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 – December 2023
December remittance reports showed slightly higher delinquencies across securitized residential mortgage pools during the November collection period. In KBRA’s prime index, while mid-stage delinquencies remained constant month-over-month (MoM), early- and late-stage delinquencies rose 5 basis points (bps) and 2 bps MoM, respectively (see Figure 1). Meanwhile, all three delinquency metrics remained relatively unchanged across our Low LTV CRT and High LTV CRT indices, rising less than 3 bps MoM (see Figure 3 and Figure 4). While early- and mid-stage…