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 – June 2023
June remittance reports showed mixed credit performance in early-stage (30-59 days) delinquencies but more stable performance in mid- (60-89 days) and late-stage (90+ days) delinquency rates across securitized residential mortgage pools during the May collection period. Early-stage delinquencies declined 11 basis points (bps) and 23 bps month-over-month (MoM) in KBRA’s prime and non-prime indices, respectively, but rose 3 bps and 11 bps MoM in our Low and High LTV CRT indices, respectively. Mid-stage delinquency rates were mostly steady across all four indices, up 1 bp MoM in the prime, Low LTV…