KBRA releases the June 2024 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into loss estimates for 343 outstanding transactions and includes lifetime realized losses for eight conduits with withdrawn ratings owing to payoffs.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.

As of June 2024, the average KLBL (as a % of original deal balance) is 5% (ranging from 1.7% to 17.7%), which increased for the second consecutive period, from the December 2023 and June 2023 figures of 4.8% and 4.7%, respectively. The average KFBL (as a % of review date deal balance) is 8.4% (ranging from 2.7% to 81.8%), which witnessed the highest period-over-period increase, up from 6.8% in December 2023 and 6.3% in June 2023.

Click here to view the report.

Related Publications

• KBRA CMBS Compendium: June 2024 Spreadsheet
• CMBS Loan Performance Trends: June 2024
• CMBS Trend Watch: June 2024
• KBRA CMBS Loss Compendium Update: December 2023
• KBRA CMBS Loss Compendium Update: June 2023

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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