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 170 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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 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 Asset Backed Securities Their Role within the Financial Crisis written by Franz Bauer and published by GRIN Verlag. This book was released on 2020-09-15 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2020 in the subject Business economics - Investment and Finance, grade: 1,7, University of applied sciences, Munich, language: English, abstract: The subprime crisis in 2007 proved to be a decisive factor in the financial world and triggered a global financial crisis of unimagined proportions. This essay examines the role of asset-backed securities in the 2007/2008 financial crisis, focusing on the triggers and the process that eventually led to the bursting of the US real estate bubble. The paper also provides an overview of how the downturn in the US housing market was triggered and how the United States and the global economy slid into recession.

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 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 Public Policy Financial Economics Essays In Honor Of Professor George G Kaufman For His Lifelong Contributions To The Profession written by Douglas D Evanoff and published by World Scientific. This book was released on 2018-03-08 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central goal of this volume was to assemble outstanding scholars and policymakers in the field of financial markets and institutions and have them articulate significant market developments in their particular areas of expertise during the past few decades.Not just a celebratory volume, Public Policy and Financial Economics selected internationally recognized financial economists who have worked with Professor Kaufman during his years of scholarly research, and have a combined mastery of specialized financial markets themes and, very importantly, knowledge of public policies in the areas. All 15 chapters offer unique, innovative, and exciting expositions of several critical topics in financial economics.

Download or read book Essays on Banks Resolutions of Problem Mortgage Loans written by Jung-Eun Kim and published by . This book was released on 2013 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines banks' resolution of distressed commercial mortgage loans. Following the introduction in the first chapter, the second chapter reviews the literature on banks' resolutions of distressed loans. In chapter 3, I present a model of banks' resolution decisions under information asymmetry. The model shows that banks prefer to renegotiate instead of foreclosing problem loans when there is a cost associated with revealing the quality of their mortgage portfolios. The fourth chapter presents empirical findings that are consistent with the model, i.e., that banks' resolution decisions are affected by their concerns of revealing negative information through large foreclosures. I find that larger loans are more likely to be renegotiated than smaller loans and that banks take a shorter amounts of time to renegotiate rather than to foreclose on problem loans. Secondly, the impact of loan size on the propensity to renegotiate is magnified for banks with superior past performance and for banks with lower local mortgage distress. In addition, I find that banks that raised new equity capital exhibit a stronger tendency to renegotiate larger problem loans in the previous year. In chapter 5, as a falsification test, I compare the bank-held sample with a Commercial Mortgage Backed Securities (CMBS) sample that does not share banks' mimicking motives, because special servicers of problem loans are not the originators of those loans. I find that the results are weaker or not present for CMBS, in contrast to the bank loan sample. In chapter 6, I study banks' resolution of problem loans while considering their problem loan portfolios. I consider two aspects of banks' problem loan portfolios -- their relationships with borrowers and the degree of regional diversification. Empirical results suggest that the sample banks choose to act "tougher", i.e., foreclose more, as they have more loans with a borrower. Finally, the degree of geographical diversification in problem loan portfolios may affect banks' resolution decisions. I find that as banks have geographically concentrated problem loan portfolios, they are more likely to renegotiate larger loans, measured either absolutely or relatively. Chapter 7 concludes.

Download or read book Essays on Brokers Financial Intermediaries and Securitized Mortgages written by Luis Arturo Lopez and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Although the economic literature documents theoretical agency models that align the incentives between the agents and principals, there are countless anecdotes where the theoretical models do not hold in practice. This dissertation examines the behaviors of brokers and intermediaries in various sectors of the real estate market. The first two chapters focus on real estate brokers in the housing market while the latter two focus on financial intermediaries in the securitized mortgage market. The purpose is to draw lessons or policy implications. In Chapter 1, for instance, I find that homes owned by real estate agents sell at a premium of 2.7 percent (or $4,900) above the sale price of clients' homes. Homes of relatives sell at a premium of 1.3 percent (or $2,360). While prior literature attributes the price disparity to the agents' exploitation of information asymmetry about the market, I argue that the disparity likely derives from the contract rigidity in listing agreements. I show that real estate agents enjoy a low cost to breach contracts and can, therefore, enter or exit the market more easily than clients to obtain desirable prices. The policy implication is that reducing the agents' advantage requires increasing the households' power to breach listing agreements but at the trade-off of reducing the willingness of agents to participate in the market.In Chapter 2, using use artificial intelligence, I identify financial steering activity that is fostered by real estate agents representing sellers. Examining data that allows me to observe private information exchanges between listing and buyer agents, I find that over 13 percent of the homes sold had bidding constraints requiring financed buyers to obtain a pre-qualification letter from an affiliated lender even if pre-qualified with another lender. I also find that while steering decreases the transaction costs sellers experience by screening buyers (as agents representing sellers often proclaim), it decreases the equilibrium price of the average home by about 1 percent (or $1,900). Financial steering also displaces financed buyers (especially African Americans and Hispanics) while it favors cash or corporate investors. These findings present a trade-off that policymakers encounter when designing and enforcing anti-steering or pro-competition regulations in financial markets. In Chapter 3, I empirically examine the monitoring role of trustees in the securitization market for commercial mortgages. Using a natural experiment around mergers that result in servicers (i.e., agents) and trustees (i.e., monitors) falling under the same institutional umbrella, I present evidence that affiliation is associated with a decrease in the servicers' effort made on behalf of investors (i.e., principals). I also find that a servicer-trustee affiliation causes distortions to the cash flows to bondholders and a decrease in the average recovery rate of a delinquent commercial mortgage by up to $0.07 per dollar of outstanding debt, accounting for an economic impact of about $4.53 billion in market-wide liquidation losses. The policy implication is that third-party oversight plays an imperative role in aligning incentives.Finally, in Chapter 4, I examine how affiliation to senior bondholders can influence servicing decisions on delinquent loans in non-agency residential mortgage-backed securities. Making use of a natural experiment involving mergers and acquisitions that resulted in servicers owning investors who in turn have ownership of the bonds the servicers manage, I find that affiliation improves the chances that a loan is liquidated through a non-foreclosure avenue by about 33 percent relative to foreclosure. Moreover, analyzing investment-grade bond holdings, I find no evidence of senior investors responding negatively to servicer-investor affiliations in the RMBS market. Overall, these results suggest that exposing servicers to senior bond holdings through an affiliation with their own investors significantly improves the servicers' behavior.

Download or read book Essays on Commercial Real Estate and Commercial Mortgages written by Jun Chen and published by . This book was released on 2003 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 Three Essays on Mortgage backed Securities written by Jian Chen and published by . This book was released on 2005 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: