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.
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SECTION I: BACKGROUND.
1. The CMBS Market: Past, Present, and Future (G. Gichon).
2. A Property Market Framework for Bond Investors (P. Corcoran).
3. Commercial Mortgage Default Rates and Loss Severity (R. Pelletier and A. Rudenstein).
SECTION II: CMBS AND STRUCTURING ISSUES.
4. Commercial Mortgage–Backed Securities (J. DeMichele and W. Adams).
5. An Investor′s Framework for Modeling and Analyzing CMBS (R. Trepp and J. Savitsky).
6. Structural Considerations Impacting CMBS (J. Dunlevy).
7. How CMBS Structuring Impacts the Performance of the Bond Classes (D. Jacob and L. Tong).
8. Understanding Prepayments in CMBS Deals (D. Cheng, et al.).
9. Investing in Subordinate CMBS Bonds (J. Mathew and E. Katz).
SECTION III: RISK ANALYSIS.
10. CMBS: Developing Risk Management for a New Asset Class (M. Reilly and B. Golub).
11. Evaluating the Risk of Commercial Mortgage–Backed Securities (G. Pappadopoulos and J Fisher).
12. Rating of Commercial Mortgage –Backed Securities (J. Franzetti).
13. Assessing Credit Risk of CMBS (P. Corcoran and D. Kao).
14. Credit–Diven Prepayment and Default Analysis (M. Ervolini, et al.).
15. Understanding and Managing the Balloon Risk of Commercial Mortgages in CMBS (D. Jacob and P. Fastovsky).
SECTION IV: VALUATION AND RELATIVE VALUE ANALYSIS.
16. A Framework for Risk and Relative Value Analysis of CMBS: Theory (D. Jacob, et al.).
17. A Framework for Risk and Relative Value Analysis of CMBS: Practice (D. Jacob and G. Gichon).
18. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis (D. Jacob, et al.).
19. A Monte Carlo Default Pricing Model for CMBS (G. Pappadopoulos).
20. An Investor′s Perspective on Commercial Mortgage–Backed Coupon Strips (K. Gollenberg).
21. High Yield Commercial Mortgage–Backed Securities (D. Jacob and G. Gichon).
SECTION V: ACCOUNTING, TAXES, AND LEGAL ISSUES.
22. The Role of the Trustee (S. Davis, et al.).
23. Performing Financial Due Diligence Associated with Commercial Mortgage Securitizations (D. Baranick and S. Quraishi).
24. Generally Accepted Accounting Principles for Issuers of and Investors in CMBS (D. Baranick and R. Bennett).
25. Federal Income Taxation of REMICs and CMBS (J. Ferst and M. Miyashiro).