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 – December 2022
December remittance reports showed a modest month-over-month (MoM) deterioration in credit performance across securitized residential mortgage pools. Early-stage delinquency rates (30-59 days) increased between 2 and 10 basis points (bps) across all four of our indices, while mid-stage delinquencies (60-89 days) moved 1 bp-5 bps higher during the month. Late-stage delinquency rates (90+ days) across each of our four indices were essentially flat versus November, as the MoM change varied by just +/- 2 bps (see Figures 1-4). In all cases, while the level of December early-stage delinquencies…