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

Term Default, Balloon Risk, and Credit Risk in Commercial Mortgages

Term default and balloon risk play an interactive role in the pricing of credit risk in commercial mortgages. Most commercial mortgage pricing studies assume a borrower\u27s default decision is based solely on the property value; the mortgage valuation model here also incorporates a property income trigger. The model considers both the risk of default during the term of the loan and the risk of loss at maturity (balloon risk). Monte Carlo simulation analyses reveal that pricing models based solely on property value overestimate the probability of term default and the resulting credit risk premium. Adding a property income default trigger without considering balloon risk, however, underestimates the overall credit risk premium. In essence, a double-trigger default model that incorporates balloon risk is critical for accurate assessment of the credit risk in commercial mortgages

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

Historic Designation and Residential Property Values

The State of California enacted the Mills Act in 1972. This act allows local municipalities the option of setting up a historic designation program. The main feature of the program is to allow the owners of historic buildings a reduction in their property taxes in return for an agreement to not alter the exterior façade of the designated building. This paper uses hedonic regression analysis to estimate the impact of the historic designation on the value of single-family residences in the City of San Diego. The results suggest that the designation creates a 16 percent increase in housing value. This is higher than the capitalization of the property tax savings would suggest, implying market value in the historic designation itself. The Mills Act represents an innovative approach to historic structure management and may provide guidance to governments elsewhere in the U.S. as well as internationally when designing historic preservation programs.historic designation; housing values; hedonic model

A postcard from Taiwan

AbstractWhile attending the International Conference on Electronic Materials (ICEM '94) held on the campus of the National Chiao Tung University, Hsinchu, Taiwan, December 19–22, 1994 (which was reported in the last issue), I took the opportunity to visit a number of laboratories. I shall describe first those in the Hsinchu area, home of the Science-based Industrial Park, then the Chung-Li area, which is half way between Hsinchu and Taipei, and finally the Taipei area. Contact information is included

Simultaneous Measurement Imputation and Outcome Prediction for Achilles Tendon Rupture Rehabilitation

Achilles Tendon Rupture (ATR) is one of the typical soft tissue injuries. Rehabilitation after such a musculoskeletal injury remains a prolonged process with a very variable outcome. Accurately predicting rehabilitation outcome is crucial for treatment decision support. However, it is challenging to train an automatic method for predicting the ATR rehabilitation outcome from treatment data, due to a massive amount of missing entries in the data recorded from ATR patients, as well as complex nonlinear relations between measurements and outcomes. In this work, we design an end-to-end probabilistic framework to impute missing data entries and predict rehabilitation outcomes simultaneously. We evaluate our model on a real-life ATR clinical cohort, comparing with various baselines. The proposed method demonstrates its clear superiority over traditional methods which typically perform imputation and prediction in two separate stages

Ultra narrow AuPd and Al wires

In this letter we discuss a novel and versatile template technique aimed to the fabrication of sub-10 nm wide wires. Using this technique, we have successfully measured AuPd wires, 12 nm wide and as long as 20 $\mu$m. Even materials that form a strong superficial oxide, and thus not suited to be used in combination with other techniques, can be successfully employed. In particular we have measured Al wires, with lateral width smaller or comparable to 10 nm, and length exceeding 10 $\mu$m.Comment: 4 pages, 4 figures. Pubblished in APL 86, 172501 (2005). Added erratum and revised Fig.

Understanding the Inner Workings of Language Models Through Representation Dissimilarity

As language models are applied to an increasing number of real-world applications, understanding their inner workings has become an important issue in model trust, interpretability, and transparency. In this work we show that representation dissimilarity measures, which are functions that measure the extent to which two model's internal representations differ, can be a valuable tool for gaining insight into the mechanics of language models. Among our insights are: (i) an apparent asymmetry in the internal representations of model using SoLU and GeLU activation functions, (ii) evidence that dissimilarity measures can identify and locate generalization properties of models that are invisible via in-distribution test set performance, and (iii) new evaluations of how language model features vary as width and depth are increased. Our results suggest that dissimilarity measures are a promising set of tools for shedding light on the inner workings of language models.Comment: EMNLP 2023 (main