New York, December 14, 2010 -- Moody's Investors Service has downgraded the ratings of 35 tranches from
17 transactions, backed manufactured housing (MH) loans.
RATINGS RATIONALE
The ratings on the securities were monitored by evaluating factors Moody's
determined to be essential in the analysis of securities backed by such
loans. The salient factors include: i) the nature,
sufficiency, and quality of historical loan performance information,
ii) the collateral composition and pool credit performance including loan
delinquency and loss data, iii) the transaction's capital structure
and related allocations of collateral cash flows and losses, and
iv) a comparison of current credit enhancement levels to updated Moody's
pool loss projections based on present collateral credit performance.
When analyzing underlying ratings for MH transactions, Moody's projects
cumulative losses for each deal based on a collateral analysis of the
deal's Constant Prepayment Rate (CPR) and Constant Default Rate (CDR).
CPR - CPR is based on the average of the last six months 1-month
CPR.
CDR - There are two approaches for determining pool CDR.
The first approach calculates CDR based on pool loan losses from the previous
twelve months, i.e. recent losses. A second
approach is based on pipeline defaults -- derived from days-aged
delinquencies and Moody's assumptions for default based on days delinquent
or REO. Moody's assumes 85% severity for manufactured homes
at an expected case. After CDR is calculated using the two methods,
the effective CDR for loss projection purposes is determined by using
a maximum of the CDRs. Moody's will project future CDR rates based
on delinquency and loss trends. For the actions noted below,
in most cases, Moody's has assumed that CDR will remain constant
over the life of each deal. A sudden reversal in the existing trend
of projected defaults and losses is not anticipated for these deals as
they are well seasoned.
Based on calculated CPR and CDR, Moody's calculates projected deal-specific
cumulative losses and the weighted average life of the deal. The
credit enhancement calculation may also include credit for excess spread,
i.e. the aggregate, positive difference in the weighted
average loan coupon and the all-inclusive securities' interest
and deal fees, including servicing. Excess spread benefit
is calculated by multiplying the stressed annualized excess spread by
the weighted average life of the deal. Aggregate credit enhancement
which combines subordination benefit (including overcollateralization
and/or reserve accounts) and support from letters of credit or guarantees
and excess spread benefit, is compared with projected cumulative
losses for the deal to derive coverage multiples and associated ratings
by tranche. Moody's will analyze tranche coverage multiples after
consideration of tranche-specific loss allocation and timing of
principal repayment.
Classes A-3 and A-4 from CountryPlace Manufactured Housing
Contract Trust 2007-1, Classes A-1 and Callable A-2
from Origen Manufactured Housing Contract Trust 2006-A, Classes
A-1 and Callable A-2 from Origen Manufactured Housing Contract
Trust Collateralized Notes, Series 2007-A, and Class
A from Manufactured Housing Contract Trust Collateralized Notes,
Series 2007-B are wrapped by Ambac Assurance Corporation (Segregated
Account - Unrated). Class IIA from GreenPoint Manufactured
Housing Contract Trust 1998-1, Class A-2 from GreenPoint
Manufactured Housing Contract Trust 1999-6, and Class A-2
from GreenPoint Manufactured Housing Contract Trust 2000-7 are
wrapped by MBIA Insurance Corporation (Downgraded to B3, Outlook
Negative on Jun 25, 2009). For securities insured by a financial
guarantor, the rating on the securities is the higher of (i) the
guarantor's financial strength rating and (ii) the current underlying
rating (i.e., absent consideration of the guaranty)
on the security. The principal methodology used in determining
the underlying rating is the same methodology for rating securities that
do not have a financial guaranty and is as described earlier. RMBS
securities wrapped by Ambac Assurance Corporation are rated at their underlying
rating without consideration of Ambac's guaranty.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found on Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck
If expected losses on the each of the collateral pools were to increase
by 10%, model implied results indicate that most of the deals'
ratings would remain stable, with the exception of the tranches
listed in the sensitivity analysis.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-MH1
Cl. AF-3, Downgraded to A3 (sf); previously on
Sep 23, 2009 Confirmed at Aaa (sf)
Cl. AF-4, Downgraded to Baa2 (sf); previously
on Sep 23, 2009 Confirmed at Aaa (sf)
Cl. M-1, Downgraded to B1 (sf); previously on
Mar 30, 2009 Downgraded to A1 (sf)
Cl. M-2, Downgraded to C (sf); previously on
Mar 30, 2009 Downgraded to Ba2 (sf)
Cl. B-1, Downgraded to C (sf); previously on
Mar 30, 2009 Downgraded to Ca (sf)
Issuer: Conseco Finance Securitization Corp. Series 2002-2
Class M-1, Downgraded to B3 (sf); previously on Aug
2, 2006 Downgraded to B1 (sf)
Class M-2, Downgraded to C (sf); previously on Mar 30,
2009 Downgraded to Ca (sf)
Issuer: Conseco Finance Securitizations Corp. Manufacturing
Housing Contract Senior/Subordinate Pass-Through Certificates
Cl. A-5, Downgraded to Caa3 (sf); previously
on Aug 2, 2006 Downgraded to B3 (sf)
Issuer: Conseco Finance Securitizations Corp. Series 2001-3
Class A-4, Downgraded to Caa2 (sf); previously on Sep
23, 2009 Downgraded to B2 (sf)
Class M-1, Downgraded to C (sf); previously on Aug 2,
2006 Downgraded to Ca (sf)
Issuer: CountryPlace Manufactured Housing Contract Trust 2007-1
Cl. A-3, Downgraded to B3 (sf); previously on
Apr 10, 2009 Confirmed at Baa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-4, Downgraded to Caa2 (sf); previously
on Apr 13, 2009 Downgraded to Baa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CSFB ABS Trust Manufactured Housing Pass-Through
Certificates 2001-MH29
Cl. M-1, Downgraded to Ba3 (sf); previously on
Sep 23, 2009 Confirmed at Aa2 (sf)
Cl. M-2, Downgraded to Ca (sf); previously on
Mar 30, 2009 Downgraded to Baa3 (sf)
Cl. B-1, Downgraded to C (sf); previously on
Mar 30, 2009 Downgraded to Ca (sf)
Issuer: CSFB Manufactured Housing Pass-Through Certificates,
Series 2002-MH3
Cl. A, Downgraded to A3 (sf); previously on Sep 23,
2009 Downgraded to Aa1 (sf)
Cl. M-1, Downgraded to Caa2 (sf); previously
on Mar 30, 2009 Downgraded to A3 (sf)
Cl. M-2, Downgraded to C (sf); previously on
Mar 30, 2009 Downgraded to B2 (sf)
Issuer: GreenPoint Manufactured Housing Contract Trust 1998-1
II A, Downgraded to B1 (sf); previously on Apr 10, 2009
Upgraded to Baa3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: GreenPoint Manufactured Housing Contract Trust 1999-6
Cl. A-2, Downgraded to B3 (sf); previously on
Apr 10, 2009 Upgraded to Baa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: GreenPoint Manufactured Housing Contract Trust 2000-7
Cl. A-2, Downgraded to B3 (sf); previously on
Apr 10, 2009 Upgraded to Ba1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: Oakwood Mortgage Investors Trust 1999-D
A-1, Downgraded to Caa3 (sf); previously on Mar 30,
2009 Downgraded to Caa2 (sf)
Issuer: Origen Manufactured Housing Conract Trust 2005-A
Cl. B, Downgraded to Baa3 (sf); previously on Jun 16,
2005 Assigned Baa1 (sf)
Issuer: Origen Manufactured Housing Conract Trust Collateralized
Notes, Series 2005-B
Cl. M-1, Downgraded to A1 (sf); previously on
Dec 21, 2005 Assigned Aa2 (sf)
Cl. M-2, Downgraded to Ba2 (sf); previously on
Dec 21, 2005 Assigned A2 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on
Mar 30, 2009 Downgraded to Baa3 (sf)
Cl. B-2, Downgraded to C (sf); previously on
Mar 30, 2009 Downgraded to Ba2 (sf)
Issuer: Origen Manufactured Housing Contract Senior/Subordinate
Asset-Backed Certificates, Series 2002-A
Cl. M-1, Downgraded to Baa2 (sf); previously
on Sep 7, 2004 Downgraded to A3 (sf)
Cl. M-2, Downgraded to Ca (sf); previously on
Sep 7, 2004 Downgraded to Ba3 (sf)
Cl. B-1, Downgraded to C (sf); previously on
Mar 30, 2009 Downgraded to Ca (sf)
Issuer: Origen Manufactured Housing Contract Trust 2006-A
Cl. A-1, Downgraded to B2 (sf); previously on
Apr 13, 2009 Downgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Callable Class A-2, Downgraded to Ca (sf); previously
on Apr 13, 2009 Downgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Origen Manufactured Housing Contract Trust Collateralized
Notes, Series 2007-A
Cl. A-1, Downgraded to Caa2 (sf); previously
on Apr 13, 2009 Downgraded to Baa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. Callable A-2, Downgraded to Caa3 (sf); previously
on Apr 13, 2009 Downgraded to Baa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Origen Manufactured Housing Contract Trust Collateralized
Notes, Series 2007-B
Cl. A, Downgraded to Ca (sf); previously on Apr 13,
2009 Downgraded to Baa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
A list of these actions including CUSIP identifiers and sensitivity analysis
may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF227886
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Ilana Fried
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $1.2 billion of securities issued by certain Manufactured Housing transactions from 1998 to2007