Who Bears the Balloon Risk in Commercial MBS?

Much of the literature on the pricing of commercial mortgages underlying commercial mortgage-backed securities pools focuses on the effect of term default (default during the term of the loan), and ignores the possibility of balloon risk, the borrower\u27s inability to pay off the mortgage at maturity through refinancing or property sale. A contingent-claims mortgage pricing model that includes two default triggers—a cash flow trigger and an asset value trigger—may be used to assess the effect of balloon risk on the pricing of CMBS tranches. Simulations of cash flows for individual loans in a CMBS framework reveal how individual tranches are affected by balloon risk. Balloon risk is low at the whole-loan level, but under a number of scenarios total credit risk and balloon risk creep into investment-grade CMBS tranches and significantly impact their valuation

An Empirical Examination of Traditional Neighborhood Development

This study analyzes the impact of the new urbanism on single-family home prices. Specifically, we explore the price differential that homebuyers pay for houses in new urbanist developments relative to houses in conventional suburban developments. Using data on over 5,000 single-family home sales from 1994 to 1997 in three different neighborhoods, hedonic regression results reveal that consumers pay more for homes in new urbanist communities than those in conventional suburban developments. Further analyses indicate that the price premium is not attributable to differences in improvement age and other housing characteristics

Extension Risk in Commercial Mortgages

Historical data and Monte Carlo simulation is used to examine the likelihood of loan extension and potential losses associated with extension. It is found that extension probability is highly sensitive to property NOI growth, to NOI volatility, to the amortization schedule, and to the loan term. It is found that extension risk is largely unaffected by changing credit spreads, changing yield curve assumptions, and changing term default assumptions. It is found that changing the underwriting standards affects the probability of loan extension in a somewhat muted way. It is estimated that the loss during extension is approximately 2%-3% of the outstanding loan amount at maturity

Two axiomatizations of the kernel of TU games: bilateral and converse reduced game properties

We provide two axiomatic characterizations of the kernel of TU games by means of both bilateral consistency and converse consistency with respect to two types of two-person reduced games. According to the first type, the worth of any single player in the two-person reduced game is derived from the difference of player's positive (instead of maximum) surpluses. According to the second type, the worth of any single player in the two-person reduced game either coincides with the two-person max reduced game or refers to the constrained equal loss rule applied to an appropriate two-person bankruptcy problem, the claims of which are given by the player's positve surpluses

Boston University Concert Choir, October 27, 1990

This is the concert program of the Boston University Concert Choir performance on Saturday, October 27, 1990 at 8:30 p.m., at Marsh Chapel, 735 Commonwealth Avenue. Works performed were Tu es Petrus by Giovanni Pierluigi da Palestrina, Sicut cervus by G. P. d. Palestrina, A un giro sol de' begl'occhi lucenti by Claudio Monteverdi, Si ch'io vorrei morire by C. Monteverdi, Waldesnacht, Op. 62 No. 3 by Johannes Brahms, Im Herbst, Op. 104 No. 5 by J, Brahms, Luci care, luci belle, K.V. 346 by Wolfgang Amadeus Mozart, Ecco quel fiero istante, K.V. 436 by W. A. Mozart, Mi lagneró tacendo, K.V. 437 by W. A. Mozart, Se lontan ben mio tu sei, K.V. 438 by W. A. Mozart, Due pupille amabile, K.V. 439 by W. A. Mozart, Piú non si trovano fra mille amante, K.V. 439 by W. A. Mozart, and Cantata BWV 106: Gottes Zeit ist die allerbeste Zeit by Johann Sebastian Bach. Digitization for Boston University Concert Programs was supported by the Boston University Humanities Library Endowed Fund