Market Overview

KBRA Releases Credit Profile (KCP) K-LOC Index: April 2018

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Kroll Bond Rating Agency (KBRA) released its KBRA Credit Profile (KCP)
K-LOC Index for the month of April.

The K-LOC Index ticked up 13 bps this month to 8.03%, with most post
crisis vintages experiencing a rise in K-LOC designations; 2011 was the
only vintage to see a decrease in the number of loans identified as
K-LOCs. Much of the overall increase was attributable to the 2016
(↑11.95%) and 2013 (↑4.82%) vintages, which recorded the largest
increases in K-LOC dollar volume, at $120.3 million and $182.7 million,
respectively. The latter vintage was influenced by the $146.5 million
Southdale Center loan, which was the largest loan to be designated a
K-LOC this month. The loan is participated across the MSBAM 2013-C10 and
MSBAM 2013-C11 securitizations.

Within the report, we reference the April 2018 K-LOC Index figure of
8.03% as a benchmark for comparison across cohorts and other market
measures. The April 2018 Index is a composite of 1,151 K-LOCs with an
aggregate UPB of $23.23 billion spread across 252 post-crisis conduit
transactions. 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). As it includes loans at risk of default, it is
a useful, forward-looking credit barometer, and leads the current CMBS
delinquency rate by a factor of 11.0. However, it is a more refined
gauge of credit risk than servicer watchlists, as the K-LOC designation
is determined by our team of analysts, which perform in-depth monthly
analysis on individual transactions and the underlying loan collateral.

Please click here
to read 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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