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The Journal of Portfolio Management

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Primary Article

CMBS Total Return Swaps

Laurie S. Goodman and Frank J. Fabozzi
The Journal of Portfolio Management Special Real Estate Issue 2005, 31 (5) 162-167; DOI: https://doi.org/10.3905/jpm.2005.593899
Laurie S. Goodman
Co-head of Global Fixed Income Research at UBS in New York City.
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  • For correspondence: laurie.goodman@ubs.com
Frank J. Fabozzi
The Frederick Frank adjunct professor of finance at the Yale School of Management in New Haven.
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  • For correspondence: frank.fabozzi@yale.edu
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Abstract

The total return swap market has been a key financial market innovation to control risk or to enhance returns. For commercial mortgage-backed securities (CMBS), several dealers offer total return swaps on various CMBS indexes and their subsectors. The authors discuss the mechanics of these CMBS swaps and the economic rationale as to why the market has offered attractive terms to those who want to gain exposure to the CMBS sector, while eliminating the idiosyncratic risk between a CMBS cash portfolio and the CMBS indexes.

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CMBS Total Return Swaps
Laurie S. Goodman, Frank J. Fabozzi
The Journal of Portfolio Management Sep 2005, 31 (5) 162-167; DOI: 10.3905/jpm.2005.593899

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CMBS Total Return Swaps
Laurie S. Goodman, Frank J. Fabozzi
The Journal of Portfolio Management Sep 2005, 31 (5) 162-167; DOI: 10.3905/jpm.2005.593899
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