When the Dust Settles

KCP Special Report: When the Dust Settles, Part II - Expected Losses for 1995-2008 Vintages

Retrieved on: 
Friday, September 27, 2019
Banking, Professional services, Finance, Credit rating agencies, United States housing bubble, Kroll Bond Rating Agency, Securitization, When the Dust Settles, KBRA, Vintage, Economy

Kroll Bond Rating Agency (KBRA) releases a special report, When the Dust Settles, Part II Expected Losses for 1995-2008 Vintages, which examines historical and projected losses for legacy conduit transactions issued between 2005 and 2008.

Key Points: 
  • Kroll Bond Rating Agency (KBRA) releases a special report, When the Dust Settles, Part II Expected Losses for 1995-2008 Vintages, which examines historical and projected losses for legacy conduit transactions issued between 2005 and 2008.
  • The report is a continuation of an April 2019 release, When the Dust Settles: Expected Losses for the 2005-2008 Vintages, and an expansion of the original study to include pre-2005 vintage securitizations dating back to 1995.
  • Similar to the last publication, the losses are examined by original certificate rating, and include projected losses from our KBRA Credit Profile (KCP) platform.
  • As of the July 2019 remittance period, these transactions experienced aggregate realized losses totaling $58.0 billion (6.86% severity).

KCP Releases Special Report – When the Dust Settles: Expected Losses for 2005-2008 Vintages

Retrieved on: 
Friday, April 12, 2019
Professional services, Banking, Finance, Insurance, Structured finance, Kroll Bond Rating Agency, Credit rating agency, KBRA, Tranche, When the Dust Settles, Market economics), Microeconomics

Kroll Bond Rating Agency (KBRA) releases its When the Dust Settles: Expected Losses for 2005-2008 Vintages report, in which we examined legacy conduit transactions issued between 2005 and 2008 to determine historical losses by vintage, certificate class, and original rating.

Key Points: 
  • Kroll Bond Rating Agency (KBRA) releases its When the Dust Settles: Expected Losses for 2005-2008 Vintages report, in which we examined legacy conduit transactions issued between 2005 and 2008 to determine historical losses by vintage, certificate class, and original rating.
  • As part of the examination, we layered in projected losses from our KBRA Credit Profile (KCP) platform to determine the amount and severity of anticipated losses that have yet to materialize.
  • Historically, only two transactions (CSFB 2005-C2 and CMLT 2008-LS1) incurred losses severe enough to impact AM tranches as of February 2019.
  • Based on our current loss projections, we expect AM classes across five transactions to incur losses when the dust settles.