The Handbook of Commercial Mortgage-Backed Securities

by Fabozzi, Frank J.; Jacob, David P.

• ISBN13: 9781883249496
• ISBN10: 188324949X
• Edition: 2nd
• Format: Hardcover
• Copyright: 1998-09-15
• Publisher: Wiley

Summary

The Handbook of Commercial Mortgage-Backed Securities is a cornerstone reference in this emerging sector of the structured finance market. This Second Edition provides updated coverage of the market, the instruments, the tools used to assess these securities, and tax accounting issues. In addition to an overview of the commercial real estate finance and commercial property markets, this book also covers property-market framework for bond investors, the role of the servicer, an investor's perspective on commercial mortgage-backed coupon strips, defaults on commercial mortgages, assessing credit risk, an options approach to valuation and risk analysis, legal perspectives on disclosure issues, and federal income taxation.

Author Biography

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University’s School of Management.

Table of Contents

Contributing Authors	v
List of Advertisers	vi
SECTION I: BACKGROUND	1	(70)
The CMBS Market: Past, Present, and Future	3	(10)
Galia Gichon
A Property Market Framework for Bond Investors	13	(40)
Patrick Corcoran
Commercial Mortgage Default Rates and Loss Severity	53	(18)
Rodney Pelletier
Andrew P. Rudenstein
SECTION II: CMBS AND STRUCTURING ISSUES	71	(98)
Commercial Mortgage-Backed Securities	73	(20)
Joseph F. DeMichele
William J. Adams
An Investor's Framework for Modeling and Analyzing CMBS	93	(20)
Richard C. Trepp
James D. Savitsky
Structural Considerations Impacting CMBS	113	(16)
John N. Dunlevy
How CMBS Structuring Impacts the Performance of the Bond Classes	129	(18)
David P. Jacob
Lynn Tong
Understanding Prepayments in CMBS Deals	147	(12)
Da Cheng
Adrian R. Cooper
Jason Huang
Investing in Subordinate CMBS Bonds	159	(10)
Jojy Mathew
Elazar Katz
SECTION III: RISK ANALYSIS	169	(118)
CMBS: Developing Risk Management for a New Asset Class	171	(12)
Margaret M. Reilly
Bennett W. Golub
Evaluating the Risk of Commercial Mortgage-Backed Securities	183	(10)
George J. Pappadopoulos
Jeff Fisher
Rating of Commercial Mortgage-Backed Securities	193	(54)
Joseph C. Franzetti
Assessing Credit Risk of CMBS	247	(18)
Patrick Corcoran
Duen-Li Kao
Credit-Driven Prepayment and Default Analysis	265	(10)
Michael A. Ervolini
Harold J. A. Haig
Michael A. Megliola
Understanding and Managing the Balloon Risk of Commercial Mortgages in CMBS	275	(12)
David P. Jacob
Peter Fastovsky
SECTION IV: VALUATION AND RELATIVE VALUE ANALYSIS	287	(92)
A Framework for Risk and Relative Value Analysis of CMBS: Theory	289	(16)
David P. Jacob
Galia Gichon
Dan Lee
Lynn Tong
A Framework for Risk and Relative Value Analysis of CMBS: Practice	305	(12)
David P. Jacob
Galia Gichon
An Options Approach to Commercial Mortgages and CMBS valuation and Risk Analysis	317	(30)
David P. Jacob
Ted C.H. Hong
Laurence H. Lee
A Monte Carlo Default Pricing Model for CMBS	347	(12)
George J. Pappadopoulos
An Investor's Perspective on Commercial Mortgage-Backed Coupon Strips	359	(10)
Keith A. Gollenberg
High Yield Commercial Mortgage-Backed Securities	369	(10)
David P. Jacob
Galia Gichon
SECTION V: ACCOUNTING, TAXES, AND LEGAL ISSUES	379	(114)
The Role of the Trustee	381	(16)
Steven Davis
Karen Cook
F. Jim Della Sala
Performing Financial Due Diligence Associated with Commercial Mortgage Securitizations	397	(20)
David Baranick
Shahid H. Quraishi
Generally Accepted Accounting Principles for Issuers of and Investors in CMBS	417	(24)
David Baranick
Richard Bennett
Federal Income Taxation of REMICs and CMBS	441	(52)
Joseph L. Ferst
Milton K. Miyashiro
Index	493