Fitch Affirms 23, Downgrades 2 & Places 1 on Watch Negative from 2 SASCO Securitizations

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has taken rating actions on the following Structured Asset Security Corp. (SASCO) residential mortgage-backed certificates, as follows:

Series 2005-S1

--Class A2 affirmed at 'AAA';

--Class M1 affirmed at 'AA+';

--Class M2 affirmed at 'AA+';

--Class M3 affirmed at 'AA';

--Class M4 affirmed at 'A+';

--Class M5 affirmed at 'A';

--Class M6 affirmed at 'A';

--Class M7 affirmed at 'A-';

--Class M8 affirmed at 'BBB+';

--Class B1 affirmed at 'BBB';

--Class B2 affirmed at 'BBB-';

--Class B3 rated 'BBB-' is placed on Rating Watch Negative;

--Class B4 downgraded to 'C/DR5' from 'CC/DR4'.

Series 2005-S2

--Class A2 affirmed at 'AAA';

--Class M1 affirmed at 'AA+';

--Class M2 affirmed at 'AA';

--Class M3 affirmed at 'AA-';

--Class M4 affirmed at 'A+';

--Class M5 affirmed at 'A';

--Class M6 affirmed at 'A-';

--Class M7 affirmed at 'BBB+';

--Class M8 affirmed at 'BBB+';

--Class M9 affirmed at 'BBB';

--Class M10 affirmed at 'BBB-';

--Class B1 affirmed at 'BB+';

--Class B2 downgraded to 'B' from 'BB' and removed from Rating Watch Negative.

The affirmations reflect adequate relationships of credit enhancement (CE) to future loss expectations and affect approximately $320.82 million of outstanding certificates. CE is in the form of subordination, overcollateralization (OC) and excess spread. The negative rating actions, affecting approximately $21.86 million of outstanding certificates, reflect deterioration in the relationship between CE and expected losses.

Approximately 7.5% of the pool for series 2005-S1 is more than 60 days delinquent (including loans in Bankruptcy, Foreclosure and REO). The OC (which had a nine month holiday) amount is currently $0 or roughly $10 million below its target amount. In five of the past six months, the excess spread has not been sufficient to cover the monthly losses incurred and as a result, class B4 has defaulted. Monthly losses have averaged $749,572 for the past three months. Cumulative losses as a percent of the original collateral balance are 2.30%.

For series 2005-S2, approximately 7.8% of the pool is more than 60 days delinquent (including loans in Bankruptcy, Foreclosure and REO). The OC (which was fully funded at closing) amount is currently $7,784,106, or approx. $4.8 million below its target amount. In four of the past six months, the excess spread has not been sufficient to cover the monthly losses incurred. Monthly losses have averaged $636,205 for the past three months. Cumulative losses as a percent of the original collateral balance are 2.65%.

The transactions are seasoned from a range of 20 (series 2005-S2) to 21 (series 2005-S1) months and the pool factors (current mortgage loan principal outstanding as a percentage of the initial pool) range from approximately 37% (series 2005-S1) to 42% (series 2005-S2).

The mortgage pools consist of conventional, fixed rate, fully-amortizing and balloon, second lien residential mortgage loans. The mortgage loans were acquired by Lehman Brothers Holdings Inc. from various banks and other mortgage lending institutions and are master serviced by Aurora Loan Services, Inc., which is rated 'RMS1-' by Fitch.

Fitch will continue to closely monitor these transactions. Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings website at www.fitchratings.com.

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.