Fitch Affirms 12 Vanderbilt Mortgage MH Securitizations

Business Wire, Jan 5, 2005

NEW YORK -- Fitch Ratings has affirmed 112 classes of 12 Vanderbilt Mortgage Finance (VMF) manufactured housing securitizations. Included in the affirmations are 21 classes that had previously been on Rating Watch Evolving (RWE), and are being removed. The 12 transactions represent Fitch's entire VMF portfolio and affect approximately $1.2 billion in outstanding principal.

To date, losses allocated to the trust on VMF securitizations have been low due to VMF's practice of purchasing defaulted loans, which were originated through CHI's sale center, out of the trust prior to liquidation.

Although there has been and continues to be no obligation on the part of VMF to buy such loans out of its programs, these actions have permitted credit enhancement in the programs to at least double, and in some cases triple, over time. Pool factors (the percentage of mortgage loan principal outstanding to original mortgage loan principal) range from as low as 22.75% on the most seasoned 1998-A Group 1 transaction to 55.69% on the 2001-B transaction.

Fitch's affirmation of the ratings on these transactions takes into account the support provided by VMF, and as such places a good deal of emphasis on the historical and expected performance of the notes rather than that of the loans. However, it should be noted that in the event that this support wanes or ceases entirely, these classes would be subject to a rating evaluation that would shift its emphasis to the historical and expected performance of the collateral itself.

Fitch's initial loss severity assumptions did not rely upon VMF's ability to make full remaining principal balance payments to the trust on defaulted loans. Rather, they were in line with historical loss severities for an experienced vertically integrated company, such as CHI.

From 1998 to the middle of 2000, each Fitch-rated VMF transaction was structured with two groups. Group 1 of each transaction generally comprised fixed-rate bonds collateralized with fixed-rate collateral and Group 2 comprised floating-rate bonds collateralized with adjustable-rate collateral.

Fitch has taken the following actions on Vanderbilt Mortgage and Finance Manufactured Housing:

1998-A, Group 1:

-- Classes IA-4 and IA-5 affirmed at 'AAA';

-- Class IA-6 affirmed at 'AA-';

-- Class IB-1 affirmed at 'BBB'.

1998-A, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'BBB+';

1998-B, Group 1:

-- Classes IA-4 and IA-5 affirmed at 'AAA';

-- Class IA-6 affirmed at 'AA-';

-- Class IB-1 affirmed at 'BBB'.

1998-B, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'BBB+';

1998-C, Group 1:

-- Classes IA-3 through IA-5 affirmed at 'AAA';

-- Class IA-6 affirmed at 'AA-';

-- Class M is affirmed at 'A'

-- Class IB-1 affirmed at 'BBB'.

1998-C, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'BBB+';

1998-D, Group 1:

-- Class IA-1 affirmed at 'AAA';

-- Class IA-2 affirmed at 'AA-';

-- Class IM-1 affirmed at 'A';

-- Class IB-1 is affirmed at 'BBB';

1998-D, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'BBB+';

1999-A, Group 1:

-- Classes IA-3 to IA-5 affirmed at 'AAA';

-- Class IA-6 affirmed at 'AA-';

-- Class IM-1 affirmed at 'A';

-- Class IB-1 affirmed at 'BBB'.

1999-A, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'BBB+';

1999-B, Group 1:

-- Classes IA-4 to IA-6 affirmed at 'AAA';

-- Class IA-7 affirmed at 'AA-';

-- Class IM-1 affirmed at 'A';

-- Class IB-1 affirmed at 'BBB'.

1999-B, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'BBB+';

1999-C, Group 1:

-- Classes IA-3 to IA-4 affirmed at 'AAA';

-- Class IA-5 affirmed at 'AA-';

-- Class IM-1 affirmed at 'A';

-- Class IB-1 affirmed at 'BBB'.

1999-C, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed 'BBB+';

1999-D, Group 1:

-- Classes IA-3 and IA-4 affirmed at 'AAA';

-- Class IA-5 affirmed at 'AA-';

-- Class IM-1 affirmed at 'A';

-- Class IB-1 affirmed at 'BBB'.

1999-D, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA';

-- Class IIB-2 affirmed at 'A+';

-- Class IIB-3 affirmed 'BBB+';

2000-A, Group 1:

-- Classes IA-3 and IA-4 affirmed at 'AAA';

-- Class IA-5 affirmed at 'AA-';

-- Class IM-1 affirmed at 'A';

-- Class IB-1 affirmed at 'BBB'.

2000-A, Group 2:

-- Class IIA-1 affirmed at 'AAA';

-- Class IIB-1 affirmed at 'AA-';

-- Class IIB-2 affirmed at 'BBB';

2000-C

-- Class A ARM affirmed at 'AAA';

-- Classes A-3 and A-4 affirmed at 'AAA';

-- Class A-5 affirmed at 'AA-';

-- Class M-1 affirmed at 'A';

-- Class B-1 affirmed at 'BBB', removed from Rating Watch Negative.

2000-D

-- Classes IA-3 and A-4 affirmed at 'AAA';