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Working Paper
CMBS Market Evolution and Emerging Risks
We study the evolution of the private-label CMBS market from one dominated by broadly diversified long-term, fixed-rate conduit securitizations to one dominated in 2021–22 by undiversified short-term, floating-rate Single-Asset, Single-Borrower (SASB) securitizations. Twenty-five years of stable bond returns and exceptionally low losses help explain the growth and standardization of the SASB market following the Global Financial Crisis. Historically low interest rates and pandemic-era dislocations help explain the recent dominance of short-term, floating-rate SASBs. Factors contributing to ...