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 – May 2023
May remittance reports showed mostly stable credit performance across securitized residential mortgage pools during the April collection period. In KBRA’s prime and non-prime indices, early-stage (30-59 days) delinquencies (DQs) climbed 15 basis points (bps) and 29 bps month-over-month (MoM), respectively, while mid-stage (60-89 days) DQs remained unchanged. Late-stage (90+ days) DQs held consistent in our prime index but increased 8 bps MoM in our non-prime index (see Figure 1 and Figure 2). Meanwhile, performance measures in our Low and High CRT LTV indices exhibited modest improvements with…