Market Overview

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

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

K-LOC Index

The K-LOC Index decreased this month by 12 bps to 8.20%, with the
balance of identified post-crisis (2.0) K-LOCs decreasing by $249.7
million. Six of the eight post-crisis vintages experienced a decline in
K-LOC balance, comprised of both recent and more seasoned vintages.
There were 46 K-LOCs identified this month at an aggregate unpaid
principal balance (UPB) of $583.0 million. Each of the newly identified
K-LOCs has a UPB less than $45.0 million.

About the Index

The June 2018 Index is a composite of 1,169 K-LOCs with an aggregate UPB
of $23.95 billion spread across 257 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 11.9.
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.

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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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