NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) has observed a number of notable trends that have emerged or solidified throughout Q1 2018. In this edition of KBRA’s RMBS Trend Watch, we discuss:
- recent mortgage origination and our expectation for future RMBS 2.0 volume – the latter of which came in at $10.1B in 1Q 2018 – a post-crisis record.
- the changing landscape for loan-level due diligence, primarily in regard to the application of loan sampling.
- the increasing inclusion of agency-eligible collateral in non-agency RMBS pools and the differences to traditional QM standards, data reporting and due diligence.
- recent legislative proposals relating to the expansion of QM eligibility and clarifications to TRID.
In Q1 2018, KBRA issued pre-sale reports for eight Prime 2.0 transactions ($3.4B) which includes two expanded-prime transactions, three CRT transactions ($2.0B), and a novel transaction backed by Ginnie Mae MSRs ($650m). Links to these reports are available in the Recent Pre-Sale Publications section of the report.
KBRA also took surveillance rating actions on 653 outstanding ratings, including 87 upgrades and 566 affirmations. The rating actions spanned 16 Prime 2.0, six CRT, one Non-Prime 2.0, and one re-performing transaction.
To view the report, please click here.
About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.