New York, March 05, 2009 -- Moody's Investors Service has downgraded the ratings of seventy
five tranches issued in twelve 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. Scratch and dent
loans in the GEL shelf consist mainly of subprime or Alt-A loans.
A majority of the loans represent either one or more permitted or unintentional
underwriting exceptions to applicable guidelines. The most prevalent
of the exceptions include delinquency history of the borrower, combined
loan-to-value ratios, missing or incomplete documentation,
borrower's debt-to-income ratios or borrower's
credit score.
The actions are triggered by higher than anticipated delinquency levels
and severity of loss as well as well as slower than anticipated voluntary
prepayments, resulting in higher updated loss expectation for the
underlying collateral and lower coverage for the rated debt given available
credit enhancement.
The ratings on the securities are monitored by evaluating factors determined
to be applicable to the credit profile of the securities, such as
i) the nature, sufficiency, and quality of historical performance
information regarding the asset class ii) an analysis of the collateral
being securitized, iii) an analysis of the transaction's allocation
of collateral cash flow and capital structure, and (iv) a comparison
of these attributes against those of other similar transactions.
General loss estimation methodology is outlined below, separately
for recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process.
First, serious delinquencies are projected through late 2009,
primarily based upon recent performance. These projected delinquencies
are converted into projected losses using lifetime roll rates (the probability
of transition to default) averaging 60% for 60-day delinquencies,
90% for delinquencies greater than 90 days, 100% for
foreclosure and 100% for REO, and severity assumption based
on the higher of actual severities and 65%.
The second step is to determine losses beyond 2009. Depending on
a deal's performance, as well as collateral credit characteristics,
such as loan type, or loan-to-value ratios and geographic
concentrations of remaining current loans, Moody's assumes varying
degrees of slowing in the loss rate (which is measured by loss-to-liquidation)
for the remaining life of the deal. Typical degrees of slowing
in loss rate after late 2009 range from 65 to 85%.
For more seasoned vintages (before 2005), Moody's calculates estimated
losses for Scratch and Dent RMBS as follows:
- Current delinquencies are used to project pipeline losses.
- Annual roll rates are assumed at 0% for 30 days,
15% for 60 days, 30% for 90 days, 65%
for foreclosures and 90% for REO.
- Severities used are higher of 65% or actual historical
severity for each transaction.
- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year loss and
expected pipeline loss. The transaction expected loss is projected
out over the deal's expected remaining life. Depending on a transaction's
time of origination, a 75% weight can be applied to pipeline
loss when it is considered to be more representative of future expected
performance than the previous year's losses.
- Expected loss is finally compared to credit enhancement to derive
a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than our current
expectations. Moody's will continue to evaluate performance data
as it becomes available and will assess the pattern of potential future
defaults and adjust loss expectations accordingly if necessary.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
Complete rating actions are as follows:
Structured Asset Securities Corp Trust 2007-TC1
Cl. A, Downgraded to Baa2; previously on 7/6/2007 Assigned
Aaa
Cl. A-IO, Downgraded to Baa2; previously on 7/6/2007
Assigned Aaa
Cl. M-1, Downgraded to Ba2; previously on 7/6/2007
Assigned Aa2
Cl. M-2, Downgraded to B1; previously on 7/6/2007
Assigned A1
Cl. M-3, Downgraded to Caa2; previously on 7/6/2007
Assigned A3
Cl. M-4, Downgraded to C; previously on 7/6/2007
Assigned Baa1
Cl. M-5, Downgraded to C; previously on 7/6/2007
Assigned Baa3
Structured Asset Securities Corporation 2006-GEL1
Cl. A2, Downgraded to Baa2; previously on 2/27/2006
Assigned Aaa
Cl. M1, Downgraded to B3; previously on 2/27/2006 Assigned
Aa2
Cl. M2, Downgraded to C; previously on 7/28/2008 Downgraded
to Ba1
Cl. M3, Downgraded to C; previously on 7/28/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Structured Asset Securities Corporation 2006-GEL2
Cl. A2, Downgraded to B1; previously on 7/28/2008 Downgraded
to Aa3
Cl. M1, Downgraded to C; previously on 7/28/2008 Downgraded
to B1
Cl. M2, Downgraded to C; previously on 7/28/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to C; previously on 7/28/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa2
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
Structured Asset Securities Corporation 2006-GEL3
Cl. A2, Downgraded to B3; previously on 7/28/2008 Downgraded
to A2
Cl. A3, Downgraded to Ca; previously on 7/28/2008 Downgraded
to Baa1
Cl. M1, Downgraded to C; previously on 7/28/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to C; previously on 7/28/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa1
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa2
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Cl. M6, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
Structured Asset Securities Corporation 2006-GEL4
Cl. A2, Downgraded to B1; previously on 7/28/2008 Downgraded
to A2
Cl. A3, Downgraded to Ca; previously on 7/28/2008 Downgraded
to Baa1
Cl. M1, Downgraded to C; previously on 7/28/2008 Downgraded
to B1 and Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to C; previously on 7/28/2008 Downgraded
to B2 and Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to C; previously on 7/28/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa1
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa2
Cl. M6, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Cl. M7, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
Structured Asset Securities Corporation 2007-GEL1
Cl. A1, Downgraded to Caa1; previously on 2/16/2007
Assigned Aaa
Cl. A2, Downgraded to C; previously on 2/16/2007 Assigned
Aaa
Cl. A3, Downgraded to C; previously on 7/28/2008 Downgraded
to Aa1
Cl. M1, Downgraded to C; previously on 7/28/2008 Downgraded
to B2
Cl. M2, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa1
Cl. M3, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa2
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Cl. M6, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
Structured Asset Securities Corporation 2007-GEL2
Cl. A1, Downgraded to Ba1; previously on 5/18/2007 Assigned
Aaa
Cl. A2, Downgraded to Caa2; previously on 5/18/2007
Assigned Aaa
Cl. A3, Downgraded to Ca; previously on 5/18/2007 Assigned
Aaa
Cl. M1, Downgraded to C; previously on 7/28/2008 Downgraded
to A2
Cl. M2, Downgraded to C; previously on 7/28/2008 Downgraded
to Baa2
Cl. M3, Downgraded to C; previously on 7/28/2008 Downgraded
to Ba3
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa1
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa2
Cl. M6, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Cl. M7, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Cl. M8, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
Cl. B1, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
Structured Asset Securities Corporation 2005-GEL1
Cl. M1, Downgraded to A1; previously on 9/17/2008 Aa2
Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Baa3; previously on 9/17/2008
A2 Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to B2; previously on 9/17/2008 Baa2
Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca; previously on 9/17/2008 Baa3
Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Structured Asset Securities Corporation 2005-GEL2
Cl. M1, Downgraded to Baa1; previously on 7/8/2005 Assigned
Aa2
Cl. M2, Downgraded to B2; previously on 7/8/2005 Assigned
A2
Cl. M3, Downgraded to C; previously on 7/8/2005 Assigned
Baa2
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Ba3
Cl. B, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa3
Structured Asset Securities Corporation 2005-GEL3
Cl. M3, Downgraded to Caa1; previously on 7/22/2005
Assigned A2
Cl. M4, Downgraded to C; previously on 7/22/2005 Assigned
Baa1
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to B3
Structured Asset Securities Corporation 2005-GEL4
Cl. M2, Downgraded to A1; previously on 10/21/2005 Assigned
Aa3
Cl. M3, Downgraded to Caa2; previously on 4/23/2008
Downgraded to Ba2
Cl. M4, Downgraded to C; previously on 7/28/2008 Downgraded
to Caa1
Cl. M5, Downgraded to C; previously on 7/28/2008 Downgraded
to Ca
SASCO Mortgage Loan Trust 2003-GEL1
Cl. M3, Downgraded to Caa1; previously on 9/21/2006
Upgraded toA3
Cl. M4, Downgraded to C; previously on 12/8/2003 Assigned
Baa3
Cl. B, Downgraded to C; previously on 8/22/2008 Downgraded
to Ca
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF156647
For more information please see www.moodys.com.
New York
John Park
Managing Director
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
Moody's takes action on SASCO scratch and dent transactions