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 data shown in this report and other index metrics can be found here.
KBRA RMBS Indices – September 2024
September remittance reports showed improvement in performance metrics for early-, mid-, and late-stage delinquencies across KBRA’s RMBS indices except for the non-prime index (see Figures 1-4). Early-stage delinquencies increased 5 basis points (bps) month-over-month (MoM) for the non-prime index, while all other indices have fallen MoM. This trend follows into the mid- and late-stage delinquencies where all indices other than non-prime have either remained stable or improved.
Meanwhile,…