A publication of Winter issue 2015 sponsored by CRE Finance World Winter 2015 33 Exhibit 7 Historical Principal Losses Incurred — ACLI Note: Losses are reported based on principal outstanding, including amounts capitalized for interest, foreclosure costs, and advances made to protect the collateral at the time of foreclosure, less the amount transferred to real estate. Source: ACLI; KBW Research. Exhibit 8 Multi-year Cumulative Loss Rates (1993-2006) — Moody’s Source: Moody’s; KBW Research. Property Price Changes The Moody’s CPPI index shows price declines of roughly 20-30% in the 2008-2009 period and declines of 5-10% in the early to mid-2008 period of the financial crisis. Additionally, the MIT TBI index shows price declines of 11.2% in 1991, 10.0% in 1992, and an average decline of 25.5% in 2009. Finally, NCREIF’s Property Index returns data show declines of 5.6% in 1991, 4.3% in 1992, and 18.0% in 2009. Exhibit 9 Moody’s CPPI Indices Source: Moody’s; Bloomberg; KBW Research. Exhibit 10 Annual Percent Change in Moody’s CPPI Indices Source: Moody’s; Bloomberg; KBW Research. Modeling CRE Losses for Commercial Mortgage REITs
CREFW-Winter Edition
To see the actual publication please follow the link above