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Rating Action:

Moody's takes action on $247 Million of US Scratch and Dent RMBS issued by Various Issuers

19 May 2013

New York, May 19, 2013 -- Moody's Investors Service has downgraded the rating of 1 tranche and upgraded the ratings of 8 tranches from 6 transactions, backed by Scratch and Dent loans.

Complete rating actions are as follows:

Issuer: Security National Mortgage Loan Trust 2004-2

Cl. AV, Downgraded to B2 (sf); previously on Jun 21, 2012 Confirmed at Ba3 (sf)

Issuer: Security National Mortgage Loan Trust 2006-3

Cl. A-1, Upgraded to Baa1 (sf); previously on Jun 21, 2012 Confirmed at Baa3 (sf)

Issuer: Structured Asset Securities Corporation 2005-GEL3

Cl. M3, Upgraded to A3 (sf); previously on Jun 18, 2012 Confirmed at Baa3 (sf)

Issuer: Structured Asset Securities Corporation 2006-GEL1

Cl. M1, Upgraded to Ba2 (sf); previously on Mar 5, 2009 Downgraded to B3 (sf)

Issuer: Structured Asset Securities Corporation 2006-GEL2

Cl. A2, Upgraded to Baa1 (sf); previously on Jun 18, 2012 Upgraded to Ba2 (sf)

Cl. M1, Upgraded to Ca (sf); previously on Mar 5, 2009 Downgraded to C (sf)

Issuer: Structured Asset Securities Corporation 2007-GEL2

Cl. A1, Upgraded to Baa1 (sf); previously on Jun 18, 2012 Upgraded to Ba3 (sf)

Cl. A2, Upgraded to B1 (sf); previously on Mar 5, 2009 Downgraded to Caa2 (sf)

Cl. A3, Upgraded to Caa3 (sf); previously on Mar 5, 2009 Downgraded to Ca (sf)

RATINGS RATIONALE

The actions are a result of recent performance review of these deals and reflect Moody's updated loss expectations on these pools.

Today's rating actions constitute of one downgrade and six upgrades. The downgrade on Cl. AV in Security National Mortgage Loan Trust 2004-2 reflects the weakening of collateral performance. The six upgrades are primarily driven by increasing credit enhancement to the bonds provided by subordination and excess spread in addition to a faster than expected paydown of the most senior certificates.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility.

Loan Modifications

Moody's adjusts the methodologies noted above for Moody's current view on loan modifications. As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013.

Small Pool Volatility

The above RMBS approach only applies to structures with at least 40 loans and a pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to 40 loans or lower. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. Please refer further to Moody's Investors Service's Withdrawal Policy, which can be found on our website, www.moodys.com.

For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate.

To project losses on scratch and dent pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on strength of the collateral, number of loans remaining in the pool and the level of current delinquencies in the pool. For scratch and dent, Moody's first applies a baseline delinquency rate of 11% for standard transactions and 3% for strongest prime-like deals. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a standard pool with 75 loans, the adjusted rate of new delinquency is 11.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.75 to 2.5 for current delinquencies that range from less than 2.5% to greater than 30% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication.

When assigning the final ratings to the bonds, in addition to the methodologies described above, we considered the volatility of the projected losses and timeline of the expected defaults.

The primary sources of assumption uncertainty are our central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.5% in December 2011 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions.

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF329188

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF247004

REGULATORY DISCLOSURES

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Minxi Qiu
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Amita Shrivastava
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's takes action on $247 Million of US Scratch and Dent RMBS issued by Various Issuers
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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