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Conference Paper
A model of CMBS spreads
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 comfortable 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 series 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 ...