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Commercial Mortgage-Backed Securities: Prepayment and Default

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Author Info
Ambrose, Brent W
Sanders, Anthony B

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Abstract

One of the major developments in real estate finance during the 1990s was the emergence of a viable market for commercial mortgage backed securities. The growth in this market has spurred greater interest in empirical and theoretical research on commercial mortgage default and prepayment. We employ a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. We find that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, we do not find any statistical relationship between LTV and prepayment or default. Copyright 2003 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 26 (2003)
Issue (Month): 2-3 (March-May)
Pages: 179-96
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Handle: RePEc:kap:jrefec:v:26:y:2003:i:2-3:p:179-96

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  1. Gianluca Marcato & Giovanni Alberto Tira, 2009. "Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics," Real Estate & Planning Working Papers rep-wp2009-04, Henley Business School, Reading University. [Downloadable!]
  2. Richard K. Green & George M. Jabbour & Yi-Kang Liu, 2006. "The Performance of Default Risk Structural Models on Commercial Mortgages: An Empirical Investigation," Working Papers 0014, School of Business, The George Washington University. [Downloadable!]
  3. Geetesh Bhardwaj & Rajdeep Sengupta, 2008. "Where's the smoking gun? a study of underwriting standards for US subprime mortgages," Working Papers 2008-036, Federal Reserve Bank of St. Louis. [Downloadable!]
  4. An, Xudong & Deng, Yongheng & Sanders, Anthony B., 2006. "Subordinations Levels in Structured Financing," Working Paper Series 2006-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  5. Bradford Case, 2003. "Loss characteristics of commercial real estate loan portfolios," Basel II White Paper 1, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Erik Heitfield & Tarun Sabarwal, 2004. "What Drives Default and Prepayment on Subprime Auto Loans?," Finance 0405034, EconWPA. [Downloadable!]
    Other versions:
  7. Deng, Yongheng & Quigley, John M. & Sanders, Anthony B., 2006. "Commercial Mortgage-backed Securities (CMBS) Terminations, Regional and Property-Type Risk," Working Paper Series 2006-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  8. Geetesh Bhardwaj & Rajdeep Sengupta, 2008. "Did prepayments sustain the subprime market?," Working Papers 2008-039, Federal Reserve Bank of St. Louis. [Downloadable!]
  9. David Feldman & Shulamith Gross, 2005. "Mortgage Default: Classification Trees Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 369-396, June. [Downloadable!] (restricted)
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