KBRA Releases Research – CMBS Loss Compendium Update: December 2022

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KBRA releases the December 2022 issue of the KBRA CMBS Loss Compendium, which provides base loss estimates for all KBRA-rated conduit transactions.

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Provider: 
Business Wire, Inc.Business Wire, Inc.
Retrieved on: 
Friday, January 6, 2023
Information
Tags: 
Banking, Professional Services, Finance, KLBL, KBRA
Geotags: 
NEW YORK, UNITED STATES, NORTH AMERICA
Organisation: 
KBRA
Summary
Key Points: 
  • KBRA releases the December 2022 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 308 outstanding KBRA-rated conduit transactions, of which 158 have been reviewed since the June 2022 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 2022, the average KLBL and average KFBL is 4.8% and 6%, respectively, compared to 5% and 5.5% in June 2022, and 5.1% and 5.6% in December 2021.


KBRA releases the December 2022 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 308 outstanding KBRA-rated conduit transactions, of which 158 have been reviewed since the June 2022 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 2022, the average KLBL and average KFBL is 4.8% and 6%, respectively, compared to 5% and 5.5% in June 2022, and 5.1% and 5.6% in December 2021.

Click here to view the report.

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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.

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