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 – March 2023
March remittance reports showed generally consistent credit performance across securitized residential mortgage pools during the February collection period, detailing a notable increase in early-stage (30-59 days) delinquencies (DQ) and prepayment speeds in our prime and non-prime indices. Early-stage DQs were up 13 basis points (bps), 24 bps, and 5 bps MoM in KBRA’s prime, non-prime, and Low LTV CRT indices, respectively, but remained unchanged in our High LTV CRT index. Meanwhile, mid- (60-89 days) and late-stage (90+ days) DQs within our non-prime index increased 5 bps and 8 bps MoM,…