Structured Finance Performance Indices

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.

Data and Indices Metrics: U.S. Auto ABS Indices Spreadsheet

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:

• KBRA’s Small-Medium Ticket Equipment Loan & Lease Index

• KBRA’s Large Ticket Equipment Loan & Lease Index

Data and Indices Metrics: U.S. Equipment Loan & lease Indices Spreadsheet

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.

Data and Indices Metrics: U.S. Marketplace Consumer Indices Spreadsheet

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.

Data and Indices Metrics: U.S. Auto ABS Indices Spreadsheet

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.

Coverage includes:

• Prime private label securitizations

• Non-prime private label securitizations

• High-LTV credit risk transfer (CRT)

• Low-LTV credit risk transfer (CRT)

Data and Indices Metrics: U.S. RMBS Credit Indices Spreadsheet

KBRA’s UK RMBS Indices track credit performance across publicly rated UK residential mortgage-backed security collateral pools, whether KBRA-rated or not, where periodic reporting is available. The indices comprise prime, buy-to-let, and nonconforming RMBS segments and are weighted by each collateral pool’s outstanding balance reported each quarter.

The indices are calculated quarterly using credit performance metrics such as annualised net losses, delinquencies, and prepayment rates. New transactions are added after an initial six-month seasoning period, while older transactions continue to season, generally decline in outstanding balance, and are removed once fully paid down. The buy-to-let and nonconforming indices are further segmented into legacy and non-legacy cohorts to reflect differences in underwriting, borrower risk, and historical performance.

Data and Index Metrics: UK RMBS Indices Spreadsheet

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.

Data and Indices Metrics: European Auto ABS Indices Spreadsheet