NOTE: On August 31, 2012 the press release was revised as follows: In the list of rating actions, the details for certain tranches were corrected as follows:
Issuer: BlackRock Capital Finance L.L.C.1997- R1
Cl. WAC, A1 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 A1 (sf) Placed Under Review for
Possible Downgrade
Issuer: BlackRock Capital Finance L.L.C. Series 1997-R2
Cl. AP, B1 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 B1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-B1, B3 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 B3 (sf) Placed Under Review for
Possible Downgrade
Cl. 3-B1, B2 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 B2 (sf) Placed Under Review for
Possible Downgrade
Issuer: Ocwen Residential MBS Corporation Mortgage Pass-Through Certificates, Series 1998-R3
Cl. A-WAC, B3 (sf) Placed Under Review for Possible Downgrade; previously on May 24, 2011 Downgraded to B3 (sf)
Issuer: Ocwen Residential MBS Corporation Series 1998-R1
Cl. A-WAC, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 26, 1998 Assigned Aaa (sf)
Cl. B1, B1 (sf) Placed Under Review for Possible Downgrade; previously on April 19 2012 B1 (sf) Placed Under Review for Possible
Upgrade
Issuer: Ocwen Residential MBS Corporation Series 1998-R2
Cl. AP, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 29, 1998 Assigned Aaa (sf)
Issuer: Ocwen Residential MBS Corporation Series 1999-R1
Cl. B1-A, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 24, 2011 Downgraded to A1 (sf)
Cl. B1-F, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on May 1, 2006 Confirmed at Aa2 (sf)
Cl. AP, Aaa (sf) Remains Under Review for Possible Downgrade; previously on Apr 19, 2012 Aaa (sf) Placed Under Review for Possible
Downgrade
Issuer: SACO I Inc. Series 1999-3
Cl. A-WAC, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 14, 1999 Assigned Aaa (sf)
Issuer: Salomon Brothers Mortgage Securities VII, Inc., Series 1997-HUD1
Cl. A-WAC, B1 (sf) Remains Under Review For Possible Downgrade; previously on Apr 19, 2012 B1 (sf) Placed Under Review for
Possible Downgrade
Issuer: Salomon Brothers Mortgage Securities VII, Inc. Series 1997-HUD2
Cl. A-WAC, Aaa (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 Aaa (sf) Placed Under Review for
Possible Downgrade
Issuer: BlackRock Capital Finance L.L.C. Series 1997-R3
Cl. A-WAC, Aaa (sf) Remains Under Review for Possible Downgrade; previously on Apr 19, 2012 Aaa (sf) Placed Under Review for
Possible Downgrade
Issuer: Ocwen Residential MBS Corporation, Series 1999-R2
Cl. AP, B2 (sf) Remains Under Review for Possible Downgrade; previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible
Downgrade
Revised release follows.
$84 million of securities affected
New York, August 22, 2012 -- Moody's Investors Service has downgraded the ratings of 16 tranches,
confirmed the ratings of three tranches, upgraded the rating of
one tranche, and placed the ratings of seven tranches on watch for
downgrade from 12 RMBS transactions, backed by Scratch and Dent
loans issued by Ocwen, BlackRock, SACO and Salomon Brothers.
Eighteen tranches remain on watch for downgrade.
RATINGS RATIONALE
The actions are a result of the recent performance review of Scratch and
Dent pools and reflect Moody's updated loss expectations on these pools.
Today's rating action constitute of a number of downgrades.
The downgrades are primarily due to deteriorating collateral performance.
The affected transactions are backed by small balance re-performing
distressed loans. In addition, these transactions have a
shifting interest structure whereby the subordinate certificates are receiving
a portion of principal thereby depleting the dollar enhancement available
to the most senior certificates in the structure.
In today's rating actions, four A-WAC and Class A-P
tranches from four deals were placed on watch for downgrade and seven
A-WAC and A-P tranches from seven deals remain on watch
for downgrade. These tranches have separate principal-only
(PO) and interest-only (IO) components. The PO components
are linked to the arrearage pool. In most of these transactions,
based on the reported arrearage pool balance, the PO components
are under-collateralized. Based on Moody's interpretation
of the transaction documents, the PO tranches should not be under-collateralized.
As a result, these bonds are being placed on watch for downgrade
pending trustee confirmation of the enhancement and principal waterfall
for these tranches.
The final ratings on the A-P and A-WAC tranches will also
consider the risk to future cashflows associated with the IO components
based on the published methodology "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published on February 22,
2012.
Moody's has also corrected the rating on the Class B-1X tranche
from BlackRock Capital Finance L.L.C. 1996-R1
pursuant to the methodology described in "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012.
Due to an internal administrative error, this tranche was incorrectly
downgraded as part of the February 22, 2012 rating action on certain
RMBS interest-only securities.
In addition, today's rating action on Salomon Brothers Mortgage
Securities VII, Inc., Series 1997-HUD1 class
IO reflects the application of the global methodology for rating structured
finance IO securities. Due to an internal administrative error,
this tranche was not included in the February 22, 2012 rating action
on certain RMBS interest-only securities.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "US RMBS Surveillance Methodology for Scratch and Dent"
published in May 2011. The methodology used in rating Interest-Only
Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Please see the Credit Policy page on www.moodys.com for
a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's current view
on loan modifications 2) small pool volatility and 3) bonds that financial
guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 and an increased use of private modifications, Moody's
is extending its previous view that loan modifications will only occur
through the end of 2012. It is now assuming that the loan modifications
will continue at current levels until the end of 2013.
Small Pool Volatility
For pools with loans less than 100, Moody's adjusts its projections
of loss to account for the higher loss volatility of such pools.
For small pools, a few loans becoming delinquent would greatly increase
the pools' delinquency rate.
To project losses on scratch and dent pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on strength
of the collateral, number of loans remaining in the pool and the
level of current delinquencies in the pool. For scratch and dent,
Moody's first applies a baseline delinquency rate of 11% for standard
transactions and 3% for strongest prime-like deals.
Once the loan count in a pool falls below 76, this rate of delinquency
is increased by 1% for every loan fewer than 76. For example,
for a standard pool with 75 loans, the adjusted rate of new delinquency
is 11.1%. Further, to account for the actual
rate of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.75 to 2.5 for
current delinquencies that range from less than 2.5% to
greater than 30% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and losses for
the remaining life of the pool under the approach described in the methodology
publication.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in April
2011 to 8.2% in July 2012. Moody's forecasts a further
drop to 7.8% for 2013. Moody's expects house prices
to drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can impact the
performance of these transactions.
Complete rating actions are as follows:
Issuer: BlackRock Capital Finance L.L.C.1997-
R1
Cl. A-4, Downgraded to Baa1 (sf); previously
on Jul 2, 2010 Downgraded to A1 (sf)
Cl. WAC, A1 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 A1 (sf) Placed Under Review for
Possible Downgrade
Issuer: BlackRock Capital Finance L.L.C. Series
1997-R2
Cl. 1-B1, Downgraded to Caa1 (sf); previously
on Apr 19, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-PO, Confirmed at B2 (sf); previously on
Apr 19, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Cl. AP, B1 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 B1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-B1, B3 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 B3 (sf) Placed Under Review for
Possible Downgrade
Cl. 3-B1, B2 (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 B2 (sf) Placed Under Review for
Possible Downgrade
Issuer: BlackRock Capital Finance L.L.C.,
Series 1996-R1
Cl. B-1X, Upgraded to Ca (sf); previously on
Feb 22, 2012 Downgraded to C (sf)
Cl. B-1, Confirmed at Ca (sf); previously on
Apr 19, 2012 Ca (sf) Placed Under Review for Possible Upgrade
Issuer: Ocwen Residential MBS Corporation Mortgage Pass-Through
Certificates, Series 1998-R3
Cl. A-1, Downgraded to Caa1 (sf); previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible Upgrade
Cl. A-WAC, B3 (sf) Placed Under Review
for Possible Downgrade; previously on May 24, 2011 Downgraded
to B3 (sf)
Issuer: Ocwen Residential MBS Corporation Series 1998-R1
Cl. A-WAC, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 26, 1998 Assigned Aaa (sf)
Cl. B1, B1 (sf) Placed Under Review for Possible Downgrade; previously on April 19 2012 B1 (sf) Placed Under Review for Possible
Upgrade
Issuer: Ocwen Residential MBS Corporation Series 1998-R2
Cl. X-F, Downgraded to Ca (sf); previously on
Feb 22, 2012 Downgraded to Caa3 (sf)
Cl. P-F, Downgraded to A3 (sf); previously on
Jun 29, 1998 Assigned Aaa (sf)
Cl. B1-A, Downgraded to Caa1 (sf); previously
on Apr 19, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B1-F, Downgraded to Caa1 (sf); previously
on Jun 1, 2011 Downgraded to B1 (sf)
Cl. AP, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 29, 1998 Assigned Aaa (sf)
Cl. B2-A, Confirmed at Caa3 (sf); previously
on Apr 19, 2012 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Ocwen Residential MBS Corporation Series 1999-R1
Cl. B2-F, Downgraded to Ba2 (sf) and Remains On Review
for Possible Downgrade; previously on Apr 19, 2012 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. B1-A, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 24, 2011 Downgraded to A1 (sf)
Cl. B1-F, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on May 1, 2006 Confirmed at Aa2 (sf)
Cl. AP, Aaa (sf) Remains Under Review for Possible Downgrade; previously on Apr 19, 2012 Aaa (sf) Placed Under Review for Possible
Downgrade
Issuer: SACO I Inc. Series 1999-3
Cl. 1-B-1, Downgraded to Ba1 (sf) and Placed
Under Review for Possible Downgrade; previously on May 14,
1999 Assigned Aa2 (sf)
Cl. 1-B-2, Downgraded to Caa1 (sf); previously
on May 26, 2011 Downgraded to Baa3 (sf)
Cl. 2-B-2, Downgraded to Ba3 (sf); previously
on May 14, 1999 Assigned A2 (sf)
Cl. 2-B-3, Downgraded to Caa2 (sf); previously
on Apr 19, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-WAC, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 14, 1999 Assigned Aaa (sf)
Issuer: Salomon Brothers Mortgage Securities VII, Inc.,
Series 1997-HUD1
Cl. IO, Downgraded to Ca (sf); previously on Sept 10,
2010 Downgraded to B1 (sf)
Cl. A-4, Downgraded to Caa3 (sf); previously
on Sept 10, 2010 Downgraded to B1 (sf)
Cl. A-WAC, B1 (sf) Remains Under Review For Possible Downgrade; previously on Apr 19, 2012 B1 (sf) Placed Under Review for
Possible Downgrade
Issuer: Salomon Brothers Mortgage Securities VII, Inc.
Series 1997-HUD2
Cl. IO, Downgraded to Ca (sf); previously on Feb 22,
2012 Downgraded to Caa2 (sf)
Cl. A-4, Downgraded to A2 (sf); previously on
Nov 25, 1997 Assigned Aaa (sf)
Cl. A-WAC, Aaa (sf) Remains Under Review for Possible Downgrade; previously on April 19, 2012 Aaa (sf) Placed Under Review for
Possible Downgrade
Issuer: BlackRock Capital Finance L.L.C. Series
1997-R3
Cl. A-WAC, Aaa (sf) Remains Under Review for Possible Downgrade; previously on Apr 19, 2012 Aaa (sf) Placed Under Review for
Possible Downgrade
Issuer: Ocwen Residential MBS Corporation, Series 1999-R2
Cl. AP, B2 (sf) Remains Under Review for Possible Downgrade; previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible
Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF295009
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at: Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF247004
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com
Information sources used to prepare the rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's received and took into account a third-party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not
an auditor and cannot in every instance independently verify or validate
information received in the rating process
The person who approved Ocwen Residential MBS Corporation Series 1998-R1;
Ocwen Residential MBS Corp. Mortgage Pass-Through,
1998-R3; Ocwen Residential MBS Corporation Series 1998-R2;
Ocwen Residential MBS Corporation Series 1999-R1; and Ocwen
Residential MBS Corporation, Series 1999-R2 credit ratings
is Amita Shrivastava, VP - Senior Credit Officer, Structured
Finance Group, JOURNALISTS: 212-553-0376,
SUBSCRIBERS: 212-553-1653.
The person who approved BlackRock Capital Finance L.L.C.
1996-R1; BlackRock Capital Finance L.L.C.
1997-R1; BlackRock Capital Finance L.L.C.
1997-R2; BlackRock Capital Finance L.L.C.
1997-R3; SACO I Inc. Series 1999-3; SBMS
VII 1997-HUD1; and SBMS VII 1997-HUD2 credit ratings
is Bruce D. Fabrikant, Senior Vice President, Structured
Finance Group, JOURNALISTS: 212-553-0376,
SUBSCRIBERS: 212-553-1653.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Minxi Qiu
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Amita Shrivastava
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on $84 million of US Scratch and Dent RMBS issued from 1996 to 1999
