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KBRA Credit Profile (KCP) K-LOC Index: March 2019

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP)
K-LOC Index for the month of March.

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 8.02% in March 2019. During
the month, there were 41 K-LOCs identified across our coverage universe
of post-crisis (2.0) CMBS, with an aggregate unpaid principal balance of
$665.1 million.

About the Index

The March 2019 Index is a composite of 1,280 K-LOCs with an aggregate
UPB of $23.76 billion across 281 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 conduit delinquency rate by a factor of 8.77.
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)

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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. KBRA is also 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.

Contacts

Analytical Contacts:

Maverick Force, Associate
(215) 882-5904
[email protected]

Patrick Czupryna, Director
(215) 882-5854
[email protected]

Steve Kuritz, Senior Managing Director
(215) 882-5866
[email protected]

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