Yield maintenance and defeasance calculator
Enter your loan and the date you want out. The calculator prices both exits on the U.S. Treasury curve: yield maintenance the way recent conduit loan documents write it, and defeasance as the cost of the Treasury securities that would take over your payments.
The yield maintenance formula
Yield maintenance pays the lender the interest it gives up when your loan leaves early, measured against what Treasuries pay. BANK 2026-BNK52, a conduit deal filed with the SEC in June 2026, sets out six loan-level versions in its prospectus. All six discount at Treasury flat, compound monthly and charge at least 1%. Three of them come down to this:
the greater of 1% of the principal being prepaid or the present value of monthly payments of interest at the difference between the note rate and the Yield Maintenance Treasury Rate, through the maturity date, discounted at the monthly equivalent of that Treasury rate (paraphrased from formulas C to E, BANK 2026-BNK52 prospectus, Annex A-1)
The Treasury rate is the H.15 constant-maturity yield, interpolated to the remaining term, for the week before the prepayment. That is what the calculator does, with the daily curve in place of the weekly average.
Worked example at the October 23, 2026 curve
A $20,000,000 interest-only loan at 4.25%, paid off December 1, 2026, with maturity June 1, 2029: 30 months remain. The Treasury yield for that term is 4.72%, above the note rate, so the interest differential is zero and the 1% floor applies: yield maintenance is $200,000. Defeasance would buy securities for $19,803,437, which is $196,563 less than the balance, before fees.
Change only the note rate to 6.5% and the picture flips. Yield maintenance becomes $838,428 and the defeasance securities cost $20,864,978, $864,978 over the balance. A loan whose coupon sits below today's Treasury yields is in the first case. The median conduit loan originated in the year to October 2026, at 6.44%, is in the second.
Defeasance in one paragraph
You buy U.S. government securities that pay every remaining installment and the balloon, the trust takes them as collateral in place of your property, a successor entity assumes the loan, and your mortgage is released. Treasury regulations let a REMIC accept this only if the release is not within two years of the trust's startup day (26 CFR 1.860G-2(a)(8)), which is why conduit loans lock out defeasance for at least the first two years. In BMO 2026-C15, 75% of the pool by balance permits it after that lockout.
Questions people ask
Which costs less, yield maintenance or defeasance?
It depends on where Treasury yields sit against your note rate. When Treasuries yield more than your loan, yield maintenance falls to its 1% floor and defeasance can cost less than the loan balance, because the securities that replace your payments are cheap. When Treasuries yield less than your loan, both get expensive, and defeasance usually costs more once its fees are added. Your loan documents decide which one you are allowed to use.
Why does the calculator use the daily curve when my loan says weekly?
The yield maintenance formulas in recent conduit loans use the Federal Reserve H.15 weekly average of Treasury constant maturities for the week before the prepayment date. The daily Treasury par curve is what can be fetched live; the weekly figure is an average of those same daily yields. Expect the servicer’s number to differ a little.
What fees does defeasance add?
The borrower pays the costs: a successor borrower entity, an accountant’s certificate that the securities cover the payments, legal opinions, the servicer’s fees and, where the loan requires it, rating agency confirmation. None of the three 2026 prospectuses we read (BANK 2026-BNK52, BMO 2026-C15 and BBCMS 2026-5C43) states an amount, so the calculator leaves the fee field for your own quotes.
Can I just pay a 1% fee near the end?
Some loans have exactly that: one BANK 2026-BNK52 loan charges a flat 1% for three payments and then opens. More often the loan goes straight from yield maintenance or defeasance to an open period at par, 2 to 7 payments long in the BMO 2026-C15 pool. Your loan’s prepayment string says which: L for lockout, D for defeasance, YM for yield maintenance, O for open.
Paying off to refinance?
The desk can line up the new loan and run the payoff numbers with your servicer.