NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of May.
The K-LOC Index increased this month by 29 basis points (bps) to 8.32%, with the identification of an additional $969.7 million in post-crisis KBRA Loans of Concern (K-LOCs). The largest changes were seen among more recent vintages such as 2016, which increased to 3.83% from 2.42%.
K-LOCs by dollar volume for post-crisis (2.0) transactions surpassed pre-crisis (1.0) transactions for the first time in May 2018 by a margin of $670.4 million. The anticipated crossover is the result of ongoing dispositions as distressed assets in 1.0 cohorts resolve and inherent credit risks within 2.0 transactions manifest through weakening collateral performance.
About the Index:
The May 2018 Index is a composite of 1,183 K-LOCs with an aggregate unpaid principal balance (UPB) of $24.20 billion spread across 260 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 delinquency rate by a factor of 12.4. 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.
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.