Valuing the defeasance option in securitized commercial mortgages

被引:9
|
作者
Dierker, M [1 ]
Quan, D
Torous, W
机构
[1] Univ Houston, CT Bauer Coll Business, Houston, TX 77204 USA
[2] Cornell Univ, Sch HOtel Adm, Ithaca, NY 14852 USA
[3] Univ Calif Los Angeles, Anderson Grad Sch Management, Los Angeles, CA 90095 USA
关键词
D O I
10.1111/j.1540-6229.2005.00134.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
To protect the interests of investors, commercial mortgage loans pooled for the issuance of commercial mortgage-backed securities (CMBS) have restrictive covenants that discourage the borrower from refinancing. Such restrictions limit the borrower's ability to access any accumulated equity. The predominant means of accessing this equity today is defeasance. By defeasing a loan, the borrower substitutes the commercial mortgage with U.S. Treasury or agency obligations whose payments match those of the defeased mortgage. Therefore, defeasance is an exchange option whereby the borrower gives up the portfolio of Treasury or agency securities and in return receives the market value of the commercial mortgage plus the liquidity benefits arising from accessing the accumulated equity in the underlying property. The value of the option to defease is shown to depend critically on the rate of return that can be earned on the released equity, prevailing interest rate conditions, as well as the option's contractual features.
引用
收藏
页码:663 / 680
页数:18
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