KBRA Prime RMBS Default Study: Performance in the RMBS 2.0 Era

After the global financial crisis (GFC), the U.S. residential mortgage market underwent a fundamental transformation, giving rise to what is generally referred to as RMBS 2.0. During this period, prime residential mortgage-backed securities (RMBS) was the natural first RMBS segment to reemerge, with the first post-GFC RMBS 2.0 issuance occurring in 2010. As a core segment of the private label market, prime RMBS 2.0 reflected a combination of standardized loan products, enhanced underwriting discipline, and regulatory reforms aimed at strengthening borrower repayment capacity. Prime RMBS issuance has played a central role in restoring investor confidence in securitized mortgage credit while supporting the continued flow of residential lending outside the government-sponsored enterprise (GSE) channel, commonly referred to as the private label securitization (PLS) market.

Prime RMBS 2.0 collateral is defined less by any single regulatory classification and more by a market-based view of…