Fitch has taken rating actions on the following Long
Beach RMBS issues:
Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust, Series 2000-LB1 Group 1
-- Class AF5 affirmed at 'AAA';
-- Class AF6 affirmed at 'AAA';
-- Class M1F affirmed at 'BBB+';
-- Class M2F downgraded to 'CCC' from 'B';
-- Class BF remains at 'C'.
Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust, Series 2000-LB1 Group 2
-- Class M2V downgraded to 'BB+' from 'BBB';
-- Class BV remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2000-1
-- Class AF-3 affirmed at 'AAA';
-- Class AF-4 affirmed at 'AAA';
-- Class AV-1 affirmed at 'AAA';
-- Class M-1 downgraded to 'A' from 'AA';
-- Class M-2 downgraded to 'B-' from 'BB-';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-1
-- Class A-1 affirmed at 'AAA';
-- Class M-1 downgraded to 'A-' from 'A';
-- Class M-2 affirmed at 'B+';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-2
-- Class A-1V affirmed at 'AAA';
-- Class M-1 affirmed at 'A';
-- Class M-2 affirmed at 'BB';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-3
-- Class A-1 affirmed at 'AAA';
-- Class M-1 downgraded to 'A+' from 'AA';
-- Class M-2 downgraded to 'BB-' from 'BBB-';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-4 Group 1
-- Class I-A affirmed at 'AAA';
-- Class I-M2 downgraded to 'BB' from 'BBB-';
-- Class I-M3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-4 Group 2
-- Class II-A1 affirmed at 'AAA';
-- Class II-A3 affirmed at 'AAA';
-- Class II-M1 downgraded to 'AA-' from 'AA';
-- Class II-M2 downgraded to 'BB' from 'BBB-';
-- Class II-M3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2002-1 Group 1
-- Class I-A affirmed at 'AAA';
-- Class I-M2 downgraded to 'BBB' from 'A';
-- Class I-M3 downgraded to 'CCC' from 'BB'.
Long Beach Mortgage Loan Trust, Series 2002-1 Group 2
-- Class II-M1 downgraded to 'A+' from 'AA';
-- Class II-M2 downgraded to 'BBB' from 'A';
-- Class II-M3 downgraded to 'CCC' from 'BB'.
Long Beach Mortgage Loan Trust, Series 2002-3 Group 2
-- Class II-A affirmed at 'AAA'.
Long Beach Mortgage Loan Trust, Series 2002-4 Group 2
-- Class II-A affirmed at 'AAA'.
Long Beach Mortgage Loan Trust, Series 2002-5
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 downgraded to 'BB+' from 'BBB';
-- Class M-4A downgraded to 'BB-' from 'BBB-';
-- Class M-4B downgraded to 'BB-' from 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2003-1
-- Class A-1 affirmed at 'AAA';
-- Class M-2 affirmed at 'A';
-- Class M-3, rated 'BBB', is placed on Rating Watch Negative;
-- Class M-4, rated 'BBB-', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2003-2
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 affirmed at 'A-';
-- Class M-4, rated 'BBB+', is placed on Rating Watch Negative;
-- Class M-5, rated 'BBB', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2003-3
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3, rated 'BBB', is placed on Rating Watch Negative;
-- Class M-4, rated 'BBB-', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2003-4
-- Class AV-1 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 affirmed at 'A-';
-- Class M-4A affirmed at 'BBB+';
-- Class M-4F affirmed at 'BBB+';
-- Class M-5A affirmed at 'BBB';
-- Class M-5F affirmed at 'BBB';
-- Class M-6, rated 'BBB-', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2004-A
-- Class S affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'AA-';
-- Class M-3 affirmed at 'A+';
-- Class M-4 affirmed at 'A';
-- Class M-5 affirmed at 'A-';
-- Class M-6 affirmed at 'BBB+';
-- Class M-7 affirmed at 'BBB'.
Long Beach Mortgage Loan Trust, Series 2004-1
-- Class A-1 affirmed at 'AAA';
-- Class A-2 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-5 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA+';
-- Class M-2 affirmed at 'AA';
-- Class M-3 affirmed at 'AA-';
-- Class M-4 affirmed at 'A+';
-- Class M-5 affirmed at 'A';
-- Class M-6 affirmed at 'A-';
-- Class M-7 affirmed at 'BBB+';
-- Class M-8 affirmed at 'BBB';
-- Class M-9 affirmed at 'BBB-';
-- Class B affirmed at 'BB+'.
Long Beach Mortgage Loan Trust, Series 2004-2
-- Class A-1 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-4 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A+';
-- Class M-3 affirmed at 'A';
-- Class M-4 affirmed at 'A-';
-- Class M-5 affirmed at 'BBB+';
-- Class M-6 affirmed at 'BBB';
-- Class M-7 affirmed at 'BBB-';
-- Class B affirmed at 'BB'.
Long Beach Mortgage Loan Trust, Series 2004-3
-- Class A-1 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-4 affirmed at 'AAA';
-- Class S-1 affirmed at 'AAA';
-- Class S-2 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA+';
-- Class M-2 affirmed at 'AA';
-- Class M-3 affirmed at 'AA-';
-- Class M-4 affirmed at 'A+';
-- Class M-5 affirmed at 'A';
-- Class M-6 affirmed at 'A-';
-- Class M-7 affirmed at 'BBB+';
-- Class M-8 affirmed at 'BBB';
-- Class M-9 affirmed at 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2004-4
-- Class I-A1 affirmed at 'AAA';
-- Class II-A1 affirmed at 'AAA';
-- Class II-A3 affirmed at 'AAA';
-- Class II-A4 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA+';
-- Class M-2 affirmed at 'AA+';
-- Class M-3 affirmed at 'AA';
-- Class M-4 affirmed at 'AA-';
-- Class M-5 affirmed at 'A+';
-- Class M-6 affirmed at 'A';
-- Class M-7 affirmed at 'A-';
-- Class M-8 affirmed at 'BBB+';
-- Class M-9 affirmed at 'BBB';
-- Class M-10 affirmed at 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2004-5
-- Class A-1 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-4 affirmed at 'AAA';
-- Class A-5 affirmed at 'AA+';
-- Class A-6 affirmed at 'AA';
-- Class M-1 affirmed at 'AA-';
-- Class M-2 affirmed at 'A+';
-- Class M-3 affirmed at 'A';
-- Class M-4 affirmed at 'A-';
-- Class M-5 affirmed at 'BBB+';
-- Class M-6 affirmed at 'BBB';
-- Class M-7 affirmed at 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2004-6
-- Class I-A1 affirmed at 'AAA';
-- Class I-A2 affirmed at 'AAA';
-- Class II-A1 affirmed at 'AAA';
-- Class II-A2 affirmed at 'AAA'.
All of the mortgage loans in the aforementioned transactions were either originated or acquired by Long Beach Mortgage Company. The mortgage loans consist of fixed- and adjustable-rate subprime mortgage loans and are secured by first- and second-lien mortgages or deeds of trust on residential properties. As of the February 2006 distribution date, the transactions are seasoned from a range of 16 to 66 months, and the pool factors (current mortgage loan principal outstanding as a percentage of the initial pool) range from approximately 6% (series 2001-4 Group 2) to 57% (series 2004-6). Long Beach Mortgage Company is the master servicer for all of the transactions detailed above, and Washington Mutual Bank, FA, rated 'RPS2' for subprime products by Fitch, is the subservicer for all of the mortgage loans.
The affirmations reflect a satisfactory relationship between credit enhancement (CE) and future loss expectations and affect approximately $6.75 billion of outstanding certificates. Specifically, the affirmation on class A-1V in series 2001-2 reflects a guaranty provided by the Federal Home Loan Mortgage Corporation ("Freddie Mac"), whose financial strength is rated 'AAA' by Fitch. The affirmations on class A-1 in series 2001-3, class I-A in series 2001-4, class I-A in series 2002-1 and class A-1 in series 2003-1 reflect a guaranty provided by the Federal National Mortgage Association ("Fannie Mae"), whose financial strength is rated 'AAA' by Fitch. The affirmations on class II-A in series 2002-3 and class II-A in series 2002-4 reflect a guaranty provided by XL Capital Assurance Inc., whose financial strength is rated 'AAA' by Fitch. The affirmation on class I-A1 in series 2004-4 reflects a guaranty provided by Financial Security Assurance Inc. (FSA), whose financial strength is rated 'AAA' by Fitch.
The negative rating actions, which affect approximately $644 million of outstanding certificates, reflect continued deterioration in the relationship between CE and future loss expectations. All of the transactions affected by the downgrades are generally experiencing monthly losses that exceed the available excess spread, resulting in substantial deterioration of OC and preventing the OC from maintaining its target amount. In the most severe examples (2000 and 2001 vintage transactions), OC has been depleted and the most subordinate certificates have suffered principal write-downs.
In regard to series 2001-4 and 2002-1 transactions, classes M-2 and M-3 represent interests in 2 loan groups and solely for purposes of determining distributions of principal and interest and the allocation of losses realized on mortgage loans, each class consists of two components: I-M2 and II-M2; I-M3 and II-M3. The CE for a component class may differ between the loan groups. However, a default of a component class would result in a default of the entire class and therefore Fitch's ratings reflect the credit risk to the weaker of the two components.
Fitch has also placed 7 classes from the 2003 vintage transactions on Rating Watch Negative due to monthly losses which have exceeded the available excess spread and have prevented the OC from maintaining its target amount. Fitch will closely monitor the relationship between excess spread and monthly losses for those transactions in the upcoming months.
Of particular note, the performance of the transactions issued prior to 2004 has also been adversely affected by a growing concentration of loans secured with manufactured homes (MH). While the percentage of MH loans in the initial pool balance was relatively modest, the MH loans have made up a disproportionately large percentage of the liquidated loans and due to relatively slow voluntary prepayments, have become a significant percentage of the remaining pool balance. As of December 2005, the MH concentration (as a percentage of current pool balance) for transactions issued in 2000 ranges from approximately 16% to 23% (originally from 6% to 7%); for transactions issued in 2001 from 18% to 21% (originally from 5% to 7%); for transactions issued in 2002 from 9% to 15% (originally from 3% to 4%); and for transactions issued in 2003 from 9% to 10% (originally from 2% to 3%). It is Fitch's expectation that the MH concentration for those transactions to continue to grow.
Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings website at 'www.fitchratings.com'.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust, Series 2000-LB1 Group 1
-- Class AF5 affirmed at 'AAA';
-- Class AF6 affirmed at 'AAA';
-- Class M1F affirmed at 'BBB+';
-- Class M2F downgraded to 'CCC' from 'B';
-- Class BF remains at 'C'.
Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust, Series 2000-LB1 Group 2
-- Class M2V downgraded to 'BB+' from 'BBB';
-- Class BV remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2000-1
-- Class AF-3 affirmed at 'AAA';
-- Class AF-4 affirmed at 'AAA';
-- Class AV-1 affirmed at 'AAA';
-- Class M-1 downgraded to 'A' from 'AA';
-- Class M-2 downgraded to 'B-' from 'BB-';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-1
-- Class A-1 affirmed at 'AAA';
-- Class M-1 downgraded to 'A-' from 'A';
-- Class M-2 affirmed at 'B+';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-2
-- Class A-1V affirmed at 'AAA';
-- Class M-1 affirmed at 'A';
-- Class M-2 affirmed at 'BB';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-3
-- Class A-1 affirmed at 'AAA';
-- Class M-1 downgraded to 'A+' from 'AA';
-- Class M-2 downgraded to 'BB-' from 'BBB-';
-- Class M-3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-4 Group 1
-- Class I-A affirmed at 'AAA';
-- Class I-M2 downgraded to 'BB' from 'BBB-';
-- Class I-M3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2001-4 Group 2
-- Class II-A1 affirmed at 'AAA';
-- Class II-A3 affirmed at 'AAA';
-- Class II-M1 downgraded to 'AA-' from 'AA';
-- Class II-M2 downgraded to 'BB' from 'BBB-';
-- Class II-M3 remains at 'C'.
Long Beach Mortgage Loan Trust, Series 2002-1 Group 1
-- Class I-A affirmed at 'AAA';
-- Class I-M2 downgraded to 'BBB' from 'A';
-- Class I-M3 downgraded to 'CCC' from 'BB'.
Long Beach Mortgage Loan Trust, Series 2002-1 Group 2
-- Class II-M1 downgraded to 'A+' from 'AA';
-- Class II-M2 downgraded to 'BBB' from 'A';
-- Class II-M3 downgraded to 'CCC' from 'BB'.
Long Beach Mortgage Loan Trust, Series 2002-3 Group 2
-- Class II-A affirmed at 'AAA'.
Long Beach Mortgage Loan Trust, Series 2002-4 Group 2
-- Class II-A affirmed at 'AAA'.
Long Beach Mortgage Loan Trust, Series 2002-5
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 downgraded to 'BB+' from 'BBB';
-- Class M-4A downgraded to 'BB-' from 'BBB-';
-- Class M-4B downgraded to 'BB-' from 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2003-1
-- Class A-1 affirmed at 'AAA';
-- Class M-2 affirmed at 'A';
-- Class M-3, rated 'BBB', is placed on Rating Watch Negative;
-- Class M-4, rated 'BBB-', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2003-2
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 affirmed at 'A-';
-- Class M-4, rated 'BBB+', is placed on Rating Watch Negative;
-- Class M-5, rated 'BBB', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2003-3
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3, rated 'BBB', is placed on Rating Watch Negative;
-- Class M-4, rated 'BBB-', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2003-4
-- Class AV-1 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 affirmed at 'A-';
-- Class M-4A affirmed at 'BBB+';
-- Class M-4F affirmed at 'BBB+';
-- Class M-5A affirmed at 'BBB';
-- Class M-5F affirmed at 'BBB';
-- Class M-6, rated 'BBB-', is placed on Rating Watch Negative.
Long Beach Mortgage Loan Trust, Series 2004-A
-- Class S affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'AA-';
-- Class M-3 affirmed at 'A+';
-- Class M-4 affirmed at 'A';
-- Class M-5 affirmed at 'A-';
-- Class M-6 affirmed at 'BBB+';
-- Class M-7 affirmed at 'BBB'.
Long Beach Mortgage Loan Trust, Series 2004-1
-- Class A-1 affirmed at 'AAA';
-- Class A-2 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-5 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA+';
-- Class M-2 affirmed at 'AA';
-- Class M-3 affirmed at 'AA-';
-- Class M-4 affirmed at 'A+';
-- Class M-5 affirmed at 'A';
-- Class M-6 affirmed at 'A-';
-- Class M-7 affirmed at 'BBB+';
-- Class M-8 affirmed at 'BBB';
-- Class M-9 affirmed at 'BBB-';
-- Class B affirmed at 'BB+'.
Long Beach Mortgage Loan Trust, Series 2004-2
-- Class A-1 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-4 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A+';
-- Class M-3 affirmed at 'A';
-- Class M-4 affirmed at 'A-';
-- Class M-5 affirmed at 'BBB+';
-- Class M-6 affirmed at 'BBB';
-- Class M-7 affirmed at 'BBB-';
-- Class B affirmed at 'BB'.
Long Beach Mortgage Loan Trust, Series 2004-3
-- Class A-1 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-4 affirmed at 'AAA';
-- Class S-1 affirmed at 'AAA';
-- Class S-2 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA+';
-- Class M-2 affirmed at 'AA';
-- Class M-3 affirmed at 'AA-';
-- Class M-4 affirmed at 'A+';
-- Class M-5 affirmed at 'A';
-- Class M-6 affirmed at 'A-';
-- Class M-7 affirmed at 'BBB+';
-- Class M-8 affirmed at 'BBB';
-- Class M-9 affirmed at 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2004-4
-- Class I-A1 affirmed at 'AAA';
-- Class II-A1 affirmed at 'AAA';
-- Class II-A3 affirmed at 'AAA';
-- Class II-A4 affirmed at 'AAA';
-- Class M-1 affirmed at 'AA+';
-- Class M-2 affirmed at 'AA+';
-- Class M-3 affirmed at 'AA';
-- Class M-4 affirmed at 'AA-';
-- Class M-5 affirmed at 'A+';
-- Class M-6 affirmed at 'A';
-- Class M-7 affirmed at 'A-';
-- Class M-8 affirmed at 'BBB+';
-- Class M-9 affirmed at 'BBB';
-- Class M-10 affirmed at 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2004-5
-- Class A-1 affirmed at 'AAA';
-- Class A-3 affirmed at 'AAA';
-- Class A-4 affirmed at 'AAA';
-- Class A-5 affirmed at 'AA+';
-- Class A-6 affirmed at 'AA';
-- Class M-1 affirmed at 'AA-';
-- Class M-2 affirmed at 'A+';
-- Class M-3 affirmed at 'A';
-- Class M-4 affirmed at 'A-';
-- Class M-5 affirmed at 'BBB+';
-- Class M-6 affirmed at 'BBB';
-- Class M-7 affirmed at 'BBB-'.
Long Beach Mortgage Loan Trust, Series 2004-6
-- Class I-A1 affirmed at 'AAA';
-- Class I-A2 affirmed at 'AAA';
-- Class II-A1 affirmed at 'AAA';
-- Class II-A2 affirmed at 'AAA'.
All of the mortgage loans in the aforementioned transactions were either originated or acquired by Long Beach Mortgage Company. The mortgage loans consist of fixed- and adjustable-rate subprime mortgage loans and are secured by first- and second-lien mortgages or deeds of trust on residential properties. As of the February 2006 distribution date, the transactions are seasoned from a range of 16 to 66 months, and the pool factors (current mortgage loan principal outstanding as a percentage of the initial pool) range from approximately 6% (series 2001-4 Group 2) to 57% (series 2004-6). Long Beach Mortgage Company is the master servicer for all of the transactions detailed above, and Washington Mutual Bank, FA, rated 'RPS2' for subprime products by Fitch, is the subservicer for all of the mortgage loans.
The affirmations reflect a satisfactory relationship between credit enhancement (CE) and future loss expectations and affect approximately $6.75 billion of outstanding certificates. Specifically, the affirmation on class A-1V in series 2001-2 reflects a guaranty provided by the Federal Home Loan Mortgage Corporation ("Freddie Mac"), whose financial strength is rated 'AAA' by Fitch. The affirmations on class A-1 in series 2001-3, class I-A in series 2001-4, class I-A in series 2002-1 and class A-1 in series 2003-1 reflect a guaranty provided by the Federal National Mortgage Association ("Fannie Mae"), whose financial strength is rated 'AAA' by Fitch. The affirmations on class II-A in series 2002-3 and class II-A in series 2002-4 reflect a guaranty provided by XL Capital Assurance Inc., whose financial strength is rated 'AAA' by Fitch. The affirmation on class I-A1 in series 2004-4 reflects a guaranty provided by Financial Security Assurance Inc. (FSA), whose financial strength is rated 'AAA' by Fitch.
The negative rating actions, which affect approximately $644 million of outstanding certificates, reflect continued deterioration in the relationship between CE and future loss expectations. All of the transactions affected by the downgrades are generally experiencing monthly losses that exceed the available excess spread, resulting in substantial deterioration of OC and preventing the OC from maintaining its target amount. In the most severe examples (2000 and 2001 vintage transactions), OC has been depleted and the most subordinate certificates have suffered principal write-downs.
In regard to series 2001-4 and 2002-1 transactions, classes M-2 and M-3 represent interests in 2 loan groups and solely for purposes of determining distributions of principal and interest and the allocation of losses realized on mortgage loans, each class consists of two components: I-M2 and II-M2; I-M3 and II-M3. The CE for a component class may differ between the loan groups. However, a default of a component class would result in a default of the entire class and therefore Fitch's ratings reflect the credit risk to the weaker of the two components.
Fitch has also placed 7 classes from the 2003 vintage transactions on Rating Watch Negative due to monthly losses which have exceeded the available excess spread and have prevented the OC from maintaining its target amount. Fitch will closely monitor the relationship between excess spread and monthly losses for those transactions in the upcoming months.
Of particular note, the performance of the transactions issued prior to 2004 has also been adversely affected by a growing concentration of loans secured with manufactured homes (MH). While the percentage of MH loans in the initial pool balance was relatively modest, the MH loans have made up a disproportionately large percentage of the liquidated loans and due to relatively slow voluntary prepayments, have become a significant percentage of the remaining pool balance. As of December 2005, the MH concentration (as a percentage of current pool balance) for transactions issued in 2000 ranges from approximately 16% to 23% (originally from 6% to 7%); for transactions issued in 2001 from 18% to 21% (originally from 5% to 7%); for transactions issued in 2002 from 9% to 15% (originally from 3% to 4%); and for transactions issued in 2003 from 9% to 10% (originally from 2% to 3%). It is Fitch's expectation that the MH concentration for those transactions to continue to grow.
Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings website at 'www.fitchratings.com'.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.