KBRA’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. The link to the data shown in this report and other index metrics can be found here.
Monthly Overview
November remittance reports showed stable or improving credit performance across early- and mid-stage delinquency metrics, with mixed results in late-stage metrics (see Figures 1-5). Early-stage delinquencies improved in three of the five indices, led by an 8 basis point (bp) drop in the non-prime index. Mid-stage delinquencies remained steady, with four indices up by just 1 bp and the home equity line of credit (HELOC)/closed-end second (CES) mortgage index down by 2 bps. Late-stage metrics varied: three indices…