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Rating Action:

Moody's takes action on RMBS resecuritized interest-only bonds issued by Structured Asset Securities Corporation Trust

24 Feb 2011

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
No Related Data.
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