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Analysis of Yield Spreads on Commercial Mortgage-Backed Securities

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  • Brian Maris
  • William Segal

Abstract

Yield spreads on commercial mortgage-backed securities (CMBS) are defined as the difference between the yield on CMBS and the yield on comparable-maturity Treasuries. CMBS yield spreads declined dramatically from 1992 until 1997, then increased in 1998 and 1999. The relationship between CMBS yield spreads and other variables is estimated in an effort to explain recent trends. Results identify several variables that are related to yield spreads on both fixed-rate and variable-rate CMBS. However, even after controlling for other observable factors, the yield spread on CMBS still declined from 1992 until 1997, then increased each of the next two years. Possible explanations for this phenomenon are explored.

Suggested Citation

  • Brian Maris & William Segal, 2002. "Analysis of Yield Spreads on Commercial Mortgage-Backed Securities," Journal of Real Estate Research, Taylor & Francis Journals, vol. 23(3), pages 235-252, January.
    • Handle: RePEc:taf:rjerxx:v:23:y:2002:i:3:p:235-252
    DOI: 10.1080/10835547.2002.12091083
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