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I AGREE
09 May 2011
New York, May 09, 2011 -- Moody's Investors Service has downgraded the rating of Cl. 1-A-1
from the MASTR Asset Securitization Trust 2006-2. The collateral
backing this deal consists primarily of first-lien, fixed
rate prime jumbo residential mortgages.
The set of classes 1-A-2, 1-A-3,
1-A-4, 1-A-5, 1-A-6,
1-A-7, 1-A-8, 1-A-9,
1-A-10, 1-A-11, 1-A-12
and 1-A-31 from this jumbo transaction are exchangeable
for the Cl. 1-A-1 tranche. As a result,
the final rating on the Cl. 1-A-1 tranche took into
consideration the current ratings on this set of tranches, announced
by Moody's in an April 29, 2010 press release. However,
the Cl. 1-A-1 tranche was inadvertently omitted from
the rating action in the April 2010 press release. This has been
corrected, and the rating on Cl. 1-A-1 has
been updated accordingly to Caa1.
RATINGS RATIONALE
The actions are a result of the rapidly deteriorating performance of jumbo
pools in conjunction with macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2008.
he principal methodology used in these ratings is described in the Monitoring
and Performance Review section in "Moody's Approach to Rating US
Residential Mortgage-Backed Securities" published in December 2008.
For details regarding Moody's approach to estimating losses on prime jumbo
pools originated in 2005, 2006, 2007 and 2008, please
refer to the methodology publication "Prime Jumbo RMBS Loss Projection
Update: January 2010" available on Moodys.com.
To assess the rating implications of the updated loss levels on prime
jumbo 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.
The above mentioned approach "Jumbo RMBS Loss Projection Update:
January 2010" is adjusted to estimate losses on pools left with a small
number of loans. To project losses on pools with fewer than 100
loans, Moody's first estimates a "baseline" average rate of new
delinquencies for the pool that is dependent on the vintage of loan origination
(3.5%, 6.5% and 7.5% for
the 2005, 2006 and 2007 vintage respectively). This baseline
rate is higher than the average rate of new delinquencies for the vintage
to account for the volatile nature of small pools. Even if a few
loans in a small pool become delinquent, there could be a large
increase in the overall pool delinquency level due to the concentration
risk.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level of current
delinquencies in the pool. The fewer the number of loans remaining
in the pool, the higher the volatility and hence the stress applied.
Once the loan count in a pool falls below 75, the rate of delinquency
is increased by 1% for every loan less than 75. For example,
for a pool with 74 loans from the 2005 vintage, the adjusted rate
of new delinquency would be 3.535%. If the current
delinquency level in a small pool is low, future delinquencies are
expected to reflect this trend. To account for that, the
rate calculated above is multiplied by a factor ranging from 0.2
to 1.8 for current delinquencies ranging from less than 2.5%
to greater than 30% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating action is as follows:
Issuer: MASTR Asset Securitization Trust 2006-2
Cl. 1-A-1, Downgraded to Caa1 (sf); previously
on Dec 17, 2009 B3 (sf) Placed Under Review for Possible Downgrade
This action including the CUSIP identifier may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF244995
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:
http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF196023
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Soumya Vasudevan
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades exchangeable Cl. 1-A-1 from MASTR Asset Securitization Trust 2006-2
No Related Data.
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