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
Remittance reports showed generally weaker credit performance across securitized residential mortgage pools in December 2024. Early-stage delinquencies increased month-over-month (MoM) and year-over-year (YoY) across all five of KBRA’s U.S. RMBS Credit Indices, led by a 18-basis point (bp) MoM and 40-bp YoY climb in our non-prime index.…