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KBRA Credit Profile Releases KCP K-LOC Index: April 2022
[May 23, 2022]

KBRA Credit Profile Releases KCP K-LOC Index: April 2022

KBRA Credit Profile (KCP), a division of KBRA Analytics, releases its KCP K-LOC Index for the month of April.

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 21.57% in April 2022, down from 22.03% in March 2022 and 28.57% in April 2021. We removed the K-LOC designation on 218 loans ($3.32 billion) in our conduit CMBS coverage universe in April, including 102 lodging ($1.52 billion) and 64 retail ($670.3 million) loans, based on our improved outlook for the underlying collateral.

In addition to our examination of the index by vintage, property type, and metropolitan statistical area (MSA), we highlight news of a recent preliminary settlement in the legal dispute between Patrick Nelson and a multitude of investors involved in the 2019 acquisition of Skyloft Austin (UBSCM 2019-C16). We consider potential implications of the settlement on other CMBS collateral where Patrick Nelson is a sponsor, including Sol y Luna (CSAIL 2020-C19, MSC 2020-L4, CF 2020-P1).

About the Index

The 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 KBRA Credit Profile's (KCP) proprietary research and analysis. KCP is a division of KBRA Analytics. The K-LOC Index for April 2022 is a composite of 3,462 K-LOCs with an aggregate UPB of $73.88 billion across 433 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. The K-LOC designation is determined by our team of analysts, who perform in-depth monthly analysis on individual transactions and the underlying loan collateral. For the purposes of this report, we exclude legacy CMBS (2008 and earlier).

Click here to view the report.

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About KBRA Analytics

KBRA Analytics, LLC (KBRA Analytics) is our premier product platform for high quality data and advanced analytics. Our seasoned teams of industry specialists across each product provide unparalleled insight creating a foundation of deeper analysis and rapid discovery for users. KBRA Analytics is an affiliate of Kroll Bond Rating Agency, LLC (KBRA). KBRA is a full-service credit rating agency registered in the U.S., designated to provide structured finance ratings in Canada, and with credit rating affiliates registered in the EU and UK.

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