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
January’s KCI readings indicated that year-over-year (YoY) delinquency rates continued to rise across most subsectors and delinquency stages. KBRA’s prime, non-prime, low LTV CRT, and high LTV CRT posted higher YoY delinquency metrics across all three stages in January. Conversely, KBRA's HELOC/CES index showed a YoY improvement in mid-…