KBRA Credit Profile Releases KCP K-LOC Index: January 2022
NEW YORK–(BUSINESS WIRE)–#KBRA–KBRA Credit Profile (KCP), a division of KBRA Analytics, releases its KCP K-LOC Index for the month of January.
K-LOC Index
The KBRA Loan of Concern (K-LOC) Index was 23.84% in January 2022, down from 24.17% in December 2021 and the trailing 12-month high of 29.43% in February 2021. We removed the K-LOC designation on 174 loans ($2.52 billion) in our post-crisis (2.0) conduit CMBS coverage universe in January, including 90 lodging ($1.06 billion) and 48 retail ($973.5 million) loans, based on our improved outlook for the underlying collateral.
In addition to our examination of the index by vintage, property type, and metropolitan statistical area (MSA), we highlight the resolution of the Three WestLake Park asset (GSMS 2014-GC20) following a December 2021 auction. The liquidation resulted in one of the largest individual principal losses in post-crisis CMBS.
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 January 2022 is a composite of 3,932 K-LOCs with an aggregate UPB of $81.27 billion across 436 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.
Click here to view the report.
Related Publications
- KBRA Credit Profile (KCP) K-LOC Index: December 2021
- KBRA Credit Profile (KCP) K-LOC Index: November 2021
- KBRA Credit Profile (KCP) K-LOC Index: October 2021
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.
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Maverick Force, Associate Director
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Patrick Czupryna, Senior Director
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