Originator Performance, CMBS Structures and Yield Spreads of Commercial Mortgages

44 Pages Posted: 18 Mar 2008

See all articles by Sheridan Titman

Sheridan Titman

University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

Sergey Tsyplakov

University of South Carolina - Darla Moore School of Business

Date Written: November 25, 2007

Abstract

This paper examines information and incentive problems that can exist in the market for conduit mortgages, which are commercial mortgages placed in pools that are repackaged and sold as CMBS. We find that conduit mortgages that are originated by institutions with negative stock price performance in the quarters just prior to the origination date tend to have higher credit spreads and default more than other mortgages with similar characteristics. This evidence is consistent with reputation models that suggest that poorly performing originators have less incentive to expend resources evaluating the credit quality of prospective borrowers. We also find that the originator/performance effect is stronger when the originator of the mortgage is also the lead underwriter of the CMBS and that the time between the origination date and the CMBS offering is shorter for originators that are stock price losers.

Keywords: securitization, CMBS, credit spreads, mortgages, reputation

JEL Classification: G14, G21

Suggested Citation

Titman, Sheridan and Tsyplakov, Sergey, Originator Performance, CMBS Structures and Yield Spreads of Commercial Mortgages (November 25, 2007). Available at SSRN: https://ssrn.com/abstract=1106959 or http://dx.doi.org/10.2139/ssrn.1106959

Sheridan Titman

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Sergey Tsyplakov (Contact Author)

University of South Carolina - Darla Moore School of Business ( email )

Francis M. Hipp Building
Finance Department
Columbia, SC 29208
United States
803-777-4669 (Phone)
803-777-6876 (Fax)

HOME PAGE: http://dmsweb.moore.sc.edu/tsyplakov/

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