U.S. Capital Markets Glide Path to Clearer Skies

Conduit spreads still very volatile and elevated … reflecting increased lender risk premiums

Highest-Rated Spreads Showing Significant Expansion Spreads (bps), Widening Across Quality Spectrum

Week Earlier 52-wk Avg.

210

Avg. Life 5/17

AAA

5

P+182 P+183 P+157

190

AAA

10 10

P+183 P+183 P+168 P+370 P+375 P+297

170

183

AA

150

A

10

P+541 P+543 P+412

BBB-

10

P+958 P+958 P+742

130

110

• In the aftermath of the regional banking event, CMBS conduit credit spreads widened across the board (particularly at the lower end of the credit stack). • The confluence of a volatile interest rate environment and broader macroeconomic uncertainty continues to impact investor sentiment and risk aversion. • Spreads have since settled around ~30 bps off their 2023 lows, reflecting the widening in perceived risk of CRE products. • Looking ahead, as the Fed pivots and rates move down, shorter and floating-rate product will improve (even as spreads may remain wide due to uncertainty and recession).

90

Jul-22

Apr-22

Oct-22

Apr-23

Jan-22

Jun-22

Jan-23

Mar-22

Mar-23

Feb-22

Feb-23

Dec-21

Nov-22

Dec-22

Aug-22

Sep-22

May-22

May-23

CMBS AAA Spreads over Swaps (bps)

33

Source: Green Street, Cushman & Wakefield Research