Fitch Downgrades 1 & Affirms 8 RMBS Classes from SASCO 2002-22H.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has downgraded one and affirmed eight classes of Structured Asset Securities Corp. (SASCO SASCO ST (Singapore Technologies) Aviation Services Co. SASCO South African Students Congress SASCO Sudanese Aeronautical Services Co. Ltd ) residential mortgage-backed certificates, as follows: Series 2002-22H Group 1 --Class 1A affirmed at 'AAA'; --Class B1-I affirmed at 'AA'; --Class B2-I affirmed at 'A'; --Class B3-I affirmed at 'BBB'; --Class B4-I affirmed at 'BB'; --Class B5-I downgraded to 'CCC' from 'B'. Series 2002-22H Group 2 --Class 2A affirmed at 'AAA'; --Class B1-II affirmed at 'AA'; --Class B2-II affirmed at 'A'; --Class B3-II affirmed at 'BBB'; --Class B4-II affirmed at 'BB'; --Class B5-II downgraded to 'CCC' from 'B'. SASCO 2002-22H consists of two mortgage groups. Associated with each of these two mortgage groups are component certificate classes B3 through B6. Each group of components is backed by a separate mortgage group (e.g., B3-I group 1, B3-II group 2). Therefore, each component performs differently, based on the performance of its underlying pool. However, since the components are not severable That which is capable of being separated from other things to which it is joined and maintaining nonetheless a complete and independent existence. The term severable , each rated class (e.g. B3, B4, B5) reflects the performance of the weakest of all of its components. In this transaction, mortgage group 1 is the poorest performer and as such, mortgage group 1's components (i.e., B3-I group 1, B4-I group 1, B5-I group 1) determine the ratings of each entire class. Feb. 25, 2006 remittance information for mortgage group 1 indicates that 3.2% of the pool is currently over 90 days delinquent and cumulative losses are 0.06% of the original pool balance. Realized losses Realized Loss A loss recognized when assets are sold for a price lower than the original purchase price. Notes: A portion of the realized loss may be applied against a capital gain or realized profit to reduce taxes. have averaged $16,201 a month over the past three months. Class B5-I currently has 0.09% ($33,576) of credit support remaining (originally 0.10% or $252,615). The negative rating action taken on series 2002-22H, class B5, affects $156,892 of outstanding certificates and is the result of cumulative pool losses and high delinquency levels. The affirmations reflect credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing consistent with future loss expectations and affect $45,049,566 of outstanding certificates. The transaction is seasoned 40 months. The pool factors (current principal balance as a percentage of original) are 14.74% for group 1 and 14.44% for group 2. The collateral consists of adjustable or fixed rate, conventional, fully amortizing first lien residential mortgage loans. Additionally, all of the mortgage loans have a weighted average original loan to value ratio in excess of 100%. The mortgage loans generally are covered by primary mortgage insurance polices issued by either United Guaranty As a verb, to agree to be responsible for the payment of another's debt or the performance of another's duty, liability, or obligation if that person does not perform as he or she is legally obligated to do; to assume the responsibility of a guarantor; to warrant. Corporation in connection with the Borrower Advantage Program, or Mortgage Guaranty Insurance Corporation Mortgage Guaranty Insurance Corporation (a subsidiary of MGIC Investment Corporation) NYSE: MTG is the largest provider of private mortgage insurance in the United States. in connection with the Pro Mortgage Program. The mortgage loans are master serviced by Aurora Loan Services, Inc., which is rated 'RMS1-' by Fitch. Further information regarding current delinquency, loss and credit enhancement statistics is available on the Fitch Ratings web site at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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