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dc.contributor.authorWiggers, Tyleren_US
dc.contributor.authorAshcraft, Adam B.en_US
dc.date.accessioned2012-04-18en_US
dc.date.accessioned2012-08-17T14:32:14Z-
dc.date.available2012-08-17T14:32:14Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60743-
dc.description.abstractWe employ a unique data set of public commercial real estate (CRE) bonds issued during the Great Depression era (1920-32) to determine their frequency of default and total loss given default. Default rates on these bonds far exceeded those originated in subsequent periods, driven in part by the greater economic stress of the Depression as well as the lower level of financial sophistication of investors and structures that prevailed in 1920-32. Our results confirm that making loans with higher loan-to-value ratios results in higher rates of default and loss. They also support the business cycle's significance to the performance of CRE assets. Despite the large number of defaults in the early 1930s, the losses, which typically occurred after 1940, are comparable to those for contemporary loans, largely due to the rapid recovery of the economy from the Depression. This finding has relevance today, as numerous entities have a large amount of sub-performing CRE assets to work out. While the data point to better loss performance the quicker a problem loan is worked out, this may not hold true when there is a rapid recovery around the corner.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 544en_US
dc.subject.jelG10en_US
dc.subject.jelN22en_US
dc.subject.ddc330en_US
dc.subject.keywordGreat Depressionen_US
dc.subject.keywordCMBS marketen_US
dc.subject.keyworddefault and loss studyen_US
dc.subject.keywordcommercial real estateen_US
dc.titleDefaults and losses on commercial real estate bondsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn690203535en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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