DETERMINANTEN EUROPÄISCHER CMBS SPREADS :Ein empirisches Modell zur Bestimmung derRisikoaufschläge vonCommercial Mortgage-Backed Securi ties (CMBS)

This paper tracks a structured financial innovation, the commercial mortgage-backed securitywhich is not as novel as current discussion around the sub-prime crisis let assume. However,CMBS as credit-derivatives feature various factors that influence the risks arising from acommercial-mortgage credit agreement as well as marked-risks influenced by economy andmarked behaviour. Risks of CMBS are generally evaluated by rating agencies, but volatilemarket prices show, that investors have different views of risks arising from commercialmortgage-backed securities. Within this paper six determinants are presented that have significantinfluence on the CMBS spread. The results show that prepayment risks do not seemto have any influence on CMBS pricing, however the economical situation as well as creditenhancement is of high importance. This also shows that enhancement is only one variablethat counts for investors as they obviously have a sophisticated view.The defined determinants provide the basis to a linear regression-equation that allows an estimationon CMBS prices.