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 – October 2024
Monthly remittance reports displayed modest deterioration in credit performance for early-stage delinquency metrics, while mid- and late-stage delinquencies across KBRA’s RMBS indices were relatively stable (see Figures 1-4). Early-stage delinquencies increased month-over-month (MoM) across the indices, with the non-prime index leading the pack with a 10-basis point (bp) rise over October. Alternatively, the mid-stage delinquency metrics were steadier, with none of the indices moving more than 1 bp…