KBRA Credit Profile, a division of KBRA Analytics, saw a slight increase in its monthly KBRA Loan of Concern (K-LOC) Index. The index, which tracks loans of concern in commercial mortgage-backed securities deals, stood at 19.12 percent in May compared with 18.64 percent in April and 18.09 percent in March.
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. The level of 18.64 percent recorded in January represents the quotient of K-LOCs by unpaid principal balance (UPB) and the combined UPB of KCP’s conduit coverage universe.
KCP removed the K-LOC designation from 56 loans totaling $777.3 million in May. KCP identified 89 new loans totaling $1.93 billion as K-LOCS in its May report, including 37 loans totaling $1.15 billion collateralized by office.
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 May 2023, KCP had identified a total of 2,604 K-LOCs across 441 conduit transactions, with an aggregate unpaid principal balance of $62.47 billion.