Report|13 Mar 2026

U.S. RMBS Credit Indices: February 2026

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 February showed mostly stable or improving performance month-over-month (MoM), with some variation between delinquency stages. Early-stage delinquency rates generally improved MoM, with four of the five indices declining, including a 10-basis point (bp) drop in the high LTV CRT index. Similarly, all indices posted lower or flat mid-stage…

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