KBRA Releases Research – RMBS Trend Watch: Resilient Market Despite Higher Rates
2024年7月26日 - 2:06AM
ビジネスワイヤ(英語)
KBRA provides an update on key RMBS market and performance
themes through 1H 2024, including issuance volume trends and
forecasts for the remainder of the year, collateral performance
trends, and rating surveillance activity.
Key Takeaways
- Year-to-Date (YTD) 2024 Issuance Volume: Despite the residual
high interest rate environment, the RMBS 2.0 market has continued
its growth trend. Q1 2024 closed at nearly $24 billion, surpassing
KBRA’s expectations from earlier this year by $4 billion. It was
followed with similar issuance in Q2, which closed at over $24
billion.
- 2024 Issuance Expectations: KBRA expects Q3 2024 to reach $22
billion (up 80% compared to Q3 2023), given the consistently strong
quarterly issuance YTD 2024. We expect full-year (FY) 2024 issuance
to be approximately $94 billion (up 71% from 2023), representing
the third-highest issuance year since the global financial crisis
(GFC), behind 2021 and 2022.
- Spreads: Issuance spreads continued an overall tightening trend
across all sectors, improving further in Q2 2024.
- RMBS 2.0 Credit Performance: RMBS 2.0 credit performance as of
YTD 2024 has continued to show generally consistent outcomes for
the prime sector; non-prime late-stage delinquencies have continued
to move up, although at a lower rate in recent months. Early-stage
delinquencies in credit risk transfer (CRT) indices have followed a
downward trend throughout 2024. With mortgage rates trending down
since May 2024, we expect prepayment rates to continue to increase,
although modestly, assuming mortgage rate directionality is flat to
down from current levels.
- Surveillance Activity: This year, KBRA has conducted
surveillance reviews of 294 transactions as of June 30 and we have
identified 5,431 affirmations, 507 upgrades, and no downgrades.
Although KBRA has observed some credit deterioration, specifically
in the non-prime sector, we continue to expect relative rating
stability given the strength of origination practices, meaningful
accumulated home equity, and generally low and fixed mortgage rates
within KBRA’s existing universe.
Click here to view the report.
Related Publications
- GSEs Release Historical VantageScore 4.0 Data
- FHFA Closed-End Seconds: Effect on PLS?
- RMBS Credit Indices
- FHFA’s Credit Score Proposal and Its Impacts on RMBS
- 2024 RMBS Sector Outlook: Holding Steady With a Little
Upside
About KBRA
KBRA is a full-service credit rating agency registered in the
U.S., the EU, and the UK, and is designated to provide structured
finance ratings in Canada. KBRA’s ratings can be used by investors
for regulatory capital purposes in multiple jurisdictions.
Doc ID: 1005239
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Armine Karajyan, Senior Director, RMBS +1 646-731-1210
armine.karajyan@kbra.com
Jack Kahan, Senior Managing Director, Head of Global RMBS +1
646-731-2486 jack.kahan@kbra.com
Eric Thompson, SMD, Global Head of Structured Finance Ratings +1
646-731-2355 eric.thompson@kbra.com
Media Contact
Adam Tempkin, Director of Communications +1 646-731-1347
adam.tempkin@kbra.com
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daniel.stallone@kbra.com