KBRA Credit Profile (KCP) K-LOC Index: June 2018

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

K-LOC Index

The K-LOC Index decreased this month by 12 bps to 8.20%, with the balance of identified post-crisis (2.0) K-LOCs decreasing by $249.7 million. Six of the eight post-crisis vintages experienced a decline in K-LOC balance, comprised of both recent and more seasoned vintages. There were 46 K-LOCs identified this month at an aggregate unpaid principal balance (UPB) of $583.0 million. Each of the newly identified K-LOCs has a UPB less than $45.0 million.

About the Index

The June 2018 Index is a composite of 1,169 K-LOCs with an aggregate UPB of $23.95 billion spread across 257 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 11.9. 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.

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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 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.

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Maverick Force, 215-882-5904
Senior Analyst
mforce@kbra.com
or
Patrick Czupryna, 215-882-5854
Director
pczupryna@kbra.com
or
Steve Kuritz, 215-882-5866
Managing Director
skuritz@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Maverick Force, 215-882-5904
Senior Analyst
mforce@kbra.com
or
Patrick Czupryna, 215-882-5854
Director
pczupryna@kbra.com
or
Steve Kuritz, 215-882-5866
Managing Director
skuritz@kbra.com