New York, May 05, 2010 -- Moody's Investors Service has downgraded the ratings of 111 tranches from
29 RMBS transactions issued by MASTR Asset Backed Securities Trust.
Additionally, the ratings of 22 classes were confirmed. The
collateral backing these deal primarily consists of first-lien,
fixed or adjustable-rate subprime residential mortgages.
The actions are a result of the continued performance deterioration in
Subprime pools in conjunction with home price and unemployment conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on subprime pools issued from 2005 to 2007. For
details regarding Moody's approach to estimating losses on subprime pools
originated in 2005, 2006, and 2007, please refer to
the methodology publication "Subprime RMBS Loss Projection Update:
February 2010" available on Moodys.com.
To assess the rating implications of the updated loss levels on subprime
RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
Certain tranches included in this action, noted below, are
wrapped by Assured Guaranty Municipal Corp. (Aa3, Outlook
Negative). For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier.
The principal methodology used in these ratingswas Moody's "Subprime RMBS
Loss Projection Update: February 2010", published in Feburary
2010 and available on www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website. In addition, Moody's publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck
Issuer: MASTR Asset Backed Securities Trust 2005-FRE1
Cl. A-1, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Aa2; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to A3; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-HE1
Cl. M-1, Confirmed at Aa1; previously on Jan
13, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B2; previously on Jan
13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa3; previously on Jan
13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-HE2
Cl. A-1, Downgraded to A2; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Aa1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to A3; previously on Jan
13, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B3; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-NC1
Cl. M-1, Confirmed at Aa1; previously on Jan
13, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa3; previously on Jan
13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B3; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca; previously on Jan
13, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 Caa3 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-NC2
Cl. A-3, Downgraded to Caa2; previously on Jan
13, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa3; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-OPT1
Cl. A-1, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-2, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-5, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Aa2; previously on Jan
13, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba2; previously on Jan
13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa2; previously on Jan
13, 2010 A3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-WF1
Cl. A-1A, Downgraded to Aa3; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-2C, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-2D, Downgraded to Aa3; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa3; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B2; previously on Jan
13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa2; previously on Jan
13, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 Caa3 Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-WMC1
Cl. M-3, Downgraded to Ba2; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa3; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at Aa1; previously on Jan
13, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at Aa3; previously on Jan
13, 2010 Aa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-AM1
Cl. A-2, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to B1; previously on Jan
13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa1; previously on Jan
13, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-AM2
Cl. A-2, Downgraded to Aa3; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa3; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-AM3
Cl. A-2, Confirmed at A2; previously on Jan 13,
2010 A2 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa1; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa2; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-FRE1
Cl. A-3, Downgraded to Caa2; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-FRE2
Cl. A-1, Downgraded to Caa3; previously on Jan
13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. A-3, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-HE1
Cl. A-3, Downgraded to B1; previously on Jan
13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-HE2
Cl. A-2, Downgraded to B1; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-HE3
Cl. A-2, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-HE4
Cl. A-1, Downgraded to Caa2; previously on Jan
13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-HE5
Cl. A-1, Downgraded to A3; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa2; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-NC1
Cl. A-3, Downgraded to B1; previously on Jan
13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa2; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-NC2
Cl. A-1, Downgraded to Ca; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa3; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-NC3
Cl. A-1, Downgraded to Ca; previously on Jan
13, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa3; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa3; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-WMC1
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-WMC2
Cl. A-1, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-4, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-5, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-WMC3
Cl. A-1, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-4, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-5, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2006-WMC4
Cl. A-1, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. A-4, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-5, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-6, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2007-HE1
Cl. A-1, Downgraded to Ba1; previously on Jan
13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa2; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2007-HE2
Cl. A-1, Downgraded to Caa3; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba3; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2007-WMC1
Cl. A-1, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-3, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-4, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-5, Confirmed at Ca; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2007-NCW
Cl. A-1, Current Rating: Aa3; previously
on Nov 12, 2009 Confirmed at Aa3
Underlying Rating: Downgraded to Caa2; previously on Mar 20,
2009 Downgraded to B3
Financial Guarantor: Assured Guaranty Municipal Corp. (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. A-2, Current Rating: Aa3; previously
on Nov 12, 2009 Confirmed at Aa3
Underlying Rating: Downgraded to Ca; previously on Mar 20,
2009 Downgraded to Caa2
Financial Guarantor: Assured Guaranty Municipal Corp. (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF204137
A list of updated estimated pool losses and tranche recovery details is
being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689
For more information please see www.moodys.com.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $5.8 bn of MASTR subprime RMBS