NEW YORK–(BUSINESS WIRE)–KBRA Credit Profile (KCP), a division of KBRA Analytics, releases its KCP K-LOC Index for the month of June.
The KBRA Loan of Concern (K-LOC) Index decreased to 27.88% in June from 28.25% in May. In June, we removed the K-LOC designation on 150 loans ($2.4 billion) in our post-crisis (2.0) conduit CMBS coverage universe, including 76 retail ($1.31 billion) and 39 lodging ($517.9 million) loans, based on expectations of stable collateral performance.
There were 34 post-crisis conduit loans identified as K-LOCs in June with an aggregate unpaid principal balance (UPB) of $798 million. Loans collateralized by office comprised the largest portion of K-LOCs identified in the month, representing just over 60% of the UPB ($484.3 million).
About the Index
The K-LOC designation serves as KBRA’s primary metric used to identify loans that are in default or at heightened risk of default based on KBRA Credit Profile’s (KCP) proprietary research and analysis. KCP is a division of KBRA Analytics. The K‑LOC Index for June 2021 is a composite of 4,849 K-LOCs with an aggregate UPB of $95.44 billion across 427 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. The K‑LOC designation is determined by our team of analysts, who perform in-depth monthly analysis on individual transactions and the underlying loan collateral.
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About KBRA Analytics
KBRA Analytics, LLC (KBRA Analytics) is our premier product platform for high quality data and advanced analytics. Our seasoned teams of industry specialists across each product provide unparalleled insight creating a foundation of deeper analysis and rapid discovery for users. KBRA Analytics is an affiliate of Kroll Bond Rating Agency, LLC (KBRA). KBRA is a full-service credit rating agency registered in the U.S., designated to provide structured finance ratings in Canada, and with credit rating affiliates registered in the EU and UK.