U.S. RMBS Credit Indices Display Mixed Signals in Early 2026

U.S. Residential Mortgage-Backed Securities (RMBS) credit indices are presenting a varied picture of performance in early 2026, according to recent data from Kroll Bond Rating Agency (KBRA). While some segments demonstrate stability or improvement, others are showing signs of deterioration, particularly in delinquency rates. These indices track key metrics like delinquencies, modifications, and prepayment speeds across different RMBS 2.0 subsectors.

Understanding KBRA’s U.S. RMBS Credit Indices

KBRA’s U.S. RMBS Credit Indices (KCIs) monitor the health of the RMBS market by tracking performance across five key subsectors:

• Prime Mortgages
• Non-Prime Mortgages
• Low Loan-to-Value (LTV) Credit Risk Transfer (CRT)
• High LTV CRT
• Home Equity Line of Credit/Closed-Finish Second Lien (HELOC/CES) Pools

The indices categorize delinquencies into three stages: early-stage (30-59 days), mid-stage (60-89 days), and late-stage (90+ days). This granular approach provides a detailed view of emerging credit risks.

Recent Performance Trends

January 2026: Generally stable or improving performance was observed month-over-month, though changes varied across delinquency stages. Early-stage delinquency rates improved, with the non-prime index experiencing a 24-basis point (bps) drop. KBRA

December 2025: Credit performance deteriorated month-over-month, with higher delinquency levels across all subsectors and stages. Early-stage delinquency rates increased by 10 bps or more in all RMBS 2.0 subsectors, with a significant 41-bp rise in the non-prime index. KBRA

October 2025: Early-stage delinquencies remained largely unchanged month-over-month across most RMBS 2.0 subsectors, except for a 17-bp decline in the non-prime index. KBRA

September 2025: Data from September showed varied month-over-month credit performance metrics across delinquency stages and subsectors. KBRA

Key Takeaways

• The RMBS market is exhibiting a mixed performance landscape in early 2026.
• Non-prime mortgages are showing the most volatility in delinquency rates.
• Early-stage delinquency rates are a key indicator of potential future credit risk.
• KBRA’s indices provide valuable insights for investors and market professionals.

Continued monitoring of these indices will be crucial for assessing the overall health of the U.S. RMBS market and identifying emerging trends in credit performance.