News
Fitch Affirms $635.8MM & Downgrades $154.4MM from 9 SASCO Scratch & Dent Deals
NEW YORK-(Business Wire)-May 6, 2008 - Fitch Ratings has taken the following rating actions on Structured Asset Securitizations Corporation (SASCO) mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are now removed. Affirmations total $631.7 million and downgrades total $153.2 million. Additionally, $90.1 million was placed on Rating Watch Negative.
SASCO 2003-39EX
—$4.1 million class M3 affirmed at 'A-';
—$1.2 million class B downgraded to 'BB-' from 'BBB-':
SASCO 2004-GEL1
—$13.6 million class A affirmed at 'AAA';
—$7.6 million class M1 affirmed at 'AA';
—$4.0 million class M2 affirmed at 'A';
—$3.4 million class M3 downgraded to 'BB+' from 'BBB';
—$1.5 million class M4 downgraded to 'BB-' from 'BBB-';
SASCO 2004-GEL2
—$3.7 million class A1 affirmed at 'AAA';
—$1.6 million class A2 affirmed at 'AAA';
—$11.0 million class M1 affirmed at 'AA';
—$8.9 million class M2 affirmed at 'A';
—$3.8 million class M3 affirmed at 'BBB';
—$1.7 million class M4 downgraded to 'BBB-' from 'BBB';
—$4.1 million class B downgraded to 'C/DR4' from 'BB';
SASCO 2004-GEL3
—$15.1 million class A affirmed at 'AAA';
—$13.5 million class M1 affirmed at 'AA';
—$3.8 million class M2 downgraded to 'BBB+' from 'A';
—$4.7 million class B downgraded to 'CC/DR3' from 'BB';
SASCO 2005-GEL1
—$9.6 million class A affirmed at 'AAA';
—$13.0 million class M1 affirmed at 'AA';
—$8.0 million class M2 affirmed at 'A';
—$5.7 million class M3 affirmed at 'BBB';
—$1.7 million class M4 downgraded to 'BB+' from 'BBB-';
—$3.6 million class B downgraded to 'CC/DR4' from 'BB';
SASCO 2005-GEL2
—$27.5 million class A affirmed at 'AAA';
—$6.7 million class M1 affirmed at 'AA';
—$5.7 million class M2 downgraded to 'BBB+' from 'A+';
—$3.6 million class M3 downgraded to 'BB+' from 'A-';
—$1.4 million class M4 downgraded to 'BB' from 'BBB+';
—$1.7 million class B downgraded to 'BB' from 'BBB';
SASCO 2005-GEL3
—$16.5 million class A affirmed at 'AAA';
—$9.0 million class M1 affirmed at 'AA+';
—$8.2 million class M2 affirmed at 'AA+';
—$13.7 million class M3 affirmed at 'A+';
—$7.2 million class M4 downgraded to 'BB+' from 'A-';
—$5.7 million class M5 downgraded to 'BB ' from 'BBB+';
SASCO 2006-GEL1
—$40.3 million class A1 affirmed at 'AAA';
—$48.4 million class A2 affirmed at 'AAA';
—$16.1 million class M1 affirmed at 'AA';
—$13.0 million class M2 downgraded to 'A-' from 'A+';
—$10.1 million class M3 downgraded to 'BB' from 'BBB+';
—$7.4 million class M4 downgraded to 'BB-' from 'BBB-';
—$6.0 million class B downgraded to 'C/DR6' from 'BB-';
SASCO 2006-GEL4
—$80.9 million class A1 affirmed at 'AAA';
—$50.7 million class A2 affirmed at 'AAA';
—$22.1 million class A3 affirmed at 'AAA';
—$22.6 million class M1 rated 'AA+', placed on Rating Watch Negative;
—$6.8 million class M2 rated 'AA+', placed on Rating Watch Negative;
—$5.8 million class M3 downgraded to 'A-' from 'AA';
—$5.8 million class M4 downgraded to 'BBB' from 'AA-';
—$5.2 million class M5 downgraded to 'BBB-' from 'A+';
—$5.2 million class M6 downgraded to 'BBB-' from 'A';
—$3.9 million class M7 downgraded to 'BB+' from 'A-';
—$6.0 million class M8 downgraded to 'BB' from 'BBB';
—$4.5 million class B1 downgraded to 'B' from 'BB+', placed on Rating Watch Negative;
SASCO 2007-GEL1
—$115.1 million class A1 affirmed at 'AAA';
—$38.8 million class A2 affirmed at 'AAA';
—$18.6 million class A3 affirmed at 'AAA';
—$23.9 million class M1 rated 'AA+', placed on Rating Watch Negative;
—$6.9 million class M2 rated 'AA', placed on Rating Watch Negative;
—$6.3 million class M3 rated 'AA-', placed on Rating Watch Negative;
—$6.2 million class M4 downgraded to 'BBB' from 'A+';
—$5.6 million class M5 downgraded to 'BBB-' from 'A';
—$5.3 million class M6 downgraded to 'BB+' from 'A-', placed on Rating Watch Negative;
—$4.7 million class M7 downgraded to 'BB' from 'BBB+', placed on Rating Watch Negative;
—$4.1 million class M8 downgraded to 'BB' from 'BBB', placed on Rating Watch Negative;
—$5.0 million class B1 downgraded to 'B' from 'BB+', placed on Rating Watch Negative.
Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.
Fitch's Distressed Recovery (DR) ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
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