U.S. RMBS Data Brief: July 2022 GSE CRT Monthly Statements— Reference Pool DQs Slightly Better, Speeds Edge Lower, Structures Generally Stable

With the release of the latest July 2022 monthly statements for the government-sponsored enterprise (GSE) credit risk transfer (CRT) sector, highlights from DBRS Morningstar's initial observations on deal performance metrics and trends include the following:

• Month over month, pre-Coronavirus Disease (COVID-19) Structured Agency Credit Risk (STACR) reference pool total delinquencies (DQs) largely dropped, while nominal 180-day-plus loan counts/unpaid principal balances (UPBs) continued to fall for the June activity period. Connecticut Avenue Securities (CAS) reference pools mirrored the latest STACR performance over the April activity period. (The CAS activity reporting period lags STACR by one month.)

• 2019 deal-vintage reference pool DQs fell in kind with other vintage cohorts but maintained the highest total DQs across the sector, with reference pools remaining in the 4.0% to 7.0% range. The 2018 deal vintage follows, with total DQs hovering in the 2.0% to 6.0% range.

• With the July factors, prepayments steady to slightly lower based on STACR reference pools, with seasoned constant prepayment rates (CPRs) mostly in the low teens/high teens.

• Sixteen deal reference pool groups continue to fail their Delinquency Tests (DQ Tests) based on the July statements (compared with 20 for June). (Please note that CAS deals use 90-day-plus delinquencies in their respective DQ Tests, while STACR deals use 60-day-plus delinquencies. As such, the timing of any CAS Delinquency Test breaches will lag the experience exhibited in STACR deals.)

• Both fixed-severity and actual loss B-piece writedowns remained nominal. 180-day DQs continued to drop as more forbearances worked their way out of the DQ pipeline.

• Tranche-level credit enhancements (particularly seasoned actual loss deals) were stable to slightly better.