New York, April 23, 2009 -- Moody's Investors Service has downgraded the ratings of sixteen
tranches issued in three transactions of the Ocwen Residential MBS Corporation
Series shelf. The collateral backing each tranche consists primarily
of first lien adjustable-rate and fixed-rate "scratch
and dent" mortgage loans, most of which were experiencing
some type of delinquency at closing.
The actions are triggered by higher than anticipated delinquency levels
and severity of loss as well as slower than anticipated voluntary prepayments,
resulting in higher updated loss expectation for the underlying collateral
and lower coverage for the rated debt given available credit enhancement.
The ratings on the securities are monitored by evaluating factors determined
to be applicable to the credit profile of the securities, such as
i) the nature, sufficiency, and quality of historical performance
information regarding the asset class ii) an analysis of the collateral
being securitized, iii) an analysis of the transaction's allocation
of collateral cash flow and capital structure, and (iv) a comparison
of these attributes against those of other similar transactions.
General loss estimation methodology is outlined below.
For seasoned vintages (before 2005), Moody's calculates estimated
losses for Scratch and Dent RMBS as follows:
- Current delinquencies are used to project pipeline losses.
- Annual roll rates are assumed at 0% for 30 days,
15% for 60 days, 30% for 90 days, 65%
for foreclosures and 90% for REO.
- Severities used are higher of 65% or actual historical
severity for each transaction.
- Adjustments to roll rates and severities were made for very seasoned
transactions and when pool factors were very low.
- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year loss and
expected pipeline loss. The transaction expected loss is projected
out over the deal's expected remaining life. Depending on a transaction's
time of origination, a 75% weight can be applied to pipeline
loss when it is considered to be more representative of future expected
performance than the previous year's losses.
- Expected loss is finally compared to credit enhancement to derive
a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than our current
expectations. Moody's will continue to evaluate performance data
as it becomes available and will assess the pattern of potential future
defaults and adjust loss expectations accordingly if necessary.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
Complete rating actions are as follows:
Ocwen Residential MBS Corporation 1998-R2
B1-F, Downgraded to A3; previously on 6/29/1998 Assigned
Aa2
B2-F, Downgraded to Ca; previously on 6/29/1998 Assigned
A2
B3-F, Downgraded to Ca; previously on 6/29/1998 Assigned
Baa2
B4-F, Downgraded to Ca; previously on 7/27/2004 Downgraded
to B1
B5-F, Downgraded to C; previously on 7/27/2004 Downgraded
to Ca
B1-A, Downgraded to A1; previously on 6/29/1998 Assigned
Aa2
B2-A, Downgraded to Caa1; previously on 6/29/1998 Assigned
A2
B3-A, Downgraded to Ca; previously on 6/29/1998 Assigned
Baa2
B4-A, Downgraded to C; previously on 3/1/2007 Downgraded
to B2
B5-A, Downgraded to C; previously on 3/1/2007 Downgraded
to Caa2
Ocwen Residential MBS Corporation 1999-R1
B3-F, Downgraded to Ba3; previously on 3/31/1999 Assigned
Baa2
B4-F, Downgraded to Ca; previously on 5/1/2006 Downgraded
to Caa2
B4-A, Downgraded to Ca; previously on 11/30/2006 Downgraded
to B1
Ocwen Residential MBS Corporation 1999-R2
AP, Downgraded to A1; previously on 6/30/1999 Assigned Aaa
B1, Downgraded to Ba3; previously on 7/27/2004 Upgraded to
Aaa
B2, Downgraded to C; previously on 6/30/1999 Assigned A3
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF163633
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Odile Grisard Boucher
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on Ocwen scratch and dent transactions