KBRA Credit Profile Releases KCP K-LOC Index: October 2021

NEW YORK–(COMMERCIAL THREAD) – KBRA Credit Profile (KCP), a division of KBRA Analytics, releases its KCP K-LOC index for the month of October.

K-LOC index

The KBRA Loan of Concern (K-LOC) index was 25.86% in October, up from 26.08% in September and the 12-month high of 29.43% in February 2021. We have removed the K designation -LOC on 144 loans ($ 1.93 billion) in our post-crisis CMBS hedging universe (2.0) in October, comprising 53 retail loans ($ 690.3 million) and 51 housing loans ($ 601.5 million), based on our improved outlook for the underlying collateral.

In addition to our review of the index by vintage, property type and MSA, we highlight recent developments regarding the Executive Hotel Pacific loan (JPMBB 2013-C14; CMBX 7), which is guaranteed by a full-service hotel of 153 keys in Seattle. The owners recently signed a short-term contract with the city to operate the property as a homeless shelter.

About the index

The K-LOC designation is KBRA’s primary metric used to identify loans in default or at increased risk of default based on KBRA Credit Profile (KCP) proprietary research and analysis. KCP is a division of KBRA Analytics. The K-LOC Index for October 2021 is a composite of 4,332 K-LOCs with a total UPB of $ 86.93 billion out of 430 post-crisis conduit transactions. For a given cohort, the index is the quotient of its overall balance of K-LOC and UPB adjusted according to the defeasance of the cohort. Since it includes risky default loans, it is a useful and 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 guarantee.

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 on each product provide unparalleled insight creating a foundation for deeper analysis and rapid discovery for users. KBRA Analytics is a subsidiary of Kroll Bond Rating Agency, LLC (KBRA). KBRA is a full service credit rating agency registered in the United States, designated to provide structured finance ratings in Canada, and with credit rating subsidiaries registered in the EU and the United Kingdom.

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