NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) releases its KBRA Credit Profile (KCP) K-LOC Index for the month of September.
The KBRA Loan of Concern (K-LOC) Index was 7.87% in September 2019. During the month, there were 51 new K-LOCs identified across our coverage universe of post-crisis (2.0) CMBS, with an aggregate unpaid principal balance of $457.7 million. The September 2019 Spotlight features several 2.0 loans where net proceeds received at liquidation were not sufficient to recover outstanding advances and trust expenses.
About the Index
The September 2019 Index is a composite of 1,352 K-LOCs with an aggregate UPB of $24.10 billion across 292 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 6.59. 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.
To read the full report, click here.
Related Publications: (available at kcp.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.
Maverick Force, Associate
Patrick Czupryna, Director
Steve Kuritz, Senior Managing Director
Marc Iadonisi, Senior Sales Director