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Rating Action:

Moody's takes action on $4.5 Billion of reverse mortgage bonds issued between 2005 and 2008

27 May 2015

New York, May 27, 2015 -- Moody's Investors Service has downgraded 13 securities from 10 deals backed by Home Equity Conversion Mortgages (HECM). Moody's also downgraded six HECM reverse mortgage backed resecuritization bonds from two deals. In addition, Moody's has upgraded the rating of class A-1 issued by Structured Assets Securitization Corporation (SASCO) 2005-RM1 and the rating of class A1 issued by SASCO 2007-RM1.

The collateral backing HECM transactions transactions consists primarily of HECM reverse mortgages that benefit from mortgage insurance protection from the Federal Housing Administration, a federal agency in the Department of Housing and Urban Development (HUD). The collateral backing SASCO transactions consists primarily of first lien, non-recourse and uninsured reverse mortgage loans.

Issuer: Mortgage Equity Conversion Asset Trust 2006-SFG1

Cl. A, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Mortgage Equity Conversion Asset Trust 2006-SFG2

Cl. A, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Mortgage Equity Conversion Asset Trust 2006-SFG3

Cl. A, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Mortgage Equity Conversion Asset Trust 2007-FF1

Cl. A, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Mortgage Equity Conversion Asset Trust 2007-FF2

Cl. A, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Mortgage Equity Conversion Asset Trust 2007-FF3

Cl. A, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to B1 (sf)

Cl. IO, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to B1 (sf)

Issuer: Reverse Mortgage Loan Trust, Series REV 2007-2

Cl. A, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba2 (sf)

Issuer: Riverview HECM Trust 2007-4

CL. A, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Riverview HECM Trust, Series 2007-1

CL. A, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Riverview HECM Trust, Series 2008-1

Cl. A-1, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Cl. A-2, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Cl. A-3, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Cl. A-4, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Cl. A-5, Downgraded to B2 (sf); previously on Mar 7, 2012 Downgraded to Ba3 (sf)

Issuer: Riverview Mortgage Loan Trust 2007-2

Cl. A-2, Downgraded to B3 (sf); previously on Mar 7, 2012 Downgraded to B1 (sf)

Cl. X, Downgraded to B1 (sf); previously on Mar 7, 2012 Downgraded to Ba2 (sf)

Issuer: Riverview Mortgage Loan Trust 2007-3

CL. A-1, Downgraded to B3 (sf); previously on Mar 7, 2012 Downgraded to B1 (sf)

Cl. X, Downgraded to B3 (sf); previously on Mar 7, 2012 Downgraded to B1 (sf)

Issuer: SASCO Reverse Mortgage Securities, Series 2005-RM1

Cl. A-1, Upgraded to A1 (sf); previously on Aug 30, 2011 Downgraded to Ba3 (sf)

Issuer: SASCO Reverse Mortgage Securities, Series 2007-RM1

Cl. A1, Upgraded to A3 (sf); previously on Aug 30, 2011 Downgraded to Baa2 (sf)

RATINGS RATIONALE

Today's rating actions on HECM reverse mortgage bonds are primarily based on the application of our new methodology "Moody's Global Approach to Rating Reverse Mortgage Securitizations".

All of the HECM rating actions also reflect updates and corrections to the cash-flow models used by Moody's in rating these transactions. The changes primarily pertain to the servicer fee calculation, coding of triggers, and the calculation of the interest earnings on the funding account. The rating actions on the HECM bonds are primarily due to a change in methodology assumptions rather than the correction of errors in the cash flow models.

Today's upgrades on SASCO bonds are driven by our new methodology "Moody's Global Approach to Rating Reverse Mortgage Securitizations" as well as by improvements in observed macro-economic trends affecting the housing market and in the underlying collateral profile and performance, specifically, the demographics and age profile of the borrowers underlying the transactions, and the levels of credit enhancement available to the bonds.

The class A-1 bond issued by SASCO 2005-RM1 was upgraded to A1 (sf) from Ba3 (sf) because it is backed by loans with strong credit risk metrics such as low Loan To Value (LTV) and high maturity rates. Approximately 51% of the reverse mortgage loans backing the SASCO 2005-RM1 have LTVs of lower than 70 compared to 29% of the loans backing the SASCO 2007-RM1 transaction. In addition, approximately 14% of borrowers backing SASCO 2005-RM1 are expected to exit the pool within the next five years relative to only 4% of borrowers backing the SASCO 2007-RM1 transaction.

The SASCO rating actions also reflect updates and corrections to the cash-flow models used by Moody's in rating these transactions. The changes primarily pertain to the calculation of the owner trustee fee, the servicer fee, the funding account target, and the scheduled notional amount for the class A-IO bonds issued by SASCO transactions. The rating actions on the SASCO bonds are primarily due to a change in methodology assumptions and updated performance rather than the correction of the errors in the cash flow models.

"Moody's Global Approach to Rating Reverse Mortgage Securitizations" details Moody's assumptions for assessing whether the value of the homes at their maturities will be sufficient to pay off the original loans and any accrued interest. The global methodology is based on the analysis of the following factors: (1) the future price of the home; (2) the timing of mortality and mobility events; (3) interest rate risk; (4) liquidity risk; (5) legal and operational risk; and (6) the structure of the transaction.

Our bond ratings incorporate not only quantitative modeling results, but also numerous other factors, including for example the results of sensitivity analyses of the model outputs to certain assumptions and qualitative analyses relating to factors such as underwriting and servicing practices.

METHODOLOGICAL APPROACH

The principal methodology use in these ratings was "Moody's Global Approach to Rating Reverse Mortgage Securitizations" published in May 2015. The methodology use in rating Riverview HECM Trust 2007-4 and Riverview HECM Trust, Series 2008-1 was "Moody's Approach to Rating Resecuritizations" published in February 2014. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Factors that would lead to an upgrade or downgrade of the rating:

Projected loss assumptions remain subject to uncertainty with regard to general economic activity, house prices, interest rates, rates of mortality, morbidity and voluntary prepayments. Lower-than-expected mortality and morbidity rates, higher interest rates, and lower house prices would negatively affect the ratings. Higher-than-expected mortality and morbidity rates, lower interest rates, and higher house prices would positively affect the ratings. Deterioration in credit quality of the transaction counterparties may negatively affect the rating.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's received and took into account one or more third-party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the credit rating.

In rating this transaction, Moody's used a cash flow model to model cash flow stress scenarios to determine the extent to which investors would receive timely payments of interest and principal in the stress scenarios, given the transaction structure and collateral composition.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain 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 certain 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 certain 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.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Jayesh Joseph
Asst Vice President - 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

Linda A Stesney
MD - Structured Finance
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 $4.5 Billion of reverse mortgage bonds issued between 2005 and 2008
No Related Data.
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