one question of calculating expected return of a bond due in 8hrs

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REVISED JUNE 14, 2016

©2016 by the Kellogg School of Management at Northwestern University. This case was developed with support from the June 2009 graduates of the Executive MBA Program (EMP-73). This case was prepared by Professor Craig Furfine with assistance from Mike Fishbein ’12. Cases are developed solely as the basis for class discussion. Cases are not intended to serve as endorsements, sources of primary data, or illustrations of effective or ineffective management. To order copies or request permission to reproduce materials, call 800-545-7685 (or 617-783-7600 outside the United States or Canada) or e-mail custserv@hbsp.harvard.edu. No part of this publication may be reproduced, stored in a retrieval system, used in a spreadsheet, or transmitted in any form or by any means—electronic, mechanical, photocopying, recording, or otherwise—without the permission of Kellogg Case Publishing.

CRAIG FURFINE KEL757

The Return of the Loan: Commercial Mortgage Investing after the 2008 Financial Crisis

“Are you sure this isn’t some kind of joke?” Zoe Greenwood was glancing through the offering memorandum for a new commercial mortgage-backed securities (CMBS) deal on April 1, 2010, a time when the opportunities for commercial mortgage investors had been bleak to the point of comical. Scheduled to be issued in the next week or two, the RBSCF 2010-MB1 securities represented the first opportunity to buy CMBS backed by loans to multiple borrowers since credit markets had shut the securitization pipeline in June 2008.

For Greenwood, a vice president at Foundation Investment Advisors (FIA), this new CMBS deal gave her a new investment opportunity to suggest to the firm’s latest client, United Principal Life (UPL). Like many life insurance companies, UPL had remained a passive investor during the recent financial crisis, which meant it had endured significant losses on its commercial mortgage and commercial mortgage bond portfolios. Believing the worst to be over, UPL was looking to allocate more capital to real estate.

Greenwood had planned to recommend an expansion in UPL’s traditional commercial mortgage business, but these new bonds looked intriguing. She sat down and prepared to analyze whether the new CMBS could offer her client a superior risk-return tradeoff compared with making individual mortgage loans.

Zoe Greenwood

Greenwood had developed an interest in commercial real estate at a young age. Growing up surrounded by wide-open spaces along the English River in her hometown of Riverside, Iowa, she had a natural understanding of the potential in land. Her father, Karl, had harnessed some of that potential by successfully developing a series of retail strip malls in nearby Iowa City. After completing her bachelor’s degree at the University of Iowa, Greenwood worked for a number of years as a financial analyst at Koenig Capital, a private real estate investment trust headquartered in St. Louis, where she was in charge of the financial modeling associated with the firm’s portfolio of office buildings.

Her years in St. Louis taught Greenwood two things. First, she really liked baseball; she was inspired as she watched the St. Louis Cardinals win the 2006 World Series after a mediocre season, and she took the lesson that possibilities can be endless if you put your mind to something. Second,

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she discovered that she was more interested in the financing side of commercial real estate than the management side.

To facilitate her career shift, Greenwood decided to go back to school and earn an MBA. She graduated in 2009 from the Kellogg School of Management with majors in real estate and finance. She was thrilled to accept an employment offer from FIA, an investment advisory firm based in Minneapolis. FIA’s client base had originally focused on nonprofits such as foundations, endowments, municipalities, and charities, but the firm had begun advising mid-size insurance companies and even a few private high-net-worth clients.

FIA believed in a holistic approach to its advisory work and designed investment recommendations tailored specifically to the needs of the individual client. However, because wealth preservation was important to most of its clients, FIA tended to recommend substantial portfolio allocations to fixed-income products. Beyond government bonds, FIA not only had the expertise to recommend investments in corporate and municipal bonds and residential and commercial mortgage-backed securities, but it also had relationships that would facilitate its clients making direct commercial real estate loans.

United Principal Life

United Principal Life was a mid-size life insurance company that primarily offered whole life policies to its customers, but had recently started adding term insurance, annuities, and other financial products to its mix. As of the end of the first quarter of 2010, its assets totaled $452 million, primarily allocated to a variety of fixed-income instruments as was typical in the life insurance industry (Exhibit 1).

Greenwood had met UPL’s managing director of investment strategy, Benjamin Pegg, at a recent conference sponsored by the National Association of Insurance Commissioners. The two quickly realized the potential for FIA to be of use to UPL. As a first step, Pegg agreed to hire FIA for the limited purpose of having Greenwood suggest how best to increase its holdings of real estate debt. In particular, UPL was looking at how to invest the proceeds from a recent maturing of $5.8 million of treasury bonds. UPL was not interested in owning real estate outright—it was too small to acquire institutional-quality commercial property and it had made the strategic decision to not become a limited partner in real estate private equity funds.

Greenwood understood this to be a test both of her analytical capabilities and her real estate expertise. If sufficiently impressed with her analysis, UPL likely would turn to FIA for a more thorough review of its portfolio. For now, however, UPL simply wanted real estate exposure and had shared with FIA its investment policy (Exhibit 2).

In follow-up conversations with Pegg, Greenwood understood that UPL’s mortgage loan portfolio was currently invested in a portfolio of sixty-two mortgage loans. These loans had a typical size of between $2 and $3 million and were diversified geographically as well as across property types. Greenwood noted that UPL had experience investing in CMBS, with investment- grade bonds in the portfolio spread across fourteen different securitizations brought to market between 2005 and 2007. To support these activities, UPL had a dedicated team of six real estate financial professionals who had the knowledge and experience to make both mortgage and mortgage bond investments.

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The Market for Commercial Mortgage Credit

Commercial mortgage credit was provided either by institutions that held those mortgages on their balance sheets or by those that would originate loans with the intention of using the loans as collateral for the issuance of CMBS. Life insurance companies liked lending against commercial property (e.g., office buildings, retail establishments, industrial properties, apartment buildings, and other specialized real estate such as hotels, medical buildings and hospitals, or storage facilities). Such properties generated the cash flow necessary to repay the mortgage loan by collecting rent from tenants. Not only were commercial mortgages implicitly backed by contracted cash flows, but such loans also had features that made them attractive to insurance companies looking to match the maturities of their assets to the maturities of their liabilities. Because commercial mortgage loans typically forbid loan prepayments, either through outright contractual bans, high prepayment penalties, or yield maintenance or defeasance requirements,1 insurance companies could be reasonably certain that loan maturities could be chosen to match the timing of their expected life insurance claims.

Issuers of CMBS typically amass a pool of commercial mortgage loans—either by originating the loans themselves or by acquiring them from other loan originators—which then serves as collateral for the CMBS. The cash flows promised to the CMBS derive from the interest and principal repayments promised by the pool of underlying commercial mortgages. Realized cash flows on the CMBS, of course, depend on the performance of the underlying loans in the pool.

With restrictions on prepayment on the underlying loans, CMBS deal structuring largely focuses on addressing the allocation of default risk. Default risk on the underlying pool is typically reallocated to CMBS through a sequential ordering of individual bonds. Within a typical deal structure, underwriters create three classes of securities, or tranches. The securities belonging to the largest class are the most senior, attract a Aaa bond rating, and are typically marketed to financial institutions and money managers as an alternative to corporate bonds. At the other end of the credit spectrum is the below-investment grade tranche, commonly referred to as the B-piece. These bonds are sold to high-yield investors who have the commercial real estate expertise to understand the risks inherent in the pool of underlying loans. In exchange for buying the riskiest tranche of the securitization structure, the B-piece investor typically controls the workout of loans that become troubled over the life of the pool.2 A failure of an underwriter to find a willing B-piece investor typically dooms the securitization, and therefore pools are assembled and tranched in a way that such investors are willing to take part. Between the institutional investors looking for fixed-income securities and the commercial real estate experts who sought high yields in exchange for careful underwriting and analysis is typically a set of mezzanine investors, who were a cross between the investors at either end of the capital structure (Exhibit 3).

Greenwood had left Koenig Capital to attend Kellogg just as the first signs of trouble in real estate markets were appearing. At Koenig, she had first-hand experience watching the tremendous growth in commercial real estate lending in the years immediately preceding the financial crisis (Exhibit 4). Commercial mortgages held by banks rose by nearly $800 billion between mid-2004 and late 2008. Similarly, the amount of outstanding CMBS doubled from $400 billion to $800 billion between mid-2004 and mid-2007. The tremendous growth of commercial mortgage debt

1 Defeasance requires a borrower seeking to prepay a securitized loan to place treasury securities into the pool in an amount that would generate the originally promised principal and interest payments. 2 Technically, the pooling and servicing agreement of the securitization would typically grant the “controlling class,” or the security holder in the first-loss position, the right to appoint the special servicer, the institution that controls the workout process.

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was a result of an increased demand fueled by an increase in commercial property prices that was, in part, accommodated by looser underwriting standards by commercial real estate lenders.

The decline in commercial property prices and the tightening of commercial mortgage underwriting standards since late 2007 accompanied a rapid increase in the default rates on previously issued commercial mortgage loans (Exhibit 5). As a result, the primary market for new CMBS all but disappeared in 2008 and 2009 and balance sheet lenders retrenched.

Mortgage Lending Opportunities

FIA had established contacts throughout the commercial real estate finance industry, and as a result, Greenwood felt confident that it could place UPL’s $5.8 million by directly lending to property owners. With the banking industry still in retrenchment, most of available capital targeting real estate debt was focused on the highest-quality property in large markets. The size of UPL’s investment would require it to focus on the underserved Class-B and Class-C properties and/or secondary and tertiary markets. By making two to three loans, Greenwood was confident that within three months she could lend UPL’s $5.8 million secured against commercial real estate collateral. As part of her responsibilities, she was in constant communication with mortgage brokers and had a good sense where the lending market was at present (Exhibit 6). An investment of this kind would require the solicitation of loan applications, property-level underwriting, and the potential to manage a debt renegotiation if the borrower did not repay what was promised. Such was mortgage lending, however, and UPL’s significant balance sheet lending experience would be useful.

The pending offering of CMBS offered Greenwood an alternative approach to acquiring exposure to commercial real estate debt.

CMBS 2.0

As Greenwood read through the offering documents, it became clear almost immediately that the bonds being offered by RBSCF 2010-MB1 were fundamentally different than CMBS bonds sold prior to the crisis.

“I suppose that is why they are calling this CMBS 2.0,” she mused to herself. The most notable difference between this offering and those prior to the downturn was that there were no bonds rated below investment grade, which avoided the need for the lead underwriter, The Royal Bank of Scotland (RBS), to find a B-piece buyer (Exhibit 7). The second obvious difference was that the loan pool consisted of only six loans, with a total outstanding mortgage balance of just under $310 million. Greenwood’s instinct told her that the small loan pool might lack the diversification of earlier deals, although the small number of loans meant that a complete underwriting of the pool’s cash flows was feasible.

Later in the week, Greenwood participated in the investor conference call organized by RBS. She was somewhat surprised that more than one hundred different firms were on the call, but it was hard to determine whether this represented true interest in the bonds or whether most of the participants were real estate professionals simply curious about how new commercial mortgages were being underwritten post-crisis. Questions on the call tended to focus on the assets and loan

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characteristics rather than on bond specifics, and based on her familiarity with commercial mortgage underwriting prior to the crisis, Greenwood realized that there was only so much one could learn from underwritten loan-to-value (LTV), debt service coverage ratios (DSCR),3 and debt yields.4 This made her pause and think back to her real estate finance professor, who often cautioned, “Skilled financial analysts can make a spreadsheet justify anything—so think carefully about your assumptions.” If she planned to recommend an investment in these bonds, she would have to look at the underlying leases, tenants, and economic conditions, among other things. Although the deal documents were extensive, after a few hours Greenwood was able to organize what she thought would be the most relevant information underlying each of the six loans in the deal (Exhibit 8 through Exhibit 13). This information captured details on the loans, properties, leases, tenants, and financials, both historical and underwritten.

Recommendation

UPL was expecting Greenwood’s recommendation very soon. She needed to decide whether to recommend individual mortgage loans or CMBS.

Making individual mortgage loans generated a set of promised cash flows in exchange for a fixed investment. In that way, they might be expected to have yields comparable to that of bonds (Exhibit 14). The loans had the potential to generate high coupon-based cash flows and higher expected returns, but only because they were typically higher risk. The typical commercial mortgage was often no better than a Ba-rated investment. On the other hand, the bonds in the CMBS offering allowed UPL to target a particular level of risk, and all of the bonds were investment grade. This suggested that loss rates over the five-year investment period would be less than those in a direct mortgage portfolio (Exhibit 15).

However, it was impossible to know what return would be realized from a bond investment because the prices on the bonds were not yet known. Although it was true that Aaa-rated bonds typically sold at par, the lower-rated tranches would certainly be sold at a discount. If she were to advocate the purchase of any of the lower-rated CMBS, Greenwood would have to determine the price at which the bonds would yield a risk-adjusted return superior to traditional lending.

3 The DSCR measures the ratio of the income generated by the property (through rents collected, etc.) to the debt service required by the loan. Thus, higher values of DSCR, all else being equal, imply a safer loan. 4 Debt yields express the ratio of the underlying property income (NOI) divided by the outstanding first mortgage balance.

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Exhibit 1: Consolidated Balance Sheet of United Principal Life ($ in thousands)

Cash, cash equivalents, and short-term securities 40,195

Fixed-income securities 224,820

U.S. Treasuries 37,264

Corporate bonds 160,978

RMBS 27,362

CMBS 17,216

Equity securities 20,392

Mortgages secured by income-producing property 123,685

Policy loans 15,561

Other assets 9,158

Total assets 451,811

Insurance contract liabilities 400,382

Other liabilities 19,350

Equity 32,079

Total liabilities and equity 451,811

Note: As of December 31, 2009.

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Exhibit 2: Investment Policy Statement of United Principal Life (abridged)

S E C T I O N I I I : B O N D I N V E S T I N G

Our strategy is to create a Fixed Income Investment Program to achieve the following three objectives: (a) To reduce the risk of the overall investment portfolio because bonds have lower risk than other major asset classes, (b) to earn an annualized net (after fees and expenses) rate of return that exceeds the Barclays Capital U.S. Universal Bond Index over rolling five- to seven-year periods by 10–20 basis points, with expected tracking error of 0.5 percent to 1 percent, (c) to serve as a source of liquidity for making claims payments and for rebalancing purposes.

Investments in the FIIP may include all sectors of the fixed-income market included in the Barclays Capital U.S. Aggregate Bond Index—a broad measure of the U.S. dollar-denominated, investment-grade, taxable bond market. Also permitted are other investment-grade sectors such as municipal bonds, collateralized mortgage obligations (CMOs) such as RMBS and CMBS, and Rule 144A securities.

FIIP investments are to be diversified so that no more than 15 percent is invested in one industry (does not apply to U.S. government securities). No more than a maximum of 5 percent of the FIIP may be invested in securities of any one corporation.

Securities issued under Rule 144A (nonregistered debt) are limited to 20 percent of the market value of the FIIP portfolio. Private placement securities are limited to 5 percent of the market value of the portfolio.

S E C T I O N V I : D I R E C T M O R T G A G E I N V E S T I N G

Our strategy is to create a Mortgage Investment Program to generate a diversified portfolio of high-quality mortgage investments secured by income-producing property. The returns on these investments are expected to compare favorably to those of alternative fixed-income investments. The MIP shall have a “core” risk/return orientation and, therefore, the program will target loan investments that (1) have creditworthy borrowers and (2) mortgages secured by real property. The primary strategy of the MIP is to make loan originations that are underwritten using the standard loan due diligence process so risks are identified, evaluated, and priced accordingly. Risks may include borrower credit, tenancy, lease-up, rollover, location, property type, market, submarket, and transaction structure. Term, amortization, and rollover risk will be structured to maximize the probability of exit at loan maturity. Additionally, mortgage loans should be structured in an effort to provide limited principal risk and significant call protection. In particular, mortgage loans will be locked to prepayment for a portion of the term then open to prepayment with the payment of a fee, the greater of 1 percent of the loan balance or UST based yield maintenance at like-term UST rates plus 50 basis points.

Preservation of capital is an important objective of the Funds’ Mortgage Participation Program. As such, high-quality, fixed-rate loans generally are preferred. No participating loans, mezzanine debt, or second mortgage loans are permitted under this policy.

Moderate leasing risk is acceptable. Substantial preleasing will be required on forward commitment loans. Loans on operating properties generally require higher, stabilized levels of occupancy of at least 85 percent.

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Exhibit 2 (continued)

MIP investments should provide reasonable diversification by geographic location.

MIP investments are subject to a minimum debt service coverage ratio of 1.25:1.0, a maximum LTV of 70 percent based on the underwritten valuation, and supported by a satisfactory appraisal prepared by an approved MAI.

Loan coupon rates, generally speaking, should generate spreads of 200–400 basis points over common-maturity UST. Given current conditions, spreads are expected to approach the upper boundary of the range.

Mortgage loans will be nonrecourse, except for standard carve-out provisions, such as fraud, misrepresentation, misapplication of funds, and environmental issues, guaranteed by acceptable credits.

All lending will be subject to an independent appraisal as well as engineering and environmental reviews.

Exhibit 3: The CMBS Process

Source: Commercial Real Estate Finance Council.

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200

400

600

800

1000

1200

1400

1600

1800

2000

2 0 0 4 ‐0 6

2 0 0 4 ‐0 9

2 0 0 4 ‐1 2

2 0 0 5 ‐0 3

2 0 0 5 ‐0 6

2 0 0 5 ‐0 9

2 0 0 5 ‐1 2

2 0 0 6 ‐0 3

2 0 0 6 ‐0 6

2 0 0 6 ‐0 9

2 0 0 6 ‐1 2

2 0 0 7 ‐0 3

2 0 0 7 ‐0 6

2 0 0 7 ‐0 9

2 0 0 7 ‐1 2

2 0 0 8 ‐0 3

2 0 0 8 ‐0 6

2 0 0 8 ‐0 9

2 0 0 8 ‐1 2

2 0 0 9 ‐0 3

2 0 0 9 ‐0 6

2 0 0 9 ‐0 9

2 0 0 9 ‐1 2

2 0 1 0 ‐0 3

Commercial mortgages held by banks Securitized commercial mortgages

Exhibit 4: Primary Sources of Commercial Mortgage Credit ($ in billions)

Source: Federal Reserve.

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Mar‐04 Mar‐05 Mar‐06 Mar‐07 Mar‐08 Mar‐09 Mar‐10

Commercial banks CMBS

Exhibit 5: Default Rates of Commercial Mortgage Loans

Source: Federal Reserve, Commercial Real Estate Finance Council.

Exhibit 6: Summary of Prevailing Commercial Mortgage Lending Terms Collateral: Stabilized commercial properties

Min. amount: $1 million

Max. amount: $5 million

Loan term: 5–10 years

Maximum amortization: 30 years

Maximum LTV: 70%

Minimum debt service coverage: 1.25x

Minimum debt yield: 11%–14%

Coupon: 6.5–7.5% for 50–59% LTV; 7.5–8.5% for 60–69% LTV

Origination fee: 100 basis points

Other fees: $15,000 application fee plus lender expenses

Assumability: Subject to lender approval and assumption fee

Prepayment: After 24th month, with yield maintenance

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Exhibit 7: RBSCF 2010-MB1 Deal Structure

Property types: Retail (66.3%), office (32.7%), and industrial (1%).

Concentrations: Texas (37.8%) and New York (23.4%).

Loan contributors: RBS (76.6%) and Natixis (23.4%).

Largest loans: A $77.7 million loan to Macerich on the 1 million-sf South Plains Mall in Lubbock, Texas; a $72.6 million loan to Harbor Group Investors on the 1.1 million-sf office building at Four New York Plaza in New York; a $64.8 million loan to Cole Credit Property on fifty-three single-tenant retail properties, encompassing 827,000 sf, in 20 states; a $35.6 million loan to Cole Credit Property on twenty-one single-tenant retail properties and an industrial/flex property, encompassing 599,000 sf, in eleven states; a $30.3 million loan to a Developers Diversified Realty partnership on three shopping centers, encompassing 381,000 sf, in three states; and a $28.7 million loan to Rao Yalamanchili on the 750,000-sf Bank of America Plaza office building in St. Louis.

Notes: The first multi-borrower CMBS transaction since June 2008.

Amount: $309.7 million

Seller/borrowers: RBS, Natixis

Lead managers: RBS, Natixis

Co-managers: Bank of America, Barclays, Citigroup

Master servicer: Wells Fargo

Special servicer: Wells Fargo

Trustee: Citigroup

Certificate Admin.: Wells Fargo

Offering type: Rule 144A

Class ($ in

millions) Rating

(Moody’s) Rating

(Realpoint)

Initial Pass- Through

Rate Subordination Maturity

Date

Average Life

(Years) Note Type

A-1 20 Aaa AAA 2.36700% 22.25 4/15/24 2.49 Fixed

A-2 220.791 Aaa AAA 3.68600% 22.25 4/15/24 4.93 Fixed

B 18.575 Aa2 AA 4.63049% 16.25 4/15/24 4.98 Fixed

C 20.9 Aa2 A 4.66349% 9.5 4/15/24 4.98 Fixed

D 29.434 Baa3 BBB- 4.66349% 0 4/15/24 4.98 Fixed

X(IO) 259.366 Aaa AAA 1.01156% 4/15/24 4.41 Fixed

Source: Commercial Mortgage Alert, offering circular.

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Loan Information

Originator: The Royal Bank of Scotland plc

Cut-Off Date Securitized Principal Balance ($/NRA): $77,700,000 ($75.98 psf)

Loan Purpose: Refinance

First Payment Date: May 11, 2010

Maturity Date: April 11, 2015

Sponsor(s): The Macerich Partnership, L.P.

Mortgage Asset Loan Interest Rate:

4.27000000%

Interest Calculation: Actual/360

Amortization Term: 360 months(1)

Call Protection: Prepayment locked out through and including the Due Date in April 2011; Prepayment Charge equal to the greater of yield maintenance or 1% from the Due Date in May 2011 through and including Due Date in October 2014; open from th e Due Date in November 2014 through the Maturity Date.

Additional Debt

Mezzanine: $27,300,000

Up-Front Reserves: Deferred Maintenance: Yes(2)

Tax and Insurance: Yes(3)

TI/LC: Yes(4)

Capital Expenditures: Yes(5)

Ongoing Reserves: Tax and Insurance: Yes(3)

TI/LC Yes(4)

Capital Expenditures: Yes(5)

Excess Cash Flow: Springing(6)

Lockbox: Hard, Springing Cash Management (6)

Property Information

Single Asset/Portfolio: Single Asset

Property Type: Retail – Super Regional Mall

Location: Lubbock, Texas

Year Built/Renovated: 1972 / 2009

NRA: 1,022,692

Occupancy (as of): 84.8% (02/28/2010)

U/W Occupancy: 89.6%

Fee or Leasehold: Fee Simple

Major Tenants

Ratings (S/M/F) NRA

% of Total NRA

Lease Expiration

Dillard’s JC Penney Beall’s

B-/B3/BB- BB/Ba1/BBB -

-/-/-

257,569 218,518

40,000

25.2% 21.4% 3.9%

01/31/2012 07/31/2012 01/31/2017

Property Management: Macerich Property Management Company LLC

2007 NOI / DSCR: $12,851,347 2.80x

2008 NOI / DSCR: $12,713,741 2.77x

2009 NOI / DSCR: $13,163,495 2.86x

U/W Net Operating Income: $13,015,058

U/W Net Cash Flow: $12,442,443

Appraised Value: $158,000,000

Appraisal Date: March 1, 2010

Cut-Off Date Securitized Principal Balance

Cut-Off Date Whole Loan

Balance Cut-Off Date

Total Debt

Loan per NRA: $75.98 $75.98 $102.67

LTV: 49.2% 49.2% 66.5%

Debt Yield (7): 16.9% 16.9% 12.5%

U/W NOI DSCR (8): 2.83x 2.83x 1.67x

U/W NCF DSCR (8): 2.71x 2.71x 1.60x

Exhibit 8: South Plains Mall

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Lease Expiration Schedule

Year of Expiration Number of

Leases Expiring Expiring SF % of Total NRA Cumulative Expiring SF

Cumulative % of Total NRA

2010 ................................. 69 77,149 7.5% 77,149 7.5% 2011 ................................. 23 30,098 2.9 107,247 10.5% 2012 ................................. 15 511,077 50.0 618,324 60.5% 2013 ................................. 9 11,703 1.1 630,027 61.6% 2014 ................................. 10 24,422 2.4 654,449 64.0% 2015 ................................. 11 44,395 4.3 698,844 68.3% Thereafter ......................... 34 168,848 16.5 867,692 84.8% Vacant .............................. NAP 155,000 15.2 1,022,692 100.0% Total ................................ 171 1,022,692 100.0% 1,022,692 100.0%

Major Tenant Summary (Collateral Tenants)

Tenant

Ratings(1)

Moody’s/S&P/ Fitch SF

% of Property NRA(2)

Underwritten Rent PSF

Underwritten Annual Base

Rent

% of Underwritten

Rent(2) Lease Expiration Top 5 Tenants Dillard’s .......................... B3/B-/BB- 257,569 25.2% $2.15 $553,064 5.0% January 31, 2012 JC Penney ....................... Ba1/BB/BBB - 218,518 21.4 $1.85 404,945 3.7 July 31, 2012 Beall’s ............................. - / - / - 40,000 3.9 $3.90 156,060 1.4 January 31, 2017 Barnes & Noble

Booksellers ................ - / - / - 34,500 3.4 $16.96 585,000 5.3 February 1, 2020 Forever 21 ....................... - / - / - 15,419 1.5 $16.47 253,905 2.3 February 28, 2018 Total Top 5 Tenants .. 566,006 55.3% $3.45 $1,952,974 17.7%

Non-Top 5 Tenants ...... 301,686 29.5% $30.16 $9,099,766 82.3%

Occupied Total ............. 867,692 84.8% $12.74 $11,052,740 100.0%

Vacant Space................. 155,000 15.2%

Property Total .............. 1,022,692 100.0%

(1) Certain ratings are those of the pa rent company whether or not the parent company guarantees the lease. (2) May not add to 100% due to rounding.

Exhibit 8 (continued)

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Exhibit 8 (continued)

The Loan. This Whole Loan (the “South Plains Mall Whole Loan”) was originated by The Royal Bank of Scotland plc on March 31, 2010. The South Plains Mall Whole Loan is secured by a first priority mortgage and deed of trust (the “South Plains Mall Mortgage”) encumbering the South Plains Mall Borrower’s fee interest in one (1) property, located in Lubbock, Texas (the “South Plains Mall Property” ). The South Plains Mall Whole Loan matures on April 11, 2015.

The Borrower. The borrower under the South Plains Mall Whole Loan (the “South Plains Mall Borrower” ) is a special purpose entity, that is (directly or indirectly) owned by separate entities, which are ultimately controlled by The Macerich Partnership, L.P., the sponsor of the South Plains Mall Whole Loan. The Macerich Company operates as a real estate investment trust (REIT) in the United States that owns and operates substantially all of its assets through by The Macerich Partnership L.P. As of December 31, 2009, the company and its affiliates owned or had ownership interests in 72 regional shopping centers and 14 community shopping centers totaling approximately 75 million square feet. The Macerich Partnership L.P. will serve as the non-recourse carve-out guarantor for the South Plains Mall Whole loan.

The Property. The South Plains Mall Property is a two-story, 1,022,692 square foot, Class B+, super regional mall located in Lubbock, Texas which was constructed in 1972 and upgraded since acquisition by affiliates of the sponsor, including over $7,000,000 of capital investment in 2009 (the majority of which was attributable to the new Barnes & Noble store). As of February 28, 2010, the South Plains Mall Property is approximately 84.8% leased (92.2% excluding the dark Mervyn’s building). Tenants include four anchors comprised of JC Penney, Dillard’s Store for Men and Children, Dillard’s Store for Women and Beall’s (totaling approximately 516,087 square feet). The South Plains Mall Property currently has more than 155 in-line and specialty tenants, kiosk, and temporary tenants (totaling approximately 351,605 square feet). Additionally, Sears anchors the west side of the South Plains Mall Property with a company-owned store, and Home Depot has an outparcel store that is also company-owned, neither of which serve as collateral for the South Plains Mall Whole Loan. At closing, the collateral included a vacant Mervyn’s store. The South Plains Mall Property was acquired by The Macerich Company in 1998 at a cost of $115.8 million. Proceeds of the South Plains Mall Whole Loan will be used to repay an existing first mortgage loan in the amount of $51.0 million with excess proceeds applied to the reduction of The Macerich Company’s unsecured credit facilities and the return of equity to investors. The Macerich Company’s cumulative cost basis in the South Plains Mall Property is $134.0 million and its depreciated basis as of year end 2008 was $99.0 million. The South Plains Mall Property is currently undergoing a $1.82 million renovation to the food court area to update it to a more current layout, tenant mix and suite size including adding new permanent national tenants. The Macerich Company has reportedly invested over $11.0 million in renovation to the South Plains Mall Property over the last 3 years. The lender escrowed approximately $3,000,000 in cash escrows for roof replacement to be carried out over the next 1 to 4 years.

Property Management. The South Plains Mall Property is managed by Macerich Property Management Company LLC (the “South Plains Mall Manager”), an affiliate of the South Plains Mall Borrower, pursuant to a management agreement (the “South Plains Mall Management Agreement”). Under the terms of the related loan documents, all fees payable to the South Plains Mall Manager under the South Plains Mall Management Agreement are subordinate to the South Plains Mall Whole Loan. The South Plains Mall Management Agreement has no finite term but is, in addition to other termination events, cancellable upon 30 days’ notice. The lender has the

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Exhibit 8 (continued)

right to cause the South Plains Mall Borrower to terminate the South Plains Mall Manager upon the occurrence of certain events, including: (a) the gross negligence, intentional malfeasance or willful misconduct of the South Plains Mall Manager or any event of default by the South Plains Mall Manager under the South Plains Mall Management Agreement; (b) the occurrence and continuation of an event of default under the South Plains Mall Whole Loan, or (c) upon the DSCR for the South Plains Mall Property falling below 1.00x (unless such decline is due to “market conditions”). The South Plains Mall Borrower has the right, without consent or approval from the lender, to cause the South Plains Mall Management Agreement to be assigned by the South Plains Mall Manager to an affiliate of the South Plains Mall Borrower, subject to satisfaction of certain conditions in the loan documents.

Appraisal. In connection with the origination of the South Plains Mall Whole Loan, Cushman & Wakefield performed an appraisal of the South Plains Mall Property on behalf of the Originator. In the resulting narrative report, and subject to the assumptions, limiting conditions, certifications and definitions contained therein, the appraiser concluded that the “as-is” leased-fee value for the South Plains Mall Property as of March 1, 2010 was $158,000,000. The appraisal states that it was prepared in accordance with the Uniform Standards of Professional Appraisal Practice and FIRREA.

Payment Terms; Interest Rate. The South Plains Mall Whole Loan amortizes over a 30-year term. The Interest Rate on the South Plains Mall Whole Loan is calculated on an Actual/360 Basis and is equal to 4.27000000% per annum. The Due Date under the South Plains Mall Whole Loan is the 11th day of each month, or if such day is not a Business Day, the immediately preceding Business Day.

Mezzanine Debt: A $27,300,000 mezzanine loan (the “South Plains Mall Mezzanine Loan”) has been made to Macerich South Plains Mezz LP secured by a pledge of the related mezzanine borrower’s direct and indirect interest in the South Plains Mall Borrower. In the event that the mezzanine borrower prepays the South Plains Mall Mezzanine Loan as a result of the South Plains Mall Mezzanine Lender withholding its consent to certain transfers of the direct and interest in the South Plains Mall Borrower or mezzanine borrower, an affiliate of the South Plains Mall Borrower may incur a replacement mezzanine loan on terms substantially similar to the existing mezzanine loan, provided a Rating Agency Confirmation is obtained for such replacement mezzanine loan.

Terms of South Plains Mall Mezzanine Loan. The South Plains Mall Mezzanine Loan matures on the same maturity date as the South Plains Mall Whole Loan. The South Plains Mall Mezzanine Loan requires the South Plains Mall Mezzanine Borrower to make monthly payments of interest during its term, and the applicable amortization payment then due, if any.

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Loan Information

Originator: Natixis Real Estate Capital Inc.

Cut-Off Date Securitized Principal Balance ($/NRA): $72,600,000 ($68.12 psf)

Loan Purpose: Acquisition

First Payment Date: March 9, 2010

Maturity Date: February 9, 2015

Sponsor: Harbor Group Investors

Mortgage Asset Interest Rate: 6.18068182%

Interest Calculation: Actual/360

Amortization Term: Interest Only

Call Protection: Prepayment locked out until 2 years after the Closing Date; U.S. Treasury defeasance following 2 years after the Closing Date through and including the Due Date in November 2014; open from the Due Date in December 2014 through the Maturity Date (1)

Additional Debt: B-Note Principal Balance B-Note Interest Rate

$4,400,000 10.5%

Up-Front Reserves: Tax and Insurance: Yes(2)

TI/LC: Yes(3)

Capital Expenditures: Yes(4)

Ongoing Reserves: Tax and Insurance: Yes(2)

Excess Cash Flow: Springing(5)

Lockbox: Hard, In-Place Cash Management

Property Information

Single Asset/Portfolio: Single Asset

Property Type: Office - CBD

Location: New York, New York

Year Built: 1968

NRA: 1,065,796(6)

Occupancy (as of): 74.9% (4/01/2010)

U/W Occupancy: 74.9% (7)

Fee or Leasehold: Fee

Major Tenants Ratings (S/M/F) NRA

% of Total NRA

Lease Expiration

JPMorgan Chase Bank, National Association

A+/Aa3/AA- 797,949 74.9% 01/31/2025

Property Management: Harbor Group Management Co.

2007 NOI/DSCR: NAV(8) NAV(8)

2008 NOI/DSCR: NAV(8) NAV(8)

2009 NOI/DSCR: NAV(8) NAV(8)

U/W Net Operating Income: $7,612,930(10)

U/W Net Cash Flow: $7,346,481(10)

Appraised Value: $110,000,000

Appraisal Date: January 1, 2010

Cut-Off Date Securitized Principal Balance

Cut-Off Date Whole Loan

Balance Cut-Off Date

Total Debt

Loan per NRA: $68.12 $72.25 $72.25

LTV: 66.0% 70.0% 70.0%

Debt Yield(9): 10.5% 9.9% 9.9%

U/W NOI DSCR (10): 1.67x 1.52x 1.52x

U/W NCF DSCR (10): 1.61x 1.46x 1.46x

Lease Expiration Schedule

Year of Expiration Number of

Leases Expiring Expiring SF % of Total NRA Cumulative Expiring SF

Cumulative % of Total NRA

2025 .................................. 1 797,949 74.9% 797,949 74.9% Vacant .............................. NAP 267,847 25.1 1,065,796(1) 100.00% Total ................................ 1 1,065,796(1) 100.0% 1,065,796(1) 100.00%

Exhibit 9: Four New York Plaza

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Major Tenant Summary (Collateral Tenants)

Tenant Ratings(1)

Moody’s/S&P/Fitch SF

% of Property

NRA Underwritten

Rent PSF

% of Underwritten

Rent Lease Expiration

JPMorgan Chase Bank, National Association .......... Aa3/A+/AA- 797,949 74.9% $28.01 100.00% January 31, 2025

Occupied Total....................... 797,949 74.9% $28.01 100.00% Vacant Space ......................... 267,847 25.1% Property Total ...................... 1,065,796(2) 100.0%

(1) Certain ratings are those of the parent company whether or not the parent company guarantees the lease. (2) Net Rentable Area. Total GLA at the Four New York Plaza Property, including 19,476 square feet of unleasable space, is

1,085,272 square feet.

Summary of Property Financials

In-Place Underwritten Net Cash Flow

Stabilized Underwritten Net

Cash Flow

Occupancy 74.9% 89.9% Effective Gross Income $26,192,091 $31,770,232 Expenses 18,579,161 19,678,860 Net Operating Income $7,612,930 $12,091,372 Underwritten Reserves 266,449 1,425,515 Underwritten Net Cash Flow $7,346,481 $10,665,857

Exhibit 9 (continued)

The Loan. This Whole Loan (the “Four New York Plaza Whole Loan”) was originated by

Natixis Real Estate Capital Inc. on January 11, 2010. The Four New York Plaza Whole Loan is secured by a first priority mortgage (the “Four New York Plaza Mortgage”) encumbering the fee interest in the property, located in New York, New York (the “Four New York Plaza Property”). The Four New York Plaza Whole Loan matures on February 9, 2015.

The Borrower. The borrower under the Four New York Plaza Whole Loan (the “Four New York Plaza Borrower”) is a special purpose entity that is directly owned by separate entities, which are ultimately controlled by Harbor Group Investors, the sponsor of the Four New York Plaza Whole Loan. Harbor Group Investors (“Harbor Group”) is a private real estate investment and management group, whose owners control a portfolio of 57 office, retail, hotel and multifamily properties encompassing more than 8 million square feet of commercial space and more than 11,000 apartment units in the United States and abroad. Harbor Group’s headquarters are located in Norfolk, Virginia and it employs more than 400 professionals in New York, Chicago, London and Tel Aviv. Certain affiliates of the sponsor will serve as the non-recourse carve-out guarantors for the Four New York Plaza Whole Loan.

The Property. Harbor Group purchased the Four New York Plaza Property for $107,000,000 in January 2010. The Four New York Plaza Property is a 1,065,796 square foot office property that was constructed in 1968. The Four New York Plaza Property is a 22-story class-A minus office building located at the south east corner of Water Street and Broad Street. Since 2004, the Four New York Plaza Property has undergone more than $18 million in capital improvements, including a recent $12 million upgrade of the electrical and HVAC infrastructure, completed in

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Exhibit 9 (continued)

November 2009. The Four New York Plaza Property benefits from a state-of-the-art uninterruptible power supply that allows for the installation of reliable datacenters, a highly sought after attribute for financial institutions. Due to this feature, the Four New York Plaza Property was among the few properties that kept running during the 2003 electricity black-out in New York City. The typical floor plates at the Four New York Plaza Property are approximately 48,000 square feet of unobstructed interior space due to the convenient location of the elevators and infrastructure in a side column of the building. JPMorgan Chase Bank, National Association (“JPMorgan”) and its predecessor institutions occupied 100% of the Four New York Plaza Property from completion until the sale to Harbor Group in January 2010. Subsequent to the sale and as of April 1, 2010, the Four New York Plaza Property was approximately 74.9% occupied by JPMorgan.

Property Management. The Four New York Plaza Property is managed by Harbor Group Management Co (the “Four New York Plaza Manager”) pursuant to a management agreement (the “Four New York Plaza Management Agreement”). Under the terms of the related loan documents, all fees payable to the Four New York Plaza Manager under the Four New York Plaza Management Agreement are subordinate to the Four New York Plaza Whole Loan. The lender will have the right to terminate the Four New York Plaza Manager upon the occurrence of certain events, including: (a) the occurrence and continuation of an event of default under the Four New York Plaza Whole Loan, (b) failure, as of the end of any two (2) calendar quarters, of the Four New York Plaza Borrower to maintain a debt service coverage ratio of at least 1.10x, or (c) the occurrence and continuation of an event of default under the Four New York Plaza Management Agreement by the Four New York Plaza Manager.

Appraisal. In connection with the origination of the Four New York Plaza Whole Loan, Cushman & Wakefield, Inc. performed an appraisal of the Four New York Plaza Property on behalf of the originator. In the resulting narrative report, and subject to the assumptions, limiting conditions, certifications and definitions contained in the appraisal, the appraiser concluded that the as-is leased fee value for the Four New York Plaza Property as of January 1, 2010 was $110,000,000. The appraiser also concluded an as-stabilized property value for the Four New York Plaza Property as of January 1, 2014 of $160,000,000. The appraisal states that it was prepared in accordance with the Uniform Standards of Professional Appraisal Practice and FIRREA.

Payment Terms; Interest Rate. The Four New York Plaza Whole Loan is an Interest Only Loan. The Interest Rate on the Four New York Plaza Whole Loan is calculated on an Actual/360 Basis and is equal to 6.4275% per annum. The Interest Rate on the $72,600,000 Mortgage Asset is calculated on an Actual/360 Basis and is equal to 6.18068182% per annum. The Due Date under the Four New York Plaza Whole Loan is the 9th day of each month, or if such day is not a Business Day, the immediately preceding Business Day.

Subordinate Debt. The Note related to the Four New York Whole Loan is split in to an A-Note, which is the Four New York Plaza Mortgage Asset, and a B-Note, which has a principal balance of $4,400,000.

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Loan Information

Originator: The Royal Bank of Scotland plc

Cut-Off Date Securitized Principal Balance ($/NRA): $35,600,000 ($59.45 psf)

Loan Purpose: Refinance

First Payment Date: May 11, 2010

Maturity Date: April 11, 2015

Sponsor(s): Cole Credit Property Trust, Inc.

Mortgage Asset Interest Rate: 4.23600000%

Interest Calculation: Actual/360

Amortization Term: 360 months(1)

Additional Debt

Mezzanine: $16,025,000

Up-Front Reserves: Deferred Maintenance: Yes(2)

Taxes and Insurance: Yes(3)

Capital Expenditures: Yes(4)

TI/LC: Yes(5)

Ongoing Reserves: Tax and Insurance: Springing(3)

Capital Expendit ures: Yes(4)

TI/LC: Yes(5)

Excess Cash Flow: Springing(6)

Conn’s Tenant Reserve: Springing(7)

Lockbox: Hard, Springing Cash Management (6)

Property Information

Single Asset/Portfolio: Portfolio

Property Type: Retail - Retail/Industrial

Location: Various

Year Built/Renovated: Various / Various

NRA: 598,847

Occupancy (as of): 100.0% (04/01/2010)

U/W Occupancy: 96.1%

Fee or Leasehold: Fee Simple

Major Tenants: See “Tenant Summary” below.

Property Management: Cole Realty Adviso rs, Inc.

2007 NOI/DSCR: $6,428,386 3.06x

2008 NOI/DSCR: $6,388,708 3.05x

2009 NOI/DSCR: $6,482,346 3.09x

U/W Net Operating Income: $6,123,338

U/W Net Cash Flow: $5,734,088

Appraised Value: $72,680,000

Appraisal Date: Various(8)

Cut-Off Date Securitized Principal Balance

Cut-Off Date Whole Loan

Balance Cut-Off Date

Total Debt

Loan per NRA: $59.45 $59.45 $86.21

LTV: 49.0% 49.0% 71.0%

Debt Yield(9): 18.2% 18.2% 12.6%

U/W NOI DSCR (10): 2.92x 2.92x 1.44x

U/W NCF DSCR (10): 2.73x 2.73x 1.35x

Exhibit 10: Cole Credit Property Trust Retail Portfolio I

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Tenant Summary

Property Location

Square Feet of NRA

Year Built

Percent Leased

Appraised Value

Under- written Net Cash Flow

% of Total U/W NCF

Lowe’s Texas City....................... Texas City, TX 132,473 1995 100.0% $9,350,000 $750,599 13.1% Lowe’s Jonesboro ........................ Jonesboro, AR 126,405 1993 100.0% 8,100,000 649,835 11.3 Apria Healthcare Indianapolis ...... Indianapolis, IN 83,610 1994 100.0% 5,940,000 453,430 7.9 Conn’s Austin (W. Anderson) ...... Austin, TX 24,960 2002 100.0% 4,370,000 316,840 5.5 Conn’s Austin (Pecan Park) ......... Cedar Park, TX 24,960 2002 100.0% 4,240,000 307,151 5.4 Best Buy Tupelo .......................... Tupelo, MS 20,045 2005 100.0% 3,700,000 254,172 4.4 Rite Aid Bangor .......................... Bangor, ME 13,100 1998 100.0% 3,700,000 309,753 5.4 CVS Independence ...................... Independence, MO 11,365 2000 100.0% 3,430,000 267,099 4.7 CVS Duncanville......................... Duncanville, TX 11,332 2000 100.0% 3,200,000 225,591 3.9 Rite Aid Philadelphia................... Philadelphia, PA 11,361 1999 100.0% 3,200,000 280,520 4.9 Rite Aid Warren .......................... Warren, OH 11,267 1999 100.0% 3,100,000 265,627 4.6 Walgreens Lawrence ................... Lawrence, KS 12,885 1992 100.0% 2,640,000 202,842 3.5 Walgreens Houston ..................... Houston, TX 12,851 1993 100.0% 2,280,000 164,116 2.9 Walgreens Cahokia...................... Cahokia, IL 13,422 1994 100.0% 2,270,000 178,379 3.1 Conn’s Hurst ............................... Hurst, TX 25,414 2004 100.0% 2,400,000 163,290 2.8 Rite Aid Murfreesboro ................. Murfreesboro, TN 11,200 1998 100.0% 2,450,000 239,090 4.2 Rite Aid Buxton .......................... Buxton, ME 11,180 1998 100.0% 2,100,000 175,904 3.1 Walgreens Cleveland ................... Cleveland, OH 13,380 1994 100.0% 1,950,000 164,545 2.9 Rite Aid Wheelersburg ................ Wheelersburg, OH 11,227 1998 100.0% 1,800,000 154,207 2.7 Sherwin-Williams Angola............ Angola, IN 5,010 2001 100.0% 1,010,000 84,602 1.5 Sherwin-Williams Boardman ....... Boardman, OH 6,000 2003 100.0% 800,000 69,188 1.2 Sherwin-Williams Ashtabula........ Ashtabula, OH 5,400 2003 100.0% 650,000 57,309 1.0 Total/Wtd. Avg. ......................... 598,847 100.0% $72,680,000 $5,734,087 100.0%

Lease Expiration Schedule

Year of Expiration Number of

Leases Expiring Expiring SF % of Total NRA Cumulative Expiring SF

Cumulative % of Total NRA

MTM............................................ 0 0 0.0% 0 0.0% 2010 ............................................. 0 0 0.0 0 0.0% 2011 ............................................. 0 0 0.0 0 0.0% 2012 ............................................. 0 0 0.0 0 0.0% 2013 ............................................. 1 12,885 2.2 12,885 2.2% 2014 ............................................. 6 177,458 29.6 190,343 31.8% 2015 ............................................. 3 221,093 36.9 411,436 68.7% Thereafter ..................................... 12 187,411 31.3 598,847 100.0% Vacant ......................................... NAP 0 0.0 598,847 100.0% Total ............................................ 22 598,847 100.0% 598,847 100.0%

Summary of Property Financials

2007 Year End 2008 Year End 2009 Underwritten

Revenue Annual Base Rent ............................. $6,455,882 $6,477,963 $6,749,303 $6,570,289 Expense Recoveries .......................... (13,436) 26,770 34,762 0 Vacancy/Bad Debt ............................ 0 0 0 (257,570) Other Income .................................... 44,506 666 1,286 0

Effective Gross Income ....................... $6,486,952 $6,505,399 $6,785,351 $6,312,720

Total Expenses .................................... $58,566 $116,691 $303,005 $189,382

Net Operating Income ......................... $6,428,386 $6,388,708 $6,482,346 $6,123,338 Capital Expenditures ......................... 0 0 0 89,827 TI’s & LC’s ...................................... 0 0 0 299,424

Total Capital Items.............................. $0 $0 $0 $389,251

Net Cash Flow .................................... $6,428,386 $6,388,708 $6,482,346 $5,734,087

Exhibit 10 (continued)

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Exhibit 10 (continued)

The Loan. This Whole Loan (the “CCPT Retail Portfolio I Whole Loan”) was originated by The Royal Bank of Scotland plc on April 1, 2010. The CCPT Retail Portfolio I Whole Loan is secured by first priority mortgages (collectively, the “CCPT Retail Portfolio I Mortgage”) encumbering the fee interests in 22 properties, located in 11 states (each, a “CCPT Retail Portfolio I Individual Property” and collectively, the “CCPT Retail Portfolio I Property”). The CCPT Retail Portfolio I Whole Loan matures on April 11, 2015.

The Borrower. The borrowers under the CCPT Retail Portfolio I Whole Loan (the “CCPT Retail Portfolio I Borrower”) are 22 special purpose entities, which are ultimately controlled by Cole Credit Property Trust, Inc. (“CCPT I”), the sponsor of the CCPT Retail Portfolio I Whole Loan. For 30 years, Cole Real Estate Investments (“Cole”), parent company to CCPT I, has partnered with thousands of investors in the ownership of various types of commercial real estate. Since 1979, Cole has introduced over 100 real estate investment programs and manages a portfolio of properties valued at approximately $4.0 million across 45 states and the U.S. Virgin Islands. CCPT I currently maintains a portfolio of 42 fully occupied properties in 19 states with a weighted average remaining lease term of more than ten years. As of December 31, 2009, CCPT I had total stockholders’ equity of $64.0 million and total liquidity of $1.9 million. CCPT I will serve as the non-recourse guarantor for the CCPT Retail Portfolio I Whole Loan.

The Properties. The CCPT Retail Portfolio I Properties consist of twenty-one (21) single-tenant retail properties and one single-tenant industrial property (combined totaling 598,847 square feet) and located in 11 states. The CCPT Retail Portfolio I Properties were acquired by Cole Credit Properties Trust, Inc. between August 2004 and September 2005 and the Sponsor’s current cost basis in the CCPT Retail Portfolio I Properties is $84.2 million, which includes the acquisition costs for the CCPT Retail Portfolio I Properties as well as $318,750 in capital improvements. Proceeds of the CCPT Retail Portfolio I Whole Loan will be used to refinance existing acquisition debt. Cole Credit Properties Trust, Inc. will have $32.6 million of remaining cash equity in the transaction based upon its $84.2 million cost basis of the acquisition of the CCPT Retail Portfolio I Properties. The CCPT Retail Portfolio I Properties were built from 1992 through 2005, are 100% leased to 8 unique tenants. The CCPT Retail Portfolio I Properties are approximately 48% leased to investment-grade rated tenants (Lowe’s, Walgreens, CVS and Sherwin-Williams).

Property Management. The CCPT Retail Portfolio I Property is managed by Cole Realty Advisors, Inc., an Arizona corporation (f/k/a Fund Realty Advisors, Inc.) (the “CCPT Retail Portfolio I Manager”), an affiliate of the sponsor, pursuant to a management agreement (the “CCPT Retail Portfolio I Management Agreement”). Under the terms of the related loan documents, all fees payable to the CCPT Retail Portfolio I Manager under the CCPT Retail Portfolio I Management Agreement in connection with the CCPT Retail Portfolio I Property are subordinate to the CCPT Retail Portfolio I Whole Loan. The CCPT Retail Portfolio I Management Agreement expires on April 6, 2010, with one automatic renewal for another three-year period. The lender will have the right to cause the CCPT Retail Portfolio I Borrower to terminate the CCPT Retail Portfolio I Manager upon the occurrence of certain events, including: (a) the occurrence and continuation of a material default under the CCPT Retail Portfolio I Whole Loan, (b) the CCPT Retail Portfolio I Manager’s gross negligence, malfeasance or willful misconduct, (c) the occurrence and continuation of an event of default under the CCPT Retail Portfolio I Management Agreement, (d) the debt service coverage ratio of the CCPT Retail Portfolio I Property falling to less than 1.10x (unless such fall is due to “market conditions”) or (e) the bankruptcy or insolvency of the CCPT Retail Portfolio I Manager.

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Exhibit 10 (continued)

Appraisal. In connection with the origination of the CCPT Retail Portfolio I Loan, CB Richard Ellis performed appraisals dated between February 12, 2010 to February 20, 2010 of each of the CCPT Retail Portfolio I Properties on behalf of the Originator. In the resulting narrative report, and subject to the assumptions, limiting conditions, certifications and definitions contained therein, the appraiser concluded that the as-is leased fee value for the CCPT Retail Portfolio I Properties was $72,680,000. The appraisal states that it was prepared in accordance with the Uniform Standards of Professional Appraisal Practice and FIRREA.

Payment Terms; Interest Rate. The CCPT Retail Portfolio I Whole Loan is an Amortizing Loan. The Interest Rate on the CCPT Retail Portfolio I Whole Loan is calculated on an Actual/360 Basis and is equal to 4.23600000% per annum. The Due Date under the CCPT Retail Portfolio I Whole Loan is the 11th day of each month, or if such day is not a Business Day, the immediately preceding Business Day.

Mezzanine Debt. A $16,025,000 mezzanine loan (the “CCPT Retail Portfolio I Mezzanine Loan”) has been made to Cole MezzCo CCPT I, LLC, secured by a pledge of the related mezzanine borrower’s direct and indirect equity interests in the CCPT Retail Portfolio I Borrower.

Terms of CCPT Retail Portfolio I Mezzanine Loan. The CCPT Retail Portfolio I Mezzanine Loan matures on the same maturity date as the CCPT Retail Portfolio I Whole Loan. The CCPT Retail Portfolio I Mezzanine Loan requires the CCPT Retail Portfolio I Mezzanine Borrower to make monthly payments of interest during its term, and the applicable amortization payment then due, if any.

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Loan Information

Originator: The Royal Bank of Scotland plc

Cut-Off Date Securitized Principal Balance ($/NRA): $64,800,000 ($78.33 psf)

Loan Purpose: Acquisition

First Payment Date: May 11, 2010

Maturity Date: April 11, 2015

Sponsor(s): Cole Credit Property Trust III, Inc.

Mortgage Asset Interest Rate: 4.20900000%

Interest Calculation: Actual/360

Amortization Term: 360 months(1)

Call Protection: Prepayment locked out through and including the Due Date in April 2011; Prepayment Charge equal to the greater of yield maintenance or 1% from the Due Date in May 2011 through and including the Due Date in October 2014; open from the Due Date in November 2014 through the Maturity Date.

Additional Debt:

Mezzanine: $10,100,000

Up-Front Reserves: Deferred Maintenance: Yes(2)

Tax and Insurance: Yes(3)

Capital Expenditures: Yes(4)

TI/LC: Yes(5)

Ongoing Reserves: Tax and Insurance: Springing(3)

Capital Expenditures: Yes(4)

TI/LC: Yes(5)

Excess Cash Flow: Springing(6)

Lockbox: Hard, Springing Cash Management (6)

Property Information

Single Asset/Portfolio: Portfolio

Property Type: Retail – Single Buildings

Location: Various

Year Built/Renovated: Various / Various

NRA: 827,316

Occupancy (as of): 100.0% (04/01/2010)

U/W Occupancy: 96.4%

Fee or Leasehold: Fee Simple

Major Tenants: See “Tenant Summary” below.

Property Management: Cole Realty Advisors, Inc.

2007 NOI/DSCR: NAV(7) NAV(7)

2008 NOI/DSCR: NAV(7) NAV(7)

2009 NOI/DSCR: NAV(7) NAV(7)

U/W Net Operating Income: $10,536,738

U/W Net Cash Flow: $10,329,344

Appraised Value: $139,015,000

Appraisal Date: Various(8)

Cut-Off Date Securitized Principal Balance

Cut-Off Date Whole Loan

Balance Cut-Off Date

Total Debt

Loan per NRA: $78.33 $78.33 $90.53

LTV: 46.6% 46.6% 53.9%

Debt Yield(9): 16.3% 16.3% 14.1%

U/W NOI DSCR: (10) 2.77x 2.77x 2.07x

U/W NCF DSCR: (10) 2.71x 2.71x 2.03x

Exhibit 11: Cole Credit Property Trust Retail Portfolio III

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Tenant Summary

Property Location

Square Feet of NRA

Year Built

Percent Leased

Appraised Value

Under- written Net Cash Flow

% of Total U/W NCF

Academy Sports Laredo Laredo, TX 86,000 2008 100.0% $8,900,000 $716,622 6.9% Academy Sports Bossier City Bossier City, LA 88,365 2009 100.0% 8,550,000 682,856 6.6 LA Fitness Carmel Carmel, IN 45,000 2008 100.0% 8,190,000 709,466 6.9 Academy Sports Fort Worth Fort Worth, TX 83,741 2009 100.0% 7,670,000 608,806 5.9 CVS SLB Sparks Sparks, NV 13,625 2009 100.0% 6,090,000 471,034 4.6 Walgreens Janesville Janesville, WI 14,490 2008 100.0% 5,930,000 456,873 4.4 Walgreens Spearfish Spearfish, SD 14,820 2008 100.0% 5,450,000 379,479 3.7 Walgreens North Platte North Platte, NE 14,820 2009 100.0% 5,230,000 389,187 3.8 Walgreens Brooklyn Park Brooklyn, MD 14,560 2008 100.0% 5,000,000 374,660 3.6 CVS S/L Edinburg Edinburg, TX 13,204 2008 100.0% 4,500,000 314,393 3.0 Walgreens Papillion Papillion, NE 14,820 2009 100.0% 4,420,000 309,295 3.0 Walgreens Chickasha Chickasha, OK 14,820 2007 100.0% 4,200,000 313,485 3.0 Walgreens Machesney Park Machesney Park, IL 14,490 2008 100.0% 4,200,000 322,298 3.1 Walgreens Loves Park Loves Park, IL 14,490 2008 100.0% 3,970,000 304,086 2.9 Aarons Pool 2 Killeen TX Killeen, TX 37,500 1981 100.0% 3,500,000 234,585 2.3 Tractor Supply Edinburg Edinburg, TX 18,800 2009 100.0% 3,260,000 232,174 2.2 Tractor Supply Roswell Roswell, NM 19,097 2009 100.0% 2,650,000 194,684 1.9 Tractor Supply Del Rio Del Rio, TX 19,097 2009 100.0% 2,500,000 176,470 1.7 Aarons Pool 3 Texas City TX Texas City, TX 11,943 1991 100.0% 2,010,000 145,794 1.4 Aarons Pool 3 Richmond VA Richmond, VA 11,616 1988 100.0% 1,740,000 125,869 1.2 Advance Auto Webster Webster, TX 7,000 2008 100.0% 1,700,000 116,064 1.1 Advance Auto Humble Humble, TX 7,000 2007 100.0% 1,700,000 115,693 1.1 Advance Auto Houston (Wallisville) Houston, TX 7,000 2008 100.0% 1,700,000 116,789 1.1 Aarons Pool 3 Haltom City TX Haltom City, TX 10,000 2008 100.0% 1,690,000 118,510 1.1 Advance Auto Kingwood Kingwood, TX 6,000 2009 100.0% 1,670,000 114,711 1.1 Advance Auto Deer Park Deer Park, TX 6,000 2008 100.0% 1,660,000 114,169 1.1 Advance Auto Houston Houston, TX 7,000 2006 100.0% 1,550,000 105,920 1.0 Aarons Pool 3 Copperas C ove TX Copperas Cove, TX 11,387 2007 100.0% 1,500,000 103,086 1.0 Aarons Pool 1 Humble TX Humble, TX 8,000 2008 100.0% 1,490,000 101,392 1.0 Aarons Pool 2 Pasadena TX Pasadena, TX 8,000 2008 100.0% 1,480,000 101,243 1.0 Aarons Pool 2 Livings ton TX Livingston, TX 10,000 2008 100.0% 1,450,000 100,071 1.0 Aarons Pool 1 Minden LA Minden, LA 8,000 2008 100.0% 1,450,000 98,779 1.0 Advance Auto Houston (Imperial) Houston, TX 7,872 2008 100.0% 1,400,000 94,519 0.9 Advance Auto Hunts ville Huntsville, TX 6,000 2008 100.0% 1,390,000 101,335 1.0 Aarons Pool 1 Shawnee OK Shawnee, OK 8,000 2008 100.0% 1,320,000 89,522 0.9 Aarons Pool 2 States boro GA Statesboro, GA 8,050 2008 100.0% 1,300,000 89,361 0.9 Advance Auto Lubbock Lubbock, TX 6,000 2008 100.0% 1,300,000 94,653 0.9 Aarons Pool 2 Columbia SC Columbia, SC 12,516 1977 100.0% 1,250,000 85,258 0.8 Aarons Pool 3 Port Lavaca TX Port Lavaca, TX 8,000 2007 100.0% 1,200,000 87,208 0.8 Aarons Pool 1 Meadville PA Meadville, PA 11,988 1994 100.0% 1,150,000 81,807 0.8 O'Reilly Auto Parts LaPlace LaPlace, LA 7,000 2008 100.0% 1,140,000 79,972 0.8 Aarons Pool 1 M exia TX Mexia, TX 8,000 2007 100.0% 1,100,000 78,250 0.8 Aarons Pool 2 Chattanooga TN Chattanooga, TN 11,368 1989 100.0% 1,100,000 74,198 0.7 Aarons Pool 1 Indianapolis IN Indianapolis, IN 7,667 1998 100.0% 980,000 71,167 0.7 O'Reilly Auto Parts New Roads New Roads, LA 6,800 2008 100.0% 920,000 63,979 0.6 Aarons Pool 2 Battle Creek MI Battle Creek, MI 8,400 1956 100.0% 915,000 67,774 0.7 Aarons Pool 3 Benton Harbor MI Benton Harbor, MI 6,745 1973 100.0% 900,000 70,576 0.7 O'Reilly Auto Parts Breaux Bridge Breaux Bridge, LA 6,800 2009 100.0% 900,000 62,902 0.6 Aarons Pool 1 Oxford AL Oxford, AL 7,480 1989 100.0% 800,000 53,670 0.5 Aarons Pool 3 El Dorado AR El Dorado, AR 6,100 2000 100.0% 800,000 64,243 0.6 Aarons Pool 1 Odessa TX Odessa, TX 6,240 2006 100.0% 800,000 53,234 0.5 Aarons Pool 3 Pensacola FL Pensacola, FL 8,398 1979 100.0% 780,000 59,488 0.6 Aarons Pool 2 Mansura LA Mansura, LA 7,207 2000 100.0% 570,000 37,689 0.4

Total/Wtd. Avg. 827,316 100.0% $139,015,000 $10,329,344 100.0%

Exhibit 11 (continued)

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Lease Expiration Schedule

Year of Expiration Number of Leases

Expiring Expiring SF % of Total NRA Cumulative Expiring SF

Cumulative % of Total NRA

MTM................... 0 0 0.0% 0 0.0% 2010 .................... 0 0 0.0 0 0.0% 2011 .............. 0 0 0.0 0 0.0% 2012 .................... 0 0 0.0 0 0.0% 2013 .................... 0 0 0.0 0 0.0% 2014 .................... 0 0 0.0 0 0.0% 2015 .................... 0 0 0.0 0 0.0% Thereafter .......... 53 827,316 100.0 827,316 100.0% Vacant ................ 0 0 0.0 827,316 100.0% Total ........... 53 827,316 100.0% 827,316 100.0%

Underwritten

Revenue Annual Base Rent ............................. $11,263,218 Expense Recoveries .......................... Vacancy & Collection Loss ............... 400,602 Other Income ....................................

Effective Gross Income ....................... $10,862,616

Total Expenses .................................... $325,878

Net Operating Income ......................... $10,536,738

Capital Expenditures .......................... Replacements ................................... 82,958 TI’s & LC’s ...................................... 124,436

Total Capital Items.............................. $207,394

Net Cash Flow .................................... $10,329,344

Exhibit 11 (continued)

The Loan. This Whole Loan (the “CCPT Retail Portfolio III Whole Loan”) was originated by The Royal Bank of Scotland plc on April 1, 2010. The CCPT Retail Portfolio III Whole Loan is secured by first priority mortgages (collectively, the “CCPT Retail Portfolio III Mortgage”) encumbering the fee interests in 53 properties, located in 20 states (each, a “CCPT Retail Portfolio III Individual Property” and collectively, the “CCPT Retail Portfolio III Property”). The CCPT Retail Portfolio III Whole Loan matures on April 11, 2015.

The Borrower. The borrowers under the CCPT Retail Portfolio III Whole Loan (the “CCPT Retail Portfolio III Borrower”) are 32 special purpose entities, which are ultimately controlled by Cole Credit Property Trust III, Inc. (“CCPT III”), the sponsor of the CCPT Retail Portfolio III Whole Loan. Three of these special purpose entities collectively own 24 of the 53 properties—each of these special purpose entities owns eight properties and those eight properties are leased to a single tenant under a master lease. For 30 years, Cole Real Estate Investments (“Cole”), parent company to CCPT III, has partnered with thousands of investors in the ownership of various types of commercial real estate. Since 1979, Cole has introduced over 100 real estate investment programs and manages a portfolio of properties valued at approximately $4.0 billion

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Exhibit 11 (continued)

across 45 states and the U.S. Virgin Islands. During the third quarter 2009, CCPT III acquired over $172.0 million of retail properties. As of December 31, 2009, CCPT III had total stockholders’ equity of $832.1 million and total liquidity of $278.7 million. CCPT III will serve as the non- recourse carve-out guarantor for the loan.

The Properties. The CCPT Retail Portfolio III Properties consist of fifty-three (53) single- tenant retail properties located in 20 states and identified in the table below. The CCPT Retail Portfolio III Properties were acquired by Cole Credit Property Trust III, Inc. between June 2009 and March 2010 for $133.4 million. The CCPT Retail Portfolio III Whole Loan represents 48.6% of Cole Credit Property Trust III, Inc.’s acquisition cost and 46.6% of the CCPT Retail Portfolio III Properties’ appraised value of approximately $139.0 million. Proceeds of the CCPT Retail Portfolio III Whole Loan will be used to refinance the CCPT Retail Portfolio III Properties acquired with 100% cash and to acquire additional properties. Based upon the Sponsor’s current cost basis in the CCPT Retail Portfolio III Properties, it has $58.5 million of remaining cash equity in the transaction. The CCPT Retail Portfolio III Properties were built from 1956 through 2009 and are 100% leased to 8 unique tenants. The CCPT Retail Portfolio III Properties are approximately 52.6% leased to investment-grade rated tenants (Walgreens, CVS and Academy Sports).

Property Management. The CCPT Retail Portfolio III Property is managed by Cole Realty Advisors, Inc., an Arizona corporation (the “CCPT Retail Portfolio III Manager”) and an affiliate of the sponsor pursuant to a management agreement (the “CCPT Retail Portfolio III Management Agreement”). Under the terms of the related loan documents, all fees payable to the CCPT Retail Portfolio III Manager under the CCPT Retail Portfolio III Management Agreement in connection with the CCPT Retail Portfolio III Property are subordinate to the CCPT Retail Portfolio III Whole Loan. The CCPT Retail Portfolio III Management Agreement expires on October 9, 2010. The CCPT Retail Portfolio III Management Agreement can be renewed for an unlimited number of successive one-year terms upon the mutual consent of the parties. The lender will have the right to cause the CCPT Retail Portfolio III Borrower to terminate the CCPT Retail Portfolio III Manager upon the occurrence of certain events, including: (a) the occurrence and continuation of an event of default under the CCPT Retail Portfolio III Whole Loan, (b) the CCPT Retail Portfolio III Manager’s gross negligence, malfeasance or willful misconduct, (c) the occurrence and continuation of a material default under the CCPT Retail Portfolio III Management Agreement, (d) the debt service coverage ratio of the CCPT Retail Portfolio III Property falling to less than 1.10x (unless such fall is due to “market conditions”) or (e) the bankruptcy or insolvency of the CCPT Retail Portfolio III Manager.

Appraisal. In connection with the origination of the CCPT Retail Portfolio III Loan, CB Richard Ellis performed appraisal of each of the CCPT Retail Portfolio III Properties on behalf of the Originator. In the resulting narrative report, and subject to the assumptions, limiting conditions, certifications and definitions contained therein, the appraiser concluded that the “as-is” leased-fee value for the CCPT Retail Portfolio III Property based upon appraisals conducted between February 22, 2009 and February 25, 2010 was $139,015,000. The appraisal states that it was prepared in accordance with the Uniform Standards of Professional Appraisal Practice and FIRREA.

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Exhibit 11 (continued)

Payment Terms; Interest Rate. The CCPT Retail Portfolio III Whole Loan is an Amortizing Loan. The Interest Rate on the CCPT Retail Portfolio III Whole Loan is calculated on an Actual/360 Basis and is equal to 4.20900000% per annum. The Due Date under the CCPT Retail Portfolio III Whole Loan is the 11th day of each month, or if such day is not a Business Day, the immediately preceding Business Day.

Mezzanine Debt. A $10,100,000 mezzanine loan (the “CCPT Retail Portfolio III Mezzanine Loan”) has been made to Cole MezzCo CCPT III, LLC, secured by a pledge of the related mezzanine borrower’s direct and indirect equity interests in the CCPT Retail Portfolio III Borrower.

Terms of CCPT Retail Portfolio III Mezzanine Loan. The CCPT Retail Portfolio III Mezzanine Loan matures on the same maturity date as the CCPT Retail Portfolio III Whole Loan. The CCPT Retail Portfolio III Mezzanine Loan requires the CCPT Retail Portfolio III Mezzanine Borrower to make monthly payments of interest during its term, and the applicable amortization payment then due, if any.

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Loan Information

Originator: The Royal Bank of Scotland plc

Cut-Off Date Securitized Principal Balance ($/NRA): $30,300,000 ($79.55 psf)

Loan Purpose: Refinance

First Payment Date: May 11, 2010

Maturity Date: April 11, 2015

Sponsor(s): DDRM Properties LLC

Mortgage Asset Interest Rate: 4.21400000%

Interest Calculation: Actual/360

Amortization Term: 360 months(1)

Call Protection: Prepayment locked out through and including the Due Date in April 2011; Prepayment Charge equal to the greater of yield maintenance or 1% from the Due Date in May 2011 through and including the Due Date in October 2014; open from the Due Date in November 2014 through the Maturity Date.

Additional Debt: None

Up-Front Reserves: Deferred Maintenance: Yes(2)

Tax Reserve: Yes(3)

Capital Expenditures: Yes(4)

TI/LC: Yes(5)

Ongoing Reserves: Tax Reserve: Yes(3)

Capital Expenditures: Yes(4)

TI/LC: Yes(5)

Excess Cash Flow: Springing(6)

Lockbox: Hard, Springing Cash Management (6)

Property Information

Single Asset/Portfolio: Portfolio

Property Type: Retail-Anchored

Location: Various

Year Built/Renovated: Various/Various

NRA: 380,874

Occupancy (as of): 95.7% (02/17/2010)

U/W Occupancy: 91.2%

Fee or Leasehold: Fee Simple

Major Tenants Ratings (S/M/F) NRA

% of Total NRA

Lease Expiration

Kohl’s A&P Jewel

BBB+/Baa1/BBB+ B-/Caa1/ -

- / - / -

106,424 64,761 57,560

27.9% 17.0% 15.1%

1/31/2023 11/30/2021 10/10/2022

Property Management: Developers Diversified Realty Corporation

2007 NOI /DSCR: $3,102,735 1.74x

2008 NOI / DSCR: $4,759,783 2.67x

2009 NOI / DSCR: $4,529,953 2.54x

U/W Net Operating Income: $4,263,412

U/W Net Cash Flow: $4,171,615

Appraised Value: $50,700,000

Appraisal Date: Various(7)

Cut-Off Date Securitized Principal Balance

Cut-Off Date Whole Loan

Balance Cut-Off Date

Total Debt

Loan per NRA: $79.55 $79.55 $79.55

LTV: 59.8% 59.8% 59.8%

Debt Yield(8): 15.0% 15.0% 15.0%

U/W NOI DSCR (9): 2.39x 2.39x 2.39x

U/W NCF DSCR (9): 2.34x 2.34x 2.34x

Property Location

Square Feet of NRA

Year Built

Percent Leased

Appraised Value

Under- written Net Cash Flow

% of Total U/W NCF

Village Center I ............... Racine, WI 217,468 2003 97.6% $20,400,000 $1,821,713 43.7% West Falls Plaza .............. Woodland Park, NJ 88,913 1995 100.0% 19,800,000 1,531,932 36.7 Paradise Promenade ......... Davie, FL 74,493 2003 84.8% 10,500,000 817,970 19.6 Total/Wtd. Avg. 380,874 95.7% $50,700,000 $4,171,615 100.0%

Lease Expiration Schedule

Year of Expiration Number of

Leases Expiring Expiring SF % of Total NRA Cumulative Expiring SF

Cumulative % of Total

NRA

2010 ........................................... 3 12,068 3.2% 12,068 3.2% 2011 ........................................... 1 16,500 4.3% 28,568 7.5% 2012 ........................................... 6 20,963 5.5% 49,531 13.0% 2013 ........................................... 10 25,260 6.6% 74,791 19.6% 2014 ........................................... 2 3,600 0.9% 78,391 20.6% 2015 ........................................... 2 4,785 1.3% 83,176 21.8% Thereafter ................................... 6 281,238 73.8% 364,414 95.7% Vacant ....................................... NAP 16,460 4.3% 380,874 100.0% Total .......................................... 30 380,874 100.0% 380,874 100.0%

Exhibit 12: Developers Diversified Realty Retail Portfolio

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Major Tenant Summary (Collateral Tenants)

Tenant Ratings(1)

Moody’s/S&P /Fitch SF % of Property

NRA(2) Underwritten

Rent PSF

Underwritten Annual Base

Rent

% of Underwritten

Rent(2) Lease Expiration

Top 5 Tenants Kohl’s Baa1 / BBB+ / BBB+ 106,424 27.9% $6.03 $642,000 13.0% January 31, 2023 A&P Caa1 / B- / – 64,761 17.0 $21.90 1,418,266 28.7 November 30, 2021 Jewel – / – / – 57,560 15.1 $11.85 682,000 13.8 October 10, 2022 Publix Supermarket – / – / – 44,271 11.6 $10.00 442,710 9.0 June 30, 2023 Computer City – / – / – 16,500 4.3 $21.17 349,305 7.1 October 31, 2011 Total Top 5 Tenants 289,516 76.0% $12.21 $3,534,281 71.6%

Non-Top 5 Tenants 74,898 19.7% $18.74 $1,403,597 28.4%

Occupied Total 364,414 95.7% $13.55 $4,937,878 100.0%

Vacant Space 16,460 4.3%

Property Total 380,874 100.0%

(1) Certain ratings are those of the parent company whether or not the parent company guarantees the lease. (2) May not add to 100% due to rounding.

Summary of Property Financials

2007 Year End 2008 Year End 2009 Underwritten

Revenue Annual Base Rent ............................. $3,232,048 $5,201,282 $5,060,364 $5,256,661 Expense Recoveries .......................... 1,128,345 1,821,544 1,738,314 1,848,729 Vacancy/Bad Debt ............................ (42,668) (162,099) (187,025) (624,405) Other Income .................................... 90 18,848 115,621 1,100

Effective Gross Income ....................... $4,317,815 $6,879,575 $6,727,274 $6,482,086

Total Expenses .................................... $1,215,080 $2,119,792 $2,197,321 $2,218,674

Net Operating Income ......................... $3,102,735 $4,759,783 $4,529,953 $4,263,412

Capital Expenditures Replacements ... 0 0 0 38,050

TI’s & LC’s ...................................... 0 0 0 53,747

Total Capital Items.............................. $0 $0 $0 $91,797

Net Cash Flow .................................... $3,102,735 $4,759,783 $4,529,953 $4,171,615

Exhibit 12 (continued)

The Loan. This Whole Loan (the “DDRM Retail Portfolio Whole Loan”) was originated by the Royal Bank of Scotland plc on April 1, 2010. The DDRM Retail Portfolio Whole Loan is secured by first priority mortgages (collectively, the “DDRM Retail Portfolio Mortgage”) encumbering the fee interests in three (3) properties, located in three (3) states (each, a “DDRM Retail Portfolio Individual Property” and collectively, the “DDRM Retail Portfolio Property”). The DDRM Retail Portfolio Whole Loan matures on April 11, 2015.

The Borrowers. There are three (3) borrowers who are jointly and severally liable under the DDRM Retail Portfolio Whole Loan (collectively the “DDRM Retail Portfolio Borrower”). Each DDRM Retail Portfolio Borrower is an existing special purpose entity, that is (directly or

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Exhibit 12 (continued)

indirectly) owned by separate entities, which are ultimately controlled by DDRM Properties LLC (“DDRM”), the sponsor of the DDRM Retail Portfolio Whole Loan. DDRM was formed by Developers Diversified Realty Corporation (“DDR”) and six institutional investors in 2007. DDRM currently owns 63 properties in 12 states. DDR leases and manages 100% of the properties. Gross book value of DDRM’s portfolio is approximately $1.46 billion with outstanding mortgage debt of $966 million. As of December 31, 2009, DDRM had a net worth of approximately $466 million and liquidity of approximately $12.7 million. DDRM will serve as the non-recourse carve- out guarantor for the loan.

The Properties. The DDRM Retail Portfolio Properties consist of (a) Village Center I, a 217,468 square foot center located at 5500-5740 Washington Avenue in Racine, Wisconsin; (b) West Falls Plaza, a 88,913 square foot center located at 1730 US Highway 46 in Woodland Park, New Jersey; and (c) Paradise Promenade, a 74,493 square foot center located at 5949-6029 Stirling Road in Davie, Florida. The DDRM Retail Portfolio Properties were acquired by a joint venture between Developers Diversified Realty Corporation and DDR Manatee Master REIT, Inc. in 2007 for a total of $73,300,000 with approximately $42,600,000 of cash equity. The DDRM Retail Portfolio Properties were originally developed between 1995 and 2003 and contain approximately 380,509 square feet of retail space.

Village Center I is a 217,468 square foot community shopping center built in 2003 that was purchased by Developers Diversified Realty Corporation from Inland Real Estate in February 2007 as part of a portfolio transaction with an allocated purchase price of $36,893,882. Village Center I is situated on 28.3 acres. Based upon the rent roll dated February 17, 2010, Village Center I is currently 97.6% occupied by 14 tenants and is anchored by Kohl’s and Jewel. Other major tenants include Shoe Carnival, Dress Barn and Hallmark. Average sales figures for inline tenants which report sales figures were $112.52 per square foot for the trailing 12-months reported March 2010.

West Falls Plaza is an 88,913 square foot community shopping center built in 1995. The West Falls Plaza was purchased by Developers Diversified Realty Corporation from Inland Real Estate in February 2007 as part of a portfolio transaction with an allocated purchase price of $30,028,539. West Falls Plaza is situated on 9.4 acres and is 100.0% leased to three tenants: A&P, Computer City (6th Avenue Electronics) and On the Border. Non-owned outparcels in the plaza include: Golfsmith, Pizza Hut and Party City. A&P and On the Border reported trailing 12-month sales per square foot through November 2009 and June 2009, respectively, of $408 and $322 per square foot, respectively, and have occupancy costs of 6% and 7%, respectively. Computer City (6th Avenue Electronics) does not report sales.

Paradise Promenade is a 74,493 square foot community shopping center built in 2003. Paradise Promenade was purchased by Developers Diversified Realty Corporation from Inland Real Estate in February 2007 as part of a portfolio transaction with an allocated purchase price of $6,400,000. Paradise Promenade is situated on 14.4 acres. Based upon the rent roll dated February 17, 2010, Paradise Promenade is 84.8% occupied by 13 tenants and is anchored by a Publix grocery store. Other major tenants include Commerce Bank, Little Caesar’s and H&R Block. Publix is the only tenant that provides sales data. Based upon 2009 year-end sales of $570 per square foot, Publix has an occupancy cost of 2.3%.

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Exhibit 12 (continued)

Property Management. The DDRM Retail Portfolio Property is managed by Developers Diversified Realty Corporation (the “DDRM Retail Portfolio Manager”), an affiliate of the DDRM Retail Portfolio Borrower, pursuant to three (3) separate management agreements (collectively, the “DDRM Retail Portfolio Management Agreements”). Under the terms of the related loan documents, all fees payable to the DDRM Retail Portfolio Manager under the DDRM Retail Portfolio Manager Agreement are subordinate to the DDRM Retail Portfolio Whole Loan. The DDRM Retail Portfolio Management Agreements expire on June 2017 with two (2) automatic renewal periods of five (5) years each at the DDRM Retail Portfolio Manager’s option. The lender will have the right to cause the DDRM Retail Portfolio Borrower to terminate the DDRM Retail Portfolio Manager upon the occurrence of certain events, including: (a) the DDRM Retail Portfolio Manager’s acts constitute gross negligence, malfeasance or willful misconduct, (b) an event of default occurs under the DDRM Retail Portfolio Management Agreement beyond any applicable notice and grace periods, (c) the occurrence and continuation of a monetary event of default under the DDRM Retail Portfolio Whole Loan, (d) the occurrence and continuation of a non-monetary event of default under the DDRM Retail Portfolio Whole Loan accompanied by acceleration by the lender of the DDRM Retail Portfolio Whole Loan or commencement of the exercise of remedies under the related loan documents, or (e) if the debt service coverage ratio for the Mortgaged Property for the immediately preceding twelve (12) month period is less than 1.00x unless such fall is due to “general market conditions”.

Appraisal. In connection with the origination of the DDRM Retail Portfolio Whole Loan, Cushman & Wakefield and CB Richard Ellis performed appraisals on each of the DDRM Retail Portfolio Properties, dated between February 23, 2010 and March 2, 2010, on behalf of the Originator. In the resulting narrative report, and subject to the assumptions, limiting conditions, certifications and definitions contained therein, the appraiser concluded that the “as-is” leased fee value for the Mortgaged Property was $50,700,000. The appraisal states that it was prepared in accordance with the Uniform Standards of Professional Appraisal Practice and FIRREA.

Payment Terms; Interest Rate. The DDRM Retail Portfolio Whole Loan amortizes over a 30- year term. The Interest Rate on the DDRM Retail Portfolio Whole Loan is calculated on an Actual/360 Basis and is equal to 4.21400000% per annum. The Due Date under the DDRM Retail Portfolio Whole Loan is the 11th day of each month, or if such day is not a Business Day, the immediately preceding Business Day.

Subordinate Debt. None.

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Loan Information

Originator: The Royal Bank of Scotland plc

Cut-Off Date Securitized Principal Balance ($/NRA): $28,700,000 ($38.27/psf)

Loan Purpose: Acquisition

First Payment Date: May 11, 2010

Maturity Date: April 11, 2015

Sponsor: Rao Yalamanchili

Mortgage Asset Interest Rate: 4.27800000%

Interest Calculation: Actual/360

Amortization Term: 360 months(1)

Call Protection: Prepayment locked out through and including the Due Date in April 2011; Prepayment Charge equal to the greater of yield maintenance or 1% from the Due Date in May 2011 through and including the Due Date in October 2014; open from the Due Date in November 2014 through the Maturity Date.

Additional Debt: None

Up-Front Reserves: Tax and Insurance: Yes(2)

Capital Expenditures: Yes(3)

TI/LC: Yes(4)

BofA 2012 Reserve: Yes(5)

Debt Service Reserve: Yes (6)

Temporary Reserve: Yes(7)

BofA Operating Expense Reserve: Yes(8)

Ongoing Reserves: Tax and Insurance: Yes(9)

Capital Expenditures: Yes(10)

TI/LC: Yes(11)

Excess Cash Reserve: Springing(12)

Lockbox: Hard, Springing Cash Management (12)

Property Information

Single Asset/Portfolio: Single Asset

Property Type: Office - CBD

Location: St. Louis, MO

Year Built/Renovated: 1982 / 2007

NRA: 750,000 sq. ft.

Occupancy (as of): 93.8% (04/01/2010)

U/W Occupancy: 92.1%

Fee or Leasehold: Fee Simple

Major Tenants Ratings (S/M/F) NRA

% of Total NRA

Lease Expiration

Bank of America

International Business Machines

Pricewaterhouse Coopers LLP

A/A2/A+

A+/A1/A+

- / - / -

380,689

154,017

49,762

50.8%

20.5%

6.6%

06/30/2023

07/31/2012

07/31/2017

Property Management: Jones Lang LaSalle Americas, Inc.

2007 NOI/DSCR: $6,392,837 3.76x

2008 NOI/DSCR: $6,689,345 3.94x

2009 NOI/DSCR: $6,658,046 3.92x

U/W Net Operating Income/DSCR: $6,440,154

U/W Net Cash Flow: $5,780,154

Appraised Value: $50,000,000

Appraisal Date: February 19, 2010

Cut-Off Date Securitized Principal Balance

Cut-Off Date Whole Loan

Balance Cut-Off Date

Total Debt

Loan per NRA: $38.27 $38.27 $38.27

LTV: 57.4% 57.4% 57.4%

Debt Yield(13): 23.2% 23.2% 23.2%

U/W NOI DSCR (14): 3.79x 3.79x 3.79x

U/W NCF DSCR (14): 3.40x 3.40x 3.40x

Lease Expiration Schedule

Year of Expiration

Number of Leases

Expiring Total SF Expiring % of Total

NRA Cumulative Expiring SF

Cumulative % of Total NRA

2010............................................ 7 47,019 6.3% 47,019 6.3% 2011............................................ 1 14,858 2.0 61,877 8.3% 2012............................................ 12 158,261 21.1 220,138 29.4% 2013............................................ 1 4,861 0.6 224,999 30.0% 2014............................................ 0 0 0.0 224,999 30.0% 2015............................................ 1 1,382 0.2 226,381 30.2% Thereafter ................................... 22 477,001 63.6 703,382 93.8% Vacant........................................ NAP 46,618 6.2 750,000 100.0% Total........................................... 44 750,000 100.0% 750,000 100.0%

Exhibit 13: Bank of America Plaza

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Major Tenant Summary (Collateral Tenants)

Tenant Ratings(1)

M/S&P/F SF % of Property

NRA(2) Underwritten

Rent PSF

Underwritten Annual Base

Rent

% of Underwritten

Rent(2) Lease Expiration

Top 5 Tenants Bank of America A2 / A / A+ 380,689 50.8% 12.20 $4,645,172 52.5% June 30, 2023 International Business Machines(3)

A1 / A+ / A+ 154,017 20.5 10.25 1,578,675 17.8 July 31, 2012

Pricewaterhouse Coopers - / - / - 49,762 6.6 19.50 970,360 11.0 July 31, 2017 Anheuser-Busch(3) Baa2 / BBB+ /

NR 45,052 6.0 17.25 777,147 8.8 August 31, 2010

C.J. Thomas Insurance - / - / - 19,307 2.6 19.00 366,833 4.1 November 30, 2018 Total Top 5 Tenants 648,827 86.5% 12.85 $8,338,187 94.2%

Non-Top 5 Tenants(4)(5) 54,555 7.3% 9.41 $ 513,404 5.8%

Occupied Total 703,382 93.8% 12.58 $8,851,591 100.0%

Vacant Space 46,618 6.2%

Property Total 750,000 100.0%

Summary of Property Financials

2007 Year End 2008 Year End 2009 Year End Underwritten

Revenue Annual Base Rent ............................. $8,348,662 $8,460,174 $8,752,052 $9,027,885 Expense Recoveries .......................... 5,450,509 5,576,223 5,026,432 5,025,000 Vacancy/Bad Debt............................ 0 0 0 (1,053,966) Other Income ................................... 327,535 308,022 340,588 340,934

Effective Gross Income ....................... $14,126,706 $14,344,419 $14,119,072 $13,339,853

Total Expenses .................................... $7,733,869 $7,655,074 $7,461,026 $6,899,699

Net Operating Income ......................... $6,392,837 $6,689,345 $6,658,046 $6,440,154 Capital Expenditures......................... 0 0 0 135,000 TI’s & LC’s...................................... 2,652 0 0 525,000

Total Capital Items ............................. $2,652 $0 $0 $660,000

Net Cash Flow .................................... $6,390,185 $6,689,345 $6,658,046 $5,780,154

Exhibit 13 (continued)

The Loan. This Whole Loan (the “Bank of America Plaza Whole Loan”) was originated by The Royal Bank of Scotland plc on April 1, 2010. The Bank of America Plaza Whole Loan is secured by a first priority deed of trust (the “Bank of America Plaza Mortgage”) encumbering the Bank of America Plaza Borrower’s fee interest in an office property located in St. Louis, Missouri (the “Bank of America Plaza Property”). The Bank of America Plaza Whole Loan matures on April 11, 2015.

The Borrower. The borrower under the Bank of America Plaza Whole Loan (the “Bank of America Plaza Borrower”) is a special purpose bankruptcy remote entity, that is owned and controlled by Rao Yalamanchili, the sponsor of the Bank of America Plaza Whole Loan. In 1984, Rao Yalamanchili formed Positive Investments, Inc., his real estate investment and property management company that specializes in brokerage, investment and property management for his own account as well as the investments of other domestic and international clients with a focus on Southern California. Positive Investments, Inc. offers commercial property management and

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Exhibit 13 (continued)

investment services for multifamily, industrial, hospitality, office, and retail properties. Rao Yalamanchili owns, either in partnership or individually, over 900 units, four commercial properties, one limited-service hotel with a self-assessed value of $103 million, and in March 2010 reported a net worth of $97 million of which approximately $38 million is cash and liquid securities. Rao Yalamanchili will serve as the non-recourse carve-out guarantor for the loan.

The Property. The Bank of America Plaza Property is a 30-story, 750,000 sq. ft. Class-A office building in St. Louis, Missouri located in the heart of the St. Louis central business district. The Bank of America Plaza Property’s largest tenants are Bank of America (380,689-SF or 50.8% of the NRA) and Ralcorp Holdings (136,802-SF or 18.2% of the NRA; a sub-tenant to IBM and Anheuser-Busch). The Bank of America Plaza Property was built in 1982 and offers unobstructed panoramic views of Busch Stadium, the Gateway Arch, the Mississippi River and the St. Louis skyline. The Bank of America Plaza Property won local and regional BOMA Office Building of the Year (TONY) awards for the years 1996 through 1999 and was again nominated for an award in 2008. The Bank of America Plaza Property is the fourth largest office building in downtown St. Louis (based on total NRA). Many of its tenants have been at the Bank of America Plaza Property for over 20 years and over 77% of the NRA is leased to investment grade-rated tenants. The Bank of America Plaza Borrower purchased the Bank of America Plaza Property in December 2009 for approximately $47.85 million. Additionally, the Bank of America Plaza Borrower deposited $3.4 million into a Bank of America tenant improvement allowance reserve for a total cost basis of $51.25 million.

Property Management. The Bank of America Plaza Property is managed by Jones Lang LaSalle Americas, Inc. (the “Bank of America Plaza Manager”), pursuant to a management agreement (the “Bank of America Plaza Management Agreement”). Under the terms of the related loan documents, all fees payable to the Bank of America Plaza Manager under the Bank of America Plaza Management Agreement are subordinate to the Bank of America Plaza Whole Loan. The Bank of America Plaza Management Agreement expires on December 31, 2010, and is automatically renewed for additional successive one (1) year terms unless terminated by either party thereunder upon written notice not less than sixty (60) days prior to the end of the term. With respect to leasing responsibilities only, the Bank of America Plaza Management Agreement will continue on a month-to-month basis beginning December 29, 2009, terminable upon 30 days written notice by Bank of America Plaza Borrower. The lender has the right to cause the Bank of America Plaza Borrower to terminate the Bank of America Plaza Manager upon the occurrence of certain events, including: (a) the Bank of America Plaza Manager becomes bankrupt or insolvent or any other material event of default by the Bank of America Plaza Manager under the Bank of America Plaza Management Agreement occurs beyond any applicable grace and cure periods; (b) the occurrence and continuation of an event of default under the Bank of America Plaza Whole Loan, or (c) upon the DSCR for the Bank of America Plaza Property (as determined by lender) for the immediately preceding twelve (12) month period is less than 1.10x other than solely as a result of market conditions.

Appraisal. In connection with the origination of the Bank of America Plaza Whole Loan, Cushman & Wakefield performed an appraisal of the Bank of America Plaza Property on behalf of the Originator. In the resulting narrative report, and subject to the assumptions, limiting conditions, certifications and definitions contained therein, the appraiser concluded that the “as-is” fee value for the Bank of America Plaza Property as of February 19, 2010 was $50,000,000.

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Exhibit 13 (continued)

The appraisal states that it was prepared in accordance with the Uniform Standards of Professional Appraisal Practice and FIRREA.

Payment Terms; Interest Rate. The Bank of America Plaza Whole Loan amortizes over a 30- year term. The Interest Rate on the Bank of America Plaza Whole Loan is calculated on an Actual/360 Basis and is equal to 4.27800000% per annum. The Due Date under the Bank of America Plaza Whole Loan is the 11th day of each month, or if such day is not a Business Day, the immediately preceding Business Day.

Subordinate Debt. None.

Exhibit 14: Yields-to-Maturity on Corporate Bonds, April 2, 2010 Aaa 5.40%

Baa 6.40%

High-Yield 8.49%

Source: Federal Reserve H.15, Bank of America Merrill Lynch High-Yield Index.

Exhibit 15: Average Cumulative Credit Loss Rates on Senior Unsecured Corporate Bonds, 1982–2009

Year 1 Year 2 Year 3 Year 4 Year 5

Aaa 0.00% 0.01% 0.01% 0.01% 0.02%

Aa 0.02% 0.04% 0.06% 0.07% 0.14%

A 0.04% 0.10% 0.21% 0.35% 0.47%

Baa 0.11% 0.30% 0.55% 0.82% 1.16%

Ba 0.66% 1.93% 3.58% 5.45% 7.02%

B 2.86% 6.76% 10.43% 13.46% 15.51%

Caa-C 11.53% 19.12% 25.61% 29.58% 33.77%

Investment Grade 0.06% 0.14% 0.27% 0.41% 0.57%

Speculative Grade 3.04% 6.30% 9.40% 11.95% 13.84%

All Rated 1.11% 2.25% 3.30% 4.13% 4.75%

Source: Excerpted from Exhibit 23 in Moody’s (2010), “Corporate Default and Recovery Rates, 1920–2009.”