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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.56,Issue1,P.1-32

语言

英文

关键字

Commercial mortgages; Mortgage spreads; Mortgage default rates; Tenant diversification; COMMERCIAL MORTGAGES; BACKED SECURITIES; SHOPPING MALLS; EXTERNALITIES; CONTRACTS; MARKET; BANKS; CMBS; DETERMINANTS; PREPAYMENT

作者单位

[Ambrose, Brent] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA. [Shafer, Michael] Providence Coll, Sch Business, Providence, RI 02918 USA. [Yildirim, Yildiray] Baruch Coll, Zicklin Sch Business, New York, NY 10010 USA. Ambrose, B (reprint author), Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA.; Shafer, M (reprint author), Providence Coll, Sch Business, Providence, RI 02918 USA. E-Mail: bwa10@psu.edu; mshafer@providence.edu; Yildiray.Yildirim@baruch.cuny.edu

摘要

We use an empirical model of commercial mortgage spreads to examine how tenant diversification impacts credit spreads for mortgages on retail properties. We find that mortgages on properties with a highly diversified tenant base have spreads that are up to 7.1 basis points higher than spreads on mortgages for single-tenant properties, but that mortgages on properties with moderate levels of tenant diversification have spreads that are up to 5.2 basis points lower than mortgages on single-tenant properties. The spread discount for mortgages on properties with moderate levels of tenant diversification disappears when the lease of the property's largest tenant expires before the loan matures. Despite the spread discount that is given to properties with moderate levels of tenant diversification, we find that the likelihood with which a mortgage goes into default increases as tenant diversification increases.