Defeasance Calculator
Estimate the full cost to defease a CMBS or conduit loan: securities portfolio cost, defeasance premium, itemized fees, and a side-by-side yield maintenance comparison.
Defeasance releases a property from a securitized mortgage by substituting a portfolio of government securities as collateral. The loan stays outstanding: the securities make every remaining debt service payment, and the lien comes off the real estate. It is the standard exit for CMBS and conduit loans that prohibit open prepayment, and it appears in many Fannie Mae and Freddie Mac loan documents as well.
This tool bootstraps a zero-coupon curve from current Treasury yields, prices every remaining payment on that curve, and adds the transaction fees a typical defeasance closing carries. When Treasury yields sit above the note rate, the portfolio can cost less than the loan balance. That negative premium is shown, not hidden.
Enter the loan terms, set the Treasury curve to current quotes, and compare the all-in cost against yield maintenance on the same loan. For the concepts behind the math, see our guides to defeasance, yield maintenance, and prepayment penalties.
Defeasance cost estimate
Treasury curve: CMT par yields (%)
Estimates only; loan documents control the required portfolio, the fee schedule, and the yield maintenance formula. Fee assumptions below.
| Typical closing fee | Assumption |
|---|---|
| Defeasance consultant | $9,500 |
| Servicer processing | $25,000 |
| Servicer legal | $15,000 |
| Securities intermediary | $12,600 |
| Accountant | $3,500 |
| Successor borrower legal | $6,500 |
| Rating agency | $0 |
| Total fees | $72,100 |
How the estimate is built.
The Treasury curve you enter is bootstrapped to a semi-annual zero-coupon curve with a refinement pass, so par bonds reprice to within a basis point. Each remaining loan payment, including the balloon, is discounted at the zero rate for its own date. Interest accrues on a 30/360 or Actual/360 basis to match the note. The securities portfolio cost is the sum of those discounted payments; the defeasance premium is that cost minus the loan balance on the defeasance date.
DV01 shows how much the portfolio cost moves for a one basis point parallel shift in the curve, which is the number to watch between rate lock and closing. The yield maintenance comparison prices the same remaining payments at the curve rate for the remaining term with the CMBS-standard 1 percent floor, using the same conventions as our yield maintenance calculator.
What this does not capture.
An actual defeasance closing buys specific securities with settlement dates, accrued interest, and bid/ask spreads rather than pricing cash flows off a smooth curve, and servicers vary in the portfolio they will accept. Fee schedules differ by servicer and deal size. Treat these figures as planning numbers for timing a refinance or sale, not as a quote. Related tool: the interest rate cap calculator for floating-rate debt.