Commercial Mortgage-Backed Securities: Prepayment and Default

Brent W. Ambrose; Anthony B. Sanders

doi:10.1023/A:1022978708728

Commercial Mortgage-Backed Securities: Prepayment and Default

Brent W. Ambrose, Anthony B. Sanders

Risk Management

Research output: Contribution to journal › Article › peer-review

71 Citations (SciVal)

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.

Original language	English (US)
Pages (from-to)	179-196
Number of pages	18
Journal	Journal of Real Estate Finance and Economics
Volume	26
Issue number	2-3
DOIs	https://doi.org/10.1023/A:1022978708728
State	Published - Mar 2003

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics
Urban Studies

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title = "Commercial Mortgage-Backed Securities: Prepayment and Default",

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.",

author = "Ambrose, {Brent W.} and Sanders, {Anthony B.}",

note = "Funding Information: The authors would like to thank Jean Helwege, Tyler Yang, David Feldman and the participants at the 2001 Cambridge-Maastrict Conference for their helpful comments and suggestions as well as Intex for use of the CMBS database and RERI for financial support.",

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N2 - 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.

AB - 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.

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Commercial Mortgage-Backed Securities: Prepayment and Default

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