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 – October 2023
October remittance reports continue to show generally solid credit performance across securitized residential mortgage pools during the September collection period. Early- (30-59 days), mid- (60-89), and late-stage (90+) delinquencies changed less than 6 basis points (bps) (+/-) month-over-month (MoM) across KBRA’s prime, Low LTV CRT, and High LTV CRT indices (see Figures 1, 3, and 4). Meanwhile, the non-prime early-, mid-, and late-stage delinquencies were up 36, 4, and 9 bps MoM, respectively (see Figure 2), with late-stage delinquencies logging a sixth consecutive rise this month.
The data…