Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of December.
The KBRA Loan of Concern (K-LOC) Index increased this month to 7.90%. There were 45 K-LOCs identified in December 2018 across our coverage universe of both pre-crisis (1.0) and post-crisis (2.0) CMBS, with an aggregate unpaid principal balance (UPB) of $571.9 million. Each of the post-crisis vintage Indices increased this month with the exception of the 2016 vintage Index.
About the Index
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The December 2018 Index is a composite of 1,255 K-LOCs with an aggregate UPB of $23.33 billion spread across 277 post-crisis conduit transactions. For any given cohort, the Index is the quotient of its aggregate K-LOC balance and the cohorts defeasance adjusted UPB. As it includes loans at risk of default, it is a useful, forward-looking credit barometer, and leads the current CMBS conduit delinquency rate by a factor of 10.3. However, it is a more refined gauge of credit risk than the servicer watchlist, as the K-LOC designation is determined by our team of analysts, which perform in-depth monthly analysis on individual transactions and the underlying loan collateral.
Please follow this link to access our KCP K-LOC Index report.
Related Publications: (available at www.kbra.com)
- KBRA Credit Profile (KCP) K-LOC Index: November 2018
- KBRA Credit Profile (KCP) K-LOC Index: October 2018
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About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Maverick Force, Senior Analyst
Patrick Czupryna, Director
Steve Kuritz, Managing Director