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

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

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 7.98% in August 2019. During the month, there were 40 new K-LOCs identified across our coverage universe of post-crisis (2.0) CMBS, with an aggregate unpaid principal balance of $453.9 million.

About the Index

The August 2019 Index is a composite of 1,344 K-LOCs with an aggregate UPB of $24.45 billion across 289 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 6.97. 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:

Maverick Force, Associate

(215) 882-5904

mforce@kbra.com

Patrick Czupryna, Director

(215) 882-5854

pczupryna@kbra.com

Steve Kuritz, Senior Managing Director

(215) 882-5866

skuritz@kbra.com