K-LOC Index: KBRA tracks rise in loans of concern in November

The index was at 21.07% in November, up from 20.9% in October.

KBRA Credit Profile, a division of KBRA Analytics, saw a slight increase in its monthly KBRA Loan of Concern (K-LOC) Index in November 2023. The index, which tracks loans of concern in commercial mortgage-backed securities deals, was at 21.07 percent in November, up from 20.9 percent in October.

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 21.1 percent recorded in November 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 75 loans totaling $1.69 billion in November, including 32 loans totaling $999.6 million collateralized by office properties. It removed the KLOC designation from 82 loans totaling $976.2 million.

KBRA’s KCP platform is a subscription-based surveillance service that tracks more than 1,300 commercial real estate securitizations, with monthly analysis on these deals and the underlying loans, including valuations and principal loss forecasts. As of November 2023, KCP had identified a total of 2,667 K-LOCs across 452 conduit transactions, with an aggregate unpaid principal balance of $67.3 billion.