CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the recent financial crisis. Using a comprehensive sample of CMBS deals from 1996 to 2008, we show that (unlike the residential mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial lenders did not change the way they priced a given loan, defaults remained in line with their levels during the entire 1970s and 1980s and, overall, the CMBS and CMBX markets performed as normal during the financial crisis (at least by the standards of other recent market downturns). We show that the recent collapse of the CMBS market was caused primarily by the rating agencies allowing subordination levels to fall to levels that provided insufficient protection to supposedly "safe" tranches. This ratings inflation in turn allowed financial firms to engage in ratings arbitrage.

本文分析了商业抵押担保证券（CMBS）市场在近期金融危机之前和期间的表现。通过对1996年至2008年期间CMBS交易的综合样本进行研究，我们发现（与住宅抵押市场不同）在此期间，CMBS基础贷款的特征没有显著变化，商业贷款机构对给定贷款的定价方式也没有改变，违约率与整个20世纪70年代和80年代的水平保持一致，而且总体而言，CMBS和CMBX市场在金融危机期间表现正常（至少按照近期其他市场低迷的标准来看是这样）。我们表明，CMBS市场近期的崩溃主要是由于评级机构允许次级水平降至对所谓“安全”部分提供的保护不足的水平。这种评级膨胀反过来又使得金融公司能够进行评级套利。