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 March displayed mixed performance month-over-month (MoM). Early-stage delinquency rates increased across all indices, including an 18-basis point (bp) increase in the non-prime index. In contrast, mid- and late-stage delinquencies were generally stable, with most movements within ±3 bps MoM, except for the non-prime index, which increased 6…
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