Moody's Downgrades Certain MASTR Subprime RMBS
New York, October 15, 2008 -- Moody's Investors Service has downgraded the ratings of 252 tranches from
27 subprime RMBS transactions issued by MASTR. The collateral backing
these transactions consists primarily of first-lien, fixed
and adjustable-rate, subprime residential mortgage loans.
These actions follow and are as a result of Moody's September 18th 2008
announcement that it had updated its loss projections on first-lien
subprime RMBS. (See Moodys.com for the report: Subprime
RMBS Loss Projection Update: September 2008 for details)
Moody's Investors Service also announced today that it has published the
underlying ratings on several insured notes as identified below.
The ratings of these insured notes were previously derived from public
ratings on non-sequential pari passu (i.e. at the
same level of seniority) or more junior uninsured tranches of the same
deals.
The underlying ratings reflect the intrinsic credit quality of the notes
in the absence of the guarantee. The ratings on securities that
are guaranteed or "wrapped" by a financial guarantor is the higher of
a) the rating of the guarantor or b) the published underlying rating.
The current ratings on the below notes are consistent with Moody's practice
of rating insured securities at the higher of the guarantor's insurance
financial strength rating and any underlying rating that is public.
Complete rating actions are as follows:
Issuer: MASTR Asset Backed Securities Trust 2005-HE1
Cl. M-8, Downgraded to Caa2 from Caa1
Cl. M-9, Downgraded to C from Caa3
Issuer: MASTR Asset Backed Securities Trust 2005-HE2
Cl. M-4, Downgraded to A3 from A1
Cl. M-5, Downgraded to Ba1 from Baa1
Cl. M-6, Downgraded to B3 from Ba1
Cl. M-7, Downgraded to C from B3
Cl. M-8, Downgraded to C from Caa2
Cl. M-9, Downgraded to C from Caa3
Issuer: MASTR Asset Backed Securities Trust 2005-NC1
Cl. M-2, Downgraded to A1 from Aa2
Cl. M-3, Downgraded to A3 from Aa3
Cl. M-4, Downgraded to Baa1 from A1
Cl. M-5, Downgraded to Baa3 from A2
Cl. M-6, Downgraded to Ba3 from Baa2
Cl. M-7, Downgraded to B2 from Ba1
Cl. M-8, Downgraded to Caa2 from Ba2
Cl. M-9, Downgraded to C from B1
Issuer: MASTR Asset Backed Securities Trust 2005-NC2
Cl. A-3, Downgraded to Aa1 from Aaa
Cl. A-4, Downgraded to Aa3 from Aaa
Cl. M-1, Downgraded to Baa1 from Aa3
Cl. M-2, Downgraded to Ba3 from Baa3
Cl. M-3, Downgraded to Caa2 from Ba3
Cl. M-4, Downgraded to C from B3
Cl. M-5, Downgraded to C from Caa1
Cl. M-6, Downgraded to C from Caa2
Cl. M-7, Downgraded to C from Caa3
Cl. M-8, Downgraded to C from Ca
Cl. M-9, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2005-WF1
Cl. M-6, Downgraded to Ba1 from Baa3
Cl. M-7, Downgraded to B1 from Ba3
Cl. M-8, Downgraded to B3 from B1
Cl. M-9, Downgraded to Ca from B3
Issuer: MASTR Asset Backed Securities Trust 2005-WMC1
Cl. M-2, Downgraded to Aa3 from Aa2
Cl. M-3, Downgraded to A2 from Aa3
Cl. M-4, Downgraded to Baa2 from A3
Cl. M-5, Downgraded to Ba2 from Baa1
Cl. M-6, Downgraded to B2 from Baa2
Cl. M-7, Downgraded to Caa2 from Ba1
Cl. M-8, Downgraded to Caa3 from B2
Cl. M-9, Downgraded to Caa3 from Caa1
Issuer: MASTR Asset Backed Securities Trust 2006-AM1
Cl. M-2, Downgraded to A1 from Aa2
Cl. M-3, Downgraded to A3 from Aa3
Cl. M-4, Downgraded to Baa2 from Baa1
Cl. M-6, Downgraded to Caa2 from B2
Cl. M-7, Downgraded to C from B3
Cl. M-8, Downgraded to C from Caa1
Cl. M-9, Downgraded to C from Caa2
Cl. M-10, Downgraded to C from Caa3
Cl. M-11, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-AM2
Cl. A-3, Downgraded to Baa1 from Aaa
Cl. A-4, Downgraded to Baa2 from Aaa
Cl. M-1, Downgraded to B1 from A1
Cl. M-2, Downgraded to Caa2 from Ba2
Cl. M-3, Downgraded to C from B1
Cl. M-4, Downgraded to C from B2
Cl. M-5, Downgraded to C from B3
Cl. M-6, Downgraded to C from Caa1
Cl. M-7, Downgraded to C from Caa2
Cl. M-8, Downgraded to C from Caa3
Cl. M-9, Downgraded to C from Ca
Cl. M-10, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-AM3
Cl. A-3, Downgraded to Baa1 from Aaa
Cl. A-4, Downgraded to Baa2 from Aaa
Cl. M-1, Downgraded to B1 from A3
Cl. M-2, Downgraded to Caa2 from Ba3
Cl. M-3, Downgraded to C from B1
Cl. M-4, Downgraded to C from B2
Cl. M-5, Downgraded to C from B3
Cl. M-6, Downgraded to C from Caa1
Cl. M-7, Downgraded to C from Caa2
Cl. M-8, Downgraded to C from Caa3
Cl. M-9, Downgraded to C from Ca
Cl. M-10, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-FRE1
Cl. A-4, Downgraded to Aa1 from Aaa
Cl. M-1, Downgraded to Baa1 from A3
Cl. M-3, Downgraded to Ca from Caa1
Cl. M-4, Downgraded to C from Caa2
Cl. M-5, Downgraded to C from Caa3
Cl. M-6, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-FRE2
Cl. A-1, Downgraded to Baa3 from Aaa
Cl. A-4, Downgraded to Ba3 from Aaa
Cl. A-5, Downgraded to B3 from Aaa
Cl. M-1, Downgraded to C from Baa3
Cl. M-2, Downgraded to C from B2
Cl. M-3, Downgraded to C from B3
Cl. M-4, Downgraded to C from Caa1
Cl. M-5, Downgraded to C from Caa2
Cl. M-6, Downgraded to C from Caa3
Cl. M-7, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-HE1
Cl. A-3, Downgraded to A3 from Aaa
Cl. A-4, Downgraded to Baa1 from Aaa
Cl. M-1, Downgraded to Ba2 from Aa1
Cl. M-2, Downgraded to Caa2 from Aa2
Cl. M-3, Downgraded to C from A1
Cl. M-4, Downgraded to C from Ba1
Cl. M-5, Downgraded to C from B2
Cl. M-6, Downgraded to C from Caa1
Cl. M-7, Downgraded to C from Caa2
Cl. M-8, Downgraded to C from Caa3
Cl. M-9, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-HE2
Cl. A-3, Downgraded to B3 from Aaa
Cl. A-4, Downgraded to Caa1 from Aa2
Cl. M-1, Downgraded to C from B1
Cl. M-2, Downgraded to C from B2
Cl. M-3, Downgraded to C from B3
Cl. M-4, Downgraded to C from Caa1
Cl. M-5, Downgraded to C from Caa2
Cl. M-6, Downgraded to C from Caa3
Issuer: MASTR Asset Backed Securities Trust 2006-HE3
Cl. A-3, Downgraded to Caa2 from Baa2
Cl. A-4, Downgraded to Caa2 from Baa3
Cl. M-1, Downgraded to C from B2
Cl. M-2, Downgraded to C from B3
Cl. M-3, Downgraded to C from Caa1
Cl. M-4, Downgraded to C from Caa2
Cl. M-5, Downgraded to C from Caa3
Cl. M-6, Downgraded to C from Ca
Cl. M-7, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-HE4
Cl. A-2, Downgraded to Aa2 from Aaa
Cl. A-3, Downgraded to B2 from Aa2
Cl. A-4, Downgraded to B3 from A1
Cl. M-1, Downgraded to C from Ba2
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from B2
Cl. M-4, Downgraded to C from B3
Cl. M-5, Downgraded to C from Caa1
Cl. M-6, Downgraded to C from Caa2
Cl. M-7, Downgraded to C from Caa3
Cl. M-8, Downgraded to C from Ca
Cl. M-9, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-HE5
Cl. A-2, Downgraded to Aa2 from Aaa
Cl. A-3, Downgraded to Ba2 from Aa1
Cl. A-4, Downgraded to Ba3 from Aa3
Cl. M-1, Downgraded to Caa2 from Ba1
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from B2
Cl. M-4, Downgraded to C from B3
Cl. M-5, Downgraded to C from Caa1
Cl. M-6, Downgraded to C from Caa2
Cl. M-7, Downgraded to C from Caa3
Cl. M-8, Downgraded to C from Ca
Cl. M-9, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-NC1
Cl. A-4, Downgraded to Aa2 from Aaa
Cl. M-1, Downgraded to A3 from Aa1
Cl. M-2, Downgraded to Ba1 from Aa2
Cl. M-3, Downgraded to B2 from A2
Cl. M-4, Downgraded to Caa2 from Ba1
Cl. M-5, Downgraded to C from B2
Cl. M-6, Downgraded to C from B3
Cl. M-7, Downgraded to C from Caa1
Cl. M-8, Downgraded to C from Caa2
Cl. M-9, Downgraded to C from Caa3
Cl. M-10, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-NC2
Cl. A-1, Downgraded to Ba1 from Aa2
Cl. A-3, Downgraded to Aa2 from Aaa
Cl. A-4, Downgraded to B2 from Aa2
Cl. A-5, Downgraded to B3 from A1
Cl. M-1, Downgraded to Ca from Ba1
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from B2
Cl. M-4, Downgraded to C from B3
Cl. M-5, Downgraded to C from Caa1
Cl. M-6, Downgraded to C from Caa2
Cl. M-7, Downgraded to C from Caa3
Cl. M-8, Downgraded to C from Ca
Cl. M-9, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-NC3
Cl. A-1, Downgraded to Ba3 from Aaa
Cl. A-3, Downgraded to Aa2 from Aaa
Cl. A-4, Downgraded to B2 from Aaa
Cl. A-5, Downgraded to B3 from Aa2
Cl. M-1, Downgraded to Ca from Baa3
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from B2
Cl. M-4, Downgraded to C from B3
Cl. M-5, Downgraded to C from Caa1
Cl. M-6, Downgraded to C from Caa2
Cl. M-7, Downgraded to C from Caa3
Cl. M-8, Downgraded to C from Ca
Cl. M-9, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-WMC1
Cl. A-3, Downgraded to Ba3 from Aaa
Cl. A-4, Downgraded to B1 from Aaa
Cl. M-1, Downgraded to Caa3 from Aa1
Cl. M-2, Downgraded to C from Baa2
Cl. M-3, Downgraded to C from B1
Cl. M-4, Downgraded to C from B2
Cl. M-5, Downgraded to C from B3
Cl. M-6, Downgraded to C from Caa1
Cl. M-7, Downgraded to C from Caa2
Cl. M-8, Downgraded to C from Caa3
Issuer: MASTR Asset Backed Securities Trust 2006-WMC2
Cl. A-1, Downgraded to Caa2 from A2
Cl. A-3, Downgraded to A2 from Aaa
Cl. A-4, Downgraded to Caa2 from Baa3
Cl. A-5, Downgraded to Caa2 from B1
Cl. M-1, Downgraded to C from B2
Cl. M-2, Downgraded to C from Caa1
Cl. M-3, Downgraded to C from Caa2
Cl. M-4, Downgraded to C from Caa3
Cl. M-5, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-WMC3
Cl. A-1, Downgraded to Caa1 from Baa2
Cl. A-2, Downgraded to Baa3 from Aaa
Cl. A-3, Downgraded to Caa1 from Aa2
Cl. A-4, Downgraded to Caa2 from Baa1
Cl. A-5, Downgraded to Caa2 from Baa2
Cl. M-1, Downgraded to C from B2
Cl. M-2, Downgraded to C from B3
Cl. M-3, Downgraded to C from Caa1
Cl. M-4, Downgraded to C from Caa2
Cl. M-5, Downgraded to C from Caa3
Cl. M-6, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2006-WMC4
Cl. A-1, Downgraded to B3 from A3
Cl. A-2, Downgraded to Caa3 from A3
Cl. A-3, Downgraded to Caa1 from Aa1
Cl. A-4, Downgraded to Caa2 from Aa2
Cl. A-5, Downgraded to Caa2 from Baa2
Cl. A-6, Downgraded to Caa2 from Baa3
Cl. M-1, Downgraded to C from B2
Cl. M-2, Downgraded to C from B3
Cl. M-3, Downgraded to C from Caa1
Cl. M-4, Downgraded to C from Caa2
Cl. M-5, Downgraded to C from Caa3
Cl. M-6, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2007-HE1
Cl. A-2, Downgraded to A2 from Aaa
Cl. A-3, Downgraded to Baa2 from Aaa
Cl. A-4, Downgraded to Baa3 from Aaa
Cl. M-1, Downgraded to B1 from Aa1
Cl. M-2, Downgraded to Caa2 from Baa2
Cl. M-3, Downgraded to C from Ba1
Cl. M-4, Downgraded to C from Ba3
Cl. M-5, Downgraded to C from B1
Cl. M-6, Downgraded to C from B2
Cl. M-7, Downgraded to C from B3
Cl. M-8, Downgraded to C from Caa1
Cl. M-9, Downgraded to C from Caa2
Cl. M-10, Downgraded to C from Caa3
Cl. M-11, Downgraded to C from Ca
Issuer: MASTR Asset Backed Securities Trust 2007-HE2
Cl. A-1, Downgraded to A3 from Aaa
Cl. A-3, Downgraded to Baa1 from Aaa
Cl. A-4, Downgraded to Baa2 from Aaa
Cl. M-1, Downgraded to Ba2 from Baa2
Cl. M-2, Downgraded to B3 from Ba2
Cl. M-3, Downgraded to Caa2 from B1
Cl. M-4, Downgraded to Ca from B2
Cl. M-5, Downgraded to C from Caa1
Issuer: MASTR Asset Backed Securities Trust 2007-WMC1
Cl. A-1, Downgraded to Caa1 from B1
Cl. A-2, Downgraded to Caa1 from A1
Cl. A-3, Downgraded to Caa2 from Ba3
Cl. A-4, Downgraded to Caa2 from B1
Cl. A-5, Downgraded to Caa2 from B2
Cl. M-1, Downgraded to C from Caa2
Cl. M-2, Downgraded to C from Caa3
Cl. M-3, Downgraded to C from Ca
Issuer: Mastr Asset Backed Securities Trust 2007-NCW
Cl. A-1, Currently Aaa, on review for possible
downgrade
Financial Guarantor: Financial Security Assurance Inc. (Aaa,
on review for possible downgrade)
Underlying Rating: A2
Cl. A-2, Currently Aaa, on review for possible
downgrade
Financial Guarantor: Financial Security Assurance Inc. (Aaa,
on review for possible downgrade)
Underlying Rating: B3
Cl. M-1, Downgraded to Caa2 from B1
Cl. M-2, Downgraded to C from B1
Cl. M-3, Downgraded to C from Caa1
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF145004
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
Joseph Rocco
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653