COMPENDIUM OF STATISTICS Last Update: February 3, 2015 Pension Real Estate Association 100 Pearl Street Hartford, CT 06103 O: 860-692-6341 F: 860-692-6351 www.prea.org [email protected] TABLE OF CONTENTS Exhibit Page 1 ............................ Real Estate Properties Sales Volume – Properties over $2.5 million 2 .................................................................Sales of Large Commercial Properties Chart 3 ....................................... Capitalization Rates – U.S. Core Properties over $2.5 million 4 ..................................................... NCREIF U.S. Property Returns: Annual & Quarterly 4A .................................................... NCREIF U.S Property Returns – by Property Type 5 ..........................................................................................IPD Global Property Returns 6 ................................................................ ………PREA | IPD U.S. Property Fund Index 7 ................................................................................................................. REIT Returns 8 ....................................................... MPF Research – Apartment Market Fundamentals 9 .................... CoStar Group Inc. / PPR – Property Type Fundamentals: Office & Retail 9A.. CoStar Group Inc. / PPR – Property Type Fundamentals: Apartment & Warehouse 10…... Quarterly Comparative Rates: NCREIF Cap Rates/Income Returns vs. Treasurys 11 .... Quarterly Comparative Rates: REIT Dividend Yields/BAA Corporates vs Treasurys 12 ....................................................................... CMBS Issuance – Breakdown by Period 13 ....................................................................................................CMBS Issuance Chart 14 ................................................... CMBS Delinquencies – All Properties 2003 - Present 14A.....................................................................CMBS Delinquencies - by Property Type 15 ............................................. Giliberto-Levy Commercial Mortgage Performance Index 16 .............................................................................................................. CMBS Spreads 17 ....................... Holders of Commercial & Multifamily Mortgage Loans – Historical Data 18 ......... Holders of Commercial & Multifamily Mortgage Loans – Percentage Distribution 19 .......................... Economic Indicators: Consumer Price Index / New Residential Sales 20 ................................... Economic Indicators: Unemployment / Gross Domestic Product 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 For questions about the Compendium contact: Jack Nowakowski, [email protected]; 860-692-6341 Pension Real Estate Association 100 Pearl Street Hartford, CT 06103 O: 860-692-6341 F: 860-692-6351 www.prea.org [email protected] Exhibit 1 Real Estate Properties Sales Volume - Properties over $2.5 million ($ billions) All Properties Office % of Total Industrial % of Total Retail % of Total Updated January 22, 2015 Apartment % of Total % of Total Hotel % of Total Land 2001 89.6 39.0 43.5% 16.0 17.8% 14.0 15.6% 20.7 23.1% NA NA 2002 106.1 40.1 37.8% 13.0 12.2% 28.5 26.9% 24.5 23.1% NA NA 2003 131.2 47.4 36.1% 15.6 11.9% 36.2 27.6% 32.0 24.4% NA NA 2004 213.3 74.4 34.9% 25.3 11.9% 61.1 28.6% 52.5 24.6% NA 2005 365.4 107.6 29.4% 51.8 14.2% 58.0 15.9% 98.8 27.0% 29.8 8.2% 19.5 2006 426.8 144.3 33.8% 55.6 13.0% 63.8 15.0% 98.9 23.2% 43.2 10.1% 20.9 4.9% 2007 573.4 213.7 37.3% 61.5 10.7% 81.4 14.2% 105.1 18.3% 80.7 14.1% 31.0 5.4% 2008 174.9 59.3 33.9% 27.5 15.7% 25.4 14.5% 43.0 24.6% 11.6 6.6% 8.1 4.6% 2009 68.4 17.8 26.0% 10.8 15.8% 16.3 23.9% 17.9 26.1% 3.2 4.7% 2.4 3.5% 2010 146.5 46.8 31.9% 20.9 14.2% 23.1 15.8% 37.3 25.5% 14.4 9.8% 4.1 2.8% 2011 234.1 66.9 28.6% 36.3 15.5% 44.6 19.0% 58.6 25.0% 20.1 8.6% 7.6 3.3% 2012 297.5 79.4 26.7% 39.3 13.2% 57.0 19.2% 87.5 29.4% 20.6 6.9% 13.8 4.6% 2013 362.2 103.5 28.6% 47.9 13.2% 62.9 17.4% 102.8 28.4% 27.3 7.5% 17.8 4.9% 2014 423.9 118.8 28.0% 54.4 12.8% 82.6 19.5% 112.4 26.5% 34.6 8.2% 21.1 5.0% 2014 Jan 32.3 10.4 32.2% 4.9 15.0% 6.7 20.6% 6.5 20.2% 1.7 5.3% 2.2 6.7% Feb 34.3 6.6 19.1% 4.2 12.4% 12.2 35.6% 5.7 16.5% 4.3 12.7% 1.3 3.7% Mar 24.9 7.1 28.3% 3.3 13.3% 3.9 15.8% 7.1 28.7% 1.8 7.3% 1.6 6.5% 91.5 24.0 26.3% 12.4 13.6% 22.8 24.9% 19.3 21.1% 7.9 8.6% 5.1 5.5% Q1 NA 5.3% Apr 29.0 6.4 22.2% 4.2 14.6% 4.3 14.9% 10.5 36.1% 1.6 5.4% 2.0 6.8% May 30.2 9.7 32.0% 3.8 12.5% 4.8 15.8% 7.5 24.7% 2.8 9.3% 1.7 5.7% Jun 36.7 11.4 31.0% 4.6 12.4% 6.6 17.9% 8.5 23.1% 3.8 10.4% 1.9 5.2% 96.0 27.5 28.6% 12.6 13.1% 15.7 16.3% 26.4 27.5% 8.2 8.6% 5.6 5.8% Q2 Jul 36.4 9.8 27.0% 3.7 10.2% 7.8 21.3% 10.7 29.5% 2.9 7.9% 1.5 4.1% Aug 35.1 10.6 30.0% 4.7 13.4% 6.1 17.3% 8.9 25.3% 3.4 9.6% 1.5 4.3% Sep 38.6 10.9 28.3% 4.6 11.9% 6.1 15.7% 12.0 31.1% 3.1 8.0% 1.9 5.0% 110.2 31.3 28.4% 13.0 11.8% 19.9 18.1% 31.7 28.7% 9.3 8.5% 5.0 4.5% Oct 43.7 11.6 26.4% 5.1 11.7% 10.4 23.9% 12.2 28.0% 2.7 6.1% 1.7 3.9% Nov 32.6 8.3 25.6% 3.9 12.0% 6.7 20.7% 9.3 28.5% 3.1 9.7% 1.2 3.6% Dec 49.9 16.1 32.2% 7.4 14.8% 7.0 14.1% 13.4 26.9% 3.3 6.7% 2.6 5.2% 126.2 36.0 28.5% 16.4 13.0% 24.2 19.2% 35.0 27.7% 9.2 7.3% 5.5 4.3% Q3 Q4 Source: Real Capital Analytics. Data from past periods may differ from previous reports due to updated information and methodology revisions. Cap rates for hotels are based on a 12-month average, 3-months for all other property types. © 2015, Pension Real Estate Association 3 Exhibit 2 Sales of Large Commercial Properties Updated January 22, 2015 700 600 573 500 427 400 424 $ billions 365 362 298 300 234 213 200 175 146 131 100 90 119 106 75 68 75 92 92 96 110 126 0 All Office Industrial Retail Apartment Hotel Land Source: Real Capital Analytics. Data from past periods may differ from previous reports due to updated information and methodology revisions. Limited to property deal transactions of $2.5 million or greater. © 2015, Pension Real Estate Association 4 Exhibit 3 Capitalization Rates - U.S. Core Properties over $2.5 million Updated January 22, 2015 All Properties Office Industrial Retail Apartment Hotel 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 8.76 8.59 8.11 7.59 7.03 6.85 6.71 6.85 7.39 7.30 6.96 6.83 6.85 6.73 8.85 8.79 8.48 7.99 7.34 6.87 6.56 7.03 7.95 7.75 7.43 7.15 6.96 6.80 9.06 8.86 8.58 8.06 7.61 7.10 6.89 7.42 8.31 8.39 7.85 7.53 7.56 7.22 8.76 8.69 8.16 7.56 7.02 6.72 6.54 6.83 7.65 7.82 7.51 7.25 7.05 6.83 8.47 8.22 7.59 7.00 6.36 6.26 6.28 6.36 6.83 6.68 6.36 6.20 6.24 6.12 NA NA NA NA 9.31 8.92 8.90 8.88 9.08 8.36 8.06 8.06 8.13 8.19 2014 Jan Feb Mar Q1 6.75 6.74 6.74 6.74 6.84 6.73 6.78 6.79 7.52 7.38 7.27 7.41 6.97 6.87 6.80 6.89 6.16 6.19 6.20 6.18 8.19 8.20 8.23 8.21 Apr May Jun Q2 6.78 6.80 6.82 6.80 6.94 6.98 6.93 6.95 7.24 7.27 7.24 7.25 6.85 6.89 6.87 6.87 6.21 6.19 6.25 6.22 8.22 8.19 8.20 8.20 Jul Aug Sep Q3 6.82 6.81 6.75 6.79 6.84 6.83 6.77 6.81 7.21 7.20 7.22 7.21 6.92 6.85 6.82 6.87 6.22 6.22 6.01 6.14 8.16 8.17 8.21 8.18 Oct Nov Dec Q4 6.66 6.62 6.57 6.62 6.67 6.66 6.69 6.68 7.15 7.15 6.99 7.08 6.73 6.69 6.67 6.70 5.96 5.93 6.05 5.99 8.17 8.17 8.17 8.17 Source: Real Capital Analytics. Data from past periods may differ from previous reports due to updated information and methodology revisions. Limited to property deal transactions of $2.5 million or greater. © 2015, Pension Real Estate Association 5 Exhibit 4 U.S. Property Returns Updated January 29, 2015 25.0 20.5 20.0 18.1 16.1 20.1 16.6 Annual Returns 15.0 10.0 16.2 13.1 13.8 9.4 14.5 14.0 11.2 8.3 8.0 9.6 10.3 7.8 5.0 6.4 2.3 7.5 11.4 16.6 15.8 13.1 12.2 7.3 6.7 9.0 1.4 0.0 ‐5.0 ‐10.0 ‐5.6 ‐4.3 ‐6.5 ‐15.0 ‐16.8 ‐20.0 8.0 6.0 Quarterly Returns 4.0 2.0 0.0 ‐2.0 ‐4.0 ‐6.0 ‐8.0 ‐10.0 Source: National Council of Real Estate Investment Fiduciaries. © 2015, Pension Real Estate Association 6 14.3 11.8 10.5 11.0 Exhibit 4A U.S. Property Returns - By Property Type Apartments 12.0 8.0 Returns 4.0 0.0 -4.0 -8.0 -12.0 Office 12.0 8.0 Returns 4.0 0.0 -4.0 -8.0 -12.0 Retail 12.0 8.0 Returns 4.0 0.0 -4.0 -8.0 -12.0 Industrial 12.0 8.0 Returns 4.0 0.0 -4.0 -8.0 -12.0 Source: National Council of Real Estate Investment Fiduciaries. Last observation: 4Q2014. © 2015, Pension Real Estate Association 7 Updated January 29, 2015 Exhibit 5 Global Property Returns Revised August 25, 2014 Total Returns (%) 2005 2004 Total Return Australia Austria Belgium Canada Denmark Czech Republic Finland France Germany Hungary Republic of Ireland Italy Japan South Korea Netherlands New Zealand Norway Poland Portugal South Africa Spain Sweden Switzerland UK USA 13.8 4.4 12.9 6.7 5.6 10.0 1.4 11.4 8.3 6.4 7.8 16.6 10.4 10.5 23.4 10.8 5.8 5.1 18.3 14.8 16.3 5.7 6.2 18.7 18.1 12.1 7.5 15.4 0.7 18.0 24.4 7.7 12.2 10.2 19.3 15.2 12.9 10.1 30.0 16.9 12.7 5.2 19.1 19.0 2006 2007 2008 2009 2010 2011 2012 2013 19.7 6.7 8.7 18.3 16.9 17.8 10.0 21.9 1.7 16.9 27.2 7.7 13.4 15.3 12.5 23.2 17.6 17.7 12.1 27.3 16.9 16.1 5.9 18.1 15.1 18.4 6.4 9.6 15.9 9.9 14.7 11.3 17.8 4.5 13.0 9.9 9.1 11.3 26.7 11.3 16.9 18.3 15.2 12.2 27.7 12.4 14.7 7.1 -3.4 14.4 0.1 4.1 4.3 3.7 3.1 -0.7 5.3 -0.9 2.8 -3.1 -34.5 3.1 -0.9 4.0 3.3 1.6 -4.6 5.2 2.7 12.8 -3.7 -3.4 6.1 -22.1 -7.4 -2.4 4.0 3.5 -0.3 3.8 -4.8 4.0 -1.4 2.0 -11.9 -23.2 2.1 -6.1 5.4 -0.2 -1.0 4.5 -4.0 0.2 9.1 -9.3 1.1 5.5 3.5 -17.5 9.4 6.0 4.5 11.2 5.3 2.9 7.1 10.0 4.2 2.4 -2.4 5.1 0.6 6.2 4.6 6.2 8.2 5.5 4.3 13.4 4.8 10.3 6.1 15.1 14.8 10.3 6.3 4.7 15.4 4.9 8.1 5.9 8.4 5.3 4.7 -2.4 4.3 3.2 8.6 3.8 7.9 7.4 9.9 0.5 10.3 2.7 10.1 7.8 7.8 14.5 9.5 6.2 3.6 14.2 3.8 4.8 5.9 6.3 4.2 -1.7 3.0 1.6 3.6 7.3 1.2 10.4 4.8 6.4 0.8 14.9 -2.2 6.4 6.8 3.4 10.8 9.6 5.7 3.5 10.7 3.5 4.0 4.4 5.1 5.2 2.1 12.7 2.5 6.0 7.8 0.5 12.4 5.6 4.5 1.3 15.3 0.3 6.8 6.0 10.7 11.4 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 ‐2.0 ‐4.0 2012 2013 Source: Investment Property Databank (IPD). The IPD Index is neither appropriate nor authorized by IPD for use as a benchmark for portfolio or manager performance. More information from IPD is available on PREA's Investor member only web site: http://www.prea.org/planInvestors/index.cfm. © 2014, Pension Real Estate Association 8 Exhibit 6 PREA | IPD U.S. Property Fund Index Updated November 18, 2014 All Open End Funds 10.00 5.00 0.00 -5.00 -10.00 -15.00 -20.00 Capital Return 10.00 Income Return Total return Core Diversified Open End Funds 5.00 0.00 -5.00 -10.00 -15.00 -20.00 Capital Return Income Return Total return Source: Investment Property Databank (IPD). The IPD Index is neither appropriate nor authorized by IPD for use as a benchmark for portfolio or manager performance. More information from IPD is available on PREA's website: http://www.prea.org/IPDintro.cfm. © 2014, Pension Real Estate Association 9 ‐40.0 ‐37.3 ‐20.0 ‐30.0 ‐17.8 ® Source: FTSE/NAREIT , Thomson Reuters Datastream. © 2015, Pension Real Estate Association 10 ‐5.6 ‐0.2 2.3 1.1 3.4 8.7 3.4 4.7 0.3 2.9 2.8 1.2 3.2 7.3 8.3 5.2 20.1 27.2 27.5 27.6 38.5 34.4 30.4 25.9 35.8 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec -15.4 -15.7 -17.5 -30.0 15.5 18.9 18.3 35.7 -20.0 ‐6.5 0.8 12.2 18.6 11.4 -5.6 -4.6 -3.6 -10.0 ‐18.8 ‐10.0 ‐1.8 20.0 19.2 2.3 1.3 9.0 3.3 4.7 0.4 3.0 2.9 1.1 0.0 3.3 2.9 28.0 28.0 28.0 35.1 37.1 31.6 35.3 35.7 30.6 26.4 19.7 13.9 20.3 15.3 14.6 19.7 12.2 8.3 3.8 3.2 21.6 24.4 20.9 19.1 19.2 13.5 8.8 6.0 20.0 ‐17.4 10.0 ‐10.7 40.0 5.9 30.0 14.8 -50.0 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 -37.7 2009 2010 2011 2012 2013 2014 10.0 31.6 25.5 -40.0 28.0 30.0 8.6 Returns 40.0 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Returns Exhibit 7 REIT Returns Updated January 13, 2015 Equity REIT Returns 50.0 0.0 2014 All REIT Returns 60.0 50.0 0.0 ‐50.0 2014 Exhibit 8 Apartment Market Fundamentals sd Updated February 3, 2015 New Supply ‐ Units Completed Demand ‐ Units Absorbed 250,000 450,000 400,000 350,000 300,000 250,000 200,000 150,000 100,000 50,000 0 ‐50,000 ‐100,000 200,000 150,000 100,000 50,000 0 09 10 10 10 10 11 11 11 11 12 12 12 12 13 13 13 13 14 14 14 14 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Quarterly 09 10 10 10 10 11 11 11 11 12 12 12 12 13 13 13 13 14 14 14 14 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Annual Quarterly Occupancy Annual Annual Rent Change 97.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% ‐1.0% ‐2.0% ‐3.0% ‐4.0% ‐5.0% 96.0% 95.0% 94.0% 93.0% 92.0% 91.0% 90.0% 09 10 10 10 10 11 11 11 11 12 12 12 12 13 13 13 13 14 14 14 14 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 09 10 10 10 10 11 11 11 11 12 12 12 12 13 13 13 13 14 14 14 14 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Quarterly Year / Year Source: MPF Research. Last observation: 4Q 2014. © 2015, Pension Real Estate Association 11 Exhibit 9 Property Type Fundamentals: Office & Retail 54 Major US Markets Updated November 18, 2014 Office: Demand & Supply Changes (Quarter/Quarter) - Vacancy Rate 16.0% 0.8% 14.0% 0.6% 0.4% 10.0% 0.2% 8.0% 6.0% 0.0% Vacancy Rate Percent Change 12.0% 4.0% ‐0.2% 2.0% ‐0.4% 05Q1 05Q2 05Q3 05Q4 06Q1 06Q2 06Q3 06Q4 07Q1 07Q2 07Q3 07Q4 08Q1 08Q2 08Q3 08Q4 09Q1 09Q2 09Q3 09Q4 10Q1 10Q2 10Q3 10Q4 11Q1 11Q2 11Q3 11Q4 12Q1 12Q2 12Q3 12Q4 13Q1 13Q2 13Q3 13Q4 14Q1 14Q2 14Q3 0.0% Change in Demand (Q/Q) Change in Supply (Q/Q) Vacancy Retail: Demand & Supply Changes (Quarter/Quarter) - Vacancy Rate 1.4% 9.0% 1.2% 8.0% Percent Change 6.0% 0.8% 5.0% 0.6% 4.0% 0.4% 3.0% 0.2% 2.0% 1.0% ‐0.2% 0.0% 05Q1 05Q2 05Q3 05Q4 06Q1 06Q2 06Q3 06Q4 07Q1 07Q2 07Q3 07Q4 08Q1 08Q2 08Q3 08Q4 09Q1 09Q2 09Q3 09Q4 10Q1 10Q2 10Q3 10Q4 11Q1 11Q2 11Q3 11Q4 12Q1 12Q2 12Q3 12Q4 13Q1 13Q2 13Q3 13Q4 14Q1 14Q2 14Q3 0.0% Change in Demand (Q/Q) Change in Supply (Q/Q) Vacancy Source: CoStar Group Inc.; PPR. Revised methodology in 1Q14 may result in changes to previously published data. © 2014, Pension Real Estate Association 12 Vacancy Rate 7.0% 1.0% Exhibit 9A Property Type Fundamentals: Apartment & Warehouse 54 Major US Markets Updated November 18, 2014 8.0% 0.6% 7.0% 0.5% 6.0% 0.4% 5.0% 0.3% 4.0% 0.2% 3.0% 0.1% 2.0% 0.0% 1.0% ‐0.1% 0.0% Vacancy Rate 0.7% 05Q1 05Q2 05Q3 05Q4 06Q1 06Q2 06Q3 06Q4 07Q1 07Q2 07Q3 07Q4 08Q1 08Q2 08Q3 08Q4 09Q1 09Q2 09Q3 09Q4 10Q1 10Q2 10Q3 10Q4 11Q1 11Q2 11Q3 11Q4 12Q1 12Q2 12Q3 12Q4 13Q1 13Q2 13Q3 13Q4 14Q1 14Q2 14Q3 Percent Change Apartment: Demand & Supply Changes (Quarter/Quarter) - Vacancy Rate Change in Demand (Q/Q) Change in Supply (Q/Q) Vacancy Warehouse: Demand & Supply Changes (Quarter/Quarter) - Vacancy Rate 12.0% 1.0% 0.8% 10.0% 8.0% 0.4% 0.2% 6.0% 0.0% Vacancy Rate Percent Change 0.6% 4.0% ‐0.2% 2.0% ‐0.4% 0.0% 05Q1 05Q2 05Q3 05Q4 06Q1 06Q2 06Q3 06Q4 07Q1 07Q2 07Q3 07Q4 08Q1 08Q2 08Q3 08Q4 09Q1 09Q2 09Q3 09Q4 10Q1 10Q2 10Q3 10Q4 11Q1 11Q2 11Q3 11Q4 12Q1 12Q2 12Q3 12Q4 13Q1 13Q2 13Q3 13Q4 14Q1 14Q2 14Q3 ‐0.6% Change in Demand (Q/Q) Change in Supply (Q/Q) Vacancy Source: CoStar Group Inc.; PPR. Revised methodology in 1Q14 and 3Q14 may result in changes to previously published data. © 2014, Pension Real Estate Association 13 Exhibit 10 Quarterly Comparative Rates Updated January 29, 2015 NCREIF Cap Rates vs. 10-Year Treasurys 20.0 15.0 10.0 5.0 0.0 ‐5.0 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 ‐10.0 NCREIF transaction cap rate (value weighted) 10‐year Treasurys Cap Rate ‐ Treasurys Spread NCREIF Income Returns vs. 10-Year Treasurys 20.0 15.0 10.0 5.0 0.0 ‐5.0 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 ‐10.0 NCREIF ‐ Income Returns 10‐year Treasurys NCREIF Income Returns ‐ 10 YR Treasurys Source: NCREIF, Federal Reserve, Thomson / Reuters Datastream. NCREIF returns annualized. 10-year Treasurys quarterly rates are based on 3-month averages. © 2015, Pension Real Estate Association 14 Exhibit 11 Quarterly Comparative Rates Updated January 29, 2015 ® FTSE/NAREIT Equity REIT Dividend Yields vs. 10-Year Treasurys 10.0 8.0 6.0 4.0 2.0 0.0 ‐2.0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 FTSE/NAREIT Equity REIT index dividend yield 10‐Year Treasurys REIT Dividend Yield ‐ Treasurys Spread BAA US Corporate vs. 10-Year Treasurys 20.0 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 0.0 Barclays US Corporate BAA Long Yield 10‐year Treasurys Baa ‐ Treasurys Spreads Source: Barclays, Federal Reserve, Thomson / Reuters Datastream. Barclays BAA Corporates as of end of quarter. 10-year Treasurys quarterly rates are based on 3-month averages for REIT graph, end of quarter on corporate graph. © 2015, Pension Real Estate Association 15 Exhibit 12 CMBS Issuance - Breakdown by Period ($ millions) US Non-US Total 46,934.6 7,919.8 12,287.3 11,920.1 14,807.4 12,097.1 4,996.2 2,083.5 3,336.5 1,680.9 59,031.7 12,916.0 14,370.8 15,256.6 16,488.3 2008 1Q 2Q 3Q 4Q 67,314.1 12,013.9 15,693.9 15,656.1 23,950.2 22,713.8 3,083.3 5,246.0 3,475.4 10,909.1 90,027.9 15,097.2 20,939.9 19,131.5 34,859.3 2009 1Q 2Q 3Q 4Q 52,073.6 9,156.2 14,343.4 12,473.7 16,100.3 28,705.9 3,715.0 4,644.9 6,986.5 13,359.5 80,779.5 12,871.2 18,988.3 19,460.2 29,459.8 2010 1Q 2Q 3Q 4Q 77,848.1 14,920.3 20,205.0 17,648.4 25,074.4 20,802.9 1,966.1 5,190.1 4,570.1 9,076.6 98,651.0 16,886.4 25,395.1 22,218.5 34,151.0 2011 1Q 2Q 3Q 4Q 95,594.6 18,558.2 24,625.1 24,545.3 27,866.0 35,188.4 8,065.2 7,769.1 7,696.6 11,657.5 130,783.0 26,623.4 32,394.2 32,241.9 39,523.5 2012 1Q 2Q 3Q 4Q 166,502.1 32,955.7 37,527.7 39,000.3 57,018.4 69,822.4 11,170.2 22,802.5 16,142.4 19,707.3 236,324.5 44,125.9 60,330.2 55,142.7 76,725.7 2013 1Q 2Q 3Q 4Q 96,058.8 13,532.1 18,388.1 30,295.3 33,843.3 294,441.7 58,440.1 60,751.0 71,700.9 103,549.7 2014 1Q 2Q 3Q 4Q 198,382.9 44,908.0 42,362.9 41,405.6 69,706.4 228,555.9 61,155.7 73,602.1 59,939.5 33,858.6 85,492.1 20,052.3 35,016.7 17,334.1 13,089.0 314,048.0 81,208.0 108,618.8 77,273.6 46,947.6 2015 1Q 2Q 3Q 4Q 2000 2001 2002 2003 2004 2005 2006 2007 Updated January 29, 2015 1Q 2Q 3Q 4Q US Non-US Total 12,145.9 5,904.5 6,241.4 0.0 0.0 6,728.2 3,785.5 1,182.3 1,137.2 623.2 18,874.1 9,690.0 7,423.7 1,137.2 623.2 2,743.7 1Q 2Q 3Q 4Q 0.0 558.7 0.0 2,185.0 4,576.2 1,321.7 1,341.3 1,779.6 133.6 7,319.9 1,321.7 1,900.0 1,779.6 2,318.6 1Q 2Q 3Q 4Q 11,632.7 286.7 2,134.4 2,080.8 7,130.8 2,983.4 552.4 1,904.7 229.2 297.1 14,616.1 839.1 4,039.1 2,310.0 7,427.9 1Q 2Q 3Q 4Q 32,706.3 8,706.0 8,380.4 9,826.0 5,793.9 3,340.3 1,311.1 1,135.5 893.7 0.0 36,046.6 10,017.1 9,515.9 10,719.7 5,793.9 1Q 2Q 3Q 4Q 48,369.8 5,959.1 12,379.9 12,538.8 17,492.0 4,252.3 1,035.2 826.2 2,390.9 0.0 52,622.1 6,994.3 13,206.1 14,929.7 17,492.0 1Q 2Q 3Q 4Q 86,135.8 22,860.0 21,001.0 16,663.5 25,611.3 12,532.6 2,482.6 4,927.6 1,060.8 4,061.6 98,668.4 25,342.6 25,928.6 17,724.3 29,672.9 1Q 2Q 3Q 4Q 94,084.4 20,369.3 20,464.7 28,055.1 25,195.3 5,753.6 545.5 843.2 1,057.4 3,307.5 99,838.0 20,914.8 21,307.9 29,112.5 28,502.8 1Q 787.2 787.2 230.9 230.9 1,018.1 1,018.1 * 2015 data as of January 29, 2015 Subject to revisions. Source: Commercial Mortgage Alert. © 2015, Pension Real Estate Association 16 Exhibit 13 CMBS Issuance ($ billions) Updated January 29, 2015 350.0 314 294 300.0 250.0 236 229 198 200.0 167 150.0 131 59 50.0 99 90 100.0 81 99 96 86 78 94 100 67 48 53 52 47 33 36 12 19 7 12 15 2009 2010 3 1 1 0.0 2000 2001 2002 2003 2004 2005 2006 2007 US only Source: Commercial Mortgage Alert. * 2015 data as of January 29, 2015. © 2015, Pension Real Estate Association 17 2008 Global 2011 2012 2013 2014 2015 Exhibit 14 Morningstar Monthly CMBS Delinquencies Updated January 29, 2015 CMBS Delinquencies - All Properties: 2003 - Present 70,000 9.0% Total $ Delinquent ($ millions) 8.0% 60,000 % Delinquent 7.0% $ Millions 50,000 December 2014 Total Outstanding: $773.7 billion Total $ Delinquent: $30.3 billion Delinquency Percentage: 3.92 40,000 6.0% 5.0% 4.0% 30,000 3.0% 20,000 2.0% 10,000 1.0% Source: Morningstar Credit Ratings, LLC. Last observation: December 2014. Delinquencies include 30, 60, 90+ day past due plus loans in foreclosure and REO. © 2015, Pension Real Estate Association 18 Jul-14 Oct-14 Apr-14 Jan-14 Jul-13 Oct-13 Apr-13 Jan-13 Jul-12 Oct-12 Apr-12 Jan-12 Jul-11 Oct-11 Apr-11 Jan-11 Jul-10 Oct-10 Apr-10 Jan-10 Jul-09 Oct-09 Apr-09 Jan-09 Jul-08 Oct-08 Apr-08 Jan-08 Jul-07 Oct-07 Apr-07 Jan-07 Jul-06 Oct-06 Apr-06 Jan-06 Jul-05 Oct-05 Apr-05 Jan-05 Jul-04 Oct-04 Apr-04 Jan-04 Jul-03 Oct-03 Apr-03 0.0% Jan-03 0 Exhibit 15 Giliberto-Levy Commercial Mortgage Performance Index Produced by IPD Rolling Four-Quarter Total Return 45.0% 35.0% 25.0% 15.0% 5.0% -5.0% -15.0% Source: Giliberto-Levy Index and IPD. Last observation: September 2014. Aggregate Index limited to major property types only (office, retail, apartments, industrial). © 2014, Pension Real Estate Association 19 Updated November 21, 2014 Exhibit 16 CMBS Spreads Over Treasuries: Investment Grade Monthly Updated January 5, 2015 1400 6.00 1200 5.00 basis points 1000 4.00 800 3.00 600 2.00 400 Treasury Rates 2007 - present 1.00 200 0.00 Jan 07 Apr 07 Jul 07 Oct 07 Jan 08 Apr 08 Jul 08 Oct 08 Jan 09 Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10 Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 July 12 Oct 12 Jan 13 Apr 13 July 13 Oct 13 Jan 14 Apr 14 Jul 14 Oct 14 0 10‐year Treasurys Aaa/AAA 1996 - 2006 350 8.00 300 7.00 basis points 5.00 200 4.00 150 3.00 100 2.00 1.00 0 0.00 Jan 96 May 96 Sep 96 Jan 97 May 97 Sep 97 Jan 98 May 98 Sep 98 Jan 99 May 99 Sep 99 Jan 00 May 00 Sep 00 Jan 01 May 01 Sep 01 Jan 02 May 02 Sep 02 Jan 03 May 03 Sep 03 Jan 04 May 04 Sep 04 Jan 05 May 05 Sep 05 Jan 06 May 06 Sep 06 50 10‐year Treasurys Aaa/AAA Aa2/AA A2/A Baa2/BBB Source: J.P. Morgan. Generic AAA spreads from 1996 to 2004; Senior AAA from January 2005 to present. Federal Reserve, 10-year constant maturities © 2015, Pension Real Estate Association 20 Treasury Rates 6.00 250 Exhibit 17 Holders of Commercial & Multifamily Mortgage Loans ($ billions) Updated December 23, 2014 US Chartered Depository CMBS Life Institutions Issuers Companies CMBS Issuers GSEs Others Total ex. GSE Pools 1991 519.5 42.5 238.8 14.2 275.5 1,090.5 16.4 1992 485.3 49.5 221.6 15.8 261.4 1,033.6 25.7 1993 474.8 59.0 205.9 17.5 248.3 1,005.5 36.5 1994 474.1 64.0 197.6 18.4 237.0 991.1 41.6 1995 494.8 74.6 194.6 18.5 225.4 1,007.9 47.7 1996 521.1 94.7 191.1 17.7 225.1 1,049.7 62.2 1997 553.1 123.4 189.2 16.2 241.5 1,123.4 85.6 1998 595.7 194.2 195.5 16.2 246.2 1,247.8 145.9 1999 681.5 242.5 211.8 20.5 269.2 1,425.5 185.0 2000 764.7 285.0 217.5 25.0 269.5 1,561.7 219.0 2001 838.7 343.5 224.0 33.2 274.1 1,713.5 261.9 2002 917.3 387.0 231.8 41.7 274.9 1,852.7 292.5 2003 1,003.9 451.7 242.5 68.2 287.8 2,054.1 343.0 2004 2005 1,129.2 1,286.9 500.4 607.5 254.6 266.7 82.5 93.0 306.1 327.0 2,272.8 2,581.1 394.7 506.2 2006 2007 2008 2009 2010 2011 2012 2013 1,442.1 1,547.9 1,680.2 1,634.4 1,528.1 1,458.6 1,460.7 1,528.9 703.0 845.7 810.6 777.5 686.1 680.5 678.1 577.0 281.5 304.0 318.9 304.1 296.0 310.5 322.0 339.9 105.4 147.7 190.2 204.4 256.5 259.2 265.5 243.5 360.8 423.1 428.2 421.2 427.3 411.0 400.3 535.9 2,892.8 3,268.4 3,428.1 3,341.6 3,194.0 3,119.8 3,126.6 3,225.2 614.2 757.6 717.8 671.8 619.2 594.1 564.7 429.9 2014 Q1 Q2 Q3 1,547.8 1,573.5 1,593.9 554.1 569.5 585.1 341.5 345.8 351.3 238.9 234.3 236.4 562.6 557.9 556.5 3,244.9 3,281.0 3,323.2 402.1 411.9 421.9 1992 -6.6% 16.5% -7.2% 11.3% -5.1% -5.2% 56.7% 1993 -2.2% 19.2% -7.1% 10.8% -5.0% -2.7% 42.0% 1994 -0.1% 8.5% -4.0% 5.1% -4.6% -1.4% 14.0% 1995 4.4% 16.6% -1.5% 0.5% -4.9% 1.7% 14.7% 1996 5.3% 26.9% -1.8% -4.3% -0.1% 4.1% 30.4% 1997 6.1% 30.3% -1.0% -8.5% 7.3% 7.0% 37.6% Annual Change 1998 7.7% 57.4% 3.3% 0.0% 1.9% 11.1% 70.4% 1999 14.4% 24.9% 8.3% 26.5% 9.3% 14.2% 26.8% 2000 12.2% 17.5% 2.7% 22.0% 0.1% 9.6% 18.4% 2001 9.7% 20.5% 3.0% 32.8% 1.7% 9.7% 19.6% 2002 9.4% 12.7% 3.5% 25.6% 0.3% 8.1% 11.7% 2003 9.4% 16.7% 4.6% 63.5% 4.7% 10.9% 17.3% 2004 12.5% 10.8% 5.0% 21.0% 6.4% 10.6% 15.1% 2005 14.0% 21.4% 4.8% 12.7% 6.8% 13.6% 28.2% 2006 12.1% 15.7% 5.5% 13.3% 10.3% 12.1% 21.3% 2007 7.3% 20.3% 8.0% 40.1% 17.3% 13.0% 23.3% 2008 8.5% -4.2% 4.9% 28.8% 1.2% 4.9% -5.3% 2009 -2.7% -4.1% -4.6% 7.5% -1.6% -2.5% -6.4% 2010 -6.5% -11.8% -2.7% 25.5% 1.4% -4.4% -7.8% 2011 -4.5% -0.8% 4.9% 1.1% -3.8% -2.3% -4.1% 2012 0.1% -0.4% 3.7% 2.4% -2.6% 0.2% -4.9% 2013 4.7% -14.9% 5.6% -8.3% 33.9% 3.2% -23.9% Source: PREA, Flow of Funds Accounts of the United States, Federal Reserve, Release Z.1 "Other" includes household sector, nonfinancial corporate business, nonfarm noncorporate business, federal, state and local governments, P&C insurance companies, pension funds, finance and mortgages companies and REITs. © 2014, Pension Real Estate Association 21 Exhibit 18 Holders of Commercial & Multifamily Mortgage Loans Percentage Distribution Updated December 23, 2014 US Chartered Total Depository CMBS Life ($ Billions) Institutions Issuers Companies GSEs Others 1991 1,090.5 47.6% 3.9% 21.9% 1.3% 25.3% 1992 1,033.6 47.0% 4.8% 21.4% 1.5% 25.3% 1993 1,005.5 47.2% 5.9% 20.5% 1.7% 24.7% 1994 991.1 47.8% 6.5% 19.9% 1.9% 23.9% 1995 1,007.9 49.1% 7.4% 19.3% 1.8% 22.4% 1996 1,049.7 49.6% 9.0% 18.2% 1.7% 21.4% 1997 1,123.4 49.2% 11.0% 16.8% 1.4% 21.5% 1998 1,247.8 47.7% 15.6% 15.7% 1.3% 19.7% 1999 1,425.5 47.8% 17.0% 14.9% 1.4% 18.9% 2000 1,561.7 49.0% 18.2% 13.9% 1.6% 17.3% 2001 1,713.5 48.9% 20.0% 13.1% 1.9% 16.0% 2002 1,852.7 49.5% 20.9% 12.5% 2.3% 14.8% 2003 2,054.1 48.9% 22.0% 11.8% 3.3% 14.0% 2004 2,272.8 49.7% 22.0% 11.2% 3.6% 13.5% 2005 2,581.1 49.9% 23.5% 10.3% 3.6% 12.7% 2006 2,892.8 49.9% 24.3% 9.7% 3.6% 12.5% 2007 3,268.4 47.4% 25.9% 9.3% 4.5% 12.9% 2008 3,428.1 49.0% 23.6% 9.3% 5.5% 12.5% 2009 3,341.6 48.9% 23.3% 9.1% 6.1% 12.6% 2010 3,194.0 47.8% 21.5% 9.3% 8.0% 13.4% 2011 3,119.8 46.8% 21.8% 10.0% 8.3% 13.2% 2012 3,126.6 46.7% 21.7% 10.3% 8.5% 12.8% 2013 3,225.2 47.4% 17.9% 10.5% 7.5% 16.6% 2011 Q1 3,141.2 47.8% 22.0% 9.5% 8.2% 12.5% Q2 3,114.7 47.6% 21.9% 9.7% 8.2% 12.5% Q3 3,089.0 47.4% 22.0% 10.0% 8.3% 12.3% Q4 & YE 3,119.8 46.8% 21.8% 10.0% 8.3% 13.2% 2012 Q1 3,082.9 46.9% 21.7% 10.2% 8.5% 12.7% Q2 3,074.4 46.8% 21.9% 10.3% 8.5% 12.5% Q3 3,067.8 46.7% 21.8% 10.4% 8.6% 12.4% Q4 & YE 3,126.6 46.7% 21.7% 10.3% 8.5% 12.8% 2013 Q1 3,121.9 46.8% 21.8% 10.3% 8.4% 12.7% Q2 3,149.1 46.9% 17.7% 10.4% 8.2% 16.8% Q3 3,179.3 47.2% 17.8% 10.5% 7.9% 16.6% Q4 & YE 3,225.2 47.4% 17.9% 10.5% 7.5% 16.6% 2014 Q1 3,244.9 47.7% 17.1% 10.5% 7.4% 17.3% Q2 3,281.0 48.0% 17.4% 10.5% 7.1% 17.0% Q3 3,323.2 48.0% 17.6% 10.6% 7.1% 16.7% Source: PREA, Flow of Funds Accounts of the United States, Federal Reserve, Release Z.1 "Other" includes household sector, nonfinancial corporate business, nonfarm noncorporate business, federal, state and local governments, P&C insurance companies, pension funds, finance and mortgages companies and REITs. © 2014, Pension Real Estate Association 22 Exhibit 19 Economic Indicators Updated December 23, 2014 Consumer Price Index (as of November 2014) 2.0 Month / Month % Change 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1998 1997 1996 1995 1999 New Residential Sales 1994 1993 1992 1991 1990 -2.0 (as of November 2014) 1,600.0 1,400.0 Thousands 1,200.0 1,000.0 800.0 600.0 400.0 200.0 1998 1997 1996 1995 1994 1993 1992 1991 1990 0.0 Source: Bureau of Labor Statistics (CPI); US Bureau of the Census, US Commerce Department and the US Department of Housing and Urban Development (New Residential Sales) © 2014, Pension Real Estate Association 23 Exhibit 20 Economic Indicators Updated December 23, 2014 Unemployment Rate (as of November 2014) 12.0 10.0 Percent 8.0 6.0 4.0 2.0 Gross Domestic Product - Quarter / Quarterly Percentage Change 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 0.0 (as of 3Q 2014) 10.0 8.0 Quarter / Quarter % Change 6.0 4.0 2.0 0.0 -2.0 -4.0 Quarterly -6.0 -8.0 Source: Bureau of Labor Statistics, US Department of Labor (Unemployment Rate); US Bureau of Economic Analysis (GDP). © 2014, Pension Real Estate Association 24 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 -10.0 25 Pension Real Estate Association 100 Pearl Street Hartford, CT 06103 O: 860-692-6341 F: 860-692-6351 www.prea,org [email protected]