Carrington Mortgage Loan Trust asset backed
certificates, series 2005-NC2, are rated as follows by Fitch Ratings:
-- $553.7 million classes A-1, A-2 and A-3 certificates 'AAA';
-- $28.1 million class M-1 certificates 'AA+';
-- $25.6 million class M-2 certificates 'AA';
-- $15.4 million class M-3 certificates 'AA';
-- $26.7 million class M-4 certificates 'A';
-- $12.1 million class M-5 certificates 'A-';
-- $11 million class M-6 certificates 'BBB+';
-- $9.9 million class M-7 certificates 'BBB';
-- $8.8 million class M-8 (privately offered) certificates 'BBB';
-- $7.7 million class M-9 (privately offered) certificates 'BB+'.
The 'AAA' rating on the senior certificates reflects the 23.18% total credit enhancement provided by the 3.90% class M-1, the 3.55% class M-2, the 2.13% class M-3, the 3.70% class M-4, the 1.67% class M-5, the 1.52% class M-6, the 1.37% class M-7, the 1.22% class M-8, the 1.06% class M-9 and the 3.04% initial overcollateralization (OC). All certificates have the benefit of monthly excess cash flow to absorb losses. In addition, the ratings reflect the integrity of the transaction's legal structure as well as the primary servicing capabilities of New Century Mortgage Corporation (rated 'RPS3' by Fitch). Deutsche Bank National Trust Company will act as trustee.
As of the cut-off date, May 1, 2005, the mortgage loans have an aggregate balance of $720,677,652. 100% of the loans have interest-only periods, which range from two to five years. The weighted average mortgage rate is approximately 6.517% and the weighted average remaining term to maturity (WAM) is 357 months. The average cut-off date principal balance of the mortgage loans is approximately $284,986. The weighted average original loan-to-value (OLTV) ratio is 81.98% and the weighted average Fair, Isaac & Co. (FICO) score is 652. The properties are primarily located in California (63.13%), Florida (4.58%) and Nevada (3.30%).
-- $553.7 million classes A-1, A-2 and A-3 certificates 'AAA';
-- $28.1 million class M-1 certificates 'AA+';
-- $25.6 million class M-2 certificates 'AA';
-- $15.4 million class M-3 certificates 'AA';
-- $26.7 million class M-4 certificates 'A';
-- $12.1 million class M-5 certificates 'A-';
-- $11 million class M-6 certificates 'BBB+';
-- $9.9 million class M-7 certificates 'BBB';
-- $8.8 million class M-8 (privately offered) certificates 'BBB';
-- $7.7 million class M-9 (privately offered) certificates 'BB+'.
The 'AAA' rating on the senior certificates reflects the 23.18% total credit enhancement provided by the 3.90% class M-1, the 3.55% class M-2, the 2.13% class M-3, the 3.70% class M-4, the 1.67% class M-5, the 1.52% class M-6, the 1.37% class M-7, the 1.22% class M-8, the 1.06% class M-9 and the 3.04% initial overcollateralization (OC). All certificates have the benefit of monthly excess cash flow to absorb losses. In addition, the ratings reflect the integrity of the transaction's legal structure as well as the primary servicing capabilities of New Century Mortgage Corporation (rated 'RPS3' by Fitch). Deutsche Bank National Trust Company will act as trustee.
As of the cut-off date, May 1, 2005, the mortgage loans have an aggregate balance of $720,677,652. 100% of the loans have interest-only periods, which range from two to five years. The weighted average mortgage rate is approximately 6.517% and the weighted average remaining term to maturity (WAM) is 357 months. The average cut-off date principal balance of the mortgage loans is approximately $284,986. The weighted average original loan-to-value (OLTV) ratio is 81.98% and the weighted average Fair, Isaac & Co. (FICO) score is 652. The properties are primarily located in California (63.13%), Florida (4.58%) and Nevada (3.30%).
© 2005 Business Wire
