Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Eric Hughson

Terms of Use & License Information

Terms of Use for work posted in Scholarship@Claremont.

Rights Information

2018 Benjamin A Sacks


This paper examines CMBS loans originated from 2004 to 2007 in order to find the correct model specifications for loan default during the Great Recession. The data controls for loan-to-value, debt-service coverage ratio, debt-yield, loan rate, loan spread, term lengths, loan origination year, asset class, refinance or acquisition, and demographic data of state income and sales tax rates, state education spending per pupil, education rates by MSA, unemployment rates by MSA, and median household income by zip. The study affirms existing research that LTV and debt yield are significantly correlated with default probability, found a strong relationship between loan rate, but not spread on default, affirmed industry knowledge that lodging is generally the riskiest asset class, and found that education levels in an MSA can significantly explain loan default rates. There was limited significance in regression results for unemployment rates, education spending, and median income on default probability and no evidence of default correlation with sales or income taxes. The study also provides evidence that during economic bubbles with skewed assets valuations, debt-yield becomes a more useful metric compared to LTV.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.