Newly Released Analysis of Impacts of Hurricanes on RMBS

According to a recently released report by S&P, the total current pool balance of transaction structures with loans in affected counties is $144 billion, and "of this total, $3.4 billion is exposed to Hurricane Harvey, while $5.0 billion is exposed to Hurricane Irma, meaning that $8.4 billion out of $144 billion – or roughly 5.8 percent – is directly exposed to the hurricanes." More specifically, 317 structures have exposure of greater than 10 percent. These are considered "a potential concern for disruptions in cash flows and even for eventual default." Such structures, accounting for $13 billion in total balance, have $1.6 billion exposed to Hurricanes Harvey and Irma.

Additionally, according to a National Mortgage News article, Fannie Mae, Freddie Mac, and Ginnie Mae are expecting lenders to extend forbearance to borrowers affected by Hurricane Harvey, which would affect collateral in securitized pools. Furthermore, Ginnie Mae is preparing to give servicing assistance to issuers affected by Hurricane Harvey if more than 5 percent of their portfolio is in a Federal disaster area.

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