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KBRA Credit Profile (KCP) K-LOC Index: October 2018
[November 21, 2018]

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


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

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index decreased this month by 15 bps to 7.67%. There were 53 K-LOCs identified in October 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 $622.1 million. The 2015 vintage experienced the largest change in K-LOC balance across 2.0 cohorts at a $104.3 million increase stemming largely from the Horizon Outlet Shoppes Portfolio which is participated across two transactions, JPMBB 2015-C28 ($27.3 million) and JPMBB 2015-C29 ($26.0 million), and Whitehall Hotel ($33.7 million; COMM 2015-LC23).

About the Index

The October 2018 Index is a composite of 1,193 K-LOCs with an aggregate UPB of $22.58 billion spread across 267 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 11.2. 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)

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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.


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