Fitch Ratings has affirmed 257 classes of Structured
Asset Investment Loan Trust (SAIL) residential mortgage-backed
certificates, as follows:
Series 2003-BC1
-- Classes A1 and A2 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'BBB+';
-- Class M4 at 'BBB';
-- Class B at 'BBB'.
Series 2003-BC2
-- Classes A1, A2 and A3 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'BBB+';
-- Classes M4-A and M4-F at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC3
-- Classes 1-A2, 2-A2 and A-IO affirmed at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC4
-- Classes 1-A2, 2-A2 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC6
-- Classes 1-A3, 2-A, 3-A2 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC7
-- Classes 1-A2, 2-A, 3-A2 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC8
-- Classes 1-A2, 2-A, 3-A2, 3-A3 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC9
-- Classes 1-A2, 2-A, 3-A2 and 3-A3 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC10
-- Classes 1-A2, 2-A, 3-A2, 3-A3, 3-A5 and A4 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC11
-- Class A3 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC12
-- Classes 1A, 2A and 3A at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB'.
Series 2003-BC13
-- Classes 1-A1, 1-A3, 2-A1, 2-A3 and 3A at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB'.
Series 2004-1
-- Classes A3 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB+'.
Series 2004-2
-- Classes 1-A2, 2-A, 3-A2, A-SIO and A4 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB'.
Series 2004-3
-- Classes A1, A2, A3, A5 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB+'.
Series 2004-4
-- Classes A1, A2, A3, A4 and A-SIO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'AA-';
-- Class M3 at 'AA-';
-- Class M4 at 'A+';
-- Class M5 at 'A';
-- Class M6 at 'BBB+';
-- Class M7 at 'BBB';
-- Class M8 at 'BBB-';
-- Class B at 'BB'.
Series 2004-5
-- Classes A1, A2, A3 and A-SIO at 'AAA';
-- Class M1 at 'AAA';
-- Class M2 at 'AA+';
-- Class M3 at 'AA';
-- Class M4 at 'AA-';
-- Class M5 at 'A';
-- Class M6 at 'A-';
-- Class M7 at 'BBB+';
-- Class M8 at 'BBB'.
Series 2004-6
-- Classes 1-A1, 2-A2, 3A and A-SIO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-'.
Series 2004-7
-- Classes A1, A2, A3, A4, A5, A6, A7, A8 and A-SIO at 'AAA';
-- Class M1 at 'AA+';
-- Class M2 at 'AA';
-- Class M3 at 'AA-';
-- Class M4 at 'A';
-- Class M5 at 'A-';
-- Class M6 at 'BBB+';
-- Class M7 at 'BBB'.
Series 2004-8
-- Classes A1, A2, A3, A4, A5, A6, A7, A8, A9, A10, A11 and A13 at 'AAA';
-- Class M1 at 'AA+';
-- Class M2 at 'AA';
-- Class M3 at 'AA';
-- Class M4 at 'AA';
-- Class M5 at 'A';
-- Class M6 at 'A-';
-- Class M7 at 'BBB+';
-- Class M8 at 'BBB';
-- Class M9 at 'BBB-'.
Series 2004-9
-- Classes A1, A2, A3, A4, A5, A6 and A7 at 'AAA';
-- Class M1 at 'AA+';
-- Class M2 at 'AA';
-- Class M3 at 'A+';
-- Class M4 at 'A';
-- Class M5 at 'A-';
-- Class M6 at 'BBB+';
-- Class M7 at 'BBB';
-- Class B1 at 'BBB-';
-- Class B2 at 'BBB-'.
Series 2004-BNC1
-- Classes A1, A2, A3, A4 and A-SIO at 'AAA';
-- Class A5 at 'AA+';
-- Class M1 at 'AA';
-- Class M2 at 'AA-';
-- Class M3 at 'A+';
-- Class M4 at 'A';
-- Class M5 at 'BBB+';
-- Class M6 at 'BBB';
-- Class M7 at 'BBB-';
-- Class B1 at 'BB'.
Series 2004-BNC2
-- Classes A1, A2, A3, A4 and A5 at 'AAA'.
The above affirmations reflect adequate relationships of credit enhancement (CE) to future loss expectations and affect approximately $11.46 billion of certificates. The above classes have experienced growth in CE since closing while cumulative losses as a percent of the original collateral balance range from 0.05% (series 2004-BNC2) to 0.91% (series 2003-BC3).
The transactions are seasoned from a range of 14 months (series 2004-BNC2) to 35 months (series 2003-BC1). The pool factors (current principal balance as a percentage of original) range from 14% (series 2003-BC3) to 55% (series 2004-BNC2). The transactions also benefit from varying amounts of lender-paid mortgage insurance. The mortgage insurance allowed for initial overcollateralization (OC) target amounts, which were generally at the trust's floor target amount. As a result, the OC in the majority of the transactions will not release at the stepdown date and is expected to continue to grow as a percentage of the remaining pool balance. All transactions' OC amounts are currently at or near their target amount.
The mortgage loans were originated or acquired by Lehman Brothers Holdings Inc. The underlying collateral for the mortgage transactions listed above consist primarily of first and second liens on adjustable- and fixed-rate, fully amortizing and balloon residential mortgage loans having original terms to maturity not greater than 30 years. 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 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.
Series 2003-BC1
-- Classes A1 and A2 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'BBB+';
-- Class M4 at 'BBB';
-- Class B at 'BBB'.
Series 2003-BC2
-- Classes A1, A2 and A3 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'BBB+';
-- Classes M4-A and M4-F at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC3
-- Classes 1-A2, 2-A2 and A-IO affirmed at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC4
-- Classes 1-A2, 2-A2 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC6
-- Classes 1-A3, 2-A, 3-A2 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC7
-- Classes 1-A2, 2-A, 3-A2 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC8
-- Classes 1-A2, 2-A, 3-A2, 3-A3 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC9
-- Classes 1-A2, 2-A, 3-A2 and 3-A3 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC10
-- Classes 1-A2, 2-A, 3-A2, 3-A3, 3-A5 and A4 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC11
-- Class A3 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class B at 'BBB-'.
Series 2003-BC12
-- Classes 1A, 2A and 3A at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB'.
Series 2003-BC13
-- Classes 1-A1, 1-A3, 2-A1, 2-A3 and 3A at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB'.
Series 2004-1
-- Classes A3 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB+'.
Series 2004-2
-- Classes 1-A2, 2-A, 3-A2, A-SIO and A4 at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB'.
Series 2004-3
-- Classes A1, A2, A3, A5 and A-IO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-';
-- Class B at 'BB+'.
Series 2004-4
-- Classes A1, A2, A3, A4 and A-SIO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'AA-';
-- Class M3 at 'AA-';
-- Class M4 at 'A+';
-- Class M5 at 'A';
-- Class M6 at 'BBB+';
-- Class M7 at 'BBB';
-- Class M8 at 'BBB-';
-- Class B at 'BB'.
Series 2004-5
-- Classes A1, A2, A3 and A-SIO at 'AAA';
-- Class M1 at 'AAA';
-- Class M2 at 'AA+';
-- Class M3 at 'AA';
-- Class M4 at 'AA-';
-- Class M5 at 'A';
-- Class M6 at 'A-';
-- Class M7 at 'BBB+';
-- Class M8 at 'BBB'.
Series 2004-6
-- Classes 1-A1, 2-A2, 3A and A-SIO at 'AAA';
-- Class M1 at 'AA';
-- Class M2 at 'A';
-- Class M3 at 'A-';
-- Class M4 at 'BBB+';
-- Class M5 at 'BBB';
-- Class M6 at 'BBB-'.
Series 2004-7
-- Classes A1, A2, A3, A4, A5, A6, A7, A8 and A-SIO at 'AAA';
-- Class M1 at 'AA+';
-- Class M2 at 'AA';
-- Class M3 at 'AA-';
-- Class M4 at 'A';
-- Class M5 at 'A-';
-- Class M6 at 'BBB+';
-- Class M7 at 'BBB'.
Series 2004-8
-- Classes A1, A2, A3, A4, A5, A6, A7, A8, A9, A10, A11 and A13 at 'AAA';
-- Class M1 at 'AA+';
-- Class M2 at 'AA';
-- Class M3 at 'AA';
-- Class M4 at 'AA';
-- Class M5 at 'A';
-- Class M6 at 'A-';
-- Class M7 at 'BBB+';
-- Class M8 at 'BBB';
-- Class M9 at 'BBB-'.
Series 2004-9
-- Classes A1, A2, A3, A4, A5, A6 and A7 at 'AAA';
-- Class M1 at 'AA+';
-- Class M2 at 'AA';
-- Class M3 at 'A+';
-- Class M4 at 'A';
-- Class M5 at 'A-';
-- Class M6 at 'BBB+';
-- Class M7 at 'BBB';
-- Class B1 at 'BBB-';
-- Class B2 at 'BBB-'.
Series 2004-BNC1
-- Classes A1, A2, A3, A4 and A-SIO at 'AAA';
-- Class A5 at 'AA+';
-- Class M1 at 'AA';
-- Class M2 at 'AA-';
-- Class M3 at 'A+';
-- Class M4 at 'A';
-- Class M5 at 'BBB+';
-- Class M6 at 'BBB';
-- Class M7 at 'BBB-';
-- Class B1 at 'BB'.
Series 2004-BNC2
-- Classes A1, A2, A3, A4 and A5 at 'AAA'.
The above affirmations reflect adequate relationships of credit enhancement (CE) to future loss expectations and affect approximately $11.46 billion of certificates. The above classes have experienced growth in CE since closing while cumulative losses as a percent of the original collateral balance range from 0.05% (series 2004-BNC2) to 0.91% (series 2003-BC3).
The transactions are seasoned from a range of 14 months (series 2004-BNC2) to 35 months (series 2003-BC1). The pool factors (current principal balance as a percentage of original) range from 14% (series 2003-BC3) to 55% (series 2004-BNC2). The transactions also benefit from varying amounts of lender-paid mortgage insurance. The mortgage insurance allowed for initial overcollateralization (OC) target amounts, which were generally at the trust's floor target amount. As a result, the OC in the majority of the transactions will not release at the stepdown date and is expected to continue to grow as a percentage of the remaining pool balance. All transactions' OC amounts are currently at or near their target amount.
The mortgage loans were originated or acquired by Lehman Brothers Holdings Inc. The underlying collateral for the mortgage transactions listed above consist primarily of first and second liens on adjustable- and fixed-rate, fully amortizing and balloon residential mortgage loans having original terms to maturity not greater than 30 years. 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 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.