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

December 19, 2018

NEW YORK--(BUSINESS WIRE)--Dec 19, 2018--Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of November.

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index increased this month by 19 bps to 7.86%. There were 82 K-LOCs identified in November 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 $1.09 billion. Each post-crisis vintage Index increased this month.

About the Index

The November 2018 Index is a composite of 1,240 K-LOCs with an aggregate UPB of $23.22 billion spread across 273 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 10.9. 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 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 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.

View source version on businesswire.com:https://www.businesswire.com/news/home/20181219005508/en/

CONTACT: Analytical:

Maverick Force, Senior Analyst

(215) 882-5904

mforce@kbra.com

Patrick Czupryna, Director

(215) 882-5854

pczupryna@kbra.com

Steve Kuritz, Managing Director

(215) 882-5866

skuritz@kbra.com

KEYWORD: UNITED STATES NORTH AMERICA NEW YORK

INDUSTRY KEYWORD: PROFESSIONAL SERVICES BANKING FINANCE INSURANCE

SOURCE: Kroll Bond Rating Agency

Copyright Business Wire 2018.

PUB: 12/19/2018 10:51 AM/DISC: 12/19/2018 10:51 AM

http://www.businesswire.com/news/home/20181219005508/en

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