人大金融学讲义Theupdate.pdf

RESEARCH An Update of the Credit Profile of Standard Poor’s-Rated An Update of the Credit Profile of Standard Poor’s-Rated U. S. Commercial Mortgage Loans U. S. Commercial Mortgage Loans Joseph Hu, Ph.D., New York (1) 212-438-2491 Roy Chun, New York (1) 212-438-2430 Overview and Major Findings For the credit performance of commercial mortgage loans, 2003 was the most stressful year since the early 1990s. It witnessed a sharp increase in the incidences of default. Among commercial mortgage loans originated between 1993 and 2002 that were pooled for Standard Poor’s-rated CMBS issued in the U. S. (hereafter the Standard Poor’s mortgage loans), defaults in 2003 reached 399. They accounted for 30% of all Standard Poor’s mortgage loans that defaulted as of December 31, 2003. In a study published last July, “Credit Profile of Standard Poor’s-Rated U.S. Commercial Mortgage Loans” (hereafter the first study), which analyzed the credit performance of Standard Poor’s mortgage loans, as of March 31, 2003, there were 1,006 defaulted loans. The cumulative default rate for the study period, which covered a time span of a little over 10 years between January 1, 1993, and March 31, 2003, was 3.52%. This update, which extends the study period to December 31, 2003, defaulted loans expanded to 1,346 and the revised cumulative default rate for an 11-year period rose to 4.51%. Based on the additional defaults in 2003, this update re-examines the credit behavior of the 1993- 2002 originated loans in terms of year of loan origination (vintage), type of underlying property, time to default, and default year. To the extent that the defaulted loans were resolved, this study also updates their loss severity by vintage, underlying property, and resolution year. Since the task of this update entailed an investigation