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
May KCI readings showed mixed month-over-month (MoM) delinquency performance. Early-stage (30-59 days) delinquencies increased 8 basis points (bps), 5 bps, and 10 bps MoM in our prime, non-prime, and HELOC/CES indices, respectively, but declined 4 bps in both the Low LTV CRT and High LTV CRT indices. This pattern also held true for…