PT - JOURNAL ARTICLE AU - John P. Harding AU - C.F. Sirmans AU - Sansanee Thebpanya TI - CMBS Pricing AID - 10.3905/jfi.2004.419580 DP - 2004 Jun 30 TA - The Journal of Fixed Income PG - 69--87 VI - 14 IP - 1 4099 - https://pm-research.com/content/14/1/69.short 4100 - https://pm-research.com/content/14/1/69.full AB - The market for commercial mortgage-backed securities (CMBS) has matured, reaching a global volume of close to $100 billion per year in 2001 and 2002. Despite maturing of the market, CMBS investors continue to discriminate across deals and price their investments according to deal-specific factors such as average loan quality, pool diversification, and property type. Modeling the joint endogeneity of subordination and pricing with the new data available confirms the theoretical predictions that AAA investors should adjust prices they pay by the level of prepayment protection in the underlying loans and diversification of the pool of mortgages, even after controlling for rating level. Loan quality and current economic and market conditions also influence pricing.