美股-投资策略-摩根大通CMBS手册（版）

1、J.P. Morgan Agency CMBS Handbook2019 EditionNorth America Securitized Products Research08 March 2019 We launch the second edition of the We launch the second edition of the J.P. Morgan Agency CMBS Handbook providing an overview of the various products available for CMBS investors within the space, a

2、long with a summary of recent market activity As always, we welcome any and all client feedback for suggestions on how to improve this publication for the next editionCMBS Research Gareth Davies, CFA AC (1-212) 270-2017 HYPERLINK mailto:gareth.davies gareth.daviesChong Sin(1-212)834-2611 HYPERLINK m

3、ailto:chong.c.sin chong.c.sin Jacob T Kurosaki, (1-212)270-4130 HYPERLINK mailto:jacob.t.kurosaki jacob.t.kurosakiJ.P. Morgan Securities LLC HYPERLINK / Table of Contents HYPERLINK l _bookmark0 AgencyCMBSOverview4 HYPERLINK l _bookmark1 ACMBSCheatSheet4 HYPERLINK l _bookmark2 ACMBSMarketSnapshot6 HY

4、PERLINK l _bookmark3 OtherACMBSpublications10 HYPERLINK l _bookmark5 FannieMaeDUS12 HYPERLINK l _bookmark4 Overview of the Fannie MaeDUSprogram12 HYPERLINK l _bookmark6 Fannies Multi-FamilyLoancharacteristics14 HYPERLINK l _bookmark7 Collateralcharacteristics19 HYPERLINK l _bookmark8 Creditperforman

5、ce20 HYPERLINK l _bookmark9 Freddie Mac KSeries23 HYPERLINK l _bookmark10 Overview of the Freddie MacKprogram23 HYPERLINK l _bookmark11 Freddies Multi-FamilyLoancharacteristics28 HYPERLINK l _bookmark12 Collateralcharacteristics31 HYPERLINK l _bookmark13 Creditperformance32 HYPERLINK l _bookmark15 F

6、reddie MacSmall Balance34 HYPERLINK l _bookmark14 Overview of the Freddie SmallBalanceprogram34 HYPERLINK l _bookmark16 Freddies FRESBLoancharacteristics36 HYPERLINK l _bookmark17 Collateralcharacteristics38 HYPERLINK l _bookmark18 Creditperformance40 HYPERLINK l _bookmark19 Ginnie Mae Project Loans

7、43 HYPERLINK l _bookmark20 Overview of the Ginnie Mae ProjectLoanprogram43 HYPERLINK l _bookmark21 Ginnies ProjectLoancharacteristics45 HYPERLINK l _bookmark22 Collateralcharacteristics483Agency CMBS Overview3Agency CMBS OverviewAgency CMBS OverviewACMBS Cheat SheetWe start out with a cheat sheet fo

8、r readers providing a synopsis of the major characteristics of the various issuance programs in the Agency CMBS space.Exhibit 1: Agency CMBS cheat sheetColloquialProgram NameDUSGeMS(DUS Remics)Freddie K(Fixed)Freddie K(Floaters)FRESBProject LoansGuarantor AgencyFannie MaeFannie MaeFreddie MacFreddie

9、 MacFreddie MacGinnie MaeOfficial ProgramFannie MaeFannie MaeFreddie Mac K-Freddie Mac K-Freddie Mac SmallGinnie Mae ProjectNameDelegated Underwriting & ServicingGuaranteed MBS pass-through SecuritiesSeriesSeriesBalance LoansLoansOutstanding ($bn)$231bn$61bn$191bn$41bn$17bn$106bn2018 Issuance ($bn)$

10、55bn$10bn$45bn$17bn$7bn$16bnExample tickerFN Transaction ID or CUSIPFNA 2019-MXXFREMF 2019-KXXFREMF 2019-KFXXFRESB 2019-SBXXGNR 2019-XXType of GuaranteeGSE guarantee fortimely payment of interest and principalAs for DUSGSE guarantee fortimely payment of interest and ultimateAs for Freddie K (Fixed)G

11、SE guarantee fortimely payment of interest and ultimateFull faith and creditguarantee by the United States for therepayment of principalrepayment of principaltimely payment of interest and principalDeal StructureSingle guaranteedMultiple time-Multiple time-Single guaranteedMultiple time-, andMultipl

12、e time-MBS bondtranched guaranteedtranched guaranteedbond. Unguaranteedmortgage product-tranched guaranteedbondsbonds. Unguaranteed subordinate Classes B,C and Dsubordinate Classes B and Ctranched guaranteed bonds.Unguaranteed subordinate Class BbondsGuaranteed Bonds?Yes. No tranchingYes. Multiple t

13、ime- tranched guaranteed bondsYes. Three time tranched guaranteed bonds (Classes A1, A2 and AM)Yes. Single guaranteed bond (Class A)Yes. Multiple time- and mortgage product (Fixed rate and Hybrid) tranchedYes. Multiple time tranched guaranteed bondsUnguaranteed Bonds?NoNoYes. Classes B, C and DYes.

14、Classes B and CYes. Class BNoI/O ClassesNoYes. Single.Yes. Multiple.Yes. Single.Yes. Single.Yes. Single.Guaranteed, ClassX. Guarantee does not ensure a specific yieldGuaranteed, Classes X1, XAM and X3.Guarantee does not ensure a specificGuaranteed, ClassXI. Guarantee does not ensure a specific yield

15、Guaranteed, Class X1. Guarantee does not ensure a specific yieldGuaranteed, Class IO. Guarantee does not ensure a specific yieldyieldRisk sharing (if any)With originator. Originator typically bears a one third pariAs for DUSWith investors. Unguaranteed tranches supportAs for Freddie K (Fixed)With in

16、vestors. Unguaranteed tranche supportsWith FHA or USDA- RDpassu loss slice alongside Fannie Mae (remaining two thirds)guaranteed bonds, providing credit enhancement in addition to the wrapguaranteed bonds, providing credit enhancement in addition to the wrapOrigination ProcessDUS authorized lenders

17、are permittedto underwrite, closeAs for DUSEligible loans are sourced through anetwork of approvedAs for Freddie K (Fixed)As for Freddie K (Fixed)Eligible insured mortgages areprovided by FHA-and deliver most loans without prior review from Fannie Maemulti-family seller/servicers. All loans are unde

18、rwritten andapproved institutions including banks, trusts, insurance companies and localapproved by Freddie itselfhousing finance agenciesExhibit 1(cont.): Agency CMBS cheat-sheetColloquialProgram NameDUSGeMS(DUS Remics)Freddie K(Fixed)Freddie K (Floaters)FRESBProject LoansCollateralConventional mul

19、ti- family properties, senior housing, student housing,As for DUSConventional multi- family housing, student housing, senior housing,As for Freddie K (Fixed)Conventional multi- family housing with 5+ residential units, including those withMortgages insured by either the FHA or the USDA-RD under the

20、National Housingmanufactured housing, cooperative propertiesmanufactured housing, workforce housing loanstax abatements and Section 8 vouchers. Typical loan balance of $7.5mnAct 1934Mortgage productMortgages, creditAs for DUSLease-up loans,As for Freddie KFixed rate (F) orCan be eithertypesfacilitie

21、s, small loans program, structured adjustable-ratemoderaterehab loans, revolving creditfacilities,(Fixed)Hybrid ARM (H)construction loans (CLCs) or loans on establishedmortgages (SARMs), supplemental loanssupplemental loans, value add loansproperties (PLCs)Loan Terms5-30Y terms, withAs for DUS5-10Y

22、terms, with5-10Y terms, with5, 7 or 10Y terms, forEligible insuredfixed and variable- rate options. Can be balloon, fully amortizing or full orfixed and variable- rate optionsfixed and variable- rate optionsfixed rate and 5, 7, or 10Y hybrid ARM- product (with floating rate tail up to 20Y)mortgages

23、have minimum and maximum durations of 10 and 40 yearspartial-term I/OMaximum LTV80%As for DUS70-80% depending on duration and amortizing/I/OAs for Freddie K (Fixed)60-80% depending on market and rate formatn/aMinimum DSCR1.25xAs for DUS1.25x-1.40 xdepending on duration and amortizing/I/OAs for Fredd

24、ie K (Fixed)1.20 x-1.50 xdepending on market and rate formatn/aCall ProtectionYield Maintenance (YM) for fixed rate loans, lock-out andAs for DUSLock-out followed by defeasance until the open period (3Lock-out followed by prepayment penalties until openYield Maintenance (YM) plus a static prepayment

25、Lock-out followed by typically declining prepayment premiumprepayment premiums for floating rate loansmonths before maturity)period (3 months before maturity)premium; or declining prepaymentpremiumPayment ScheduleMonthlyMonthlyMonthlyMonthlyMonthlyMonthlyRating AgenciesNoYesYesNoNoNoPricing Assumpti

26、on0% CPY0% CPY0% CPR0% CPR5% CPR/CPB15% CPJ forPLCs(0% CPJ forCLCs)Pricing Assumption DescriptionNo prepayment/ default over the YM period, with full repayment at the endAs for DUSNo prepayments until open periodNo prepayments5% CPR running to maturity/reset then full repayment15% CPR following the

27、end of the lock- out period, plus 100% of the Projectof the open periodLoan Default (PLD) curveHistorical5% CPR for fixed-As for DUSBroadly consistent17% average life30% average lifeData limitationsPrepayment Datarate loanswith pricingCPR for 2011CPR for 2014-15result in investorsassumption so farvi

28、ntage dealsvintagestypically using CPJ scenario analysisData availabilityImproving withAs for DUSRegular performanceAs for Freddie KAs for Freddie KMore limited than forlaunch of DUSDisclosepresentations released in addition to Multifamily Securities Investor(Fixed)(Fixed)other guarantorsAccessPerfo

29、rmance data/#/ho meAs for DUS HYPERLINK / /As for Freddie K (Fixed)As for Freddie K (Fixed)https:/www.ginniem /investors/inve stor_search_tools/Pages/default.aspxSource: J.P. MorganThe Agency CMBS markethas grown significantly since the Global FinancialCrisisACMBS Market SnapshotACMBS issuance and o

30、utstandingsAgency CMBS (ACMBS) as an asset class has grown massively over the course of the last 10 years, as various government agencies have stepped in to promote affordable housing to the multi-family market by creating various ACMBS programs. From pre-crisis activity levels of around $10bn per a

31、nnum, ACMBS annual issuance volumes have now settled closer to $150bn (2017/18). In fact, Agency CMBS now regularly accounts for over 60% of total CMBS issuance activity in any given period (Exhibit 2).ACMBS has historically been a fixed-rate product, with 75% of historical new issue bonds coming in

32、 fixed format, 17% utilizing floating rates, and 7% a combination (Exhibit 3). However in recent years, floating-rate ACMBS has accounted for a higher portion of new issue supply, approaching 25% of recent cohorts.Exhibit 2: Agency CMBS markets have grown significantly over time, with current volume

33、s settling at around $150bn per annumExhibit 3: ACMBS has historically been overwhelmingly fixed-rate, although floater issuance has increased of lateance by program ($bn, LHS) & share of total CMBS supply (%, RHFannie DUS MBS Fannie GeMS/ACES Freddie Kance by program ($bn, LHS) & share of total CMB

34、S supply (%, RHFannie DUS MBS Fannie GeMS/ACES Freddie KFRESBGNR Project Loans148 150125Other977984657249122410 101601401201000Fixed versus Floating versus Mixed supply of ACMBS (%)100%90%80%90%100%90%80%90%70%60%50%40%30%30%20%20%10%10%0%0%20062007200820062007200820092010201120122013201420152016201

35、72018200120022003200420052006200720082009201020112012201320142015201620172018Outstanding balances ofACMBS touched close to $650bn at the end of 2018, substantially more than the private label CMBS alternativeSource: J.P. Morgan, CMA. Note: Excludes Fannie DUS MBSStrong issuance post-crisis has led t

36、o the outstanding stock of ACMBS bonds increasing significantly over the course of the last 10 years. As at the end of 2018, we calculate that the outstanding balance of the ACMBS universe stood at $649bn (Exhibit 4). Across the various programs, Freddie Macs K Program has witnessed the largest incr

37、ease, growing from a mere $5bn of bonds outstanding in 2009 to over$230bn as of the end of 2018. Combined with the other Freddie multifamily program (FRESB), total Freddie MF balances were close to $250bn at the close of last year. Fannie Maes shelfs outstandings including GeMS totaled over $290bn a

38、t 2018 year-end, making Fannie the largest ACMBS issuer in terms of notionals placed. the outstanding balance of Ginnie Mae Project Loan REMICs stoodat$106bn at year-end, having grown at a more moderate pace than the ACMBS programs operated by Freddie and Fannie.Exhibit 4: Agency CMBS outstandings h

39、ave increased significantly post crisis on the back of strong annual issuanceAnnual Agency CMBS outstandings by program type ($bn)7006005004003002001000Freddie K FRESBFNA DUS MBS FNA GeMS/ACES GNR PL REMICOther ACMBS64941062312312006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018Source:

40、 Trepp, Commercial Mortgage Alert, Fannie Mae, J.P. MorganInvestment in ACMBS is dominated by the engagementof banksInvestors in ACMBSSimilar to the private label CMBS alternative, the ACMBS investor base is largely reliant on banks, money managers, and insurance companies. The largest investor grou

41、p in the product is constituted by banks, which held a total of about $265bn of Agency CMBS bonds as of the end of 2018 according to data from SNL. As Exhibit 5 shows, banks have grown their ACMBS holdings significantly over the last several years. Bank demand increases over the period since 2011 ha

42、s been largely driven by relative value considerations when building regulatory-required HQLA books, as Agency CMBS bonds typically offer a pick-up to the larger Agency (residential) MBS alternative. Of late, recent bank demand has been supported by the efficiency of parts of the ACMBS universe in u

43、sing newly introduced last-of-layer hedge accounting techniques.Exhibit 5: Bank holdings of Agency CMBS bonds have risen markedly, post GFCBank Agency CMBS holdings ($bn)30025020015010050020112012201320142015201620172018Source: SNL, J.P. MorganWhile lack specific data money manager holdings of Agenc

44、y CMBS, the increasing share of ACMBS bonds in the Bloomberg Barclays Aggregate Index as having driven, at a minimum, index money to the product (Exhibit 6). As for life insurance companies, data on the 10 lifecos with the largest bond portfolios that their allocations to Agency CMBS have also risen

45、 over time, but at a much slower pace than that demonstrated by the banking community (Exhibit7).Exhibit 6: With expanded issuance and index eligibility, Agency CMBS has grown as part of the Agg Index, supporting money manager engagement with ACMBSAgency CMBS and conduit CMBS weighting in the Bloomb

46、erg Barclays US Aggregate Index6% AgencyCMBSNon-Agency CMBS 5%4%3%2%1%0%2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018Source: Bloomberg, Barclays, Morningstar Direct, J.P. MorganExhibit 7: Similar to banks, the largest life insurance companies have also increased their Agency CMBS allocation

47、s, albeit at a much slower paceAgency CMBS holdings at the 10 largest life insurance company bond portfolios ($bn)181614121086422007200820092010201120122013201420152016201720180200720082009201020112012201320142015201620172018Source: SNL, Trepp, Bloomberg, J.P. MorganSpreads naturally come at a premi

48、um to unguaranteed, private label alternatives, but continue to offer good value to other Agency alternatives(MBS etc.)ACMBS spreadsAs to be expected given the presence of the Agency wrap on ACMBS bonds, spreads are significantly inside those available for similarly rated private label CMBS peers (E

49、xhibit 8). Using Freddie Ks A2 spreads as a proxy for ACMBS risk as a whole, we can see a basis of approximately 30bp between guaranteed and private label 10Y CMBS alternatives. While we often see committed investor groups to either Agency or Private Label CMBS products, in periods where the basis b

50、etween the guaranteed and non-guaranteed alternatives narrows or widens meaningfully, investor cross-over typically occurs until the basis reverts.Within the ACMBS universe, the spreads set out in Exhibit 9 can be considered the benchmark instruments within the segment. Freddie K, given the standard

51、ized and bullet nature of the fixed program is typically considered the anchor asset class in ACMBS. Fannie Maes DUS and GeMS programs typically price marginally back of the K shelf, although with a narrowing basis of late.Exhibit 8: Spreads for ACMBS are naturally inside those available in PL CMBS

52、given the presence of the Agency guaranteeSpreads (bp)Exhibit 9: Benchmark spreads within ACMBS are largely on top of each other for the major programsSpreads (bp)18016014012010080604020Feb-160Feb-1670175Basis 10Y (LCF AAA - K 10Y A2) (RHS) 10Y LCF AAAK 10Y A23Y Average Basis (RHS) Basis 10Y (LCF AA

53、A - K 10Y A2) (RHS) 10Y LCF AAAK 10Y A23Y Average Basis (RHS) 10Y LCFAAAK 10Y A2DUS 10/9.5GeMS/ACES 10Y A25013540115309520751055Aug-18Nov-18Feb-16May-16Aug-16Nov-16Feb-17May-17Aug-17Nov-17Feb-18May-18Aug-18Nov-18035Aug-18Nov-18Feb-16May-16Aug-16Nov-16Feb-17May-17Aug-17Nov-17Feb-18May-18Aug-18Nov-18M

54、ay-16Aug-16Nov-16Feb-17May-17Aug-17Nov-17Feb-18May-18Source:J.P. MorganSource: J.P. MorganMay-16Aug-16Nov-16Feb-17May-17Aug-17Nov-17Feb-18May-18Certain programs within the ACMBS universe also offer non-guaranteed tranches to more credit investors (Exhibit 10). Here, investors typically compare relat

55、ive value to more subordinated private label CMBS alternatives.Exhibit 10: Credit bonds are also available in the “Agency” CMBS marketConduit single-AConduit BBB-K 10Y BConduit single-AConduit BBB-K 10Y BK 10Y C500400300200100Feb-17May-17Aug-17Nov-17Feb-18May-18Aug-18Nov-18Feb-190Feb-17May-17Aug-17N

56、ov-17Feb-18May-18Aug-18Nov-18Feb-19Source: J.P. MorganACMBS returns outperformnon- guaranteed alternatives in periods ofvolatilityACMBS total returnsUsing the returns data from the Bloomberg Agg Eligible CMBS Index (references a portfolio of eligible Fannie Mae ACES and GeMS bonds, along with Freddi

57、e Macs K shelf (guaranteed) bonds, Agency CMBS outperformed both private label CMBS and broader (unsecured) investment grade credit in 2018 (Exhibit 10). In fact looking at the period shown below, we can see that ACMBS (logically) outperforms in periods of risky market selloffs and underperforms dur

58、ing rallies.Exhibit 11: Agency CMBS and Private Label CMBS Total Returns over timeeturns, %Agency CMBS Conduit CMBS AAA JULI ex-EMeturns, %Agency CMBS Conduit CMBS AAA JULI ex-EM6.1%6.3%4.1%3.5%1.8%2.4%2.7%0.8% 0.3%1.0% 0.7%-2.3%8.0%6.0%4.0%2.0%0.0%-2.0%-4.0%2015201620172018Source: J.P. Morgan, Bloo

59、mbergYear-to-date 2019, given the broad based improvement in sentiment stemming from the Feds more dovish stance, returns for ACMBS stand at 1.1%, compared to 1.6% and 2.7% for private label and broad credit, respectively.Potential for GSE and LIBOR reform do present some challenges for the assetcla

60、ss into 2019 andbeyondDevelopments in ACMBSBy the products very nature, developments in ACMBS tend to be incremental rather than wholesale. Two potential areas of more fundamental reform which would affect the outlook for ACMBS over 2019 and beyond however are GSE and benchmark reform. While uncerta