New York, December 16, 2010 -- Moody's Investors Service has downgraded the ratings of 20 tranches from
8 transactions, backed by manufactured housing (MH) loans,
issued by Vanderbilt Mortgage and Finance, Inc.
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.
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 be one to two notch lower, as 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: Vanderbilt Mortgage and Finance Senior/Subordinate Pass-Through
Certificates, Series 2002-B
Cl. A-5, Downgraded to A1 (sf); previously on
Aug 29, 2002 Assigned Aa2 (sf)
Cl. M-1, Downgraded to Baa2 (sf); previously
on Sep 23, 2009 Downgraded to A3 (sf)
Cl. A-4, Downgraded to Aa1 (sf); previously on
Aug 29, 2002 Assigned Aaa (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. 2000-C
Cl. A-5, Downgraded to Baa2 (sf); previously
on Aug 29, 2000 Assigned Aa3 (sf)
Cl. M-1, Downgraded to B1 (sf); previously on
Mar 30, 2009 Downgraded to A3 (sf)
Cl. A ARM, Downgraded to Baa1 (sf); previously on Aug
29, 2000 Assigned Aaa (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. 2002-C
Cl. A-4, Downgraded to Aa1 (sf); previously on
Feb 10, 2003 Assigned Aaa (sf)
Cl. A-5, Downgraded to Baa1 (sf); previously
on Feb 10, 2003 Assigned Aa2 (sf)
Cl. M-1, Downgraded to B1 (sf); previously on
Feb 10, 2003 Assigned A2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. Series
1999-D
Cl. IA-5, Downgraded to A1 (sf); previously on
Nov 30, 1999 Assigned Aa3 (sf)
Cl. IM-1, Downgraded to Baa2 (sf); previously
on Nov 30, 1999 Assigned A2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. Series
2001-C
Cl. A-5, Downgraded to A2 (sf); previously on
Sep 23, 2009 Downgraded to A1 (sf)
Cl. M-1, Downgraded to Ba2 (sf); previously on
Sep 23, 2009 Downgraded to Baa2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. Series
2002-A
Cl. A-4, Downgraded to Aa2 (sf); previously on
Feb 26, 2002 Assigned Aaa (sf)
Cl. A-5, Downgraded to Baa1 (sf); previously
on Mar 30, 2009 Downgraded to A2 (sf)
Cl. M-1, Downgraded to B2 (sf); previously on
Mar 30, 2009 Downgraded to Baa2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc. Series
2003-A
Cl. AV, Downgraded to A1 (sf); previously on Mar 25,
2003 Assigned Aaa (sf)
Cl. A-5, Downgraded to A2 (sf); previously on
Mar 25, 2003 Assigned Aa2 (sf)
Cl. M-1, Downgraded to Baa2 (sf); previously
on Mar 25, 2003 Assigned A2 (sf)
Issuer: Vanderbilt Mortgage and Finance, Inc.,
Series 2000-D
Cl. M-1, Downgraded to Baa1 (sf); previously
on Nov 30, 2000 Assigned A2 (sf)
A list of these actions including CUSIP identifiers and sensitivity analysis
may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF229223
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
Amita Shrivastava
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 $310 million of securities issued by Vanderbilt's Manufactured Housing transactions from 1999 to 2003