KBRA Releases Research – KBRA’s Potential RMBS Exposure to Hurricane Dorian

NEW YORK–(BUSINESS WIRE)–Hurricane Dorian—a major weather event which at its peak was a Category 5 hurricane—is expected to remain a dangerous storm over the next several days, according to the National Hurricane Center, after it battered the Bahamas on September 1. While its path is still evolving, the hurricane is expected to bring high winds, flooding, heavy rain, and storm surges along the coastline stretching between Florida and the Carolinas.

KBRA estimates the following potential exposures to collateral backing its rated residential mortgage-backed securities (RMBS) portfolio. Given its strength and proximity to the coast, the storm’s exact path may meaningfully change the storm’s overall impact:

• Hurricane Dorian’s total exposure may be significant, with Florida Atlantic coastal counties representing roughly 2.4% out of $732 billion in collateral within KBRA’s rated RMBS portfolio alone. Another 0.12%, 0.59%, and 0.32% exposure are located in the coastal counties of Georgia, South Carolina, and North Carolina, respectively.
• Florida, the location on the U.S. mainland closest to the storm at its strongest, is regularly ranked in the top state concentrations for RMBS securitizations, averaging 5.8% by current loan balance.
• The Federal Emergency Management Agency (FEMA) issued Emergency Declarations for the states of Florida, Georgia, and South Carolina. The counties with the largest potential exposures include Broward, FL (0.61%), Miami-Dade (0.56%), and Palm Beach (0.52%), all along the Florida coastline, which may be spared most of the storm’s effects.
• KBRA notes that as with previous natural disasters, loan performance degradation and particularly short-term delinquencies, may be significant in affected areas.

To access the report, click here.

Related Publications: (available at www.kbra.com)

• KBRA’s Potential RMBS Exposure to Hurricane Dorian
• KBRA’s Potential RMBS Exposure to Hurricane Dorian – Exposure List
• Environmental, Social and Governance Risk by Sector

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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. KBRA is also 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.

Contacts

Analytical:

Patrick Gervais, Senior Director

(646) 731-2426

pgervais@kbra.com

Sharif Mahdavian, Senior Director

(646) 731-2301

smahdavian@kbra.com

Ashish Sharda, Senior Director

(646) 731-2415

asharda@kbra.com

Jack Kahan, Senior Managing Director

(646) 731-2486

jkahan@kbra.com