Fitch Affirms $320.9MM & Lowers $677MM from 2 UBS MABS 2006 1st Lien Subprime Deals.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has taken the following rating actions on UBS UBS Union Bank of Switzerland UBS United Bible Societies UBS United Blood Services UBS United Buying Service UBS Used Bookstore UBS University Business Services UBS Universal Building Society (UK) UBS Ulaanbaatar Broadcasting System Mortgage Asset Securitization Securitization The process of creating a financial instrument by combining other financial assets and then marketing them to investors. Notes: Mortgage backed securities are a perfect example of securitization. May also be spelled as "securitisation. Transaction (MASTR MASTR Multiple Assets Status Report MASTR Mobiles And Stations Transistorized (General Electric radio manufactured in 1960s and 1970s) ) Asset Backed Securities (MABS MABS Monoclonal Antibodies MABS Multi-Agent Based Simulation MABS Methyl Methacrylate Acrylonitrile Butadiene Styrene MABS Marine Air Base Squadron MABS Maryland Association for Bank Security MABS Missile Alert Broadcast System MABS Major Accounts Billing System ) mortgage pass-through certificates Pass-Through Certificates (PTCs) are instruments that evidence the ownership of two or more Equipment Trust Certificates. In other words, Equipment Trust Certificates may be bundled into a pass-through structure as a means of diversifying the asset pool and/or increasing the size . Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed. Affirmations total $320.9 million and downgrades total $677 million. In addition, $130.9 million remains on Rating Watch Negative. Break Loss percentages (BL) and Loss Coverage Ratios (LCR See least cost routing. ) for each class are included with the rating actions as follows: MASTR Asset Backed Securities Trust 2006-NC1 --$103 million class A-2 affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. at 'AAA', (BL: 78.58, LCR: 3.29); --$162.2 million class A-3 affirmed at 'AAA', (BL: 51.61, LCR: 2.16); --$55.7 million class A-4 affirmed at 'AAA', (BL: 51.61, LCR: 2.16); --$32 million class M-1 downgraded to 'BBB' from 'AA+' (BL: 40.88, LCR: 1.71); --$29.3 million class M-2 downgraded to 'BB' from 'AA' (BL: 35.17, LCR: 1.47); --$16.9 million class M-3 downgraded to 'BB' from 'AA' (BL: 31.85, LCR: 1.33); --$16 million class M-4 downgraded to 'B' from 'AA-' (BL: 28.69, LCR: 1.2); --$14.2 million class M-5 downgraded to 'B' from 'A+' (BL: 25.89, LCR: 1.08); --$13.7 million class M-6 downgraded to 'CCC' from 'A' (BL: 23.12, LCR: 0.97); --$12.8 million class M-7 downgraded to 'CCC' from 'A-' (BL: 20.45, LCR: 0.86); --$11.9 million class M-8 downgraded to 'CCC' from 'BBB+' (BL: 17.98, LCR: 0.75); --$7.8 million class M-9 downgraded to 'CC' from 'BBB' (BL: 16.31, LCR: 0.68); --$6.9 million class M-10 downgraded to 'CC' from 'BBB-' (BL: 15.06, LCR: 0.63); --$4.6 million class M-11 downgraded to 'CC' from 'BBB-' (BL: 14.44, LCR: 0.6). Deal Summary --Originators: New Century 100% --60+ day Delinquency: 27.64% --Realized Losses to date (% of Original Balance): 1.17% --Expected Remaining Losses (% of Current balance): 23.91% --Cumulative Expected Losses (% of Original Balance): 14.53% MASTR Asset Backed Securities Trust 2006-NC2 --$102.9 million class A-1 downgraded to 'A' from 'AAA' (BL: 47.10, LCR: 1.4); --$130.9 million class A-2 rated 'AAA', remains on Rating Watch Negative (BL: 66.10, LCR: 1.96); --$81.7 million class A-3 downgraded to 'AA' from 'AAA' (BL: 55.37, LCR: 1.64); --$96 million class A-4 downgraded to 'A' from 'AAA' (BL: 47.32, LCR: 1.4); --$36.7 million class A-5 downgraded to 'A' from 'AAA' (BL: 45.57, LCR: 1.35); --$34.1 million class M-1 downgraded to 'B' from 'AA+' (BL: 40.16, LCR: 1.19); --$43.1 million class M-2 downgraded to 'B' from 'AA+' (BL: 33.58, LCR: 1); --$14.7 million class M-3 downgraded to 'CCC' from 'AA' (BL: 31.31, LCR: 0.93); --$16.4 million class M-4 downgraded to 'CCC' from 'A+' (BL: 28.76, LCR: 0.85); --$16 million class M-5 downgraded to 'CCC' from 'A' (BL: 26.20, LCR: 0.78); --$11.6 million class M-6 downgraded to 'CC' from 'A-' (BL: 24.25, LCR: 0.72); --$12.9 million class M-7 downgraded to 'CC' from 'BBB' (BL: 21.97, LCR: 0.65); --$9.5 million class M-8 downgraded to 'CC' from 'BBB-' (BL: 20.22, LCR: 0.6); --$11.2 million class M-9 downgraded to 'CC' from 'BB' (BL: 17.89, LCR: 0.53); --$13.4 million class M-10 downgraded to 'C' from 'B+' (BL: 15.01, LCR: 0.45); --$10.8 million class M-11 downgraded to 'C' from 'CCC' (BL: 13.09, LCR: 0.39). Deal Summary --Originators: New Century 100% --60+ day Delinquency: 27.95% --Realized Losses to date (% of Original Balance): 0.70% --Expected Remaining Losses (% of Current balance): 33.73% --Cumulative Expected Losses (% of Original Balance): 26.37% The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating performance of pools from 2007, 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, available at www.fitchratings.com --'Fitch Places $139B U.S. Subprime RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities On Watch Negative on Worsening wors·en tr. & intr.v. wors·ened, wors·en·ing, wors·ens To make or become worse. Noun 1. worsening - process of changing to an inferior state decline in quality, deterioration, declension Mortgage Performance' (Feb. 1, 2008); --'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007); --'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007). All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview. Further information regarding current delinquency, loss, and credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing statistics is also available at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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