Despite a modest handful of downgraded asset-backed securities held in ABCP conduits, the vehicles themselves have remained relatively unscathed, according to a special report from Moody's Investors Service released last week.
"Investors have expressed concern about the credit quality of the securities portfolios held by ABCP conduits," Moody's said in its research.
The rating agency looked at nearly 50 conduits, holding 3,340 securities for its report. Of the securities included, only 28 had been downgraded, with an average exposure size $37 million. Not surprisingly the bulk of these were CDOs. The problem securities were either removed or enhanced, Moody's said.
"ABCP conduits' securities portfolios were not only highly rated, but also relatively unaffected by recent securities downgrades," the agency writes, adding that 99% of the securities looked at either kept their original ratings or were upgraded.
More headlines for MH
In its weekly Market Tabs, Credit Suisse First Boston noted continued rumors of Conseco Finance shutting down, as well as an exit from the dealer floor-plan business by Deutsche Financial, neither of which bode well for the sector.
"While we believe a shut-down of Conseco Finance is, for now, unlikely, several MH builders confirmed that Conseco withdrew from the MH chattel paper market (i.e. non-real estate loans)," CSFB researchers write.
CSFB also reports that Oakwood's MH deals showed a significant drop in cashflow for the October remittance period. This, moreover, was the result of a change in servicer advance policies, whereby Oakwood now adheres to a maximum advance amount per loan, researchers said.
While future cashflows are likely to be lessened as a result (though not as dramatic as in the October report due to a retroactive implementation), credit support will not be effected, only liquidity.
"Had Oakwood made these advances, they would have recovered them from the liquidation proceeds," the researchers write. "Therefore, loss severity should be somewhat lower as advances would be lower relative to prior policy."