European CMBS Pricing: Bond,Mortgage, And Real Estate Characteristics

摘要

This work represents a first attempt to estimate the pricing of European CMBS products. Our results are consistent with research carried out in the U.S. market, and we identify four main categories of factors that may impact the initial spread. Bond characteristics explain around 30% of variability, against 6% and 10% for mortgage and real estate variables, respectively. Multinationalfactors have not been estimated separately as they are represented by dummy variables only. At the same time, we also register the greater importance of all these variables when we only use floater-coupon CMBS in our estimation (with bond, mortgage, and real estate characteristics explaining 36%, 8%, and 22% of variation, respectively). Real estate factors increase in importance for floater-coupon CMBS more than the other types of variables.