KBRA Releases Research – 2024 RMBS Sector Outlook: Holding Steady With a Little Upside

KBRA releases its 2024 RMBS Sector Outlook, which provides an update on key U.S. RMBS market and performance themes as of year-to-date (YTD) 2023, as well as issuance volume trends and forecasts for 2024, collateral performance trends, and rating surveillance outcomes. In addition, we cover the RMBS 2.0 spread environment at pricing, plus other themes to watch in 2024.

Some key takeaways from the report include the following:

• Current and Expected Issuance: YTD 2023 is expected to close at just under $52 billion, down 50% year-over-year (YoY) overall, with non-prime at approximately $29 billion (down 38% YoY), prime at $11 billion (down 65% YoY), and credit risk transfers (CRT) at $8.4 billion (down 65% YoY). Expectations for full-year (FY) 2024 are at $56.5 billion overall (up 9% YoY), with non-prime at approximately $29 billion (flat YoY), prime at $13 billion (up 20% YoY), and CRT at $8 billion (down 5% YoY). In terms of quarterly issuance, Q1 2024 is projected to reach approximately $12 billion, a 12% decrease compared to Q1 2023.
• RMBS 2.0 Spreads: The spread environment in 2023 YTD continued to exhibit volatility, with levels that were generally unfavorable across all sectors of RMBS. Overall, an incremental trend of spread tightening can be observed toward the end of 2023 compared to 2022.
• Recent RMBS 2.0 Performance Trends: RMBS 2.0 YTD 2023 exhibited generally stable credit performance across all sectors. However, a rise in new delinquencies was observed in non-prime and high loan-to-value (LTV) CRT, although such increases were measured.
• Surveillance Activity: As of October 31, 2023, KBRA conducted surveillance reviews of 417 transactions that resulted in 8,584 affirmations, 1,289 upgrades, and three downgrades.

Click here to view the report.

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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