Download or read book A Series of Essays on Commercial Mortgage backed Securities written by Stephen Lyon Buschbom and published by . This book was released on 2017 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of two essays where the unifying theme is the use of hazard models in the study of commercial mortgage-backed securities (CMBS). The first essay constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from CMBS pools, we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which are weighted by each loan's survival probability up to the time of modification to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports theory that borrower delinquency is strategically endogenous. The second essay examines the investment decisions of regulated financial institutions. Specifically, an empirical model is developed to examine the selling behavior of insurers following a rating downgrade of a commercial mortgage-backed security (CMBS). The regulatory environment in the insurance industry creates a setting where firms must consider not only the regulatory impact of selling a security, but also the price of the security. By modeling the selling decision using a hazard model, it is possible to capture a dynamic characterization of the firm- and bond-specific attributes which affect the selling decision. Similar to prior studies, the model controls for an insurer's aggregate portfolio risk exposure but introduces an important variable: price. Estimating each security's price allows for creation of a proxy for an insurer's unrealized gain or loss. The results provide evidence that insurers are not primarily motivated by regulatory capital, but instead are influenced by aggregate portfolio risk exposure as well as the size of an unrealized gain or loss, which is found to be asymmetric between high- and low-risk exposure insurers, when evaluating a prospective sale transaction for a downgraded holding.

Download or read book Essays on Commercial Mortgage backed Securities written by Sansanee Thebpanya and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Commercial Mortgage backed Securities written by Sansanee Thebpanya and published by . This book was released on 2003 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investing in Commercial Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2000-12-15 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commercial mortgage-backed securities (CMBS)-securitizations of mortgage loans backed by commercial real estate-have become compelling devices for fixed income investing. This title, edited by renowned financial expert Frank Fabozzi, describes the structure, valuation, and performance of CMBS, illustrates an empirical framework for estimating CMBS defaults, instructs how to value prepayment and credit risks of CMBS, and more.

Download or read book Essays on Commercial Mortgage backed Security written by Ruoyu Shao and published by . This book was released on 2015 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structured finance products including Commercial Mortgage-Backed Security (CMBS) suffered tremendous losses during the 2008 financial crisis. My dissertation consists of three chapters that contribute to our understanding of the causes of the crisis. My first chapter is an empirical study on potential misrepresentation of CMBS. Although CMBS suffered large scale losses during the past financial crisis, currently, this segment of the structured finance market has almost recovered to its pre-crisis level. While evidence was found regarding the systematic misrepresentation of loan quality information for residential mortgages, there was no evidence of large scale misreporting for CMBS. This paper examines important financial variables reported in financial documentation of commercial mortgages such as Underwritten Net Operating Income (UW NOI). I find that, prior to the financial crisis, UW NOI was consistently over-estimated by an average of 7.8%. This overstatement lead to Loan-to-Value ratio and Debt-Service Coverage Ratio being misreported as 67.1% from 84.2% and DSCR as 1.72 from 1.59. The levels of aggregate over-estimation substantially differed among originators and the variations explained the performance differences between originators. Each 1% increase in over-estimation resulted in a 20% higher likelihood in delinquency. The ratings issued by rating agencies failed to capture the adverse impact from over-estimation on CMBS performance. The second chapter of my dissertation studies the CMBS credit rating market using a strategic interaction model. The 2008 financial crisis that arose in the mortgage market has brought renewed attention to the failure of the credit rating mechanism. Using Bloomberg data, I conduct a structural analysis of strategic credit rating behaviors in the Commercial Mortgage-Backed Security (CMBS) market. This chapter models the CMBS credit ratings as strategic behaviors that reflect the peer effects from other rating agencies. Peer effects are incorporated through the estimation of market “beliefs” about the ratings. We establish semiparametric identification of the model by exploiting an exogenous equilibrium shift due to the financial crisis. Moreover, the model is estimated using a two-step estimation procedure. The empirical results strongly support the presence of positive peer effects. By including peer effects, the fitness of our model has been significantly improved. The third chapter examines the entrant-related consequences in the CMBS credit rating market after the financial crisis. I find that the entrant has given more lenient ratings than the incumbents. Among securities that obtained ratings from both entrant and incumbent rating agencies, 13.8% are granted a higher rating from the entrant than the incumbents from 2011-2014. In addition, deal level and loan level analyses further provide evidence that the entrant granted CMBS with 2.25% higher AAA-rated portion while the underlying loans in these CMBS are 10% more likely to become delinquent than other rating agencies. The lenient ratings from the entrant coincide with the sharp increase in the entrant's market share.

Download or read book The Handbook of Commercial Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1998-09-15 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Commercial Mortgage-Backed Securities is a cornerstone reference in this emerging sector of the structured finance market. This Second Edition provides updated coverage of the market, the instruments, the tools used to assess these securities, and tax accounting issues. In addition to an overview of the commercial real estate finance and commercial property markets, this book also covers property-market framework for bond investors, the role of the servicer, an investor's perspective on commercial mortgage-backed coupon strips, defaults on commercial mortgages, assessing credit risk, an options approach to valuation and risk analysis, legal perspectives on disclosure issues, and federal income taxation.

Download or read book Trends in Commercial Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1998-06-20 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage-backed securities are becoming an increasingly popular tool for constructing a solid portfolio in today's turbulent market. Frank Fabozzi leads more than a dozen experts in examining all the latest trends of this investment strategy, providing in-depth insight and explaining key areas of the commercial mortgage-backed securities landscape. Topics covered include measuring risks in the whole-loan commercial market, multi-family mortgage-backed securities, and B Pieces. Following on the heels of Advances in Mortgage-Backed Securities and The Handbook of Commercial Mortgage-Backed Securities, Trends in Commercial Mortgage-Backed Securities further demonstrates editor Fabozzi's authority in the subject.

Download or read book The Handbook of Fixed Income Securities Chapter 27 Commercial Mortgage Backed Securities written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Download or read book Commercial Mortgage Backed Securities written by Jan Schimmel and published by diplom.de. This book was released on 2004-05-12 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: The securitisation of loans, backed by mortgage liens, has an impressive tradition. The technique was established 234 years ago, in line with the development of the German Pfandbrief . Compared to Germany, the US market has dealt with the securitisation of mortgage loans and the issuance of Mortgage-Backed Securities (MBS) since the 1970 ́s. Based on the success of MBS, non-mortgage assets were used for securitisation purposes, resulting in a market for Asset-Backed Securities (ABS). In 2003, the US market issued a total volume of 494 $ billion Asset-Backed Securities, whereas the amount of European issuances increased from 80 billion in 2000 to approximately 190 billion in 2003. Today, the US securitisation market accounts for 80% of the global ABS market, whereas Europe has a global market share of 10%. Within the European market, the United Kingdom is the biggest player, generating a market share of 41%. Germany, as being the largest European provider of corporate, retail and building loans, remains with a global market share of 1% and a European market share of 3%, far below its possibilities. Even though the underlying survey shows that 71% of the interviewed companies believe in a subordinated role of Commercial Mortgage-Backed Securities (CMBS) , the relevance of MBS for the European market is underlined by a differentiation of ABS asset classes. MBS, divided into Residential Mortgage-Backed Securities (RMBS), with a market share of 59%, and Commercial Mortgage-Backed Securities, with a market share of 6%, constitute the most important ABS type. In Germany, an analysis of the potential for true sale securitisations is reasonable. Only one quarter (237 billion) of all German mortgage loan portfolios is funded through the utilisation of Pfandbriefe. As a consequence the volume for securitisations amounts to approximately 750 billion. Additionally, mortgage banks have funded 61% of their portfolios by issuing Pfandbriefe, whereas the remaining was generated through uncovered instruments. As a result, they will be increased engagements in MBS and CMBS transactions. Currently, however, the financial sector and especially credit institutions reside in a reorientation phase. Eminently exposed to a highly competitive market, with increasing costs and declining margins, is the credit business. Here, a major problem occurs. During the past decades, credit institutions were engaged in a low margin-competition [...]

Download or read book Essays in Mortgage backed Securities written by Ayinikkat Raghavan Radhakrishnan and published by . This book was released on 1997 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Commercial Mortgage backed Securities CMBS Terminations Regional and Property type Risk written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analysis of Distressed Commercial Mortgage Backed Securities CMBS Loans and Special Servicing written by Joon Keun Chang and published by . This book was released on 2020 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: The outbreak of the COVID-19 pandemic in late 2019 has largely impacted the global economy by changing every aspect of our living environment with limited social and economic activities throughout 2020. This unprecedented economic downfall exposed real estate properties to high risk of default, pushing the CMBS loans delinquency rate to 10.32% in June 2020. As such an economic halt is likely to prevail, it is expected that the Commercial Real Estate (CRE) market would experience more distress in terms of debt service. Thus, it is imperative to overview the CMBS securitization process, the servicing structure, and the workout scenarios in case of loan default in order to understand the complexity of the CMBS structure and better prepare appropriate measures or strategies in response to current market landscape. By having a case study on 666 Fifth Avenue in New York, this paper will analyze one of the most high-profile properties that was transferred to special servicing to review strategies to resolve financial distress.

Download or read book The Handbook of Mortgage Backed Securities written by Frank J. Fabozzi and published by McGraw Hill Professional. This book was released on 2005-12-30 with total page 1270 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive MBS guide, with fully updated material on the latest mortgage-backed products, methods, models, and portfolio strategies By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The sixth edition contains all the elements that made previous editions so successful and influential, and provides you with more than 25 new chapters on topics including collateralized mortgage obligations, prepayment derivatives, loan level determinants of repayments, new approaches to MBS valuation, and a survey of non-U.S. mortgage rates.

Download or read book The Handbook of Nonagency Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2000-02-15 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities.

Download or read book Principles of Commercial Real Estate written by and published by Dearborn Real Estate. This book was released on 2002 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Secondary Market for Commercial Real Estate Loans written by United States. Congress. House. Committee on Banking, Finance, and Urban Affairs. Subcommittee on Policy Research and Insurance and published by . This book was released on 1992 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Return of the Loan written by Craig Furfine and published by . This book was released on 2017 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Zoe Greenwood, vice president at Foundation Investment Advisors, was glancing through the offering memorandum for a new commercial mortgage-backed securities (CMBS) deal on April 1, 2010, a time when the opportunities for commercial mortgage investors had been bleak to the point of comical. This new CMBS deal represented the first opportunity to buy CMBS backed by loans to multiple borrowers since credit markets had shut the securitization pipeline in June 2008. The offering gave Greenwood a new investment opportunity to suggest to her firm's latest client. She had planned to recommend an expansion in her client's traditional commercial mortgage business, but these new bonds looked intriguing. Could the new CMBS offer her client a superior risk-return tradeoff compared with making individual mortgage loans? After students have analyzed the case they will be able to: -Learn how to construct promised cash flows from both commercial mortgages and commercial mortgage-backed securities - Understand the benefits and costs of direct lending versus indirect lending (purchase of mortgage-backed bonds) - Underwrite commercial mortgage loans issued by others to identify potentially hidden risks - Evaluate at what price a mortgage-bond investment makes financial sense.