Analysis of Yield Spreads on Commercial Mortgage-Backed Securities

Yield spreads on commercial mortgage-backed securities (CMBS) are defined as the difference between the yield on CMBS and the yield on comparable-maturity Treasuries. CMBS yield spreads declined dramatically from 1992 until 1997, then increased in 1998 and 1999. The relationship between CMBS yield spreads and other variables is estimated in an effort to explain recent trends. Results identify several variables that are related to yield spreads on both fixed-rate and variable-rate CMBS. However, even after controlling for other observable factors, the yield spread on CMBS still declined from 1992 until 1997, then increased each of the next two years. Possible explanations for this phenomenon are explored.

Sensitivity of Forecast Rainfall in a Texas Convective System to Soil Moisture and Convective Parameterization

The impact of soil moisture on the forecast of a small-scale convective system, and sensitivity of results to the convective parameterization used, are investigated through Eta Model simulations (run in an operational-like setting) of a convective system occurring on 27 May 1997 in Texas. The event was influenced by a southwestward-propagating gravity wave from early morning convection in Arkansas that intersected a slow-moving cold front, releasing extreme conditional static instability. Isolated heavy rainfall, over 100 mm, occurred in some regions. A control simulation with 22-km horizontal resolution reasonably simulated the event, even though mesoscale influences such as the gravity wave important to this event are often poorly captured by numerical models. A series of sensitivity tests were performed to examine the impact of soil moisture on the simulations. Two different convective parameterizations were used for the tests. Although domain average precipitation is found to generally vary in a straightforward way with soil moisture, peak precipitation in the regions of intense convection shows more complex behavior. Sensitivity of precipitation amounts to soil moisture differs significantly among runs having different convective parameterizations. For instance, with the Kain-Fritsch convective scheme, relatively dry soil is found to result in stronger convective outflows that converge with stronger ambient flow to greatly enhance the precipitation in the region where heaviest rainfall occurs. With the Betts-Miller-Janjic scheme, drier soil generally results in less precipitation than in the control run, although some enhancement in peak amount does occur within a narrow range of drying. The differences between the peak quantitative precipitation forecasts in the runs is primarily due to the inclusion of a convective downdraft in the Kain-Fritsch parameterization, and its impact on secondary convective development. Additional sensitivity tests find limited impact from prescribed vegetation coverage. A final sensitivity test shows that precipitation amounts are even more strongly affected by the vertical resolution of the data used to initialize the shallow but moist boundary layer than by variations in the soil moisture or vegetation fraction.This article is from Weather and Forecasting 15 (2000): 509, doi: 2.0.CO;2" target="_blank">10.1175/1520-0434(2000)0152.0.CO;2. Posted with permission.</p

CMBS Mortgage Pool Diversification and Yields: An Empirical Note: Working Paper Series--05-12

In the early years of the Commercial Mortgage-Backed Securities market, nearly all issues were backed by mortgages on a single property type. Beginning in the early 1990's, the composition of CMBS mortgage pools changed, and most mortgages on a variety of property types. This study examines the relationship between the diversification of the CMBS mortgage pool and yields on CMBS supported by the pool. Results indicate that yield spreads on AAA-rated CMBS backed by diversified pools are slightly lower than yield spreads on CMBS backed by undiversified pools. There is no evidence that yields on lower-rated CMBS are affected by pool diversification

A Conceptual and Scaling Evaluation of the Surface Wetness Effect on Daytime Moisture Convergence along a Surface Cold Front with Differential Cloud Cover

A conceptual evaluation and scaling of the potential impact of surface wetness on spring/summer midlatitude daytime surface cold front moisture convergence is presented. First, a simplified expression is derived, evaluating the effect of surface wetness on frontal moisture convergence due to a differential cloud-cover-induced thermal gradient perturbation. It indicates that wet surfaces may be conducive to enhanced moisture convergence compared with dry surfaces only for very high values of both the cross-frontal relative wind component and the frontal background vertical velocity. With increased background specific humidity in the warm sector, decreased cross-frontal relative wind speed, and a less stable early morning temperature lapse rate, dry surface conditions are significantly more conducive to enhanced frontal moisture convergence. When the daytime boundary layer thermal destabilization effects on the frontal updraft are considered, generally insignificant modifications of the above patterns of frontal moisture convergence are indicated. Overall, the evaluation suggests that typically dry surfaces better promote daytime frontal moisture convergence than wet surfaces, a result that is counterintuitive.This article is from Journal of Hydrometeorology 5 (2004): 365, doi: 2.0.CO;2" target="_blank">10.1175/1525-7541(2004)0052.0.CO;2. Posted with permission.</p

Some Conceptual and Scaling Evaluations of Snowmelt Events Forced by Warm Soil

Snowfall occasionally occurs over bare soil with high thermal storage in its upper layer. Quantification and generalization of the potential impact of the thermal storage on episodic snowmelt is evaluated using a scaling approach and assuming negligible net thermal flux at the snow cover top. Soil thermal flux contribution to snowmelt is found to be affected significantly by the level of soil wetness. It is shown that, for a soil temperature of 10°C prior to the snowfall, the contribution of wet soil thermal flux is significant within the first 12 h when compared with intense surface moist enthalpy flux or solar radiation. Implications of these results to modeling of snowmelt using coupled soil–atmosphere models are elaborated

Sensitivity of Simulated Regional Surface Thermal Fluxes during Warm Advection Snowmelt to Selection of the Lowest Model Level Height

Under strong warm advection, sensible and latent heat fluxes may provide larger energy for surface snowmelt than does net radiation flux. With these thermally stable conditions, the height of the first model level may be well above the surface-layer depth and thus outside the range of applicability of the surface-layer similarity theory on which the models' surface thermal flux computation is based. This situation can strongly affect the magnitude of simulated surface thermal fluxes and snowmelt. To explore this issue, the impact of selected heights of the first model level on the simulated surface fluxes and snowmelt under stable surface stratification conditions was investigated. Simulations using a mesoscale atmospheric model considering two extreme contrasts in surface roughness were performed. Setting the first model level to 3 or 10 m, which typically was within the stable surface layer, yielded nearly the same contribution of simulated surface turbulent thermal fluxes to snowmelt. When the first model level height was set at about 40 m, as is used in many regional model simulations, it exceeded the depth of the stable surface layer over the snow cover. The surface turbulent thermal flux contribution in this case was smaller (by about 40%), with a directly proportional effect on the snowmelt. Pending observational support, results presented in this study imply that setting a model's lowest level to 10 m or less will likely improve simulated snowmelt accuracy during warm advection.This article is from Journal of Hydrometeorology 2 (2001): 395, doi: 2.0.CO;2" target="_blank">10.1175/1525-7541(2001)0022.0.CO;2. Posted with permission.</p