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Part. V/ Signature of Author Christopher F Ar&% -- - - - - - -- -Aw - - -- - - - , "' - I I - , - 1. COMMERCIAL MORTGAGE BACKED SECURITIES: CAN THEY SURVIVE THE REAL ESTATE RECOVERY? by Christopher F. Hughes Bachelor of Science University of Maryland (1984) Submitted to the Department of Urban Studies and Planning in Partial Fulfillment of the Requirements for the Degree of Masters of Science in Real Estate Development at the Massachusetts Institute of Technology September 1994 © Christopher F. Hughes 1994 The author hereby grants ty' IT permission to produce and to distribute publicly paper and electropc copjes of this thesi d9 9ument in whole or in part. v/ Signature of Author Christopher F. Hughes Department of Urban Studies and Planning July 31, 1994 Certified byC. Wheaton Professor of Economics Thesis Supervisor Certified by .c 1 " W. Tod McGrath Center for Real Estate Thesis Reader Accepted by William C. Wheaton Chairman Interdepartmental Degree Program in Real Estate Development MASSACHUSETTS INSTITUTE OF TECHNOLOry 1OCT 04112-4 10it5BM COMMERCIAL MORTGAQE BACKED SECURITIES: CAN THEY SURVIVE THE REAL ESTATE RECOVERY? by Christopher F. Hughes Submitted to the Department of Urban Studies and Planning on July 31, 1994 in Partial Fulfillment of the Requirements for the Degree of Master of Science in Real Estate Development at the Massachusetts Institute of Technology. ABSTRACT The real estate recession of the late 1980s and early 1990s resulted in a tremendous drop in real estate values. This condition led to much higher default probability or (outright default) of most real estate debt. As market values of real estate debt dropped, the portfolios of most traditional lending institutions were, at best, diminishing below book value and, at worst, causing these lending institutions to fail. As these institutions failed, their assets (mortgages) and liabilities (deposits) became the property and responsibility of the federal institutions which insured them. In order to liquidate a multi-billion dollar portfolio of distressed assets, federal insurers repackaged these assets into a new investment vehicle which appealed to a broader class of investors -- the commercial mortgage- backed security (CMBS). As the viability of the CMBS market became evident, solvent lending institutions began to use CMBSs to dispose their problem mortgages. Evidence of the feasibility of the CMBS came early in the form of substantial underwriting activity. CMBS issues jipmped from $4.6 billion in 1991 to $16.6 billion in 1992. As this market became established as a legitimate investment alternative for investors seeking to invest in real estate debt, the market began to attract non-distressed mortgage issues. This paper will look at the issues which shape the viability of the CMBS market. At its core, this paper will investigate whether the CMBS market can survive the withdrawal of federal agencies, as these agencies have virtually completed the sale of their problem mbrtgages. As federal agencies leave the CMBS market, a key question is whether other mortgage holders will be able to continue to supply economically viable commercial mortgages for securitization. Thesis Supervisor: William C. Wheaton Title: Professor of Economics Thesis Reader: W. Tod McGrath Center for Real Estate Table of Contents CHAPTER ONE ................................................... .... 4 I. Why Purchase Whole Commercial Loans?..................... ................ 4 II. Why purchase Commercial Mortgage-Backed Securities?..... .... 10 C HA PTE R 2.............................................................................................................. 14 I. What is Securitized Debt (CMBS)...................................................... 14 Pass-Throughs................................................................................. 14 Mortgage Backed Bonds ................................................................ 15 Collateralized Mortgage Obligations............................................ 16 Real Estate Mortgage Conduits....................................................18 II. CMBS offering structures.................................................................. 19 C HA PTER 3............................................................................................................ 25 I. The Role of Rating Agencies in the CMBS Market........................... 25 II. Determining amount of Credit Enhancement...................................33 CH APTE R FO U R ................................................................................................... 41 The Future of the Commercial Mortgage Backed Securities Market..............................................41 I. Supply Side Analysis .................................................................. 45 Life Insurance Companies ................................................. 46 Owner/Developers ................................................................ 54 C onduits ............................................................................... 57 Real Estate Investment Trusts (REITs)....................... 62 Investment Banks..............................................................66 Commercial Banks ............................................................. 68 II. Demand Side Analysis ............................................................. 69 III. Additional CMBS Obstacles...................................................72 C O N CLU SION ....................................................................................................... 74 BIBLIOGRAPHY.......................................................................... 76 CHAPTER ONE As recently as several years ago investors interested in real estate debt had very few investment products from which to choose. Since that time, largely as a result of the severe real estate recession of the late 1980's, many new real estate investment alternatives have emerged to attract capital to the real estate market. With regards to the commercial real estate debt markets, investors have been historically limited to purchasing whole mortgages. Recently, a new investment alternative, commercial mortgage-backed securities, has experienced significant growth. This chapter will review the features of both whole mortgages and CMBS issues and explain why each has been attractive to investors. I. Why Purchase Whole Commercial Loans? Whole-loan commercial mortgages are a note secured by a lien on a real estate asset. Historically, investors have been drawn to this investment class as result of its risk-adjusted yield relative to comparable investment alternatives. Over the past ten years the spread between whole loan commercial mortgages and U.S. treasury issues of a like maturity has ranged from under 100 basis points to over three hundred basis points. A more meaningful interpretation of this data can be generated by extrapolating commercial mortgage data into an index form and then ~- comparing this index to indexes which track other comparable asset classes when defined in terms of risk. A common measure of risk is the standard deviation of returns. That is, how broad a range do the returns, from a given asset class, cover. As the graph below illustrates the standard deviation for commercial mortgages as measured by the Salomon-Levy Index II, an index which account for loss severity, compares favorable with the Salomon BIG index, which represents the corporate bond market. Standard Deviation and Risk-Adjusted Rate of Return Comparison 1983-1992 Standard Deviation Risk-Adjusted Return Salomon-Levy Index II 5.31 .880 Salomon Big Index 5.74 .774 Sources: Institutional Investor, Inc. Callan Associates, Inc. Quantitative Consulting Salomon Brothers Using data from the American Council of Life Insurers (ACLI), indexes have been generated for the commercial mortgage market. These indexes include the Solomon-Levy Index (S/L), which as shown above indicates that mortgages have historically performed significantly better than corporate bonds. In addition the S/L index, the Berkshire-Barnes Mortgage Index also looks at returns on commercial mortgages. When this commercial mortgage indexes is compared to Lehman Brothers corporate bond index, as well as Lehman Brothers Government/Corporate index, and Lehman Brothers treasury index, it to indicates that commercial mortgages offer a very attractive yield. This point is illustrated in the graph below. Average Annual Returns for Various Intervals 12.00% C:'.00% .E m [ 1-Year 5-Year 10-Year 20-Year L-B ||| L-B Corp. IMBBMI l L-B Gov/Corp. Treasurys Sources: L-B Gov/Corp: Lehman Brothers Goverment Corporate Index L-B Corp: Lehman Brothers Corporate Index BBMI: Bershire Barnes Mortgage Index L-B Treasury: Lehman Brothers Treasury Index It is important to note the spread between commercial mortgages and treasuries (illustrated below). As the incidence of default increased during the late 1980's and early 1990's the spread between commercial mortgages and treasuries increased. This was due to several factors including an increased default rate by commercial mortgagors and an increase increasing imbalance between the supply of and demand for mortgage credit; specifically, an unwillingness of the part of traditional lenders (life insurance companies and commercial banks) to lend, and an increased demand for funds stemming from the large volume of commercial loans scheduled for repayment over the same period. Quarterly Spread of Commercial Mortgages Over Comparable Treasurys w> 300 c: 250 a 200 c, 150 Co 100o 00 50 1983 1986
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