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28 May 2009
New York, May 28, 2009 -- Moody's Investors Service has downgraded the ratings of three tranches
issued in Structured Asset Securities Corp Trust 2004-S2 transaction.
Underlying securities' collateral consists primarily of closed-end
second lien residential mortgage loans (CES).
The ratings on the securities were monitored by evaluating factors Moody's
determined to be essential in the analysis of securities backed by such
loans. The salient factors include: i) Moody's review
of the nature, sufficiency, and quality of historical loan
performance information, ii) analysis of the collateral composition
and pool credit performance including prepayment, loan delinquency
and loss data, iii) consideration of the transaction's capital
structure and related allocations of collateral cash flows and losses,
and iv) a comparison of current credit enhancement levels to updated Moody's
pool loss projections based on present collateral credit performance.
When analyzing underlying ratings for CES and HELOC transactions,
Moody's projects cumulative losses for each deal based on a collateral
analysis of the deal's Constant Prepayment Rate (CPR) and Constant
Default Rate (CDR).
CPR - CPR is based on the average of the last six months 1-month
CDR - There are two approaches for determining pool CDR.
The first approach calculates CDR based on pool loan losses from the previous
twelve months, i.e. recent losses. A second
approach is based on pipeline losses -- losses derived from days-aged
delinquencies and Moody's assumptions for default based on days
delinquent, in foreclosure, or liquidation, and the
severity of loss given default. Moody's assumes 100%
severity for second liens, including both CES and HELOCs.
After the CDR is calculated using the two methods, the effective
CDR for loss projection purposes is determined by using a weighted average
of the CDRs as determined by the recent loss and pipeline loss approaches
-- with weightings determined on a transaction by transaction basis.
Moody's assumes that the CDR will not decline for the next three
years and will decline subsequently for the life of the deal under a schedule,
typically reducing by 50% in year 4 and remaining constant thereafter.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation can also include credit
for excess spread, i.e. the aggregate, positive
difference in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing.
Excess spread benefit is calculated by multiplying the stressed annualized
excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit (including
over-collateralization and/or reserve accounts) and excess spread
benefit is compared with projected cumulative losses for the deal to derive
coverage multiples and associated ratings by deal tranche. Moody's
will analyze tranche coverage multiples after consideration of timing
of tranche repayment and allocation of losses (if any).
Methodologies and factors that may have been considered in the process
of rating this issue can be found at www.moodys.com in the
Rating Methodology and Performance directory.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corp Trust 2004-S2
Cl. M5, Downgraded to Baa3; previously on 11/8/2007
Baa1 Placed Under Review for Possible Downgrade
Cl. M6, Downgraded to Caa2; previously on 11/8/2007
Baa2 Placed Under Review for Possible Downgrade
Cl. M7, Downgraded to C; previously on 11/8/2007 Downgraded
to B3 and Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
For more information please see www.moodys.com.
Structured Finance Group
Moody's Investors Service
Moody's takes action on Structured Asset Securities Corp Trust 2004-S2 transaction
Structured Finance Group
Moody's Investors Service
No Related Data.
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