KBRA Releases RMBS Trend Watch

NEW YORK--()--Kroll Bond Rating Agency (KBRA) has observed a number of notable trends throughout Q2 2018. In this edition of KBRA’s RMBS Trend Watch, we discuss:

  • Issuance Volume, Spreads: Although spreads modestly widened in Q2 2018, the quarter yielded record RMBS 2.0 issuance.
  • Performance Data: Performance has generally been benign, and as more market participants enter the Non-Prime space and loan offerings expand, prepayment speeds should not slow as much as the broader RMBS market as rates rise.
  • Infrequent, but Idiosyncratic, Losses in Prime: While post-crisis Prime transactions have had minimal liquidation losses, a few surprising idiosyncratic losses have been realized.

In Q2 2018, KBRA issued pre-sale reports for eight Prime 2.0 transactions ($4.1B) which included one expanded-prime transaction and the first 100% conforming balance investor loan transaction, one CRT transaction, a first of its kind transaction backed by Fannie Mae MSRs ($450m), and a non-prime transaction which was the largest RMBS 2.0 transaction as of Q2 2018. Links to these reports are available in the Recent Pre-Sale Publications section of the report.

KBRA took surveillance rating actions on 746 outstanding ratings, including 60 upgrades, 677 affirmations, and 9 withdrawals. The rating actions spanned 26 Prime 2.0, six Investor 1-4/SBC, three CRT, two Non-Prime 2.0, one Performing/Re-performing, and one Re-REMIC transaction.

To view the report, please click here.

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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.

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Jack Kahan, Managing Director
(646) 731-2486
jkahan@kbra.com
or
Sharif Mahdavian, Senior Director
(646) 731-2301
smahdavian@kbra.com
or
Gary Narvaez, Director
(646) 731-2478
gnarvaez@kbra.com
or
Ryon Aguirre, Associate Director
(646) 731-2382
raguirre@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Jack Kahan, Managing Director
(646) 731-2486
jkahan@kbra.com
or
Sharif Mahdavian, Senior Director
(646) 731-2301
smahdavian@kbra.com
or
Gary Narvaez, Director
(646) 731-2478
gnarvaez@kbra.com
or
Ryon Aguirre, Associate Director
(646) 731-2382
raguirre@kbra.com