Moody's Downgrades Certain MABS Subprime RMBS
New York, April 17, 2008 -- Moody's Investors Service has downgraded the ratings of 212 tranches from
22 subprime RMBS transactions issued by MABS. 46 downgraded tranches
remain on review for possible further downgrade. The collateral
backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, subprime residential mortgage
loans.
The ratings were downgraded, in general, based on higher than
anticipated rates of delinquency, foreclosure, and REO in
the underlying collateral relative to credit enhancement levels.
The actions described below are a result of Moody's on-going surveillance
process.
Complete rating actions are as follows:
MASTR Asset Backed Securities Trust 2005-HE2
Cl. M-5, Downgraded to Baa1 from A2
Cl. M-6, Downgraded to Ba1 from A3
Cl. M-7, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa2 from Baa2
Cl. M-9, Downgraded to Caa3 from B1
MASTR Asset Backed Securities Trust 2005-NC2
Cl. M-1, Downgraded to Aa3 from Aa1
Cl. M-2, Downgraded to Baa3 from Aa2
Cl. M-3, Downgraded to Ba3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B3 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to Caa1 from A2
Cl. M-6, Downgraded to Caa2 from A3
Cl. M-7, Downgraded to Caa3 from Baa3
Cl. M-8, Downgraded to Ca from Ba2
Cl. M-9, Downgraded to Ca from B1
MASTR Asset Backed Securities Trust 2005-WF1
Cl. M-5, Downgraded to Baa1 from A2
Cl. M-6, Downgraded to Baa3 from A3
Cl. M-7, Downgraded to Ba3 from Baa1
Cl. M-8, Downgraded to B1 from Baa2
Cl. M-9, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
MASTR Asset Backed Securities Trust 2006-AM1
Cl. M-4, Downgraded to Baa1 from A1
Cl. M-5, Downgraded to Ba3 from A2
Cl. M-6, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from Baa3
Cl. M-9, Downgraded to Caa2 from Ba2
Cl. M-10, Downgraded to Caa3 from B1
Cl. M-11, Downgraded to Ca from B3
MASTR Asset Backed Securities Trust 2006-AM2
Cl. M-1, Downgraded to A1 from Aa1
Cl. M-2, Downgraded to Ba2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Ba2
Cl. M-7, Downgraded to Caa2 from B3
Cl. M-8, Downgraded to Caa3 from B3
Cl. M-9, Downgraded to Ca from B3
Cl. M-10, Downgraded to Ca from Caa3
MASTR Asset Backed Securities Trust 2006-AM3
Cl. M-1, Downgraded to A3 from Aa1
Cl. M-2, Downgraded to Ba3 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Ba1
Cl. M-7, Downgraded to Caa2 from B1
Cl. M-8, Downgraded to Caa3 from B3
Cl. M-9, Downgraded to Ca from Caa1
Cl. M-10, Downgraded to Ca from Caa1
Cl. M-11, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-FRE1
Cl. M-1, Downgraded to A3 from Aa1
Cl. M-2, Downgraded to B3 from Aa2
Cl. M-3, Downgraded to Caa1 from Aa3
Cl. M-4, Downgraded to Caa2 from A3
Cl. M-5, Downgraded to Caa3 from Baa2
Cl. M-6, Downgraded to Ca from Ba2
Cl. M-7, Downgraded to C from Caa1
Cl. M-8, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-FRE2
Cl. M-1, Downgraded to Baa3 from Aa1
Cl. M-2, Downgraded to B2 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to Caa1 from Baa2
Cl. M-5, Downgraded to Caa2 from Ba2
Cl. M-6, Downgraded to Caa3 from B3
MASTR Asset Backed Securities Trust 2006-HE1
Cl. M-3, Downgraded to A1 from Aa3
Cl. M-4, Downgraded to Ba1 from A1
Cl. M-5, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Baa1
Cl. M-7, Downgraded to Caa2 from Ba1
Cl. M-8, Downgraded to Caa3 from Ba3
Cl. M-9, Downgraded to Ca from B3
Cl. M-10, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-HE2
Cl. A-4, Downgraded to Aa2 from Aaa
Cl. M-1, Downgraded to B1 from Aa1; Placed Under
Review for further Possible Downgrade
Cl. M-2, Downgraded to B2 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to Caa1 from Baa2
Cl. M-5, Downgraded to Caa2 from Ba2
Cl. M-6, Downgraded to Caa3 from B3
Cl. M-7, Downgraded to C from Ca
Cl. M-8, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-HE3
Cl. A-1, Downgraded to Aa1 from Aaa
Cl. A-2, Downgraded to A3 from Aaa
Cl. A-3, Downgraded to Baa2 from Aaa
Cl. A-4, Downgraded to Baa3 from Aaa
Cl. M-1, Downgraded to B2 from Aa1; Placed Under
Review for further Possible Downgrade
Cl. M-2, Downgraded to B3 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to Caa1 from Aa3
Cl. M-4, Downgraded to Caa2 from B1
Cl. M-5, Downgraded to Caa3 from B3
Cl. M-6, Downgraded to Ca from B3
Cl. M-7, Downgraded to Ca from Caa3
Cl. M-8, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-HE4
Cl. A-3, Downgraded to Aa2 from Aaa
Cl. A-4, Downgraded to A1 from Aaa
Cl. M-1, Downgraded to Ba2 from Aa1
Cl. M-2, Downgraded to B1 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B2 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to Caa1 from Ba1
Cl. M-6, Downgraded to Caa2 from Ba3
Cl. M-7, Downgraded to Caa3 from B3
Cl. M-8, Downgraded to Ca from Caa1
Cl. M-9, Downgraded to Ca from Caa2
Cl. M-10, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-HE5
Cl. A-3, Downgraded to Aa1 from Aaa
Cl. A-4, Downgraded to Aa3 from Aaa
Cl. M-1, Downgraded to Ba1 from Aa1
Cl. M-2, Downgraded to B1 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B2 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to Caa1 from Ba1
Cl. M-6, Downgraded to Caa2 from Ba3
Cl. M-7, Downgraded to Caa3 from B3
Cl. M-8, Downgraded to Ca from B3
Cl. M-9, Downgraded to Ca from Caa1
Cl. M-10, Downgraded to C from Caa2
Cl. M-11, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-NC1
Cl. M-3, Downgraded to A2 from Aa3
Cl. M-4, Downgraded to Ba1 from A1
Cl. M-5, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to Caa1 from Baa3
Cl. M-8, Downgraded to Caa2 from Ba1
Cl. M-9, Downgraded to Caa3 from B1
Cl. M-10, Downgraded to Ca from B3
MASTR Asset Backed Securities Trust 2006-NC2
Cl. A-1, Downgraded to Aa2 from Aaa
Cl. A-4, Downgraded to Aa2 from Aaa
Cl. A-5, Downgraded to A1 from Aaa
Cl. M-1, Downgraded to Ba1 from Aa1
Cl. M-2, Downgraded to B1 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B2 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to Caa1 from Baa3
Cl. M-6, Downgraded to Caa2 from Ba2
Cl. M-7, Downgraded to Caa3 from B2
Cl. M-8, Downgraded to Ca from B3
Cl. M-9, Downgraded to Ca from Caa2
Cl. M-10, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-NC3
Cl. A-5, Downgraded to Aa2 from Aaa
Cl. M-1, Downgraded to Baa3 from Aa1
Cl. M-2, Downgraded to B1 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B2 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to Caa1 from Baa3
Cl. M-6, Downgraded to Caa2 from Ba3
Cl. M-7, Downgraded to Caa3 from B3
Cl. M-8, Downgraded to Ca from Caa1
Cl. M-9, Downgraded to Ca from Caa1
Cl. M-10, Downgraded to C from Caa2
MASTR Asset Backed Securities Trust 2006-WMC1
Cl. M-2, Downgraded to Baa2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Baa2
Cl. M-7, Downgraded to Caa2 from Ba3
Cl. M-8, Downgraded to Caa3 from B3
Cl. M-9, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-WMC2
Cl. A-1, Downgraded to A2 from Aaa
Cl. A-4, Downgraded to Baa3 from Aaa
Cl. A-5, Downgraded to B1 from Aaa
Cl. M-1, Downgraded to B2 from Aa1; Placed Under
Review for further Possible Downgrade
Cl. M-2, Downgraded to Caa1 from Aa2
Cl. M-3, Downgraded to Caa2 from Aa3
Cl. M-4, Downgraded to Caa3 from Ba1
Cl. M-5, Downgraded to Ca from B1
Cl. M-6, Downgraded to C from B3
Cl. M-7, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2006-WMC3
Cl. A-1, Downgraded to Baa2 from Aaa
Cl. A-3, Downgraded to Aa2 from Aaa
Cl. A-4, Downgraded to Baa1 from Aaa
Cl. A-5, Downgraded to Baa2 from Aaa
Cl. M-1, Downgraded to B2 from Aa1; Placed Under
Review for further Possible Downgrade
Cl. M-2, Downgraded to B3 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to Caa1 from Aa3
Cl. M-4, Downgraded to Caa2 from Ba1
Cl. M-5, Downgraded to Caa3 from B2
Cl. M-6, Downgraded to Ca from B3
Cl. M-7, Downgraded to C from Caa3
MASTR Asset Backed Securities Trust 2006-WMC4
Cl. A-1, Downgraded to A3 from Aaa
Cl. A-2, Downgraded to A3 from Aaa
Cl. A-3, Downgraded to Aa1 from Aaa
Cl. A-4, Downgraded to Aa2 from Aaa
Cl. A-5, Downgraded to Baa2 from Aaa
Cl. A-6, Downgraded to Baa3 from Aaa
Cl. M-1, Downgraded to B2 from Aa1; Placed Under
Review for further Possible Downgrade
Cl. M-2, Downgraded to B3 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to Caa1 from Aa3
Cl. M-4, Downgraded to Caa2 from Ba2
Cl. M-5, Downgraded to Caa3 from B3
Cl. M-6, Downgraded to Ca from B3
Cl. M-7, Downgraded to C from Caa1
Cl. M-8, Downgraded to C from Ca
Cl. M-9, Downgraded to C from Ca
MASTR Asset Backed Securities Trust 2007-HE1
Cl. M-2, Downgraded to Baa2 from Aa2
Cl. M-3, Downgraded to Ba1 from Aa2
Cl. M-4, Downgraded to Ba3 from Aa3
Cl. M-5, Downgraded to B1 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from Ba1
Cl. M-9, Downgraded to Caa2 from Ba2
Cl. M-10, Downgraded to Caa3 from B3
MASTR Asset Backed Securities Trust 2007-WMC1
Cl. A-1, Downgraded to B1 from Aaa
Cl. A-2, Downgraded to A1 from Aaa
Cl. A-3, Downgraded to Ba3 from Aaa
Cl. A-4, Downgraded to B1 from Aaa
Cl. A-5, Downgraded to B2 from Aaa
Cl. M-1, Downgraded to Caa2 from Aa1
Cl. M-2, Downgraded to Caa3 from Aa2
Cl. M-3, Downgraded to Ca from Aa3
Cl. M-4, Downgraded to C from Caa2
Cl. M-5, Downgraded to C from Caa3
Cl. M-6, Downgraded to C from Ca
A list of these actions including CUSIP identifiers may be found at:
PDF: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF129647
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF129648
For more information please see www.moodys.com.
New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gulmira Karaguishiyeva
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653