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 – July 2023
July remittance reports showed mostly consistent credit performance in delinquency measures but mixed performance in prepayment rates across securitized residential mortgage pools during the June collection period. Early- (30-59 days), mid- (60-89 days), and late-stage (90+ days) delinquencies remained stable across KBRA’s prime, Low LTV CRT, and High LTV CRT indices, with all three delinquency metrics fluctuating less than 7 basis points (bps) (+/-) month-over-month (MoM) (see Figures 1, 3, and 4). In our non-prime index, early- and late-stage delinquency rates climbed 11 bps and 5 bps MoM…