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

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

K-LOC Index

The KBRA Loan of Concern (K-LOC) Index notched lower to 28.57% in April from 29.17% in March, marking the second consecutive month of decline following a 12-month period of increases as COVID-19 adversely impacted the global economy.

In April, we removed the K-LOC designation on 108 loans ($1.55 billion) across our post-crisis (2.0) conduit CMBS coverage universe, including 69 retail ($1.01 billion) and 13 hotel ($193.8 million) loans. Most K-LOC removals can be attributed to stable property performance in 2020, demonstrated by recently reported operating statements. This is the case for many lodging properties in markets less impacted by COVID-19 travel restrictions and retail properties that experienced a resurgence in demand owing to the easing of COVID-19 related restrictions on nonessential retail coupled with economic stimulus. Still, 65 new K-LOCs with an aggregate unpaid principal balance (UPB) of $1.57 billion were identified during the month across our coverage universe of 2.0 conduit CMBS. This includes 16 loans ($390.3 million) collateralized by office properties.

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 April 2021 is a composite of 5,064 K-LOCs with an aggregate UPB of $99 billion across 427 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: March 2021
• KBRA Credit Profile (KCP) K-LOC Index: February 2021
• KBRA Credit Profile (KCP) K-LOC Index: January 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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