KBRA Releases RMBS Credit Indices (KCI) for September 2021 | Financial Buzz

KBRA Releases RMBS Credit Indices (KCI) for September 2021

Kroll Bond Rating Agency (KBRA) releases its RMBS Credit Indices (KCI) for September 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.

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.

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.

Contacts

Analytical


Brian Ford, CFA, Structured Finance Research

+1 (646) 731-2329

brian.ford@kbra.com

Jack Kahan, Senior Managing Director

+1 (646) 731-2486

jack.kahan@kbra.com

Ashish Sharda, Senior Director

+1 (646) 731-2415

ashish.sharda@kbra.com

Andrew Ye, Senior Analyst

+1 (646) 731-1232

andrew.ye@kbra.com

Business Development


Dan Stallone, Director

+1 (646) 731-1308

daniel.stallone@kbra.com

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