Anatomy of Loss in Single-Borrower CMBS: A Loan-Level Analysis

Single-asset single borrower (SASB) commercial mortgage-backed securities (CMBS) transactions have grown to dominate post-global financial crisis (GFC) issuance. Loan defaults in the sector have risen sharply since the pandemic’s onset and are approaching conduit levels, yet the overall SASB 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…