KBRA Credit Profile (KCP) K-LOC Index: August 2018
NEW YORK--(BUSINESS WIRE)--Sep 19, 2018--Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of August.
The KBRA Loan of Concern (K-LOC) Index decreased this month by 9 bps to 7.97%. Despite an overall decrease in the Index in August, we note that several vintage Indices experienced increases, including the 2014 and 2017 cohorts that reached 12-month highs of 10.98% and 0.77%, respectively. There were 56 K-LOCs identified this month across our coverage universe of both pre-crisis (1.0) and post-crisis (2.0) CMBS at an aggregate unpaid principal balance (UPB) of $699.8 million.
About the Index
The August 2018 Index is a composite of 1,158 K-LOCs with an aggregate UPB of $23.10 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 12.0. 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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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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SOURCE: Kroll Bond Rating Agency
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PUB: 09/19/2018 03:20 PM/DISC: 09/19/2018 03:20 PM