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 – July 2024
Delinquency rates trended higher across all four of KBRA’s RMBS credit indices in July. Notably, non-prime late-stage delinquencies rose for the 15th consecutive month (see Figure 2). Meanwhile, prepayment speeds were more mixed, with CPRs falling in our prime and non-prime indices but ticking up in our Low and High LTV CRT indices. July’s index readings, as well as month-over-month (MoM) and year-over-year (YoY) comparisons, are presented in the table below.
We expect prepayment rates to rise in the…