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 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
July remittance reports exhibited generally stable month-over-month (MoM) performance. Early-stage delinquency rates moved 1 basis point (bp) or less in the prime and HELOC/CES indices. The non-prime index recorded the largest improvement, down 12 bps, while the high and low LTV CRT indices climbed 8 bps and 6 bps, respectively. Mid- and late-stage delinquencies were broadly stable, with all…
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