Distressed Mortgage Fund by dwo12410

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									Ver. 09.20.10
The Landscape of Distressed Opportunities
September 2010




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The Landscape of Distressed Opportunities
September 2010
    The Landscape of Distressed Opportunities
    September 2010




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The Landscape of Distressed Opportunities
September 2010




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    Program                                     Max Allocated ($B)       Amount Authorized ($B)
    Federal Reserve
    GSE Debt Purchase Program               $                  1,450 $                       507
    TAF - Term Auction Facility                                  900                         373
    Other                                                      3,571                         789
    Federal Reserve Total                   $                  5,921 $                     1,669
    Treasury
    TARP                                    $                    700 $                       411
    Conservatorship of Fannie Mae and
    Freddie Mac                                                  400                          60
    Other                                                        837                         -
    Treasury Total                          $                  1,937 $                       471
    FDIC
    TLGP (Guarantee Program)                $                  1,500 $                       335
    Other                                                        338                         249
    FDIC Total                              $                  1,838 $                       584
    HUD
    HOPE for Homeowners                     $                    300 $                       300
    HUD Total                               $                    300 $                       300
    TOTAL                                                 $10 Trillion                 $3 Trillion
      The Landscape of Distressed Opportunities
      September 2010




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500              12/08 HY                         12/08 Loans
                 12/09 HY                         12/09 Loans
400
                 04/10 HY                         04/10 Loans

300

200

100

 0
                    10



                                    11



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The Landscape of Distressed Opportunities
September 2010




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The Landscape of Distressed Opportunities
September 2010




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                                The Landscape of Distressed Opportunities
                                September 2010




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                     European Leveraged Loan Market                                              European LBO Maturities

               600                                                          250

               500                                                          200
               400




                                                                                  USD billions
USD billions




                                                                            150
               300
                                                                            100
               200

               100                                                          50

                -                                                            -


                      Loan Market Size                New Loan Volume
                                      The Landscape of Distressed Opportunities
                                      September 2010




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                          Non-Agency Pricing (AAA)                                                                                    60+ Delinquencies
            100                                                                                           60

            90                                                                                            50
            80




                                                                                  % of Original Balance
                                                                                                          40
            70
Par Value




            60                                                                                            30

            50
                                                                                                          20
            40
                                                                                                          10
            30
            20                                                                                            0
                                                                                                               Prime Fixed   Prime Option   Alt-A Fixed   Alt-A ARM      Subprime
                                                                                                                                 ARM

                  Prime    Alt-A    2006 Subprime              2007 Subprime                                                 Dec-08             Dec-09                Jul-10
                                                  The Landscape of Distressed Opportunities
                                                  September 2010




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                                                            Home Prices vs. Supply                                                                                                                                         Underwater Borrowers by Vintage

             220                                                                                                                                                            12                                80%

                                                                                                                                                                            11                                70%
             200
                                                                                                                                                                            10




                                                                                                                                                                                 % of borrowers outstanding
                                                                                                                                                                                                              60%
Avg. Price




             180                                                                                                                                                            9
                                                                                                                                                                                                              50%
                                                                                                                                                                            8
             160                                                                                                                                                                                              40%
                                                                                                                                                                            7
             140                                                                                                                                                            6                                 30%
                                                                                                                                                                            5                                 20%
             120
                                                                                                                                                                            4
                                                                                                                                                                                                              10%
             100                                                                                                                                                            3
                                                                                                                                                                                                              0%
                                                                                                    Apr-06
                                                                                  Feb-05
                                                                                           Sep-05




                                                                                                                      Jun-07
                                     Mar-02




                                                                         Jul-04




                                                                                                                                                 Mar-09
                                                                Dec-03
                                              Oct-02




                                                                                                                                                          Oct-09
                            Aug-01




                                                                                                                                        Aug-08
                   Jan-01




                                                                                                                               Jan-08
                                                                                                             Nov-06
                                                       May-03




                                                                                                                                                                   May-10
                                                                                                                                                                                                                    2007          2006         2005          All


                                                                                                                                                                                                                    Subprime      Alt A   Option ARM   Prime Jumbo
                                                           Case/Shiller                                 Months Supply
The Landscape of Distressed Opportunities
September 2010




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                     The Landscape of Distressed Opportunities
                     September 2010




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               900                     FDIC Troubled Institutions & Assets                     1,600
               800                                                                             1,400
               700                                                                             1,200
               600
USD billions




                                                                                                       USD billions
                                                                                               1,000
               500
                                                                                               800
               400
                                                                                               600
               300
               200                                                                             400

               100                                                                             200
                0                                                                              0
                     1990
                     1991
                     1992
                     1993
                     1994
                     1995
                     1996
                     1997
                     1998
                     1999
                     2000
                     2001
                     2002




                     2007
                     2008
                     2009
                     2003
                     2004
                     2005
                     2006
                                 Total Troubled Assets           Total Troubled Institutions
               The Landscape of Distressed Opportunities
               September 2010




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                                                Community Bank Net Income
                40
                                  34                       33
                35
                30                                               27
                25
                20
USD billions




                15
                10
                  5                                                          2
                  -
                (5)
                                                                                    (4)
               (10)
                                2005                   2006     2007        2008   2009
The Landscape of Distressed Opportunities
September 2010




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        The Landscape of Distressed Opportunities
        September 2010




                                                    $1,300,000,000           $660,600,000             -49.2%
     John Hancock Tower
                                                        $765/sq.ft.             $389/sq.ft.
      200 Clarendon St., Boston
                                                    November 2006              March 2009

                                                    $6,500,000,000        ~ $2,800,000,000* (1)       -56.9%
Crescent Real Estate Equities
54 ofc bldgs, resorts and housing proj.                   2007                 June 2009


                                                    $1,730,000,000           $590,333,000             -65.9%
        Worldwide Plaza
                                                       $1,018/sq.ft.            $347/sq.ft.
     825 Eighth Ave., New York
                                                     February 2007              July 2009

                                                     $575,000,000          ~ $192,500,000* (2)        -66.5%
      Maui Prince Resort
    310-room Resort Hotel, Maui                           2007                October 2009


                                                    $25,600,000,000    Recent mark not available(3)
  Hilton Hotels Corporation
                                                       $47.50/share
3,700 hotels with over 600,000 rooms
                                                     October 2007

                                                    $5,400,000,000        ~ $1,800,000,000* (4)       -66.7%
Stuyvesant Town/PC Village
11,000-unit housing complex, New York                October 2006            February 2010
          The Landscape of Distressed Opportunities
          September 2010




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$7,000
                                        CRE Total Value               CRE Debt

$6,000


$5,000


$4,000


$3,000


$2,000


$1,000


     $0
             1998       1999       2000       2001    2002   2003   2004   2005   2006   2007   2008   2009   2010
                                         The Landscape of Distressed Opportunities
                                         September 2010




                                  $7
                                              $6.5TN
                                                                                                                                  Of the $1.6TN of
                                  $6                                                                                              new equity potentially
Aggregate Value of US CRE ($Tn)


                                                                    -41% (1)                                                      required, less than
                                                                                            -45% (2)                              $200BN has been
                                  $5
                                                  3.8                                                                             raised or is in the
                                                                           $3.8TN                                                 process of being
                                  $4                                                                                   $3.6TN
                                                                                                 $3.6TN                           raised
                                                                                                                 2.3
                                  $3
                                                                                      4.2                                2.0
                                                                               3.7                 3.6
                                  $2
                                                  2.7                                                                               Debt

                                                                                                                                    Equity
                                  $1                                                                             1.9
                                                                                                                         1.6
                                                                                                                                    Unsupported Debt
                                                                                     0.2                 (0.1)
                                  $0                                                                                                New Debt
                                                Peak                Price Correction         SG Expected         Proforma Recap
                                               Valuation                To Date             Price Correction        at 55% LTV      New Equity
                                  ($1)
                                              2007                      4/30/2010               2010-2014          2010-2014
The Landscape of Distressed Opportunities
September 2010




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                                                               Upcoming CRE Debt Maturities (Notional)

                                      CMBS Fixed Rate     CMBS Floating Rate    Insurance Company   Bank/Thrift    Construction   Other

                                     450

                                     400
    Annual Maturities ($ Billions)




                                     350

                                     300

                                     250

                                     200

                                     150

                                     100

                                     50

                                      0
                                            2009        2010     2011    2012      2013     2014      2015        2016    2017      2018
M                        M              M
 ar                       ar             ar
    -8                       -8             -8




                                   10
                                                  10
                                                  12
                                                  14
                                                  16
                                                  18




                                    0
                                    2
                                    4
                                    6
                                    8
                                                   0
                                                   2
                                                   4
                                                   6
                                                   8
                               8              8




           0
          10
               20
               30
                    40
                    50
      8                  M              M
M                         ar             ar
 ar                          -8             -8
    -8                         9              9
      9                  M              M
M                         ar             ar
 ar                          -9
    -9                                      -9
      0                        0              0
M                        M              M
 ar                       ar             ar
    -9                       -9             -9
      1                        1              1
M                        M              M
                                                       +




 ar                       ar             ar
    -9                       -9             -9
      2                        2              2
M                        M              M
 ar                       ar             ar
    -9                       -9             -9
      3                        3              3
M                        M              M
 ar                       ar             ar
    -9                       -9             -9
      4                        4              4
M                        M              M
 ar                       ar             ar
    -9                       -9             -9
      5                        5              5
M                        M              M
                          ar
                                                           September 2010




 ar                          -9          ar
    -9                         6            -9
      6                  M                    6
M                         ar            M
 ar                          -9          ar
    -9                         7            -9
      7                  M                    7
M                         ar            M
 ar                          -9          ar
    -9                         8            -9
      8                  M                    8
M                         ar            M
 ar                          -9          ar
    -9                         9            -9
      9                  M                    9
M
                                                           The Landscape of Distressed Opportunities




 ar                       ar            M
    -0                       -0          ar
      0                        0            -0
M                        M                    0
 ar                       ar            M
    -0                       -0          ar
      1                        1            -0
                                              1
M                        M              M
 ar                       ar             ar
    -0                       -0
      2                        2            -0
                                              2
M                        M              M
 ar                       ar             ar
    -0                       -0
      3                        3            -0
                                              3
M                        M
 ar                       ar            M
    -0                       -0          ar
      4                        4            -0
M                        M                    4
 ar                       ar            M
    -0                       -0          ar
      5                        5            -0
M                        M                    5
 ar                       ar            M
    -0                       -0          ar
      6                        6            -0
M                        M                    6
 ar                       ar            M
    -0                       -0          ar
      7                        7            -0
M                        M                    7
 ar                       ar            M
    -0                       -0          ar
      8                        8            -0
M                        M                    8
 ar                       ar
                             -0         M
    -0                         9
                                         ar
      9                  M                  -0
M                                             9
 ar                       ar
                             -1         M
    -1                         0
                                         ar
      0                                     -1
                                              0
    The Landscape of Distressed Opportunities
    September 2010




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The Landscape of Distressed Opportunities
September 2010




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The Landscape of Distressed Opportunities
September 2010

								
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