How the CMBS distress signals are built
Every CMBS event is a factual, point-in-time extraction from a public SEC filing — a monthly CREFC IRP servicer report (Form 10-D) or an asset-level Form ABS-EE tape. Each is descriptive, evidence-backed and Ed25519-signed. Not an allegation of wrongdoing, not investment advice.
Sources
- Form 10-D — CREFC Investor Reporting Package (IRP): the monthly servicer report filed by the trust. We read its loan-level detail sections (specially serviced, delinquency, modified, appraisal reduction, mortgage-loan status).
- Form ABS-EE — EX-102 asset-level tape (2017+ deals, Reg AB II): the machine-readable loan tape carrying DSCR and occupancy — upstream early warnings that often precede a servicing transfer.
The signals
| signal | source section | fires when | reads as |
|---|---|---|---|
| Special-servicing transfer | 10-D - CREFC IRP Specially Serviced Loan Detail | the master servicer transfers the loan to the special servicer | the loan is in or near default and is now being worked out |
| Serious delinquency | 10-D - CREFC IRP Delinquency Loan Detail | the loan is reported 60+ days delinquent (or a non-performing matured balloon) | the borrower has materially missed scheduled payments |
| Maturity default | 10-D - CREFC Mortgage Loan Status (status 4) | the loan passes its maturity date without repaying the balloon | the loan did not refinance or repay at maturity |
| Loan modification | 10-D - CREFC IRP Modified Loan Detail | the servicer restructures the loan's terms | rate, term or amortization were changed, typically after distress |
| Appraisal reduction | 10-D - CREFC IRP Appraisal Reduction | the servicer records an appraisal reduction amount (ARA) | the collateral was re-appraised below the outstanding loan balance |
| DSCR below 1.0x (early warning) | ABS-EE - EX-102 asset-level tape | the most-recent reported DSCR falls below the threshold | net operating income no longer covers debt service (upstream) |
| Occupancy drop (early warning) | ABS-EE - EX-102 asset-level tape | current occupancy falls materially below the securitization level | tenant loss / income risk (upstream) |
Fields are descriptive, never conclusive: we record that a filing discloses a transfer or a modification — not a judgment about the deal, the borrower or any security.
Evidence trail — reconstructible
Each event stores its full path: the SEC filing URL, the exact CREFC / ABS-EE section and loan id (e.g. CREFC IRP Specially Serviced Loan Detail; loan 7), the field values that triggered it, a content hash and the rule version. Nothing reaches the public surface unless the machine can replay that path.
Point-in-time
Every event is dated as of the servicer report that disclosed it — never back-dated. A feature computed as of date D sees only reports filed on or before D; there is no look-ahead.
Survivorship-bias-free
Resolved, liquidated, paid-off and defaulted loans are retained. The dataset never drops a loan because its story ended badly — that outcome is precisely the ground truth a credit model needs.
Severity and confidence
Severity (0–100) grades the disclosed signal — a special-servicing transfer outranks a single late payment — not the deal or the borrower. Confidence is tracked separately; structured loan-level extraction from the servicer's own report reads as high confidence.
Precision before recall
Events that fail an integrity check, or that a trust cross-files under the wrong deal, are quarantined off the public surface until reviewed. We would rather miss a marginal signal than publish a wrong one.
Verify it yourself
Every event is Ed25519-signed. GET /public/cmbs/verify/{id} rebuilds the signed field subset and checks it against the feed public key (/v1/pubkey). The free sample rows on /cmbs/data carry the same signatures.
← CMBS distress signals · Dataset & sample
Factual reports of public SEC filings. Not affiliated with, endorsed by or connected to the SEC or any government agency. Not an allegation of wrongdoing, not investment advice.