Market Overview

KBRA Releases Inaugural KBRA Credit Profile (KCP) K-LOC Index

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Kroll Bond Rating Agency (KBRA) is pleased to announce the launch of the
KBRA Credit Profile (KCP) K-LOC Index. The establishment of the Index
provides a useful credit performance metric for CMBS industry
constituents across multiple CMBS cohorts, including CMBX during the
month of March 2018.

The KBRA Loan of Concern (K-LOC) designation serves as KBRA's primary
metric used to identify loans that are in default or at heightened risk
of default based on KCP's proprietary research and analysis.

Within this report, we reference the March 2018 K-LOC 2.0 Index figure
of 7.90% as a benchmark for comparison across cohorts and other market
measures. The K-LOC Index stratifies K-LOC exposure across both
pre-crisis (1.0) and post-crisis (2.0) non-agency conduit transactions
within the broader KCP coverage universe. For any given cohort, the
Index is the quotient of its aggregate K-LOC balance and the cohort's
defeasance adjusted unpaid principal balance (UPB).

The March 2018 K-LOC 2.0 Index is a composite of 1,130 K-LOCs with an
aggregate UPB of $22.73 billion spread across 248 conduit transactions.
The tables presented in the report track the K-LOC Index over time,
examine the Index by property type, and compare the Index to delinquency
and servicer watchlist status across different cohorts. As a
forward-looking indicator, the K-LOC 2.0 Index leads the current CMBS
2.0 delinquency rate by a factor of 10.6. At the same time, the Index is
a more refined gauge of default risk than servicer watchlists, as the
K-LOC designation is determined by our team of analysts, which performs
in depth monthly analysis on individual transactions and the underlying
loan collateral.

Please click here
to access our KCP K-LOC Index report.

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
recognized by the National Association of Insurance Commissioners as a
Credit Rating Provider and a certified Credit Rating Agency (CRA) by the
European Securities and Markets Authority (ESMA). Kroll Bond Rating
Agency Europe Limited is registered with ESMA as a CRA.

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