NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed four classes from two U.S. RMBS Manufactured Housing (MH) Resecuritization Trusts (RE-REMICs). These Re-REMICs are collateralized with underlying MH transactions from the 1995-2000 vintages.
Fitch's rating actions are as follows:
Asset-Backed Securities Corp. 2004-CNF1
-- A-2 (00081WAH4) affirmed at 'Csf/RE 100%'.
Lehman Manufactured Housing Asset-Backed Trust 1998-1
-- I-A1 (525170BB1) affirmed at 'Asf'; Rating Outlook Stable;
-- II-A1 (525170BD7) affirmed at 'Dsf/RE 100%';
-- II-A2 (525170BE5) affirmed at 'Dsf/RE 95%'.
The Re-REMIC rating actions reflect the recently completed MH sector rating review. Additional information regarding the MH rating actions is available in Fitch's Oct. 2, 2012 press release titled 'Fitch Takes Various Actions on 134 U.S. Manufactured Housing RMBS Deals'.
The outstanding classes in Lehman Manufactured Housing Asset-Backed Trust 1998-1 and Asset-Backed Securities Corp. 2004-CNF1 do not have additional enhancement provided by their Re-REMIC structures and are considered direct pass thru structures. As a result, the Re-REMIC ratings directly reflect the lowest rating on the underlying classes that correspond to each class.
Fitch did run cash flow analysis on the Re-REMICs to determine the Recovery Estimates for the distressed classes. The same projected base-case and rating-stressed loss and cash flow assumptions that were used for the underlying transaction analysis were used for the respective Re-REMIC transactions. For further information on the analysis that was run on the underlying MH transactions please refer to Fitch's Oct. 2, 2012 press release 'Fitch Takes Various Actions on 134 U.S. Manufactured Housing RMBS Deals'.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria & Related Research:
-- 'U.S. RMBS Surveillance Criteria' (Aug. 10, 2012);
-- 'U.S. Residential Mortgage Re-REMIC Criteria' (Aug. 10, 2012);
-- 'Fitch Takes Various Actions on 134 U.S. Manufactured Housing RMBS Deals' (Oct. 2, 2012);
-- 'U.S. RMBS Loan Loss Model Criteria' (Aug. 10, 2012);
-- 'Global Structured Finance Rating Criteria' (June 6, 2012);
-- 'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011);
-- 'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012);
-- 'Criteria for Interest Rate Stresses in Structured Finance Transactions' (March 20, 2012);
-- 'Criteria for Rating Caps in Global Structured Finance Transactions' (Aug. 2, 2012).
Applicable Criteria and Related Research:
U.S. RMBS Surveillance Criteria
U.S. Residential Mortgage Re-REMIC Criteria
U.S. RMBS Loan Loss Model Criteria
Global Structured Finance Rating Criteria
Structured Finance Recovery Estimates for Distressed Securities
Counterparty Criteria for Structured Finance Transactions
Criteria for Interest Rate Stresses in Structured Finance Transactions
Criteria for Rating Caps in Global Structured Finance Transactions
Susan Hosterman, +1-212-908-0670
One State Street Plaza
New York, NY 10004
Grant Bailey, +1-212-908-0544
Sandro Scenga, +1 212-908-0278 (New York)
Source: Fitch Ratings