Moody's takes action on SASCO scratch and dent deals
New York, July 28, 2008 -- Moody's Investors Service has downgraded the ratings of fifty five
tranches issued in ten transactions from the Structured Asset Securities
Corporation GEL shelf. The collateral backing each tranche consists
primarily of first lien adjustable-rate and fixed-rate "scratch
and dent" mortgage loans.
The actions are part of an ongoing, wider review of all RMBS transactions,
in light of the deteriorating housing market and rising delinquencies
and foreclosures. Many "scratch and dent" pools originated
since 2004 are exhibiting higher than expected rates of delinquency,
foreclosure, and REO (Real Estate Owned, or properties owned
by lenders following foreclosure). The rating adjustments will
vary based on current ratings, level of credit enhancement,
collateral characteristics, pool-specific historical performance,
quarter of origination, and other qualitative factors.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corporation 2005-GEL1
Cl. B, downgraded from Ba2 to Caa3
Issuer: Structured Asset Securities Corporation 2005-GEL2
Cl. M-4, downgraded from Baa3 to Ba3
Cl. B, downgraded from Ba1 to Caa3
Issuer: Structured Asset Securities Corporation 2005-GEL3
Cl. M-5, downgraded from Baa3 to B3
Issuer: Structured Asset Securities Corporation 2005-GEL4
Cl. M-4, downgraded from B2 to Caa1
Cl. M-5, downgraded from Caa2 to Ca
Issuer: Structured Asset Securities Corporation 2006-GEL1
Cl. M-2, downgraded from A2 to Ba1
Cl. M-3, downgraded from Baa2 to B3, on review
for possible downgrade
Issuer: Structured Asset Securities Corporation 2006-GEL2
Cl. A-2, downgraded from Aaa to Aa3
Cl. M-1, downgraded from Aa2 to B1
Cl. M-2, downgraded from Aa3 to B2, on review
for possible downgrade
Cl. M-3, downgraded from A2 to B3, on review
for possible downgrade
Cl. M-4, downgraded from A3 to Caa2
Cl. M-5, downgraded from Baa2 to Ca
Cl. M-6, downgraded from Baa3 to C
Issuer: Structured Asset Securities Corporation 2006-GEL3
Cl. A-2, downgraded from Aaa to A2
Cl. A-3, downgraded from Aaa to Baa1
Cl. M-1, downgraded from Aa2 to B2, on review
for possible downgrade
Cl. M-2, downgraded from Aa3 to B3, on review
for possible downgrade
Cl. M-3, downgraded from A2 to Caa1
Cl. M-4, downgraded from A3 to Caa2
Cl. M-5, downgraded from Baa1 to Caa3
Cl. M-6, downgraded from Baa2 to Ca
Cl. M-7, downgraded from Baa3 to C
Cl. B-1, downgraded from Ba1 to C
Cl. B-2, downgraded from Ba2 to C
Issuer: Structured Asset Securities Corporation 2006-GEL4
Cl. A-2, downgraded from Aaa to A2
Cl. A-3, downgraded from Aaa to Baa1
Cl. M-1, downgraded from Aa2 to B1, on review
for possible downgrade
Cl. M-2, downgraded from Aa3 to B2, on review
for possible downgrade
Cl. M-3, downgraded from A1 to B3, on review
for possible downgrade
Cl. M-4, downgraded from A2 to Caa1
Cl. M-5, downgraded from A3 to Caa2
Cl. M-6, downgraded from Baa1 to Caa3
Cl. M-7, downgraded from Baa2 to Ca
Issuer: Structured Asset Securities Corporation 2007-GEL1
Cl. A-3, downgraded from Aaa to Aa1
Cl. M-1, downgraded from Aa2 to B2
Cl. M-2, downgraded from Aa3 to Caa1
Cl. M-3, downgraded from A1 to Caa2
Cl. M-4, downgraded from A2 to Caa3
Cl. M-5, downgraded from A3 to Caa3
Cl. M-6, downgraded from Baa1 to Ca
Cl. M-7, downgraded from Baa2 to C
Cl. M-8, downgraded from Baa3 to C
Cl. B-1, downgraded from Ba1 to C
Issuer: Structured Asset Securities Corporation 2007-GEL2
Cl. M-1, downgraded from Aa2 to A2
Cl. M-2, downgraded from Aa3 to Baa2
Cl. M-3, downgraded from A1 to Ba3
Cl. M-4, downgraded from A2 to Caa1
Cl. M-5, downgraded from A3 to Caa2
Cl. M-6, downgraded from Baa1 to Caa3
Cl. M-7, downgraded from Baa2 to Caa3
Cl. M-8, downgraded from Baa3 to Ca
Cl. B-1, downgraded from Ba1 to Ca
Cl. B-2, downgraded from Ba2 to C
For more information please see www.Moodys.com
New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Odile Grisard Boucher
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653