KBRA Credit Profile (KCP), a division of KBRA Analytics, releases its KCP K-LOC Index for the month of September.

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index decreased to 26.08% in September from 26.64% in August. We removed the K-LOC designation on 182 loans ($2.72 billion) in our post-crisis (2.0) conduit CMBS coverage universe in September, including 83 lodging ($1.31 billion) and 52 retail ($733.9 million) loans, based on recent developments in collateral or market performance.

There were 30 post-crisis conduit loans identified as K-LOCs in September with an aggregate unpaid principal balance (UPB) of $634.1 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 September 2021 is a composite of 4,423 K-LOCs with an aggregate UPB of $88 billion across 426 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: August 2021
• KBRA Credit Profile (KCP) K-LOC Index: July 2021
• KBRA Credit Profile (KCP) K-LOC Index: June 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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