KBRA releases its RMBS Trend Watch, providing updates on key RMBS market and performance themes as of year-to-date (YTD) 2023, as well as issuance volume trends and forecasts for 2023, collateral performance trends, and rating surveillance outcomes.

Key Takeaways

• YTD 2023 Issuance Volume: While Q1 2023 issuance only came in at $13 billion, this exceeds our initial $7 billion projection made in November 2022.
• 2023 Issuance Expectation: KBRA expects Q2 2023 volume to close at approximately $16 billion, and Q3 to remain roughly the same at $17 billion across RMBS 2.0. We project Q4 to close at $19 billion, taking FY 2023 to $65 billion in aggregate issuance, compared to our previous projection of $61 billion.
• Spreads: Issuance spreads are showing marginal improvement and relative tightening to date when compared to the unprecedented volatility of 2H 2022 across all sectors.
• RMBS 2.0 Credit Performance: YTD 2023 credit performance was generally consistent across all sectors. After early-stage (30-59 days) delinquencies showed a slight uptick to 0.45% in March, they dropped to 0.29% in April, which is more in line with the previous year.
• Surveillance Activity: KBRA conducted surveillance reviews of 107 transactions as of May 15, 2023, resulting in 2,876 affirmations, 90 upgrades, and two downgrades. Downgrades were limited to certain tranches in regional bank credit-linked notes (CLN) where the classes were dependent on the bank’s issuer ratings.

Click here to view the report.

Related Publications

• 2023 RMBS Sector Outlook: New Normal on the Horizon?
• KBRA RMBS Exposure to First Republic Bank
• Distressed Bank Exposure in RMBS 2.0
• Single-Family Rentals: Headwinds Mounting
• RMBS Credit Indices

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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