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1 M O Q D MDOQ1 COMMERCIAL / MULTIFAMILY MORTGAGE DEBT OUTSTANDING | Q1 2016 This data is provided by MBA solely for use as a reference. No part of the survey or data may be reproduced, stored in a retrieval system, transmitted or redistributed in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without MBA’s prior written consent. 16480 mba.org/research © 2016 Mortgage Bankers Association (MBA). All rights reserved, except as explicitly granted. 1919 M Street NW, 5th Floor, Washington, DC 20036 | (202) 557-2700 This data is provided by MBA solely for use as a reference. No part of the survey or data may be reproduced, stored in a retrieval system, transmitted or redistributed in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without MBA’s prior written consent. Disclaimer Although the MBA takes great care in producing this and all related data products, the MBA does not guarantee that the information is accurate, current or suitable for any particular purpose. The referenced data are provided on an “as is” basis, with no warranties of any kind whatsoever, either express or implied, including, but not limited to, any warranties of title or accuracy or any implied warranties of merchantability or fitness for a particular purpose. Use of the data is at the user’s sole risk. In no event will MBA be liable for any damages whatsoever arising out of or related to the data, including, but not limited to direct, indirect, incidental, special, consequential or punitive damages, whether under a contract, tort or any other theory of liability, even if MBA is aware of the possibility of such damages. COMMERCIAL / MULTIFAMILY REAL ESTATE MORTGAGE DEBT OUTSTANDING Q1 2016 4. Commercial/Multifamily Mortgage Debt Outstanding First Quarter 2016 The level of commercial/multifamily mortgage debt outstanding increased by $35.3 billion in the first quarter of 2016, as three of the four major investor groups increased their holdings. That is a 1.2 percent increase over the fourth quarter of 2015. Commercial Multifamily Mortgage Debt Outstanding By Investor Group, First Quarter 2016 Total commercial/multifamily debt outstanding rose to $2.86 trillion at the end of the first quarter. Multifamily mortgage debt outstanding rose to $1.07 trillion, an increase of $18.2 billion, or 1.7 percent, from the fourth quarter of 2015. “The amount of commercial and multifamily mortgage debt outstanding continues to grow at a strong clip,” said Jamie Woodwell, MBA’s Vice President of Commercial Real Estate Research. “Bank holdings and multifamily loans backed by Fannie Mae and Freddie Mac drove growth during the quarter. However, the balance of loans held in commercial mortgage-backed securities continues to decline and has now fallen by one third since it peaked in 2007, as more CMBS loans are paid-off and paid down than are originated.” The four major investor groups are: bank and thrift; commercial mortgage backed securities (CMBS), collateralized debt obligation (CDO) and other asset backed securities (ABS) issues; federal agency and government sponsored enterprise (GSE) portfolios and mortgage backed securities (MBS); and life insurance companies. The analysis summarizes the holdings of loans or, if the loans are securitized, the form of the security. For example, many life insurance companies invest both in whole loans for which they hold the mortgage note (and which appear in this data under Life Insurance Companies) and in CMBS, CDOs and other ABS for which the security issuers and trustees hold the note (and which appear here under CMBS, CDO and other ABS issues). Commercial banks continue to hold the largest share of commercial/multifamily mortgages, $1.1 trillion, or 39 percent of the total. CMBS, CDO and other ABS issues are the second largest holders of commercial/multifamily mortgages, holding $504 billion, or 18 percent of the total. Agency and GSE portfolios and MBS hold $472 billion, or 17 percent of the total, and life insurance companies hold $398 billion, or 14 percent of the total. Many life insurance companies, banks and the GSEs purchase and hold CMBS, CDO and other ABS issues. These loans appear in the “CMBS, CDO and other ABS” category. MULTIFAMILY MORTGAGE DEBT OUTSTANDING Looking solely at multifamily mortgages, agency and GSE portfolios and MBS hold the largest share, with $472 billion, or 44 percent of the total multifamily debt outstanding. They are followed by banks and thrifts with $352 billion, or 33 percent of the total. State and local government hold $94 billion, or 9 percent of the total; life insurance companies hold $62 billion, or 6 percent of the total; CMBS, CDO and other ABS issues hold $57 billion, or 5 percent of the total, and nonfarm noncorporate business holds $13 billion, or one percent of the total. CHANGES IN COMMERCIAL/MULTIFAMILY MORTGAGE DEBT OUTSTANDING In the first quarter of 2016, banks and thrifts saw the largest increase in dollar terms in their holdings of commercial/multifamily mortgage debt – an increase of $26.4 billion, or 2.5 percent. Agency and GSE portfolios and MBS increased their holdings by $11.3 billion, or 2.5 percent, and life insurance companies increased their holdings by $5.0 billion, or 1.3 percent. CMBS, CDO and other ABS issues saw the largest decrease at $11.7 billion, or down 2.3 percent. In percentage terms, other insurance companies saw the largest increase in their holdings of commercial/multifamily mortgages, an increase of 8 percent. CMBS, CDO and other ABS issues saw their holdings decrease 2.3 percent. CHANGES IN MULTIFAMILY MORTGAGE DEBT OUTSTANDING The $18.2 billion increase in multifamily mortgage debt outstanding between the fourth quarter of 2015 and first quarter of 2016 represents a 1.7 percent increase. In dollar terms, agency and GSE portfolios and MBS saw the largest increase in their holdings of multifamily mortgage debt, an increase of $11.3 billion, or 2.5 percent. Commercial banks increased their holdings of multifamily mortgage debt by $8.0 billion, or 2.3 percent. State and local government increased by $2.7 billion, or 2.9 percent. CMBS, CDO and other ABS issues saw the largest decline in their holdings of multifamily mortgage debt, by $5.7 billion, or down 9.2 percent. In percentage terms, REITs recorded the largest increase in holdings of multifamily mortgages, at 6 percent. CMBS, CDO and other ABS issues saw the biggest decrease at 9 percent. MBA’s complete Commercial/Multifamily Mortgage Debt Outstanding report can be downloaded here. MBA’s analysis is based on data from the Federal Reserve Board’s Financial Accounts of the United States, the Federal Deposit Insurance Corporation’s Quarterly Banking Profile and data from Wells Fargo Securities. More information on this data series is contained in Appendix A. COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING Total Commercial and Multifamily Mortgage Debt Outstanding, by Quarter ($millions) 3,500,000 3,000,000 2,500,000 2,000,000 1,500,000 1,000,000 500,000 2007Q1 2007Q2 2007Q3 2007Q 2008Q1 2008Q2 2008Q3 2008Q 2009Q1 2009Q2 2009Q3 2009Q 2010Q1 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 2011Q3 2011Q4 2012Q1 2012Q2 2012Q3 2012Q4 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4 2015Q1 2015Q2 2015Q3 2015Q4 2016Q1 0 MF Commercial Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC QUARTERLY COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING Commercial and Multifamily Mortgage Debt Outstanding, by Sector Mortgage Debt Outstanding 2016 Q1 2015 Q4 % of % of ($millions) ($millions) total total Change ($millions) Percent Sector Share of $ Change Bank and Thrift 1,103,625 38.6% 1,077,171 38.1% 26,454 2.5% 75.0% CMBS, CDO and other ABS issues 503,690 17.6% 515,346 18.2% -11,656 -2.3% -33.0% Agency and GSE portfolios and MBS 472,477 16.5% 461,171 16.3% 11,306 2.5% 32.1% Life insurance companies 398,228 13.9% 393,246 13.9% 4,982 1.3% 14.1% State and local government 113,351 4.0% 110,146 3.9% 3,205 2.9% 9.1% Federal government 82,449 2.9% 82,196 2.9% 253 0.3% 0.7% REITs 60,295 2.1% 61,037 2.2% -742 -1.2% -2.1% Finance companies 29,078 1.0% 29,760 1.1% -682 -2.3% -1.9% Nonfarm noncorporate business 24,371 0.9% 24,030 0.9% 341 1.4% 1.0% Household sector 21,890 0.8% 21,200 0.8% 690 3.3% 2.0% Private pension funds 19,784 0.7% 19,830 0.7% -46 -0.2% -0.1% Other insurance companies 13,350 0.5% 12,340 0.4% 1,010 8.2% 2.9% Nonfinancial corporate business 12,246 0.4% 12,091 0.4% 155 1.3% 0.4% State and local government retirement funds 4,702 0.2% 4,702 0.2% 0 0.0% 0.0% 35,270 1.2% TOTAL 2,859,536 2,824,266 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC Note: Beginning with the Q2 2014 release, MBA’s analysis of mortgage debt outstanding modifies the data from the Federal Reserve’s Financial Accounts of the United States with respect to loans held in commercial mortgage-backed securities (CMBS) and by real estate investment trusts (REITs). The corrections create differences with previous releases and with the Federal Reserve data. For more information, please see the Appendix to this report. COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING Total Commercial and Multifamily Mortgage Debt Outstanding, by Sector ($millions) 1,103,625 Bank and Thrift 503,690 CMBS, CDO and other ABS issues 472,477 Agency and GSE portfolios and MBS 398,228 Life insurance companies 113,351 State and local government 82,449 Federal government 60,295 REITs 29,078 Finance companies Nonfarm noncorporate business 24,371 Household sector 21,890 Private pension funds 19,784 Other insurance companies 13,350 Nonfinancial corporate business 12,246 4,702 State and local government retirement funds 0 200,000 400,000 600,000 2015Q4 2016Q1 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC 800,000 1,000,000 1,200,000 COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING Total Commercial and Multifamily Mortgage Debt Outstanding, by Selected Sector by Quarter ($millions) 1,200,000 1,000,000 800,000 600,000 400,000 200,000 Agency and GSE portfolios and MBS Bank and Thrift CMBS, CDO and other ABS issues Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC Life insurance companies 2016Q1 2015Q1 2014Q1 2013Q1 2012Q1 2011Q1 2010Q1 2009Q1 2008Q1 2007Q1 2006Q1 2005Q1 2004Q1 2003Q1 2002Q1 2001Q1 2000Q1 1999Q1 1998Q1 1997Q1 1996Q1 1995Q1 0 COMMERCIAL AND MULTIFAMILY MORTGAGE FLOWS Net Change in Commercial and Multifamily Mortgage Debt Outstanding, by Quarter ($millions) 100,000 80,000 60,000 40,000 20,000 0 (20,000) MF Commercial TOTAL Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC 2016Q1 2015Q4 2015Q3 2015Q2 2015Q1 2014Q4 2014Q3 2014Q2 2014Q1 2013Q4 2013Q3 2013Q2 2013Q1 2012Q4 2012Q3 2012Q2 2012Q1 2011Q4 2011Q3 2011Q2 2011Q1 2010Q4 2010Q3 2010Q2 2010Q1 2009Q4 2009Q3 2009Q2 2009Q1 2008Q4 2008Q3 2008Q2 2008Q1 2007Q4 2007Q3 2007Q2 (40,000) COMMERCIAL AND MULTIFAMILY MORTGAGE FLOWS Net Change in Commercial and Multifamily Mortgage Debt Outstanding, by Sector ($millions) 26,454 Bank and Thrift 11,306 Agency and GSE portfolios and MBS 4,982 Life insurance companies 3,205 State and local government 1,010 Other insurance companies 690 Household sector Nonfarm noncorporate business 341 Federal government 253 155 Nonfinancial corporate business 0 State and local government retirement funds (46) Private pension funds (682) (742) Finance companies REITs CMBS, CDO and other ABS issues (20,000) (11,656) (10,000) 0 10,000 2015Q4 20,000 2016Q1 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC 30,000 40,000 50,000 MULTIFAMILY MORTGAGE DEBT OUTSTANDING MULTIFAMILY MORTGAGE DEBT OUTSTANDING Total Multifamily Mortgage Debt Outstanding, by Quarter ($millions) 1,200,000 1,000,000 800,000 600,000 400,000 200,000 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC 2016Q1 2015Q4 2015Q3 2015Q2 2015Q1 2014Q4 2014Q3 2014Q2 2014Q1 2013Q4 2013Q3 2013Q2 2013Q1 2012Q4 2012Q3 2012Q2 2012Q1 2011Q4 2011Q3 2011Q2 2011Q1 2010Q4 2010Q3 2010Q2 2010Q1 2009Q 2009Q3 2009Q2 2009Q1 2008Q 2008Q3 2008Q2 2008Q1 2007Q4 2007Q3 2007Q2 2007Q1 0 QUARTERLY MULTIFAMILY MORTGAGE DEBT OUTSTANDING Multifamily Mortgage Debt Outstanding, by Sector Mortgage Debt Outstanding 2016 Q1 2015 Q4 % of % of ($millions) total ($millions) total Change ($millions) Percent Sector Share of $ Change Agency and GSE portfolios and MBS 472,477 44.1% 461,171 43.8% 11,306 2.5% 62.2% Bank and Thrift 352,061 32.8% 344,060 32.7% 8,001 2.3% 44.0% State and local government 94,459 8.8% 91,788 8.7% 2,671 2.9% 14.7% Life insurance companies 62,464 5.8% 60,613 5.8% 1,851 3.1% 10.2% CMBS, CDO and other ABS issues 56,545 5.3% 62,292 5.9% -5,747 -9.2% -31.6% Nonfarm noncorporate business 13,456 1.3% 13,268 1.3% 188 1.4% 1.0% Federal government 12,786 1.2% 12,847 1.2% -61 -0.5% -0.3% State and local government retirement funds 2,126 0.2% 2,204 0.2% -78 -3.5% -0.4% REITs 1,830 0.2% 1,723 0.2% 107 6.2% 0.6% Private pension funds 1,817 0.2% 1,882 0.2% -65 -3.5% -0.4% Finance companies 1,243 0.1% 1,243 0.1% 0 0.0% 0.0% 471 0.0% 465 0.0% 6 1.3% 0.0% 18,179 1.7% Nonfinancial corporate business TOTAL 1,071,735 1,053,556 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC Note: Beginning with the Q2 2014 release, MBA’s analysis of mortgage debt outstanding modifies the data from the Federal Reserve’s Financial Accounts of the United States with respect to loans held in commercial mortgage-backed securities (CMBS) and by real estate investment trusts (REITs). The corrections create differences with previous releases and with the Federal Reserve data. For more information, please see the Appendix to this report. MULTIFAMILY MORTGAGE DEBT OUTSTANDING Total Multifamily Mortgage Debt Outstanding, by Sector ($millions) 472,477 Agency and GSE portfolios and MBS 352,061 Bank and Thrift 94,459 State and local government 62,464 Life insurance companies 56,545 CMBS, CDO and other ABS issues Nonfarm noncorporate business 13,456 Federal government 12,786 State and local government retirement funds 2,126 REITs 1,830 Private pension funds 1,817 Finance companies 1,243 471 Nonfinancial corporate business 0 50,000 100,000 150,000 200,000 250,000 300,000 350,000 400,000 450,000 500,000 2015Q4 2016Q1 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC MULTIFAMILY MORTGAGE DEBT OUTSTANDING Total Multifamily Mortgage Debt Outstanding, by Selected Sector by Quarter ($millions) 500,000 450,000 400,000 350,000 300,000 250,000 200,000 150,000 100,000 50,000 Agency and GSE portfolios and MBS Bank and Thrift Life insurance companies State and local government Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC CMBS, CDO and other ABS issues 2016Q1 2014Q1 2012Q1 2010Q1 2008Q1 2006Q1 2004Q1 2002Q1 2000Q1 1998Q1 1996Q1 1994Q1 1992Q1 1990Q1 1988Q1 1986Q1 1984Q1 1982Q1 1980Q1 0 MULTIFAMILY MORTGAGE FLOWS Net Change in Multifamily Mortgage Debt Outstanding, by Quarter ($millions) 45,000 40,000 35,000 30,000 25,000 20,000 15,000 10,000 5,000 0 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC 2016Q1 2015Q4 2015Q3 2015Q2 2015Q1 2014Q4 2014Q3 2014Q2 2014Q1 2013Q4 2013Q3 2013Q2 2013Q1 2012Q4 2012Q3 2012Q2 2012Q1 2011Q4 2011Q3 2011Q2 2011Q1 2010Q4 2010Q3 2010Q2 2010Q1 2009Q4 2009Q3 2009Q2 2009Q1 2008Q4 2008Q3 2008Q2 2008Q1 2007Q4 2007Q3 2007Q2 (5,000) MULTIFAMILY MORTGAGE FLOWS Net Change in Multifamily Mortgage Debt Outstanding, by Sector ($millions) 11,306 Agency and GSE portfolios and MBS 8,001 Bank and Thrift 2,671 State and local government 1,851 Life insurance companies Nonfarm noncorporate business 188 REITs 107 6 Nonfinancial corporate business 0 Finance companies Federal government -61 Private pension funds -65 State and local government retirement funds -78 CMBS, CDO and other ABS issues (10,000) -5,747 (5,000) 0 5,000 2015Q4 10,000 2016Q1 Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC 15,000 20,000 APPENDIX A MBA’s analysis is based on data from the Federal Reserve Board’s Financial Accounts of the United States, the Federal Deposit Insurance Corporation’s Quarterly Banking Profile and data from Wells Fargo Securities. Bank Holdings MBA’s analysis of commercial and multifamily mortgage debt outstanding was changed in the fourth quarter of 2010 to exclude two categories of loans that had previously been included; a. loans for acquisition, development and construction and b. loans collateralized by owner-occupied commercial properties. By excluding these loan types, MBA’s analysis more accurately reflects the balance of loans supported by office buildings, retail centers, apartment buildings and other income-producing properties that rely on rents and leases to make their payments. For the first quarter 2016, the Federal Reserve Board’s Flow of Funds Accounts data attributed $1.9 trillion of outstanding commercial and multifamily mortgages to banks and thrifts. Comparing this number to the FDIC’s Quarterly Banking Profile for the same period, one sees that banks and thrifts held $352billion of multifamily mortgages and $1,251.6 billion of non-farm nonresidential mortgages, of which 60 percent or $752 billion were income-producing. The combined $1.10 trillion of mortgages backed by multifamily and other income-producing properties is included in this analysis. The $1.9 trillion total reported by the Federal Reserve also includes $500 billion of loans collateralized by owner-occupied commercial properties and another $279 billion of loans backed by acquisition, development and construction projects (including those for single-family development), which are excluded in from this analysis. Estimated Components of Federal Reserve’s Flow of Funds “Commercial and Multifamily Mortgages” Held by Banks and Thrifts ($Billions) Multifamily mortgages, $352.1 Incomeproducing commercial mortgages, $751.6 Constructio n loans, $278.9 Owneroccupied commercial mortgages, $500.0 Source: MBA, Federal Reserve Board of Governors, and FDIC Mortgages in CMBS and held by REITs Beginning with its Q2 2014 release, the Federal Reserve’s Financial Accounts of the United States adjusted its balance of commercial mortgages held in CMBS and by REITs to reflect the impact of FAS 167 and its implications for how entities report certain securitized mortgages on their balance sheets. The effect of this change was to inflate the balance of mortgages appearing under REITs by approximately $130 billion and to reduce the balance appearing under CMBS by the same amount. From an accounting perspective, such changes are required, but the changes lead to a significant distortion of the size of the CMBS and REIT markets. For CMBS, MBA corrects for this by relying on data from Wells Fargo Securities to size the balance of commercial and multifamily mortgages in CMBS. (The analysis continues to rely on the Financial Accounts of the United States to size multifamily balances held in CMBS, as the FAS 167 adjustments did not affect them.) For REIT balances, MBA uses Fed data to reverse the FAS 167 inclusions and thus to report the mortgages, and not securitized assets, that REITs hold. The full corrected series are available as a part of MBA’s CREF Database. Contact [email protected] for more information. Purchase ground-breaking, comprehensive mortgage origination information. 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