Direct current carrying Type II superconductors present a dc electric field under external perpendicular AC magnetic field, commonly referred to as “dynamic resistance effect”. Two kinds of AC losses occur in this situation: dynamic loss due to the interaction between the DC current and moving fluxons, and magnetization loss due to shielding current caused by the external AC magnetic fields. In general, HTS coated conductors have one substrate layer, which can be non-magnetic (Hastelloy) or magnetic (NiW). In this paper, we present the impacts of the magnetic substrate and their strength of ferromagnetism on dynamic loss and magnetization loss by using a finite-element method model based on H-formulation. This work reveals that the magnetic substrate layer does influence the dynamic loss and magnetization loss of HTS coated conductors. The dynamic loss is reduced by the adjacent magnetic substrate in the low field region and is increase in the high field region. The magnetization loss is reduced significantly by the magnetic substrate. This work will help choose HTS coated conductors with different substrate layers in different applications.