Determinanten europäischer CMBS spreads: ein empirisches Modell zur Bestimmung der Risikoaufschläge von commercial mortgage-backed securities (CMBS)

This paper tracks a structured financial innovation, the commercial mortgage-backed security which is not as novel as current discussion around the sub-prime crisis let assume. However, CMBS as credit-derivatives feature various factors that influence the risks arising from a commercial-mortgage credit agreement as well as marked-risks influenced by economy and marked behaviour. Risks of CMBS are generally evaluated by rating agencies, but volatile market prices show, that investors have different views of risks arising from commercial mortgage-backed securities. Within this paper six determinants are presented that have significant influence on the CMBS spread. The results show that prepayment risks do not seem to have any influence on CMBS pricing, however the economical situation as well as credit enhancement is of high importance. This also shows that enhancement is only one variable that counts for investors as they obviously have a sophisticated view. The defined determinants provide the basis to a linear regression-equation that allows an estimation on CMBS prices.