KBRA provides an update on key U.S. RMBS market and performance themes year-to-date (YTD) 2022 as well as issuance volume trends and forecasts for 2023, collateral performance trends, and surveillance outcomes. In addition, we cover the RMBS 2.0 spread environment at pricing, plus other themes to watch in 2023.

Key Takeaways

• Current and Expected Issuance: YTD 2022 is expected to close at under $102 billion, down 17% year-over-year (YoY) overall, with non-prime at approximately $45 billion (up 50% YoY), prime at $32 billion (down 59% YoY, nearly a $46 billion drop), and credit risk transfers (CRT) at $24 billion (up 69% YoY). Expectations for FY 2023 are at $61 billion overall (down 40% YoY), with non-prime at approximately $30 billion (down 30% YoY), prime at $14 billion (down 57% YoY), and CRT $18 billion (down 25% YoY). In terms of quarterly issuance, Q1 2023 is projected to reach approximately $7 billion. This is comparable to the dearth of issuance from Q2 2020 ($7.8 billion) owing to the pandemic.
• RMBS 2.0 Spreads: The spread environment for YTD 2022 issuance demonstrated unprecedented volatility across all three sectors of RMBS, reaching the highest levels since we began tracking this information in 2017.
• Recent RMBS 2.0 Performance Trends: RMBS 2.0 YTD 2022 credit performance continued to show steady credit performance across all sectors, with the overall direction of both early- and late-stage delinquencies generally trending lower month-over-month (MoM) from peak-pandemic levels.
• Surveillance Activity: As of YTD 2022, KBRA conducted surveillance reviews of 256 transactions that resulted in 6,000 affirmations, 1,157 upgrades, and no downgrades.

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Related Reports

• RMBS Credit Indices
• Under the Macroscope: U.S. RMBS Credit Sensitivity Analysis
• Non-QM Redemption Backlog Builds

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.

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