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

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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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