NEW YORK (Standard & Poor's) Sept. 25, 2007--Standard & Poor's Ratings
Services today lower
ed its ratings on 26 classes of mortgage-backed securities
issued by eight SACO I Trust series (see list).
The downgrades reflect the deteriorating performance of the collateral
pools as monthly net losses continue to significantly outpace monthly excess
interest cash flows, resulting in principal write-downs to the
overcollateralization (O/C) for these deals. Consequently, the following
classes experienced principal write-downs: B-4 from series 2005-9, II-B-3 and
II-B-4 from series 2006-5, B-3 and B-4 from series 2006-6, B-4 from series
2006-7, B-4 from series 2005-WM2, and B-4 from 2005-WM3. The principal
balances for class II-B-4 from series 2006-5 and class B-4 from series 2006-6
have been written down to zero.
As of the August 2007 distribution period, total delinquencies ranged
from 10.64% (series 2005-8) to 22.30% (series 2005-WM2), while cumulative
realized losses ranged from 6.56% (series 2005-8) to 10.86% (series 2005-WM3).
Seasoning for these transactions ranged from 13 months to 22 months, with
outstanding pool factors of about 65% or less.
Subordination, O/C, and excess interest cash flows provide credit support
for these transactions. The collateral consists of 30-year, fixed-rate,
closed-end second-lien mortgage loans secured by one- to four-family
residential properties.
RATINGS LOWERED
SACO I Trust
Rating
Series Class To From
2005-8 B-2 BB BB+
2005-8 B-3 B- B
2005-8 B-4 D CCC
2005-10 I-B-4 CCC B
2005-10 II-B-1 BBB- BBB+
2005-10 II-B-2 B+ BB
2005-10 II-B-3 CCC B
2005-WM2 B-3 B- B
2005-WM2 B-4 D CCC
2005-WM3 B-3 CCC B
2005-WM3 B-4 D CCC
2006-4 M-4 A- A+
2006-4 M-5 BB+ BBB+
2006-4 M-6 B BB
2006-4 B-1 CCC B
2006-4 B-2 CCC B
2006-4 B-4 D CCC
2006-5 I-B-3 CCC B
2006-5 II-B-1 CCC B
2006-5 II-B-3 D CCC
2006-5 II-B-4 D CCC
2006-6 M-6 CCC B
2006-6 B-3 D CCC
2006-6 B-4 D CCC
2006-7 M-6 CCC B
2006-7 B-4 D CCC
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