KBRA’s U.S. RMBS Credit Indices (KCIs) track early- (30-59 days), mid- (60-89 days), and late-stage (90+ days) delinquencies, observed modifications, prepayment speeds, and other performance metrics across five major RMBS 2.0 subsectors: prime, non-prime, low loan-to-value (LTV) credit risk transfer (CRT), high LTV CRT, and second liens, which include home equity lines of credit (HELOC) and closed-end second (CES) liens. The link to the data shown in this report and other index metrics can be found here.
Monthly Overview
September remittance reports showed generally stable month-over-month (MoM) U.S RMBS credit performance, alongside modest increases in second lien delinquency rates. Early-stage delinquency rates were broadly stable, moving 3 basis points (bps) or less across all indices except for HELOC, which increased 8 bps MoM. Mid-stage delinquencies were also stable, with the…
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