Fitch Takes Actions on 4 Structured Asset Securities Corporation Reverse Mortgage Transactions

Business Wire

NEW YORK--(BUSINESS WIRE)--

Fitch Ratings has affirmed eight classes in four Structured Asset Securities Corporation (SASCO) Reverse Mortgage Transactions. A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'SASCO Reverse Mortgage RMBS Rating Actions for June 4, 2014'.

KEY RATING DRIVERS

The reverse mortgage transactions reviewed are collateralized by mortgage pools consisting of one-to-four family, first lien, non-recourse reverse mortgage loans. A portion of the mortgage loans provide for periodic credit line draws by the borrower. Each transaction has a funding account comprised of cash and/or securities to fund these draws. No interest or principal is due on the loans until the occurrence of a maturity event triggered by the borrower moving, passing away, selling the home, or voluntarily prepaying the loan in full.

As maturity events occur and the reverse mortgage loans are repaid, funds are allocated to pay interest and principal on the notes. Since maturity events may not occur in a consistent pattern over time, the funding accounts are also required to maintain several months of interest reserves to cover potential interest shortfalls on the notes. Currently, all of the transactions' funding accounts are at, or near, their target amounts.

RATING SENSITIVITIES

The loss amount on each loan was calculated by first estimating the current market value of the property and then applying Fitch's market value decline assumptions which range from 10% in 'Bsf' stress to 35% in the 'AAAsf' stress. Fitch then calculated the carry cost on the loan (accrued interest, taxes, insurance, legal fees) that would occur during the liquidation timeline.

Fitch assumed liquidation timelines for each rating stress which ranged from 15 months in the 'Bsf' stress to 30 months in the 'AAAsf' stress, six months shorter than the timelines Fitch assumes for non-Agency distressed loan liquidations. The loss on each loan was derived by subtracting the current loan balance of the reverse mortgage plus the carry cost from the adjusted home value. Loss analysis was conducted only on loans that have matured or are expected to mature within the next 10 years based on the borrower's profile.

Finally, the loan level loss in each rating category was tallied to determine the overall loss at each rating stress. On average the losses ranged from 29% in the 'Bsf' stress to 52% in the 'AAAsf' stress.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'U.S. RMBS Surveillance Criteria' (Oct. 10, 2013);

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).

Applicable Criteria and Related Research: SASCO Reverse Mortgage RMBS Rating Actions for June 4, 2014

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749902

U.S. RMBS Surveillance Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=720170

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=832950

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contact:
Fitch Ratings
Presenting Analyst
Ryan O'Loughlin
Analyst
+1-212-908-0387
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Grant Bailey
Managing Director
+1-212-908-0544
or
Media Relations:
Sandro Scenga, +1-212-908-0278 (New York)
sandro.scenga@fitchratings.com

View Comments (0)