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 – February 2023
February remittance reports showed stable credit performance across securitized residential mortgage pools during the January collection period. Early-stage (30-59 days) delinquency rates were unchanged month-over-month (MoM) in KBRA’s prime and non-prime indices, while our Low and High LTV CRT indices posted their first decline since October 2022, with early-stage delinquencies falling 5 bps MoM in both indices. Meanwhile, mid- (60-89 days) and late-stage (90+ days) delinquency rates were stable across all four indices, moving just 1 bp up or down relative to our January 2023 index reading…