Market Overview

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

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

K-LOC Index

The K-LOC Index decreased this month by 13 bps to 8.07%, with the
balance of post-crisis (2.0) K-LOCs decreasing by $417.4 million.
Several seasoned 2.0 vintages exhibited stable or improving metrics
while the 2017 vintage experienced an uptick in K-LOCs over the past
remittance. There were 47 K-LOCs identified this month across our
coverage universe of both pre- and post-crisis CMBS at an aggregate
unpaid principal balance (UPB) of $749.3 million.

About the Index

The July 2018 Index is a composite of 1,155 K-LOCs with an aggregate UPB
of $23.53 billion spread across 259 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 11.3.
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
designated as a designated rating organization by the Ontario Securities
Commission for issuers of asset-backed securities to file a short form
prospectus or shelf prospectus, is recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider, and
is 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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