New York, March 25, 2011 -- Moody's Investors Service has downgraded the ratings of two tranches and
confirmed the rating of one tranche from two RMBS resecuritization deals
issued by MASTR in 2005 and 2008.
Issuer: MASTR Resecuritization 2005-3CI
Cl. N-1, Downgraded to Caa3 (sf); previously
on Mar 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Resecuritization Trust 2008-1
Cl. A-1, Confirmed at Caa1 (sf); previously on
Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-IO, Downgraded to Caa3 (sf); previously
on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
The actions are a result of the bonds not having sufficient credit enhancement
to maintain the current ratings when compared to the revised loss expectation
on the pools of mortgages backing the underlying certificates.
The resecuritization MASTR 2008-1 is backed by four underlying
certificates: Class A-1 issued by CWALT 2006-21CB,
Class 1-A-4 issued by CWALT 2007-22, Class
A-10 issued by RALI 2006-QS16, and Class 2-A-3
issued by CWALT 2007-1T1. The underlying certificates are
backed primarily by first-lien, Alt-A residential
mortgage loans. The class A-1 issued by MASTR 2008-1
is a senior class, supported by a subordinated bond class A-2,
which receives principal payments after class A-1 but absorbs losses
before class A-1. The class A-IO is an interest only
bond whose notional amount is linked to the underlying certificate 1-A-4
issued by CWALT 2007-22.
The resecuritization MASTR 2005-3Cl is backed by four outstanding
underlying certificates: Class 1-X-3, 3-X-3,
and M-X issued by CWALT 2005-27 and Class M-X issued
by CHL 2005-9. The underlying certificates are backed primarily
by first-lien, Option-Arm residential mortgage loans.
The underlying certificates are all interest only (IO) bonds. The
class N-1 issued by MASTR 2005-3Cl is a senior class,
supported by a subordinated bond class N-2, which receives
principal payments after class N-1. Losses are not allocated
to the resecuritized bonds.
Moody's ratings on the resecuritization certificates are based on:
(i) The updated expected loss on the pools of loans backing the underlying
certificates and the updated ratings on the underlying certificates.
Moody's current loss expectation on the Alt-A pools backing the
MASTR 2008-1 underlying certificates and the current ratings of
those underlying certificates can be found at http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174.
Moody's current loss expectation on the Option-Arm pools backing
the MASTR 2005-3Cl underlying certificates and the current ratings
of those underlying certificates can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF225686.
(ii) The credit enhancement available to the underlying certificates,
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumption on the underlying pools of mortgage
loans (backing the underlying certificates) and then arrived at updated
ratings on the underlying certificates. The ratings on the underlying
certificates are based on expected recoveries on the bonds under ninety-six
different combinations 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. For details
regarding Moody's approach to estimating losses on
Alt-A and Option-Arm pools, please refer to the methodology
publications "Alt-A RMBS Loss Projections Update: 2010" and
" Option ARM RMBS Loss Projection Update: March 2010" respectively,
available on Moodys.com.
In order to determine the ratings of MASTR 2008-1 resecuritized
bonds, losses on the underlying certificates were ascribed to the
resecuritized classes, according to the structure of the resecuritized
transaction. The losses on the resecuritized certificates are allocated
"bottom up" with the subordinate class taking losses ahead of the senior
class. Principal payments to the certificates are allocated sequentially,
with the senior class being paid ahead of the subordinate class.
In order to determine the ratings of MASTR 2005-3Cl resecuritized
bonds, interest payments from the underlying interest only certificates
are allocated sequentially to the resecuritized bonds, with the
senior class being paid ahead of the subordinate class. Losses
are not allocated to the resecurtized bonds.
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.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
As part of the sensitivity analysis, we stressed the updated expected
loss on the pool of loans backing the underlying certificates by an additional
10% and found that the implied ratings of the bonds do not change.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence reports had neutral impact on
A list of these actions including CUSIP identifiers may be found at:
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, 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.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's takes action on $125 million of RMBS resecuritized bonds issued by MASTR in 2005 and 2008
250 Greenwich Street
New York, NY 10007