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 19.73 percent in July this year compared to 19.35 percent in June and 19.12 percent in May.
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 78 loans totaling $1.41 billion in July. KCP identified 50 new loans totaling $2.19 billion as K-LOCS in its July report, including 50 loans totaling $1.67 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 July 2023, KCP had identified a total of 2,608 K-LOCs across 446 conduit transactions, with an aggregate unpaid principal balance of $64 billion.