Commercial Mortgage-Backed Securities: Prepayment and Default

Brent Ambrose and Anthony B Sanders

The Journal of Real Estate Finance and Economics, 2003, vol. 26, issue 2-3, 179-96

Abstract: One of the major developments in real estate finance during the 1990s was the emergence of a viable market for commercial mortgage backed securities. The growth in this market has spurred greater interest in empirical and theoretical research on commercial mortgage default and prepayment. We employ a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. We find that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, we do not find any statistical relationship between LTV and prepayment or default. Copyright 2003 by Kluwer Academic Publishers

Date: 2003
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