WFMBS 04-EE 81 @ $70-00 (8.96% yield / 5.79 dum)
We should spend 51MM on this bond. let me k=ow.
Paul
WFMBS 04-EE 131 is a Prime 5/1subordinat= bond backed by 97month seasoned 5/1hybrids.
HIGHLIGHTS
- 736 FICO
- HPI Updated LTV = 55.99%
- 90% of the borrowers have not missed a payment in the past 2 years
- 87% of the borrowers have not missed a payment since origination
- 94% owner occupied
WFMBS 2004-EE B1Offered @ 70-00
BOND DESCRIPTION:
Prepay Rate
8 CPR
Cusip: Default Rate
Original Face:
16,939,000
Default Severity
40 35
Current Face:
10,79=,157
Bond Type:
Prime=5/1 SSNR sub
Price @ 70-00
Stress Case
Base Case
Ratings (S&P/Moodys/Fitch):
B+/NR/-
11.660
Current Coupon:
2.720%
Spread
267
708
1034
Yield @ Base Case
8.964%
Duration
7.47
5.79
3.94
WAL @ Base Case
WAL
9.86
5.75
Principal Window @ Base Case
May12 to Oct34
Principal Window
May12 to Oct34
May12 to Oc=34
May12 to Oct34
10.23%
Principal Writedown
42.46%
Total Collat Loss
1.11%
0.75%
0.56%
4.71
Total Liquidation
10.09%
6.78%
4.93%
60+ Delinquency Coverage
0.48x
HISTORICAL PERFORMANCE
1 MOS
3 MOS
6 MOS
Average Loan Balance ($,000s)
395
CPR
12.11
Mortgage Type
Seasoned Prime 5/1 hybrid
CDR
0.00
0.00
0.52
Wtd Avg Mortgage Coupon
SEV
NA
NA
54.45
Wtd Avg FICO Score
736
Owner Occupied
Top 1 Geo Concentration
Top 2 Geo Concentration
IL 5%
Top 3 Geo Concentration
FL 5%
Always Current (24 mos)