Fitch Rates Morgan Stanley ABS Capital I Inc. Trust $990MM Mtge P-T Ctfs, 2007-NC4.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 has rated the Morgan Stanley ABS Capital I Inc. Trust, series 2007-NC4 as follows: --$875,825,000 classes A-1, A-2a, A-2b, A-2c and A-2d 'AAA'; --$12,609,000 class M-1 'AA-'; --$19,965,000 class M-2 'A+'; --$18,389,000 class B-1 'A'; --$9,457,000 class B-2 'A-'; --$21,016,000 class B-3 'BBB+'; --$13,135,000 class B-4 'BBB'; --$19,965,000 class B-5 'BBB-'. The 'AAA' rating on the senior certificates reflects the 16.65% initial 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 provided by the 1.20% class M-1, the 1.90% class M-2, the 1.75% class B-1, the 0.90% class B-2, the 2.00% class B-3, the 1.25% class B-4, the 1.90% class B-5, along with fully funded overcollateralization (OC) of 5.75%. All certificates have the benefit of excess interest. In addition, the ratings reflect the quality of the loans, the soundness of the legal and financial structures, and the capabilities of Wells Fargo Bank, National Association as Servicer. Deutsche Bank National Trust Company will act as Trustee. The certificates are supported by two collateral groups. The group I mortgage pool consists of adjustable-rate and fixed-rate, first and second lien mortgage loans with a cut-off date pool balance of $250,270,264. Approximately 20.76% of the mortgage loans are fixed-rate mortgage loans, 80.24% are adjustable-rate mortgage Adjustable-rate mortgage (ARM) A mortgage that features predetermined adjustments of the loan interest rate at regular intervals based on an established index. The interest rate is adjusted at each interval to a rate equivalent to the index value plus a predetermined spread, or loans and 8.24% are second lien mortgage loans. The weighted average loan rate is approximately 8.866%. The weighted average remaining term to maturity (WAM WAM - Intermediate language for compiled Prolog, used by the Warren Abstract Machine. "An Abstract Prolog Instruction Set", D.H.D. Warren, TR 309, SRI 1983. ) is 356 months. The average principal balance of the loans is approximately $140,443. The weighted average combined loan-to-value ratio Loan-to-value ratio (LTV) The ratio of money borrowed on a property to the property's fair market value. (CLTV CLTV Combined Loan To Value CLTV Collective CLTV ChicagoLand Television CLTV Customer Life Time Value ) is 84.55%. The properties are primarily located in California (17.21%), Florida (7.90%) and Massachusetts (6.79%). The group II mortgage pool consists of adjustable-rate and fixed-rate, first and second lien mortgage loans with a cut-off date pool balance of $800,511,192. Approximately 20.88% of the mortgage loans are fixed-rate mortgage loans, 80.12% are adjustable-rate mortgage loans and 8.20% are second lien mortgage loans. The weighted average loan rate is approximately 8.472%. The WAM is 356 months. The average principal balance of the loans is approximately $225,179. The weighted average CLTV is 85.02%. The properties are primarily located in California (36.13%), New York (8.06%) and Florida (6.88%). For federal income tax purposes, multiple real estate mortgage investment conduit Real Estate Mortgage Investment Conduit (REMIC) A pass-through tax entity that can hold mortgages secured by any type of real property and can issue multiple classes of ownership interests to investors in the form of pass-through certificates, bonds, or other legal forms. (REMIC) elections will be made with respect to the trust estate. 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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