Moody's Downgrades Certain SASCO Subprime RMBS
New York, October 31, 2008 -- Moody's Investors Service has downgraded the ratings of 322 tranches from
30 subprime RMBS transactions issued by SASCO. The collateral backing
these transactions consists primarily of first-lien, fixed
and adjustable-rate, subprime residential mortgage loans.
These actions follow and are as a result of Moody's September 18th 2008
announcement that it had updated its loss projections on first-lien
subprime RMBS. (See Moodys.com for the report: Subprime
RMBS Loss Projection Update: September 2008 for details)
Moody's Investors Service announced today that it has published the underlying
ratings on the following insured notes as identified below. The
ratings of these insured notes were previously derived from public ratings
on non-sequential pari passu (i.e. at the same level
of seniority) or more junior uninsured tranches of the same deals.
The underlying ratings reflect the intrinsic credit quality of the notes
in the absence of the guarantee. The ratings on securities that
are guaranteed or "wrapped" by a financial guarantor is the higher of
a) the rating of the guarantor or b) the published underlying rating.
The current ratings on the below notes are consistent with Moody's practice
of rating insured securities at the higher of the guarantor's insurance
financial strength rating and any underlying rating that is public.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corp 2006-W1
Cl. A1, Downgraded to A2 from Aaa
Cl. A4, Downgraded to A1 from Aaa
Cl. A5, Downgraded to Baa1 from Aaa
Cl. M1, Downgraded to Ba1 from Aa1
Cl. M2, Downgraded to Caa2 from Baa1
Cl. M3, Downgraded to C from Ba2
Cl. M4, Downgraded to C from B1
Cl. M5, Downgraded to C from B2
Cl. M6, Downgraded to C from B2
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Caa2
Cl. M9, Downgraded to C from Caa3
Cl. B1, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp 2006-Z
Cl. A1, Downgraded to Ba2 from Aaa
Cl. A2, Downgraded to B2 from Aa3
Cl. M1, Downgraded to C from B2
Cl. M2, Downgraded to C from B2
Cl. M3, Downgraded to C from Caa1
Cl. M4, Downgraded to C from Caa2
Cl. M5, Downgraded to C from Caa3
Cl. M6, Downgraded to C from Caa3
Cl. B1, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2005-NC1
Cl. M3, Downgraded to A2 from Aa3
Cl. M5, Downgraded to Ba3 from A3
Cl. M6, Downgraded to B1 from Baa1
Cl. M7, Downgraded to Ca from Baa2
Cl. M8, Downgraded to Ca from Baa3
Cl. M9, Downgraded to Ca from Ba2
Issuer: Structured Asset Securities Corp Trust 2005-NC2
Cl. M5, Downgraded to A2 from A1
Cl. M6, Downgraded to Baa2 from A2
Cl. M7, Downgraded to Ba1 from A3
Cl. M8, Downgraded to Ba3 from Baa1
Cl. M9, Downgraded to Caa2 from Baa2
Cl. M10, Downgraded to Ca from Baa3
Issuer: Structured Asset Securities Corp Trust 2005-WF1
Cl. M3, Downgraded to A1 from Aa3
Cl. M4, Downgraded to A3 from A1
Cl. M5, Downgraded to Baa2 from A2
Cl. M6, Downgraded to Baa3 from A3
Cl. M7, Downgraded to Ba2 from Baa1
Cl. M8, Downgraded to Ba3 from Baa2
Cl. M9, Downgraded to C from Baa3
Issuer: Structured Asset Securities Corp Trust 2005-WF2
Cl. M4, Downgraded to A3 from A1
Cl. M5, Downgraded to Baa1 from A2
Cl. M6, Downgraded to Baa2 from A3
Cl. M7, Downgraded to Ba1 from Baa1
Cl. M8, Downgraded to Ba3 from Baa2
Cl. M9, Downgraded to B3 from Baa3
Cl. B1, Downgraded to Ca from Ba1
Issuer: Structured Asset Securities Corp Trust 2005-WF4
Cl. M4, Downgraded to A2 from A1
Cl. M5, Downgraded to Baa1 from A2
Cl. M6, Downgraded to Baa3 from A3
Cl. M7, Downgraded to Ba2 from Baa1
Cl. M8, Downgraded to B1 from Baa2
Cl. M9, Downgraded to Ca from Baa3
Cl. B1, Downgraded to Ca from Ba1
Cl. B2, Downgraded to Ca from Caa2
Issuer: Structured Asset Securities Corp Trust 2005-WMC1
Cl. M2, Downgraded to Ba1 from Baa2
Cl. M3, Downgraded to B1 from Baa3
Cl. M4, Downgraded to Caa2 from Ba1
Cl. M5, Downgraded to Caa3 from B3
Issuer: Structured Asset Securities Corp Trust 2006-AM1
Cl. A1, Downgraded to Aa3 from Aaa
Cl. A4, Downgraded to A1 from Aaa
Cl. A5, Downgraded to Baa1 from Aaa
Cl. M1, Downgraded to Ba1 from Aa3
Cl. M2, Downgraded to Caa2 from Ba1
Cl. M3, Downgraded to C from B2
Cl. M4, Downgraded to C from B2
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Caa3
Cl. M9, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-BC1
Cl. A1, Downgraded to A3 from Aaa
Cl. A2, Downgraded to Baa3 from Aaa
Cl. A5, Downgraded to Baa1 from Aaa
Cl. A6, Downgraded to Ba2 from Aaa
Cl. M1, Downgraded to Caa2 from Aa1
Cl. M2, Downgraded to C from Baa3
Cl. M3, Downgraded to C from B2
Cl. M4, Downgraded to C from B2
Cl. M5, Downgraded to C from Caa1
Cl. M6, Downgraded to C from Caa2
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-BC2
Cl. A1, Downgraded to Ba2 from Aaa
Cl. A3, Downgraded to B1 from Aaa
Cl. A4, Downgraded to B3 from Aa1
Cl. M1, Downgraded to C from Ba2
Cl. M2, Downgraded to C from B2
Cl. M3, Downgraded to C from B3
Cl. M4, Downgraded to C from Caa1
Cl. M5, Downgraded to C from Caa2
Cl. M6, Downgraded to C from Caa3
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Ca
Cl. M9, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-BC6
Cl. A1, Downgraded to A1 from Aaa
Cl. A4, Downgraded to A3 from Aaa
Cl. A5, Downgraded to Baa1 from Aaa
Cl. M1, Downgraded to B1 from Aa3
Cl. M2, Downgraded to Ca from Ba2
Cl. M3, Downgraded to C from B1
Cl. M4, Downgraded to C from B1
Cl. M5, Downgraded to C from B2
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Caa2
Cl. M9, Downgraded to C from Caa3
Cl. B, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-EQ1
Cl. A1, Downgraded to Aa2 from Aaa
Cl. A4, Downgraded to A1 from Aaa
Cl. A5, Downgraded to A2 from Aaa
Cl. M1, Downgraded to Baa3 from Aa1
Cl. M2, Downgraded to B2 from Baa2
Cl. M3, Downgraded to Caa2 from B1
Cl. M4, Downgraded to C from B1
Cl. M5, Downgraded to C from B2
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Caa2
Cl. M9, Downgraded to C from Caa3
Cl. B, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-NC1
Cl. A1, Downgraded to A1 from Aaa
Cl. A4, Downgraded to Baa1 from Aa2
Cl. A5, Downgraded to Ba1 from A2
Cl. A7, Downgraded to A1 from Aaa
Cl. M1, Downgraded to Caa2 from B1
Cl. M2, Downgraded to C from B2
Cl. M3, Downgraded to C from B3
Cl. M4, Downgraded to C from Caa1
Cl. M5, Downgraded to C from Caa2
Cl. M6, Downgraded to C from Caa3
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-OPT1
Cl. A5, Downgraded to Aa1 from Aaa
Cl. M1, Downgraded to Baa2 from Aa2
Cl. M2, Downgraded to Ba3 from A3
Cl. M3, Downgraded to Caa2 from Ba1
Cl. M4, Downgraded to C from B2
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2006-WF1
Cl. M4, Downgraded to A3 from A1
Cl. M5, Downgraded to Baa2 from A2
Cl. M6, Downgraded to Ba3 from Baa2
Cl. M7, Downgraded to Caa2 from B2
Cl. M8, Downgraded to C from B3
Cl. M9, Downgraded to C from Caa2
Issuer: Structured Asset Securities Corp Trust 2006-WF2
Cl. M2, Downgraded to Baa1 from Aa2
Cl. M3, Downgraded to Baa3 from Aa3
Cl. M4, Downgraded to Ba2 from A1
Cl. M5, Downgraded to B3 from A2
Cl. M6, Downgraded to Ca from A3
Cl. M7, Downgraded to C from Baa3
Cl. M8, Downgraded to C from B1
Cl. M9, Downgraded to C from B2
Cl. B, Downgraded to C from Caa2
Issuer: Structured Asset Securities Corp Trust 2006-WF3
Cl. M1, Downgraded to Aa2 from Aa1
Cl. M2, Downgraded to Baa1 from A1
Cl. M3, Downgraded to Baa2 from Baa1
Cl. M4, Downgraded to Ba2 from Baa3
Cl. M5, Downgraded to B2 from B1
Cl. M6, Downgraded to Caa2 from B1
Cl. M7, Downgraded to C from B2
Cl. M8, Downgraded to C from B3
Cl. M9, Downgraded to C from Caa1
Cl. M10, Downgraded to C from Caa2
Cl. B, Downgraded to C from Caa3
Issuer: Structured Asset Securities Corp Trust 2007-BC1
Cl. A4, Downgraded to Aa3 from Aaa
Cl. A5, Downgraded to A1 from Aaa
Cl. M1, Downgraded to Ba2 from Aa1
Cl. M2, Downgraded to Caa2 from Baa3
Cl. M3, Downgraded to Ca from B1
Cl. M4, Downgraded to C from B1
Cl. M5, Downgraded to C from B2
Cl. M6, Downgraded to C from B2
Cl. M7, Downgraded to C from B3
Cl. M8, Downgraded to C from Caa1
Cl. M9, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2007-BC2
Cl. A1, Downgraded to A3 from Aaa
Cl. A4, Downgraded to Baa3 from Aaa
Cl. A5, Downgraded to Ba3 from Aa2
Cl. M1, Downgraded to Caa2 from Baa3
Cl. M2, Downgraded to C from B1
Cl. M3, Downgraded to C from B1
Cl. M4, Downgraded to C from B2
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from Caa1
Cl. M7, Downgraded to C from Caa2
Cl. M8, Downgraded to C from Caa3
Cl. M9, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2007-BC3
Cl. 1-A3, Downgraded to A1 from Aaa
Cl. 1-A4, Downgraded to Baa1 from Aaa
Cl. 2-A3, Downgraded to Baa2 from Aaa
Cl. 2-A4, Downgraded to Ba1 from Aaa
Cl. 1-M1, Downgraded to B3 from A3
Cl. 1-M2, Downgraded to C from B1
Cl. 1-M3, Downgraded to C from B1
Cl. 1-M4, Downgraded to C from B2
Cl. 1-M5, Downgraded to C from B2
Cl. 2-M1, Downgraded to B3 from A3
Cl. 2-M2, Downgraded to C from B1
Cl. 2-M3, Downgraded to C from B1
Cl. 2-M4, Downgraded to C from B2
Cl. 2-M5, Downgraded to C from B2
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Caa2
Cl. M9, Downgraded to C from Caa3
Cl. B1, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2007-MLN1
Cl. A1, Downgraded to Baa1 from A2
Cl. A3, Downgraded to A2 from Aa2
Cl. A4, Downgraded to Ba1 from Baa2
Cl. A5, Downgraded to B1 from Ba2
Cl. M1, Downgraded to Caa3 from B1
Cl. M2, Downgraded to C from B2
Cl. M3, Downgraded to C from B3
Cl. M4, Downgraded to C from Caa2
Cl. M5, Downgraded to C from Caa3
Cl. M6, Downgraded to C from Caa3
Cl. M7, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2007-OSI
Cl. A-1, Downgraded to Ba3 from Aa2
Cl. A-2, Downgraded to Baa2 from Aaa
Cl. A-3, Downgraded to Ba1 from Aa1
Cl. A-4, Downgraded to Caa2 from Aa3
Cl. A-5, Downgraded to Caa3 from A2
Cl. M-1, Downgraded to C from Ba3
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from B1
Cl. M-4, Downgraded to C from B2
Cl. M-5, Downgraded to C from B3
Cl. M-6, Downgraded to C from Caa1
Cl. M-7, Downgraded to C from Caa2
Cl. M-8, Downgraded to C from Caa3
Cl. M-9, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A1, Downgraded to A3 from Aaa
Cl. A4, Downgraded to Baa2 from Aaa
Cl. A5, Downgraded to Ba2 from Aa2
Cl. A6, Downgraded to A3 from Aaa
Cl. M1, Downgraded to B3 from Baa2
Cl. M2, Downgraded to Ca from Ba3
Cl. M3, Downgraded to C from B1
Cl. M4, Downgraded to C from B1
Cl. M5, Downgraded to C from B1
Cl. M6, Downgraded to C from B2
Cl. M7, Downgraded to C from B2
Cl. M8, Downgraded to C from Caa1
Cl. M9, Downgraded to C from Caa2
Cl. B1, Downgraded to C from Caa3
Cl. B2, Downgraded to C from Caa3
Cl. B3, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp, Mortgage Pass-Through
Certificates, Series 2006-BC3
Cl. A1, Downgraded to Ba2 from Aaa
Cl. A3, Downgraded to B3 from Aaa
Cl. A4, Downgraded to Ca from Aa3
Cl. M1, Downgraded to C from Ba2
Cl. M2, Downgraded to C from B1
Cl. M3, Downgraded to C from B2
Cl. M4, Downgraded to C from B3
Cl. M5, Downgraded to C from Caa1
Cl. M6, Downgraded to C from Caa2
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp. Trust 2007-EQ1
Cl. A-1, Downgraded to Baa2 from Aa1
Cl. A-2, Downgraded to Aa2 from Aaa
Cl. A-3, Downgraded to Baa2 from Aaa
Cl. A-4, Downgraded to Ba3 from Aa1
Cl. A-5, Downgraded to B1 from Aa3
Cl. M-1, Downgraded to Caa2 from Baa3
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from B1
Cl. M-4, Downgraded to C from B1
Cl. M-5, Downgraded to C from B2
Cl. M-6, Downgraded to C from Caa1
Cl. M-7, Downgraded to C from Caa2
Cl. M-8, Downgraded to C from Caa3
Cl. M-9, Downgraded to C from Ca
Cl. B-1, Downgraded to C from Ca
Issuer: Structured Asset Securities Corp., Mortgage
Pass-Through Certificates, Series 2007-WF2
Cl. A-1, Downgraded to Aa2 from Aaa
Cl. A-3, Downgraded to A1 from Aaa
Cl. A-4, Downgraded to A3 from Aaa
Cl. M-1, Downgraded to Ba1 from Baa2
Cl. M-2, Downgraded to Ba3 from Ba1
Cl. M-3, Downgraded to B2 from B1
Cl. M-4, Downgraded to Caa2 from B2
Cl. M-5, Downgraded to C from B3
Cl. M-6, Downgraded to C from Caa2
Issuer: Structured Asset Securities Corporation Mortgage Pass-Through
Certificates, Series 2006-BC4
Cl. A1, Downgraded to B2 from Aa2
Cl. A4, Downgraded to Ba2 from Aaa
Cl. A5, Downgraded to Caa2 from A2
Cl. M1, Downgraded to C from Ba3
Cl. M2, Downgraded to C from B1
Cl. M3, Downgraded to C from B2
Cl. M4, Downgraded to C from B3
Cl. M5, Downgraded to C from Caa1
Cl. M6, Downgraded to C from Caa2
Cl. M7, Downgraded to C from Caa3
Cl. M8, Downgraded to C from Caa3
Cl. M9, Downgraded to C from Ca
Issuer: Structured Asset Securities Corporation Series 2005-AR1
Cl. A2, Currently Aaa
Financial Guarantor: CIFG Assurance North America, Inc.
(B3, outlook uncertain)
Underlying Rating: Aaa
Cl. M2, Downgraded to A1 from Aa2
Cl. M3, Downgraded to Baa2 from Aa3
Cl. M4, Downgraded to Ba3 from A3
Cl. M5, Downgraded to B3 from Baa1
Cl. M6, Downgraded to Ca from Ba1
Cl. M7, Downgraded to C from B2
Cl. M8, Downgraded to C from Caa2
Cl. M9, Downgraded to C from Caa3
Cl. B1, Downgraded to C from Ca
Issuer: Structured Asset Securities Corporation Trust 2006-BC5
Cl. A1, Downgraded to Baa2 from Aaa
Cl. A3, Downgraded to Aa1 from Aaa
Cl. A4, Downgraded to Baa3 from Aaa
Cl. A5, Downgraded to Ba1 from Aaa
Cl. M1, Downgraded to Ca from Baa3
Cl. M2, Downgraded to C from B1
Cl. M3, Downgraded to C from B2
Cl. M4, Downgraded to C from B2
Cl. M5, Downgraded to C from B3
Cl. M6, Downgraded to C from B3
Cl. M7, Downgraded to C from Caa1
Cl. M8, Downgraded to C from Caa2
Cl. M9, Downgraded to C from Caa3
Cl. B, Downgraded to C from Ca
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF146467
For more information please see www.moodys.com.
New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph DiMiceli
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653