CFA固定收益證券Chapter4.8CommercialMortgage-BackedSecurities(CMBS)第四章第八節(jié)：商業(yè)用房抵押貸款支持證券CommercialMortgage-BackedSecuritiesCommercialMortgage-BackedSecurities(CMBS)arebackedbyapoolofcommercialmortgageloansonincome-producingrealestates.Income-producingrealestatesincludeshoppingcenters,warehouses,hotels,officebuildings,andetc.Commercialmortgageloansarenormallynonrecourseloans.Ifadefaultoccursthelendercanuseonlytheproceedsfromthesaleofthepropertyforrepaymentoftheloanandhasnoresourcetotheborrowerforanyunpaidbalance.CMBShavegreatercreditriskthanRMBS.9/13/2023Page1MeasuresofCreditRiskofCMBSTheanalysisofCMBSsecuritiesfocusesonthecreditriskofthepropertyandnotthecreditriskoftheborrower.Normally,wefocusontwokeyindicatorstoassesscreditrisk.Debt-to-Service-Coverage(DSC)Ratio.Itisabasiccashflowcoverageratiooftheamountofcashflowfromacommercialpropertyavailabletomakedebtpaymentscomparedtotherequireddebtcosts.9/13/2023Page2MeasuresofCreditRiskofCMBSLoan-to-Value(LTV)Ratio.Itcomparestheoutstandingmortgageamountonthepropertytoitscurrentfairmarketvalueorappraisedvalue.Example1:supposetheoutstandingmortgagebalanceatthebeginningof2019onashoppingcenteris$200,000,000andtheprojectedtotalmortgagepaymentin2019is$36,000,000.theexpectedrentalincomeoftheshoppingcenterin2019is$60,000,000whilethetotaloperatingexpenseis$22,000,000.Thecurrentappraisedvalueofthisshoppingcenteris$300,000,000.CalculateitsDSCratioandLTVratio.Solution:9/13/2023Page3CreditEnhancementofCMBSInternalCreditEnhancements:Senior/subordinatedtranches.Overcollateralization.Reservefunds.ExternalCreditEnhancements.Banker’sguarantee.Creditdefaultswap.9/13/2023Page4CallProtectionofCMBSAcriticalinvestmentfeaturethatdistinguishesCMBSfromRMBSistheprotectionagainstearlyprepaymentsavailableattheloanleveltoinvestors’knownasacallprotection.RMBSinvestorsnormallyonlygetprepaymentprotectionatthestructurelevel.CMBSaremorelikeatraditionalbondwithsinkingfundprovision.Atstructurelevel,CMBSmayalsohavesequential-paytranches.ButthemainpurposeisnotforredistributingprepaymentrisklikeaCMO,butforcreditenhancement.9/13/2023Page5CallProtectionofCMBSAttheloanlevel,severalmechanismsofferinvestorscallprotection.Aprepaymentlockout,whichisacontractualagreementthatprohibitsanyprepaymentsduringaspecifiedperiodoftime.Prepaymentpenaltypoints,whicharepredeterminedpenaltiesthataborrowerwhowantstorefinancemustpaytodoso—apointisequalto1%oftheoutstandingloanbalance.Ayieldmaintenancecharge,alsocalleda“make-wholecharge”,whichisapenaltypaidbytheborrowerthatmakesrefinancingsolelytogetalowermortgagerateuneconomicalfortheborrower.Initssimplestterms,ayieldmaintenancechargeisdesignedtomakethelenderindifferentastothetimingofprepayments.Iftheborrowerinsistsonprepayingthemortgageloan,defeasancerequiresthelendertore-investtheproceedsreceivedfromtheprepaymentinaportfolioofgovernmentsecuritiesthatissufficienttomaketheremainingrequiredpaymentsontheCMBS.9/13/2023Page6BalloonMaturityProvisionManycommercialloansbackingCMBSareballoonloansthatrequireasubstantialprincipalrepaymentatmaturityoftheloan.Iftheborrowerfailstomaketheballoonpaymenttheborrowerisindefault.Thelendermayextendtheloanoveraperiodoftimecalledtheworkoutperiod.Th