KBRA Credit Profile, a division of New York-based KBRA Analytics, tracked an increase in its monthly KBRA Loan of Concern (K-LOC) Index at the end of the first quarter of 2023. The index, which tracks loans of concern in commercial mortgage-backed securities deals, was at 18.09 percent in March 2023 compared with 17.67 percent in February. By comparison, the index was at 22.03 percent in March 2022.
The K-LOC designation serves as KBRA’s primary metric to identify loans that are in default or at heightened risk of default based on KCP analysis. KCP removed the K-LOC designation from 82 loans totaling $1.17 billion. At the same time, KCP identified 88 new loans totaling $2.37 billion as K-LOCS in its March report, including 39 loans collateralized by office worth a combined $1.47 billion.
KBRA’s KCP platform is a subscription-based surveillance service that tracks more than 1,200 commercial real estate securitizations, with monthly analysis on these transactions and the underlying loans, including valuations and principal loss forecasts. As of March 2023, KCP had identified a total of 2,537 K-LOCs across 432 conduit transactions, with an aggregate unpaid principal balance of $59.36 billion.