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

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 20.62% in May 2022, down from 21.57% in April 2022 and 28.25% in May 2021. We removed the K-LOC designation on 236 loans ($4.35 billion) in our conduit CMBS coverage universe in May, including 110 lodging ($1.84 billion) and 73 retail ($1.56 billion) 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 examine the cohort of K-LOCs maturing over the next 12 months given historic inflation and as concerns over an economic recession mount. We highlight various high-profile assets with scheduled maturity dates falling within in this window, including loans collateralized by office, retail, and lodging.

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 May 2022 is a composite of 3,268 K-LOCs with an aggregate UPB of $70.14 billion across 431 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. For the purposes of this report, we exclude legacy CMBS (2008 and earlier).

Click here to view the report.

Related Publications

• KBRA Credit Profile (KCP) K-LOC Index: April 2022
• KBRA Credit Profile (KCP) K-LOC Index: March 2022
• KBRA Credit Profile (KCP) K-LOC Index: February 2022

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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