 2 $ 215 $ 419 6.78% 51.2% 1.70x 9.7%

CFCRE 2011-C2 RiverTown Crossings Mall N $ 134,437,819 635,769 6/6/2021 Grandville MI Brookfield Y 92.0% 3 $ 211 $ 398 6.76% 53.1% 2.00x 18.6% COMM 2012-CCRE1

Deerbrook Mall MSC 2011-C2 N $ 131,231,593 554,461 4/6/2021 Humble TX Brookfield N 96.0% 3 $ 237 $ 397 7.23% 59.7% 2.07x 32.8%

Ingram Park Mall MSC 2011-C2 N $ 124,487,421 374,859 6/1/2021 San Antonio TX Simon Property Group N 84.0% 4 $ 332 $ 575 6.65% 57.8% 1.66x

Meadowood Mall GSMS 2012-GC6 N $ 109,531,376 404,865 11/6/2021 Reno NV The Mills LP N 85.0% 3 $ 271 $ 472 6.67% 57.3% 1.69x

Fashion Outlets of Niagara Falls COMM 2010-C1 N $ 105,017,740 525,663 10/6/2020 Niagara NY Macerich N 92.0% 2 $ 200 $ 342 6.42% 58.3% 1.74x 31.4%

Westfield Belden Village (5) MSC 2011-C3 Y $ 94,493,989 419,400 7/1/2021 Canton OH Starwood Westfield Y 98.0% 4 $ 225 $ 379 6.96% 59.4% 1.70x -1.0%

Cape Cod Mall GSMS 2011-GC3 Y $ 86,415,803 521,881 3/6/2021 Hyannis MA Simon Property Group Y 94.0% 4 $ 166 $ 345 6.21% 48.0% 1.69x 5.8%

Oxmoor Center (5) MSC 2011-C3 Y $ 81,545,341 941,756 6/6/2021 Louisville KY Brookfield N 81.0% 4 $ 87 $ 156 6.19% 55.5% 1.51x 5.7%

Dover Mall and Commons DBUBS 2011-LC3 N $ 81,426,158 553,854 8/6/2021 Dover DE Simon Property Group Y 95.0% 2 $ 147 $ 233 6.24% 63.1% 1.33x 6.7%

Whalers Village GSMS 2011-GC3 Y $ 80,000,000 110,521 1/6/2021 Lahaina HI Brookfield N 96.0% 2 $ 724 $ 1,583 5.89% 45.7% 4.04x 72.1%

Park Plaza WFRBS 2011-C3 N $ 77,577,124 283,326 4/1/2021 Little Rock AR CBL Properties N 94.0% 4 $ 274 $ 501 6.91% 54.6% 1.03x -25.0%

Parkdale Mall & Crossing GSMS 2011-GC5 Y $ 75,121,001 743,175 3/6/2021 Beaumont TX CBL Properties N 90.0% 3 $ 101 $ 200 7.09% 50.4% 1.67x 14.2%

Visalia Mall UBSBB 2012-C4 Y $ 74,000,000 437,954 6/1/2020 Visalia CA Brookfield N 96.0% 2 $ 169 $ 263 6.88% 64.3% 3.69x 29.8%

Burnsville Center GSMS 2010-C1 Y $ 64,232,995 523,692 7/6/2020 Burnsville MN CBL Properties Y 85.0% 3 $ 123 $ 262 8.29% 46.7% 1.23x -30.6%

The Shops at Sunset Place JPMCC 2010-C2 N $ 61,585,372 514,437 9/1/2020 South Miami FL Federal Realty N 88.0% 4 $ 120 $ 237 7.40% 50.5% 1.01x -33.9%

Oxford GSMS 2011-GC3 Y $ 59,287,376 1,240,616 12/7/2020 Middletown Township PA Kravco Company Simon Y 84.0% 3 $ 48 $ 205 5.59% 23.3% 2.87x -10.3%

Newgate Mall UBSBB 2012-C4 Y $ 58,000,000 497,962 5/1/2020 Ogden UT Time Equities Y 63.0% 3 $ 116 $ 167 7.93% 69.9% 1.64x -45.8%

Sangertown Square JPMCC 2011-C3 Y $ 54,064,021 894,127 1/1/2021 New Hartford NY Pyramid Companies N 94.0% 3 $ 60 $ 120 6.94% 50.5% 1.09x -23.7% Vornado Realty Trust WFRBS 2011-C3 N $ 48,754,205 708,695 2/1/2021 Johnson City NY Y 72.0% 2 $ 69 $ 169 7.84% 40.6% 0.75x -61.5% Rialto

Mall at Johnson City GSMS 2010-C1 Y $ 47,846,088 571,319 5/6/2020 Johnson City TN Washington Prime Group Y 100.0% 2 $ 84 $ 91 7.46% 92.0% 1.57x 2.1%

Lincolnwood Town Center JPMCC 2014-C20 Y $ 47,339,098 421,992 4/1/2021 Lincolnwood IL Washington Prime Group N 64.0% 5 $ 112 $ 211 5.36% 53.1% 0.92x -39.9%

Alamance Crossing COMM 2012-LC4 N $ 44,386,597 456,989 7/1/2021 Burlington NC CBL Properties N 88.0% 2 $ 97 $ 159 6.68% 61.1% 1.37x 1.4%

Providence Place Mall DBUBS 2011-LC3 N $ 43,357,701 980,711 5/6/2021 Providence RI Brookfield Y 91.0% 6 $ 44 $ 569 6.50% 7.8% 1.86x 6.0%

Grand Central Mall GSMS 2010-C1 Y $ 38,526,270 740,066 7/6/2020 Vienna WV Washington Prime Group Y 95.0% 2 $ 52 $ 113 7.60% 46.1% 1.63x -16.3% WFRBS 2014-C21 Oak Court Mall Y $ 36,068,838 240,197 4/1/2021 Memphis TN Washington Prime Group N 97.0% 3 $ 150 $ 254 7.41% 59.1% 1.45x -19.5% WFCMT 2014-LC16

Auburn Mall COMM 2010-C1 N $ 36,046,786 423,270 9/1/2020 Auburn MA Simon Property Group Y 98.0% 3 $ 85 $ 213 6.63% 40.1% 2.76x 40.2%

Ashland Town Center GSMS 2011-GC5 Y $ 35,728,777 434,131 7/6/2021 Ashland KY Washington Prime Group N 99.0% 3 $ 82 $ 152 7.14% 54.1% 2.37x 31.2%

Port Charlotte Town Center WFRBS 2011-C2 N $ 33,773,252 489,695 11/1/2020 Port Charlotte FL Washington Prime Group Y 94.0% 2 $ 69 $ 163 6.87% 42.2% 1.95x -5.5%

Muncie Mall JPMBB 2014-C19 N $ 33,002,095 515,970 4/1/2021 Muncie IN Washington Prime Group Y 96.0% 2 $ 64 $ 141 6.31% 45.2% 1.78x -16.1%

Champlain Centre GSMS 2011-GC5 Y $ 29,870,958 484,556 5/6/2021 Plattsburgh NY Pyramid Companies N 83.0% 2 $ 62 $ 126 7.37% 49.0% 1.47x -24.5%

Albany Mall DBUBS 2011-LC3 N $ 25,200,440 446,969 7/6/2021 Albany GA Arnov Realty Y 74.0% 3 $ 56 $ 89 7.02% 63.0% 0.91x -31.6%

Eastgate Mall WFRBS 2011-C4 N $ 24,706,934 272,447 4/1/2021 Union Township OH CBL Properties Y 86.0% 3 $ 91 $ 228 9.15% 39.8% 1.74x

Hanford Mall CFCRE 2011-C2 N $ 22,783,625 331,080 11/12/2021 Hanford CA Passo Companies Y 92.0% 1 $ 69 $ 113 6.66% 60.8% 1.05x -18.4%

Hampshire Mall WFRBS 2011-C3 N $ 20,080,682 342,544 4/1/2021 Hadley MA Pyramid Companies N 85.0% 2 $ 59 $ 114 6.40% 51.5% 1.44x 10.4%

Aviation Mall WFRBS 2011-C2 N $ 19,931,417 504,675 11/1/2020 Queensbury NY Pyramid Companies Y 47.0% 2 $ 39 $ 89 7.53% 44.3% 1.22x -34.7%

Poughkeepsie Galleria II WFRBS 2011-C5 N $ 7,293,805 81,999 7/1/2021 Poughkeepsie NY Pyramid Companies N 100.0% 3 $ 89 $ 189 6.81% 47.1% 2.22x 18.9%

Total/WA $ 4,586,625,619 29,368,600 3/5/2021 91.7% 3.6 $ 219 $ 413 6.52% 53.2% 2.04x 10.9%

Performing Watchlisted Delinqent Special Servicing DBRS Hotlist

Source: DBRS Morningstar. Note: All figures are in U.S. dollars unless otherwise noted.

Page 15 of 15 Coronavirus Puts Pressure on $4.6 Billion of Maturing CMBS Loans Backed by Regional Malls | April 13, 2020

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