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, 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
KCI readings in December showed credit performance deterioration month-over-month (MoM), with higher delinquency levels in each subsector and across all delinquency stages. Early-stage delinquency rates increased 10 basis points (bps) or more MoM in all RMBS 2.0 subsectors, including a notable 41-bp rise in the non-prime index. Markedly, the prime and…