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KBRA Releases Research - CMBS Loss CompendiumKroll Bond Rating Agency (KBRA) releases a CMBS Loss Compendium, which provides base loss estimates for 266 KBRA-rated conduit transactions. Since the onset of the COVID-19 pandemic, surveillance has taken center stage in KBRA's ongoing discussions with CMBS investors. This is not surprising given the stress experienced by the commercial real estate (CRE) sector which is expected to continue as the performance of the asset class tends to lag that of the general economy. This is evidenced by CMBS 2.0 delinquencies, which increased to 7.04% as of year-end 2020 from just 0.91% prior to the onset of the pandemic. Expectations of increased losses can contribute to downgrades. In this report and the accompanying spreadsheet, we provide insight on loss estimates for 266 KBRA-rated conduit transactions. The compendium uses the following two tables to present the loss figures: KBRA Lifetime Base Loss (KLBL), which represents our loss estimate for each transaction during its lifetime as a percent of its original balance; and KBRA Future Base Loss (KFBL), which represents potential future losses as a percent of outstanding deal balance as of the most recent rating action date. Click here to view the report. Related Publications
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. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.
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