New York, November 22, 2011 -- Moody's Investors Service has downgraded the ratings of 13 manufactured
housing loans-backed securities (MH) aggregating $461 million
from 11 transactions, upgraded the ratings of 14 MH securities aggregating
$148 million from 10 transactions, and confirmed the rating
of 1 MH security aggregating $11 million from 1 transaction.
The collateral backing these transactions consists primarily of manufactured
housing loans. The MH securities are seasoned and were issued between
1992 and 2005.
RATINGS RATIONALE
The loss projections account for continued weakness in the macro economy
and the recent performance of the sector. Cumulative losses have
increased modestly to approximately 19% and serious delinquencies,
measured as a percentage of outstanding balance, have remained stable
at approximately 3%.
Payment deferrals, a common loss mitigation tool masks true delinquencies
and can account up to half the outstanding pool balance. Deferments
are granted to borrowers who could not pay the full arrears but have demonstrated
the ability to make future installments. Repayment plans are the
capitalization of past due payments to cure the delinquencies.
While deferrals can reduce overall default rates, deferred accounts
that are re-classified as current are still riskier than loans
that have been contractually current. Re-default rates on
deferred accounts are similar to subprime borrowers at 65%.
To estimate losses, Moody's first forecasted losses on the loans
that had a payment deferral based on 65% re-default rates
and 85% severity assumptions. Secondly, losses were
projected on the remaining loans that have not had any payment deferral
based on our annual conditional prepayment rates (CPR), annual constant
default rates (CDR), and 85% severity assumptions.
The CPR rate is derived from the average of actual CPR observed over the
last six months. The CDR rate is based on pipeline defaults --
derived from days-aged delinquencies and Moody's assumptions for
default based on days delinquent or REO (15% for 30 days delinquent
loans, 30% for 60 days delinquent loans, 90%
for more than 90 days delinquent loans, and 100% for loans
in REO). Moody's has further assumed that both CDR and CPR will
remain constant over the life of each deal. A sudden reversal in
the existing trend of projected prepayments, defaults and losses
is not anticipated for these deals as they are well seasoned.
The losses from loans that had a deferrals and those from the remaining
loans based on the CPR-CDR approach are weighed to calculate the
total projected loss for the deal.
Rating Actions
To assess the rating implications Moody's calculated a deal specific loss
projection and compared it to the tranches' credit enhancement from subordination;
excess spread; and reserve account and third-party support
(if any) and the timing of principal repayment. The actions for
bonds rated Aaa, Aa, A, and Baa considered where full
expected principal repayment exceeds 5, 7, 10, and 10
years respectively because of uncertainty of cash flows and losses.
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. Securities wrapped
by Ambac Assurance Corporation are rated at their underlying rating without
consideration of Ambac's guaranty. 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.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high. Moody's
now projects unemployment rate to start declining by fourth quarter of
2011.
The principal methodology used in these ratings was "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published
in December 2008. Moody's noted that on November 22,
2011, it released a Request for Comment, in which the rating
agency has requested market feedback on potential changes to its rating
methodology for Interest-Only Securities. If the revised
methodology is implemented as proposed the rating on Bank of America MH
Contract 1997-2 Class A-IO maybe negatively affected.
Please refer to Moody's request for Comment, titled "Proposal
Changing the Global Rating Methodology for Structured Finance Interest-Only
Securities," for further details regarding the implications
of the proposed methodology change on Moody's rating. Please
see the Credit Policy page on www.moodys.com for a copy
of this methodology and the Request for Comment.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found on Moody's website.
For more information please see www.moodys.com.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Manufactured Housing Trust 2003-MH1
Cl. A-4, Downgraded to A1 (sf); previously on
Nov 2, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A2 (sf); previously on
Nov 2, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Issuer: BankAmerica Manufactured Housing Contract Trust II Series
1997-1
M, Upgraded to Ba1 (sf); previously on Nov 2, 2011 B1
(sf) Placed Under Review for Possible Upgrade
Issuer: BankAmerica MH Contract 1997-2
A-IO, Downgraded to B2 (sf); previously on Nov 2,
2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Issuer: BankAmerica MH Contract 1998-2
M, Upgraded to Aa3 (sf); previously on Nov 2, 2011 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: BankAmerica MH Contract, Series 1998-1
M, Confirmed at Baa1 (sf); previously on Nov 2, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade
Issuer: Conseco Finance Securitizations Corp. Series 2002-1
Class A-1, Upgraded to A1 (sf); previously on Nov 2,
2011 Baa1 (sf) Placed Under Review for Possible Upgrade
Issuer: CountryPlace Manufactured Housing Contract 2005-1
Cl. A-3, Downgraded to Baa3 (sf); previously
on Nov 2, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-4, Downgraded to Baa3 (sf); previously
on Nov 2, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Deutsche Financial Capital Securitization, 1997-I
Class A-3, Upgraded to Aa2 (sf); previously on Nov 2,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Class A-4, Upgraded to Aa2 (sf); previously on Nov 2,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Class A-5, Upgraded to Aa2 (sf); previously on Nov 2,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Class A-6, Upgraded to Aa2 (sf); previously on Nov 2,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Issuer: FirstFed Corp. Manufactured Housing Contract Series
1997-1
Class B, Upgraded to A3 (sf); previously on Nov 2, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade
Issuer: Green Tree Financial Corporation MH 1992-02
B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation MH 1993-01
B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation MH 1993-02
B, Downgraded to Ca (sf); previously on Nov 2, 2011 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation MH 1994-01
A-5, Downgraded to Baa3 (sf); previously on Nov 2,
2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corp. MH Series 1996-2
M-1, Downgraded to Caa1 (sf); previously on Nov 2,
2011 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation - Green Tree MH
Contracts, Series 1995-2
B-1, Upgraded to Aa3 (sf); previously on Nov 2,
2011 Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: Green Tree Financial Corporation MH 1996-06
M-1, Downgraded to Caa2 (sf); previously on Nov 2,
2011 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation MH 1998-8
A-1, Downgraded to B1 (sf); previously on Nov 2,
2011 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree Financial Corporation MH Series 1997-1
A-5, Upgraded to Aa3 (sf); previously on Nov 2,
2011 A2 (sf) Placed Under Review for Possible Upgrade
A-6, Upgraded to Aa3 (sf); previously on Nov 2,
2011 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: Green Tree Financial Corporation-MH Contract Series
1997-5
M-1, Downgraded to Caa1 (sf); previously on Nov 2,
2011 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Green Tree MH Sr/Sub Series 1995-7
M-1, Upgraded to A1 (sf); previously on Nov 2,
2011 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Green Tree Series 1995-4
M-1, Upgraded to Aa2 (sf); previously on Nov 2,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Issuer: GreenTree Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1995-5
M-1, Upgraded to Aa3 (sf); previously on Nov 2,
2011 A2 (sf) Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers, updated estimated
pool losses, and sensitivity analysis may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF268579
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are considered EU Qualified
by Extension and therefore available for regulatory use in the EU.
Further information on the EU endorsement status and on the Moody's office
that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's received and took into account one or more third-party
assessments on the due diligence performed regarding the underlying assets
or financial instruments in these transactions and the assessments had
a neutral impact on the rating.
Moody's considers the quality of information available on the rated entity,
obligation or credit satisfactory for the purposes of issuing a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Ilana Fried
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Bruce D. Fabrikant
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $621 million of manufactured housing deals issued between 1992-2005
