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 – January 2024
January remittance reports showed steady delinquencies in KBRA’s prime index; however, delinquencies continued to increase across our non-prime, Low LTV CRT, and High LTV CRT indices during the December collection period. Early-, mid-, and late-stage delinquencies remained unchanged month-over-month (MoM) in our prime index, with all three delinquency metrics rising less than 1 basis point (bp) (see Figure 1), while early-, mid-, and late-stage delinquencies in our non-prime index climbed 9 bps, 4 bps, and 15 bps MoM, respectively (see Figure 2).
Meanwhile…