We document the default rates of CMBS loans during the recent financial crisis. The 30 , 60 , and 90 day delinquency rates of conduit CMBS loans have risen sharply since late 2008 and have reached levels that are about 7 times of the 10-year average. Comparing to the previous crisis in the early...

The lax underwriting in non-prime mortgage markets is widely perceived as one cause of the recent difficulties in the housing market. Policy makers are currently considering moves such as enforcing more careful underwriting to provide additional discipline to mortgage markets. This research...