NEW YORK--(BUSINESS WIRE)--On October 7, 2016, Hurricane Matthew began making its way slowly up the eastern cost of Florida on a path along the southeastern coast of the United States, making landfall in South Carolina on October 8th before moving out into the Atlantic Ocean as a tropical storm on October 9th. As of the afternoon of October 10th, the Federal Emergency Management Agency (FEMA) had placed a total of 171 counties across Florida, Georgia, South Carolina, and North Carolina under a disaster declaration.
Kroll Bond Rating Agency (KBRA) has evaluated exposure to these areas across its outstanding ratings spanning 61 prime jumbo PLS (“Prime 2.0”) transactions and 14 agency credit risk transfer transactions (“CRT”). KBRA used the counties identified by FEMA as having a disaster declaration related to Hurricane Matthew as of October 10, 2016 to identify properties in the related securitizations by matching loan-level ZIP codes to the affected counties. KBRA notes that this process for identifying exposures is more likely to indicate a ceiling to exposure rather than actual exposure to damage as effects of the storm may be localized within a given county.
Across 61 Prime 2.0 transactions, with total collateral balance outstanding of $15.22 billion, 0.3% of current collateral balance is located in the 7 Major Disaster counties while 3.0% is located in all 171 Emergency and Major Disaster declaration areas. Across 14 CRT reference pools, 0.7% of original collateral balance is located in the Major Disaster counties while 6.5% is located in all 171 Emergency and Major Disaster declaration areas. KBRA will continue to monitor information from loan servicers to determine the full extent of any damages to trust collateral or related delinquencies. A full list of estimated exposures in the Major Disaster and Emergency declaration areas by current balance for Prime 2.0 and original balance for CRT, is at the end of this report.
In the publication, KBRA provides a full list of estimated exposures in the Major Disaster and Emergency declaration areas by current balance for every KBRA rated Prime 2.0 transaction and original balance for every KBRA rated CRT transaction.
Additional detail is available in our full report.
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).