New York, May 01, 2009 -- Moody's Investors Service has downgraded the ratings of 120 tranches from
13 Alt-A RMBS transactions issued by Structured Asset Securities
Corporation. The collateral backing these transactions consists
primarily of first-lien, adjustable-rate, Alt-A
residential mortgage loans.
These actions are a result of updated loss expectations on the underlying
collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by assessing cumulative losses
incurred over the past 12-months as a percentage of the average
pool factor in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination, overcollateralization,
excess spread and any external support (mortgage insurance, pool
policy, etc.). The available enhancement is weighed
against projected future losses to ultimately arrive at an updated rating.
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 Credit Policy and Methodologies directory.
List of actions:
Structured Asset Sec Corp Trust 2003-31A
Cl. 1-A, Downgraded to A1; previously on 10/27/2003
Assigned Aaa
Cl. 2-A1, Downgraded to A1; previously on 10/27/2003
Assigned Aaa
Cl. 2-A7, Downgraded to A1; previously on 10/27/2003
Assigned Aaa
Cl. 3-A, Downgraded to A1; previously on 10/27/2003
Assigned Aaa
Structured Asset Sec Corp Trust 2003-34A
Cl. 1-A, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 2-A1, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 2-A2, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 2-A3, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 3-A1, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 3-A2, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 3-A3, Downgraded to Aa3; previously on 11/14/2003
Assigned Aaa
Cl. 3-A4, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 3-A5, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 3-A6, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 4-A, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 5-A5, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Cl. 6-A, Downgraded to A1; previously on 11/14/2003
Assigned Aaa
Structured Asset Sec Corp Trust 2003-37A
Cl. 1-A, Downgraded to Baa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 3-A6, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 3-A7, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 5-A, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 5-AX, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 5-PAX, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 6-A, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 7-A, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 8-A1, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 8-A2, Downgraded to Aa2; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Cl. B1-I, Downgraded to Baa3; previously on 9/17/2008
Aaa Placed Under Review for Possible Downgrade
Structured Asset Sec Corp Trust 2003-40A
Cl. 1-A, Downgraded to A2; previously on 1/6/2004
Assigned Aaa
Cl. 2-A, Downgraded to A2; previously on 1/6/2004
Assigned Aaa
Cl. 3-A1, Downgraded to A1; previously on 1/6/2004
Assigned Aaa
Cl. 3-A2, Downgraded to A2; previously on 1/6/2004
Assigned Aaa
Cl. 4-A, Downgraded to A2; previously on 1/6/2004
Assigned Aaa
Cl. 5-A, Downgraded to A2; previously on 1/6/2004
Assigned Aaa
Structured Asset Securities Corp Tr 2002-11A
Cl. 1-A1, Downgraded to Aa3; previously on 6/24/2002
Assigned Aaa
Cl. 1-A2, Downgraded to Aa3; previously on 6/24/2002
Assigned Aaa
Cl. 2-A1, Downgraded to Baa3; previously on 6/24/2002
Assigned Aaa
Cl. 2-A3, Downgraded to Baa3; previously on 6/24/2002
Assigned Aaa
Cl. 3-A, Downgraded to Baa3; previously on 6/24/2002
Assigned Aaa
Cl. 4-A, Downgraded to Baa1; previously on 6/24/2002
Assigned Aaa
Cl. 5-A, Downgraded to Aa2; previously on 6/24/2002
Assigned Aaa
Cl. B1-I, Downgraded to Baa2; previously on 11/30/2005
Upgraded to Aaa
Cl. B1-II, Downgraded to Ba1; previously on 11/30/2005
Upgraded to Aaa
Cl. B1-I-X, Downgraded to Baa2; previously
on 6/24/2002 Assigned Aa2
Cl. B2-I, Downgraded to Caa3; previously on 11/30/2005
Upgraded to Aa2
Cl. B2-II, Downgraded to Caa3; previously on
11/30/2005 Upgraded to Aa2
Cl. B2-I-X, Downgraded to Caa3; previously
on 6/24/2002 Assigned A2
Cl. B3, Downgraded to Ca; previously on 11/30/2005 Upgraded
to Baa1
Structured Asset Securities Corp Tr 2002-21A
Cl. 1-A1, Downgraded to A2; previously on 11/6/2002
Assigned Aaa
Cl. 1-A3, Downgraded to A2; previously on 11/6/2002
Assigned Aaa
Cl. 2-A1, Downgraded to Aa2; previously on 11/6/2002
Assigned Aaa
Cl. 4-A1, Downgraded to Aa2; previously on 11/6/2002
Assigned Aaa
Cl. 4-A2, Downgraded to Aa2; previously on 11/6/2002
Assigned Aaa
Cl. B1-I, Downgraded to Baa1; previously on 11/30/2005
Upgraded to Aaa
Cl. B1-II, Downgraded to A1; previously on 11/30/2005
Upgraded to Aaa
Cl. B1-I-X, Downgraded to Baa1; previously
on 11/6/2002 Assigned Aa2
Cl. B2-I, Downgraded to Baa2; previously on 11/30/2005
Upgraded to Aa2
Cl. B2-II, Downgraded to Baa1; previously on
11/30/2005 Upgraded to Aa2
Cl. B2-I-X, Downgraded to Baa2; previously
on 11/6/2002 Assigned A2
Cl. B3, Downgraded to Ba2; previously on 11/30/2005
Upgraded to Baa1
Structured Asset Securities Corp Tr 2002-25A
Cl. 1-A1, Downgraded to A3; previously on 12/9/2002
Assigned Aaa
Cl. 2-A1, Downgraded to Aa1; previously on 12/9/2002
Assigned Aaa
Cl. 3-A1, Downgraded to Aa1; previously on 12/9/2002
Assigned Aaa
Cl. 4-A1, Downgraded to Aa1; previously on 12/9/2002
Assigned Aaa
Cl. 4-A2, Downgraded to Aa1; previously on 12/9/2002
Assigned Aaa
Cl. B1-I, Downgraded to Baa1; previously on 11/30/2005
Upgraded to Aaa
Cl. B1-II, Downgraded to Aa3; previously on 11/30/2005
Upgraded to Aaa
Cl. B1-I-X, Downgraded to Baa1; previously
on 12/9/2002 Assigned Aa2
Cl. B2-I, Downgraded to Baa2; previously on 11/30/2005
Upgraded to Aa2
Cl. B2-II, Downgraded to A3; previously on 11/30/2005
Upgraded to Aa2
Cl. B2-I-X, Downgraded to Baa2; previously
on 12/9/2002 Assigned A2
B-3, Downgraded to Baa3; previously on 11/30/2005 Upgraded
to Baa1
Structured Asset Securities Corp Tr 2003-17A
Cl. 1-A, Downgraded to Baa3; previously on 6/16/2003
Assigned Aaa
Cl. 2-A1, Downgraded to A1; previously on 6/16/2003
Assigned Aaa
Cl. 2-A2, Downgraded to A1; previously on 6/16/2003
Assigned Aaa
Cl. 2-A3, Downgraded to A1; previously on 6/16/2003
Assigned Aaa
Cl. 3-A1, Downgraded to A1; previously on 6/16/2003
Assigned Aaa
Cl. 3-A2, Downgraded to A1; previously on 6/16/2003
Assigned Aaa
Cl. 3-A3, Downgraded to A1; previously on 6/16/2003
Assigned Aaa
Cl. 4-A, Downgraded to Aa2; previously on 6/16/2003
Assigned Aaa
Cl. 4-AX, Downgraded to Aa2; previously on 6/16/2003
Assigned Aaa
Cl. 4-PAX, Downgraded to Aa2; previously on 6/16/2003
Assigned Aaa
Structured Asset Securities Corp Tr 2003-22A
Cl. 1-A, Downgraded to A1; previously on 7/30/2003
Assigned Aaa
Cl. 2-A1, Downgraded to Aa3; previously on 7/30/2003
Assigned Aaa
Cl. 3-A, Downgraded to A1; previously on 7/30/2003
Assigned Aaa
Cl. 4-A, Downgraded to A1; previously on 7/30/2003
Assigned Aaa
Cl. 4-AX, Downgraded to A1; previously on 7/30/2003
Assigned Aaa
Structured Asset Securities Corp Tr 2003-26A
Cl. 1-A, Downgraded to A2; previously on 9/29/2003
Assigned Aaa
Cl. 2-A, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Cl. 3-A1, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Cl. 3-A5, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Cl. 4-A, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Cl. 5-A, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Cl. 6-A, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Cl. 7-A, Downgraded to A1; previously on 9/29/2003
Assigned Aaa
Structured Asset Securities Corp Tr 2003-2A
Cl. 1-A1, Downgraded to Baa1; previously on 2/18/2003
Assigned Aaa
Cl. 2-A1, Downgraded to Aa2; previously on 2/18/2003
Assigned Aaa
Cl. 3-A1, Downgraded to Aa3; previously on 2/18/2003
Assigned Aaa
Cl. 4-A1, Downgraded to Aa3; previously on 2/18/2003
Assigned Aaa
Cl. 4-A2, Downgraded to Aa3; previously on 2/18/2003
Assigned Aaa
Cl. B1-I, Downgraded to Baa2; previously on 9/21/2006
Upgraded to Aaa
Cl. B1-II, Downgraded to A2; previously on 9/21/2006
Upgraded to Aaa
Cl. B1-I-X, Downgraded to Baa2; previously
on 2/18/2003 Assigned Aa2
Cl. B2-I, Downgraded to Baa3; previously on 9/21/2006
Upgraded to Aa2
Cl. B2-II, Downgraded to Baa2; previously on
9/21/2006 Upgraded to Aa2
Cl. B2-I-X, Downgraded to Baa3; previously
on 2/18/2003 Assigned A2
Cl. B3, Downgraded to Ba3; previously on 9/21/2006 Upgraded
to A2
Structured Asset Securities Corp Tr 2003-6A
Cl. 1-A1, Downgraded to A1; previously on 3/19/2003
Assigned Aaa
Cl. 2-A1, Downgraded to A3; previously on 3/19/2003
Assigned Aaa
Cl. 2-A2, Downgraded to A3; previously on 3/19/2003
Assigned Aaa
Cl. 3-A1, Downgraded to A3; previously on 3/19/2003
Assigned Aaa
Cl. 3-A2, Downgraded to A3; previously on 3/19/2003
Assigned Aaa
Cl. 4-A1, Downgraded to A3; previously on 3/19/2003
Assigned Aaa
Cl. 4-A2, Downgraded to A3; previously on 3/19/2003
Assigned Aaa
Structured Asset Securities Corp Tr 2003-9A
Cl. 1-A1, Downgraded to B3; previously on 4/9/2003
Assigned Aaa
Cl. 2-A1, Downgraded to Baa1; previously on 4/9/2003
Assigned Aaa
Cl. 2-A2, Downgraded to Baa1; previously on 4/9/2003
Assigned Aaa
Cl. 2-A3, Downgraded to Baa1; previously on 4/9/2003
Assigned Aaa
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF160139
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ola Hannoun-Costa
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain SASCO-A Alt-A Seasoned Deals