Loan Category and CMBS Deal Structure: A Historical Perspective from 1999 to 2022

Using a comprehensive dataset of all CMBS deals compiled by Trepp for the period 1999–2022, we document how the underlying loan category (e.g., agency, conduit, CRE CLO, single asset/single borrower, single family rental, large loan, miscellaneous) is related to the structure of a CMBS deal. We find that loan category explains a large proportion of the variation in subordination structure, complexity (number and type of tranches) and maturity structure of CMBS deals over the sample period. This explanatory power is more pronounced in the post-2016 period, following the implementation of the Dodd-Frank Act, which introduced stricter risk-retention requirements. Our results highlight how loan category and loan features are key to understanding CMBS deal structure.