The chance a loan backing U.K. CMBS will default is bumped up once the loan-to-value (LTV) ratio exceeds 60%.

Analysts at Bank of America Merrill Lynch concluded this in their assessment of 459 commercial loans totaling €71.6 billion ($78.8 billon). Originated between 2000 and 2013, all were bundled into commercial mortgage-backed securities. The analysis might apply to non-securitized loans as well since BofA Merill pointed out that securitized loans tend to be average-to-slightly-better-than-average.

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