Pricing commercial mortgages and their mortgage-backed securities

1990 ◽  
Vol 3 (4) ◽  
pp. 333-356 ◽  
Author(s):  
James B. Kau ◽  
Donald C. Keenan ◽  
Walter J. Muller ◽  
James F. Epperson
Keyword(s):  
Mortgage Backed Securities ◽  
Commercial Mortgages

The Return of the Loan: Commercial Mortgage Investing after the 2008 Financial Crisis

2017 ◽  
pp. 1-35
Author(s):  
Craig Furfine ◽  
Mike Fishbein
Keyword(s):  
Vice President ◽  
Cash Flows ◽  
List Type ◽  
Mortgage Loans ◽  
Risk Return ◽  
Mortgage Backed Securities ◽  
Direct Lending ◽  
The 2008 Financial Crisis ◽  
Benefits And Costs ◽  
Commercial Mortgages

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

Complexity and Loan Performance: Evidence from the Securitization of Commercial Mortgages

2014 ◽  
Vol 2 (2) ◽  
pp. 154-187 ◽  
Author(s):  
Craig H. Furfine
Keyword(s):  
Median Number ◽  
Mortgage Loan ◽  
Security Design ◽  
Mortgage Loans ◽  
Median Size ◽  
Mortgage Backed Securities ◽  
Loan Quality ◽  
Commercial Mortgages ◽  
Risk Retention

Between 2001 and 2007, the complexity of commercial mortgage-backed securities (CMBS) increased substantially. The median size of commercial mortgage loan pools tripled and the median number of AAA-rated tranches doubled. I examine whether deal complexity is related to loan performance by analyzing a sample of approximately 40,000 commercial mortgage loans from 334 CMBS deals. I find that loan performance is worse for loans in more complex securitizations. However, neither the price of a deal’s securities nor a deal’s risk retention reflected that complexity correlates with lower loan quality. These findings present a challenge for theories of optimal security design.

Commercial Mortgages and Commercial Mortgage-Backed Securities

2014 ◽  
pp. 157-177
Author(s):  
Xudon An ◽  
Kerry D. Vandell
Keyword(s):  
Mortgage Backed Securities ◽  
Commercial Mortgages

Portfolio Strategies Using Mortgage-Backed Securities (II)

1985 ◽  
Vol 1985 (1) ◽  
pp. 58-61
Author(s):  
Richard L. Sega
Keyword(s):  
Portfolio Strategies ◽  
Mortgage Backed Securities

Portfolio Strategies Using Mortgage-Backed Securities (I)

1985 ◽  
Vol 1985 (1) ◽  
pp. 53-57
Author(s):  
William H. Gross
Keyword(s):  
Portfolio Strategies ◽  
Mortgage Backed Securities

Characteristics of Mortgage-Backed Securities (II)

1985 ◽  
Vol 1985 (1) ◽  
pp. 26-34
Author(s):  
Richard B. Worley
Keyword(s):  
Mortgage Backed Securities

Valuing Canadian Mortgage-Backed Securities

1989 ◽  
Vol 45 (3) ◽  
pp. 55-60 ◽  
Author(s):  
Phelim P. Boyle
Keyword(s):  
Mortgage Backed Securities

The Reality of Mortgage-Backed Securities and Improvement of MBS Legal System

2018 ◽  
Vol 29 (1) ◽  
pp. 27-57
Author(s):  
Ho-Shin Song
Keyword(s):  
Legal System ◽  
Mortgage Backed Securities

Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

1997 ◽  
Vol 1 (1) ◽  
pp. 27-46 ◽  
Author(s):  
Russel Caflisch ◽  
William Morokoff ◽  
Art Owen
Keyword(s):  
Effective Dimension ◽  
Brownian Bridges ◽  
Mortgage Backed Securities

Prepayment Analysis of Residential Mortgage Backed Securities for Indian Securitization Market

2008 ◽  
Author(s):  
Gireesh Chandra Tripathi ◽  
K. C. Iyer
Keyword(s):  
Residential Mortgage ◽  
Mortgage Backed Securities
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