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KBRA Credit Profile (KCP) K-LOC Index: September 2018Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of September. K-LOC Index The KBRA Loan of Concern (K-LOC) Index decreased this month by 15 bps to 7.82%. Two vintage Indices hit 12-month lows; 2011 (20.54%) and 2012 (15.93%). Conversely, the 2014 vintage Index reached a 12-month high of 11.01%. There were 55 K-LOCs identified this month across our coverage universe of both pre-crisis (1.0) and post-crisis (2.0) CMBS with an aggregate unpaid principal balance (UPB) of $599.0 million. About the Index The September 2018 Index is a composite of 1,175 K-LOCs with an aggregate UPB of $22.65 billion spread across 264 post-crisis (2.0) 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 11.4. 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) CONNECT WITH KBRA
Twitter 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/20181018005758/en/ |
