K-LOC Index: KBRA tracks index increase in September

The index was 20.73% in September, compared with 19.73% in July.

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, was 20.73 percent in September this year compared with 20.2 percent in August and 19.73 percent in July.

The K-LOC designation serves as KBRA’s primary metric to identify loans in default or at heightened risk of default based on KCP analysis. The level of 20.73 percent recorded in September represents the quotient of K-LOCs by unpaid principal balance (UPB) and the combined UPB of KCP’s conduit coverage universe.

KCP added the K-LOC designation to 111 loans totaling $2.54 billion in September, including 46 loans totaling $1.75 billion collateralized by office. In its September report, KCP removed the K-LOC designation from 79 loans totaling $1.32 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 September 2023, KCP had identified a total of 2,664 K-LOCs across 447 conduit transactions, with an aggregate unpaid principal balance of $66 billion.