Press Release

DBRS Morningstar Releases Commentary on CMBS Loss Severities Above 100%

June 01, 2020

DBRS, Inc. (DBRS Morningstar) released a commentary titled “Historical Excess Loss in CMBS Suggests Small Markets, Skilled Nursing/Healthcare Properties, and Regional Malls Are Most at Risk,” in which DBRS Morningstar examined historical loss data across a set of 12,000 losses. The analysis concluded that loans backed by collateral in rural and less dense suburban markets are more susceptible to wider value swings, as DBRS Morningstar has previously observed. These loans also usually had longer resolution periods, which suggests that the piling up of expenses and fees contributed to the outsize loss severities. However, because probability of loss severities above 100% has been higher for smaller loans/properties, liquidations resulting in excess losses have, as in the past, been minimally impactful in CMBS.

The commentary is available at

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