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 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 – February 2024
February remittance reports showed improved early-stage delinquencies, generally stable mid- and late-stage delinquencies, and slower prepayments on a month-over-month (MoM) basis across securitized residential mortgage pools during the January collection period. Early-stage delinquency rates fell 4 basis points (bps), 18 bps, 5 bps, and 3 bps MoM in KBRA’s Prime, Non-Prime, Low LTV CRT, and High LTV CRT indices, respectively. Mid-stage delinquencies remained relatively flat, changing less than 2 bps MoM across all four indices. Similarly, our late-stage…