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DCR Downgrades Structured Asset Securities Corporation Commercial Mortgage Pass-Through Certificates Series 1993-C1, Classes C and D

CHICAGO, Nov. 21 /PRNewswire/ -- Duff & Phelps Credit Rating Co. (DCR) has downgraded two classes from Structured Asset Securities Corporation Commercial Mortgage Pass-Through Certificates, Series 1993-C1. Class C was downgraded from 'A+' (Single-A-Plus) to 'A-' (Single-A-Minus) and Class D was downgraded from 'BBB+' (Triple-B-Plus) to 'BBB-' (Triple-B-Minus). The downgrades are a response to trends in actual portfolio performance and DCR's projections of potential future losses.

Despite the above actions, the senior Class A and Class X certificates rated 'AAA' (Triple-A), and the Class B certificates rated 'AA+' (Double-A- Plus) are adequately protected to maintain their ratings. These ratings remain unchanged and the certificates are expected to continue to pay down at the current rate. They are not expected to be adversely affected by future losses.
 Balance Pool Original DCR Rating
 Class as of 10/96 Factor DCR Rating as of 11/20/96
 A-1A $44,858,432 0.25 AAA AAA
 A-1B $93,506,172 1.00 AAA AAA
 A-1C $60,639,548 1.00 AAA AAA
 A-2 $12,008,649 0.69 AAA AAA
 A-3 $10,709,534 0.67 AAA AAA
 A-4 $109,210 0.15 AAA AAA
 X-1 (IO) Notional N/A AAA AAA
 X-2 (IO) Notional N/A AAA AAA
 X-3 (IO) Notional N/A AAA AAA
 B $26,646,738 1.00 AA+ AA+
 C $26,646,738 1.00 A+ A-
 D $26,646,738 1.00 BBB+ BBB-
 E $42,634,781 1.00 NR NR
 F $10,154,042 0.38 NR NR
 G $0 0.00 NR NR
 TOTAL $354,560,581 0.67

The portfolio characteristics are as follows from the October 1, 1996, Statement to Certificateholders, with subordination, losses, delinquency, foreclosure and REO figures given as a percentage of remaining loan balances:
 1 Mth 2 Mths 3+ Mths Total Cumulative
 Delinq. Delinq. Delinq. Foreclosure REO DFR Losses
 0.40% 0.03% 1.00% 1.81% 1.94% 5.18% 9.16%

Except for the number of loans, the characteristics of the pool are similar to the pool at issuance. Compared to the original 679 loans at underwriting, there are currently 457 loans remaining. The pool is still concentrated in California, with 61 percent of the remaining pool balance secured by California properties. The two largest property types remain retail (45 percent) and multifamily (30 percent). The percentage of fixed rate loans (63 percent) and variable rate loans (37 percent) is consistent to the percentages at underwriting.

DCR downgraded the above-referenced classes for three primary reasons. First, based on the current information, the debt service coverage has declined since underwriting. Second, losses on REO properties sold in the last 24 months have been greater than DCR's initial expectations. Finally, based on DCR's proforma analysis, the expected decrease in subordination warrants a downgrade for Classes C and D.

Regarding debt service coverage, of the 42 percent reporting NOI for 1995, overall coverage had declined since underwriting to 1.36X from 1.41X. Although the percentage of loans less than 1.20X decreased from 41 percent to 37 percent, the percentage of loans under 1.00X increased from 0 percent to 19 percent.

The second reason for the downgrade is that REO losses have been greater than originally expected. In the last 24 months, losses on REO properties have averaged 70 percent. Of this 70 percent, 25.5 percent is actual loss, approximately 43 percent is attributable to principle and interest advanced, and the remaining 1.5 percent is due to expenses incurred in liquidating the REO properties. If discounted payoffs are included, losses have averaged 55 percent. However, since DCR's proforma analysis focuses on loans in foreclosure, the following discussion is limited to REO losses.

One reason for the high level of losses is that the majority of REO properties are California retail properties, for which the market has been oversaturated. Of the liquidated assets, six are retail properties, four are multifamily properties and one is an industrial building. Another reason is the extended length of time properties spend in foreclosure and REO. Extended time in foreclosure and REO increases the interest and principal advanced and the maintenance expenses on the loans, which reduces net liquidation proceeds. Days to resolve properties in REO ranged from 517 days to 52 days, with an average resolution time of 178 days.

Since DCR's last annual review in December 1995, cumulative realized losses have increased from $12.1 million to $32.5 million. To date, realized losses have been absorbed by Classes F and G, neither of which is rated by DCR. Class G has been completely written down. Class F has experienced a loss of $16.5 million, decreasing the certificate balance to $10.2 million. These losses have reduced the credit enhancement for Class C and Class D from $111.9 million to $79.4 million and $85.3 million to $52.7 million, respectively. Based on DCR's analysis of realized losses, credit enhancement has deteriorated more rapidly in 1996 than in previous years.

 -0- 11/21/96

/CONTACT: Denise G. Pagnucci, 312-368-3338, or, Joyce M. Tay, 312-368-3174, or, or Robert K. McLean, 312-368-3190, or, all of Duff & Phelps/

CO: Stuctured Asset Securities Corporation ST: IN: FIN SU: RTG

PS -- NYTH142 -- 5647 11/21/96 17:55 EST
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Publication:PR Newswire
Date:Nov 21, 1996
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