KBRA’s RMBS Credit Indices (KCIs) track early-, mid-, and late-stage delinquencies,1 observed modifications, prepayment speeds, and other performance metrics across four major RMBS 2.0 subsectors. The link to the complete data file, as well as a detailed description of the indices, can be found in the next section of this report.
KBRA RMBS Indices – April 2023
April remittance reports showed solid credit performance across securitized residential mortgage pools during the March collection period, with improvement in delinquency rates (DQ) and prepayment speeds across all four indices. Early-stage (30-59 days) DQs declined 16 basis points (bps), 25 bps, 6 bps, and 3 bps MoM in KBRA’s prime, non-prime, Low LTV CRT, and High LTV CRT indices, respectively. Mid- (60-89 days) DQs were down 6 bps MoM in the non-prime index, while the observed metric remained unchanged in our prime, Low LTV CRT, and High LTV CRT indices. Late-stage (90+ days) DQs also…