New York, December 14, 2010 -- Moody's Investors Service has placed the ratings of 39 tranches from 4
deals issued by Structured Asset Securities Corporation on review for
possible downgrade due to deteriorated collateral credit performance.
The collateral backing each transaction consists of loans originated by
the Small Business Administration to borrowers who have experienced property
losses in disasters recognized by the United States federal government.
Issuer: Structured Asset Securities Corp. Pass-Through
Certificates, Series 2002-AL1
Cl. APO(3), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. B1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aa2 (sf)
Cl. B2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned A2 (sf)
Cl. B3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Baa2 (sf)
Cl. A1(B), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. A2(1), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. A3(1), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. AIO(1), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. APO(1), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. A2(2), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. A3(2), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. AIO(2), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. APO(2), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. A3(3), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Cl. AIO(3), Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Apr 30, 2002 Assigned Aaa (sf)
Issuer: Structured Asset Securities Corporation Assistance Loan
Trust 2003-AL1
Cl. A, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 31, 2003 Assigned Aaa (sf)
Cl. B1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 31, 2003 Assigned Aa2 (sf)
Cl. B3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 31, 2003 Assigned Baa2 (sf)
Cl. B4, B1 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to B1 (sf)
Cl. APO, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 31, 2003 Assigned Aaa (sf)
Cl. B2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 31, 2003 Assigned A2 (sf)
Cl. AIO, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 31, 2003 Assigned Aaa (sf)
Issuer: Structured Asset Securities Corporation Assistance Loan
Trust 2003-AL2
Cl. A, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to Aa2 (sf)
Cl. B1, A1 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to A1 (sf)
Cl. B2, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to Baa2 (sf)
Cl. B3, B3 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to B3 (sf)
Cl. AIO, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to Aa2 (sf)
Cl. APO, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 6, 2009 Downgraded to Aa2 (sf)
Issuer: Structured Asset Securities Corporation Mortgage Pass-Through
Certificates, Series 2001-SB1
Cl. B2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned A2 (sf)
Cl. B3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Baa2 (sf)
Cl. B4, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Ba2 (sf)
Cl. B5, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned B2 (sf)
Cl. A4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Aaa (sf)
Cl. A5, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Aaa (sf)
Cl. APO, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Aaa (sf)
Cl. A2 Component 2, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Jun 29, 2001 Assigned Aaa (sf)
Cl. B1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Aa2 (sf)
Cl. AIO, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Jun 29, 2001 Assigned Aaa (sf)
Cl. A2 Component 1, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Jun 29, 2001 Assigned Aaa (sf)
RATINGS RATIONALE
The review actions were prompted by the increase in loss expectations
on these deals backed by disaster assistance loans that were originated
before 2004 (seasoned loans).
To determine which tranches to place on review, Moody's compared
the tranches' credit enhancement from subordination to a loss proxy that
was based on a multiple of two times the lifetime pipeline losses expected
from the related pools. The lifetime pipeline loss was derived
based on lifetime roll rates to default of 85% for 60-day
delinquencies, 95% for 90+ day delinquencies,
100% for loans in foreclosure, and 100% for loans
where the homes are held-for-sale, each applied with
a severity assumption of 70%. Tranches without enough credit
enhancement to maintain current ratings based on this calculation have
been placed on review for possible downgrade. Tranches expected
to pay off in full in the coming months were not placed on review.
Senior tranches were placed on review according to the subordination offered
by subordinate/mezzanine tranches. Certain tranches that may benefit
from super-seniority or first-pay status in the waterfall
may be confirmed as additional transaction-specific analysis is
concluded over the coming months.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Rating Methodologies subdirectory. Moody's also publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
A list of these actions including CUSIP identifiers may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF228991
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, confidential and proprietary Moody's Analytics'
information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
New York
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's FIS Domestic Sales Office - San Francisco CA
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Places $554 million of pre-2004 Disaster Assistance Loans RMBS issued by SASCO on Review