Market Overview

KBRA Publishes RMBS Research: KBRA's Hurricane Florence RMBS Impact Update

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Hurricane Florence is projected to make landfall the morning of Friday,
September 14, 2018. The storm is notable not only for its intensity, but
for its expected landfall along the East Coast, where a storm of this
magnitude has been relatively rare. Large areas of North Carolina and
South Carolina (the Carolinas) are expected to experience heavy winds
and potentially more devastating rain and storm-surge flooding.

As KBRA has previously done, with Hurricanes Harvey and Irma, we are
identifying the potential exposure in KBRA's rated RMBS portfolio.
Because of the projected storm's path at this point, we are including an
overview of exposure to the Carolinas. We also include overall
collateral concentrations by county in these states as storm damage may
be concentrated in more coastal areas of the Carolinas. At this stage,
KBRA notes the following:

  • The Carolinas include 4.18% of the collateral backing KBRA's rated
    RMBS 2.0 portfolio.
  • Potential impact to coastal areas include only 0.76% of the collateral
    from properties backing KBRA's rated RMBS portfolio.
  • While collateral concentrations in KBRA's RMBS portfolio are higher in
    areas more commonly impacted by major hurricanes such as Florida
    (5.5%), we note that potential coastal exposure to Florence is
    relatively limited as a percentage of KBRA's rated portfolio.
  • Potential state exposure to Florence is speculative at this point and
    the extent of damage to inland areas is unknown, but will be a
    significant driver of overall final impact analysis.
  • The Core-Based Statistical Areas (CBSAs) covering Charleston, Myrtle
    Beach-Conway and Wilmington represent 0.34%, 0.19%, and 0.12% of total
    pool balance within KBRA's rated RMBS portfolio.

In the publication, KBRA provides a full list of estimated exposures in
the Carolinas by current balance for every KBRA rated PLS transaction
and original balance for every KBRA rated CRT transaction.

To access the report, click here.

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
designated as a designated rating organization by the Ontario Securities
Commission for issuers of asset-backed securities to file a short form
prospectus or shelf prospectus, is recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider, and
is a certified Credit Rating Agency (CRA) by the European Securities and
Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is
registered with ESMA as a CRA.

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