Asset-Backed Securities Markets:
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Asset-Backed Securities Markets:
Issuance and Structure
Diana Knyazeva1
_____________________________________________________________________________________
APRIL 2025
Abstract
This paper provides statistics about the market for asset-backed securities (ABS), including
information about trends in offering, deal, and collateral characteristics. Subsequent sections
provide more detail about the activity of financial intermediaries, such as bookrunners and
sponsors, and nationally recognized statistical rating organizations (NRSROs) in these markets.
This white paper is provided in the author’s official capacity as an economist in the Commission’s Division of
Economic and Risk Analysis but does not necessarily reflect the views of the Commission, the Commissioners, or
other members of the staff. The author thanks Robert Fisher, Oliver Richard, Juan Echeverri, Lucretia Zinnen,
Lauren Moore, Charles Woodworth, John Prochilo, Catherine Moore, Brandon Hill, and Patrick Boyle for helpful
comments and suggestions.
1
I. Background
Asset-backed securities (ABS) markets are vital securities markets due to their size,2 broad
investor base, as well as their role in facilitating the origination of credit and the transfer of those
assets to market participants. ABS can reduce borrowers’ cost of capital and expand access to
credit, increase secondary market liquidity for the underlying debt, and enable more efficient
capital allocation by investors depending on their risk tolerance, investment horizons, and
portfolio composition. ABS can also carry credit, market, liquidity, currency, and reputational
risks.3 The risks and characteristics of ABS depend on the risks and characteristics of the asset
pools underlying ABS (including the risks and characteristics of individual assets in the pool and
their default correlations) and the securitization structure (such as the manner in which the
pooled assets are tranched into subordinated classes, including the number of classes, their
relative sizes, levels of credit support for senior classes, etc.).
This paper provides information about the size and structure of ABS using the Green Street
Asset-Backed Alert (AB Alert) database,4 including information about SEC-registered offerings,
offerings conducted pursuant to the exemption from registration under Securities Act Rule
144A,5 and traditional private offerings6 priced between 2014 and 2024. The analysis is
organized as follows. Section II describes the data. Section III provides an overview of ABS
issuance activity and collateral features. Section IV examines trends in the activity of
bookrunners and securitization sponsors. Section V describes rating activity by registered
NRSROs in ABS markets.
II. Data Source and Sample Data
The data are from the February 2025 vintage of AB Alert data provided to subscribers by Green
Street Advisors. The AB Alert data include the initial terms of non-agency (i.e., private-label)
As of December 31, 2024, the total amount outstanding of U.S. ABS was approximately $1.61 trillion. Bd.
Governors Fed. Reserve Sys., Fed. Reserve Statistical Rel.: Z.1 Financial Accounts of the U. S., at 106 (Table
L.127) (Fourth Quarter 2024), released Mar. 13, 2025, available at:
https://www.federalreserve.gov/releases/z1/20250313/z1.pdf.
2
See, e.g., Financial Stability Board, “Vulnerabilities Associated with Leveraged Loans and Collateralised Loan
Obligations,” available at https://www.fsb.org/2019/12/vulnerabilities-associated-with-leveraged-loans-andcollateralised-loan-obligations/, at 17. See also Guggenheim Investments, “The ABCs of Asset-Backed Securities,”
2024, available at https://www.guggenheiminvestments.com/cmspages/getfile.aspx?guid=1b930cb1-783b-4b10a6ca-4deadd881338
4
See generally, Green Street Advisors, LLC, Asset-Backed Alert: About the Databases (ABS Database), available
at: https://greenstreet.com/news/asset-backed-alert. The data sample is discussed infra in Section II.
3
5
17 CFR § 230.144A.
This analysis generally follows the methodology used in prior Commission analyses. See Asset-Backed Securities
Disclosure and Registration, Release No. 33–9638 (Sept. 4, 2014) [79 FR 57184 (Sept. 24, 2014)] at 57191. See also
Credit Risk Retention, Release No. 34–73407 (Oct. 22, 2014) [79 FR 77602 (Dec. 24, 2014)] (‘‘RR Adopting
Release’’) at 77711.
6
DIVISION OF ECONOMIC AND RISK ANALYSIS
1
residential mortgage-backed securities (“non-agency RMBS”), collateralized loan obligations
(“CLO”) and collateralized debt obligations (“CDO”), and other ABS (“other ABS”) that are: 1)
collateralized by assets of some kind; 2) have a trustee; and 3) have at least one tranche rated by
a nationally recognized statistical rating organization (“NRSRO”). The AB Alert data do not
include information about agency RMBS,7 commercial mortgage-backed securities, municipal
bonds and tax-exempt deals, deals fully retained by a sponsor or an affiliate or sold to an entity
operated by a sponsor affiliate, and commercial paper and other continuously offered securities.
The sample data include deals between January 2014 and December 2024. The sample data
exclude all deals identified in AB Alert with offering type “Outside U.S.” as well as deals with
deal type “Non-U.S. ABS/MBS.” Accordingly, where this paper provides data and statistics for
“ABS”, it refers to data and statistics across non-agency RMBS, CLOs, CDOs, and other ABS
issued pursuant to U.S. securities laws8 and sold within the U.S. Between January 2014 and
December 2024, the sample includes approximately 12,000 deals and $6.1 trillion of volume.
III. ABS Issuance: Volume and Characteristics
ABS are organized or initiated by sponsors, which are financial institutions that sell or transfer a
variety of collateral, either directly or indirectly, to issuing entities. ABS deals themselves are
large and commonly structured by pooling the underlying assets and directing cash flows to
multiple classes (also known as tranches or tiers) with different levels of seniority, credit support,
and cash flow structure. This process allows for the creation of securities that appeal to riskaverse investors and securities that attract investors with high risk tolerance. This section
documents the structure of ABS issuance, issuance types and collateral characteristics.
First, Table 1 reports the total volume of all ABS issuance in the sample data as well as the
number of deals during the sample period. ABS markets have grown significantly during the last
decade, both by USD volume and by number of deals.
Agency RMBS refers to RMBS that is issued or guaranteed by Ginnie Mae, Freddie Mac, Fannie Mae, or other
U.S. government agency or government-sponsored enterprise.
7
8
Some ABS, such as CLOs may be offered and sold under exemptions from the Securities Act. These ABS are
included in the sample insofar as they have non-missing data in AB Alert and are not categorized with offering type
“Outside U.S.” in AB Alert.
DIVISION OF ECONOMIC AND RISK ANALYSIS
2
Table 1. Volume of ABS Issuance
Year
Volume
(USD Billion)
Deal
Count
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
371.1
351.1
311.3
426.9
642.7
550.4
441.8
964.9
577.4
480.6
946.8
704
699
607
749
1,211
1,060
956
1,875
1,106
1,001
2,031
*
Source: AB Alert. This Table reports the volume of ABS across non-agency RMBS, CLOs, CDOs, and other ABS
and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.”
ABS can be offered and sold in SEC-registered offerings, pursuant to the exemption from
registration under Securities Act Rule 144A, or through traditional private offerings. The AB
Alert data provides detailed information about new ABS issues, including their offering type
(i.e., SEC-registered, 144A, private). As a caveat, registered and unregistered offerings need not
be directly comparable, and the statistics throughout this analysis are not intended to contrast
these offering types. Table 2 shows the volume of ABS issuances for each offering type as
reported in the sample data.
Table 2. Volume of ABS Issuance by Offering Type (USD Billion)*
Panel A. SEC-Registered Offerings
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Registered
124.4
98.5
92.6
109.8 104.4 101.7
78.4
102.5 118.6 108.8 118.1
Panel B. Rule 144A Offerings
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
144A
246.7 252.3 218.5 315.2 529.7 442.7 353.3 860.6 453.6 367.5 824.5
Panel C. Other Private Offerings
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Private
0.1
0.3
0.2
1.9
8.6
6.0
10.1
1.8
5.3
4.2
4.2
*
Source: AB Alert. This Table reports the volume of ABS issuance by offering type across non-agency RMBS,
CLOs, CDOs, and other ABS, and excludes deals with offering type “Outside U.S.” and deals with deal type “NonU.S. ABS/MBS.”
DIVISION OF ECONOMIC AND RISK ANALYSIS
3
Figure 1 reports the median deal size by deal type. In 2024, a median CLO/CDO deal (blue line)
was $396 million, a median non-agency RMBS deal (red line) was $347 million, and a median
other ABS deal (green line) was $480 million.
Figure 1. Median Deal Size by Deal Type (USD Million)*
550
500
450
400
350
300
250
200
2014
2015
2016
2017
U.S. CLOs/CDOs
2018
2019
2020
2021
U.S. Non-Agency RMBS
2022
2023
2024
Other U.S. ABS
*
Source: AB Alert. This Figure reports the median deal size for each of non-agency RMBS deals, CLO/CDO deals,
and other ABS deals, and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.”
ABS issuance can also be analyzed by collateral type. First, Table 3 shows that arbitrage CLOs
account for approximately $414 billion in issuance and 982 deals in 2024. The CLO market
experienced significant growth during the sample period in both volume and number of deals.9
Table 3. Volume of Arbitrage CLO Issuance*
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Volume
(USD Billion)
120.5
96.5
68.4
104.5
262.7
150.2
116.1
393.5
135.0
105.1
413.6
Deal
Count
226
186
147
187
519
315
318
866
297
259
982
*
Source: AB Alert. This Table reports the volume of issuance based on collateral type identified in AB Alert as
“CLO: corporate loans (arbitrage),” and excludes deals with offering type “Outside U.S.” and deals with deal type
9
All arbitrage CLOs in the sample data were issued in reliance on Rule 144A. As discussed above, registered and
unregistered offerings are not necessarily directly comparable, and these statistics are not intended to contrast the
importance of different offering types.
DIVISION OF ECONOMIC AND RISK ANALYSIS
4
“Non-U.S. ABS/MBS.”
Second, Table 4 shows that the market for non-agency RMBS accounted for approximately $145
billion in new issuance and 385 deals in 2024. Like other ABS markets analyzed above, nonagency RMBS issuance experienced significant growth in the last few years relative to postfinancial crisis lows. In terms of offering types, non-agency RMBS are placed primarily through
Rule 144A offerings accounting for approximately $143 billion in issuance, with no SEC
registered issuance and only $2.5 billion placed through traditional private offerings in 2024. The
above caveat about the limited comparability of registered and unregistered offerings continues
to apply.
Table 4. Non-Agency RMBS*
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Volume of Issuance (USD Billion)
144A Private
Total
37.0
57.4
38.9
65.9
90.9
114.6
101.1
186.2
133.1
72.0
142.9
0.0
0.0
0.0
0.3
0.0
1.1
2.1
1.0
1.5
1.5
2.5
37.0
57.4
38.9
66.2
90.9
115.7
103.2
187.2
134.6
73.5
145.4
Deal Count
120
151
92
123
173
239
234
403
299
217
385
*
Source: AB Alert. This Table reports the volume of issuance based on collateral type identified in AB Alert as
“Residential Mortgages,” and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.”
Table 5 presents issuance trends in the markets for ABS backed by credit card receivables,
automobile loans and leases, and student loans, which are encompassed in “other ABS” in this
paper. As a group, they represent $178.8 billion in issuance in 2024. While the automobile loan
and lease ABS market has grown steadily during the sample period, the student loan ABS market
has contracted in the last several years, and credit card ABS issuance remained relatively stable
through the sample period. In terms of offering type, in 2024 approximately 60% of auto loan
ABS are SEC-registered offerings, with the remainder being issued under Rule 144A. Similarly,
approximately two thirds of credit card ABS were issued as SEC-registered offerings in 2024.
By contrast, all student loan ABS deals in the sample were issued as Rule 144A offerings.
Traditional private offerings have been rare in these markets during the sample period. The
above caveat regarding the limited comparability of registered and unregistered offering types
applies in the non-agency RMBS context as well.
DIVISION OF ECONOMIC AND RISK ANALYSIS
5
Table 5. ABS Issuance by Consumer Loan Type (USD Billion)*
Automobile
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Registered
62.6
62.0
56.3
56.4
65.4
70.2
66.4
80.7
71.9
80.0
88.6
144A
19.7
22.4
23.5
34.4
33.3
36.0
28.5
41.4
28.8
53.7
60.1
Private
0.0
0.0
0.0
0.6
5.1
2.3
6.0
0.0
0.0
0.0
0.0
Credit Cards
Total
82.3
84.4
79.8
91.4
103.8
108.5
100.9
122.0
100.7
133.7
148.7
Registered
43.1
24.0
26.7
42.3
27.7
17.6
2.0
11.5
24.8
17.1
13.0
144A
2.2
3.4
7.8
5.1
8.5
7.8
1.8
6.3
7.8
7.7
7.5
Private
0.0
0.0
0.0
0.0
0.5
0.0
0.7
0.0
0.0
0.0
0.0
Student Loans
Total
45.2
27.4
34.5
47.4
36.6
25.3
4.5
17.8
32.6
24.8
20.4
Registered 144A
5.0
10.6
2.8
11.3
0.0
15.0
0.0
16.2
0.0
18.9
0.0
14.4
0.0
20.3
0.0
32.3
0.0
7.6
0.0
8.2
0.0
9.7
Private
0.0
0.3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
Total
15.6
14.3
15.0
16.2
18.9
14.4
20.3
32.3
7.6
8.2
9.7
Source: AB Alert. This Table reports the volume of issuance in “other ABS” backed by credit card receivables, automobile loans and leases, and student loans, and
excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.” Automobile ABS include ABS backed by automobile loans and leases,
both prime and subprime, automobile and auto-fleet leases, motorcycle loans, and truck loans.
*
DIVISION OF ECONOMIC AND RISK ANALYSIS
6
The complexity of a given deal is influenced by a number of factors, such as the opacity and risk
characteristics of the collateral pool as well as the structure of the deal itself. ABS deals are
commonly split up into multiple classes with different levels of seniority, credit support, and
corresponding risk and return profiles. While a high number of classes per deal can contribute to
deal opacity, it can also allow issuers to more efficiently tailor credit and term risks of the
securities to align with the risk appetites of different investor groups. Table 6 reports the
distribution in the number of classes per deal for all ABS issuance as well as for different
issuance types. A median deal in 2024 had 7 classes, but there is considerable heterogeneity in
the measure, with a quarter of ABS deals having 5 or fewer classes and a quarter of all ABS
deals having 8 or more classes.
Table 6. Deal Structure: Number of Classes per Deal*
Panel A. All ABS Issuance
25th
Year
%-ile Median
2019
3
6
2020
3
5
2021
4
6
2022
4
6
2023
4
6
2024
5
7
Year
2019
2020
2021
2022
2023
2024
75th
%-ile
8
7
8
8
7
8
Panel B. Number of Classes per Deal by Type
U.S. Non-Agency
U.S. CLOs/CDOs
RMBS
Other U.S. ABS
25th
75th
25th
75th 25th
75th
%-ile Median %-ile %-ile Median %-ile %-ile Median %-ile
6
7
8
4
6
9
2
3
5
4
7
8
4
6
9
2
3
5
5
7
8
5
7
10
2
3
5
7
7
8
5
6
8
2
3
5
6
7
8
4
6
8
3
4
5
6
8
9
5
7
9
2
4
5
*Source: AB Alert. The sample data in this table is from AB Alert’s tranche details file, which has limited data
availability prior to 2019. The sample period for this analysis is, therefore, shorter than for other statistics. This
Table reports the deal structure across non-agency RMBS, CLOs, CDOs, and other ABS and excludes deals with
offering type “Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.”
DIVISION OF ECONOMIC AND RISK ANALYSIS
7
Risk retention requirements went into effect in December 201510 and can be satisfied in one of
three ways. In a vertical risk retention, the sponsor retains a single vertical security or an interest
in each ABS class in the issuing entity that constitutes the same proportion of each such class. In
a horizontal risk retention, the issuer retains the horizontal residual interest in a single or multiple
first-loss classes in the issuing entity in a way that amounts to, individually or in aggregate, at
least 5% of the fair value of all ABS interests in the issuing entity. Alternatively, issuers may
retain some combination of eligible vertical and horizontal residual interests, which when
combined represent at least 5% of the issue11 (“L-shape” retention). Figure 2 shows that the
horizontal slice was retained in the majority (by volume) of ABS deals with available risk
retention information in the sample data.
Figure 2. Risk Retention by Percentage of Issuance Volume (%)*
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2019
2020
2021
Horizontal
2022
L-Shape
2023
2024
Vertical
*
Source: AB Alert. This figure shows issuance volume percentage by type of risk retention reported by AB Alert
across non-agency RMBS, CLOs, CDOs, and other ABS and excludes deals with missing risk retention information,
deals with offering type “Outside U.S.,” and deals with deal type “Non-U.S. ABS/MBS.” The length of the time
shown is limited due to data availability.
IV. Market Participants: Bookrunners and Sponsors
Many parties may be involved in the securitization process. The originator – which can be the
sponsor or a third-party originator (each of which could also be described as a seller) – is the
entity that creates the financial assets that collateralize the ABS. The issuing entity is the trust or
other entity that owns or holds the financial assets and in whose name the ABS is issued. The
sponsor is the person who organizes and initiates a securitization transaction by selling or
transferring assets directly or indirectly to the issuing entity. The sponsor would generally be the
CLO manager for a CLO deal, and the sponsor could also include a parent company or be the
See RR Adopting Release, supra note 6. Compliance with the risk retention rule with respect to asset-backed
securities collateralized by residential mortgages was required beginning December 24, 2015 and compliance with
the rule with regard to all other classes of asset-backed securities was required beginning December 24, 2016.
10
11
Id.
DIVISION OF ECONOMIC AND RISK ANALYSIS
8
same entity as the originator for non-CLO deals. Bookrunners are generally banking and
nonbanking entities that structure, underwrite, and place deals. This section focuses on the
activity of bookrunners and sponsors due to their central role in ABS markets.
ABS deals in the sample data have between 1 and 11 bookrunners, and each bookrunner receives
a certain allocated amount of dollar bookrunner credit towards league tables: for deals with a
single bookrunner, that bookrunner’s credit is the entire deal amount; for deals with multiple
bookrunners, each bookrunner is allocated bookrunner credit depending on their role in the deal.
Figure 3 illustrates a gradual rise in the share of deals with 4 or more bookrunners by issuance
volume, while Table 7 reports the percent of issuance volume and of the number of transactions
with one or more bookrunners receiving bookrunner credit for a particular deal. The median
ABS deal in 2024 had one bookrunner, although approximately 43% of deals were placed by 2
or more bookrunners. This may reflect the value of bookrunner reputation for successful
placements, investor risk appetite for ABS, and the pooling of collateral underlying deals.
Table 7. Bookrunners per Deal*
1
2
3
4
5 or more
#
Year
%
#
%
#
%
#
%
#
%
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
53%
49%
38%
43%
54%
43%
47%
59%
40%
36%
57%
439
419
298
388
741
564
574
1,281
552
465
1,307
18%
19%
19%
19%
17%
19%
16%
13%
19%
16%
9%
134
128
130
153
213
203
162
257
222
213
236
23%
23%
28%
20%
17%
20%
12%
9%
17%
14%
11%
102
114
119
120
152
160
89
136
150
125
201
6%
8%
13%
15%
9%
13%
17%
11%
16%
20%
14%
24
33
50
74
79
88
90
110
116
109
172
0%
1%
2%
3%
3%
5%
8%
8%
8%
13%
9%
2
2
9
12
22
39
37
79
59
87
115
*
Source: AB Alert. This analysis is based on AB Alert underwriter data and excludes all data with missing
underwriter roles, or underwriter roles other than bookrunner and lead bookrunner. This Table reports the number of
bookrunners per deal across non-agency RMBS, CLOs, CDOs, and other ABS and excludes deals with offering type
“Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.”
DIVISION OF ECONOMIC AND RISK ANALYSIS
9
Figure 3. Percentage of Deals with Certain Number of Bookrunners (%)*
100%
80%
60%
40%
20%
0%
2014
2015
1 book runner
2016
2017
2 book runners
2018
2019
3 book runners
2020
2021
4 book runners
2022
2023
2024
5+ book runners
*
Source: AB Alert. This analysis is based on AB Alert underwriter data and excludes all data with missing
underwriter roles, or underwriter roles other than bookrunner and lead bookrunner. This Figure reports the
percentage of deals with 1, 2, 3, 4, or 5+ bookrunners across non-agency RMBS, CLOs, CDOs, and other ABS and
excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.”
A high degree of market concentration can reflect bookrunner reputation, ability to screen high
quality ABS deals, and/or market power. Table 8 reports the market share of the top bookrunners
by deal volume and the total number of bookrunners during the sample data period, and Figure 4
illustrates these trends by collateral type. First, the number of bookrunners active in ABS
markets has risen from 50 in 2014 to 74 in 2024. The top 5 bookrunners accounted for
approximately 44% of all ABS issuance by volume in 2024, and the top 10 bookrunners
accounted for 68% in 2024 – figures that have declined consistently through the sample period.
Table 8. Market Share of Top Bookrunners and the Number of Bookrunners *
Year
Top 5
Top 10
Number
2014
55%
82%
50
2015
55%
82%
49
2016
51%
78%
49
2017
51%
76%
47
2018
50%
77%
56
2019
49%
75%
55
2020
47%
71%
50
2021
47%
75%
57
2022
45%
71%
68
2023
44%
67%
60
2024
44%
68%
74
*
Source: AB Alert. This analysis is based on AB Alert underwriter data and excludes all data with missing
underwriter roles, or underwriter roles other than bookrunner and lead bookrunner. Market Shares are based on
bookrunner credit information in AB Alert. This Table reports the market share of top bookrunners and the number
DIVISION OF ECONOMIC AND RISK ANALYSIS
10
of bookrunners across non-agency RMBS, CLOs, CDOs, and other ABS and excludes deals with offering type
“Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.”
Figure 4. Market Structure by Collateral Type*
Market Share of Top 5 Bookrunners
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Number of Bookrunners
40
35
30
25
20
15
10
5
0
Arbitrage CLOs
Non-Agency RMBS
Consumer Loans
Arbitrage CLOs
Non-Agency RMBS
Consumer Loans
*
Source: AB Alert. This analysis is based on AB Alert underwriter data and excludes all data with missing
underwriter roles, or underwriter roles other than bookrunner and lead bookrunner. This analysis also excludes deals
with offering type “Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.” Arbitrage CLOs are identified
based on collateral type “CLO: corporate loans (arbitrage).” Non-Agency RMBS are identified based on collateral
type “Residential Mortgages.” Consumer loans include ABS backed by (i) credit card receivables, (ii) student loans,
and (iii) automobile loans and leases, both prime and subprime, automobile and auto-fleet leases, motorcycle loans,
and truck loans.
Another important group of market participants are sponsors. Using historical sponsor
information in the sample data, Table 9 computes market shares of top 5 and top 10 sponsors by
deal volume as well as reports the number of entities that have sponsored at least one deal. Top
10 sponsors accounted for only 17% of all issuances – a figure that has declined steadily during
the sample period. This trend coincided with a steady rise in the number of sponsors, from 284
sponsors in 2014 to 460 sponsors in 2024.
Figure 5 shows the distribution in the activity of sponsors and bookrunners in the sample data.
The median participant in 2024 sponsored only 2 deals and the most prolific sponsored 46 deals.
On the bookrunner side of the market, a median participant in 2024 received credit on 10 deals
and the most prolific bookrunner received credit for 427 deals. In combination with Table 8 and
Table 9, this suggests that ABS markets have significantly more concentration in activity among
bookrunners than among sponsors.
DIVISION OF ECONOMIC AND RISK ANALYSIS
11
Table 9. Market Share of Top Sponsors and the Number of Sponsors*
Year
Top 5 Top 10 Number of Sponsors
2014
18%
26%
284
2015
15%
25%
284
2016
15%
25%
267
2017
16%
26%
294
2018
12%
20%
375
2019
12%
21%
388
2020
15%
24%
342
2021
10%
16%
453
2022
10%
18%
380
2023
11%
18%
370
2024
10%
17%
460
*
Source: AB Alert. This Table reports the market share of top sponsors and the number of sponsors across nonagency RMBS, CLOs, CDOs, and other ABS and excludes deals with offering type “Outside U.S.” and deals with
deal type “Non-U.S. ABS/MBS.” Market shares are based on sponsor credit and deal volume information in AB
Alert data.
Figure 5. The Number of Deals per Participant: 2024*
Sponsors
Bookrunners
*
Source: AB Alert. This analysis is based on AB Alert sponsor data for non-agency RMBS, CLOs, CDOs, and other
ABS and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S. ABS/MBS.”
V. Rating Activity
Accurate information about the credit risk of various debt issuances can reduce adverse selection,
thus facilitating capital formation and lowering the cost of capital for issuers. NRSROs have
incentives to issue ratings that inform investors, facilitate successful placement of debt securities,
and build a reputation for robust analysis with investors. At the same time, when NRSROs are
hired by issuers to rate deals, NRSROs may have an incentive to issue optimistic ratings to win
business. These competing incentives can be magnified in ABS compared to traditional fixed
income products because the complexity and opacity of ABS deals make their credit risk
potentially more difficult to assess and price. This analysis documents recent trends in NRSRO
DIVISION OF ECONOMIC AND RISK ANALYSIS
12
ratings of ABS deals and their classes, including the role of newer NRSROs and the
characteristics of rated ABS classes.
Table 10 reports the volume of all U.S. deals rated by each NRSRO between 2014 and 2024.
Figure 6 shows the dollar volume of all new U.S. issuance rated by each NRSRO during the
same period. The total volume reported in Table 10 represents the total volume of sample ABS
issuance. Importantly, every issue can be rated by multiple NRSROs; therefore, the sum of the
counts of rated deals by each agency and the sum of all new issuance volume rated by each
agency exceeds the total sample of ABS issuance volume. Relatively larger NRSROs, like
Moody’s, S&P, and Fitch, have significant market share, rating approximately 44%, 47%, and
47% respectively of all rated sample ABS by dollar volume in 2024.
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Table 10. All Rated Deals by NRSRO by Volume (USD Billion)*
DBRS
12
Moody's S&P Fitch Morningstar
Morningstar KBRA
246.2
232.5
199.2
264.3
387.3
286.8
177.8
498.4
293.9
214.5
420.1
224.8
171.2
157.8
213.9
336.0
292.1
264.8
446.7
252.5
236.6
442.1
183.3
182.6
163.8
240.5
366.8
267.1
173.8
246.2
246.3
251.0
448.5
6.8
11.9
10.5
24.2
40.0
76.0
0.0
0.0
0.0
0.0
0.0
43.7
69.3
53.4
82.2
87.1
57.1
93.9
172.3
103.4
69.5
110.8
24.0
28.5
42.2
58.9
79.2
92.0
66.1
168.8
136.1
86.5
138.6
Total
Volume
371.1
351.1
311.3
426.9
642.7
550.4
441.8
964.9
577.4
480.6
946.8
*
Source: AB Alert. This Table reports volume across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
Importantly, the relative volume of deals rated by different NRSROs varies significantly across
different types of deals. For example, arbitrage CLOs are rated almost exclusively by Moody’s,
S&P, and Fitch: in 2024, Kroll and DBRS Morningstar accounted for less than 1% of rated
arbitrage CLO issuance volume combined. By contrast, in the non-agency RMBS market, Kroll
and DBRS Morningstar rated approximately 44% of all U.S. rated volume each in 2024, with
Moody’s, S&P, and Fitch accounting for approximately 19%, 18%, and 51% of rated volume
respectively. This illustrates the segmentation of rating activity and market structure in U.S.
issuance, and some of the analysis below disaggregates trends by issuance type.13
DBRS was acquired by Morningstar in 2019 and the registered NRSRO remains DBRS, Inc., with the combined
NRSRO being renamed “DBRS Morningstar.”
12
SEC Office of Credit Ratings staff, Staff Report on Nationally Recognized Statistical Rating Organizations (Jan.
2025), available at: https://www.sec.gov/files/jan-2025-ocr-staff-report.pdf.
13
DIVISION OF ECONOMIC AND RISK ANALYSIS
13
Figure 6. Rated Volume by NRSRO (USD Billion)*
600
500
400
300
200
100
0
2014
2015
Moody's
2016
2017
S&P
2018
Fitch
2019
2020
Morningstar
2021
2022
2023
DBRS Morningstar
2024
KBRA
*
Source: AB Alert. This Figure reports volume across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
Figure 7. Number of Ratings per Deal by Volume (%): 2024*
All Sample ABS
U.S. Non-Agency RMBS
3 ratings
1%
1 rating
37%
2 ratings
62%
3
ratings
2%
2
ratings
72%
U.S. CLOs/CDOs
Other ABS
3 ratings
3%
2 ratings
46%
1 rating
26%
1 rating
16%
1 rating
54%
2 ratings
81%
*
Source: AB Alert. This Table reports sample data across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
DIVISION OF ECONOMIC AND RISK ANALYSIS
14
Multiple NRSRO ratings can reduce information asymmetries between sellers, sponsors,
bookrunners, and investors about a particular issue. To quantify the prevalence of multiple
ratings per issue, Figure 7 shows the volume of U.S. issuance with one or more ratings by deal
type in 2024. Most such deals have between one and two NRSRO ratings, with only 1% of deals
by volume having 3 NRSRO ratings. There is significant variation in rating activity across deal
types: while only 46% of U.S. CLO/CDO deals have 2 ratings, 74% of non-agency RMBS deals
and 84% of other U.S. ABS deals by volume have multiple ratings.
ABS deals can be rated by both larger NRSROs (Moody’s, S&P, and Fitch) and smaller
NRSROs (DBRS Morningstar, KBRA, DBRS). Table 11 reports the prevalence of ratings per
deal from smaller NRSROs. Panel A shows that, in 2024, out of $946.8 billion of all sample
ABS deals, $710 billion of issuance did not carry ratings from smaller NRSROs. Panel B shows
that, focusing on the subsample of non-agency RMBS market in 2024, only approximately $22
billion of new deal volume in 2024 did not have a rating from a smaller NRSRO. In untabulated
results, approximately 98% of U.S. CLOs/CDOs and approximately 68% of other U.S. private
and public ABS by issuance volume did not carry a single rating from a newer NRSRO.
Table 11. Number of Ratings per Deal by Smaller NRSROs (USD Billion)*
Panel A. All Sample ABS
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
0 ratings
Volume Count
306.3
510
252.6
433
221.2
365
284.8
440
456.5
806
339.9
603
291.8
596
644.0
1,238
350.0
605
334.3
613
710.9
1,459
1 rating
Volume Count
55.2
172
87.6
240
74.1
203
120.1
266
166.3
365
196.1
421
139.9
337
300.7
585
215.3
471
136.7
362
222.4
539
DIVISION OF ECONOMIC AND RISK ANALYSIS
2 ratings
Volume Count
9.6
22
10.5
25
16.1
39
20.9
39
20.0
40
14.1
35
10.0
23
20.2
52
12.2
30
9.6
26
13.5
33
15
Year
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
Panel B. Non-Agency RMBS
0 ratings
1 rating
2 ratings
Volume Count Volume Count
Volume Count
7.9
24
20.4
78
8.7
18
6.2
20
42.7
112
8.1
18
9.7
28
22.7
49
6.5
15
7.6
24
49.5
84
8.6
14
11.5
35
67.6
117
11.9
21
12.9
45
98.4
181
4.1
12
25.3
72
73.6
155
4.3
7
46.8
124
135.1
267
5.3
12
15.6
49
115.6
241
3.3
9
12.2
47
59.8
165
1.6
5
22.4
83
117.3
288
5.7
14
*
Source: AB Alert. This Table reports sample data across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
For 2024 U.S. sample ABS deals with two NRSRO ratings, the most prevalent rating agency
combinations by count and volume were Moody’s and Fitch (434 deals, 22% of rated volume),
S&P and Fitch (134 deals, 10% of rated volume), and S&P and Moody’s (130 deals, 9% of rated
volume), Fitch and KBRA (80 deals, 3% of rated volume), and Fitch and DBRS Morningstar (71
deals, 3% of rated volume). In the non-agency RMBS market, the most common NRSRO
combinations by count and volume were Fitch and KBRA (67 deals, 18% of rated volume), Fitch
and DBRS Morningstar (65 deals, 19% of rated volume), S&P and KBRA (35 deals, 13% of
rated volume), Moody’s and KBRA (28 deals, 7% of rated volume) and Moody’s and DBRS
Morningstar (27 deals, 10% of rated volume).
While ABS deals commonly have many classes, NRSROs are not always hired to rate all classes
in each deal. For example, classes that are retained or placed privately may not require a rating
to place. Issuers may also choose not to pay for NRSRO ratings of some classes if such ratings
are likely to be more pessimistic than those of other classes or those obtained from other
NRSROs on these classes. Table 12 quantifies the average percent of the dollar volume of
classes that were rated by each NRSRO and documents significant heterogeneity in the measure
across NRSROs. Table 13 reports the average percentage of class volume given the highest
credit rating by each NRSRO. These statistics do not account for the selection of deals for which
different NRSROs are hired.
DIVISION OF ECONOMIC AND RISK ANALYSIS
16
Table 12. Average Percent of Class Volume Rated by a Given NRSRO *
DBRS
Year Moody's
S&P
Fitch Morningstar Morningstar KBRA
2019
79%
83%
66%
82%
84%
86%
2020
72%
88%
73%
NA
88%
90%
2021
81%
85%
75%
NA
90%
91%
2022
72%
81%
65%
NA
91%
92%
2023
67%
75%
65%
NA
88%
90%
2024
67%
82%
63%
NA
84%
95%
*
Source: AB Alert. This Table reports sample data across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
Table 13. Percent of Class Volume with the Highest Rating Awarded by a Given NRSRO*
Panel A. All Sample ABS
Year
2019
2020
2021
2022
2023
2024
Moody's
75%
76%
72%
73%
76%
76%
S&P
73%
71%
69%
73%
75%
74%
Fitch
77%
77%
77%
75%
74%
63%
DBRS
Morningstar
78%
76%
76%
72%
73%
77%
Morningstar
75%
NA
NA
NA
NA
NA
KBRA
74%
75%
73%
73%
72%
75%
Panel B. Non-Agency RMBS
Year
2019
2020
2021
2022
2023
2024
Moody's
83%
70%
75%
69%
81%
84%
S&P Fitch Morningstar
84% 93%
74%
77% 81%
NA
76% 84%
NA
70% 78%
NA
64% 77%
NA
69% 78%
NA
DBRS
Morningstar KBRA
78%
82%
75%
80%
75%
81%
73%
74%
75%
76%
79%
78%
*
Source: AB Alert. This Table reports sample data across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
Subordination levels capture the maximum amount of principal that the underlying pool can lose
without resulting in losses to a given security. Subordination levels, thus, reflect the amount of
credit enhancement and, all else equal, higher subordination levels result in greater reduction in
credit risk of the resulting securities. Table 14 reports the minimum subordination levels of
classes with the highest credit rating awarded by different NRSROs.14 In 2024, ABS classes
awarded the highest rating by registered NRSROs had an average of between 27.3% and 34.1%
For the purposes of this analysis, the highest credit rating includes the highest rating in both the long-term and the
short-term credit rating scales for each NRSRO.
14
DIVISION OF ECONOMIC AND RISK ANALYSIS
17
in subordination. In the non-agency RMBS market, deals with the highest credit ratings had on
average minimum subordination levels of between 16.7% and 32.7%
Table 14. Minimum Subordination of Classes Rated AAA by a Given NRSRO (%)*
Panel A. All Sample ABS
Year
2019
2020
2021
2022
2023
2024
Year
2019
2020
2021
2022
2023
2024
Moody's
27.6
29.6
28.0
30.7
29.9
31.2
S&P
27.0
29.3
27.8
30.4
32.4
34.1
Fitch
26.0
24.7
24.3
25.0
23.9
27.8
Morningstar
30.2
NA
NA
NA
NA
NA
DBRS
Morningstar
27.1
29.1
28.2
34.0
34.6
27.3
KBRA
30.2
29.7
30.3
31.8
31.7
29.0
Panel B. Non-Agency RMBS (%)
DBRS
Moody's S&P Fitch Morningstar Morningstar KBRA
25.5
29.1 20.6
29.4
23.4
19.3
31.8
26.8 20.4
NA
27.8
22.0
26.0
26.3 17.4
NA
27.3
20.6
35.0
33.2 24.0
NA
32.0
27.8
47.9
39.8 25.4
NA
32.6
25.7
16.7
32.7 23.5
NA
23.5
22.7
*
Source: AB Alert. This Table reports sample data across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert.
Finally, Table 15 reports trends in rating disagreement.15 Disagreement percentage is calculated
as the percentage of classes with multiple NRSRO ratings, for which the difference between the
highest and the lowest rating is nonzero. This analysis yields two main insights. First, when
considering all U.S. deals, there is a high level of agreement in NRSRO ratings. Of classes
carrying multiple NRSRO ratings, between 25.9% and 34.8% of classes had different numerical
ratings during the sample period. Because this measure requires multiple numerical ratings per
class, it may underestimate the amount of disagreement among NRSROs if certain NRSROs are
less likely to be hired because they issue less favorable ratings on some of the lower classes in
Different NRSROs use different letter rating scales, therefore, for numerical comparability, letter grade ratings by
each NRSRO are converted into a numerical format. For example, S&P’s highest credit rating for long-term debt is
“AAA,” whereas Moody’s highest credit rating for such debt is “Aaa.” See generally Mary Van Keuren and Amelia
Buckley, What Are Standard & Poor’s (S&P) Ratings (Nov. 21, 2022), available at:
https://www.bankrate.com/insurance/s-and-p/; Moody’s, Rating Symbols and Definitions (Mar. 24, 2025) available
at: https://ratings.moodys.com/api/rmc-documents/53954. When converted into a numerical scale, a class with two
ratings (“AAA” and “Aaa”) would have the numerical disagreement measure of 0, as would a class with two ratings
of “AA” and “Aa2.” However, a class with a rating of “AAA” by one NRSRO and “AA+” by another NRSRO
would have the numerical disagreement measure of 1.
15
DIVISION OF ECONOMIC AND RISK ANALYSIS
18
the capital stack or on entire deals. The average magnitude of disagreement is between 1.4 and
1.7 notches – a figure that has remained relatively stable during the sample period. Second, there
is far less disagreement in ratings of CLOs and CDOs than in ratings of non-agency RMBS
deals. This result is not driven by a reduced propensity of ABS and CLO/CDO issuers to hire
multiple NRSROs to rate the deals because the disagreement measure is conditional on a class
having multiple ratings. Instead, this may stem from different levels of information asymmetries
and the role of competition among NRSROs across different markets.
Table 15. Disagreement*
Panel A. Disagreement: All U.S. Deals
Disagreement Disagreement
Year
(%)
(Magnitude)
2019
25.9
1.7
2020
26.3
1.4
2021
34.3
1.4
2022
34.8
1.6
2023
29.0
1.4
2024
31.8
1.4
Year
2019
2020
2021
2022
2023
2024
Panel B. Disagreement by Deal Type
CLO/CDO
Non-Agency RMBS
Other ABS
%
Magnitude
%
Magnitude
%
Magnitude
2.7
2.1
42.4
1.8
21.4
1.5
0.5
2.0
39.0
1.5
21.4
1.4
0.3
1.0
45.2
1.4
28.2
1.5
3.3
2.3
49.2
1.5
23.6
1.7
1.6
1.0
45.4
1.4
20.4
1.5
2.9
1.9
44.4
1.4
22.3
1.5
*
Source: AB Alert. This Table reports sample data across non-agency RMBS, CLOs, CDOs, and other ABS that are
rated by NRSROs and excludes deals with offering type “Outside U.S.” and deals with deal type “Non-U.S.
ABS/MBS.” Rated deals are identified based on the “rated” flag in AB Alert. Magnitude is the average difference
between the highest and lowest rating for a given class (after converting rating scales of different NRSROs into
numerical measures; see note 9).
DIVISION OF ECONOMIC AND RISK ANALYSIS
19
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