How cmbs.loan computes its CMBS numbers

Sources

• SEC Form ABS-EE, Schedule AL. Each public CMBS trust files asset-level data for every loan every month under 17 CFR 229.1125 (Item 1125): original amount, rate, term, interest-only period, origination and maturity dates, originator, property type and location, appraised value, NOI and net cash flow at securitization, current balance and payment status. Field codes follow the SEC's EDGAR ABS XML technical specification.
• SEC Form 10-D trustee reports. Monthly distribution reports name each trust's master and special servicer and report appraisal reductions and liquidations.
• cmbs.news. A sister site that downloads and parses those filings for 376 trusts. cmbs.loan reads its compiled file and its grouping of notes into loans; see its methodology.
• U.S. Treasury. The Treasury yields on the rates page load live from the Treasury's daily par yield curve when the page opens. No yield is typed into a page.

What counts as a loan

A large commercial mortgage is often split into several pari passu notes, each sold into a different trust, and some trusts file one loan as a parent note plus sub-notes. Each piece is a separate record in the filings. cmbs.loan groups them into one loan: first by cmbs.news's grouping (same property, same origination or maturity date), then, for notes newer than that grouping, by property name, origination date, rate and maturity. A grouped loan's amount is the sum of the pieces held in tracked trusts; pieces in private or untracked deals are not visible, so a split loan's true size can be larger.

2,040 records with no property name and no parent note, or that duplicate a parent note's amount, are left out.

Definitions

Note rate

The original interest rate on the loan, in percent. Fixed-rate loans only (the filings' rate type code 1). One rate per loan.

Origination windows

Loans grouped by origination date, ending at the latest origination date in the filings (October 19, 2026): 90 days (July 21 to October 19, 2026), 180 days (from April 22, 2026) and 12 months (from October 19, 2025). Loans reach trusts over the months after they close, so the latest months keep filling in; the rate trend marks the last three months provisional.

Whole loan

A loan reported with structure code WL, or a single unstructured note whose own payment reproduces the debt service coverage filed for it. Leverage, coverage and debt yield are computed for whole loans only, because a pari passu note's amount is a fraction of the loan its property secures.

Loan-to-value (LTV)

Original loan amount over the appraised value at securitization.

Debt service coverage (DSCR)

Net cash flow at securitization over the annual scheduled payment (interest only, for interest-only loans).

Debt yield

Net operating income at securitization over the original loan amount.

Live loan

A loan with a positive balance that reported within 100 days of the latest filing and was not liquidated or prepaid that period. Fully defeased loans are left out: Treasury securities already secure them and they never refinance.

Effective maturity

The later of the maturity date and any modified maturity date, or the anticipated repayment date if that is earlier.

60+ days delinquent

Payment status codes 2 (60 to 89 days), 3 (90 days or more) and 5 (non-performing matured balloon) in the SEC's code list.

With a special servicer

The loan's most recent transfer to the special servicer is later than its most recent return to the master servicer.

Shortfall share

Among live loans whose whole balance is tracked, the share with NOI under 9% of today's balance (a 9% debt yield). One version uses NOI at securitization, the other the latest NOI the servicer reported. 9% sits near the bottom quarter of debt yields on new loans (25th percentile 8.8%). It is a rough proxy, not a forecast; limits are on the maturity wall page.

State

The state of the loan's largest property by appraised value. Portfolio loans count once.

Lender

The originator named in the filing, matched to one name across spellings ("CREFI" and "Citi Real Estate Funding Inc." are both Citi). A loan with co-originators counts once for each.

Corrections the build makes

• Rate scale. Most filings give the rate as a fraction (0.063) or percent (6.3); a few trusts file a fraction of a percent (0.00063). All are converted to percent and checked against the current-period rate in the same filing. Rates outside 2% to 15% after conversion are dropped.
• Defeasance records. 13 records whose origination date falls after their trust's vintage year are successor records for defeased loans, not new loans, and are left out of origination figures.
• Property type. Co-op buildings filed as multifamily (names such as "Owners Corp." or "Co-op") are counted as co-op housing; hotels filed as healthcare or other are counted as hotels. Warehouse is folded into industrial. Occupancy filed as 95 rather than 0.95 is rescaled.
• Co-op housing. Co-op loans run at a small fraction of their buildings' filed value, so headline leverage, coverage and debt yield figures leave them out. Rates include them. Co-op figures appear on their own page.

What this data cannot show

• Only securitized loans. Balance-sheet loans by banks, life companies, agencies and debt funds are invisible here. CMBS figures describe the CMBS market, not all commercial lending.
• Closed loans, not quotes. Every rate is a loan that already closed. Today's quote depends on today's Treasury yield and spread.
• Underwriting as filed. NOI, cash flow and value are the issuer's figures at securitization, not an independent appraisal.
• Lag. A loan appears once a trust that holds it files. Recent months undercount loans until later trusts report.
• Thin groups. Medians on fewer than 10 loans are not shown; type figures with fewer than 20 whole loans in 12 months widen to 24 months and say so.

Refresh

Monthly, after cmbs.news loads the month's filings. The script that computes every figure is scripts/build_data.py; it writes the JSON the pages read and the CSV downloads. As of this build: 1,047 loans originated in the last 12 months, 12,062 live loans with $280.4 billion outstanding.

Spotted an error? Email hello@cmbs.loan with the page and the figure.