Loan-level surveillance of the 517 registered securitization deals in the Kilambi Research dataset that file asset-level reports with the SEC, 516 of them commercial mortgage trusts. Every figure is computed from the underlying loan reports and agency rating histories. The dataset is described in the methods note at the foot of this page.
- 30+ days delinquent
- 3.65%
- 30+ incl. foreclosure and REO
- 4.68%
- Non-performing matured
- 2.37%
- Servicer advances
- 0.23%
- Median DSCR
- 1.83
- Weighted average coupon
- 5.05%
- Loans reporting
- 28,006
- Reported balance
- $296.14B
Balance shares for September 2026, balance-weighted over loans carrying a delinquency status code (92.4% of reported balance).
Delinquency
▬ 30+ days delinquent · ▬ 30+ incl. foreclosure and REO
Matured and defaulted loans
▬ Non-performing matured balloon · ▬ Foreclosure and REO
Debt service coverage and coupon
Snapshots
| Month | Loans reporting | Reported balance | 30+ delinquent | 30+ incl. FC/REO | FC/REO | Non-perf. matured | Advances | Median DSCR | WAC |
|---|---|---|---|---|---|---|---|---|---|
| December 2019 | 17,753 | $144.74B | 0.24% | 0.24% | 0.00% | 1.83% | 0.02% | 1.92 | 4.43% |
| June 2020 (COVID peak) | 14,914 | $155.41B | 6.56% | 6.56% | 0.00% | 4.06% | 0.10% | 1.99 | 4.36% |
| December 2020 | 15,513 | $166.91B | 4.69% | 4.69% | 0.00% | 2.47% | 0.14% | 1.82 | 4.31% |
| December 2021 | 17,976 | $194.73B | 2.35% | 2.36% | 0.01% | 3.29% | 0.16% | 1.91 | 4.16% |
| December 2022 | 19,403 | $211.54B | 1.21% | 1.42% | 0.21% | 1.20% | 0.11% | 2.07 | 4.21% |
| December 2023 | 20,676 | $224.56B | 1.50% | 2.07% | 0.58% | 1.67% | 0.11% | 2.06 | 4.41% |
| December 2024 | 22,631 | $253.16B | 2.29% | 3.41% | 1.12% | 2.77% | 0.13% | 1.99 | 4.71% |
| December 2025 | 26,382 | $281.80B | 3.16% | 4.14% | 0.99% | 2.57% | 0.17% | 1.87 | 4.93% |
| September 2026 (latest) | 28,006 | $296.14B | 3.65% | 4.68% | 1.03% | 2.37% | 0.23% | 1.83 | 5.05% |
Scheduled maturities of loans still reporting
| Scheduled maturity | Loans | Current balance | Share of balance |
|---|---|---|---|
| 2026 and earlier | 823 | $12.69B | 4.3% |
| 2027 | 2,398 | $38.54B | 13.0% |
| 2028 | 2,665 | $43.82B | 14.8% |
| 2029 | 3,795 | $71.05B | 24.0% |
| 2030 | 2,169 | $42.34B | 14.3% |
| 2031 | 2,136 | $39.43B | 13.3% |
| 2032 and later | 2,595 | $44.71B | 15.1% |
| Not reported | 422 | $2.90B | 1.0% |
Loans reporting in September 2026, at their reported balances, grouped by the scheduled maturity in the loan terms. Commercial mortgage loans are predominantly balloon loans: the balance falls due in full at maturity and repayment normally depends on refinancing or sale.
Methods and definitions
Sources: asset-level reports filed with the SEC on Form ABS-EE and monthly distribution reports (Form 10-D) by each trust; prospectuses filed on Form 424B2; rating histories published by Fitch, KBRA, S&P, Moody's and Morningstar DBRS under SEC Rule 17g-7(b), supplemented by agency releases. Loan data run through the month stated on this page. Rating histories published under Rule 17g-7(b) lag the actions they record by up to about a year; the loan data do not lag.
Delinquency shares. Each monthly loan report carries a payment status code: current; 30 to 59 days delinquent; 60 to 89 days; 90 or more days; foreclosure; real estate owned (REO); performing matured balloon; non-performing matured balloon. Shares are balance-weighted over the loan-months that carry a status code, using reported actual balances. About 55 percent of loan-months carry a code; the balance coverage for the latest month is stated above the first table.
30+ days delinquent is the share of coded balance 30 or more days past due, excluding foreclosure and REO. 30+ incl. FC/REO adds loans in foreclosure and held as REO. Non-performing matured is the share past its scheduled maturity date and not performing. Servicer advances are principal and interest amounts the servicer has advanced on delinquent loans and not yet recovered, as a share of coded balance. Median DSCR is the median of the most recently reported debt service coverage ratios (net cash flow basis) across reporting loans. Weighted average coupon is the balance-weighted average loan interest rate.
Realized stress score (deal index and deal pages): a 0 to 100 score for each deal built from realized pool outcomes since issuance: peak and latest delinquency, the share of balance that has ever been 90 or more days delinquent, in foreclosure or REO, the share ever modified, servicer advances, loans past maturity, and the change in median debt service coverage since the first year. Higher is more realized stress.
Ever severe is the share of a deal's original loan balance that has at any point been 90 or more days delinquent, in foreclosure, or held as REO. Net rating change since issuance is the balance-weighted average change, in rating notches, across a deal's rated classes from issuance to the latest rating in the dataset; a positive figure means net downgrades.
Credit support on deal pages is computed from the class stack order in the prospectus: for each principal class, the share of the deal's principal balance in classes junior to it. Prospectus-stated support figures are not carried in the dataset, so no stated figure is shown.
Where a figure is not available for a deal or a class, the pages say so ("not yet reported"). No figure is estimated or carried forward silently.