Morgan_Stanley_Fixed-US_RMBS_Strategy_Mortgage_Credit_Monitor_Delinquency_Trans...-115325869_14页_1mb

报告摘要

Morgan Stanley US RMBS Strategy Research Report (May 9, 2025)
Authors: Shikhar Agarwal, James Egan, Albert Tomy

Key Points

Market Overview
- Non-agency RMBS gross supply reached $57 billion (up 24% YoY), while Prime Jumbo issuance rose 5% YoY.
- New issue volumes in sectors like CRT Prime and Non-QM also increased, but CRT markets saw a 20% decline YoY.
Non-QM Delinquency Trends
- Increases in Delinquency: Approximately 25% of D30 loans fall to D60 each month (pre-pandemic: 15%).
- Cure Improvements: D30 cure rates improved to 35% (up from 30% in 4Q24).
- Pipeline Concerns: Despite pipeline buildup, losses are limited due to strong borrower equity cushion.
By-Sector Analysis
- Prime 2.0 (Jumbo): Deterioration rates rising, but cure improvements noted.
- CRT Markets: Spreads widened slightly, linked to macroeconomic factors.
- Re-performing Loans (RPL): Special attention to servicing tools and workout strategies.
Long-Term Outlook
- Ongoing monitoring of cure rates, prepayment speeds, and pipeline risks.
- Potential for delinquency stabilization if consumer stress is managed or credit conditions tighten.

Conclusion

The market is showing moderate improvements in loss mitigation and curing, though delinquency rates persist. Key drivers include borrower equity, macro conditions, and servicing efficiency. Continue monitoring trends for portfolio decisions.

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