KBRA Releases Research – Coronavirus (COVID-19): RMBS Forbearance and Delinquency Trends

NEW YORK--()--Kroll Bond Rating Agency (KBRA) releases a report detailing aggregated forbearance information from its rated sponsors and servicers and analyzes early stage delinquency trends in RMBS as a result of the coronavirus (COVID-19) outbreak.

Main focus areas of the report include:

  • Details of aggregated forbearance rates KBRA has compiled on transactions it has rated across RMBS 2.0 including prime, Agency investor, expanded prime and non-prime non-qualified mortgage (QM) loans.
  • Loan-level analysis of forbearance information correlating loan attributes to the likelihood of borrowers’ enrolling in forbearance plans.
  • Observed trends in early-stage delinquencies and current to 30-day delinquent (C-30) roll rates reported in April 2020 remittance reports, along various loan-level attributes including transaction type, employment status (wage earner versus self-employed), income documentation, loan coupon, and DTI.
  • Loan-level analysis correlating loan attributes with C-30 roll rates for April 2020, noting statistically significant effects due to loan coupon, property location, FICO, employment status, income documentation, and more.

Click here to view the report.

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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe Limited is located at 6-8 College Green, Dublin 2, Ireland.

Contacts

Analytical Contacts
Jack Kahan, Senior Managing Director
+1 (646) 731-2486
jkahan@kbra.com

Ashish Sharda, Senior Director
+1 (646) 731-2415
asharda@kbra.com

Brian Ford, CFA, Structured Finance Research
+1 (646) 731-2329
bford@kbra.com

Andrew Ye, Structured Finance Research
+1 (646) 731-1232
aye@kbra.com

Business Development Contact
Michele Patterson, Managing Director
+1 (646) 731-2397
mpatterson@kbra.com

Contacts

Analytical Contacts
Jack Kahan, Senior Managing Director
+1 (646) 731-2486
jkahan@kbra.com

Ashish Sharda, Senior Director
+1 (646) 731-2415
asharda@kbra.com

Brian Ford, CFA, Structured Finance Research
+1 (646) 731-2329
bford@kbra.com

Andrew Ye, Structured Finance Research
+1 (646) 731-1232
aye@kbra.com

Business Development Contact
Michele Patterson, Managing Director
+1 (646) 731-2397
mpatterson@kbra.com