Fitch Rates Option One Mortgage Loan Trust $1.19B29 January 2005
Option One Mortgage Loan Trust $1.19 billion asset-backed certificates, series 2005-1, which closed on Oct. 13, 2004, are rated by Fitch Ratings as follows:
-- $1.04 billion classes A-1 through A-4 'AAA';
-- $52.8 million class M1 'AA+';
-- $22.2 million class M2 'AA';
-- $13.8 million class M3 'AA-';
-- $13.8 million class M4 'A+';
-- $21.6 million class M5 'A-';
-- $10.8 million class M6 'BBB+';
-- $8.4 million class M7 'BBB';
-- $4.2 million class M8 'BBB-'.
The 'AAA' rating on the senior certificates reflects the 13.25% total credit enhancement provided by the 4.40% class M1, the 1.85% class M2, the 1.15% class M3, the 1.15% class M4, the 1.80% class M5, the 0.90% class M6, the 0.70% class M7, the 0.35% class M8, the 0.45% unrated class M9, and the initial overcollateralization (OC) of 0.50%. All certificates have the benefit of monthly excess cash flow to absorb losses. In addition, the ratings reflect the quality of the loans, the integrity of the transaction's legal structure, as well as the capabilities of Option One Mortgage Corp. as servicer and Wells Fargo Bank, N. A., as Trustee.
The certificates are supported by two collateral groups, one conforming and the other nonconforming. The Group I mortgage pool consists of first-lien adjustable-rate and fixed-rate mortgage loans that conform to Fannie Mae and Freddie Mac loan balances and have a cut-off date pool balance of $240,092,147. Approximately 19.20% of the mortgage loans are fixed-rate mortgage loans and 80.80% are adjustable-rate mortgage loans. The weighted average current loan rate is approximately 7.203%. The weighted average remaining term to maturity (WAM) is 356 months. The average principal balance of the loans equals $166,837. The weighted average original loan-to-value ratio (OLTV) is 78.37%. The properties are primarily located in California (18.61%), New York (11.16%), and Massachusetts (7.50%).
The Group II mortgage pool consists of first-lien adjustable-rate and first- and second-lien fixed-rate, conforming and nonconforming mortgage loans with a cut-off date pool balance of $759,974,993. Approximately 18.93% of the mortgage loans are fixed-rate mortgage loans and 81.07% are adjustable-rate mortgage loans. The weighted average current loan rate is approximately 7.217%. The WAM is 355 months. The average principal balance of the loans equals $181,334. The weighted average OLTV is 78.31%. The properties are primarily located in California (23.01%), New York (13.44%), and Massachusetts (7.66%).
On the closing date, the depositor will deposit approximately $48,092,291 into the Group I pre-funding account and $151,840,569 into the Group II pre-funding account. The trust will use these accounts to buy additional mortgage loans from the depositor after the closing date and on or prior to January 31, 2005.
For federal income tax purposes, multiple real estate mortgage investment conduit (REMIC) elections will be made with respect to the trust estate.
Option One was incorporated in 1992, and began originating and servicing subprime loans in February 1993. Option One is a subsidiary of Block Financial, which is in turn a subsidiary of H & R Block, Inc.
Source: Business Wire
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