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

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

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index was 24.17% in December, down from 25.21% in November and the trailing 12-month high of 29.43% in February 2021. We removed the K-LOC designation on 164 loans ($2.61 billion) in our post-crisis (2.0) conduit CMBS coverage universe in December, including 47 retail ($811.9 million) and 92 lodging ($1.43 billion) loans, based on our improved outlook for the underlying collateral.

Starting in 2021, we introduced K-LOC indexes for the 20 largest metropolitan statistical areas (MSA) by 2.0 conduit unpaid principal balance (UPB). In this month’s edition, we expand our coverage by tracking the 20 MSA indexes over a 12-month period alongside associated delinquency, special servicing, and master servicing watchlist rates.

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 December 2021 is a composite of 4,056 K-LOCs with an aggregate UPB of $83.09 billion across 435 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: November 2021
• KBRA Credit Profile (KCP) K-LOC Index: October 2021
• KBRA Credit Profile (KCP) K-LOC Index: September 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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