Fitch Affirms $456MM & Downgrades $36MM from 7 UBS MABS Subprime Transactions.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 seven 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 Trust (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 . Affirmations total $456 million and downgrades total $36 million. Additionally, $1.9 million was removed from Rating Watch. MASTR Asset Backed Securities Trust 2003-OPT2 --$4.1 million class M-1 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'; --$23.2 million class M-2 affirmed at 'AA-'; --$13.3 million class M-3 affirmed at 'A-'; --$6.6 million class M-4 affirmed at 'BBB'; --$6.6 million class M-5 downgraded to 'CC/DR3' from 'BB'. Deal Summary --Originators: Option One --60+ day Delinquency: 20.00% --Realized Losses to date (% of Original Balance): 1.03% MASTR Asset Backed Securities Trust 2003-WMC2 --$37.0 million class M-1 affirmed at 'AA+'; --$19.4 million class M-2 affirmed at 'A'; --$1.5 million class M-3 affirmed at 'A-'; --$1.8 million class M-4 downgraded to 'BBB' from 'BBB+'; --$2.0 million class M-5 downgraded to 'B' from 'BB'; --$2.3 million class M-6 downgraded to 'C/DR5' from 'B-/DR1'. Deal Summary --Originators: WMC WMC Winter Music Conference WMC Weill Medical College (Cornell University) WMC Wisconsin Manufacturers and Commerce (Madison, WI) WMC Westchester Medical Center WMC Western Mining Corporation --60+ day Delinquency: 19.22% --Realized Losses to date (% of Original Balance): 1.39% MASTR Asset Backed Securities Trust 2004-FRE1 --$4.1 million class M-3 affirmed at 'AAA'; --$10.2 million class M-4 affirmed at 'AA-'; --$8.9 million class M-5 affirmed at 'A+'; --$8.9 million class M-6 affirmed at 'A'; --$7.6 million class M-7 affirmed at 'A-'; --$6.4 million class M-8 affirmed at 'BBB'; --$2.2 million class M-9 downgraded to 'B' from 'BB'. Deal Summary --Originators: New Century --60+ day Delinquency: 21.50% --Realized Losses to date (% of Original Balance): 1.44% MASTR Asset Backed Securities Trust 2004-HE1 --$19.3 million class A-1 affirmed at 'AAA'; --$19.3 million class A-4 affirmed at 'AAA'; --$30.7 million class M-1 affirmed at 'AAA'; --$9.4 million class M-2 affirmed at 'AAA'; --$6.7 million class M-3 affirmed at 'AA+'; --$6.3 million class M-4 affirmed at 'AA+'; --$6.0 million class M-5 affirmed at 'AA'; --$6.0 million class M-6 affirmed at 'AA-'; --$5.7 million class M-7 downgraded to 'A-' from 'A+'; --$4.2 million class M-8 downgraded to 'BBB' from 'A'; --$2.4 million class M-9 downgraded to 'BB+' from 'BBB+'; --$2.1 million class M-10 downgraded to 'BB' from 'BBB'; --$0.8 million class M-11 downgraded to 'B' from 'BB'. Deal Summary --Originators: New Century (41%), Accredited accredited recognition by an appropriate authority that the performance of a particular institution has satisfied a prestated set of criteria. accredited herds cattle herds which have achieved a low level of reactors to, e.g. (23.5%) --60+ day Delinquency: 14.50% --Realized Losses to date (% of Original Balance): 0.82% MASTR Asset Backed Securities Trust 2004-OPT1 --$42.2 million class M-1 affirmed at 'AAA'; --$34.3 million class M-2 affirmed at 'A'; --$6.8 million class M-3 affirmed at 'A-'; --$2.3 million class M-4 affirmed at 'BBB+'; --$2.4 million class M-5 affirmed at 'BBB'; --$1.9 million class M-6 affirmed at 'BB'; --$1.8 million class M-7 affirmed at 'CCC/DR2'. Deal Summary --Originators: Option One --60+ day Delinquency: 16.07% --Realized Losses to date (% of Original Balance): 1.27% MASTR Asset Backed Securities Trust 2004-WMC1 --$47.1 million class M-1 affirmed at 'AA'; --$7.6 million class M-2 affirmed at 'A'; --$2.6 million class M-3 affirmed at 'A-'; --$2.4 million class M-4 affirmed at 'BB'; --$1.8 million class M-5 affirmed at 'B'. Deal Summary --Originators: WMC --60+ day Delinquency: 16.45% --Realized Losses to date (% of Original Balance): 1.32% MASTR Asset Backed Securities Trust 2004-WMC2 --$32.5 million class M-1 affirmed at 'AA'; --$15.2 million class M-2 affirmed at 'A'; --$2.2 million class M-3 downgraded to 'BBB+' from 'A-'; --$1.6 million class M-4 downgraded to 'BB+' from 'BBB+'; --$1.9 million class M-5 downgraded to 'B' from 'BBB', removed from Rating Watch Negative. Deal Summary --Originators: WMC --60+ day Delinquency: 18.98% --Realized Losses to date (% of Original Balance): 1.29% Additional details are available in the following research, available at www.fitchratings.com: --'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007); All of Fitch's ratings criteria for US subprime RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities 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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