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Announcement:

Moody's Places $554 million of pre-2004 Disaster Assistance Loans RMBS issued by SASCO on Review

Global Credit Research - 14 Dec 2010

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
No Related Data.
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