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Harvey will most likely be a non-event for Non-Agency RMBS, but Irma?

Lots to read here. Please call with questions, concerns and comments. We will follow up with data during the week and more thoughts.

Topics include:

Page 1

What we learned about Katrina

Will Harvey impact performance on an Non-Agency RMBS deal?

Page 2

Katrina vs Harvey

Impact on Orleans Parish – city of New Orleans:

Impact on Harris County (data still coming in):

Page 3

Outside of Harris County, according to FEMA

Page 4

Hurricane Katrina – 7 most affected Louisiana parishes

Page 5

KATRINA vs. HARVEY - Performance Statistics immediately prior to Hurricane

Pages 6-8


  • FEMA Exposure >= 50%: Katrina: 0 deals, Harvey: 3 deals

  • FEMA Exposure between 20.0% - 49.9%: Katrina: 0 deals, Harvey: 7 deals

  • FEMA Exposure between 5.0% - 9.9%: Katrina: 4 deals, Harvey: 321 deals

Pages 9-12

Most Hurricane effects on performance are temporary

Page 13

Potential Exposure to Non-Agency RMBS – by County - as of August 2017

Page 14

IRMA - Potential Exposure to Non-Agency RMBS – by Deal - as of August 2017

Page 15


Contact us at 203-276-0672 to become a client and access all reports and attachments.

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