KBRA Credit Profile (KCP) K-LOC Index: December 2019

Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of December.

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 7.72% in December 2019. During the month, there were 40 new K-LOCs identified across our coverage universe of post-crisis (2.0) CMBS, with an aggregate unpaid principal balance (UPB) of $556.4 million.

About the Index

The December 2019 Index is a composite of 1,378 K-LOCs with an aggregate UPB of $24.43 billion across 302 post-crisis conduit transactions. For any given cohort, the Index is the quotient of its aggregate K-LOC balance and the cohort’s 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 6.67. 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.

To read the full report, click here.

Related Publications: (available at kcp.kbra.com)

• KBRA Credit Profile (KCP) K-LOC Index: November 2019
• KBRA Credit Profile (KCP) K-LOC Index: October 2019

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About KBRA Credit Profile

KCP is a research service and nothing herein or otherwise provided by KCP shall be construed as a rating. Any rating opinions, analysis, projections, observations, data or other items constituting part of any information provided or distributed by KCP or KBRA are and must be construed solely as statements of opinion and not statements of fact.

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. KBRA is also 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.

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