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
September KCI readings showed mixed month-over-month (MoM) credit performance metrics across delinquency stages and subsectors. Early-stage delinquencies increased across three of the five RMBS 2.0 subsectors, including a notable rise in the non-prime subsector, which climbed 22 basis points (bps) MoM. Meanwhile, mid-stage delinquencies…