KBRA Releases Research – KBRA CMBS Loss Compendium Update: December 2024

KBRA releases the December 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loss estimates for 361 outstanding conduit transactions and includes lifetime realized losses for nine conduits with withdrawn ratings owing to payoffs.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 December 2024, the average KLBL (as a % of original deal balance) is 5.3% (ranging from 1.7% to 19.1%), which is the highest recorded KLBL since December 2021 (5.1%). The June 2024 and December 2023 figures were 5% and 4.8%, respectively. The average KFBL (as a % of review date deal balance) is 9.9% (ranging from 2.9% to 81.5%), continuing to increase period-over-period to its new high, up from 8.4% in June 2024, and 6.8% in December 2023. The continued upward trend in our loss estimates reflects increased losses in the more seasoned vintages and an increase in KBRA’s conduit distress rate, which includes both delinquent loans and current but specially serviced loans, increasing 300 basis points (bps) over the past year to 10.2% as of December 2024.

Click here to view the report.

Related Publications

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