KBRA Credit Profile Releases KCP K-LOC Index: February 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 February.

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 22.9% in February 2022, down from 23.84% in January 2022 and 29.43% in February 2021. We removed the K-LOC designation on 171 loans ($3.37 billion) in our post-crisis (2.0) conduit CMBS coverage universe in February, including 98 lodging ($2.27 billion) and 31 retail ($368.6 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 216 West Jackson (COMM 2013-CR12; CMBX 7), a new office K-LOC in Chicago, and revisit 135 South LaSalle (CGCMT 2015-GC31) based on a potential deed-in-lieu of foreclosure. We also include an examination of environmental, social, and governance (ESG) data for these properties.

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.

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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.


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