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- Publisher Website: 10.1007/s11146-021-09837-1
- Scopus: eid_2-s2.0-85105428326
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Article: Risk Retention Rules and the Issuance of Commercial Mortgage Backed Securities
Title | Risk Retention Rules and the Issuance of Commercial Mortgage Backed Securities |
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Authors | |
Keywords | CMBS Risk retention Dodd-frank act Qualified mortgages |
Issue Date | 2021 |
Publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638 |
Citation | Journal of Real Estate Finance and Economics, 2021, Epub 2021-05-07 How to Cite? |
Abstract | We study the impact of the risk retention rule - requiring 5% of underlying credit risk for commercial mortgage backed securities - on commercial real estate markets. Since the primary objective of this rule is for the deal sponsors to have skin in the game, we expect that underwriting standards should tighten following the implementation of the rule. Consistent with this notion, we find the reform led to a decrease in price premium and probability of rating shopping by the sponsors, as well as longer time-to-securitization and lower default probability. We also show that the Dodd-Frank risk retention rule can impact banks’ credit supply by curtailing credit growth. As a result, we provide novel evidence on the effect of the risk retention rule on underwriters most exposed to the regulation. |
Persistent Identifier | http://hdl.handle.net/10722/299707 |
ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.580 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Agarwal, S | - |
dc.contributor.author | Ambrose, BW | - |
dc.contributor.author | Yildirim, Y | - |
dc.contributor.author | Zhang, J | - |
dc.date.accessioned | 2021-05-26T03:27:55Z | - |
dc.date.available | 2021-05-26T03:27:55Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Real Estate Finance and Economics, 2021, Epub 2021-05-07 | - |
dc.identifier.issn | 0895-5638 | - |
dc.identifier.uri | http://hdl.handle.net/10722/299707 | - |
dc.description.abstract | We study the impact of the risk retention rule - requiring 5% of underlying credit risk for commercial mortgage backed securities - on commercial real estate markets. Since the primary objective of this rule is for the deal sponsors to have skin in the game, we expect that underwriting standards should tighten following the implementation of the rule. Consistent with this notion, we find the reform led to a decrease in price premium and probability of rating shopping by the sponsors, as well as longer time-to-securitization and lower default probability. We also show that the Dodd-Frank risk retention rule can impact banks’ credit supply by curtailing credit growth. As a result, we provide novel evidence on the effect of the risk retention rule on underwriters most exposed to the regulation. | - |
dc.language | eng | - |
dc.publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638 | - |
dc.relation.ispartof | Journal of Real Estate Finance and Economics | - |
dc.rights | This is a post-peer-review, pre-copyedit version of an article published in [insert journal title]. The final authenticated version is available online at: https://doi.org/[insert DOI] | - |
dc.subject | CMBS | - |
dc.subject | Risk retention | - |
dc.subject | Dodd-frank act | - |
dc.subject | Qualified mortgages | - |
dc.title | Risk Retention Rules and the Issuance of Commercial Mortgage Backed Securities | - |
dc.type | Article | - |
dc.identifier.email | Zhang, J: zhangj1@hku.hk | - |
dc.identifier.authority | Zhang, J=rp02698 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s11146-021-09837-1 | - |
dc.identifier.scopus | eid_2-s2.0-85105428326 | - |
dc.identifier.hkuros | 322552 | - |
dc.identifier.volume | Epub 2021-05-07 | - |
dc.identifier.isi | WOS:000648196000001 | - |
dc.publisher.place | United States | - |