人大金融学讲义CreditProfile2003.pdf

Structured Finance Special Report CMBS RESEARCH Credit Profile of Standard Poor’s Rated U.S.Commercial Joseph Hu, Ph.D. New York Mortgage Loans (1) 212-438-2491 Roy Chun New York Between 1987 and 2002, Standard Poor’s rated $270 (1) 212-438-2430 billion worth of U.S. CMBS. They comprised 411 transactions that were backed by 42,569 commercial mortgage loans originated between 1966 and 2002 (for this study, these loans are referred to as Standard Poor’s mortgage loans). To better understand the credit performance of CMBS and its underlying dynamics, this report provides the results of a study that delves into the characteristics and default behavior of the Standard Poor’s mortgage loans. (Editor’s note: The data presented in table and chart format are appended to this document. The reader may find it useful to print July 2003 these separately for reference to the text.) CMBS RESEARCH Executive Summary This report presents the results of a study that examines the characteristics and default experience of the Standard Poor’s mortgage loans, defined for the study as commercial mortgage loans that were pooled for the issuance of Standard Poor’s rated CMBS issued In the Unit