NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) is pleased to announce the launch of the KBRA Credit Profile (KCP) K-LOC Index. The establishment of the Index provides a useful credit performance metric for CMBS industry constituents across multiple CMBS cohorts, including CMBX during the month of March 2018.
The KBRA Loan of Concern (K-LOC) designation serves as KBRA’s primary metric used to identify loans that are in default or at heightened risk of default based on KCP’s proprietary research and analysis.
Within this report, we reference the March 2018 K-LOC 2.0 Index figure of 7.90% as a benchmark for comparison across cohorts and other market measures. The K-LOC Index stratifies K-LOC exposure across both pre-crisis (1.0) and post-crisis (2.0) non-agency conduit transactions within the broader KCP coverage universe. For any given cohort, the Index is the quotient of its aggregate K-LOC balance and the cohort’s defeasance adjusted unpaid principal balance (UPB).
The March 2018 K-LOC 2.0 Index is a composite of 1,130 K-LOCs with an aggregate UPB of $22.73 billion spread across 248 conduit transactions. The tables presented in the report track the K-LOC Index over time, examine the Index by property type, and compare the Index to delinquency and servicer watchlist status across different cohorts. As a forward-looking indicator, the K-LOC 2.0 Index leads the current CMBS 2.0 delinquency rate by a factor of 10.6. At the same time, the Index is a more refined gauge of default risk than servicer watchlists, as the K-LOC designation is determined by our team of analysts, which performs in depth monthly analysis on individual transactions and the underlying loan collateral.
Please click here to access our KCP K-LOC Index report.
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 recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and 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.