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 – May 2024
May remittance reports showed mostly solid month-over-month (MoM) credit performance across securitized residential mortgage pools during the April collection period. Except for the 3 basis-point (bps) MoM increase in the prime early-stage delinquency rate, non-prime, Low LTV CRT, and High LTV CRT early-stage delinquencies improved MoM. Mid-stage delinquencies remained either flat or improved MoM across all four indices, and late-stage delinquencies improved in the prime, Low, and High LTV CRT indices,…