How the data is built
Every figure on cmbs.news comes from the monthly ABS-EE filings that public CMBS trusts make with the SEC. This page says which filings, which fields, what we do to them, and what they cannot tell you.
The filings
Under Regulation AB II, a publicly registered CMBS trust files Form ABS-EE with each monthly distribution report. Its Exhibit 102 is an XML file with one record for every loan in the trust and one for every property behind it, in the format set out in Schedule AL (17 CFR 229.1125). The servicer prepares it; the trust files it.
This refresh read EDGAR's form index for every ABS-EE and ABS-EE/A filed from September 14, 2026 to October 22, 2026, kept the latest filing for each filer, and kept the 375 filers whose Exhibit 102 uses the CMBS schema (see coverage). The latest reporting period in the data ends October 13, 2026. The data was rebuilt on October 24, 2026.
From notes to loans
Big loans are split into notes that sit in different trusts. Each trust reports only its own note, so the same building can appear in four filings with four balances. We group notes that share a property name and maturity date (and state, where the filings give one) into one loan, and show every piece on the loan's page with a link to its filing. The balance shown is the sum of the pieces in public trusts. Pieces held in private deals or on a lender's books are not in the data, so the whole loan can be larger.
Two filing habits need handling. Some trusts report one loan as a parent asset with the property data and lettered sub-notes (4A, 4B) whose property block says only "NA". When the parent's balance equals the sub-notes' total, the sub-notes are its components and we count the parent once. Otherwise they are separate notes of the same loan and we add them. Some filers also leave prospectus footnote numbers on property names, and a few write occupancy as 94 where others write 0.94; we strip the first and convert the second. A zero in a rate, occupancy or coverage field almost always means the servicer left it blank, so it shows as n/a.
The filings held 28,178 asset records. We dropped:
- 11,984: zero balance
- 1,152: defeased, property no longer named in the filing
- 32: liquidated or prepaid this period
- 15: no usable property name (NA, Various, blank)
- 86: sub-note already counted in its parent note
That leaves 14,909 notes, which group into 12,162 loans.
One loan that still names its property is fully defeased. It keeps its page but is left out of the totals and the distress figures, because government securities now pay it.
The fields we show
| On the page | Schedule AL field |
|---|---|
| Balance | reportPeriodEndActualBalanceAmount, the actual balance at the end of the period |
| Rate | reportPeriodInterestRatePercentage, the annual rate used for the period's interest |
| Maturity | maturityDate; postModificationMaturityDate when a modification extended it; hyperAmortizingDate for loans with an anticipated repayment date |
| Payment status | paymentStatusLoanCode (0 current through 5 non-performing matured balloon) |
| Special servicing | mostRecentSpecialServicerTransferDate, compared with mostRecentMasterServicerReturnDate |
| Workout strategy | workoutStrategyCode |
| DSCR | mostRecentDebtServiceCoverageNetOperatingIncomePercentage, and the securitization figure |
| Occupancy | mostRecentPhysicalOccupancyPercentage, and the securitization figure |
| NOI | mostRecentNetOperatingIncomeAmount, for the period ending mostRecentFinancialsEndDate |
| Defeasance | DefeasedStatusCode on each property |
Code meanings are the SEC's own wording from the EDGAR ABS XML technical specification (the CMBS asset data schema). We call a loan delinquent when its payment status is 30 to 59, 60 to 89, or 90 or more days delinquent, or a non-performing matured balloon (codes 1, 2, 3 and 5). A loan is with the special servicer when its latest transfer date is later than any return date.
Coverage
Every filer whose latest ABS-EE (or amended ABS-EE/A) in the window carries an Exhibit 102 in the CMBS schema is included, whatever its name; a depositor's filing for a new deal is skipped because the same filing is also filed under the new trust's own number. That covers every SEC-registered conduit and multifamily CMBS trust still reporting. None of them is a single-asset deal: single-asset, single-borrower deals are almost all sold privately under Rule 144A, which carries no ABS-EE requirement, so they file no loan-level data.
History
For each trust we also read the past 12 monthly reports (from October or November 2025, depending on the trust) and keep, for every loan, the balance, payment status, special-servicing dates, workout strategy, coverage and occupancy reported each month. Each loan page shows that run, and every transfer to and return from a special servicer the filings report. Reporting periods end on different days in different trusts, so history is grouped by calendar month.
Watch flags
The watch flags and the watch list are cmbs.news's own rule-based labels. Each one is a fixed test on fields the servicer reported in the trust's ABS-EE filing, run the same way on every loan. They are not a credit rating, a forecast of default or loss, a statement about any borrower's or sponsor's conduct or finances, or advice about any CMBS bond. They are not the servicer's CREFC watchlist either, which is not filed with the SEC. A flag says only that the filed figures met the test, and every flag is dated to the filing it was computed from: each loan page names the reporting period and links the filing. The Schedule AL field names are the SEC's (EDGAR ABS XML technical specification, CMBS asset data schema).
- With the special servicer:
mostRecentSpecialServicerTransferDateis reported and is later thanmostRecentMasterServicerReturnDate(or no return date is reported). - 30+ days delinquent or matured unpaid:
paymentStatusLoanCodeis 1 (30-59 days delinquent), 2 (60-89 days), 3 (90+ days) or 5 (non-performing matured balloon). - Coverage below 1.00x:
mostRecentDebtServiceCoverageNetOperatingIncomePercentageis under 1.00. - Coverage down 0.25x or more from securitization: that latest figure is at least 0.25 below
debtServiceCoverageNetOperatingIncomeSecuritizationPercentage. - Occupancy down 10 points or more from securitization:
mostRecentPhysicalOccupancyPercentageis at least 10 points belowphysicalOccupancySecuritizationPercentage. - NOI down 20% or more from securitization:
mostRecentNetOperatingIncomeAmount, annualized when the statement covers 2 to 11 months (frommostRecentFinancialsStartDate), is 80% or less ofnetOperatingIncomeSecuritizationAmount, summed across the loan's properties. - Matures within 12 months or past maturity: the earlier of
maturityDate(orpostModificationMaturityDatewhen later) and the anticipated repayment datehyperAmortizingDatefalls in the next 12 calendar months, or before the data date. Fully defeased loans are skipped. - Largest tenant's lease ends within 12 months:
leaseExpirationLargestTenantDatefalls within 12 months of the data date. - Modified:
modifiedIndicatoris true. - Servicer stopped advancing:
nonRecoverabilityIndicatoris true, which Schedule AL Item 2(e)(16)(ii) defines as the master or special servicer having ceased advancing principal and interest.
A loan is on the watch list when it carries one of the first three flags. We chose these thresholds; they are not an industry standard, and a loan can carry a flag for reasons the filing does not show (a statement for a seasonal quarter, a tenant renewal not yet reported, a servicer error). "On the watch list since" is the first month in our 12-month history from which every report met the test. If a page misreads a filing, email hello@cmbs.news and we correct it.
Metros and property types
Metro areas are the Census Bureau's 2023 metropolitan statistical areas. Each property is placed through its ZIP code: the county holding most of that ZIP's land in the Census 2020 ZCTA-to-county relationship file, then that county's metro. When the ZIP does not match, we use the county name in the filing. Property types are the Schedule AL codes; we fold warehouse into industrial.
What the data cannot tell you
- No servicer watchlist. Schedule AL has no field for one; watchlists are in the CREFC reports trustees post for investors.
- Income figures lag. NOI and occupancy come from the borrower's latest statements as reported by the servicer, often the prior year.
- Private deals are missing. Single-borrower deals sold under Rule 144A, CRE CLOs, bank loans and agency loans do not file this data.
- Servicer errors pass through. We do not correct filings. If a page looks wrong, the filing it links to will say whether the error is ours.
Refresh
Trusts file monthly, mostly in the last week of the month and the first days of the next. The refresh script runs after that wave, re-reads the index, adds the new month to each loan's history, and replaces the data. Each page shows the reporting period its numbers come from. Data as of Oct 2026.