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 – June 2024
June remittance reports showed a modest month-over-month (MoM) improvement in early-stage delinquencies across all four indices, while mid- and late-stage remained relatively stable, fluctuating less than 5 basis points (bps) MoM in all four indices. We note early-stage delinquencies in our Low and High LTV CRT indices have been following a downward trend since January 2024, while non-prime late-stage delinquencies have continued to move up, though at a lower rate in recent months. The MoM and…