Market Overview

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

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

K-LOC Index:

The K-LOC Index increased this month by 29 basis points (bps) to 8.32%,
with the identification of an additional $969.7 million in post-crisis
KBRA Loans of Concern (K-LOCs). The largest changes were seen among more
recent vintages such as 2016, which increased to 3.83% from 2.42%.

K-LOCs by dollar volume for post-crisis (2.0) transactions surpassed
pre-crisis (1.0) transactions for the first time in May 2018 by a margin
of $670.4 million. The anticipated crossover is the result of ongoing
dispositions as distressed assets in 1.0 cohorts resolve and inherent
credit risks within 2.0 transactions manifest through weakening
collateral performance.

About the Index:

The May 2018 Index is a composite of 1,183 K-LOCs with an aggregate
unpaid principal balance (UPB) of $24.20 billion spread across 260
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 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 12.4. However, it is a more refined gauge of credit
risk than the servicer watchlist, 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 follow this link
to access our KCP K-LOC Index report or visit www.kbra.com.

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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