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 – November 2023
November remittance reports showed mostly stable credit performance across securitized residential mortgage pools during the October collection period. Across KBRA’s prime, Low LTV CRT, and High LTV CRT indices, early- (30-59 days), mid- (60-89), and late-stage (90+) delinquencies remained relatively unchanged, fluctuating less than 3 basis points (bps) month-over-month (MoM) (see Figures 1, 3, and 4). Meanwhile, early-stage delinquencies improved 20 bps MoM in KBRA’s non-prime index, while mid- and late-stage delinquencies edged up 5 bps and 14 bps MoM, respectively (see Figure 2).…