Evidence room, frozen at · historical education, not investment or legal advice
Stuyvesant Town and Peter Cooper Village: did reported income cover the senior mortgage interest?
This is a historical debt-stress audit of what the March 2007 prospectus ST1 prospectus and the November 2006 buyer-adviser announcement ST2 announcement disclosed. It is not a refinancing cash-needed calculation, and it uses no fact dated after 2007-03-09.
Exhibit A
Income to interest bridge
- Observed 2006 NOI (historical, as printed): $112,242,474 ST1 prospectus
- Whole senior mortgage $3,000,000,000 ST1 prospectus at the filed coupon 6.4340%, interest only: annual interest $193,020,000 ST1 prospectus. Formula: principal × coupon ÷ 100, USD per year. The trust holds only $800,000,000 of it.
- 2006 NOI minus senior interest: -$80,777,526, so 2006 coverage was 0.58x ST1 prospectus (NOI ÷ interest).
- Merely covering interest needs NOI of $193,020,000 ST1 prospectus, which is 71.97% total growth from 2006, or 11.45% per year compounded over 5 years to 2011.
- Filed underwritten NOI for 2011 $336,156,380 ST1 prospectus is a forecast. Reaching it from observed 2006 NOI needs 199.49% total, 24.53% per year. On the simple coupon it would cover interest 1.74x; the filing prints 1.71x.
Historical versus forecast
Historical Observed and reported, 2004 to 2006
- 2004 NOI
- $92,102,906 ST1 prospectus, coverage 0.48x
- 2005 NOI
- $98,862,497 ST1 prospectus, coverage 0.51x
- 2006 NOI
- $112,242,474 ST1 prospectus, coverage 0.58x
Printed totals only; no collections ledger is in the folder.
Forecast Underwriting year 2011, not observed
- Underwritten NOI
- $336,156,380 ST1 prospectus
- Filed DSCR on NOI
- 1.71x ST1 prospectus
- Simple coupon proxy
- 1.7416x
Footnote (2) of ST1 prospectus says underwritten NOI and DSCR rely on 2011 cash flows, including converting rent-stabilized units to deregulated units (6,397 by 2011-01-01). The filed 1.71x and the proxy 1.74x differ. A rounded 1.71x fits an annual debt service between $196,009,551 and $197,159,167, not the simple $193,020,000; the filing does not print its denominator, so the difference is left UNKNOWN.
Exhibit B
NOI by year against whole senior interest
- Observed NOI, ST1 prospectus
- Filed underwritten NOI 2011, forecast, ST1 prospectus
- Annual whole senior interest, ST1 prospectus
Complete numeric rows
| Year | Basis | NOI | Whole senior interest | NOI minus interest | Coverage | Change vs prior | Change % | NOI ÷ price | Sources |
|---|---|---|---|---|---|---|---|---|---|
| 2004 | historical | $92,102,906 | $193,020,000 | -$100,917,094 | 0.4772x | first year | first year | 1.706% | ST1 prospectus ST2 announcement |
| 2005 | historical | $98,862,497 | $193,020,000 | -$94,157,503 | 0.5122x | $6,759,591 | 7.34% | 1.831% | ST1 prospectus ST2 announcement |
| 2006 | historical | $112,242,474 | $193,020,000 | -$80,777,526 | 0.5815x | $13,379,977 | 13.53% | 2.079% | ST1 prospectus ST2 announcement |
| 2011 UW | forecast | $336,156,380 | $193,020,000 | not observed | 1.7416x proxy; 1.71x filed | $223,913,906 vs 2006 | 199.49% total | 6.225% | ST1 prospectus ST2 announcement |
| Years | Coverage change | Sources |
|---|---|---|
| 2005 vs 2004 | 0.0350x | ST1 prospectus |
| 2006 vs 2005 | 0.0693x | ST1 prospectus |
Debt layers, kept apart
| Item | Trust share of senior debt | Whole senior mortgage | Separate mezzanine principal |
|---|---|---|---|
| Principal | $800,000,000 | $3,000,000,000 | $1,400,000,000 |
| Rate as printed | 6.4340% | 6.4340% | 6.277%, not applied to mortgage |
| Annual interest | $51,472,000, inside the whole | $193,020,000 | UNKNOWN |
| Role | 26.67% of the whole; never added to it | denominator of every coverage here | separate layer |
| Sources | ST1 prospectus | ST1 prospectus | ST1 prospectus |
Senior plus mezzanine principal is $4,400,000,000 ST1 prospectus; the trust share is excluded because it sits inside the whole senior mortgage. Whole senior over the disclosed price is 55.56% ST1 prospectus ST2 announcement.
Exhibit C, reader assumption
What if NOI grew at a rate you choose?
Pick a hypothetical annual growth rate, bounded from -10% to 30%. It compounds observed 2006 NOI over 5 years to 2011. This is an arithmetic sketch, not a forecast and not a probability. Drag with a mouse, use arrow, Page Up or Page Down keys on the slider, or use the buttons.
Preset buttons use the smallest 0.01-point rate at or above 11.45% (1.00x) and 24.53% (filed underwritten NOI).
Your hypothetical 2011
coverage
vs 2006:
vs filed:
Below 1.00x: hypothetical NOI would not cover whole senior interest. Below the filed underwritten NOI.
Without JavaScript the hypothetical box shows the no-growth case; every baseline number above is static.
Why occupancy and average rent cannot rebuild collections or legal status
Multiplying 11,227 units by 98.3% physical occupancy, $1,707 average monthly rent and 12 months gives $226,064,312 per year. That is only arithmetic. It is 46.93% of the $481,725,392 underwritten revenues, and it cannot be compared with any 2006 revenue because none is printed. ST1 prospectus
- Occupancy is a single November 2006 physical snapshot, not an annual economic occupancy.
- The average rent is one blended number with no date, unit mix or regulated versus market split printed.
- No arrears, concessions, bad debt, retail, parking or other income is shown, so the product is not cash collected.
- Legal deregulation is a unit-by-unit legal status; an average cannot identify which apartment is regulated or whether any change in status was lawful.
- Unit counts differ by source: 11,227 in the collateral table ST1 prospectus and 11,232 in the announcement ST2 announcement. They are not interchangeable denominators.
The people who live here
The 11,227 apartments in the collateral count are homes. The filed forecast depends on 6,397 of them, 56.98%, becoming deregulated by 2011-01-01. For a household, an apartment's rent-regulation status shapes how leases renew and how rents can change, so these numbers sit on top of real housing security. ST1 prospectus
Whether any particular apartment could lawfully leave regulation is a legal question these documents do not answer. This page assigns no blame to tenants, owners, lenders or investors, and it does not treat any later event, in court or otherwise, as predictable from what was filed in March 2007.
Unanswered questions
| Field | Value | What is missing | Checked |
|---|---|---|---|
| refinance gap | UNKNOWN | the folder has no lender offer, payoff statement, refinance terms or exact 2010 cash; a refinance funding gap cannot be measured | ST1 prospectus ST2 announcement |
| all in debt service | UNKNOWN | mezzanine payment terms (pay rate, accrual, tranching, fees) are not in the folder; only principal and a printed rate are | ST1 prospectus ST2 announcement |
| mezzanine coverage | UNKNOWN | requires all-in debt service, which is UNKNOWN | ST1 prospectus ST2 announcement |
| lender offer | UNKNOWN | no lender offer in the folder | ST1 prospectus ST2 announcement |
| payoff amount | UNKNOWN | no payoff statement in the folder | ST1 prospectus ST2 announcement |
| cash 2010 | UNKNOWN | no 2010 cash balance or reserve ledger in the folder; the folder ends at 2007-03-09 | ST1 prospectus ST2 announcement |
| operating ledger | UNKNOWN | no complete revenue, collections or expense ledger for 2004 to 2006; only NOI totals are printed | ST1 prospectus ST2 announcement |
| actual noi 2007 onward | UNKNOWN | after the frozen date; not available | ST1 prospectus ST2 announcement |
| filed dscr denominator | UNKNOWN | the filing does not print the debt service behind the filed DSCR; the simple coupon proxy gives a different ratio | ST1 prospectus ST2 announcement |
| deregulated units 2006 | UNKNOWN | the folder gives a projected 2011 count, not a current count or unit-level legal status | ST1 prospectus ST2 announcement |
| collections 2006 | UNKNOWN | occupancy and average rent do not measure cash collected, arrears, concessions or other income | ST1 prospectus ST2 announcement |
Dated assumptions and formulas
| ID | Dated | Assumption | Sources |
|---|---|---|---|
| A1 | Analysis date is the ST1 publication date; nothing later is used. | ST1 prospectus | |
| A2 | Each 'YYYY NOI' row is treated as a reported calendar-year historical figure exactly as printed; it is not audited collections. | ST1 prospectus | |
| A3 | Annual senior interest = whole principal x coupon, a simple annual coupon with no day-count, fee or reserve adjustment. | ST1 prospectus | |
| A4 | Forecast growth spans 5 annual periods, from the last historical year 2006 to the underwriting year 2011 named in footnote (2). | ST1 prospectus | |
| A5 | The transaction price denominator is the ST2 acquisition price; the ST1 as-is appraisal is a separate valuation that happens to print the same amount. | ST2 announcement | |
| A6 | The trust share is part of the whole senior mortgage and is never added to it; mezzanine is a separate layer whose rate is not applied to the mortgage. | ST1 prospectus |
All 56 figures with value, unit, formula and sources
| Figure | Value | Unit | Formula | Sources |
|---|---|---|---|---|
| Whole senior mortgage | $3,000,000,000 | USD | ST1 Annex C footnote (1), as printed | ST1 prospectus |
| Trust share of senior mortgage | $800,000,000 | USD | ST1 cut-off principal in this trust, as printed | ST1 prospectus |
| Trust share as part of whole | 26.67% | percent | trust share / whole senior x 100 | ST1 prospectus |
| Separate mezzanine principal | $1,400,000,000 | USD | ST1 Annex C mezzanine, as printed | ST1 prospectus |
| Senior plus mezzanine principal | $4,400,000,000 | USD | whole senior + mezzanine (trust share excluded: it is inside the whole senior) | ST1 prospectus |
| Senior coupon | 6.4340% | percent per year | ST1 mortgage rate, as printed | ST1 prospectus |
| Mezzanine rate as printed | 6.277% | percent | ST1 mezzanine rate, as printed; not applied to mortgage | ST1 prospectus |
| Annual whole senior interest | $193,020,000 | USD per year | whole senior principal x coupon / 100 | ST1 prospectus |
| Coupon interest on trust share only | $51,472,000 | USD per year | trust share principal x coupon / 100 (inside the whole, not added) | ST1 prospectus |
| Disclosed transaction price | $5,400,000,000 | USD | ST2 acquisition price, as printed | ST2 announcement |
| As-is appraisal, 2006-11-01 | $5,400,000,000 | USD | ST1 as printed | ST1 prospectus |
| As-stabilized appraisal, 2011-01-01 (projected) | $6,900,000,000 | USD | ST1 as printed; a projected 2011 value | ST1 prospectus |
| Whole senior over price | 55.56% | percent | whole senior / price x 100 | ST1 prospectus ST2 announcement |
| 2004 NOI (historical) | $92,102,906 | USD per year | ST1 '2004 NOI', as printed | ST1 prospectus |
| 2004 NOI minus senior interest | -$100,917,094 | USD per year | 2004 NOI - senior interest | ST1 prospectus |
| 2004 coverage of whole senior interest | 0.4772x | x | 2004 NOI / senior interest | ST1 prospectus |
| 2004 NOI / price | 1.706% | percent | 2004 NOI / price x 100 | ST1 prospectus ST2 announcement |
| 2005 NOI (historical) | $98,862,497 | USD per year | ST1 '2005 NOI', as printed | ST1 prospectus |
| 2005 NOI minus senior interest | -$94,157,503 | USD per year | 2005 NOI - senior interest | ST1 prospectus |
| 2005 coverage of whole senior interest | 0.5122x | x | 2005 NOI / senior interest | ST1 prospectus |
| 2005 NOI / price | 1.831% | percent | 2005 NOI / price x 100 | ST1 prospectus ST2 announcement |
| Change 2005 vs 2004 | $6,759,591 | USD per year | 2005 NOI - 2004 NOI | ST1 prospectus |
| Change 2005 vs 2004 | 7.34% | percent | (2005 NOI / 2004 NOI - 1) x 100 | ST1 prospectus |
| Coverage change 2005 vs 2004 | 0.0350x | x | coverage 2005 - coverage 2004 | ST1 prospectus |
| 2006 NOI (historical) | $112,242,474 | USD per year | ST1 '2006 NOI', as printed | ST1 prospectus |
| 2006 NOI minus senior interest | -$80,777,526 | USD per year | 2006 NOI - senior interest | ST1 prospectus |
| 2006 coverage of whole senior interest | 0.5815x | x | 2006 NOI / senior interest | ST1 prospectus |
| 2006 NOI / price | 2.079% | percent | 2006 NOI / price x 100 | ST1 prospectus ST2 announcement |
| Change 2006 vs 2005 | $13,379,977 | USD per year | 2006 NOI - 2005 NOI | ST1 prospectus |
| Change 2006 vs 2005 | 13.53% | percent | (2006 NOI / 2005 NOI - 1) x 100 | ST1 prospectus |
| Coverage change 2006 vs 2005 | 0.0693x | x | coverage 2006 - coverage 2005 | ST1 prospectus |
| Underwriting year | 2,011 | calendar year | ST1 footnote (2): 'cash flows for 2011' | ST1 prospectus |
| Compounding periods | 5 | years | underwriting year - last historical year | ST1 prospectus |
| Underwritten revenues | $481,725,392 | USD per year | ST1 as printed | ST1 prospectus |
| Underwritten total expenses | $145,569,012 | USD per year | ST1 as printed | ST1 prospectus |
| Underwritten NOI (forecast, 2011) | $336,156,380 | USD per year | ST1 as printed; equals revenues - expenses | ST1 prospectus |
| Underwritten NOI / price | 6.225% | percent | UW NOI / price x 100 | ST1 prospectus ST2 announcement |
| Forecast minus observed 2006 | $223,913,906 | USD per year | UW NOI - 2006 NOI | ST1 prospectus |
| Total growth needed | 199.49% | percent | (UW NOI / 2006 NOI - 1) x 100 | ST1 prospectus |
| Annual compounded growth needed | 24.53% | percent per year | ((UW NOI / 2006 NOI) ** (1 / periods) - 1) x 100 | ST1 prospectus |
| NOI needed to cover senior interest | $193,020,000 | USD per year | NOI at 1.00x = senior interest | ST1 prospectus |
| Total growth to reach 1.00x | 71.97% | percent | (senior interest / 2006 NOI - 1) x 100 | ST1 prospectus |
| Annual compounded growth to reach 1.00x | 11.45% | percent per year | ((senior interest / 2006 NOI) ** (1 / periods) - 1) x 100 | ST1 prospectus |
| Filed underwritten DSCR | 1.71x | x | ST1 as printed; uses 2011 cash flows | ST1 prospectus |
| Simple coupon proxy on forecast NOI | 1.7416x | x | UW NOI / simple senior interest | ST1 prospectus |
| Lowest denominator consistent with filed DSCR | $196,009,551 | USD per year | UW NOI / (filed DSCR + rounding half-step), floored | ST1 prospectus |
| Highest denominator consistent with filed DSCR | $197,159,167 | USD per year | UW NOI / (filed DSCR - rounding half-step), floored | ST1 prospectus |
| Collateral unit count | 11,227 | units | ST1 as printed | ST1 prospectus |
| Transaction-wide unit count | 11,232 | units | ST2 as printed | ST2 announcement |
| Physical occupancy | 98.3% | percent | ST1 as printed (November 2006, physical) | ST1 prospectus |
| Average monthly rent per unit | $1,707 | USD per unit-month | ST1 as printed | ST1 prospectus |
| Occupancy x rent product, not collections | $226,064,312 | USD per year | units x occupancy / 100 x average rent x 12 (arithmetic only) | ST1 prospectus |
| Rent product / UW revenues | 46.93% | percent | rent product / UW revenues x 100 | ST1 prospectus |
| Projected deregulated units by 2011-01-01 | 6,397 | units, projected | ST1 footnote (2), as printed | ST1 prospectus |
| Projected deregulated share | 56.98% | percent | projected deregulated units / collateral units x 100 | ST1 prospectus |
| Interest-only period | 120 | months | ST1 as printed | ST1 prospectus |
Input and source ledger
All 27 parsed inputs with file, line and verbatim quote
| Input | File and line | Quote | Source |
|---|---|---|---|
| Collateral unit count | collateral.txt line 4 | Size (Units) 11,227 | ST1 prospectus |
| Physical occupancy, November 2006 | collateral.txt line 5 | Percentage Physical Occupancy as of November 2006 98.3% | ST1 prospectus |
| As-is appraisal, 2006-11-01 | collateral.txt line 6 | Appraisal Value (As-Is) as of November 1, 2006 $5,400,000,000 | ST1 prospectus |
| As-stabilized appraisal, 2011-01-01 (projected) | collateral.txt line 7 | Appraisal Value (As-Stabilized) as of January 1, 2011 $6,900,000,000 | ST1 prospectus |
| Average monthly rent | collateral.txt line 8 | Average Monthly Rent Per Unit $1,707 | ST1 prospectus |
| Underwritten revenues | collateral.txt line 9 | Underwritten Revenues $481,725,392 | ST1 prospectus |
| Underwritten total expenses | collateral.txt line 10 | Underwritten Total Expenses $145,569,012 | ST1 prospectus |
| Underwritten NOI | collateral.txt line 11 | Underwritten Net Operating Income (NOI) $336,156,380 | ST1 prospectus |
| 2004 NOI | collateral.txt line 14 | 2004 NOI $92,102,906 | ST1 prospectus |
| 2005 NOI | collateral.txt line 13 | 2005 NOI $98,862,497 | ST1 prospectus |
| 2006 NOI | collateral.txt line 12 | 2006 NOI $112,242,474 | ST1 prospectus |
| Origination date | collateral.txt line 17 | Origination Date November 17, 2006 | ST1 prospectus |
| Cut-off principal in trust | collateral.txt line 18 | Cut-off Date Principal Balance $800,000,000 (1) | ST1 prospectus |
| Mortgage rate | collateral.txt line 19 | Mortgage Rate 6.4340% | ST1 prospectus |
| Amortization type | collateral.txt line 20 | Amortization Type Interest Only | ST1 prospectus |
| Interest-only period | collateral.txt line 21 | IO Period (Months) 120 | ST1 prospectus |
| Original term | collateral.txt line 22 | Original Term to Maturity (Months) 120 | ST1 prospectus |
| Filed underwritten DSCR on NOI | collateral.txt line 23 | Underwritten DSCR on NOI 1.71x | ST1 prospectus |
| Whole mortgage loan amount (footnote 1) | collateral.txt line 25 | originated in the amount of $3,000,000,000 of which $800,000,000 is included in the trust | ST1 prospectus |
| Filed ratios use whole loan (footnote 1) | collateral.txt line 25 | Calculations of LTV, DSCR and loan balance per unit are based on the whole loan amount | ST1 prospectus |
| Underwriting cash-flow year (footnote 2) | collateral.txt line 26 | rely on cash flows for 2011 | ST1 prospectus |
| Projected deregulated units | collateral.txt line 26 | resulting in 6,397 deregulated units by January 1, 2011 | ST1 prospectus |
| Mezzanine principal | collateral.txt line 28 | Original mezzanine loan amount $1,400,000,000, interest rate | ST1 prospectus |
| Mezzanine interest rate | collateral.txt line 28 | interest rate 6.277%; the $3,000,000,000 mortgage | ST1 prospectus |
| Disclosed acquisition price | acquisition.txt line 1 | The acquisition price was $5.4 billion | ST2 announcement |
| Transaction-wide unit count | acquisition.txt line 1 | counts 11,232 apartment units | ST2 announcement |
| Collateral count restated by ST2 file | acquisition.txt line 1 | collateral table counts 11,227 units | ST2 announcement |
Timeline
- 2004 NOI reported in ST1 record ST1 prospectus
- 2005 NOI reported in ST1 record ST1 prospectus
- 2006 NOI reported in ST1 record ST1 prospectus
- As-is appraisal date record ST1 prospectus
- Physical occupancy measured record ST1 prospectus
- Mortgage originated record ST1 prospectus
- Acquisition announcement record ST2 announcement
- Prospectus filed; this audit is frozen here record ST1 prospectus
- Projected stabilization and deregulated-unit count date forecast ST1 prospectus
- Underwriting cash-flow year behind filed DSCR forecast ST1 prospectus
Sources
- ST1 prospectus: ML-CFC Commercial Mortgage Trust 2007-5 final prospectus, published , Annex C Peter Cooper Village and Stuyvesant Town property and mortgage loan information and footnotes.
- ST2 announcement: Buyer adviser acquisition announcement, published , opening two paragraphs.