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Determinants of Credit Spreads in Commercial Real Estate Senior Loans of German Lenders

Author

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  • Ricarda Haffki

Abstract

This research empirically examines cross-sectional property- and credit-risk determinants of credit spreads for commercial real estate senior loans. In contrast to previous studies, we exploit a new large data set of commercial real estate mortgages of German real estate banks concentrating on senior lending activities from 2015 to 2019. These mortgages have not been securitized into CMBS loans and thus, belong to the on-balance activities of the lenders. Our results are largely consistent with theoretical predictions. In particular, credit spreads are positively related to the cap rate, reflecting the property risk, and the loan-to-value ratio, reflecting the credit risk. In focusing on senior loans, we are able to place the results in a precise context of property- and mortgage-related impacts.

Suggested Citation

  • Ricarda Haffki, 2021. "Determinants of Credit Spreads in Commercial Real Estate Senior Loans of German Lenders," ERES eres2021_31, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2021_31
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2021-31
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    More about this item

    Keywords

    Commercial Real Estate Loans; Credit Spreads; Determinants of Loan Pricing; Relationship Lending;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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