A Model of CMBS Spreads（CMBS利差的典范）.pdfVIP

A Model of CMBS Spreads Joseph B. Nichols and Amy Cunningham∗ December 2008 Abstract The market for securitized commercial mortgages is still fairly new, dating back only to the mid-1990s. As the market developed, and both rating agencies and investors became more com- fortable with the product and the associated risks, the level of credit support behind given tranches steadily declined. At the same time on-the-run spreads also declined. This paper develops a se- ries of models of both on-the-run CMBS spreads and spreads on newly-issued CMBS. Unlike the on-the run spreads, we can observed differences in credit quality and credit support for the newly-issued securities and therefore identify the the marginal cost investors assigned to these measures of credit quality and credit support. We then use the model to see if the marginal cost assigned to these measures of CMBS credit quality and credit support significantly changed after the 9/11 attacks increased the perceived risk associated with commercial real estate, the passage and extension of the Terrorism Risk Insurance Act, and the turmoil in structured credit markets in 2007. ∗Comments are welcome at: Joseph.B.Nichols@frb.gov. The analysis and conclusions ex- pressed herein are those of the author and do not necessarily represent the views of the Board of Governors of the Federal Reserve System. 1 Introduction The market for commercial mortgage backed securities has developed into an im- portant source of financing for commercial buildings since the early 1990s. This market has faced several significant exogenous shocks, including the 9/11 attacks and the onset of the subprime mortgage crisis. This paper takes advantage of the heterogeneous nature of CMBS pools to determine if investors demand highe