MOODY'S REVIEWS FOR POSSIBLE DOWNGRADE TWENTY FIVE CLASSES FROM TWELVE AMORTIZING RESIDENTIAL COLLATERAL TRUST SUBPRIME MORTGAGE SECURITIZATIONS FROM 2001 AND 2002
New York, May 30, 2006 -- Moody's Investors Service has placed under review for possible downgrade
twenty five subordinate certificates from twelve transactions issued by
Structured Asset Securities Corporation's Amortizing Residential
Collateral Trusts in 2001 and 2002. These certificates are secured
by fixed-rate and adjustable-rate subprime home equity loans.
Option One Mortgage Corporation, Wells Fargo Bank Minnesota,
N.A. and Aurora Loan Services, Inc. are the
master servicers for the 2001-BC1, 2001-BC6,
and 2002 transactions, respectively.
The certificates are being placed on review for possible downgrade based
on the weaker than anticipated performance of the mortgage pools and the
resulting erosion of credit support. Overcollateralization amounts
in most of the transactions are currently below their targets and pipeline
losses could cause further depletion of the overcollateralization and
put pressure on the most subordinate tranches. Furthermore,
existing credit enhancement levels may be low given the current projected
losses on the underlying pools.
The complete rating actions are as follows:
Issuer: Amortizing Residential Collateral Trust
Review for Downgrade:
Series 2001-BC1; Class M1, current rating A3,
under review for possible downgrade
Series 2001-BC1; Class M2, current rating Baa3,
under review for possible downgrade
Series 2001-BC6; Class M2, current rating A2,
under review for possible downgrade
Series 2002-BC1, Class M2, current rating A2,
under review for possible downgrade
Series 2002-BC1, Class B, current rating Baa2,
under review for possible downgrade
Series 2002-BC2, Class M1, current rating Aa2,
under review for possible downgrade
Series 2002-BC2, Class M2, current rating A2,
under review for possible downgrade
Series 2002-BC2, Class B, current rating Baa2,
under review for possible downgrade
Series 2002-BC3, Class M2, current rating A2,
under review for possible downgrade
Series 2002-BC3, Class B, current rating Baa2,
under review for possible downgrade
Series 2002-BC4, Class M3, current rating Baa2,
under review for possible downgrade
Series 2002-BC4, Class B1, current rating Baa3,
under review for possible downgrade
Series 2002-BC5, Class M3, current rating Baa2,
under review for possible downgrade
Series 2002-BC6, Class M3, current rating Baa1,
under review for possible downgrade
Series 2002-BC6, Class B, current rating Baa2,
under review for possible downgrade
Series 2002-BC7, Class B1, current rating Baa2,
under review for possible downgrade
Series 2002-BC7, Class B2, current rating Baa2,
under review for possible downgrade
Series 2002-BC7, Class B3, current rating Baa3,
under review for possible downgrade
Series 2002-BC8, Class M3, current rating Baa1,
under review for possible downgrade
Series 2002-BC8, Class M4, current rating Baa2,
under review for possible downgrade
Series 2002-BC8, Class B, current rating Baa3,
under review for possible downgrade
Series 2002-BC9, Class M3, current rating Baa1,
under review for possible downgrade
Series 2002-BC9, Class M4, current rating Baa2,
under review for possible downgrade
Series 2002-BC9, Class B, current rating Baa3,
under review for possible downgrade
Series 2002-BC10, Class M3, current rating Baa2,
under review for possible downgrade
New York
Nicolas S. Weill
Managing Director - Chief Credit
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653