KBRA Releases Research - KBRA CMBS Loss Compendium Update: June 2023

July 11, 2023 at 14:31 PM EDT

ⓘ This article is third-party content and does not represent the views of this site. We make no guarantees regarding its accuracy or completeness.

KBRA releases the June 2023 issue of the KBRA CMBS Loss Compendium, which provides loss estimates for all KBRA-rated conduit transactions. In this report and its accompanying spreadsheet, KBRA provides insight into loss estimates for 317 outstanding KBRA-rated conduit transactions, as well as lifetime realized losses for the five KBRA-rated conduit transactions that have no ratings outstanding because of deal payoffs.

The compendium uses the following two metrics to present the loss figures: KBRA Lifetime Base Loss (KLBL), which represents our loss estimate for each transaction during its lifetime as a percentage of its original balance; and KBRA Future Base Loss (KFBL), which represents potential future losses as a percentage of outstanding deal balance as of the most recent rating action date.

The highlights of this edition are as follows:

As of June 2023, the average KLBL (as a % of original deal balance) is 4.7% (ranging from 1.9% to 17.7%), and the average KFBL (as a % of review date deal balance) is 6.3% (ranging from 2.8% to 66.8%).
Transactions from the 2014 and 2015 vintages continued to have higher-than-average KLBLs, which is not surprising given that they have among the highest issuance KBRA loan-to-values (KLTV) and appraisal LTVs.

Click here to view the report.

Related Publications

About KBRA

KBRA is a full-service credit rating agency registered in the U.S., the EU and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.