Kroll Bond Rating Agency (KBRA) releases its RMBS Credit Indices (KCI) for March 2021. The indices track early-, mid-, and late-stage delinquencies, observed modifications, prepayment speeds, and other performance metrics across four major RMBS 2.0 subsectors. The complete data file can be downloaded from the link at the end of this report.
KBRA includes modified (%) in its RMBS KCIs, which represents the portion of loans for each deal that Intex reports as having a modification or “suspected” modification. Intex advises that loan modification data via its data providers may be lagged by one or two months, and the reported data has been normalized by Intex. “Suspected” modifications represent a determination made by Intex when servicer/trustee data is deemed to be insufficient but where the historical data and performance of the loans “strongly suggest” that a loan modification has occurred.
Click here to view the report.
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.
Brian Ford, CFA, Structured Finance Research
+1 (646) 731-2329
Jack Kahan, Senior Managing Director
+1 (646) 731-2486
Ashish Sharda, Senior Director
+1 (646) 731-2415
Andrew Ye, Senior Analyst
+1 (646) 731-1232
Michele Patterson, Managing Director
+1 (646) 731-2397