RMBS Credit Indices: August 2023

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 – August 2023

August remittance reports showed stable credit performance in KBRA's prime, Low LTV CRT, and High LTV CRT indices, but softer delinquency rates in our non-prime residential mortgage index during the July collection period. Prime early-stage (30-59 days) delinquencies climbed 4 basis points (bps) month-over-month (MoM), while mid- (60-89 days) and late-stage (90+ days) delinquencies remained consistent (see Figure 1). Similarly, early-, mid-, and late-stage delinquencies in KBRA’s Low and High LTV CRT indices remained unchanged, moving less than 2 bps (+/-) MoM (see Figure 3 and Figure 4). In…