KBRA HTML INDICES

KBRA provides the market with a variety of monthly HTML index report across Structured Finance. Explore a KBRA Premium subscription today to gain access.

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European Auto ABS

KBRA’s European auto ABS indices publication, comprising our European Auto Loan Index, European Auto Lease Index, and country-level performance indices and credit trends across securitised auto loan transactions in Europe and the UK.

U.S. Solar Loan ABS

KBRA’s U.S. Solar Loan ABS Index includes credit performance data from all outstanding securitized residential solar loan collateral pools that carry a rating, whether KBRA-rated or not, and are weighted by each pool’s outstanding collateral balance at the end of each month. The index comprises ABS deals with weighted average credit scores generally between 710 and 770. New transactions are added as they are issued (after an initial seasoning period of six months), while older transactions season and generally reduce in size.

U.S. Equipment Loan & Lease

KBRA’s Equipment Loan & Lease Index includes credit performance metrics from all outstanding securitized equipment loan and lease collateral pools that carry a rating, whether KBRA-rated or not, and are weighted by each pool’s outstanding balance at the end of each month.  KBRA also maintains two equipment sub-indices: (1) KBRA’s Small-Medium Ticket Equipment Loan & Lease Index, and (2) KBRA’s Large Ticket Equipment Loan & Lease Index.

U.S. AUTO Loan ABS

KBRA’s Prime and Non-Prime Auto Loan ABS Indices include credit performance data from all outstanding prime and non-prime securitized auto loan collateral pools that carry a rating, whether KBRA-rated or not, and are weighted by each pool’s outstanding collateral balance at the end of each month. The two indices are calculated each month based on the observations available in that month. New transactions are added as they are issued, after an initial seasoning period of six months, while older transactions season and generally reduce in size.

U.S. MARKETPLACE Consumer Loan

KBRA’s three marketplace consumer loan indices include credit performance data from all outstanding securitized marketplace consumer loan pools that carry a rating, whether KBRA-rated or not, and are weighted by each pool’s outstanding collateral balance at the end of each month. Each new securitized loan pool is added to one of our three indices based on a combination of the weighted average credit score and the historical credit performance of the originating platform.

U.S. RMBS Credit INDICES

KBRA’s RMBS Credit Indices (KCIs) track early-, mid-, and late-stage delinquencies, observed modifications, prepayment speeds, and other performance metrics across four major RMBS 2.0 subsectors: (1) prime private label securitizations, (2) non-prime private label securitizations, (3) high -LTV credit risk transfer, and (4) low-LTV, credit risk transfer.