KBRA Releases Research – CMBS Loss Compendium Update: December 2021

KBRA releases the December 2021 issue of the KBRA CMBS Loss Compendium, which provides base loss estimates for all KBRA-rated conduit transactions.

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Tuesday, January 18, 2022
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Professional Services, Finance, Population, KBRA, KLBL, Risk management
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NEW YORK
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KBRA
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  • KBRA releases the December 2021 issue of the KBRA CMBS Loss Compendium, which provides base loss estimates for all KBRA-rated conduit transactions.
  • In this report and its accompanying spreadsheet, we provide insight into loss estimates for all 292 KBRA-rated conduit transactions, of which 149 have been reviewed since the June 2021 edition of this publication.
  • 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 percent of its original balance; and KBRA Future Base Loss (KFBL), which represents potential future losses as a percent of outstanding deal balance as of the most recent rating action date.
  • As of December 2021, the average KLBL and average KFBL for the entire population are 5.1% and 5.6%, respectively, which increased from 5% and 5.4%, in June 2021; and from 4.5% and 4.9%, in December 2020.


KBRA releases the December 2021 issue of the KBRA CMBS Loss Compendium, which provides base loss estimates for all KBRA-rated conduit transactions.

In this report and its accompanying spreadsheet, we provide insight into loss estimates for all 292 KBRA-rated conduit transactions, of which 149 have been reviewed since the June 2021 edition of this publication. 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 percent of its original balance; and KBRA Future Base Loss (KFBL), which represents potential future losses as a percent of outstanding deal balance as of the most recent rating action date.

As of December 2021, the average KLBL and average KFBL for the entire population are 5.1% and 5.6%, respectively, which increased from 5% and 5.4%, in June 2021; and from 4.5% and 4.9%, in December 2020.

Click here to view the report.

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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.

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