KBRA’s RMBS Credit Indices (KCIs) track early- (30-59 days), mid- (60-89 days), and late-stage (90+ days) delinquencies,1 observed modifications, prepayment speeds, and other performance metrics across four major RMBS 2.0 subsectors. The link to the data shown in this report and other index metrics can be found here.
KBRA RMBS Indices – April 2024
April remittance reports showed that credit performance has generally improved month-over-month (MoM) across securitized residential mortgage pools during the March collection period. The MoM and year-over-year (YoY) changes in our indices are presented in the table below.
While early-stage delinquency rates improved MoM in the Prime and Non-Prime indices, the observed metric has remained relatively steady MoM in the Low and High LTV CRT indices, increasing less than 2 basis points (bps) in both…