variation across time in mortgage rates to confirm that the difference in prepayment incidence exists only during a period of … having a higher prepayment rate. These results are directly relevant to the valuation of mortgage-backed securities by …This paper uses loan-level data to investigate heterogeneity in loan prepayment incidence, and argues that refinancing …

to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …