2008-05-28 23:51:20 -
- Fitch Ratings has taken the following rating actions on 29 Structure Asset Investment Loan (SAIL), Structured Asset Securities Corporation (SASCO) and BNC Net Interest Margin (NIM) Notes:
SAIL NIM Notes 2003-BC1
--$9.0 million Class B revised to 'CC/DR5' from 'CC/DR4';
Underlying Transaction: SAIL 2003-BC1
SAIL NIM Notes 2003-BC3
--$1.7 million Class A revised to
'CC/DR2' from 'CCC/DR2';
--$5.3 million Class B revised to 'C/DR6' from 'CCC/DR4';
Underlying Transaction: SAIL 2003-BC3
SAIL NIM Notes 2003-BC6
--$759,319 Class A revised to 'C/DR6' from 'B-/DR2';
--$2.4 million Class B remains at 'C/DR6':
Underlying Transaction: SAIL 2003-BC6
SAIL NIM Notes 2003-BC7
--$2.2 million Class A remains at 'C/DR6';
--$8.1 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2003-BC7
SAIL NIM Notes 2003-BC8
--$2.7 million Class A remains at 'C/DR6';
--$8.6 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2003-BC8
SAIL NIM Notes 2003-BC9
--$1.6 million Class A remains at 'C/DR6';
--$8.4 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2003-BC9
SAIL NIM Notes 2003-11
--$11.6 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2003-11
SAIL NIM Notes 2003-12
--$588,216 Class A remains at 'C/DR6';
--$7.5 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2003-12
SAIL NIM Notes 2004-2
--$4.1 million Class A remains at 'C/DR6';
--$6.4 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2004-2
SAIL NIM Notes 2004-4
--$6.0 million Class B remains at 'C/DR6';
Underlying Transaction: SAIL 2004-4
SAIL NIM Notes 2005-2
--$5.4 million Class B remains at 'C/DR6';
--$10.5 million Class C remains at 'C/DR6';
Underlying Transaction: SAIL 2005-2
SAIL NIM Notes 2005-3
--$4.8 million Class A remains at 'C/DR6';
--$16.5 million Class B remains at 'C/DR6';
--$14.0 million Class C remains at 'C/DR6';
Underlying Transaction: SAIL 2005-3
SAIL NIM Notes 2005-4
--$5.7 million Class A remains at 'C/DR6';
--$11.2 million Class B remains at 'C/DR6';
--$11.2 million Class C remains at 'C/DR6';
Underlying Transaction: SAIL 2005-4
SAIL NIM Notes 2005-HE1
--$110,865 Class A revised to 'C/DR6' from 'A-', and is removed from Rating Watch Negative;
--$9.4 million Class B remains at 'C/DR6';
--$2.8 million Class C remains at 'C/DR6';
Underlying Transaction: SAIL 2005-HE1
SASCO ARC NIM Notes 2002-BC1
--$424,099 Class B remains at 'C/DR6';
Underlying Transaction: SASCO ARC 2002-BC1
SASCO ARC NIM Notes 2003-BC1
--$1.1 million Class A remains at 'C/DR6';
--$5.1 million Class B remains at 'C/DR6';
Underlying Transaction: SASCO ARC 2003-BC1
SASCO NIM 2005-NC1
--$2.5 million Class B remains at 'C/DR6';
Underlying Transaction: SASCO 2005-NC1
SASCO NIM 2005-NC2
--$391,047 Class A downgraded to 'C/DR6' from 'B';
--$2.6 million Class B remains at 'C/DR6';
Underlying Transaction: SASCO 2005-NC2
SASCO NIM 2005-S6
--$17.4 million Class A remains at 'C/DR6';
--$510,000 Class B remains at 'C/DR6';
Underlying Transaction: SASCO 2005-S6
SASCO NIM 2005-WF2
--$320,607 Class B downgraded to 'C/DR6' from 'B';
Underlying Transaction: SASCO 2005-WF2
SASCO NIM 2005-WF4
--$11.4 million Class A downgraded to 'CC/DR3' from 'BBB-';
--$5.8 million Class B downgraded to 'C/DR6' from 'BB-';
Underlying Transaction: SASCO 2005-WF4
SASCO NIM 2006-BC3
--$26.3 million Class A downgraded to 'C/DR6' from 'BB', and removed from Rating Watch Negative;
--$6.1 million Class B revised to 'C/DR6' from 'C/DR5';
Underlying Transaction: SASCO 2006-BC3
SASCO NIM 2006-BC4
--$21.7 million Class A downgraded to 'C/DR4' from 'BBB-', and removed from Rating Watch Negative;
--$7.5 million Class B downgraded to 'C/DR6' from 'B';
Underlying Transaction: SASCO 2006-BC4
SASCO NIM 2006-BC5
--$9.3 million Class A downgraded to 'B' from 'BBB-', and placed on Rating Watch Negative;
--$3.8 million Class B downgraded to 'C/DR6' from 'B';
Underlying Transaction: SASCO 2006-BC5
SASCO NIM 2006-WF3
--$16.9 million Class A downgraded to 'C/DR5' from 'BBB-';
--$4.8 million Class B downgraded to 'C/DR6' from 'BB';
Underlying Transaction: SASCO 2006-WF3
SASCO NIM 2007-BC1
--$5.1 million Class A downgraded to 'CCC/DR2' from 'A-';
--$8.7 million Class B downgraded 'C/DR5' from 'BBB-';
--$5.1 million Class C downgraded to 'C/DR6' from 'BB';
Underlying Transaction: SASCO 2007-BC1
SASCO NIM 2007-WF2
--$2.7 million Class A downgraded to 'BBB-' from 'A-';
--$1.9 million Class B downgraded to 'B' from 'BBB-';
Underlying Transaction: SASCO 2007-WF2
BNC NIM 2006-2
--$13.8 million Class A downgraded to 'C/DR6' from 'BBB-';
--$3.4 million Class B downgraded to 'C/DR6' from 'BB';
Underlying Transaction: BNC Mortgage Loan Trust 2006-2
BNC NIM 2007-2
--$6.1 million Class A downgraded to 'BB' from 'A-';
--$9.2 million Class B downgraded to 'C/DR4' from 'BBB-';
--$5.8 million Class C downgraded to 'C/DR6' from 'BB';
Underlying Transaction: BNC Mortgage Loan Trust 2007-2
The rating actions reflect actual pay-down performance of the NIM securities to date compared to initial projections, as well as changes that Fitch previously made to its subprime loss forecasting assumptions for the underlying transactions.
Additional details are available in the following research, available at www.fitchratings.com
--'Fitch Places $139B U.S. Subprime RMBS On Watch Negative on Worsening Mortgage Performance' (Feb. 1, 2008);
--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007);
--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (August 8, 2007)
--'U.S. Rating Criteria for Net Interest Margin Securitizations: Updated' (February 6, 2007).
All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime.
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.
Fitch Ratings, New York
Tara Sweeney, 212-908-0347
Michele Patterson, 212-908-0779
or
Media Relations:
Sandro Scenga, 212-908-0278
