New York, June 03, 2009 -- Moody's Investors Service has downgraded the ratings of 29 securities
from 9 transactions issued by MASTR. These actions are part of
an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit enhancement
relative to updated collateral loss projections. The revised loss
projections generally result from deterioration in collateral performance
in recent months. Additionally, most affected transactions
have, at some point, passed performance triggers and released
portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e.
prior to 2H 2005) takes into account the annualized loss rate from last
12 months ("Recent Losses") and the projected loss rate over next 12 months
("Pipeline Losses"), and then translates these measures into lifetime
losses based on a deal's expected remaining life. Recent Losses
are calculated by assessing cumulative losses incurred over the past 12-months
as a percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%,
30%, 65% and 90% for loans that are delinquent
60-days, 90+ days, are in foreclosure, and
REO respectively. Moody's then applies deal-specific severity
assumptions, in this case ranging from 50% to 75%.
The results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
The complete rating actions follow:
MASTR Asset Backed Securities 2002-OPT1
Cl. M-6, Downgraded to Ca; previously on 12/14/2007
Downgraded to Caa2
MASTR Asset Backed Securities Trust 2003-OPT1
Cl. MF-5, Downgraded to Caa1; previously on 3/6/2003
Assigned Baa3
Cl. MV-5, Downgraded to Caa1; previously on 3/6/2003
Assigned Baa3
MASTR Asset Backed Securities Trust 2003-OPT2
Cl. M-4, Downgraded to Ba1; previously on 6/4/2003
Assigned Baa2
Cl. M-5, Downgraded to Ca; previously on 6/4/2003
Assigned Baa3
MASTR Asset Backed Securities Trust 2003-WMC1
Cl. M-2, Downgraded to Baa2; previously on 6/4/2003
Assigned A2
Cl. M-3, Downgraded to Baa3; previously on 6/4/2003
Assigned A3
Cl. M-4, Downgraded to Ba1; previously on 6/4/2003
Assigned Baa1
Cl. M-5, Downgraded to Ba2; previously on 6/4/2003
Assigned Baa2
Cl. MF-6, Downgraded to Ba3; previously on 6/4/2003
Assigned Baa3
Cl. MV-6, Downgraded to Ba3; previously on 6/4/2003
Assigned Baa3
MASTR Asset Backed Securities Trust 2004-FRE1
Cl. M-8, Downgraded to Caa2; previously on 12/27/2007
Downgraded to Baa3
Cl. M-9, Downgraded to C; previously on 12/27/2007
Downgraded to Ba2
Cl. M-10, Downgraded to C; previously on 12/27/2007
Downgraded to Caa2
MASTR Asset Backed Securities Trust 2004-WMC2
Cl. M-2, Downgraded to Baa2; previously on 11/14/2007
Upgraded to A1
Cl. M-3, Downgraded to Baa3; previously on 9/20/2004
Assigned A3
Cl. M-4, Downgraded to Ba3; previously on 9/20/2004
Assigned Baa1
Cl. M-5, Downgraded to C; previously on 9/20/2004
Assigned Baa2
Cl. M-6, Downgraded to C; previously on 11/14/2007
Downgraded to B1
MASTR Asset Backed Securities Trust 2004-WMC3
Cl. M-3, Downgraded to Baa2; previously on 1/27/2005
Assigned Aa3
Cl. M-4, Downgraded to Baa3; previously on 1/27/2005
Assigned A1
Cl. M-5, Downgraded to Ba2; previously on 1/27/2005
Assigned A2
Cl. M-6, Downgraded to B2; previously on 1/27/2005
Assigned A3
Cl. M-7, Downgraded to C; previously on 1/27/2005
Assigned Baa1
Cl. M-8, Downgraded to C; previously on 1/27/2005
Assigned Baa2
Cl. M-9, Downgraded to C; previously on 1/27/2005
Assigned Baa3
MASTR Asset Securitization Trust 2002-NC1
Cl. M-4, Downgraded to Caa2; previously on 11/6/2002
Assigned Baa3
MASTR Asset Securitization Trust 2003-NC1
Cl. M-5, Downgraded to Baa3; previously on 8/25/2003
Assigned Baa2
Cl. M-6, Downgraded to Ba2; previously on 8/25/2003
Assigned Baa3
A list of these actions including CUSIP identifiers may be found at:
http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF168595
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Kimberly Spinney
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades certain MASTR subprime RMBS