-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HL9I+ATXBCfrZZQnEfqgaoAwmR3GVk45XOy3S65Nuv/l15+lsoR/QWMM/HSbVAlO LLehvyMNWKswGDb+L8Qtnw== 0000882377-06-000210.txt : 20060124 0000882377-06-000210.hdr.sgml : 20060124 20060123202356 ACCESSION NUMBER: 0000882377-06-000210 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20060124 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1 CENTRAL INDEX KEY: 0001350623 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-123741-13 FILM NUMBER: 06544828 BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1 CENTRAL INDEX KEY: 0001350623 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 FWP 1 d422482.htm ACE SECURITIES CORP.

Ace Securities Corp.
Home Equity Loan Trust Series 2006-ASAP1

FREE WRITING PROSPECTUS

 

The following is a free writing prospectus. The information in this free writing prospectus is preliminary and is subject to completion or change.

                                                                                                                                                     

FREE WRITING PROSPECTUS

 

Ace Securities Corp

 

 

 

$485,772,000 (Approximate)

 

Home Equity Loan Trust

 

Series 2006-ASAP1

 

 

Ace Securities Corp

(Depositor)

 

 

[LOGO OF DEUTSCHE BANK] 

 

January 23, 2006

 

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling DBSI’s trading desk at 212-250-7730. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. THIS FREE WRITING PROSPECTUS IS NOT AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THESE SECURITIES IN ANY STATE WHERE SUCH OFFER, SOLICITATION OR SALE IS NOT PERMITTED. The information in this free writing prospectus may be based on preliminary assumptions about the pool assets and the structure. Any such assumptions are subject to change.

 

 


 

The analysis in this report is based on information provided by Ace Securities Corp. (the “Depositor”). Investors are urged to read the base prospectus and the prospectus supplement and other relevant documents filed or to be filed with the Securities and Exchange Commission because they contain important information. Such documents may be obtained without charge at the Securities and Exchange Commission's website. Once available, the base prospectus and prospectus supplement may be obtained without charge by contacting Deutsche Bank Securities, Inc.’s (“DBSI”) trading desk at (212) 250-7730. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement (collectively, the “Prospectus”). The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted. You should consult your own counsel, accountant, and other advisors as to the legal, tax, business, financial and related aspects of a purchase of these securities.

 

The attached information contains certain tables and other statistical analyses (the “Computational Materials”) which have been prepared by DBSI in reliance upon information furnished by the Depositor. Numerous assumptions were used in preparing the Computational Materials that may or may not be reflected herein. As such, no assurance can be given as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfalls. The specific characteristics of the securities may differ from those shown in the Computational Materials by a permitted variance of +/- 10% prior to issuance. Neither DBSI nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.

 

An investor or potential investor in the certificates (and each employee, representative, or other agent of such person or entity) may disclose to any and all persons, without limitation, the tax treatment and tax structure of the transaction (as defined in United States Treasury Regulation Section 1.6011-4) and all related materials of any kind, including opinions or other tax analyses, that are provided to such person or entity. However, such person or entity may not disclose any other information relating to this transaction unless such information is related to such tax treatment and tax structure.

 

THIS INFORMATION IS FURNISHED TO YOU SOLELY BY DBSI AND NOT BY THE ISSUER OF THE SECURITIES OR ANY OF ITS AFFILIATES. DBSI IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE PROPOSED TRANSACTION.

 

 

 


 

FREE WRITING PROSPECTUS DATED January 23, 2006

Ace Securities Corp.

Home Equity Loan Trust, Series 2006-ASAP1

$485,772,000 (Approximate)

Subject to 10% variance

Structure Overview

To 10% Optional Termination

 

 Class

 Approximate Size ($)

 

Type

WAL
(yrs)

Principal Payment
Window (months)

Pmt
Delay

(days)

Interest
Accrual

Basis

Legal
Final
Maturity

Expected
Ratings
S / M / DBRS

Offered Certificates:

 

 

 

 

 

 

 

A-1

200,510,000

Float

2.08

1 - 77

0

ACT/360

Dec 2035

AAA / Aaa / AAA

A-2A

103,698,000

Float

1.00

1 - 21

0

ACT/360

Dec 2035

AAA / Aaa / AAA

A-2B

36,409,000

Float

2.00

21 - 29

0

ACT/360

Dec 2035

AAA / Aaa / AAA

A-2C

23,135,000

Float

3.00

29 - 57

0

ACT/360

Dec 2035

AAA / Aaa / AAA

A-2D

24,866,000

Float

6.01

57 - 77

0

ACT/360

Dec 2035

AAA / Aaa / AAA

M-1

17,261,000

Float

4.86

48 - 77

0

ACT/360

Dec 2035

AAA / Aa1 / AAA

M-2

16,028,000

Float

4.68

45 - 77

0

ACT/360

Dec 2035

AAA / Aa2 / AAA

M-3

11,096,000

Float

4.58

43 - 77

0

ACT/360

Dec 2035

AA+ / Aa3 / AA (high)

M-4

7,891,000

Float

4.53

42 - 77

0

ACT/360

Dec 2035

AA+ / A1 / AA

M-5

7,891,000

Float

4.49

41 - 77

0

ACT/360

Dec 2035

AA+ / A2 / AA (low)

M-6

6,658,000

Float

4.45

40 - 77

0

ACT/360

Dec 2035

AA / A3 / AA (low)

M-7

9,863,000

Float

4.43

39 - 77

0

ACT/360

Dec 2035

AA- / NR / A

M-8

9,370,000

Float

4.40

38 - 77

0

ACT/360

Dec 2035

A+ / NR / A (low)

M-9

3,945,000

Float

4.38

38 - 77

0

ACT/360

Dec 2035

A / NR / BBB (high)

M-10

3,206,000

Float

4.36

37 - 77

0

ACT/360

Dec 2035

A- / NR / BBB

M-11

3,945,000

Float

4.17

37 - 74

0

ACT/360

Dec 2035

BBB+ / NR / BBB

Total

485,772,000

 

 

 

Pricing Speed

Fixed-Rate Mortgage Loans

 

100% PPC (4% CPR growing to 23% CPR over 12 months )

Adjustable-Rate
Mortgage Loans

 

100% PPC (5% CPR in month 1, an additional 2% CPR for each month thereafter, building to 27% CPR in month 12 and remaining constant at 27% CPR until month 23, increasing to and remaining constant at 60% CPR from month 24 until month 27 and decreasing and remaining constant at 30% CPR from month 28 and thereafter; provided, however, the prepayment rate will not exceed 85% CPR per annum in any period for any percentage of PPC)

 

 

 

 

Transaction Overview

Certificates:

The Class A-1 Certificates and the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates (collectively, the “Class A-2 Certificates” and together with the Class A-1 Certificates, the “Senior Certificates” or “Class A Certificates”), the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and M-11 Certificates (collectively, the “Mezzanine Certificates”). The Class A-1 Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (“Group I Mortgage Loans”) and the Class A-2 Certificates are backed by fixed-rate and adjustable-rate first and second lien mortgage loans with conforming and non-conforming principal balances (“Group II Mortgage Loans”). The Mezzanine Certificates are backed by the Group I Mortgage Loans and Group II Mortgage Loans (collectively, the “Mortgage Loans”). The Senior Certificates along with the Mezzanine Certificates are referred to herein as the “Offered

 

 


 

 

Transaction Overview (Cont.)

Certificates:

Certificates.” The pass-through rate on the Class A-1 Certificates will be the lesser of (i) One-Month LIBOR plus a margin and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Class A-2 Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Mezzanine Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate.

   

Collateral:

As of the Cut-off Date, the Mortgage Loans will consist of approximately 3,020 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of the Mortgage Loans is approximately $493,170,821 as of the Cut-off Date. The Mortgage Loans will be separated into two groups. The Group I Mortgage Loans will represent approximately 1,991 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $254,454,907 and the Group II Mortgage Loans will represent approximately 1,029 conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $238,715,914.

 

 

Class A Certificates:

Class A-1, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates

 

 

Class M Certificates:

Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates

 

 

Depositor:

ACE Securities Corp. (“Ace”)

 

 

Master Servicer and Securities Administrator:

Wells Fargo Bank, National Association

 

 

Servicer:

Saxon Mortgage Services, Inc.

 

 

Trustee:

HSBC Bank USA, National Association

 

 

Custodian:

Wells Fargo Bank, National Association and Deutsche Bank National Trust Company

 

 

Credit Risk Manager:

Clayton Fixed Income Services Inc. (formerly known as The Murrayhill Company)

 

 

Underwriter:

Deutsche Bank Securities Inc.

 

 

Swap Provider:

TBD

 

 

Cut-off Date:

January 1, 2006

 

 

Expected Pricing:

Week of January 23, 2006

 

 

Expected Closing Date:

On or about January [30], 2006

 

 

Record Date:

For so long as the certificates are held in book-entry form, the Record Date for the Certificates will be the business day immediately preceding the related Distribution Date. With respect to any certificates held in definitive form, the Record Date will be the last business day of the month immediately preceding the month in which the related Distribution Date occurs.

 

 

Distribution Date:

25th day of each month (or the next business day if such day is not a business day) commencing in February 2006.

 

 


 

 

Transaction Overview (Cont.)

Determination Date:

The Determination Date with respect to any Distribution Date is the 15th day of the month in which the Distribution Date occurs or, if such day is not a business day, on the immediately preceding business day.

 

 

Due Period:

The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs.

 

 

Prepayment Period:

The Prepayment Period with respect to any Distribution Date shall be (i) with respect to principal prepayments in full, the period from the 16th of the month immediately preceding the Distribution Date to the 15th of the month of the Distribution Date and (ii) with respect to principal prepayments in part, the calendar month immediately preceding the month in which the Distribution Date occurs.

 

 

Interest Accrual Period:

Interest will initially accrue on all Certificates from the Closing Date to (but excluding) the first Distribution Date, and thereafter, from the prior Distribution Date to (but excluding) the current Distribution Date on an actual/360 basis. The Certificates will initially settle flat (no accrued interest).

 

 

Interest Distribution Amount:

For the Certificates of any class on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to such Distribution Date at the then applicable pass-through rate for such class, and reduced (to not less than zero), in the case of each such class, by the allocable share, if any, for such class of prepayment interest shortfalls to the extent not covered by Compensating Interest paid by the Master Servicer or the Servicer and shortfalls resulting from the application of the Servicemembers’ Civil Relief Act or similar state or local laws.

 

 

Senior Interest Distribution Amount:

For the Class A Certificates on any Distribution Date is an amount equal to the sum of the Interest Distribution Amount for such Distribution Date for each such class and the Interest Carry Forward Amount, if any, for such Distribution Date for each such class.

 

 

Administration Fee Rate:

The Master Servicer, Servicer and Credit Risk Manager will be paid monthly fees on the outstanding principal balance of the Mortgage Loans. These fees initially aggregate to a weighted average cost of approximately 0.5275% for the Mortgage Loans.

 

 

Compensating Interest:

The Servicer will be required to cover Prepayment Interest Shortfalls on prepayments in full on the Mortgage Loans up to the Servicing Fee. If the Servicer fails to make any required Compensating Interest payment, the Master Servicer will be required to do so up to the Master Servicing Fee.

 

 

Prepayment Interest Shortfalls:

Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans.

 

 

Optional Termination:

On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period is less than or equal to 10% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date, the Master Servicer may repurchase all of the Mortgage Loans and REO properties remaining in the trust, causing an early retirement of the certificates, but is not required to do so.

 

 


 

Transaction Overview (Cont.)

Monthly Servicer Advances:

The Servicer will collect monthly payments of principal and interest on the Mortgage Loans and will be obligated to make advances of delinquent monthly principal and interest payments. The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans only to the extent such amounts are deemed recoverable. If the Servicer fails to make any such advance, the Master Servicer will be required to do so subject to its determination of recoverability. The Servicer and the Master Servicer are entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement.

 

 

Credit Enhancement:

1) Excess Interest;

2) Net Swap Payments received from the Swap Provider (if any)

3) Overcollateralization (“OC”); and

4) Subordination

 

 

Allocation of Losses:

Any Realized Losses on the Mortgage Loans will be allocated on any Distribution Date, first, to Net Monthly Excess Cashflow, second, to the Class CE Certificates, third, to the Class M-11 Certificates, fourth, to the Class M-10 Certificates, fifth, to the Class M-9 Certificates, sixth, to the Class M-8 Certificates, seventh, to the Class M-7 Certificates, eighth, to the Class M-6 Certificates, ninth, to the Class M-5 Certificates, tenth, to the Class M-4 Certificates, eleventh, to the Class M-3 Certificates, twelfth, to the Class M-2 Certificates, and thirteenth, to the Class M-1 Certificates. There will be no allocation of Realized Losses to the Class A Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to such Certificates, under certain loss scenarios there may not be enough principal and interest on the Mortgage Loans to distribute to the holders of the Class A Certificates all principal and interest amounts to which they are then entitled.

 

Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such Certificates will no longer accrue interest and such amounts will not be reinstated thereafter. However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to such certificates on a subordinated basis on any Distribution Date from Net Monthly Excess Cashflow, if any is available for such distribution and any Net Swap Payments paid by the Swap Provider.

 

 

Required Overcollateralization Amount:

Overcollateralization refers to the amount by which the aggregate principal balance of the Mortgage Loans exceeds the aggregate Certificate Principal Balance of the Certificates. This excess (the “Overcollateralization Amount”) is intended to protect the certificateholders against shortfalls in payments on the Certificates. The Required Overcollateralization Amount for the Certificates, which will be fully established at issuance, is anticipated to be approximately 1.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On or after the Stepdown Date and provided that a trigger event is not in effect, the Required Overcollateralization Amount may be permitted to decrease to approximately 3.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period, subject to a floor amount of approximately 0.50% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date. If, due to losses, the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, excess spread, if any is available will be paid to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of such Certificates to the extent necessary to reach the Required Overcollateralization Amount. In addition, Net Swap Payments paid by the Swap Provider may be used to restore or maintain the Required Overcollateralization Amount.

 

 

Overcollateralization Increase Amount:

An Overcollateralization Increase Amount for any Distribution Date is the amount of Net Monthly Excess Cashflow actually applied as an accelerated payment of principal to the extent the Required Overcollateralization Amount exceeds the current Overcollateralization Amount.

 

 


 

Transaction Overview (Cont.)

Overcollateralization Reduction Amount:

An Overcollateralization Reduction Amount for any Distribution Date is the amount by which the current Overcollateralization Amount exceeds the Required Overcollateralization Amount after taking into account all other distributions to be made on the Distribution Date limited to the distribution of principal on the Mortgage Loans.

Stepdown Date:

Is the earlier of (i) the first Distribution Date on which the aggregate Certificate Principal Balances of the Class A Certificates have been reduced to zero and (ii) the later to occur of (x) the Distribution Date occurring in February 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only after taking into account distributions of principal on the Mortgage Loans, but prior to any distribution of principal to the holders of the Certificates) is equal to or greater than approximately 42.40%.

Credit Enhancement Percentage:

As of the Closing Date the Initial Credit Enhancement Percentage is as set forth below under the heading “Initial CE %”. The Credit Enhancement Percentage for any class and any Distribution Date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the class or classes subordinate thereto (which includes the Overcollateralization Amount) by (y) the aggregate principal balance of the Mortgage Loans, calculated after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period and distribution of the Principal Distribution Amount to the holders of the Certificates then entitled to distributions of principal on the Distribution Date.

 

 

Class

(S / M / DBRS)

Initial CE %

CE % On/After Step Down Date

 

A

AAA / Aaa / AAA

21.20%

42.40%

 

M-1

AAA / Aa1 / AAA

17.70%

35.40%

 

M-2

AAA / Aa2 / AAA

14.45%

28.90%

 

M-3

AA+ / Aa3 / AA (high)

12.20%

24.40%

 

M-4

AA+ / A1 / AA

10.60%

21.20%

 

M-5

AA+ / A2 / AA (low)

9.00%

18.00%

 

M-6

AA / A3 / AA (low)

7.65%

15.30%

 

M-7

AA- / NR / A

5.65%

11.30%

 

M-8

A+ / NR / A (low)

3.75%

7.50%

 

M-9

A / NR / BBB (high)

2.95%

5.90%

 

M-10

A- / NR / BBB

2.30%

4.60%

 

M-11

BBB+ / NR / BBB

1.50%

3.00%

 

Net Monthly Excess Cashflow:

For any Distribution Date is equal to the sum of (i) any Overcollateralization Reduction Amount and (ii) the excess of the Available Distribution Amount, net of any Net Swap Payment and the Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (described below), to the Swap Provider under the Swap Agreement, over the sum of (w) with respect to the Class A Certificates, the Senior Interest Distribution Amount for such Distribution Date, (x) with respect to the Mezzanine Certificates, the Interest Distribution Amount for such Distribution Date and (y) the amount of principal required to be distributed to the holders of the Certificates on such Distribution Date.

 

 

 

 


 

 

Net WAC Pass-Through Rate:

Class A-1 Certificates or Class A-2 Certificates: The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to a fraction, expressed as a percentage, the numerator of which is the amount of interest which accrued on the Mortgage Loans in the related loan group in the prior calendar month minus the fees payable to the Servicer, the Master Servicer and the Credit Risk Manager with respect to the related Mortgage Loans for such Distribution Date and the Group I Allocation Percentage or Group II Allocation Percentage, as applicable, of any Net Swap Payment or Swap Termination Payment made to the Swap Provider for such Distribution Date and the denominator of which is the aggregate principal balance of the Mortgage Loans in the related loan group as of the last day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date).

 

 

 


 

 

 

 

Transaction Overview (Cont.)

Net WAC Pass-Through Rate
(Continued):

Mezzanine Certificates: The per annum rate equal to (x) the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group, the current principal balance of the related Class A Certificates) of (i) the Net WAC Pass-Through Rate for the Class A-1 Certificates and (ii) the Net WAC Pass-Through Rate for the Class A-2 Certificates.

 

Group I Allocation Percentage: The aggregate principal balance of the Group I Mortgage Loans divided by the sum of the aggregate principal balance of the Group I Mortgage Loans and the Group II Mortgage Loans.

Group II Allocation Percentage: The aggregate principal balance of the Group II Mortgage Loans divided by the sum of the aggregate principal balance of the Group I Mortgage Loans and the Group II Mortgage Loans.

 

 

Net WAC Rate Carryover Amount:

If on any Distribution Date the Pass-Through Rate for any class of the Series 2006-ASAP1 Certificates is limited by the related Net WAC Pass-Through Rate, such class will be entitled to the “Net WAC Rate Carryover Amount” which will be equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such class based on one month LIBOR plus the related margin over (b) the amount of interest accrued on such class based on the related Net WAC Pass-Through Rate and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with accrued interest on such unpaid portion of one month LIBOR plus the related margin for the most recently ended Interest Accrual Period. Any Net WAC Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available. The Net WAC Rate Carryover Amount will be distributed from certain amounts received by the Securities Administrator, on behalf of the Supplemental Interest Trust (described below), under the Swap Agreement, if any, and from the Net Monthly Excess Cashflow on a subordinated basis on the same Distribution Date or on any subsequent Distribution Date to the extent of available funds. The ratings on each class of Certificates do not address the likelihood of the payment of any Net WAC Rate Carryover Amount from Net Monthly Excess Cashflow.

 

 

 

 


 

 

Swap Agreement:

On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider described in the prospectus supplement. The Swap Agreement will have an initial notional amount of $[493,170,821]. Under the Swap Agreement, the Trust (through a supplemental interest trust) will be obligated to pay an amount equal to [4.73]% per annum on the notional amount as set forth in the Swap Agreement to the Swap Provider and the Swap Provider will be obligated to pay to the supplemental interest trust, for the benefit of the holders of the Offered Certificates, an amount equal to one-month LIBOR on the notional amount as set forth in the Swap Agreement until the Swap Agreement is terminated. Only the net amount of the two obligations will be paid by the appropriate party (the “Net Swap Payment”). See the attached schedule.

A separate trust created under the pooling and servicing agreement (the “Supplemental Interest Trust”) will hold the Swap Agreement. The Swap Agreement and any payments made by the Swap Provider thereunder will be assets of the Supplemental Interest Trust but will not be assets of any REMIC.

Upon early termination of the Swap Agreement, the Supplemental Interest Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Swap Agreement. In the event that the Securities Administrator, on behalf of the Supplemental Interest Trust, is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, generally, prior to distributions to Certificateholders.

 

 


 

 

Transaction Overview (Cont.)

Available Distribution Amount:

For any Distribution Date, net of the administrative fees, an amount equal to (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all P&I Advances with respect to the Mortgage Loans received for the Distribution Date; (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period; and (v) Net Swap Payments payable by the Swap Provider.

 

 

Class A Principal Distribution Amount:

Until the Stepdown Date, or if a Trigger Event occurs, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest required to maintain the Required Overcollateralization Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event occurs, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 42.40% Credit Enhancement Percentage (2x the Class A Initial Credit Enhancement Percentage).

 

The Class A Principal Distribution Amount will generally be distributed to the holders of the Class A-1 Certificates and the Class A-2 Certificates concurrently, on a pro rata basis, based on the related Class A principal allocation percentage (for any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the principal remittance amount for the Group I Mortgage Loans (in the case of the Class A-1 Certificates) or the principal remittance amount for the Group II Mortgage Loans (in the case of the Class A-2 Certificates) and the denominator of which is equal to the principal remittance amount for all of the Mortgage Loans) for each such class for such Distribution Date.

 

 

Principal distributions to the Class A-2 Certificates will be allocated sequentially to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero.

 

 

Class M Principal Distribution Amount:

The Mezzanine Certificates will not receive any principal payments until the Stepdown Date. On or after the Stepdown Date (if no Trigger Event occurs), principal will be paid to the Mezzanine Certificates, first to the Class M-1 Certificates until it reaches approximately a 35.40% Credit Enhancement Percentage (2x the Class M-1 Initial Credit Enhancement Percentage), second to the Class M-2 Certificates until it reaches approximately a 28.90% Credit Enhancement Percentage (2x the Class M-2 Initial Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 24.40% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 21.20% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), fifth to the Class M-5 Certificates until it reaches approximately a 18.00% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), sixth to the Class M-6 Certificates until it reaches approximately a 15.30% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 11.30% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 7.50% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), ninth to the Class M-9 Certificates until it reaches approximately a 5.90% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), tenth to the Class M-10 Certificates until it reaches approximately a 4.60% Credit Enhancement Percentage (2x the Class M-10 Initial Credit Enhancement Percentage) and eleventh to the Class M-11 Certificates until it reaches approximately a 3.00% Credit Enhancement Percentage (2x the Class M-11 Initial Credit Enhancement Percentage).

 

 


 

 

Transaction Overview (Cont.)

 

 

Coupon Step-up:

On the Distribution Date following the first possible optional termination date, the margins on the Class A Certificates and the Mezzanine Certificates will increase to the following, provided that the pass-through rate on the certificates will still be subject to the applicable Net WAC Pass-Through Rate.

 

 

 

 

Class

After Optional Termination

 

A

2 x related Margin

 

M

The lesser of 1.5 x related Margin and related Margin plus 0.50%

 

 

 

Trigger Event:

If either the Delinquency Test or Cumulative Loss Test is violated.

 

 

Delinquency Test:

The determination on any Distribution Date that the percentage obtained by dividing (x) the principal amount of (1) Mortgage Loans delinquent 60 days or more, (2) Mortgage Loans in foreclosure, (3) REO Properties and (4) Mortgage Loans discharged due to bankruptcy by (y) the aggregate principal balance of the Mortgage Loans, in each case, as of the last day of the previous calendar month, exceeds 39.00% of the Credit Enhancement Percentage.

Cumulative Loss Test:

The determination on any Distribution Date that the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date:

 

 

 

 

Distribution Date Occurring in

Percentage

 

February 2008 to January 2009

1.90%, plus 1/12th of 1.10% for each month thereafter

 

February 2009 to January 2010

3.00%, plus 1/12th of 1.00% for each month thereafter

 

February 2010 to January 2011

4.00%, plus 1/12th of 0.75% for each month thereafter

 

February 2011 to January 2012

4.75%, plus 1/12th of 0.15% for each month thereafter

 

February 2012 and thereafter

4.90%

 

 


 

Transaction Overview (Cont.)

Payment Priority:

On each Distribution Date, the Available Distribution Amount (net of any Net Swap Payments payable by the Swap Provider) will be distributed as follows:

1.    To the Supplemental Interest Trust, to pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider.

2.    To pay interest to the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date, then to pay interest excluding any accrued unpaid interest from a prior Distribution Date to the Mezzanine Certificates, on a sequential basis.

3.    To pay principal to the Class A Certificates in accordance with the principal payment provisions described above.

4.    To pay principal to the Mezzanine Certificates in accordance with the principal payment provisions described above.

5.    From excess interest, if any, to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of the Certificates to the extent necessary to maintain the Required Overcollateralization Amount.

6.    From excess interest, if any, to pay the Interest Carry Forward Amounts on the Mezzanine Certificates, on a sequential basis.

7.    From excess interest, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, on a sequential basis.

8.    From excess interest, if any, to pay the Net WAC Rate Carryover Amount on the Class A Certificates and the Mezzanine Certificates in the same order of priority as described in 2 above.

9.    From excess interest, if any, to pay the Swap Termination Payment (caused by a Swap Provider Trigger Event under the Swap Agreement) owed to the Swap Provider.

10.  To pay any remaining amount to the non-offered certificates in accordance with the Pooling and Servicing Agreement.

 

Any Net Swap Payments on deposit in the Supplemental Interest Trust will be paid as follows:

1.    To pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider

2.    To pay any unpaid interest on the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially.

3.    To pay the Net WAC Rate Carryover Amount on the Class A Certificates and Mezzanine Certificates remaining unpaid in the same order of priority as described above.

4.    To pay any principal first, on the Class A Certificates, pro rata, and second, on the Mezzanine Certificates, sequentially, in accordance with the principal payment provisions described above in an amount necessary to maintain the Required Overcollateralization Amount.

5.    To pay any allocated Realized Losses remaining unpaid on the Mezzanine Certificates, sequentially.

 

 

 

 

 


 

Transaction Overview (Cont.)

 

 

ERISA:

It is expected that the Offered Certificates may be purchased by, or with the assets of, employee benefit plans subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or plans or arrangements subject to section 4975 of the Internal Revenue Code (each, a “Plan”). Prior to the termination of the Supplemental Interest Trust, Plans or persons using assets of a Plan may purchase the Offered Certificates if the purchase and holding meets the requirements of an investor-based class exemption issued by the Department of Labor. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates.

 

 

Taxation – REMIC:

One or more REMIC elections will be made for designated portions of the Trust (exclusive of certain shortfall payments or payments from the Supplemental Interest Trust or the obligation to make payments to the Supplemental Interest Trust pursuant to the Swap Agreement).

 

 

Form of Registration:

Book-entry form through DTC, Clearstream and Euroclear.

 

 

Minimum Denominations:

$100,000 and integral multiples of $1 in excess thereof.

 

 

 

 

 


 

Swap Schedule

 

Distribution Date

Notional Schedule ($)

2/25/2006

493,170,821

3/25/2006

483,835,600

4/25/2006

473,180,426

5/25/2006

461,243,495

6/25/2006

448,074,867

7/25/2006

433,738,140

8/25/2006

418,338,956

9/25/2006

402,007,922

10/25/2006

385,140,827

11/25/2006

368,966,513

12/25/2006

353,472,178

1/25/2007

338,629,343

2/25/2007

324,410,582

3/25/2007

310,789,622

4/25/2007

297,741,303

5/25/2007

285,233,673

6/25/2007

273,195,799

7/25/2007

261,019,482

8/25/2007

249,021,222

9/25/2007

232,405,131

10/25/2007

195,026,718

11/25/2007

164,077,802

12/25/2007

138,624,822

1/25/2008

119,843,371

2/25/2008

114,088,522

3/25/2008

108,756,919

4/25/2008

103,676,906

5/25/2008

98,836,538

6/25/2008

94,224,400

7/25/2008

89,829,657

8/25/2008

85,642,003

9/25/2008

81,651,573

10/25/2008

77,849,273

11/25/2008

74,226,505

12/25/2008

70,774,107

1/25/2009

67,483,991

2/25/2009

64,348,465

3/25/2009

61,360,199

4/25/2009

58,512,217

5/25/2009

55,797,893

6/25/2009

53,210,880

7/25/2009

50,745,153

 

 

 


 

Sensitivity Table

To 10% Call

 

 

Fixed>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

Arm>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

 

 

 

 

 

 

A-1

Avg Life

19.39

4.10

2.08

1.40

1.11

 

First Payment Date

Feb-06

Feb-06

Feb-06

Feb-06

Feb-06

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Apr-08

 

 

 

 

 

 

 

A-2A

Avg Life

14.53

1.59

1.00

0.83

0.66

 

First Payment Date

Feb-06

Feb-06

Feb-06

Feb-06

Feb-06

 

Last Payment Date

Mar-27

Mar-09

Oct-07

Aug-07

Apr-07

 

 

 

 

 

 

 

A-2B

Avg Life

23.08

4.22

2.00

1.73

1.49

 

First Payment Date

Mar-27

Mar-09

Oct-07

Aug-07

Apr-07

 

Last Payment Date

Apr-31

Nov-11

Jun-08

Nov-07

Sep-07

 

 

 

 

 

 

 

A-2C

Avg Life

26.48

7.36

3.00

2.01

1.75

 

First Payment Date

Apr-31

Nov-11

Jun-08

Nov-07

Sep-07

 

Last Payment Date

Sep-33

Apr-15

Oct-10

Apr-08

Nov-07

 

 

 

 

 

 

 

A-2D

Avg Life

28.37

11.58

6.01

2.89

1.97

 

First Payment Date

Sep-33

Apr-15

Oct-10

Apr-08

Nov-07

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Apr-08

 

 

 

 

 

 

 

M-1

Avg Life

26.41

8.09

4.86

4.83

3.25

 

First Payment Date

Aug-28

Nov-09

Jan-10

Nov-10

Apr-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-2

Avg Life

26.41

8.09

4.68

4.79

3.41

 

First Payment Date

Aug-28

Nov-09

Oct-09

Aug-10

Jun-09

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-3

Avg Life

26.41

8.09

4.58

4.46

3.38

 

First Payment Date

Aug-28

Nov-09

Aug-09

Mar-10

Apr-09

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-4

Avg Life

26.41

8.09

4.53

4.22

3.21

 

First Payment Date

Aug-28

Nov-09

Jul-09

Dec-09

Feb-09

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-5

Avg Life

26.41

8.09

4.49

4.07

3.06

 

First Payment Date

Aug-28

Nov-09

Jun-09

Oct-09

Dec-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 


 

 

Sensitivity Table

To 10% Call (Continued)

 

 

Fixed>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

Arm>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

 

 

 

 

 

 

M-6

Avg Life

26.41

8.09

4.45

3.96

2.96

 

First Payment Date

Aug-28

Nov-09

May-09

Aug-09

Oct-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-7

Avg Life

26.41

8.09

4.43

3.86

2.87

 

First Payment Date

Aug-28

Nov-09

Apr-09

Jun-09

Aug-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-8

Avg Life

26.41

8.09

4.40

3.76

2.77

 

First Payment Date

Aug-28

Nov-09

Mar-09

Apr-09

Jul-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-9

Avg Life

26.41

8.09

4.38

3.70

2.72

 

First Payment Date

Aug-28

Nov-09

Mar-09

Apr-09

Jun-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-10

Avg Life

26.41

8.07

4.36

3.66

2.69

 

First Payment Date

Aug-28

Nov-09

Feb-09

Mar-09

Jun-08

 

Last Payment Date

Aug-34

May-18

Jun-12

Nov-10

Jun-09

 

 

 

 

 

 

 

M-11

Avg Life

26.32

7.74

4.17

3.50

2.58

 

First Payment Date

Aug-28

Nov-09

Feb-09

Mar-09

May-08

 

Last Payment Date

Jul-34

Dec-17

Mar-12

Aug-10

May-09

 

 

 

 

 

 

 

 

 

 


 

Sensitivity Table

To Maturity

 

 

 

Fixed>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

Arm>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

 

 

 

 

 

 

A-1

Avg Life

19.43

4.39

2.27

1.47

1.11

 

First Payment Date

Feb-06

Feb-06

Feb-06

Feb-06

Feb-06

 

Last Payment Date

Sep-35

Jul-30

Sep-20

Jun-17

Apr-08

 

 

 

 

 

 

 

A-2A

Avg Life

14.53

1.59

1.00

0.83

0.66

 

First Payment Date

Feb-06

Feb-06

Feb-06

Feb-06

Feb-06

 

Last Payment Date

Mar-27

Mar-09

Oct-07

Aug-07

Apr-07

 

 

 

 

 

 

 

A-2B

Avg Life

23.08

4.22

2.00

1.73

1.49

 

First Payment Date

Mar-27

Mar-09

Oct-07

Aug-07

Apr-07

 

Last Payment Date

Apr-31

Nov-11

Jun-08

Nov-07

Sep-07

 

 

 

 

 

 

 

A-2C

Avg Life

26.48

7.36

3.00

2.01

1.75

 

First Payment Date

Apr-31

Nov-11

Jun-08

Nov-07

Sep-07

 

Last Payment Date

Sep-33

Apr-15

Oct-10

Apr-08

Nov-07

 

 

 

 

 

 

 

A-2D

Avg Life

28.69

13.79

7.46

3.46

1.97

 

First Payment Date

Sep-33

Apr-15

Oct-10

Apr-08

Nov-07

 

Last Payment Date

Sep-35

Jun-30

Oct-20

Jun-17

Apr-08

 

 

 

 

 

 

 

M-1

Avg Life

26.52

8.85

5.35

6.73

5.50

 

First Payment Date

Aug-28

Nov-09

Jan-10

Jul-11

Apr-08

 

Last Payment Date

Aug-35

Aug-27

Jun-18

Jul-15

May-14

 

 

 

 

 

 

 

M-2

Avg Life

26.52

8.83

5.16

5.33

4.25

 

First Payment Date

Aug-28

Nov-09

Oct-09

Aug-10

Sep-09

 

Last Payment Date

Jul-35

Nov-26

Dec-17

Feb-15

Aug-12

 

 

 

 

 

 

 

M-3

Avg Life

26.52

8.80

5.04

4.81

3.70

 

First Payment Date

Aug-28

Nov-09

Aug-09

Mar-10

Apr-09

 

Last Payment Date

Jul-35

Jan-26

May-17

Sep-14

Apr-12

 

 

 

 

 

 

 

M-4

Avg Life

26.52

8.78

4.97

4.56

3.46

 

First Payment Date

Aug-28

Nov-09

Jul-09

Dec-09

Feb-09

 

Last Payment Date

Jul-35

Apr-25

Dec-16

Apr-14

Jan-12

 

 

 

 

 

 

 

M-5

Avg Life

26.52

8.74

4.91

4.39

3.31

 

First Payment Date

Aug-28

Nov-09

Jun-09

Oct-09

Dec-08

 

Last Payment Date

Jun-35

Sep-24

Jul-16

Jan-14

Oct-11

 

 


 

Sensitivity Table

To Maturity (Continued)

 

 

Fixed>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

Arm>>

0% PPC

55% PPC

100% PPC

125% PPC

160% PPC

 

 

 

 

 

 

 

M-6

Avg Life

26.51

8.70

4.85

4.26

3.19

 

First Payment Date

Aug-28

Nov-09

May-09

Aug-09

Oct-08

 

Last Payment Date

Jun-35

Dec-23

Jan-16

Aug-13

Jul-11

 

 

 

 

 

 

 

M-7

Avg Life

26.51

8.63

4.78

4.12

3.07

 

First Payment Date

Aug-28

Nov-09

Apr-09

Jun-09

Aug-08

 

Last Payment Date

May-35

Apr-23

Aug-15

Apr-13

Apr-11

 

 

 

 

 

 

 

M-8

Avg Life

26.49

8.50

4.66

3.95

2.93

 

First Payment Date

Aug-28

Nov-09

Mar-09

Apr-09

Jul-08

 

Last Payment Date

Apr-35

Nov-21

Oct-14

Aug-12

Oct-10

 

 

 

 

 

 

 

M-9

Avg Life

26.46

8.33

4.53

3.80

2.81

 

First Payment Date

Aug-28

Nov-09

Mar-09

Apr-09

Jun-08

 

Last Payment Date

Jan-35

May-20

Aug-13

Sep-11

Feb-10

 

 

 

 

 

 

 

M-10

Avg Life

26.42

8.12

4.40

3.68

2.71

 

First Payment Date

Aug-28

Nov-09

Feb-09

Mar-09

Jun-08

 

Last Payment Date

Oct-34

Mar-19

Dec-12

Mar-11

Oct-09

 

 

 

 

 

 

 

M-11

Avg Life

26.32

7.74

4.17

3.50

2.58

 

First Payment Date

Aug-28

Nov-09

Feb-09

Mar-09

May-08

 

Last Payment Date

Jul-34

Dec-17

Mar-12

Aug-10

May-09

 

 

 

 

 

 

 

 

 


 

 

Class A-1 Net WAC Schedule*

 

Class A-1 Net WAC Schedule*

 


Period


Date


Net WAC Pass-Through Rate (%)

 


Period


Date


Net WAC Pass-Through Rate (%)

 

1

2/25/2006

22.444

 

46

11/25/2009

11.100

 

2

3/25/2006

21.836

 

47

12/25/2009

11.467

 

3

4/25/2006

21.523

 

48

1/25/2010

11.096

 

4

5/25/2006

21.444

 

49

2/25/2010

11.097

 

5

6/25/2006

21.222

 

50

3/25/2010

12.320

 

6

7/25/2006

21.107

 

51

4/25/2010

11.224

 

7

8/25/2006

20.840

 

52

5/25/2010

11.598

 

8

9/25/2006

20.619

 

53

6/25/2010

11.224

 

9

10/25/2006

20.456

 

54

7/25/2010

11.596

 

10

11/25/2006

20.156

 

55

8/25/2010

11.235

 

11

12/25/2006

20.004

 

56

9/25/2010

11.287

 

12

1/25/2007

19.702

 

57

10/25/2010

11.717

 

13

2/25/2007

19.480

 

58

11/25/2010

11.339

 

14

3/25/2007

19.531

 

59

12/25/2010

11.715

 

15

4/25/2007

19.050

 

60

1/25/2011

11.334

 

16

5/25/2007

18.929

 

61

2/25/2011

11.336

 

17

6/25/2007

18.636

 

62

3/25/2011

12.567

 

18

7/25/2007

18.578

 

63

4/25/2011

11.366

 

19

8/25/2007

18.284

 

64

5/25/2011

11.743

 

20

9/25/2007

18.642

 

65

6/25/2011

11.362

 

21

10/25/2007

18.889

 

66

7/25/2011

11.738

 

22

11/25/2007

17.717

 

67

8/25/2011

11.361

 

23

12/25/2007

17.038

 

68

9/25/2011

11.376

 

24

1/25/2008

16.194

 

69

10/25/2011

11.770

 

25

2/25/2008

16.055

 

70

11/25/2011

11.388

 

26

3/25/2008

16.610

 

71

12/25/2011

11.766

 

27

4/25/2008

16.412

 

72

1/25/2012

11.383

 

28

5/25/2008

16.510

 

73

2/25/2012

11.385

 

29

6/25/2008

16.146

 

74

3/25/2012

12.185

 

30

7/25/2008

16.277

 

75

4/25/2012

11.414

 

31

8/25/2008

15.937

 

76

5/25/2012

11.791

 

32

9/25/2008

16.163

 

77

6/25/2012

11.408

 

33

10/25/2008

16.995

 

 

 

 

 

34

11/25/2008

16.608

 

 

 

 

 

35

12/25/2008

16.766

 

 

 

 

 

36

1/25/2009

16.397

 

 

 

 

 

37

2/25/2009

16.297

 

 

 

 

 

38

3/25/2009

17.399

 

 

 

 

 

39

4/25/2009

16.836

 

 

 

 

 

40

5/25/2009

17.037

 

 

 

 

 

41

6/25/2009

16.621

 

 

 

 

 

42

7/25/2009

16.827

 

 

 

 

 

*PPC: 100% (ARM); PPC: 100% (Fixed)

43

8/25/2009

10.964

 

 

 

 

 

*1 Month LIBOR: 20%

44

9/25/2009

11.001

 

 

 

 

 

*6 Month Libor: 20%

45

10/25/2009

11.470

 

 

 

 

 

*Includes Net Swap Payments received from the Swap Provider

 

 


 

Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule*

 

Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule*

 


Period


Date


Net WAC Pass-Through Rate (%)

 


Period


Date


Net WAC Pass-Through Rate (%)

 

1

2/25/2006

21.889

 

46

11/25/2009

10.679

 

2

3/25/2006

21.281

 

47

12/25/2009

11.033

 

3

4/25/2006

21.022

 

48

1/25/2010

10.676

 

4

5/25/2006

20.926

 

49

2/25/2010

10.674

 

5

6/25/2006

20.721

 

50

3/25/2010

11.834

 

6

7/25/2006

20.589

 

51

4/25/2010

10.784

 

7

8/25/2006

20.340

 

52

5/25/2010

11.142

 

8

9/25/2006

20.119

 

53

6/25/2010

10.780

 

9

10/25/2006

19.942

 

54

7/25/2010

11.137

 

10

11/25/2006

19.662

 

55

8/25/2010

10.782

 

11

12/25/2006

19.494

 

56

9/25/2010

10.860

 

12

1/25/2007

19.209

 

57

10/25/2010

11.248

 

13

2/25/2007

18.987

 

58

11/25/2010

10.903

 

14

3/25/2007

18.985

 

59

12/25/2010

11.264

 

15

4/25/2007

18.558

 

60

1/25/2011

10.898

 

16

5/25/2007

18.423

 

61

2/25/2011

10.897

 

17

6/25/2007

18.143

 

62

3/25/2011

12.091

 

18

7/25/2007

18.018

 

63

4/25/2011

10.928

 

19

8/25/2007

17.742

 

64

5/25/2011

11.296

 

20

9/25/2007

18.654

 

65

6/25/2011

10.929

 

21

10/25/2007

18.471

 

66

7/25/2011

11.291

 

22

11/25/2007

17.311

 

67

8/25/2011

10.926

 

23

12/25/2007

16.620

 

68

9/25/2011

10.949

 

24

1/25/2008

15.768

 

69

10/25/2011

11.321

 

25

2/25/2008

15.628

 

70

11/25/2011

10.959

 

26

3/25/2008

16.343

 

71

12/25/2011

11.322

 

27

4/25/2008

16.033

 

72

1/25/2012

10.954

 

28

5/25/2008

16.119

 

73

2/25/2012

10.953

 

29

6/25/2008

15.769

 

74

3/25/2012

11.733

 

30

7/25/2008

15.871

 

75

4/25/2012

10.983

 

31

8/25/2008

15.531

 

76

5/25/2012

11.352

 

32

9/25/2008

15.882

 

77

6/25/2012

10.983

 

33

10/25/2008

16.570

 

 

 

 

 

34

11/25/2008

16.194

 

 

 

 

 

35

12/25/2008

16.337

 

 

 

 

 

36

1/25/2009

15.966

 

 

 

 

 

37

2/25/2009

15.862

 

 

 

 

 

38

3/25/2009

17.094

 

 

 

 

 

39

4/25/2009

16.430

 

 

 

 

 

40

5/25/2009

16.616

 

 

 

 

 

41

6/25/2009

16.215

 

 

 

 

 

42

7/25/2009

16.407

 

 

 

 

 

*PPC: 100% (ARM); PPC: 100% (Fixed)

43

8/25/2009

10.553

 

 

 

 

 

*1 Month LIBOR: 20%

44

9/25/2009

10.580

 

 

 

 

 

*6 Month Libor: 20%

45

10/25/2009

11.036

 

 

 

 

 

*Includes Net Swap Payments received from the Swap Provider

 

 


 

 

Class M Net WAC Schedule*

 

Class M Net WAC Schedule*

 


Period


Date


Net WAC Pass-Through Rate (%)

 


Period


Date


Net WAC Pass-Through Rate (%)

 

1

2/25/2006

22.175

 

46

11/25/2009

10.896

 

2

3/25/2006

21.568

 

47

12/25/2009

11.258

 

3

4/25/2006

21.281

 

48

1/25/2010

10.893

 

4

5/25/2006

21.194

 

49

2/25/2010

10.893

 

5

6/25/2006

20.979

 

50

3/25/2010

12.086

 

6

7/25/2006

20.856

 

51

4/25/2010

11.012

 

7

8/25/2006

20.598

 

52

5/25/2010

11.378

 

8

9/25/2006

20.377

 

53

6/25/2010

11.011

 

9

10/25/2006

20.207

 

54

7/25/2010

11.373

 

10

11/25/2006

19.917

 

55

8/25/2010

11.015

 

11

12/25/2006

19.757

 

56

9/25/2010

11.080

 

12

1/25/2007

19.463

 

57

10/25/2010

11.489

 

13

2/25/2007

19.242

 

58

11/25/2010

11.127

 

14

3/25/2007

19.266

 

59

12/25/2010

11.495

 

15

4/25/2007

18.812

 

60

1/25/2011

11.122

 

16

5/25/2007

18.684

 

61

2/25/2011

11.123

 

17

6/25/2007

18.397

 

62

3/25/2011

12.336

 

18

7/25/2007

18.307

 

63

4/25/2011

11.153

 

19

8/25/2007

18.021

 

64

5/25/2011

11.526

 

20

9/25/2007

18.648

 

65

6/25/2011

11.152

 

21

10/25/2007

18.686

 

66

7/25/2011

11.520

 

22

11/25/2007

17.520

 

67

8/25/2011

11.149

 

23

12/25/2007

16.836

 

68

9/25/2011

11.169

 

24

1/25/2008

15.988

 

69

10/25/2011

11.552

 

25

2/25/2008

15.848

 

70

11/25/2011

11.180

 

26

3/25/2008

16.481

 

71

12/25/2011

11.550

 

27

4/25/2008

16.228

 

72

1/25/2012

11.174

 

28

5/25/2008

16.321

 

73

2/25/2012

11.175

 

29

6/25/2008

15.963

 

74

3/25/2012

11.966

 

30

7/25/2008

16.080

 

75

4/25/2012

11.204

 

31

8/25/2008

15.740

 

76

5/25/2012

11.578

 

32

9/25/2008

16.027

 

77

6/25/2012

11.201

 

33

10/25/2008

16.789

 

 

 

 

 

34

11/25/2008

16.408

 

 

 

 

 

35

12/25/2008

16.558

 

 

 

 

 

36

1/25/2009

16.188

 

 

 

 

 

37

2/25/2009

16.086

 

 

 

 

 

38

3/25/2009

17.251

 

 

 

 

 

39

4/25/2009

16.639

 

 

 

 

 

40

5/25/2009

16.834

 

 

 

 

 

41

6/25/2009

16.425

 

 

 

 

 

42

7/25/2009

16.624

 

 

 

 

 

*PPC: 100% (ARM); PPC: 100% (Fixed)

43

8/25/2009

10.765

 

 

 

 

 

*1 Month LIBOR: 20%

 

 


 

 

44

9/25/2009

10.797

 

 

 

 

 

*6 Month Libor: 20%

45

10/25/2009

11.261

 

 

 

 

 

*Includes Net Swap Payments received from the Swap Provider

 

 

Excess Spread*

(Assumes Pricing Prepayment Speed, Excludes Basis Risk Shortfalls)

 

Period

Excess
Spread in bp
(Static LIBOR)


1 Month Forward
LIBOR (%)


6 Month Forward
LIBOR (%)

Excess
Spread in bp
(Forward LIBOR)

Period

Excess
Spread in bp
(Static LIBOR)


1 Month Forward
LIBOR (%)


6 Month Forward
LIBOR (%)

Excess
Spread in bp
(Forward LIBOR)

1

179

4.5289

4.7320

179

45

377

4.6146

4.6830

364

2

133

4.6034

4.7717

133

46

360

4.6151

4.6955

347

3

130

4.6891

4.7939

131

47

377

4.6156

4.7069

364

4

131

4.7043

4.7987

131

48

361

4.6314

4.7207

346

5

130

4.7827

4.7978

130

49

361

4.6795

4.7305

342

6

131

4.8116

4.7830

131

50

410

4.6806

4.7321

394

7

130

4.7401

4.7618

130

51

361

4.6837

4.7354

346

8

130

4.7427

4.7355

129

52

378

4.6850

4.7361

363

9

132

4.7206

4.7071

131

53

362

4.6870

4.7383

346

10

130

4.6995

4.6799

129

54

378

4.6887

4.7398

363

11

133

4.6994

4.6510

131

55

363

4.6903

4.7410

347

12

130

4.6798

4.6230

129

56

369

4.6925

4.7432

354

13

130

4.5891

4.5945

129

57

389

4.6930

4.7448

374

14

139

4.5726

4.5782

139

58

374

4.6949

4.7466

358

15

130

4.5585

4.5640

129

59

390

4.6958

4.7484

375

16

133

4.5434

4.5489

133

60

374

4.6981

4.7507

358

17

130

4.5284

4.5339

130

61

374

4.7032

4.7520

358

18

138

4.5130

4.5185

138

62

423

4.7033

4.7529

409

19

137

4.4983

4.5058

137

63

375

4.7052

4.7549

360

20

232

4.4821

4.5137

228

64

392

4.7058

4.7550

377

21

326

4.4680

4.5211

316

65

377

4.7076

4.7560

361

22

320

4.4536

4.5323

310

66

393

4.7075

4.7562

378

23

328

4.4382

4.5453

319

67

378

4.7084

4.7569

362

24

320

4.4471

4.5592

312

68

379

4.7093

4.7572

363

25

320

4.5412

4.5723

307

69

395

4.7092

4.7555

380

26

341

4.5358

4.5672

327

70

380

4.7099

4.7554

364

27

323

4.5316

4.5628

311

71

397

4.7106

4.7545

382

28

332

4.5268

4.5579

320

72

382

4.7096

4.7541

366

29

323

4.5214

4.5526

311

73

382

4.7072

4.7531

367

30

332

4.5165

4.5475

321

74

415

4.7060

4.7530

401

31

323

4.5118

4.5469

312

75

384

4.7066

4.7534

368

32

329

4.5067

4.5629

318

76

401

4.7062

4.7528

386

33

367

4.5019

4.5786

355

77

386

4.7063

4.7530

370

34

357

4.4967

4.5990

345

 

 

 

 

 

35

367

4.4917

4.6178

355

 

 

 

 

 

36

356

4.5108

4.6388

344

 

 

 

 

 

37

356

4.6099

4.6566

338

 

 

 

 

 

38

382

4.6099

4.6570

368

 

 

 

 

 

39

354

4.6121

4.6585

342

 

 

 

 

 

40

366

4.6119

4.6587

355

 

 

 

 

 

41

356

4.6128

4.6597

345

 

 

 

 

 

42

368

4.6137

4.6604

357

 

 

 

 

 

 

 


 

 

43

360

4.6139

4.6625

345

 

 

 

 

 

44

360

4.6142

4.6731

346

 

 

 

 

 

*Includes Net Swap Payments received from the Swap Provider

 


 

Breakeven CDR Table for the Subordinated Certificates

 

The assumptions for the breakeven CDR table below are as follows:

 

- The Pricing Assumption is applied

 

- 10% cleanup call is not exercised

- Forward Curves

- 40% Severity

- Interest & Principal advancing

- 6 month recovery lag

- Triggers Failing

The table below displays the Constant Default Rate (“CDR”) and the related cumulative collateral loss before the referenced Class incurs a writedown.

 

 

 

 

Class


CDR Break-Even (%)


Cumulative Loss (%)

M-1

28.88

20.40

M-2

22.96

17.60

M-3

19.35

15.66

M-4

16.98

14.26

M-5

14.76

12.85

M-6

13.00

11.66

M-7

10.55

9.88

M-8

8.32

8.12

M-9

7.41

7.36

M-10

6.71

6.76

M-11

5.98

6.11

 

 

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

SUMMARY – AGGREGATE POOL

Number of Mortgage Loans:

3,020

Index Type:

 

Aggregate Principal Balance:

$493,170,821

6 Month LIBOR:

92.12%

Conforming Principal Balance Loans:

$429,901,100

Fixed Rate:

7.88%

Average Principal Balance:

$163,302

W.A. Initial Periodic Cap:

2.980%

Range:

$11,537 - $688,000

W.A. Subsequent Periodic Cap:

1.000%

W.A. Coupon:

6.815%

W.A. Lifetime Rate Cap:

6.000%

Range:

4.250% - 13.000%

Property Type:

 

W.A. Gross Margin:

4.648%

Single Family:

54.75%

Range:

2.250% - 9.000%

PUD:

34.39%

W.A. Remaining Term (months):

347

Condo:

8.76%

Range (months):

112- 358

2-4 Family:

2.05%

W.A. Seasoning (months):

4

Modular:

0.01%

Latest Maturity Date:

November 1, 2035

Townhouse:

0.03%

State Concentration (Top 5):

 

Occupancy Status:

 

California:

33.43%

Primary:

98.13%

Texas:

7.27%

Investment:

1.40%

Minnesota:

6.71%

Second Home:

0.48%

Arizona:

6.61%

Documentation Status:

 

Florida:

5.89%

Full:

63.51%

W.A. Original Combined LTV:

81.11%

Limited:

35.32%

Range:

20.21% - 100.00%

None:

1.17%

First Liens:

95.01%

Non-Zero W.A. Prepayment Penalty – Term (months):

26

Second Liens:

4.99%

Loans with Prepay Penalties:

82.92%

Non-Balloon Loans:

95.09%

Interest Only Loans

65.68%

Non-Zero W.A. FICO Score:

657

W.A. Interest Only Term (months):

60

 

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

 

Product Type

Collateral Type

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Fixed - 15 Year

6

452,837

0.09

7.814

611

76.32

Fixed - 20 Year

9

482,471

0.10

9.381

617

98.16

Fixed - 30 Year

110

13,706,905

2.78

7.392

652

81.37

Balloon - 10/30

2

117,521

0.02

8.373

716

100.00

Balloon - 15/30

481

22,710,726

4.61

9.764

666

99.59

Balloon - 20/30

26

1,374,140

0.28

9.648

682

98.54

ARM - 6 Month

2

300,905

0.06

6.694

712

80.00

ARM - 6 Month IO

11

3,303,483

0.67

6.272

636

77.83

ARM - 1 Year/6 Month

4

812,475

0.16

6.433

658

81.04

ARM - 1 Year/6 Month IO

5

1,439,042

0.29

7.001

635

75.29

ARM - 2 Year/6 Month

787

105,884,891

21.47

7.159

638

80.74

ARM - 2 Year/6 Month IO

1,069

250,315,503

50.76

6.480

663

80.08

ARM - 3 Year/6 Month

124

17,015,566

3.45

6.639

641

80.49

ARM - 3 Year/6 Month IO

261

51,166,432

10.37

6.453

660

79.42

ARM - 5 Year/6 Month

38

6,389,553

1.30

6.338

672

79.49

ARM - 5 Year/6 Month IO

85

17,698,371

3.59

6.428

682

79.50

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 

IO Terms

IO Terms (mos.)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0

1,589

169,247,990

34.32

7.469

645

83.44

24

4

771,843

0.16

6.915

641

72.82

60

1,426

323,025,388

65.50

6.472

663

79.91

120

1

125,600

0.03

6.875

612

80.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Principal Balance at Origination

Principal Balance at

Origination ($)

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0.01 - 50,000.00

380

11,981,970

2.43

9.826

646

97.49

50,000.01 - 100,000.00

514

38,989,387

7.91

8.105

634

85.42

100,000.01 - 150,000.00

812

102,099,328

20.70

6.967

648

81.23

150,000.01 - 200,000.00

500

85,907,994

17.42

6.766

651

80.19

200,000.01 - 250,000.00

267

59,282,019

12.02

6.646

656

80.03

250,000.01 - 300,000.00

183

50,274,963

10.19

6.485

663

79.72

300,000.01 - 350,000.00

136

44,401,198

9.00

6.330

664

80.00

350,000.01 - 400,000.00

91

34,040,203

6.90

6.518

671

79.82

400,000.01 - 450,000.00

50

21,057,706

4.27

6.329

676

80.49

450,000.01 - 500,000.00

44

20,826,959

4.22

6.078

676

79.64

500,000.01 - 550,000.00

24

12,683,464

2.57

6.377

671

81.13

550,000.01 - 600,000.00

9

5,218,460

1.06

5.922

703

78.38

600,000.01 - 650,000.00

7

4,377,987

0.89

6.203

672

79.26

650,000.01 - 700,000.00

3

2,029,182

0.41

6.312

685

80.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Remaining Principal Balance

Remaining Principal

Balance ($)

Number of

Initial

Mortgage Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0.01 - 50,000.00

380

11,981,970

2.43

9.826

646

97.49

50,000.01 - 100,000.00

516

39,189,148

7.95

8.096

634

85.39

100,000.01 - 150,000.00

818

103,097,653

20.91

6.965

648

81.25

150,000.01 - 200,000.00

493

84,909,524

17.22

6.768

651

80.18

200,000.01 - 250,000.00

266

59,082,403

11.98

6.643

655

79.99

250,000.01 - 300,000.00

183

50,274,963

10.19

6.485

663

79.72

300,000.01 - 350,000.00

136

44,401,198

9.00

6.330

664

80.00

350,000.01 - 400,000.00

91

34,040,203

6.90

6.518

671

79.82

400,000.01 - 450,000.00

50

21,057,706

4.27

6.329

676

80.49

450,000.01 - 500,000.00

44

20,826,959

4.22

6.078

676

79.64

500,000.01 - 550,000.00

24

12,683,464

2.57

6.377

671

81.13

550,000.01 - 600,000.00

9

5,218,460

1.06

5.922

703

78.38

600,000.01 - 650,000.00

7

4,377,987

0.89

6.203

672

79.26

650,000.01 - 700,000.00

3

2,029,182

0.41

6.312

685

80.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 

Remaining Term

Months Remaining

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

61 - 120

2

117,521

0.02

8.373

716

100.00

121 - 180

487

23,163,563

4.70

9.726

665

99.14

181 - 240

35

1,856,611

0.38

9.579

666

98.44

301 - 360

2,496

468,033,126

94.90

6.659

656

80.15

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Mortgage Rate

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

4.000 - 4.499

2

293,522

0.06

4.319

723

80.00

4.500 - 4.999

11

2,851,796

0.58

4.835

693

80.00

5.000 - 5.499

76

17,670,784

3.58

5.272

685

79.46

5.500 - 5.999

309

75,039,544

15.22

5.735

684

79.52

6.000 - 6.499

576

125,494,284

25.45

6.196

671

79.53

6.500 - 6.999

604

112,788,967

22.87

6.668

654

78.92

7.000 - 7.499

317

51,804,470

10.50

7.186

637

79.85

7.500 - 7.999

267

37,835,131

7.67

7.686

632

81.36

8.000 - 8.499

168

21,826,404

4.43

8.180

625

84.20

8.500 - 8.999

164

17,132,720

3.47

8.680

621

87.79

9.000 - 9.499

150

10,369,985

2.10

9.163

640

95.55

9.500 - 9.999

126

9,007,958

1.83

9.712

638

95.59

10.000 - 10.499

75

4,062,630

0.82

10.194

624

97.36

10.500 - 10.999

86

4,007,330

0.81

10.747

626

98.85

11.000 - 11.499

18

861,172

0.17

11.206

625

100.00

11.500 - 11.999

26

698,094

0.14

11.787

609

99.66

12.000 - 12.499

24

852,707

0.17

12.017

592

100.00

12.500 - 12.999

19

527,974

0.11

12.500

587

99.89

13.000 - 13.499

2

45,348

0.01

13.000

589

100.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 

 

 

 

 

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Original Combined Loan-to-Value Ratio

Original Combined

Loan-to-Value

Ratio (%)

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Less than or equal to 50.00

24

3,163,838

0.64

7.071

642

40.74

50.01 - 55.00

9

1,602,731

0.32

6.949

644

53.28

55.01 - 60.00

14

2,032,491

0.41

6.952

606

57.26

60.01 - 65.00

23

4,534,480

0.92

6.619

629

63.05

65.01 - 70.00

29

5,727,596

1.16

7.167

622

68.28

70.01 - 75.00

59

12,684,689

2.57

7.207

625

74.10

75.01 - 80.00

2,066

396,197,076

80.34

6.470

661

79.95

80.01 - 85.00

49

8,664,176

1.76

7.714

641

84.61

85.01 - 90.00

114

18,003,661

3.65

7.868

635

89.77

90.01 - 95.00

43

4,770,004

0.97

8.508

650

94.98

95.01 - 100.00

590

35,790,079

7.26

9.449

652

99.95

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

FICO Score at Origination

FICO Score

At Origination

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

525 - 549

20

2,481,085

0.50

8.672

545

71.80

550 - 574

68

10,742,065

2.18

8.148

563

77.89

575 - 599

361

45,211,630

9.17

7.948

589

81.68

600 - 624

623

85,239,390

17.28

7.044

612

81.26

625 - 649

562

92,636,887

18.78

6.710

638

81.29

650 - 674

522

90,385,098

18.33

6.656

662

80.81

675 - 699

371

69,995,557

14.19

6.505

686

81.54

700 - 724

223

45,005,141

9.13

6.408

711

81.38

725 - 749

130

24,436,908

4.96

6.319

737

80.68

750 - 774

91

17,674,243

3.58

6.313

762

80.70

775 - 799

46

8,875,129

1.80

6.325

784

81.97

800 - 824

3

487,688

0.10

5.951

806

80.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 

 

 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Geographic Distribution*

Location

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

California

601

164,882,028

33.43

6.428

677

80.55

Texas

294

35,873,534

7.27

6.521

651

80.84

Minnesota

231

33,088,550

6.71

6.844

663

81.81

Arizona

201

32,603,935

6.61

6.802

653

80.30

Florida

214

29,070,980

5.89

7.248

653

81.73

Nevada

109

22,450,619

4.55

6.643

657

79.98

Wisconsin

204

19,428,538

3.94

7.626

646

83.01

Ohio

120

15,650,783

3.17

6.504

644

82.12

Colorado

93

15,131,570

3.07

6.502

646

81.14

Washington

69

14,314,133

2.90

6.367

671

80.73

Georgia

77

11,023,081

2.24

6.918

628

82.28

Maryland

56

10,908,190

2.21

7.312

618

77.14

Michigan

78

10,532,442

2.14

7.703

629

79.83

North Carolina

115

10,517,713

2.13

7.788

640

84.44

Illinois

62

9,140,685

1.85

7.344

637

80.89

Tennessee

72

7,290,539

1.48

7.341

625

83.55

Virginia

30

5,440,227

1.10

7.314

642

80.06

Oregon

30

5,241,481

1.06

6.468

666

80.54

South Carolina

52

5,011,470

1.02

7.791

625

84.01

New York

15

4,412,895

0.89

7.286

643

77.61

Pennsylvania

39

4,184,558

0.85

7.555

633

83.47

Utah

26

4,049,716

0.82

7.364

631

81.04

Indiana

38

3,759,730

0.76

7.477

649

86.64

Kentucky

37

3,057,228

0.62

7.440

621

83.19

Missouri

30

2,616,354

0.53

7.590

631

84.69

*Geographic Distribution continued on the next page

 

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Geographic Distribution (Continued)

Location

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Iowa

22

2,025,575

0.41

7.809

633

84.53

Kansas

21

1,890,030

0.38

7.481

630

81.18

New Mexico

10

1,600,589

0.32

7.028

641

83.82

Alabama

14

1,290,656

0.26

7.604

624

85.36

Arkansas

12

1,016,635

0.21

8.015

615

92.06

Montana

5

753,645

0.15

8.700

595

80.05

South Dakota

5

733,014

0.15

7.612

639

85.99

Mississippi

12

666,824

0.14

7.972

614

87.16

Connecticut

2

607,026

0.12

6.571

702

79.17

Massachusetts

2

456,352

0.09

6.715

642

76.06

New Jersey

3

423,380

0.09

8.018

657

59.51

Idaho

3

387,648

0.08

8.337

618

83.89

Nebraska

2

250,711

0.05

7.452

611

84.01

Oklahoma

3

245,381

0.05

7.918

613

86.32

Louisiana

3

243,386

0.05

8.744

578

95.26

North Dakota

2

215,451

0.04

8.139

616

85.94

Alaska

1

172,000

0.03

6.250

604

80.00

New Hampshire

1

156,529

0.03

7.500

654

80.00

Delaware

1

105,815

0.02

6.500

597

72.88

*Geographic Distribution continued on the next page

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Geographic Distribution (Continued)

Location

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

District of Columbia

1

95,592

0.02

6.875

577

20.21

West Virginia

1

77,000

0.02

8.000

643

100.00

Wyoming

1

76,601

0.02

6.750

650

80.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 

Occupancy Status

Occupancy Status

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Primary

2,961

483,932,026

98.13

6.802

656

81.17

Investment

49

6,883,165

1.40

7.402

691

75.98

Second Home

10

2,355,630

0.48

7.638

697

84.95

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

Documentation Type

Program

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Full Documentation

2,136

313,225,325

63.51

6.919

640

81.43

Limited Documentation

850

174,164,625

35.32

6.599

686

80.66

No Documentation

34

5,780,870

1.17

7.683

705

78.05

Total:

3,020

493,170,821

100.00

6.815

657

81.11

                                                                                                                                                                                                            

Loan Purpose

Purpose

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Purchase

2,443

403,670,354

81.85

6.716

662

81.71

Refinance - Cashout

413

71,231,004

14.44

7.219

632

77.90

Refinance - Rate Term

164

18,269,463

3.70

7.408

637

80.39

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Property Type

Property Type

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Single Family Residence

1,767

270,030,789

54.75

7.028

652

81.61

PUD

933

169,599,228

34.39

6.512

661

80.68

Condo

250

43,221,609

8.76

6.623

670

80.33

2-4 Family

68

10,121,769

2.05

6.979

675

78.44

Modular

1

73,425

0.01

9.750

543

80.00

Townhouse

1

124,000

0.03

8.250

618

80.00

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Rate Adjustment*

Month & Year of Next

Rate Adjustment

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

February 2006

2

300,905

0.07

6.694

712

80.00

March 2006

5

1,668,199

0.37

6.318

630

77.69

April 2006

2

416,000

0.09

6.845

649

80.00

June 2006

1

226,360

0.05

5.750

610

80.00

July 2007

3

992,923

0.22

6.074

647

76.67

September 2006

3

642,876

0.14

6.218

671

80.00

October 2006

6

1,608,642

0.35

7.027

632

76.31

March 2007

5

530,078

0.12

7.974

595

81.20

April 2007

26

3,587,344

0.79

7.559

639

89.43

May 2007

23

3,385,915

0.75

7.406

629

86.32

June 2007

70

12,183,543

2.68

6.982

666

81.54

July 2007

180

33,021,887

7.27

6.470

662

79.92

August 2007

554

107,208,839

23.60

6.543

658

79.90

September 2007

555

111,886,445

24.63

6.697

654

80.33

October 2007

410

79,939,001

17.60

6.773

653

80.07

November 2007

33

4,457,343

0.98

7.306

635

78.60

April 2008

5

761,819

0.17

6.639

656

81.99

May 2008

4

532,595

0.12

7.136

618

85.54

June 2008

5

690,688

0.15

5.799

659

79.99

July 2008

40

7,000,589

1.54

6.279

676

80.75

August 2008

96

18,191,141

4.00

6.431

658

78.86

September 2008

122

21,393,963

4.71

6.568

650

80.02

October 2008

104

18,329,442

4.03

6.568

651

79.41

November 2008

9

1,281,761

0.28

6.567

664

80.00

April 2010

2

229,522

0.05

6.352

655

80.00

May 2010

3

750,158

0.17

6.648

672

81.79

June 2010

4

652,117

0.14

5.881

639

80.00

July 2010

18

3,751,398

0.83

6.349

675

78.62

August 2010

36

5,885,650

1.30

6.335

678

79.86

September 2010

32

7,271,273

1.60

6.334

692

79.03

October 2010

28

5,547,807

1.22

6.636

675

79.92

Total:

2,386

454,326,222

100.00

6.637

657

80.11

*ARM Loans Only

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Gross Margin*

 

 

 

% of Aggregate

 

W.A.

W.A.

Gross

Number of

Aggregate Remaining

Remaining

W.A.

Non-Zero

Original

Margin (%)

Initial Mortgage Loans

Principal Balance ($)

Principal Balance

Coupon (%)

FICO

CLTV (%)

2.000 - 2.499

3

514,000

0.11

5.797

712

80.00

2.500 - 2.999

5

912,327

0.20

6.220

684

77.94

3.000 - 3.499

1

120,000

0.03

6.500

613

32.00

3.500 - 3.999

55

10,590,465

2.33

6.761

637

59.42

4.000 - 4.499

1,844

365,176,138

80.38

6.465

660

79.67

4.500 - 4.999

12

1,986,738

0.44

6.634

660

79.64

5.000 - 5.499

46

10,090,053

2.22

6.987

652

82.77

5.500 - 5.999

136

24,239,099

5.34

7.309

644

86.43

6.000 - 6.499

113

18,370,263

4.04

7.146

653

84.03

6.500 - 6.999

48

7,509,108

1.65

7.430

644

79.10

7.000 - 7.499

44

5,319,008

1.17

7.892

632

84.83

7.500 - 7.999

51

6,345,836

1.40

8.578

623

91.41

8.000 - 8.499

20

2,207,257

0.49

9.160

614

93.92

8.500 - 8.999

7

750,116

0.17

9.422

626

97.71

9.000 - 9.499

1

195,814

0.04

9.875

747

95.00

Total:

2,386

454,326,222

100.00

6.637

657

80.11

 

 

 

*ARM Loans Only

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Maximum Mortgage Rate*

 

 

 

% of Aggregate

 

W.A.

W.A.

Maximum

Number of

Aggregate Remaining

Remaining

W.A.

Non-Zero

Original

Mortgage Rate (%)

Initial Mortgage Loans

Principal Balance ($)

Principal Balance

Coupon (%)

FICO

CLTV (%)

10.000 - 10.499

2

293,522

0.06

4.319

723

80.00

10.500 - 10.999

11

2,851,796

0.63

4.835

693

80.00

11.000 - 11.499

76

17,670,784

3.89

5.272

685

79.46

11.500 - 11.999

306

74,484,967

16.39

5.735

684

79.51

12.000 - 12.499

565

123,705,226

27.23

6.197

670

79.52

12.500 - 12.999

579

109,050,816

24.00

6.666

653

78.89

13.000 - 13.499

296

49,148,216

10.82

7.187

637

79.83

13.500 - 13.999

238

35,258,855

7.76

7.684

630

81.25

14.000 - 14.499

129

18,941,664

4.17

8.177

619

83.13

14.500 - 14.999

88

12,632,791

2.78

8.688

597

84.12

15.000 - 15.499

46

5,239,220

1.15

9.199

610

93.77

15.500 - 15.999

38

4,051,435

0.89

9.694

594

91.45

16.000 - 16.499

11

868,987

0.19

10.160

584

93.10

16.500 - 16.999

1

127,944

0.03

10.500

543

80.00

Total:

2,386

454,326,222

100.00

6.637

657

80.11

 

 

*ARM Loans Only

 

 


 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Minimum Mortgage Rate*

 

 

 

% of Aggregate

 

W.A.

W.A.

Minimum

Number of

Aggregate Remaining

Remaining

W.A.

Non-Zero

Original

Mortgage Rate (%)

Initial Mortgage Loans

Principal Balance ($)

Principal Balance

Coupon (%)

FICO

CLTV (%)

4.000 - 4.499

3

508,722

0.11

4.977

702

80.00

4.500 - 4.999

11

2,851,796

0.63

4.835

693

80.00

5.000 - 5.499

76

17,670,784

3.89

5.272

685

79.46

5.500 - 5.999

305

74,269,767

16.35

5.735

684

79.51

6.000 - 6.499

566

123,836,014

27.26

6.200

670

79.52

6.500 - 6.999

579

109,050,816

24.00

6.666

653

78.89

7.000 - 7.499

297

49,297,090

10.85

7.188

637

79.83

7.500 - 7.999

238

35,241,355

7.76

7.686

629

81.08

8.000 - 8.499

129

18,941,664

4.17

8.177

619

83.13

8.500 - 8.999

86

12,370,629

2.72

8.699

598

84.69

9.000 - 9.499

46

5,239,220

1.15

9.199

610

93.77

9.500 - 9.999

38

4,051,435

0.89

9.694

594

91.45

10.000 - 10.499

11

868,987

0.19

10.160

584

93.10

10.500 - 10.999

1

127,944

0.03

10.500

543

80.00

Total:

2,386

454,326,222

100.00

6.637

657

80.11

 

*ARM Loans Only

 

Initial Periodic Rate Cap*

Initial

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

1.000

13

3,604,388

0.79

6.307

643

78.01

2.000

9

2,183,965

0.48

6.910

640

77.28

3.000

2,363

448,361,869

98.69

6.638

657

80.14

5.000

1

176,000

0.04

7.250

685

80.00

Total:

2,386

454,326,222

100.00

6.637

657

80.11

*ARM Loans Only

 

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Subsequent Periodic Rate Cap*

Subsequent

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

1.000

2,386

454,326,222

100.00

6.637

657

80.11

Total:

2,386

454,326,222

100.00

6.637

657

80.11

*ARM Loans Only

 

Lifetime Periodic Cap*

Lifetime

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

5.000 - 5.499

1

176,000

0.04

7.250

685

80.00

6.000 - 6.499

2,384

453,967,722

99.92

6.636

657

80.12

7.000 - 7.499

1

182,500

0.04

7.990

544

47.40

Total:

2,386

454,326,222

100.00

6.637

657

80.11

*ARM Loans Only

 

 


 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Original Prepayment Charge Term

Prepayment Penalty

Term (mos.)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0

713

84,236,213

17.08

7.462

648

82.20

6

1

111,512

0.02

6.750

644

80.00

12

140

31,525,694

6.39

6.740

672

80.27

20

2

186,894

0.04

6.377

678

82.74

24

1,594

279,240,988

56.62

6.717

658

81.36

36

517

90,136,093

18.28

6.605

658

79.57

48

53

7,733,427

1.57

6.045

644

81.64

Total:

3,020

493,170,821

100.00

6.815

657

81.11

 

 


 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

SUMMARY – GROUP I POOL

Number of Mortgage Loans:

1,991

Index Type:

 

Aggregate Principal Balance:

$254,454,907

6 Month LIBOR:

91.88%

Conforming Principal Balance Loans:

$254,454,907

Fixed Rate:

8.12%

Average Principal Balance:

$127,803

W.A. Initial Periodic Cap:

2.985%

Range:

$11,537 - $440,000

W.A. Subsequent Periodic Cap:

1.000%

W.A. Coupon:

7.066%

W.A. Lifetime Rate Cap:

6.000%

Range:

4.625% - 13.000%

Property Type:

 

W.A. Gross Margin:

4.723%

Single Family:

57.74%

Range:

2.250% - 8.875%

PUD:

31.22%

W.A. Remaining Term (months):

347

Condo:

8.49%

Range (months):

113 – 358

2-4 Family:

2.47%

W.A. Seasoning (months):

5

Modular:

0.03%

Latest Maturity Date:

November 1, 2035

Townhouse:

0.05%

State Concentration (Top 5):

 

Occupancy Status:

 

California:

12.11%

Primary:

96.37%

Minnesota:

10.92%

Investment:

2.71%

Arizona:

8.42%

Second Home:

0.93%

Texas:

8.40%

Documentation Status:

 

Wisconsin:

6.59%

Full:

79.16%

W.A. Original Combined LTV:

80.81%

Limited:

19.91%

Range:

20.21% - 100.00%

None:

0.94%

First Liens:

95.50%

Non-Zero W.A. Prepayment Penalty – Term (months):

27

Second Liens:

4.50%

Loans with Prepay Penalties:

77.63%

Non-Balloon Loans:

95.61%

Interest Only Loans:

55.61%

Non-Zero W.A. FICO Score:

645

W.A. Interest Only Term (months):

60

 

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Product Type

Collateral Type

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Fixed - 15 Year

5

371,718

0.15

7.665

604

71.15

Fixed - 20 Year

8

412,220

0.16

9.425

611

97.84

Fixed - 30 Year

80

8,694,307

3.42

7.626

644

81.29

Balloon - 10/30

1

39,045

0.02

9.625

645

100.00

Balloon - 15/30

320

10,451,531

4.11

9.922

649

99.73

Balloon - 20/30

16

691,770

0.27

9.978

667

99.38

ARM - 6 Month

1

153,640

0.06

7.000

688

80.00

ARM - 6 Month IO

6

1,423,399

0.56

6.944

636

75.22

ARM - 1 Year/6 Month

2

408,703

0.16

6.738

655

82.07

ARM - 1 Year/6 Month IO

2

371,800

0.15

6.526

661

70.49

ARM - 2 Year/6 Month

633

76,518,706

30.07

7.289

631

80.36

 

ARM - 2 Year/6 Month IO

593

104,456,606

41.05

6.754

649

80.00

 

ARM - 3 Year/6 Month

85

11,133,482

4.38

6.799

640

79.83

ARM - 3 Year/6 Month IO

160

26,942,016

10.59

6.659

651

78.70

ARM - 5 Year/6 Month

28

4,089,568

1.61

6.460

675

79.20

ARM - 5 Year/6 Month IO

51

8,296,393

3.26

6.390

682

78.96

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 

IO Terms

IO Terms (mos.)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0

1,179

112,964,692

44.39

7.504

637

82.29

24

2

241,000

0.09

7.171

623

71.51

60

809

141,123,615

55.46

6.715

651

79.63

120

1

125,600

0.05

6.875

612

80.00

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Principal Balance at Origination

Principal Balance at

Origination ($)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0.01 - 50,000.00

329

10,087,429

3.96

9.895

642

97.47

50,000.01 - 100,000.00

399

30,355,966

11.93

7.864

626

83.28

100,000.01 - 150,000.00

627

78,674,396

30.92

6.901

643

80.33

150,000.01 - 200,000.00

359

61,628,830

24.22

6.809

649

79.69

200,000.01 - 250,000.00

140

30,777,805

12.10

6.792

650

79.38

250,000.01 - 300,000.00

64

17,473,997

6.87

6.760

642

78.40

300,000.01 - 350,000.00

45

14,714,936

5.78

6.482

658

79.29

350,000.01 - 400,000.00

22

8,241,889

3.24

6.997

656

76.82

400,000.01 - 450,000.00

6

2,499,659

0.98

6.633

663

82.47

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Remaining Principal Balance

Remaining Principal

Balance ($)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0.01 - 50,000.00

329

10,087,429

3.96

9.895

642

97.47

50,000.01 - 100,000.00

401

30,555,727

12.01

7.855

626

83.26

100,000.01 - 150,000.00

628

78,923,857

31.02

6.901

643

80.33

150,000.01 - 200,000.00

356

61,179,607

24.04

6.810

649

79.69

200,000.01 - 250,000.00

140

30,777,805

12.10

6.792

650

79.38

250,000.01 - 300,000.00

64

17,473,997

6.87

6.760

642

78.40

300,000.01 - 350,000.00

45

14,714,936

5.78

6.482

658

79.29

350,000.01 - 400,000.00

22

8,241,889

3.24

6.997

656

76.82

400,000.01 - 450,000.00

6

2,499,659

0.98

6.633

663

82.47

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 

Remaining Term

Months Remaining

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

61 - 120

1

39,045

0.02

9.625

645

100.00

121 - 180

325

10,823,249

4.25

9.844

647

98.75

181 - 240

24

1,103,991

0.43

9.771

646

98.80

301 - 360

1,641

242,488,621

95.30

6.929

645

79.92

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Mortgage Rate

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

4.500 - 4.999

3

411,209

0.16

4.809

661

80.00

5.000 - 5.499

29

5,322,028

2.09

5.280

686

78.92

5.500 - 5.999

159

29,199,819

11.48

5.727

685

78.62

6.000 - 6.499

308

49,988,036

19.65

6.208

664

78.88

6.500 - 6.999

404

61,479,383

24.16

6.687

646

78.23

7.000 - 7.499

232

31,855,511

12.52

7.180

631

79.62

7.500 - 7.999

209

27,333,747

10.74

7.682

629

80.27

8.000 - 8.499

133

16,485,110

6.48

8.185

614

82.48

8.500 - 8.999

118

12,209,572

4.80

8.708

602

85.64

9.000 - 9.499

122

8,137,483

3.20

9.163

633

94.92

9.500 - 9.999

83

5,418,135

2.13

9.686

609

93.22

10.000 - 10.499

56

2,714,015

1.07

10.217

606

96.25

10.500 - 10.999

59

1,774,380

0.70

10.719

612

98.22

11.000 - 11.499

12

362,383

0.14

11.229

619

100.00

11.500 - 11.999

25

660,131

0.26

11.803

607

99.64

12.000 - 12.499

18

530,642

0.21

12.028

592

100.00

12.500 - 12.999

19

527,974

0.21

12.500

587

99.89

13.000 - 13.499

2

45,348

0.02

13.000

589

100.00

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 

 

 

 

 

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Original Combined Loan-to-Value Ratio

Original Combined

Loan-to-Value

Ratio (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Less than or equal to 50.00

21

2,867,414

1.13

7.020

644

39.93

50.01 - 55.00

9

1,602,731

0.63

6.949

644

53.28

55.01 - 60.00

14

2,032,491

0.80

6.952

606

57.26

60.01 - 65.00

23

4,534,480

1.78

6.619

629

63.05

65.01 - 70.00

22

3,840,747

1.51

7.261

615

68.33

70.01 - 75.00

45

7,539,025

2.96

7.582

623

73.89

75.01 - 80.00

1,289

191,015,908

75.07

6.687

649

79.92

80.01 - 85.00

38

5,911,645

2.32

7.905

635

84.50

85.01 - 90.00

82

11,902,998

4.68

7.970

630

89.71

90.01 - 95.00

28

2,458,300

0.97

8.568

626

94.95

95.01 - 100.00

420

20,749,167

8.15

9.517

634

99.95

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

FICO Score at Origination

FICO Score

At Origination

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

525 - 549

16

1,949,692

0.77

8.868

544

72.13

550 - 574

59

8,435,527

3.32

8.271

563

77.18

575 - 599

308

35,532,981

13.96

8.046

589

81.54

600 - 624

500

58,101,242

22.83

7.203

612

81.26

625 - 649

357

46,413,780

18.24

6.884

637

81.21

650 - 674

322

41,962,194

16.49

6.789

662

80.61

675 - 699

178

25,108,319

9.87

6.558

686

81.29

700 - 724

109

16,028,127

6.30

6.605

711

81.28

725 - 749

66

9,982,606

3.92

6.211

738

78.48

750 - 774

46

6,693,230

2.63

6.414

762

79.57

775 - 799

27

3,759,520

1.48

6.290

785

80.03

800 - 824

3

487,688

0.19

5.951

806

80.00

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Geographic Distribution*

Location

Number of

Initial Mortgage

Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

California

134

30,804,284

12.11

6.463

663

76.09

Minnesota

207

27,781,690

10.92

6.878

664

82.10

Arizona

141

21,436,124

8.42

6.859

646

79.66

Texas

198

21,384,422

8.40

6.608

650

80.73

Wisconsin

183

16,763,360

6.59

7.651

643

82.96

Florida

143

16,540,578

6.50

7.299

645

80.50

Nevada

63

11,551,029

4.54

6.709

646

80.35

Colorado

73

10,845,052

4.26

6.481

649

80.84

Washington

50

9,204,825

3.62

6.512

664

80.89

Maryland

51

8,876,058

3.49

7.432

619

77.08

Georgia

60

7,728,283

3.04

7.091

625

83.23

North Carolina

97

7,474,296

2.94

7.957

631

85.44

Illinois

52

7,030,479

2.76

7.378

640

80.99

Michigan

63

6,826,094

2.68

8.085

612

79.50

Ohio

61

6,308,170

2.48

7.118

638

83.24

Tennessee

56

4,931,225

1.94

7.528

619

84.77

South Carolina

44

4,330,726

1.70

7.822

619

84.52

Oregon

25

3,802,851

1.49

6.311

674

79.53

Virginia

24

3,502,064

1.38

7.266

635

80.49

New York

12

3,452,645

1.36

7.467

637

77.47

Utah

22

3,105,843

1.22

7.500

622

81.21

Kentucky

36

2,925,291

1.15

7.545

621

83.34

Pennsylvania

30

2,805,074

1.10

7.657

628

81.82

Indiana

29

2,395,385

0.94

8.184

625

88.96

Missouri

27

2,134,033

0.84

7.754

624

85.18

Iowa

20

1,725,192

0.68

7.797

635

84.30

Kansas

17

1,415,694

0.56

7.555

629

81.07

*Geographic Distribution continued on the next page

 

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Geographic Distribution (Continued)

Location

Number of

Initial Mortgage

Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Arkansas

12

1,016,635

0.40

8.015

615

92.06

New Mexico

8

905,631

0.36

7.083

642

82.54

Alabama

11

875,710

0.34

7.670

622

85.39

Mississippi

12

666,824

0.26

7.972

614

87.16

Montana

4

594,768

0.23

8.887

592

80.06

Massachusetts

2

456,352

0.18

6.715

642

76.06

New Jersey

3

423,380

0.17

8.018

657

59.51

South Dakota

3

396,233

0.16

7.994

632

91.09

Idaho

3

387,648

0.15

8.337

618

83.89

Nebraska

2

250,711

0.10

7.452

611

84.01

Oklahoma

3

245,381

0.10

7.918

613

86.32

Louisiana

3

243,386

0.10

8.744

578

95.26

Connecticut

1

173,500

0.07

6.750

681

77.11

Alaska

1

172,000

0.07

6.250

604

80.00

New Hampshire

1

156,529

0.06

7.500

654

80.00

North Dakota

1

131,042

0.05

7.875

623

89.76

Delaware

1

105,815

0.04

6.500

597

72.88

District of Columbia

1

95,592

0.04

6.875

577

20.21

West Virginia

1

77,000

0.03

8.000

643

100.00

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Occupancy Status

Occupancy Status

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Primary

1,932

245,216,112

96.37

7.051

643

80.90

Investment

49

6,883,165

2.71

7.402

691

75.98

Second Home

10

2,355,630

0.93

7.638

697

84.95

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

Documentation Type

Program

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Full Documentation

1,641

201,417,018

79.16

7.090

635

81.29

Limited Documentation

335

50,655,251

19.91

6.944

679

79.35

No Documentation

15

2,382,637

0.94

7.597

705

70.79

Total:

1,991

254,454,907

100.00

7.066

645

80.81

                                                                                                                                                                                                            

 

Loan Purpose

Purpose

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Purchase

1,451

177,177,594

69.63

6.952

651

82.02

Refinance - Cashout

384

60,360,233

23.72

7.299

628

77.45

Refinance - Rate Term

156

16,917,080

6.65

7.421

637

80.12

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Property Type

Property Type

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Single Family Residence

1,234

146,930,959

57.74

7.317

637

81.24

PUD

542

79,442,580

31.22

6.637

653

80.67

Condo

161

21,595,083

8.49

6.876

661

79.54

2-4 Family

52

6,288,859

2.47

7.207

664

76.81

Modular

1

73,425

0.03

9.750

543

80.00

Townhouse

1

124,000

0.05

8.250

618

80.00

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Rate Adjustment*

Month & Year of Next

Rate Adjustment

Number of

Initial Mortgage

Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

February 2006

1

153,640

0.07

7.000

688

80.00

March 2006

4

1,120,199

0.48

6.963

637

79.07

April 2006

1

183,200

0.08

7.125

642

80.00

July 2007

1

120,000

0.05

6.500

613

32.00

September 2006

1

239,104

0.10

6.375

687

80.00

October 2006

3

541,400

0.23

6.753

645

75.04

March 2007

5

530,078

0.23

7.974

595

81.20

April 2007

21

2,557,690

1.09

7.775

622

90.21

May 2007

21

2,912,248

1.25

7.550

626

87.35

June 2007

53

8,049,752

3.44

7.144

661

81.39

July 2007

130

18,823,325

8.05

6.693

645

79.91

August 2007

355

52,087,355

22.28

6.791

646

79.56

September 2007

345

52,444,880

22.43

7.024

639

79.92

October 2007

268

40,081,802

17.14

7.117

637

80.09

November 2007

28

3,488,183

1.49

7.523

638

78.22

April 2008

3

364,761

0.16

6.625

666

82.55

May 2008

3

371,981

0.16

7.897

612

87.93

June 2008

4

559,482

0.24

6.163

644

79.99

July 2008

23

3,150,718

1.35

6.546

666

81.49

August 2008

70

11,309,870

4.84

6.530

647

78.14

September 2008

74

11,837,425

5.06

6.843

641

79.20

October 2008

63

9,804,607

4.19

6.765

650

78.48

November 2008

5

676,653

0.29

6.639

670

80.00

April 2010

2

229,522

0.10

6.352

655

80.00

May 2010

3

750,158

0.32

6.648

672

81.79

June 2010

2

262,917

0.11

5.766

651

80.00

July 2010

14

2,395,268

1.02

6.399

665

77.85

August 2010

22

3,014,575

1.29

6.346

685

79.73

September 2010

18

3,118,160

1.33

6.547

680

77.74

October 2010

18

2,615,363

1.12

6.347

694

79.90

Total:

1,561

233,794,314

100.00

6.903

645

79.87

*ARM Loans Only

 

 

 


 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Gross Margin*

Gross

Margin (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

2.000 - 2.499

2

254,000

0.11

5.972

712

80.00

2.500 - 2.999

3

491,892

0.21

6.300

674

79.61

3.000 - 3.499

1

120,000

0.05

6.500

613

32.00

3.500 - 3.999

50

9,061,748

3.88

6.673

641

57.12

4.000 - 4.499

1,137

176,154,098

75.35

6.686

649

79.50

4.500 - 4.999

8

1,260,557

0.54

6.705

632

79.43

5.000 - 5.499

33

5,511,249

2.36

7.267

637

82.68

5.500 - 5.999

103

14,841,718

6.35

7.544

633

86.52

6.000 - 6.499

78

8,261,062

3.53

7.623

633

84.74

6.500 - 6.999

38

5,545,894

2.37

7.576

635

79.32

7.000 - 7.499

39

4,409,524

1.89

7.960

621

85.83

7.500 - 7.999

45

5,249,097

2.25

8.615

616

90.67

8.000 - 8.499

17

1,883,360

0.81

9.279

608

96.01

8.500 - 8.999

7

750,116

0.32

9.422

626

97.71

Total:

1,561

233,794,314

100.00

6.903

645

79.87

 

*ARM Loans Only

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Maximum Mortgage Rate*

Maximum

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

10.500 - 10.999

3

411,209

0.18

4.809

661

80.00

11.000 - 11.499

29

5,322,028

2.28

5.280

686

78.92

11.500 - 11.999

157

28,882,389

12.35

5.727

685

78.61

12.000 - 12.499

304

49,537,749

21.19

6.213

663

78.86

12.500 - 12.999

387

59,116,386

25.29

6.684

645

78.16

13.000 - 13.499

219

30,284,158

12.95

7.181

630

79.60

13.500 - 13.999

186

25,387,698

10.86

7.681

628

80.41

14.000 - 14.499

106

14,849,260

6.35

8.182

610

81.89

14.500 - 14.999

80

10,671,261

4.56

8.709

592

83.70

15.000 - 15.499

42

4,668,639

2.00

9.185

612

93.68

15.500 - 15.999

36

3,666,606

1.57

9.694

587

90.82

16.000 - 16.499

11

868,987

0.37

10.160

584

93.10

16.500 - 16.999

1

127,944

0.05

10.500

543

80.00

Total:

1,561

233,794,314

100.00

6.903

645

79.87

*ARM Loans Only

 

 


 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Minimum Mortgage Rate*

Minimum

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

4.500 - 4.999

3

411,209

0.18

4.809

661

80.00

5.000 - 5.499

29

5,322,028

2.28

5.280

686

78.92

5.500 - 5.999

157

28,882,389

12.35

5.727

685

78.61

6.000 - 6.499

305

49,668,538

21.24

6.218

663

78.87

6.500 - 6.999

387

59,116,386

25.29

6.684

645

78.16

7.000 - 7.499

219

30,233,032

12.93

7.179

630

79.60

7.500 - 7.999

187

25,570,198

10.94

7.683

627

80.18

8.000 - 8.499

106

14,849,260

6.35

8.182

610

81.89

8.500 - 8.999

78

10,409,098

4.45

8.722

594

84.36

9.000 - 9.499

42

4,668,639

2.00

9.185

612

93.68

9.500 - 9.999

36

3,666,606

1.57

9.694

587

90.82

10.000 - 10.499

11

868,987

0.37

10.160

584

93.10

10.500 - 10.999

1

127,944

0.05

10.500

543

80.00

Total:

1,561

233,794,314

100.00

6.903

645

79.87

*ARM Loans Only

 

 

Initial Periodic Rate Cap*

Initial

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

1.000

7

1,577,040

0.67

6.950

641

75.69

2.000

4

780,503

0.33

6.637

658

76.56

3.000

1,549

231,260,771

98.92

6.903

644

79.91

5.000

1

176,000

0.08

7.250

685

80.00
Total:

1,561

233,794,314

100.00

6.903

645

79.87

*ARM Loans Only

 

 


 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Subsequent Periodic Rate Cap*

Subsequent

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

1.000

1,561

233,794,314

100.00

6.903

645

79.87

Total:

1,561

233,794,314

100.00

6.903

645

79.87

*ARM Loans Only

 

Lifetime Periodic Cap*

Lifetime

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

5.000 – 5.499

1

176,000

0.08

7.250

685

80.00

6.000 – 6.499

1,559

233,435,814

99.85

6.902

645

79.90

7.000 - 7.499

1

182,500

0.08

7.990

544

47.40

Total:

1,561

233,794,314

100.00

6.903

645

79.87

*ARM Loans Only

 

Original Prepayment Charge Term

Prepayment Penalty

Term (mos.)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0

585

56,916,451

22.37

7.725

636

82.49

6

1

111,512

0.04

6.750

644

80.00

12

66

10,012,161

3.93

7.215

659

80.34

20

2

186,894

0.07

6.377

678

82.74

24

959

131,348,449

51.62

6.903

644

80.82

36

378

55,879,439

21.96

6.753

652

79.15

Total:

1,991

254,454,907

100.00

7.066

645

80.81

 

 


 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

SUMMARY – GROUP II POOL

Number of Mortgage Loans:

1,029

Index Type:

 

Aggregate Principal Balance:

$238,715,914

6 Month LIBOR:

92.38%

Conforming Principal Balance Loans:

$175,446,193

Fixed Rate:

7.62%

Average Principal Balance:

$231,988

W.A. Initial Periodic Cap:

2.975%

Range:

$18,968 - $688,000

W.A. Subsequent Periodic Cap:

1.000%

W.A. Coupon:

6.547%

W.A. Lifetime Rate Cap:

6.000%

Range:

4.250% - 12.000%

Property Type:

 

W.A. Gross Margin:

4.569%

Single Family:

51.57%

Range:

2.250% - 9.000%

PUD:

37.77%

W.A. Remaining Term (months):

346

Condo:

9.06%

Range (months):

112 – 358

2-4 Family:

1.61%

W.A. Seasoning (months):

4

Modular:

0.00%

Latest Maturity Date:

November 1, 2035

Townhouse:

0.00%

State Concentration (Top 5):

 

Occupancy Status:

 

California:

56.17%

Primary:

100.00%

Texas:

6.07%

Investment:

0.00%

Florida:

5.25%

Second Home:

0.00%

Arizona:

4.68%

Documentation Status:

 

Nevada:

4.57%

Full:

46.84%

W.A. Original Combined LTV:

81.44%

Limited:

51.74%

Range:

44.89% - 100.00%

None:

1.42%

First Liens:

94.48%

Non-Zero W.A. Prepayment Penalty – Term (months):

26

Second Liens:

5.52%

Loans with Prepay Penalties:

88.56%

Non-Balloon Loans:

94.55%

Interest Only Loans:

76.42%

Non-Zero W.A. FICO Score:

670

W.A. Interest Only Term (months):

60

 

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

 

Product Type

Collateral Type

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Fixed - 15 Year

1

81,119

0.03

8.500

640

100.00

Fixed - 20 Year

1

70,251

0.03

9.125

653

100.00

Fixed - 30 Year

30

5,012,598

2.10

6.985

667

81.52

Balloon - 10/30

1

78,475

0.03

7.750

751

100.00

Balloon - 15/30

161

12,259,195

5.14

9.629

680

99.48

Balloon - 20/30

10

682,370

0.29

9.314

698

97.68

ARM – 6 Month

1

147,265

0.06

6.375

737

80.00

ARM – 6 Month IO

5

1,880,083

0.79

5.763

636

79.81

ARM - 1 Year/6 Month

2

403,772

0.17

6.125

661

80.00

ARM - 1 Year/6 Month IO

3

1,067,242

0.45

7.166

626

76.96

ARM - 2 Year/6 Month

154

29,366,185

12.30

6.822

655

81.72

ARM - 2 Year/6 Month IO

476

145,858,897

61.10

6.283

673

80.13

ARM - 3 Year/6 Month

39

5,882,084

2.46

6.335

643

81.74

ARM - 3 Year/6 Month IO

101

24,224,416

10.15

6.224

669

80.21

ARM - 5 Year/6 Month

10

2,299,985

0.96

6.120

667

80.00

ARM - 5 Year/6 Month IO

34

9,401,977

3.94

6.461

682

79.98

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 

IO Terms

IO Terms (mos.)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0

410

56,283,298

23.58

7.399

662

85.75

24

2

530,843

0.22

6.799

649

73.42

60

617

181,901,773

76.20

6.283

673

80.13

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Principal Balance at Origination

Principal Balance at

Origination ($)

Number of

Initial Mortgage

Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0.01 - 50,000.00

51

1,894,542

0.79

9.462

668

97.60

50,000.01 - 100,000.00

115

8,633,421

3.62

8.951

663

92.94

100,000.01 - 150,000.00

185

23,424,933

9.81

7.188

666

84.27

150,000.01 - 200,000.00

141

24,279,163

10.17

6.656

658

81.43

200,000.01 - 250,000.00

127

28,504,214

11.94

6.488

662

80.72

250,000.01 - 300,000.00

119

32,800,966

13.74

6.338

674

80.42

300,000.01 - 350,000.00

91

29,686,262

12.44

6.255

667

80.35

350,000.01 - 400,000.00

69

25,798,314

10.81

6.365

676

80.78

400,000.01 - 450,000.00

44

18,558,047

7.77

6.288

678

80.22

450,000.01 - 500,000.00

44

20,826,959

8.72

6.078

676

79.64

500,000.01 - 550,000.00

24

12,683,464

5.31

6.377

671

81.13

550,000.01 - 600,000.00

9

5,218,460

2.19

5.922

703

78.38

600,000.01 - 650,000.00

7

4,377,987

1.83

6.203

672

79.26

650,000.01 - 700,000.00

3

2,029,182

0.85

6.312

685

80.00

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Remaining Principal Balance

Remaining Principal

Balance ($)

Number of

Initial

Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0.01 - 50,000.00

51

1,894,542

0.79

9.462

668

97.60

50,000.01 - 100,000.00

115

8,633,421

3.62

8.951

663

92.94

100,000.01 - 150,000.00

190

24,173,796

10.13

7.176

665

84.26

150,000.01 - 200,000.00

137

23,729,917

9.94

6.659

658

81.42

200,000.01 - 250,000.00

126

28,304,597

11.86

6.480

661

80.66

250,000.01 - 300,000.00

119

32,800,966

13.74

6.338

674

80.42

300,000.01 - 350,000.00

91

29,686,262

12.44

6.255

667

80.35

350,000.01 - 400,000.00

69

25,798,314

10.81

6.365

676

80.78

400,000.01 - 450,000.00

44

18,558,047

7.77

6.288

678

80.22

450,000.01 - 500,000.00

44

20,826,959

8.72

6.078

676

79.64

500,000.01 - 550,000.00

24

12,683,464

5.31

6.377

671

81.13

550,000.01 - 600,000.00

9

5,218,460

2.19

5.922

703

78.38

600,000.01 - 650,000.00

7

4,377,987

1.83

6.203

672

79.26

650,000.01 - 700,000.00

3

2,029,182

0.85

6.312

685

80.00

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 

Remaining Term

Months Remaining

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

61 - 120

1

78,475

0.03

7.750

751

100.00

121 - 180

162

12,340,314

5.17

9.622

680

99.48

181 - 240

11

752,620

0.32

9.297

694

97.90

301 - 360

855

225,544,505

94.48

6.369

669

80.39

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

 

 

 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Mortgage Rate

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

4.000 - 4.499

2

293,522

0.12

4.319

723

80.00

4.500 - 4.999

8

2,440,587

1.02

4.840

698

80.00

5.000 - 5.499

47

12,348,756

5.17

5.269

684

79.70

5.500 - 5.999

150

45,839,725

19.20

5.740

683

80.08

6.000 - 6.499

268

75,506,247

31.63

6.188

675

79.96

6.500 - 6.999

200

51,309,584

21.49

6.645

663

79.76

7.000 - 7.499

85

19,948,959

8.36

7.196

647

80.22

7.500 - 7.999

58

10,501,383

4.40

7.697

641

84.19

8.000 - 8.499

35

5,341,294

2.24

8.164

660

89.51

8.500 - 8.999

46

4,923,149

2.06

8.613

668

93.12

9.000 - 9.499

28

2,232,502

0.94

9.160

664

97.87

9.500 - 9.999

43

3,589,823

1.50

9.751

683

99.15

10.000 - 10.499

19

1,348,614

0.56

10.146

660

99.60

10.500 - 10.999

27

2,232,950

0.94

10.770

638

99.36

11.000 - 11.499

6

498,789

0.21

11.189

629

100.00

11.500 - 11.999

1

37,963

0.02

11.500

645

100.00

12.000 - 12.499

6

322,065

0.13

12.000

591

100.00

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 

 

 

 

 

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Original Combined Loan-to-Value Ratio

Original Combined

Loan-to-Value

Ratio (%)

Number of

Initial

Mortgage Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Less than or equal to 50.00

3

296,424

0.12

7.558

616

48.54

65.01 - 70.00

7

1,886,849

0.79

6.974

636

68.18

70.01 - 75.00

14

5,145,664

2.16

6.657

629

74.41

75.01 - 80.00

777

205,181,168

85.95

6.268

672

79.98

80.01 - 85.00

11

2,752,531

1.15

7.304

653

84.85

85.01 - 90.00

32

6,100,663

2.56

7.668

643

89.89

90.01 - 95.00

15

2,311,704

0.97

8.444

675

95.00

95.01 - 100.00

170

15,040,912

6.30

9.354

676

99.95

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

FICO Score at Origination

FICO Score

At Origination

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

525 - 549

4

531,393

0.22

7.951

547

70.59

550 - 574

9

2,306,537

0.97

7.695

565

80.52

575 - 599

53

9,678,648

4.05

7.588

589

82.20

600 - 624

123

27,138,147

11.37

6.703

612

81.25

625 - 649

205

46,223,107

19.36

6.535

638

81.37

650 - 674

200

48,422,904

20.28

6.541

662

80.98

675 - 699

193

44,887,239

18.80

6.476

687

81.69

700 - 724

114

28,977,014

12.14

6.299

712

81.44

725 - 749

64

14,454,302

6.06

6.394

736

82.20

750 - 774

45

10,981,013

4.60

6.251

762

81.39

775 - 799

19

5,115,609

2.14

6.352

784

83.39

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Geographic Distribution*

Location

Number of

Initial Mortgage

Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

California

467

134,077,744

56.17

6.420

680

81.57

Texas

96

14,489,112

6.07

6.393

652

81.00

Florida

71

12,530,402

5.25

7.181

665

83.36

Arizona

60

11,167,811

4.68

6.691

667

81.52

Nevada

46

10,899,590

4.57

6.574

669

79.58

Ohio

59

9,342,613

3.91

6.090

647

81.36

Minnesota

24

5,306,861

2.22

6.664

662

80.32

Washington

19

5,109,308

2.14

6.107

685

80.44

Colorado

20

4,286,518

1.80

6.557

640

81.88

Michigan

15

3,706,348

1.55

7.001

659

80.43

Georgia

17

3,294,797

1.38

6.512

633

80.06

North Carolina

18

3,043,417

1.27

7.374

663

81.99

Wisconsin

21

2,665,178

1.12

7.470

666

83.30

Tennessee

16

2,359,314

0.99

6.949

636

81.01

Illinois

10

2,110,205

0.88

7.230

629

80.56

Maryland

5

2,032,132

0.85

6.788

614

77.43

Virginia

6

1,938,163

0.81

7.402

654

79.29

Oregon

5

1,438,630

0.60

6.883

646

83.20

Pennsylvania

9

1,379,484

0.58

7.346

643

86.82

Indiana

9

1,364,345

0.57

6.237

690

82.56

New York

3

960,250

0.40

6.633

665

78.12

Utah

4

943,873

0.40

6.918

660

80.49

New Mexico

2

694,958

0.29

6.956

638

85.49

South Carolina

8

680,743

0.29

7.592

665

80.81

Missouri

3

482,321

0.20

6.864

664

82.52

*Geographic Distribution continued on the next page

 

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Geographic Distribution (Continued)

Location

Number of

Initial Mortgage

Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Kansas

4

474,336

0.20

7.259

634

81.53

Connecticut

1

433,526

0.18

6.500

711

80.00

Alabama

3

414,946

0.17

7.466

630

85.29

South Dakota

2

336,781

0.14

7.162

648

80.00

Iowa

2

300,383

0.13

7.878

618

85.85

Montana

1

158,877

0.07

8.000

608

80.00

Kentucky

1

131,937

0.06

5.100

609

80.00

North Dakota

1

84,410

0.04

8.550

604

80.00

Wyoming

1

76,601

0.03

6.750

650

80.00

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Occupancy Status

Occupancy Status

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Primary

1,029

238,715,914

100.00

6.547

670

81.44

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

Documentation Type

Program

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Full Documentation

515

123,509,374

51.74

6.458

689

81.19

Limited Documentation

495

111,808,307

46.84

6.610

648

81.67

No Documentation

19

3,398,233

1.42

7.743

706

83.13

Total:

1,029

238,715,914

100.00

6.547

670

81.44

                                                                                                                                                                                                            

 

Loan Purpose

Purpose

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Purchase

992

226,492,760

94.88

6.532

671

81.48

Refinance - Cashout

29

10,870,772

4.55

6.774

652

80.41

Refinance - Rate Term

8

1,352,383

0.57

7.253

628

83.79

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Property Type

Property Type

Number of

Initial Mortgage

Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

Single Family Residence

533

123,099,829

51.57

6.683

669

82.06

PUD

391

90,156,648

37.77

6.402

668

80.69

Condo

89

21,626,526

9.06

6.370

679

81.12

2-4 Family

16

3,832,910

1.61

6.604

693

81.12

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Rate Adjustment*

Month & Year of Next

Rate Adjustment

Number of

Initial

Mortgage Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

February 2006

1

147,265

0.07

6.375

737

80.00

March 2006

1

548,000

0.25

5.000

615

74.86

April 2006

1

232,800

0.11

6.625

654

80.00

June 2006

1

226,360

0.10

5.750

610

80.00

July 2007

2

872,923

0.40

6.015

652

82.81

September 2006

2

403,772

0.18

6.125

661

80.00

October 2006

3

1,067,242

0.48

7.166

626

76.96

April 2007

5

1,029,654

0.47

7.024

682

87.48

May 2007

2

473,668

0.21

6.522

646

80.00

June 2007

17

4,133,791

1.87

6.667

675

81.82

July 2007

50

14,198,562

6.44

6.176

685

79.94

August 2007

199

55,121,484

24.99

6.309

670

80.22

September 2007

210

59,441,564

26.95

6.409

668

80.69

October 2007

142

39,857,199

18.07

6.428

669

80.04

November 2007

5

969,160

0.44

6.526

622

79.99

April 2008

2

397,058

0.18

6.652

648

81.48

May 2008

1

160,614

0.07

5.375

633

80.00

June 2008

1

131,206

0.06

4.250

727

80.00

July 2008

17

3,849,871

1.75

6.061

684

80.15

August 2008

26

6,881,272

3.12

6.268

675

80.03

September 2008

48

9,556,538

4.33

6.228

661

81.04

October 2008

41

8,524,835

3.87

6.342

651

80.49

November 2008

4

605,108

0.27

6.487

657

80.00

June 2010

2

389,200

0.18

5.958

631

80.00

July 2010

4

1,356,130

0.61

6.261

694

80.00

August 2010

14

2,871,075

1.30

6.324

670

80.00

September 2010

14

4,153,113

1.88

6.173

700

80.00

October 2010

10

2,932,444

1.33

6.895

658

79.95

Total:

825

220,531,907

100.00

6.355

669

80.37

*ARM Loans Only

 

 


 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Gross Margin*

Gross

Margin (%)

Number of

Initial

Mortgage Loans

Aggregate

Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

2.000 - 2.499

1

260,000

0.12

5.625

713

80.00

2.500 - 2.999

2

420,435

0.19

6.126

697

75.98

3.500 - 3.999

5

1,528,718

0.69

7.281

612

73.00

4.000 - 4.499

707

189,022,040

85.71

6.259

670

79.84

4.500 - 4.999

4

726,181

0.33

6.510

710

80.00

5.000 - 5.499

13

4,578,804

2.08

6.651

670

82.87

5.500 - 5.999

33

9,397,381

4.26

6.937

662

86.30

6.000 - 6.499

35

10,109,201

4.58

6.757

669

83.45

6.500 - 6.999

10

1,963,214

0.89

7.020

670

78.48

7.000 - 7.499

5

909,484

0.41

7.565

685

80.00

7.500 - 7.999

6

1,096,739

0.50

8.404

658

94.93

8.000 - 8.499

3

323,897

0.15

8.466

645

81.81

9.000 - 9.499

1

195,814

0.09

9.875

747

95.00

Total:

825

220,531,907

100.00

6.355

669

80.37

 

*ARM Loans Only

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Maximum Mortgage Rate*

Maximum

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

10.000 - 10.499

2

293,522

0.13

4.319

723

80.00

10.500 - 10.999

8

2,440,587

1.11

4.840

698

80.00

11.000 - 11.499

47

12,348,756

5.60

5.269

684

79.70

11.500 - 11.999

149

45,602,578

20.68

5.740

683

80.08

12.000 - 12.499

261

74,167,477

33.63

6.187

675

79.96

12.500 - 12.999

192

49,934,430

22.64

6.645

662

79.75

13.000 - 13.499

77

18,864,057

8.55

7.198

647

80.20

13.500 - 13.999

52

9,871,156

4.48

7.693

635

83.39

14.000 - 14.499

23

4,092,404

1.86

8.158

651

87.64

14.500 - 14.999

8

1,961,530

0.89

8.574

623

86.44

15.000 - 15.499

4

570,581

0.26

9.316

599

94.55

15.500 - 15.999

2

384,829

0.17

9.691

666

97.46

Total:

825

220,531,907

100.00

6.355

669

80.37

*ARM Loans Only

 

 


 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Minimum Mortgage Rate*

Minimum

Mortgage Rate (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

4.000 - 4.499

3

508,722

0.23

4.977

702

80.00

4.500 - 4.999

8

2,440,587

1.11

4.840

698

80.00

5.000 - 5.499

47

12,348,756

5.60

5.269

684

79.70

5.500 - 5.999

148

45,387,378

20.58

5.740

683

80.09

6.000 - 6.499

261

74,167,477

33.63

6.187

675

79.96

6.500 - 6.999

192

49,934,430

22.64

6.645

662

79.75

7.000 - 7.499

78

19,064,057

8.64

7.202

647

80.20

7.500 - 7.999

51

9,671,156

4.39

7.695

634

83.46

8.000 - 8.499

23

4,092,404

1.86

8.158

651

87.64

8.500 - 8.999

8

1,961,530

0.89

8.574

623

86.44

9.000 - 9.499

4

570,581

0.26

9.316

599

94.55

9.500 - 9.999

2

384,829

0.17

9.691

666

97.46

Total:

825

220,531,907

100.00

6.355

669

80.37

*ARM Loans Only

 

 

Initial Periodic Rate Cap*

Initial

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

1.000

6

2,027,348

0.92

5.807

644

79.82

2.000

5

1,403,461

0.64

7.062

631

77.69

3.000

814

217,101,098

98.44

6.356

670

80.39

Total:

825

220,531,907

100.00

6.355

669

80.37

*ARM Loans Only

 

 


 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Subsequent Periodic Rate Cap*

Subsequent

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

1.000

825

220,531,907

100.00

6.355

669

80.37

Total:

825

220,531,907

100.00

6.355

669

80.37

*ARM Loans Only

 

Lifetime Periodic Cap*

Lifetime

Periodic Cap (%)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

6.000 - 6.499

825

220,531,907

100.00

6.355

669

80.37

Total:

825

220,531,907

100.00

6.355

669

80.37

*ARM Loans Only

 

Original Prepayment Charge Term

Prepayment Penalty

Term (mos.)

Number of

Initial Mortgage Loans

Aggregate Remaining

Principal Balance ($)

% of Aggregate

Remaining

Principal Balance

W.A.

Coupon (%)

W.A.

Non-Zero

FICO

W.A.

Original

CLTV (%)

0

128

27,319,762

11.44

6.916

673

81.59

12

74

21,513,533

9.01

6.519

678

80.23

24

635

147,892,539

61.95

6.552

670

81.85

36

139

34,256,654

14.35

6.363

667

80.26

48

53

7,733,427

3.24

6.045

644

81.64

Total:

1,029

238,715,914

100.00

6.547

670

81.44

 

 


 

 

FOR ADDITIONAL INFORMATION PLEASE CALL:

 

 

Deutsche Bank Securities

 

 

Whole Loan Trading

 

Michael Commaroto

212-250-3114

Paul Mangione

212-250-5786

Adam Simms

212-250-8119

 

 

ABS Banking

 

Sue Valenti

212-250-3455

Roxana McKinney

212-250-0848

 

 

ABS Structuring

 

Bill Yeung

212-250-6893

Christopher Sudol

212-250-0507

 

 

ABS Collateral

 

Steve Lumer

212-250-0115

Andrew McDermott

212-250-3978

Reta Chandra

212-250-2729

 

 

 

 

 

 

 

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