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 – August 2024
August remittance reports showed mixed performance in early-stage delinquencies, but solid mid- and late-stage delinquencies across KBRA’s RMBS indices (see Figures 1-4). Early-stage delinquencies fell 2 bps and 6 bps month-over-month (MoM) in the prime and non-prime indices, respectively, but increased 4 bps and 10 bps MoM in our Low and High LTV CRT indices. Meanwhile, mid- and late-stage delinquencies remained stable, moving less than 4 bps MoM across all four indices. The current MoM and YoY…