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Rating Action:

Moody's Downgrades Jumbo deals issued by MASTR in 2006

10 Dec 2008
Moody's Downgrades Jumbo deals issued by MASTR in 2006

New York, December 10, 2008 -- Moody's Investors Service has downgraded 60 tranches and confirmed 1 tranche from 2 Jumbo transactions issued by MASTR in 2006.

The collateral backing these transactions consists primarily of first-lien, fixed-rate, prime Jumbo mortgage loans. The actions are triggered by higher than anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to currently available credit enhancement levels. The actions listed below reflect Moody's revised expected losses on the Jumbo sector announced in a press release on September 18th, and are part of Moody's on-going review process.

Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool-level loss expectations relative to current level of credit enhanacement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, time tranching, and other structural features within the Aaa waterfalls. General loss estimation methodology is outlined below.

Complete rating actions are as follows:

Issuer: MASTR Asset Securitization Trust 2006-1

Cl. 1-A-1 Certificate, Downgraded to Aa2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-2 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-3 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-4 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-5 Certificate, Downgraded to A3; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade

Cl. 1-A-6 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-7 Certificate, Downgraded to A3; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade

Cl. 1-A-8 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-9 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-11 Certificate, Downgraded to Aa2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-12 Certificate, Downgraded to A3; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade

Cl. 1-A-13 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-14 Certificate, Downgraded to A3; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade

Cl. 2-A-1 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 2-A-2 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 3-A-1 Certificate, Downgraded to Aa1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 3-A-2 Certificate, Downgraded to A3; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade

Cl. 4-A-1 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 15-A-X Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 30-A-X Certificate, Downgraded to Aa1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 15-PO Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 30-PO Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Issuer: MASTR Asset Securitization Trust 2006-2

Cl. 1-A-1 Certificate, Downgraded to A2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-2 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-3 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-4 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-5 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-6 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-8 Certificate, Downgraded to Aa2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-9 Certificate, Downgraded to Aa2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-10 Certificate, Downgraded to Aa2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-11 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-12 Certificate, Downgraded to A3; previously on 10/6/2008 Aa1 Placed Under Review for Possible Downgrade

Cl. 1-A-13 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-14 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-15 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-16 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-17 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-18 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-19 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-20 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-21 Certificate, Downgraded to Aa3; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-22 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-23 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-24 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-25 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-26 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-27 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-28 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-29 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-30 Certificate, Downgraded to Aa2; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-31 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-32 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-33 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-34 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 1-A-35 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 2-A-1 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 2-A-2 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. 2-A-3 Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. PO Certificate, Downgraded to A1; previously on 10/6/2008 Aaa Placed Under Review for Possible Downgrade

Cl. B-3 Certificate, Confirmed at Baa3; previously on 10/6/2008 Baa3 Placed Under Review for Possible Downgrade

Moody's calculates estimated losses for Jumbo RMBS in a two-stage process. First, serious delinquencies are projected through late 2009, primarily based upon recent historical performance. These projected delinquencies are converted into projected losses using lifetime roll rates (the probability of transition to default) averaging 40% for 60-day delinquencies, 75% for delinquencies greater than 90 days, and 90-100% for foreclosure or REO, and severity assumptions averaging 35%.

The second step is to determine losses for the remaining life of the deal, following the projection period. Depending on a deal's performance, including delinquency, default, and prepayment rates, as well as collateral characteristics, such as loan type (fixed or adjustable), or loan-to-value ratios and geographic concentrations of remaining current loans, Moody's assumes varying degrees of slowing in the loss rate (which is measured by loss-to-liquidation) for the remaining life of the deal. Typical degrees of slowing in loss rate after late 2009 range from no slowing at all to 40% slowing. To take an example, a deal with very poor early performance due to relatively high loan-to-value ratios and dropping regional home values would be expected to see markedly high delinquency and loss rates for the next year. But the high rate of losses may be expected to slow afterwards, as economic factors and real estate values begin to stabilize, and a slowing of 20-40% may be used in the projection. On the other hand, a deal with stronger early performance that is demonstrating relative resiliency in the current market environment may not be expected to have high losses in the near-term, but may be expected to sustain a similar level of losses for the life of the deal, as the pool continues to be subject to factors that have more historically driven prime performance such as borrower life events, unemployment, and so on.

Loss estimates are subject to variability and, as a result, realized losses could ultimately turn out higher or lower than our current expectations. Moody's will continue to evaluate performance data as it becomes available and will assess the pattern of potential future defaults and adjust loss expectations accordingly if necessary.

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF149763

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
Gregory Bessermann
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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