Investing in Commercial Mortgage-Backed Securities
Commercial mortgage-backed securities—securitizations of mortgage loans backed by commercial real estate—have become compelling devices for fixed income investing. Investing in Commercial Mortgage-Backed Securities describes the structure, valuation, and performance of CMBS. It illustrates an empirical framework for estimating CMBS defaults and instructs how to value prepayment and credit risks of CMBS.
This book covers:
- Introduction to Commercial Mortgage-Backed Securities
- The Commercial Mortgage-Backed Securities Deal
- Floating-Rate Commercial Mortgage-Backed Securities
- Multifamily Project Securities
- Lehman Brothers' CMBS Index
- The Efficient Frontier for CMBS and Commercial Mortgages Using a Risk-Return Framework
- Structure, Valuation, and Performance of CMBS
- Value and Sensitivity Analysis of CMBS IOs
- Valuation and Analysis of Credit-Sensitive CMBS Tranches
- An Empirical Framework for Estimating CMBS Defaults
- Project-Loan Prepayments and Defaults
- Valuing the Prepayment and Credit Risks of Commercial Mortgage Securities
- The CMBS Market, Swap Spreads, and Relative Value
- The Effect of the Real Estate Cycle on Commercial Mortgage and CMBS Spreads
- CMBS in Japan