Lehman/SASCO NIM Classes Downgraded

Four classes from four net-interest-margin securitizations issued by Lehman Brothers (SASCO) have been downgraded by Moody's Investors Service.The downgrades were as follows: SARM Net Interest Margin Notes, series 2005-5, class A, from A3 to B1; SAIL Net Interest Margin Notes, series 2003-2, class A, from Baa2 to Ba2; SASCO Net Interest Margin Trust 2003-36XS, class A, from A1 to Baa2; and SASCO Net Interest Margin Trust 2003-3XS, class A, from A3 to Baa2. NIM deals typically represent the securitization of excess spread, prepayment penalties, and cap payments generated by the underlying residential mortgage-backed securities. Moody's attributed the downgrades to "low and diminishing levels" of residual cash flows from the underlying transactions. The transaction underlying SARM 2005-5 has experienced high prepayments, reducing the payments to the A-IO2 class that serves as collateral, the rating agency said. "For the other NIM securities, losses incurred by the underlying pools have diverted cash flow away from the residual tranches, which provide collateral to the NIMs," Moody's reported. The rating agency can be found online at http://www.moodys.com.