New York, February 24, 2011 -- Moody's Investors Service has downgraded the rating of class AXP1 and
has confirmed the rating of class AXPR issued by Structured Asset Securities
Corporation (SASCO) 2006-12. In addition, Moody's
has also downgraded the ratings of classes AXP and AX7N issued by Structured
Asset Securities Corporation Trust 2007-9.
Issuer: Structured Asset Securities Corporation 2006-12
Cl. AXP1, Downgraded to Caa3 (sf); previously on Mar
12, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. AXPR, Confirmed at Caa2 (sf); previously on Mar
12, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation Trust 2007-9
Cl. AXP, Downgraded to Caa3 (sf); previously on Mar
12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. AX7N, Downgraded to Caa3 (sf); previously on Mar
12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The actions are as a result of the bonds not having sufficient credit
enhancement to maintain the current ratings compared to the revised loss
expectation on the pools of mortgages backing the underlying certificates.
The Group 1 resecuritization bonds issued by SASCO 2006-12 are
backed by the Classes 1-AX and 2-AX (" Underlying Certificates
") issued by IndyMac INDX Mortgage Loan Trust 2006-AR14.
The Group 2 resecuritization issued by SASCO 2006-12 is backed
by Classes I-AX and II-AX ("Underlying Certificates") issued
by RALI Series 2006-QO8 Trust. The underlying certificates
of both groups are backed primarily by Option ARM residential mortgage
loans.
The Class AXP1 and Class AXPR issued by SASCO 2006-12 are both
interest only (IO) classes that receive payments from the respective underlying
certificates.
The resecuritization bonds issued by SASCO 2007-9 are backed by
Class AX issued by Lehman XS Trust Series 2007-7N and class 2-AX
issued by Lehman XS Trust Series 2007-12N ("Underlying Certificates")
. The underlying certificates are backed primarily by Option ARM
residential mortgage loans. The Classes AXP and AX7N issued by
SASCO 2007-9 are both interest only (IO) classes that receive payments
from the respective underlying certificates.
Moody's ratings on the resecuritization certificates are based on:
(i) The updated expected loss on the pools of loans backing the underlying
certificates and the updated ratings on the underlying certificates.
Moody's current loss expectations on the pools backing underlying certificates
and the current ratings on the underlying certificates can be found at
http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF225686
(ii) The credit enhancement available to the underlying certificates,
and
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumptions on the underlying pools of
mortgage loans (backing the underlying certificates) and then arrived
at updated ratings on the underlying certificates. The ratings
on the underlying certificates are based on expected recoveries on the
bonds under ninety-six different combinations 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. For details regarding Moody's approach to estimating losses
on Option Arm pools, please refer to the methodology publications
" Option ARM RMBS Loss Projection Update: March 2010", available
on Moodys.com.
In order to determine the ratings of the resecuritized bonds, Moody's
first determined the weighted average portfolio rating of the underlying
securities. This portfolio rating is then ascribed to the resecuritization
bonds according to the structure of the transaction.
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.
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.
As part of the sensitivity analysis, we stressed the updated expected
losses on the pools of loans backing the underlying certificates by an
additional 10% and found that the implied ratings on the resecuritization
bonds do not change.
Moody's Investors Service received and took into account third party due
diligence reports on the underlying assets or financial instruments in
these transactions and the due diligence reports had neutral impact on
the ratings.
A list of these actions including CUSIP identifiers may be found at:
http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF236932
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties 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.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
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 takes action on RMBS resecuritized interest-only bonds issued by Structured Asset Securities Corporation Trust