-- $1.3 billion classes A-1A, A-2A, A-2B, A-2C, A-2D 'AAA';
-- $47.2 million class M-1 'AA+';
-- $43.2 million class M-2 'AA+';
-- $28.8 million class M-3 'AA';
-- $21.6 million class M-4 'AA-';
-- $19.2 million class M-5 'A+';
-- $16.0 million class M-6 'A';
-- $14.4 million class M-7 'A';
-- $12.8 million class M-8 'A-';
-- $11.2 million class M-9 'BBB+';
-- $11.2 million class M-10 'BBB'.
The 'AAA' rating on the class A certificates reflects the 16.70% total credit enhancement provided by the 2.95% class M-1, the 2.70% class M-2, the 1.80% class M-3, the 1.35% class M-4, the 1.20% class M-5, the 1.00% class M-6, the 0.90% class M-7, the 0.80% class M-8, the 0.70% class M-9, the 0.70% class M-10, the 0.75% privately offered class M-11, and the 1.25% privately offered class M-12, as well as the 0.60% initial and target overcollateralization (OC). All certificates have the benefit of monthly excess cash flow to absorb losses. The ratings also reflect the quality of the loans, the soundness of the legal and financial structures, and the capabilities of NovaStar Mortgage Inc. as Servicer. JPMorgan Chase Bank, NA, rated 'A+' by Fitch, will act as trustee.
On the closing date, the trust fund will consist of a pool of first and second lien, adjustable- and fixed-rate, fully amortizing and balloon, residential mortgage loans with a total principal balance as of the cut-off date, Dec. 1, 2005, of approximately $1,453,864,044. For the purpose of distributing principal and interest, the mortgage pool will be segregated into two mortgage loan groups.
The Group 1 mortgage pool consists of adjustable-rate and fixed-rate, conforming, first and second lien mortgage loans with a cut-off date pool balance of $904,154,605. Approximately 21.70% of the mortgage loans are fixed-rate and 78.03% are adjustable-rate. The weighted average loan rate is approximately 8.057%. The weighted average remaining term to maturity is 351 months. The average principal balance of the loans is approximately $149,943. The weighted average combined loan-to-value (CLTV) ratio is 79.36%. The properties are primarily located in Florida (19.79%), California (14.16%), and Maryland (6.10%).
The Group 2 mortgage pool consists of adjustable-rate and fixed-rate, non-conforming, first and second lien mortgage loans with a cut-off date pool balance of $549,709,440. Approximately 15.11% of the mortgage loans are fixed-rate mortgage loans and 84.89% are adjustable-rate mortgage loans. The weighted average loan rate is approximately 5.300%. The weighted average remaining term to maturity is 345 months. The average principal balance of the loans is approximately $220,678. The weighted average CLTV ratio is 83.38%. The properties are primarily located in California (35.17%), Florida (16.71%), and Virginia (6.54%).
For federal income tax purposes, multiple real estate mortgage investment conduit (REMIC) elections will be made with respect to the trust estate.