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 – September 2023
September remittance reports showed generally stable credit performance across securitized residential mortgage pools during the August collection period. Early-stage (30-59 days) delinquencies improved 7 basis points (bps) and 5 bps month-over-month (MoM) in KBRA’s prime and non-prime indices, respectively, but increased 2 bps and 4 bps MoM in our Low and High LTV CRT indices, respectively. Mid-stage (60-89 days) delinquency rates were stable across all four indices, varying less than 1.5 bps (+/-) relative to the prior month. Likewise, late-stage (90+ days) delinquencies fluctuated less…