Fitch Rates Securitized Asset Backed Receivables LLC Trust $1.05B Mtge P-T Certs, Ser 2004-NC1

by C-BW@CLARI.NET (NY FITCH RATINGS/SECURIT VIA BIZWIRE) on 2004-04-26 16:12:11

Fitch Rates Securitized Asset Backed Receivables LLC Trust $1.05B Mtge P-T Certs, Ser 2004-NC1






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Fitch Rates Securitized Asset Backed Receivables LLC Trust $1.05B Mtge P-T Certs, Ser 2004-NC1
Copyright 2004 by Business Wire (via ClariNet) / Mon, 26 Apr 2004 16:12:11 EDT


NEW YORK--(BUSINESS WIRE)--April 26, 2004--Securitized Asset
Backed Receivables LLC Trust 2004-NC1 $870.0 million class A-1 and A-2
mortgage pass-through certificates are rated 'AAA', $68.2 million
class M-1 mortgage pass-through certificates are rated 'AA', $56.4
million class M-2 mortgage pass-through certificates are rated 'A',
$18.8 million class M-3 mortgage pass-through certificates are rated
'A-', $11.8 million class B-1 mortgage pass-through certificates are
rated 'BBB+', $10.7 million class B-2 mortgage pass-through
certificates are rated 'BBB', and $11.8 million class B-3 mortgage
pass-through certificates are rated 'BBB-' by Fitch Ratings.
Credit enhancement for the 'AAA' class A certificates reflects the
16.55% subordination provided by classes M-1 through M-3 and B-1
through B-3, monthly excess interest and initial overcollateralization
(OC) of 2.45%. Credit enhancement for the 'AA' class M-1 certificates
reflects the 10.20% subordination provided by class M-2, M-3, B-1, B-2
and B-3, monthly excess interest and initial OC. Credit enhancement
for the 'A' class M-2 certificates reflects the 4.95% subordination
provided by class M-3, B-1, B-2 and B-3, monthly excess interest and
initial OC. Credit enhancement for the 'A-' class M-3 certificates
reflects the 3.20% subordination provided by class B-1, B-2 and B-3,
monthly excess interest and initial OC. Credit enhancement for the
'BBB+' class B-1 certificates reflects the 2.10% subordination
provided by class B-2 and B-3, monthly excess interest and initial OC.
Credit enhancement for the 'BBB' class B-2 certificates reflects the
1.10% subordination provided by class B-3, monthly excess interest and
initial OC. Credit enhancement for the 'BBB-' rating on class B-3 is
supported by monthly excess interest and initial OC of 2.45%. In
addition, the ratings reflect the integrity of the transaction's legal
structure as well as the capabilities of The Provident Bank as
servicer. Deutsche Bank National Trust Company will act as Trustee.
The mortgage pool consists of closed-end, first and second lien,
fixed-rate and adjustable-rate subprime mortgage loans with an
aggregate principal balance of $1,074,074,290. Approximately 69.11% of
the mortgage loans are adjustable-rate and 30.89% are fixed-rate
loans. As of the cut-off date (April 1, 2004), the weighted average
loan rate is approximately 7.253%. The weighted average remaining term
to maturity is 347 months. The average cut-off date principal balance
of the mortgage loans is approximately $159,619. The weighted average
combined original loan-to-value ratio is 80.86%. The properties are
primarily located in California (37.74%), New York (8.77%) and Florida
(6.88%).
All of the mortgage loans were purchased by an affiliate of the
depositor from NC Capital Corporation, which in turn were acquired
from New Century Mortgage Corporation. New Century Mortgage
Corporation, a wholly owned subsidiary of New Century Financial
Corporation, is a consumer finance and mortgage banking company that
originates, sells and services first and second mortgage loans and
other consumer loans. New Century emphasizes the origination of
mortgage loans that are commonly referred to as non-conforming 'B&C'
loans. New Century commenced lending operations on February 26, 1996.