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Rating Action:

Moody's downgrades $4 bn of Subprime RMBS issued by SABR

08 Jul 2010

New York, July 08, 2010 -- Moody's Investors Service has downgraded the ratings of 53 tranches, confirmed the ratings of 14 tranches, and upgraded the rating of 1 tranche from 20 RMBS transactions issued by Securitized Asset Backed Receivables. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages.

The downgrades are a result of the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007. For details regarding Moody's approach to estimating losses on subprime pools originated in 2005, 2006, and 2007, please refer to the methodology publication "Subprime RMBS Loss Projection Update: February 2010" available on Moodys.com.

To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation® (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings.

The above mentioned approach "Subprime RMBS Loss Projection Update: February 2010" is adjusted slightly when estimating losses on pools left with a small number of loans. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool (typically 20% for subprime pools). Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility and hence the stress applied. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2005 vintage, the adjusted rate of new delinquency would be 20.20%. If current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.2 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication.

One tranche included in this action, noted below, is wrapped by Syncora Guarantee Inc (rated Ca, outlook developing). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier.

The principal methodology used in these ratings was Moody's "Subprime RMBS Loss Projection Update: February 2010", published in February 2010 and available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

Complete rating actions are as follows:

Issuer: Securitized Asset Backed Receivables LLC Trust 2005-EC1

Cl. M-1, Downgraded to Ba3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade

Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. B-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2005-FR1

Cl. M-1, Downgraded to Baa3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2005-FR4

Cl. M-1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. B-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2005-HE1

Cl. A-1B, Downgraded to A2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade

Underlying Rating: Downgraded to A2; previously on Mar 20, 2009 Downgraded to A1

Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009)

Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade

Cl. A-3C, Downgraded to Ba1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR2

Cl. A-2, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR3

Cl. A-2, Downgraded to B3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR4

Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2B, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-HE1

Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-HE2

Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Caa2; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC1

Cl. A-2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2

Cl. A-2, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC3

Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM1

Cl. A-1A, Downgraded to Ba1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade

Cl. A-1B, Downgraded to B2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade

Cl. A-2B, Upgraded to Aaa; previously on Mar 20, 2009 Downgraded to A2

Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM2

Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM3

Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Cl. A-3, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR1

Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2B, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR2

Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR4

Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade

Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC1

Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Baa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade

Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC2

Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Baa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

A list of these actions including CUSIP identifiers may be found at:

Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF209796

A list of updated estimated pool losses and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689

For more information please see www.moodys.com.

San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's downgrades $4 bn of Subprime RMBS issued by SABR
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