Various Rating Actions Taken On 15 Green Tree-Related Manufactured Housing ABS Transactions

Stocks and Financial Services Press Releases Friday June 8, 2018 09:42
NEW YORK--8 Jun--S&P Global Ratings

NEW YORK (S&P Global Ratings) June 7, 2018--S&P Global Ratings today took various rating actions affecting 19 classes from 15 Green Tree-related manufactured housing asset-backed securities (ABS) transactions. Overall, we raised our ratings on 16 classes and affirmed our ratings on three.

The 15 affected transactions were issued out of Green Tree Financial Corp. Manufactured Housing Trust and Manufactured Housing Contract Senior/Subordinate Pass-Through Certificates.

Today's rating actions reflect the transactions' collateral performance to date, our views regarding future collateral performance, the transactions' structures, and the credit enhancement available. Furthermore, our analysis incorporated secondary credit factors such as credit stability, payment priorities under certain scenarios, and sector- and issuer-specific analysis.

The upgrades reflect our assessment of the growth in credit enhancement for the affected classes in the form of subordination, which we expect will mitigate the impact of losses being higher than originally expected for these pools.

The affirmations reflect our view that the total credit support as a percentage of the amortizing pool balances, compared with our expected remaining cumulative net losses, is sufficient to support the current ratings.

While all 15 transactions are experiencing higher cumulative net losses than initially expected, they are performing in line with or better than our former revised lifetime expectations. We also considered the significant rise in delinquencies over the past few years; as a result, we are maintaining our loss expectations (see table 1).

Table 1
COLLATERAL PERFORMANCE (%)
(As of April 2018 distribution date)
Series Mo. Pool Current Expected
factor CNL lifetime CNL(i)
Green Tree Financial Corp. Manufactured Housing Trust
1995-6 272 2.41 14.24 14.75-15.25
1995-7 271 2.50 14.03 14.75-15.25
1995-8 270 2.53 14.46 15.00-15.50
1995-9 269 2.73 14.02 14.50-15.00
1995-10 268 2.82 14.03 14.50-15.00
1996-1 266 3.39 13.56 14.00-15.00
1996-7 260 4.09 16.81 17.75-18.75
1996-10 256 4.56 16.40 17.00-18.00
1997-8 244 6.89 17.50 18.50-19.50
1998-2 241 6.59 20.84 22.25-23.25
1998-3 240 7.53 21.25 23.25-24.25
1998-5 238 8.92 18.00 20.10-21.10
1998-6 236 7.79 20.95 23.50-24.50
1998-8 233 9.80 20.25 22.75-23.75
Manufactured Housing Contract Sr/Sub Pass-Through Certificates
2001-4 196 10.91 27.97 32.50-33.50
(i)Lifetime CNL expectations based on current performance data.
CNL--cumulative net loss.

Each transaction was initially structured with overcollateralization (O/C) and subordination. However, due to higher-than-expected losses, the O/C on each of these transactions has been depleted to zero, and many of the subordinated classes have experienced principal write-downs.

S&P Global Ratings will continue to monitor the performance of the transactions relative to our cumulative net loss expectations and the available credit enhancement. We will take rating actions as we consider appropriate.


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