KBRA Unveils Latest Insights in December Loss Compendium

KBRA Releases December 2024 CMBS Loss Compendium

KBRA has announced the release of the December 2024 issue of its CMBS Loss Compendium, providing valuable insights into loss estimates for all KBRA-rated conduit transactions. This comprehensive report, along with its accompanying spreadsheet, assesses loss estimates for a total of 361 conduit transactions and includes data on nine conduits with withdrawn ratings due to payoffs.

Understanding Loss Metrics in the Compendium

The compendium utilizes two key metrics to convey loss figures effectively. The first, known as KBRA Lifetime Base Loss (KLBL), serves as an estimate of potential losses for each transaction over its lifetime, expressed as a percentage of the original balance. The second metric, KBRA Future Base Loss (KFBL), signifies potential future losses calculated as a percentage of outstanding deal balance as of the latest rating action date.

Current Loss Estimates and Trends

As of December 2024, the average KLBL stands at 5.3% of the original deal balance, reflecting a notable variation ranging from 1.7% to 19.1%. This is the highest recorded KLBL since December 2021, surpassing the figures from June 2024 and December 2023, which were 5% and 4.8%, respectively. Meanwhile, the average KFBL has reached 9.9%, also displaying an upward trajectory, rising from 8.4% in June 2024 and 6.8% in December 2023.

Implications of Rising Loss Estimates

The continued escalation of loss estimates signifies increasing losses within the more seasoned vintages. In particular, KBRA has observed a rise in its conduit distress rate, encompassing both delinquent loans and those classified as specially serviced. This rate has risen by 300 basis points over the past year, now standing at 10.2% as of December 2024.

Accessing the Full Compendium Report

To delve deeper into the comprehensive findings of this report, you can view the full report directly through the provided link. This report is essential for investors and financial professionals seeking to understand the current landscape of CMBS transactions and projected trends.

Additional Resources

Along with the main compendium, KBRA has also made available supplementary publications that further explore related topics. These include the KBRA CMBS Loss Compendium Spreadsheet for December 2024, detailed reports on CMBS Loan Performance Trends, and previous compendium updates from earlier months.

About KBRA

KBRA, a registered full-service credit rating agency in the U.S., the EU, and the UK, specializes in providing structured finance ratings, including for the Canadian market. Investors can rely on KBRA's ratings for regulatory capital purposes across various jurisdictions.

Frequently Asked Questions

What is the significance of the KBRA CMBS Loss Compendium?

The KBRA CMBS Loss Compendium provides essential loss estimates and performance trends for conduit transactions, aiding investors in understanding potential risks and returns.

How often is the KBRA CMBS Loss Compendium updated?

The compendium is updated periodically, with issues released quarterly to reflect the latest findings and changes in the market.

What metrics are used in the Compendium?

The compendium utilizes two key metrics: the KBRA Lifetime Base Loss (KLBL) and the KBRA Future Base Loss (KFBL) to measure loss estimates.

Where can I find the December 2024 CMBS Loss Compendium?

You can access the December 2024 CMBS Loss Compendium along with its spreadsheet on KBRA's official website.

Who is KBRA?

KBRA is a reputable credit rating agency that offers structured finance ratings and is recognized in multiple jurisdictions for regulatory capital purposes.

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