KBRA’s U.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 five major RMBS 2.0 subsectors: prime mortgages, non-prime mortgages, low loan-to-value (LTV) credit risk transfer (CRT), high LTV CRT, and home equity line of credit/closed-end second lien (HELOC/CES) pools. The link to the data shown in this report and other index metrics can be found here.
Monthly Overview
June KCI readings showed month-over-month (MoM) improvement in performance, with most delinquency stages declining across the RMBS 2.0 subsectors. Early-stage (30-59 days) delinquencies fell in all indices, with the largest MoM decline of 20 basis points (bps) observed in our HELOC/CES index, followed by a 6-bp decrease in the prime…