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Xudong An (2007)
Macroeconomic Conditions, Systematic Risk Factors, and the Time Series Dynamics of Commercial Mortgage Credit RiskEconometrics eJournal
Xudong An, Yongheng Deng, Joseph Nichols, A. Sanders (2013)
Local Traits and Securitized Commercial Mortgage DefaultThe Journal of Real Estate Finance and Economics, 47
Bill Maxted (1994)
Project Finance Secured on Non‐recourse LoansJournal of Property Finance, 5
M. Snyderman (1991)
Commercial mortgages, 18
Tyler Wiggers, Adam Ashcraft (2012)
Defaults and Losses on Commercial Real Estate Bonds during the Great Depression EraHistory of Finance eJournal
Tracey Seslen, William Wheaton (2005)
Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How 'Ruthless' is Default?Urban Economics & Regional Studies eJournal
Joseph Nichols, A. Felton (2011)
Commercial Real Estate Loan Performance at Failed U.S. BanksSecuritization
(1991)
Industry risk and bank regulation
Purpose – The purpose of this paper is to provide an indication of the returns to commercial property lending over the last 30 years in the UK. Design/methodology/approach – There is no long-term index of the returns to commercial property lending in the UK. This paper provides a partial solution by simulating the performance of bullet loans of various vintages, based on the value movements of the IPD index. Findings – On average over the long-term debt returns are higher than equity returns. However, in certain periods, the losses incurred by real estate lenders are very large. Research limitations/implications – No account taken of risk mitigation strategies used by lenders such as cross-collateralisation. Practical implications – Provides an alternative approach to that recommended by the recent IPF “Vision For Real Estate Finance” Document based on the use of ICR. Makes the case for a loan equivalent of the IPD index. Social implications – Reduced chance of resource misallocation and recession due to excess real estate lending. Originality/value – Very limited information on private real estate debt returns.
Journal of Property Investment & Finance – Emerald Publishing
Published: Feb 2, 2015
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