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Paper eres2015_299:
The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties

id eres2015_299
authors Ambrose, Brent; Michael Shafer; Yildiray Yildirim
year 2015
title The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary 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 8.5 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 5.5 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.
keywords mortgage spreads, tenant diversification, CMBS
series ERES:conference
type paper session
content file.pdf (764,219 bytes)
discussion No discussions. Post discussion ...
ratings
session Real Estate Finance & Investment
last changed 2015/07/08 18:06
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