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 – March 2024
March remittance reports showed mixed early-stage delinquencies (higher in the Prime and Non-Prime indices but lower in the Low and High LTV CRT indices) and prepayment speeds; however, they also exhibited generally stable mid- and late-stage delinquencies, except for our non-prime late-stage delinquency rate, which has been increasing consecutively since April 2023. Current index values as well as month-over-month (MoM) and year-over-year (YoY) changes are presented in the table below.
We expect prepayment speeds to remain range-bound, owing to the lock-in…