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 – January 2023
January remittance reports showed mixed credit performance across securitized residential mortgage pools. Early-stage delinquency rates (30-59 days) improved 5 bps and 9 bps MoM in KBRA’s prime and non-prime indices, respectively, but moved up 2 bps and 3 bps MoM in our Low and High LTV CRT indices. Mid-stage delinquencies (60-89 days) fluctuated less than 1 bps across all four indices on a MoM basis, while late-stage delinquency rates (90+ days) rose 2 bps and 7 bps in KBRA's prime and non-prime indices, respectively, but remained essentially flat in the Low and High LTV CRT indices, varying…