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

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

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index moved lower month-over-month (MoM) for the first time since February 2020, decreasing slightly to 29.17% in March 2021 from 29.43% in February 2021. The downward shift in K-LOC volume speaks to an inflection point in the commercial real estate (CRE) sector as the industry anticipates a recovery supported by vaccination rollouts, pent-up demand, and fiscal and monetary stimulus. There were 73 new K-LOCs with an aggregate unpaid principal balance (UPB) of $1.66 billion identified during the month across our coverage universe of post-crisis (2.0) conduit CMBS.

We continue to calculate K-LOC Indexes for the 20 largest metropolitan statistical areas (MSA) based on 2.0 conduit UPB. As of March 2021, five MSAs have a K-LOC Index of 30% or more, including Las Vegas (47.69%), Charlotte (37.03%), Houston (34.25%), Atlanta (33.60%), and Dallas-Fort Worth (30.10%).

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 March 2021 is a composite of 5,143 K-LOCs with an aggregate UPB of $99.6 billion across 421 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: February 2021
• KBRA Credit Profile (KCP) K-LOC Index: January 2021
• KBRA Credit Profile (KCP) K-LOC Index: December 2020

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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