An Analysis of Traditional Issue Specific and Macroeconomic Variables on US Commercial Mortgage Backed Securities

This paper examines the effects of traditional issue-specific commercial mortgage backed securities (CMBS) variables on US CMBS spreads. In addition, a decomposition of the Conference Board?s US Leading Economic Indicators (LEI) Index will be examined for each of the ten component?s explanatory power for US CMBS spreads. A qualitative examination of the history and setting of the US subprime crisis, features of US CMBS, and an outline of The Conference Board?s US LEI components are provided. This is followed by an explanation of assumptions and the methodology used for the statistical analysis of the fourteen variables on CMBS spreads. In addition, the NA REIT Composite Index Dividend Yield is hypothesized to contribute to the CMBS spreads. A conclusion will contain results and proposals for an improved model, in contrast to Jadeja and Dorokov (Summer 2008). This paper closes with a discussion of possible sources of errors and guidance for future studies.