KBRA Releases Research – Anatomy of Loss in Single-Borrower CMBS: A Loan-Level Analysis

NEW YORK--(BUSINESS WIRE)--KBRA releases research examining loss severities in the single-asset single borrower (SASB) commercial mortgage-backed securities (CMBS) sector. SASB transactions have grown to dominate post-global financial crisis (GFC) issuance, and while loan defaults in the sector have risen sharply since the onset of the pandemic, the sector's overall loss rate remains limited, as nearly three-quarters of SASB loans resolved after default experienced minimal to no loss. When losses occur, they tend to be substantial and can approach severity levels seen in stressed conduit transactions. This dynamic underscores the concentration risk inherent in single-asset structures.

Following KBRA’s December 2025 Single-Borrower CMBS Default and Loss Study, which analyzed default frequency and loss outcomes across 861 SASB loans issued between 1993 and 2024, this report focuses on data at the loan level. Specifically, KBRA examines the eight resolved loans that incurred meaningful principal losses, ranging from 3.9% to 63.8%, to assess what differentiates these transactions from the broader default population.

We evaluate how structural features and market disruption interacted to produce realized loss in a post-pandemic, higher-rate environment through a loan-level review of securitized leverage, measured by loan-to-value (LTV), debt service coverage (DSC), tenant concentration, capital structure layering, interest rate exposure, valuation migration, and resolution pathways.

Key Takeaways

• High loss severities were not driven by LTV or DSC alone. Several loans entered securitization with moderate LTVs and strong coverage metrics, yet incurred meaningful principal erosion.
• Property type did not drive loss severity. Rather, losses reflected the impact of macroeconomic disruptions-most notably the GFC and the pandemic-which affected sectors sequentially, first lodging and retail, followed by office.
• Tenant concentration was a primary default catalyst across office and retail assets, with lease rollover, early termination, or bankruptcy serving as inflection points.
• Floating rate, interest-only structures and inflation in the post-pandemic period accelerated valuation declines and reduced disposition options for distressed assets.
• Total leverage, including mezzanine layering, which more rapidly reduced the equity cushion once valuations declined—particularly in transactions experiencing meaningful appraisal compression—also influenced outcomes.

Click here to view the report.

Recent Publications

• Single-Borrower CMBS Default and Loss Study: Shaped by Unprecedented Events
• 2026 U.S. CMBS Outlook: Issuance Momentum Builds; Loan Distress Remains Elevated
• CMBS Trend Watch: February 2026
• CMBS Loan Performance Trends: February 2026
• Conduit CMBS Default and Loss Study Update: 2.0 Begins to Make Its Mark

About KBRA

KBRA, one of the major credit rating agencies, is registered in the U.S., EU, and the UK. KBRA is recognized as a Qualified Rating Agency in Taiwan, and is also a Designated Rating Organization for structured finance ratings in Canada. As a full-service credit rating agency, investors can use KBRA ratings for regulatory capital purposes in multiple jurisdictions.

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