ocwen master advance receivables trust (series 2020-t1)

Presale:

Ocwen Master Advance Receivables Trust (Series2020-T1)August 10, 2020

Preliminary Ratings

Class Preliminary rating Type Interest rateExpected repaymentdate

Stated final maturitydate

Amount (mil.$)

A-T1 AAA (sf) Term note Fixed Aug. 15, 2022 Aug. 15, 2052 415.967

B-T1 AA (sf) Term note Fixed Aug. 15, 2022 Aug. 15, 2052 10.487

C-T1 A (sf) Term note Fixed Aug. 15, 2022 Aug. 15, 2052 10.478

D-T1 BBB (sf) Term note Fixed Aug. 15, 2022 Aug. 15, 2052 31.681

E-T1 BB (sf) Term note Fixed Aug. 15, 2022 Aug. 15, 2052 6.387

Note: This presale report is based on information as of Aug. 10, 2020. The ratings shown are preliminary. This report does not constitute arecommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from thepreliminary ratings.

Transaction Summary

Expected closing date Aug. 17, 2020.

Distribution date The 15th of each month, beginning September 2020.

Total security amount $475 million.

Collateral type Servicer advance receivables and accrued and unpaid servicing fees.

Collateral Servicer advance reimbursements and accrued and unpaid servicing fee reimbursements.

Credit enhancement Overcollateralization (through the advance rates used to determine the price paid for thereceivables), a reserve fund, and subordination.

Participants

Servicer, administrator, and receivables seller PHH Mortgage Corp.

Owner trustee Wilmington Trust N.A.

Indenture trustee, calculation agent, paying agent, and securities intermediary Wells Fargo Bank N.A.

Administrative agent Barclays Bank PLC.

Presale:

Ocwen Master Advance Receivables Trust (Series2020-T1)August 10, 2020

PRIMARY CREDIT ANALYST

Sergey Voznyuk, CFA

New York

+ 1 (212) 438 3010

[email protected]

SECONDARY CONTACT

Asish B Gelal

New York

+ 212-438-1755

[email protected]

SURVEILLANCE CREDIT ANALYST

Sujoy Saha

New York

(1) 212-438-3902

[email protected]

www.standardandpoors.com August 10, 2020 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]






Participants (cont.)

Depositor Ocwen Advance Facility Transferor LLC.

Issuer Ocwen Master Advance Receivables Trust.

Summary

The issuance of the series 2020-T1 notes is expected to close on Aug. 17, 2020, and part of theproceeds from the sale are expected to be used to redeem the outstanding series 2019-T1 andseries 2019-T2 notes.

On March 31, 2020, the CARES Act enacted COVID-19-related relief for borrowers withgovernment-backed mortgage loans in the form of a temporary forbearance of up to 12 months ofscheduled payments. While non-agency loans do not fall under the CARES Act as it relates to thisforbearance, servicers have been granting forbearance plans to non-agency borrowers also,typically with some variations to those of the CARES Act (e.g., timeframe, approval requirements,etc.) see "Credit FAQ: The Role Of Servicer Advances In U.S. RMBS Amidst COVID-19," publishedApril 8, 2020).

The servicer for the loans in the underlying designated servicing agreements (DSAs) may granttemporary forbearance for borrowers facing hardship as a result of COVID-19 for an initial periodof three months and potentially extend this period once for an additional three months. Theseperiods would consist of one-month deferral plans and result in monthly advances made formissed payments of principal and interest (P&I) and taxes and insurance (escrow) throughout theforbearance protection period. The servicer would subsequently recoup each COVID-19-relateddeferral advance in the subsequent month from general collections. For purposes of this serviceradvance transaction, this recoupment approach may result in reimbursements of theCOVID-19-related P&I and escrow advances at speeds faster than those assumed in ourreimbursement curves.

Our outlook on the servicer advance sector is under a moderate ('BBB') level of stress (see"Reimbursement Curves For Servicer Advance Securitizations Backed By U.S. ResidentialMortgage Loan Advance Receivables," published Dec. 14, 2018. As described in our criteria, thereimbursement curves that we applied in our analysis reflect this outlook.

Rationale

The preliminary ratings assigned to Ocwen Master Advance Receivables Trust's (OMART) $475million advance receivables-backed notes series 2020-T1 reflect our opinion of:

- The strong likelihood of reimbursement of servicer advance receivables given the priority ofsuch reimbursement payments;

- The transaction's revolving period, during which collections or draws on any outstandingvariable-funding notes (VFNs) that are also in a revolving period may be used to fund additionaladvance receivables, and the specified eligibility requirements, collateral value exclusions,credit enhancement test (the collateral test), and amortization triggers intended to maintainpool quality and credit enhancement during this period;

- The transaction's use of pre-determined, rating category-specific advance rates for eachreceivable type in the pool that discount the receivables, which are non-interest bearing, to



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Presale: Ocwen Master Advance Receivables Trust (Series 2020-T1)

satisfy the interest obligations on the notes, as well as provide for dynamicovercollateralization;

- The projected timing of reimbursements of the servicer advance receivables, which, in the'AAA', 'AA', and 'A' rating scenarios, reflects our assumption that the servicer would be replacedand while in the 'BBB' and 'BB' scenarios, reflects the servicer's historical reimbursementexperience;

- The credit enhancement in the form of overcollateralization, subordination, and the seriesreserve accounts;

- The timely interest and full principal payments made under our stressed cash flow modelingscenarios consistent with the preliminary ratings; and

- The transaction's sequential turbo payment structure that applies during any full amortizationperiod.

The preliminary ratings assigned to the series 2020-T1 notes do not address whether the cashflows generated by the receivables pool will be sufficient to pay certain fees, which may becomepayable to the noteholders if certain events occur (see the Transaction Overview section below fora description of these fees).

S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of thecoronavirus pandemic. The consensus among health experts is that the pandemic may now be at,or near, its peak in some regions, but will remain a threat until a vaccine or effective treatment iswidely available, which may not occur until the second half of 2021. We are using this assumptionin assessing the economic and credit implications associated with the pandemic (see our researchhere: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions andestimates accordingly.

S&P Global Ratings' Rankings On PHH Mortgage Corp. Are AVERAGE

On Dec. 27, 2019, S&P Global Ratings affirmed the AVERAGE ranking to PHH Mortgage Corp. (PMC)as a residential prime, subprime, and special servicer (see "PHH Mortgage Corp. AVERAGERankings Affirmed As A Residential Servicer; Outlooks Stable," published Dec. 27, 2019, and"Servicer Evaluation: PHH Mortgage Corp.," published Jan. 22, 2020). We highlight in the reportsthat on Feb. 27, 2018, PMC announced a plan to merge with Ocwen Loan Servicing LLC (Ocwen).While the merger of both parent companies closed on Oct. 4, 2018, the merger of the servicingentities occurred on June 1, 2019. Following the merger, Ocwen has transitioned its loan portfoliofrom its proprietary servicing system to PMC's system (i.e., Black Knight's LoansSphere MSP®).PMC plans to leverage the workforce from the combined company to manage its combinedservicing portfolio following the loan transfer. For reference, S&P Global Ratings previously hadAVERAGE rankings on Ocwen as a residential primary, subprime, special, and subordinate-lienservicer (see "Ocwen Loan Servicing LLC Residential Mortgage Servicer Rankings WithdrawnFollowing Its Merger With PHH Mortgage Corp," published July 3, 2019).

Transaction Overview

Transaction strengths

We believe the following recovery mechanisms are strengths:



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- The strong likelihood of the servicer advance receivables being reimbursed because they aregenerally reimbursed at the top of the underlying transactions' waterfalls.

- For most of the receivables, the servicer may reimburse outstanding advances from the relatedunderlying transactions' general cash flows if liquidation proceeds from the related loans areinsufficient to reimburse outstanding advances (a general collections backstop).

- The transaction documents require the servicer to apply the recoveries to outstandingadvances on a first-in/first-out (FIFO) basis for a majority of the eligible receivables that mayexist at any given time.

We believe the following structural mechanisms are strengths:

- The collateral test, which is required during the revolving period, measures whether there issufficient overcollateralization for all outstanding series issued by OMART based on thepre-determined advance rates and the amount of existing receivables. To prevent this test fromfailing, collections must be used to pay down the balance of the VFN. If the collateral test fails,then full turbo repayment of principal to all series (a facility early amortization event) begins,after the applicable grace period's expiration.

- Target amortization triggers, which upon certain events require principal to be repaid on apredetermined series-level schedule.

- Full amortization triggers, which result in a facility early amortization event and include anevent of default, such as the collateral test's failure.

- Series-specific reserve accounts, which are intended to mitigate interest shortfalls on the ratednotes.

- The advance rates are subject to automatic reductions through a trigger advance ratemechanism; if the collateral's monthly reimbursement rate declines below certain establishedlevels, the advance rates for the related rating category could decrease by a specifiedpercentage, increasing overcollateralization.

Transaction weaknesses

We believe the following features are weaknesses but, as noted, are offset by mitigating factors:

- The notes accrue interest at their respective coupon rates, but the advance receivables do notaccrue interest. To address this negative carry risk, the advance receivables' values arediscounted using advance rates that reflect our projection of the transaction's costs (whichinclude senior fees and interest).

- As is the case in a typical servicer advance securitization, the servicer's practices andoperational strength can affect recovery speeds. Any disruptions or slowdowns of recoveryspeeds would worsen the negative carry. However, the transaction includes triggers that wouldcause a target amortization event or a reduction in advance rates if recovery speeds fall tocertain levels.

- The foreclosure timeline in each state where the underlying loans were originated stronglyinfluences the timeline for recoveries on outstanding receivables. To account for the longerforeclosure timelines in states with judicial foreclosure laws, advance rates for receivables inthese states are generally lower than advance rates for receivables in states with non-judicialforeclosure laws.



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- The transaction documents permit the issuer to purchase receivables that either do not benefitfrom a general collections backstop (non-backstopped) or may not be reimbursed on a FIFObasis (non-FIFO). In addition, the small, low, and middle collateral value exclusion thresholdshave widened in recent years. However, the indenture supplement limits the amount of thesereceivables that are included in calculating the collateral test; moreover, the non-backstoppedreceivables are subject to a loan-level market value test that assigns a zero-collateral value tothe portion of the advances that exceed a certain threshold. Furthermore, the advance rates forthese receivables reflect haircuts that are consistent with our criteria (see the Advance Ratesection).

Transaction collateral

OMART's principal assets are servicer advance receivables, both those purchased on the closingdate as well as those purchased until all the series issued by OMART are paid in full. Serviceradvance receivables represent the reimbursement rights for P&I, escrow, and corporate serviceradvances made by PHH Mortgage Corp. (successor by merger to Ocwen) under their respectiveDSAs. OMART's assets also include rights to payment for deferred servicing fees per some of theseDSAs. The noteholders will be paid from the proceeds the servicers receive when these receivablesare reimbursed. As specified in the DSAs, the servicer must make the following types of advances:

- The scheduled P&I payments that the mortgagors have not paid on time (P&I advances);

- The property taxes and insurance premiums that the mortgagors have not paid on time (escrowadvances); and

- The costs and expenses incurred during the foreclosure, preservation, and sale of mortgagedproperties, including the attorneys' fees and other professional fees and expenses incurred inconnection with any foreclosure, liquidation, or other proceedings arising in the course ofservicing the mortgage loans (corporate advances).

Transaction structure

Series 2020-T1 will be the latest series issued by OMART. Two series, 2019-T1 and 2019-T2, havenotes with outstanding S&P Global Ratings' credit ratings; series 2015-VF5 is an unrated VFN. Thesponsor intends to redeem the series 2019-T1 and series 2019-T2 notes on Aug. 17, 2020, withpart of the proceeds from the issuances of the series 2020-T1 notes. As a master trust issuer,OMART can issue multiple series (each of which may have distinct expected repayment dates[ERDs] or other unique provisions), all of which are backed by a single collateral pool (see chart 1below). As long as PMC is the servicer, the depositor is required to transfer new receivables to theissuer until all series are fully satisfied.



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Chart 1

Transaction mechanics

During the revolving period the issuer may use collections from the receivables or may draw on theVFN that is also in a revolving period (i.e., the VFN holder contributes cash to the issuer and theVFN balance increases proportionally) to purchase additional receivables. To maintain pool qualityand credit enhancement while the pool revolves, the base and supplemental indentures specifyeligibility requirements, collateral value exclusions, the collateral test, and early amortizationtriggers. Although no principal payments are generally due on a series during its revolving period(except in cases where the VFN may be paid principal to satisfy the collateral test), interest is duemonthly.

The revolving period for series 2020-T1 is scheduled to last 24 months. It may end earlier upon theoccurrence of a target amortization event or a facility early amortization event (see the target



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amortization events and facility early amortization events sections below). If a target amortizationevent occurs for any outstanding series, the issuer must pay interest and a targeted principalamount to all noteholders of that series each month until that series is paid in full. If a facility earlyamortization event occurs, all series enter rapid amortization, and any funds remaining afterpaying interest and senior fees are distributed as principal payments each month until all seriesare paid in full. Following the occurrence of a facility early amortization event, our analysisassumes the issuer will no longer acquire additional receivables due to a servicing transfer to asuccessor servicer from the servicers.

The other amounts that may become payable on the notes include default fees, which are payableif an event of default occurs, and ERD fees, which are payable if the related series is notrefinanced by its ERD. In addition, if an event of default occurs, and a full amortization period hascommenced and is continuing, a default fee is payable to the noteholders. ERD and default feesare subordinate to interest and principal payments, and failure to pay such amounts is not anevent of default. S&P Global Ratings' credit ratings do not address the likelihood that either ofthese supplemental fees will be paid.

Eligibility requirements

To maintain certain minimum pool characteristics, the transaction documents specify facilityeligibility requirements, and any receivables that do not meet these requirements are assigned acollateral value of zero. We believe the transaction's facility eligibility requirements are mostlysimilar to those we have observed in peer servicer advance transactions, despite the thresholdsfor smaller pools increasing in recent years, as further described in the Collateral Test section.

A facility eligible receivable, in general, is a receivable that, among other things, relates to a P&I,escrow, or corporate servicer advance that was made by the servicer on a mortgage loan or relatesto a deferred servicing fee earned by the servicer that arises in connection with a first-lienmortgage loan and was included in an eligible DSA.

Collateral test

The collateral test is designed to maintain credit enhancement during each series' revolvingperiod and trigger rapid amortization upon deterioration in enhancement levels. In addition,required enhancement levels for this test will self-adjust with any change in pool compositionbecause the transaction documents include advance rates for each advance type.

As defined in the base indenture, the collateral test requires each series' collateral value to begreater than or equal to the series' invested amount.

To prevent a failure of the collateral test, available funds may be used to reduce the class balanceof the outstanding VFN, per the payment priority, thus reducing the series invested amounts forthe VFN, or the servicer may contribute additional collateral. If the collateral test fails beyond theapplicable grace period, an event of default would occur, after which draws may not be made onthe outstanding VFN. Once the full amortization period begins, following an event of default andthe end of any associated grace period, the payment priority would also change so that principalwould be repaid sequentially to the classes within each series, disregarding any targetamortization amounts.

For purposes of the collateral test, all series specify collateral value exclusions, which means thatzero credit is assigned to certain receivables. These exclusions are in addition to the facilityeligibility requirements discussed above. For example, receivables that cause a DSA's



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advance-to-property value to exceed a certain threshold would be excluded. DSAs with lowunderlying loan balances or counts would also be excluded beyond a certain threshold.Furthermore, although all series allow the issuer to acquire non-FIFO and non-backstoppedreceivables, concentrations of these advance types beyond 15% and 35%, respectively, areexcluded for purposes of calculating the collateral test. Although non-FIFO and non-backstoppedreceivables above these thresholds are omitted for the collateral test, any applicable cash flowsfrom these receivables are included in the transaction. We believe the collateral value exclusions,on an overall basis, are similar to those we have observed in peer servicer advance transactionswith the exception of eligibility parameters relating to collateral that is assigned a positivecollateral value from small, low, and middle threshold servicing agreements. While thesethresholds have not changed, they remain higher than what we have typically observed in similarservicer advance transactions. We determined that these threshold levels do not warrantadditional advance rate haircuts because there are mitigating collateral value exclusions (CVEs).One example is the market value ratio test, which effectively limits the servicer from advancingmore than 50% of the net property value. The CVE thresholds for small, small plus low, and smallplus low plus middle threshold servicing agreements are 10.0%, 25.0%, and 40.0%, respectively.The aforementioned CVEs for small, middle, and low thresholds in the facility, in general, are aresult of natural migration as more loans pay off, and there are fewer loans in the DSA, someperforming and others non-performing.

A small threshold servicing agreement is a DSA that either has less than 15 loans or for which theunderlying loans have an unpaid principal balance of less than $1 million. A low thresholdagreement is a DSA that is not a small threshold servicing agreement and that either has at least15 but fewer than 50 loans or for which the underlying loans have an unpaid principal balance of$1 million-$10 million. The corresponding values for a middle threshold servicing agreement (thatis not a small or low threshold servicing agreement) are 50-100 loans and a $10 million-$20million balance.

Target amortization events

The events that would trigger a target amortization period include:

- The series reaches the ERD and is not refinanced;

- The three-month rolling average of total advance receivables collected each month is less than5x the aggregate interest due for each class of notes in the current month;

- One or more servicer termination events occurs under the DSAs that represent more than 15%of all DSAs by mortgage loan balance in the facility, with certain exceptions (calculated on arolling 12-month basis);

- The monthly reimbursement rate is less than 5.00%;

- The series reserve account is not replenished on the payment date following a draw; or

- The administrator fails to deliver the servicing report within five days of the due date.

Certain other events, including those generally related to PMC's performance and theperformance of the outstanding VFN series, constitute a target amortization event for the VFN andmay potentially cause a facility early amortization event if a target amortization payment is notmade when due. If this occurs, each series would be paid according to the facility amortizationwaterfall.

For each month during the target amortization period, principal must be paid to the noteholders



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according to a schedule. If any series does not receive the amount due, an event of default and afacility early amortization event would occur. Whether a target amortization amount is paid whendue is not integral to our cash flow analysis because, per our criteria, our analysis assumes that afacility early amortization event has occurred.

Facility early amortization events

The facility early amortization events include:

- An event of default under the base indenture, which may result from, among other things,failure to pay interest or principal (including target amortization amounts) to any outstandingseries on any payment date (but excluding failure to pay ERD or default fees);

- U.S. income tax is imposed on the issuer;

- The failure of the collateral test is unremedied for two days; or

- The receivables seller fails to sell or contribute additional receivables as required under thetransaction documents or the servicer sells or contributes receivables related to an underlyingtransaction to anyone other than the issuer.

Following an unwaived facility early amortization event, the payment priority, after paying seniorissuer-level fees, allocates available funds to each series based on its series invested amounts asof the end of the revolving period. After paying series-level fees and interest, remaining seriesavailable funds are paid as principal to the classes in sequential order.

Advance Rates

Each receivable purchased by the issuer will be discounted according to the advance ratesspecified in the transaction documents (see tables 1-4). According to our criteria, we consideredthe following when assessing whether the advance rates, which determine credit enhancement,are consistent with our preliminary ratings:

- Our projected timing of reimbursements, which is dependent on our servicer advance sectoroutlook, the advance type mix, and, for 'BBB' ratings and below, the servicer classification(further described below);

- The transaction's fees and note interest liabilities;

- Our cash flow analysis, which assesses whether the advance rates are sufficient fornoteholders to receive timely interest and ultimate principal based on the capital structure(further described below);

- The presence of any non-FIFO or non-backstopped receivables;

- The tenor of the revolving period; and

- Whether the weighted average advance rates exceeded the rating-category maximumsdescribed in our criteria.

After considering these factors, as further described below, we determined that the advance ratematrices in the transaction are consistent with our preliminary ratings.



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Table 1

Series 2020-T1 FIFO/Backstopped Advance Rates

Advance rate (%)

Advance type Class A-T1 Class B-T1 Class C-T1 Class D-T1 Class E-T1

Rating scenario 'AAA' 'AA' 'A' 'BBB' 'BB'

P&I (non-judicial) 89.50 91.00 92.25 96.00 96.50

P&I (judicial) 84.00 85.75 87.50 94.00 94.75

DSF (non-judicial) 89.75 90.75 92.00 95.75 96.25

DSF (judicial) 84.00 85.50 87.00 93.50 94.25

Escrow (non-judicial) 89.75 90.75 92.00 95.75 96.25

Escrow (judicial) 84.00 85.50 87.00 93.50 94.25

Corporate (non-judicial) 89.75 90.75 92.00 95.75 96.25

Corporate (judicial) 84.00 85.50 87.00 93.50 94.25

P&I--Principal and interest. DSF--Deferred servicing fees. FIFO--First-in, first-out.

Table 2

Series 2020-T1 FIFO/Non-Backstopped Advance Rates

Advance rate (%)



P&I (non-judicial) 79.50 83.00 86.25 92.00 94.50

P&I (judicial) 74.00 77.75 81.50 90.00 92.75

DSF (non-judicial) 79.75 82.75 86.00 91.75 94.25

DSF (judicial) 74.00 77.50 81.00 89.50 92.25


Escrow (judicial) 74.00 77.50 81.00 89.50 92.25




Table 3

Series 2020-T1 Non-FIFO/Backstopped Advance Rates

Advance rate (%)



P&I (non-judicial) 84.50 87.00 89.25 94.00 95.50

P&I (judicial) 79.00 81.75 84.50 92.00 93.75

DSF (non-judicial) 84.75 86.75 89.00 93.75 95.25

DSF (judicial) 79.00 81.50 84.00 91.50 93.25



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Table 3

Series 2020-T1 Non-FIFO/Backstopped Advance Rates (cont.)

Advance rate (%)



Escrow (judicial) 79.00 81.50 84.00 91.50 93.25




Table 4

Series 2020-T1 Non-FIFO/Non-Backstopped Advance Rates

Advance rate (%)



P&I (non-judicial) 74.50 79.00 83.25 90.00 93.50

P&I (judicial) 69.00 73.75 78.50 88.00 91.75

DSF (non-judicial) 74.75 78.75 83.00 89.75 93.25

DSF (judicial) 69.00 73.50 78.00 87.50 91.25


Escrow (judicial) 69.00 73.50 78.00 87.50 91.25




Projected timing of reimbursements and assumed advance type mix

Our criteria specify different reimbursement curves for each advance receivable type and ratingcategory. For relatively slower projected reimbursement curves, we generally expect higher creditenhancement levels (i.e., lower advance rates) to address the relatively greater negative carry andvice versa. Accordingly, the pool composition will drive our overall weighted average projectedreimbursement curve (and the advance rates) for each rating category. Table 5 below shows thepool mix used in our analysis.

Table 5

OMART Series 2020-T1

Advance type Proportion of total (%)

Non-judicial non-P&I 14.60

Judicial non-P&I 46.47

Non-judicial P&I 15.35



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Table 5

OMART Series 2020-T1 (cont.)

Advance type Proportion of total (%)

Judicial P&I 23.58

P&I--Principal and interest. Non-P&I--Corporate advances, escrow advances, and deferred servicing fees.

Servicer Advance Sector Outlook

Our current outlook on the servicer advance sector is that it is under a moderate ('BBB') level ofstress (see "Reimbursement Curves For Servicer Advance Securitizations Backed By U.S.Residential Mortgage Loan Advance Receivables," published Dec. 14, 2018 and "Credit FAQ: TheRole Of Servicer Advances In U.S. RMBS Amidst COVID-19," published April 8, 2020). As describedin our criteria, the reimbursement curves that we applied in our analysis reflect this outlook.

Servicer classification for reimbursement curves at 'BBB' and lower

We have previously analyzed PMC-specific historical loan transition data from LoanPerformance(a third-party data provider) in addition to data provided by PMC. We used both sets of data toderive PMC-specific reimbursement curves and compared the PMC-specific reimbursementcurves with our three 'B' reimbursement curves ("above standard," "standard," and "belowstandard"), which represent our expected case as described in our criteria. The PMC-specificreimbursement curves were most consistent with our 'B' "above standard" curve. For thistransaction we received updated reimbursement data from PMC and reviewed the reimbursementspeeds in the OMART facility, which corroborate our "above standard" assessment. As previouslynoted, PMC is the successor by merger to Ocwen.

Due to the aforementioned qualitative and quantitative factors, we assigned an "above standard"servicer classification for this transaction.

Therefore, when analyzing the preliminary 'BBB (sf)' and 'BB (sf)'-rated classes, we used,respectively, the 'BBB' and 'BB' "above standard" curves set forth in our criteria. At the 'A' ratinglevel and higher, our reimbursement curves are indifferent to the servicer's historicalreimbursement rates; therefore, the "above standard," "standard," and "below standard"categories are not applicable. We assume the existing servicer will not be operating as servicer inthese high-stress scenarios.

Chart 2 displays the weighted average recovery curves that we applied in our analysis at thevarious rating levels.



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Chart 2

Cash flow analysis

We performed a cash flow analysis (see the Cash Flow Modeling Assumptions And ScenarioAnalysis section below) to determine whether the transaction's advance rates were sufficient topay timely interest and ultimate principal to the preliminary rated classes. In our cash flowanalysis, we evaluated the advance rates, note coupons, and reserve requirements under thereimbursement curves described above. The advance rates used in our cash flow analysis did notreflect any non-FIFO or non-backstopped haircuts because we generally evaluate haircuts on apost-cash flow basis.

Per our criteria, all of the cash flow scenarios that we analyzed simulated a facility earlyamortization event. In these circumstances, we assume additional receivables would not beacquired by the issuer, and the only source to repay the notes is the cash flow from theoutstanding receivables. An additional stress on the cash flows associated with a facility earlyamortization event is the change in payment priority, whereby low coupon bonds pay off fasterthan the higher-coupon subordinate bonds, further stressing the cash flows.

Advance rate haircuts

Consistent with our criteria, some of the issuer's advance rates reflect certain haircuts(reductions) to the advance rates that would otherwise apply to the advance receivable type.These haircuts are applicable when recovery mechanics either do not provide for a generalcollections backstop or potentially operate on a non-FIFO basis.

In circumstances where a receivable does not benefit from a general collections backstop, theadvance rates provided by the issuer reflected a reduction of 2% for 'BB' to 10% for 'AAA' ratings,



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consistent with our criteria (see tables 2 and 4). In circumstances where a receivable may bereimbursed on a non-FIFO basis, the advance rates provided by the issuer reflected a reduction of1% for 'BB' to 5% for 'AAA', which is also consistent with our criteria (see tables 3 and 4).

Revolving period

When evaluating the transaction's advance rates, we also considered the tenor of the revolvingperiod. As described in our criteria, longer revolving terms may introduce additional risks due tothe increased uncertainty related to potential legal and regulatory concerns facing servicers in theresidential mortgage-backed securities market that could delay advance reimbursements.However, because the revolving period for series 2020-T1 is 24 months, the haircut to the advancerates related to the revolving period tenors are not applicable.

Trigger advance rate

According to the transaction documents, the advance rates are subject to the trigger advancerate. The advance rates for a series will be the lesser of the applicable advance rate related toeach advance type or the trigger advance rate. The trigger advance rate is a function of the series'interest rate, the rate at which advances are reimbursed in a given month, and the class-specificstress multiple set forth in the transaction documents. If the trigger advance rate drops below theweighted average advance rate, the trigger advance rate will instead be used to calculate thecollateral value, resulting in increased credit enhancement.

Reserve account

Each series benefits from a reserve account. The funds on deposit in a reserve account may beused to pay fees and interest for the related series that otherwise have not been paid usingavailable funds. If a facility early amortization event has not occurred or been waived, each series'reserve account will be replenished each month to the amount required by the respectiveindenture supplements. After a facility early amortization event has occurred and has not beenwaived, the reserve funds will no longer be replenished.

The required reserve account amount for each series set forth in the transaction documents is 6.0months' interest for each class. Per our criteria, the required reserve accounts are sufficient for amaximum transaction rating of 'AAA' given that the underlying pools' normalizedHerfindahl-Hirschman Index is approximately 12.6%, the state/territory count is 53, and thetransaction documents limit non-FIFO receivables to 15.0% of the pool. Our criteria includedifferent interest reserve amounts for non-FIFO receivables, and we accounted for this whenanalyzing the reserve account for all series.

Payment Priority

On each distribution date, the available funds or the series available funds, as applicable, will bepaid to the noteholders according to the following payment priority (see table 6).



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Table 6

Payment Waterfall

Priority Payment

If a facility early amortization event is not in effect

1 The indenture trustee fee ($60,000 per year), and owner trustee fee ($5,000 per year), and theindemnification amounts owed to the indenture trustee and owner trustee, with the expenses andindemnification amounts subject to certain expense limits(i).

2 Fees (including verification agent fees of $60,000 per year), series fees, undrawn fees, increased costs,and expenses and indemnification amounts, subject to the applicable expense limit(i), increased costslimit, and series fee limit(ii).

3 The senior interest amount due to each series of notes, pro rata, according to the interest entitlement.Any deficiencies will be covered by funds in the related series' reserve account to the extent possible.

4 An amount to the series' reserve account, up to the required amount.

5 To those series that have begun their target amortization period, the respective series' pro rata share ofremaining available funds based on the series' target amortization amounts.

6 Any new receivables' funding amount.

7 Pay down the VFN or reserve cash to satisfy the collateral test.

8 Any due and unpaid ERD fees and default fees to each series of notes, pro rata.

9 Any unpaid fees and expenses.

10 Principal payments to the VFN at the administrator's direction.

11 Any excess cash amount to the depositor to the extent that such payment would not cause a collateraltest failure.

If a facility early amortization event is in effect

1 The indenture trustee fee ($60,000 per year), owner trustee fee ($5,000 per year), and the indemnificationamounts owed to the indenture trustee and owner trustee, with the expenses and indemnificationamounts subject to certain expense limits(i).

2 Verification agent fees ($60,000 per year) and expenses and indemnification amounts owed foradministrative expenses of the issuer with the expenses and indemnification amounts subject to certainexpense limits(i).

3 All remaining funds allocated to each series, pro rata, based on their series invested amounts as of thedate the full amortization period began.

3(a) Series fees, subject to the series fee limit(ii).

3(b) Undrawn fees related to the VFN.

3(c) Senior interest amount due to each series of notes.

3(d) All remaining series available funds as principal payments to each series in sequential order until eachseries' note balances have been reduced to zero.

3(e) Any due and unpaid ERD and default fees to each note.

3(f) To other series to the extent that they may have had unpaid amounts after allocating their seriesavailable funds for items 3(a) through 3(e), pro rata, based on the amount of such unpaid amounts foreach series.

4 Unpaid fees and expenses.

5 Any other amounts required to be paid according to the indenture supplements.

6 Any excess cash amount to the depositor.

(i)For the indenture trustee, $200,000 in any calendar year; for the owner trustee, $5,000 in any calendar year; for other administrative expenses,$50,000 in any calendar year. (ii)Series fee limit for all series is $0. ERD--expected repayment date. VFN--Variable funding note.



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The paying agent will make payments allocated to each applicable series according to the abovepayment priority from the base indenture as well as the series-specific priority contained withinthe supplemental indentures (see table 7).

Table 7

Series Payment Waterfall

Item Payment

Interest paymentamounts

First, to class A; then to class B; then to class C; then to class D; and then to class E.

Target amortizationprincipal

Pro rata, among the classes of the series based on their respective target amortization amounts(i).

Full amortizationprincipal

First, to class A until its balance has been reduced to zero; then to class B until its balance has beenreduced to zero; then to class C until its balance has been reduced to zero; then to class D until itsbalance has been reduced to zero; and then to class E until its balance has been reduced to zero.

(i)For all series, per a schedule.

Cash Flow Modeling Assumptions And Scenario Analysis

As noted in the Advance Rates section, we modeled the series to simulate 'AAA', 'AA', 'A', 'BBB',and 'BB' rating stress scenarios. In our cash flow modeling, we assumed that an event of defaultoccurred and a full amortization period commenced, that no additional advances are purchasedby the issuer, and that the series allocation percentages are based on the series invested amountsat the end of the revolving period. In each scenario, we modeled the rating-specific reimbursementcurve (see chart 2) and allocated the cash flows received each month to pay senior fees, noteinterest, and turbo principal per the full amortization payment priority (see tables 6 and 7). Weapplied the full amount of the issuer-provided fees to each series, which includeexpenses/indemnifications at their full capped amount, given that, if a single series remainedoutstanding, it would have to bear these expenses, as opposed to the expenses andindemnifications being shared across all outstanding series. We did not model ERD or default feesbecause these are subordinate in the waterfall and not addressed by our ratings, as discussed inour imputed promises criteria (see "Principles For Rating Debt Issues Based On ImputedPromises," published Dec. 19, 2014).

The cash flow results showed that each class of notes for each series received timely interest andfull principal when subjected to the timing stresses that are consistent with the assigned ratings.

In rating this transaction, S&P Global Ratings will review the legal matters that it believes arerelevant to its analysis, as outlined in its criteria.

Related Criteria

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured FinanceTransactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon ANonmonetary EOD, March 2, 2015



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- General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014

- Criteria | Structured Finance | RMBS: Methodology For Rating Servicer Advance SecuritizationsBacked By U.S. Residential Mortgage Loan Advance Receivables, Oct. 30, 2014

- Criteria | Structured Finance | General: Global Framework For Cash Flow Analysis Of StructuredFinance Securities, Oct. 9, 2014

- Criteria | Structured Finance | General: Criteria Methodology Applied To Fees, Expenses, AndIndemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

Related Research

- Ocwen Financial Corp. 'B-' Rating Affirmed And Removed From CreditWatch; Outlook Negative,July 23, 2020

- Credit FAQ: The Role Of Servicer Advances In U.S. RMBS Amidst COVID-19, April 8, 2020

- Servicer Evaluation: PHH Mortgage Corp., Jan. 22, 2020

- PHH Mortgage Corp. AVERAGE Rankings Affirmed As A Residential Servicer; Outlooks Stable,Dec. 27, 2019

- Ocwen Loan Servicing LLC Residential Mortgage Servicer Rankings Withdrawn Following ItsMerger With PHH Mortgage Corp, July 3, 2019

- Credit Rating Model: U.S. RMBS Servicer Advance AR Model, April 11, 2019

- Reimbursement Curves For Servicer Advance Securitizations Backed By U.S. ResidentialMortgage Loan Advance Receivables, Dec. 14, 2018

- Two Rankings Assigned, Two Affirmed On PHH Mortgage Corp. As A Residential Servicer;Outlooks Stable, Sept. 24, 2018

- Deal Analyzer Cash Flow - U.S. RMBS Servicer Advance Model General, Dec. 21, 2015

- Credit FAQ Takes a Closer Look at Standard & Poor's Criteria for Rating Servicer AdvanceTransactions, Aug. 11, 2015

- Global Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects OfMacroeconomic Factors On Credit Quality, July 2, 2014

In addition to the criteria specific to this type of security (listed above), the following criteriaarticles, which are generally applicable to all ratings, may have affected this rating action:"Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019; "GlobalFramework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; and"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012.



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Standard & Poor’s | Research | August 10, 2020 18

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ocwen master advance receivables trust (series 2020-t1)

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