FWP 1 d509511.htm ACE SECURITIES HOME EQUITY LOAN TRUST, 2006-ASAP3 Unassociated Document
Filed Pursuant to Rule 433(d) - Registration Statement No. 333-131727

 
ACE Securities Corp.
Home Equity Loan Trust Series 2006-ASAP3
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

$713,984,000 (Approximate)
 
Home Equity Loan Trust
 
Series 2006-ASAP3

ACE Securities Corp
(Depositor)
 
ACE Securities Corp Home Equity Loan Trust, Series 2006-ASAP3
(Issuing Entity)
 
 



May 22, 2006
 
 
 
The depositor 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 depositor has filed with the SEC for more complete information about the depositor and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the depositor, 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.
 
 
 
   ACE Securities Corp.
   Home Equity Loan Trust, Series 2006-ASAP3

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 May 22, 2006
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-ASAP3
$713,984,000 (Approximate)
All dollar amounts and percentages contained herein are subject to a permitted variance of +/- 10%
 
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
Offered Certificates:
              
A-1
$351,056,000
Float
2.15
1 - 78
0
ACT/360
June 2036
AAA / Aaa
A-2A
111,722,000
Float
1.00
1 - 22
0
ACT/360
June 2036
AAA / Aaa
A-2B
47,855,000
Float
2.00
22 - 29
0
ACT/360
June 2036
AAA / Aaa
A-2C
33,546,000
Float
3.25
29 - 63
0
ACT/360
June 2036
AAA / Aaa
A-2D
24,095,000
Float
6.26
63 - 78
0
ACT/360
June 2036
AAA / Aaa
M-1
27,321,000
Float
4.87
47 - 78
0
ACT/360
June 2036
AA+ / Aa1
M-2
25,499,000
Float
4.70
44 - 78
0
ACT/360
June 2036
AA / Aa2
M-3
15,664,000
Float
4.61
42 - 78
0
ACT/360
June 2036
AA-/Aa3
M-4
13,478,000
Float
4.55
41 - 78
0
ACT/360
June 2036
A+/A1
M-5
12,750,000
Float
4.51
40 - 78
0
ACT/360
June 2036
A/A2
M-6
10,928,000
Float
4.49
40 - 78
0
ACT/360
June 2036
A-/A3
M-7
10,928,000
Float
4.46
39 - 78
0
ACT/360
June 2036
BBB+/Baa1
M-8
9,471,000
Float
4.44
38 - 78
0
ACT/360
June 2036
BBBBaa2
M-9
6,921,000
Float
4.43
38 - 78
0
ACT/360
June 2036
BBB/Baa3
M-10
5,464,000
Float
4.43
38 - 78
0
ACT/360
June 2036
BBB/Ba1
M-11
7,286,000
Float
4.37
37 - 78
0
ACT/360
June 2036
BBB/Ba2
                 
Total
$713,984,000
    
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 Class M-11 Certificates (collectively, the “Mezzanine Certificates” or “Class M Certificates”). The Class A-1 Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (the “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 (the “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 Certificates.”

Certificates:
The trust will also issue the Class CE Certificates, the Class P Certificates and the Class R Certificates which are referred to herein as the “Non-offered 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 4,421 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of the Mortgage Loans is approximately $728,556,320 as of the Cut-off Date. The Mortgage Loans will be separated into two groups. The Group I Mortgage Loans will represent approximately 3,132 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $450,071,477 and the Group II Mortgage Loans will represent approximately 1,289 conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $278,484,843.
 
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”)
 
Issuing Entity:
 ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP3. The Issuing Entity is also referred to herein as the trust.
 
Master Servicer and Securities Administrator:
 Wells Fargo Bank, National Association
Servicer:
 Ocwen Loan Servicing, LLC
 
Trustee:
 HSBC Bank USA, National Association
 
Custodians:
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:
       May 1, 2006
   
Expected Pricing:
  Week of May 22, 2006
   
Expected Closing Date:
  On or about May 30, 2006
 
Record Date:
For so long as the Offered Certificates are held in book-entry form, the Record Date will be the business day immediately preceding the related Distribution Date. With respect to any Offered 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 June 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 day of the month immediately preceding the Distribution Date to the 15th day 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 the Offered 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 Offered 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 0.5225% 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 purchase 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 and Net Swap Payments received from the Swap Provider, if any, 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 Date, 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 2.00% 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 4.00% 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 lesser of (i) the Net Monthly Excess Cashflow and Net Swap Payments received from the Swap Provider, if any, for that Distribution Date and (ii) the excess of the Required Overcollateralization Amount over 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 following the 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 June 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 44.00%.
 
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)
Initial CE %
CE % On/After Step Down Date
 
A
AAA / Aaa
22.00%
44.00%
 
M-1
AA+ / Aa1
18.25%
36.50%
 
M-2
AA / Aa2
14.75%
29.50%
 
M-3
AA-/Aa3
12.60%
25.20%
 
M-4
A+/A1
10.75%
21.50%
 
M-5
A/A2
9.00%
18.00%
 
M-6
A-/A3
7.50%
15.00%
 
M-7
BBB+/Baa1
6.00%
12.00%
 
M-8
BBBBaa2
4.70%
9.40%
 
M-9
BBB/Baa3
3.75%
7.50%
 
M-10
BBB/Ba1
3.00%
6.00%
 
M-11
BBB/Ba2
2.00%
4.00%
 
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 the product of 12 and 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 during the related Due Period 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 certificate 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-ASAP3 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 interest accrued on such unpaid portion at a rate equal to 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 final prospectus supplement. The Swap Agreement will have an initial notional amount of $728,546,320. Under the Swap Agreement, the Trust (through a supplemental interest trust) will be obligated to pay an amount equal to [5.42]% 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 related 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:
The Class A Principal Distribution Amount will 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).
 
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 44.00% Credit Enhancement Percentage (2x the Class A Initial Credit Enhancement Percentage). The Class A Principal Distribution Amount will be distributed to the holders of the Class A-1 Certificates and the Class A-2 Certificates to the extent of their respective group-based principal distribution amount.
 
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; provided, however, on any Distribution Date on which the aggregate certificate principal balance of the Mezzanine Certificates has been reduced to zero, all principal distributions will be distributed to the Class A-2 Certificates concurrently, on a pro rata basis, based on the certificate principal balance of each such class, 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 36.50% Credit Enhancement Percentage (2x the Class M-1 Initial Credit Enhancement Percentage), second to the Class M-2 Certificates until it reaches approximately a 29.50% Credit Enhancement Percentage (2x the Class M-2 Initial Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 25.20% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 21.50% 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 15.00% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 12.00% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 9.40% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), ninth to the Class M-9 Certificates until it reaches approximately a 7.50% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), tenth to the Class M-10 Certificates until it reaches approximately a 6.00% 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 4.00% 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 36.36% of the Credit Enhancement Percentage of the Class A Certificates.
 
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
 
June 2008 to May 2009
1.35%, plus 1/12th of 1.65% for each month thereafter
 
June 2009 to May 2010
3.00%, plus 1/12th of 1.65% for each month thereafter
 
June 2010 to May 2011
4.65%, plus 1/12th of 1.10% for each month thereafter
 
June 2011 to May 2012
5.75%, plus 1/12th of 0.25% for each month thereafter
 
June 2012 and thereafter
6.00%




Transaction Overview (Cont.)
 
Payment Priority:
I. 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 restore or 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.
 
II. 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 including any accrued unpaid interest from a prior Distribution Date, on a pro rata basis,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 Offered Certificates remaining unpaid in the same order of priority as described above.
4.  To pay any principal to the Offered Certificates in accordance with the principal payment provisions described above in an amount necessary to restore or maintain the Required Overcollateralization Amount.*
5.  To pay any allocated Realized Losses* remaining unpaid on the Mezzanine Certificates, sequentially.
6.  To pay the Swap Termination Payment (caused by a Swap Provider Trigger Event under the Swap Agreement) owed to the Swap Provider.
7.  To pay any remaining amount to the Class CE Certificates.
* Notwithstanding the foregoing, the cumulative amount paid pursuant to clauses 4 and 5 shall at no time be permitted to exceed the cumulative amount of realized losses incurred on the Mortgage Loans from and after the Cut-Off Date.
   




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.
   
Legal Investment:
The Offered Certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984.
   
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:
$25,000 and integral multiples of $1 in excess thereof.
 




Swap Schedule
 
Distribution Date
Notional Schedule ($)
6/25/2006
728,546,320.43
7/25/2006
718,065,776.39
8/25/2006
705,611,909.44
9/25/2006
691,225,642.40
10/25/2006
674,953,746.55
11/25/2006
656,859,095.11
12/25/2006
637,020,846.75
1/25/2007
615,538,521.85
2/25/2007
592,531,481.60
3/25/2007
568,176,420.46
4/25/2007
544,320,275.56
5/25/2007
521,439,895.16
6/25/2007
499,521,531.86
7/25/2007
478,525,513.26
8/25/2007
458,412,986.67
9/25/2007
439,146,737.48
10/25/2007
420,691,120.13
11/25/2007
403,011,991.79
12/25/2007
385,988,312.40
1/25/2008
369,526,651.40
2/25/2008
353,027,762.91
3/25/2008
305,033,446.09
4/25/2008
255,986,053.22
5/25/2008
214,952,082.93
6/25/2008
181,281,299.30
7/25/2008
167,650,218.97
8/25/2008
159,515,816.42
9/25/2008
152,025,395.59
10/25/2008
144,898,239.01
11/25/2008
138,108,276.11
12/25/2008
131,639,438.42
1/25/2009
125,476,439.96
2/25/2009
119,604,699.48
3/25/2009
114,010,470.96
4/25/2009
108,680,846.36
5/25/2009
103,603,472.69
6/25/2009
  98,765,663.17
7/25/2009
  94,156,003.92
8/25/2009
  89,763,643.86
9/25/2009
  85,578,268.34
10/25/2009
  81,590,034.68
11/25/2009
  77,789,589.38
12/25/2009
  74,168,009.02





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
19.85
4.14
2.15
1.47
1.19
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Aug-08
             
A-2A
Avg Life
14.59
1.53
1.00
0.83
0.68
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Jun-27
Apr-09
Mar-08
Dec-07
Aug-07
             
A-2B
Avg Life
23.05
3.94
2.00
1.77
1.49
 
First Payment Date
Jun-27
Apr-09
Mar-08
Dec-07
Aug-07
 
Last Payment Date
Oct-31
Dec-11
Oct-08
Apr-08
Feb-08
             
A-2C
Avg Life
26.85
7.54
3.25
2.09
1.83
 
First Payment Date
Oct-31
Dec-11
Oct-08
Apr-08
Feb-08
 
Last Payment Date
Aug-34
Jul-16
Aug-11
Oct-08
Apr-08
             
A-2D
Avg Life
28.71
11.98
6.26
2.96
2.05
 
First Payment Date
Aug-34
Jul-16
Aug-11
Oct-08
Apr-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Aug-08
             
M-1
Avg Life
26.77
8.17
4.87
4.82
3.40
 
First Payment Date
Jul-29
Apr-10
Apr-10
Mar-11
Aug-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-2
Avg Life
26.77
8.17
4.70
4.76
3.49
 
First Payment Date
Jul-29
Apr-10
Jan-10
Nov-10
Nov-09
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-3
Avg Life
26.77
8.17
4.61
4.42
3.38
 
First Payment Date
Jul-29
Apr-10
Nov-09
Jul-10
Jul-09
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-4
Avg Life
26.77
8.17
4.55
4.20
3.17
 
First Payment Date
Jul-29
Apr-10
Oct-09
Apr-10
May-09
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-5
Avg Life
26.77
8.17
4.51
4.04
3.04
 
First Payment Date
Jul-29
Apr-10
Sep-09
Jan-10
Mar-09
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-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
26.77
8.17
4.49
3.94
2.94
 
First Payment Date
Jul-29
Apr-10
Sep-09
Dec-09
Jan-09
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-7
Avg Life
26.77
8.17
4.46
3.84
2.86
 
First Payment Date
Jul-29
Apr-10
Aug-09
Oct-09
Dec-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-8
Avg Life
26.77
8.17
4.44
3.78
2.81
 
First Payment Date
Jul-29
Apr-10
Jul-09
Sep-09
Nov-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-9
Avg Life
26.77
8.17
4.43
3.73
2.77
 
First Payment Date
Jul-29
Apr-10
Jul-09
Aug-09
Nov-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-10
Avg Life
26.77
8.17
4.43
3.71
2.73
 
First Payment Date
Jul-29
Apr-10
Jul-09
Aug-09
Oct-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-09
             
M-11
Avg Life
26.76
8.11
4.37
3.64
2.70
 
First Payment Date
Jul-29
Apr-10
Jun-09
Jul-09
Oct-08
 
Last Payment Date
Mar-35
Oct-18
Nov-12
Mar-11
Nov-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
19.89
4.44
2.34
1.54
1.19
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Mar-36
Feb-31
Mar-21
Oct-17
Aug-08
             
A-2A
Avg Life
14.59
1.53
1.00
0.83
0.68
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Jun-27
Apr-09
Mar-08
Dec-07
Aug-07
             
A-2B
Avg Life
23.05
3.94
2.00
1.77
1.49
 
First Payment Date
Jun-27
Apr-09
Mar-08
Dec-07
Aug-07
 
Last Payment Date
Oct-31
Dec-11
Oct-08
Apr-08
Feb-08
             
A-2C
Avg Life
26.85
7.54
3.25
2.09
1.83
 
First Payment Date
Oct-31
Dec-11
Oct-08
Apr-08
Feb-08
 
Last Payment Date
Aug-34
Jul-16
Aug-11
Oct-08
Apr-08
             
A-2D
Avg Life
29.04
14.63
7.93
3.57
2.05
 
First Payment Date
Aug-34
Jul-16
Aug-11
Oct-08
Apr-08
 
Last Payment Date
Feb-36
Feb-31
Jan-21
Oct-17
Aug-08
             
M-1
Avg Life
26.88
8.95
5.37
6.71
5.60
 
First Payment Date
Jul-29
Apr-10
Apr-10
Nov-11
Aug-08
 
Last Payment Date
Feb-36
Apr-28
Dec-18
Jan-16
Oct-14
             
M-2
Avg Life
26.88
8.93
5.17
5.28
4.13
 
First Payment Date
Jul-29
Apr-10
Jan-10
Nov-10
Nov-09
 
Last Payment Date
Feb-36
Jul-27
Jun-18
Aug-15
Feb-13
             
M-3
Avg Life
26.88
8.90
5.06
4.78
3.65
 
First Payment Date
Jul-29
Apr-10
Nov-09
Jul-10
Jul-09
 
Last Payment Date
Jan-36
Aug-26
Nov-17
Feb-15
Sep-12
             
M-4
Avg Life
26.88
8.88
4.99
4.55
3.43
 
First Payment Date
Jul-29
Apr-10
Oct-09
Apr-10
May-09
 
Last Payment Date
Jan-36
Dec-25
Jun-17
Oct-14
Jun-12
             
M-5
Avg Life
26.87
8.84
4.93
4.38
3.28
 
First Payment Date
Jul-29
Apr-10
Sep-09
Jan-10
Mar-09
 
Last Payment Date
Jan-36
Apr-25
Dec-16
Jun-14
Mar-12



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
26.87
8.80
4.88
4.25
3.17
 
First Payment Date
Jul-29
Apr-10
Sep-09
Dec-09
Jan-09
 
Last Payment Date
Dec-35
Jul-24
Jun-16
Jan-14
Dec-11
             
M-7
Avg Life
26.87
8.73
4.81
4.13
3.07
 
First Payment Date
Jul-29
Apr-10
Aug-09
Oct-09
Dec-08
 
Last Payment Date
Dec-35
Sep-23
Dec-15
Aug-13
Aug-11
             
M-8
Avg Life
26.86
8.64
4.74
4.02
2.98
 
First Payment Date
Jul-29
Apr-10
Jul-09
Sep-09
Nov-08
 
Last Payment Date
Nov-35
Aug-22
May-15
Feb-13
Apr-11
             
M-9
Avg Life
26.85
8.55
4.66
3.92
2.90
 
First Payment Date
Jul-29
Apr-10
Jul-09
Aug-09
Nov-08
 
Last Payment Date
Sep-35
Aug-21
Aug-14
Aug-12
Nov-10
             
M-10
Avg Life
26.82
8.42
4.57
3.83
2.82
 
First Payment Date
Jul-29
Apr-10
Jul-09
Aug-09
Oct-08
 
Last Payment Date
Aug-35
Oct-20
Jan-14
Feb-12
Jul-10
             
M-11
Avg Life
26.77
8.15
4.40
3.67
2.72
 
First Payment Date
Jul-29
Apr-10
Jun-09
Jul-09
Oct-08
 
Last Payment Date
May-35
Sep-19
May-13
Aug-11
Mar-10



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
6/25/2006
23.320
  
46
3/25/2010
13.434
2
7/25/2006
21.901
  
47
4/25/2010
12.167
3
8/25/2006
21.747
  
48
5/25/2010
12.574
4
9/25/2006
21.640
  
49
6/25/2010
12.167
5
10/25/2006
21.585
  
50
7/25/2010
12.570
6
11/25/2006
21.374
  
51
8/25/2010
12.166
7
12/25/2006
21.285
  
52
9/25/2010
12.245
8
1/25/2007
21.033
  
53
10/25/2010
12.685
9
2/25/2007
20.832
  
54
11/25/2010
12.277
10
3/25/2007
20.866
  
55
12/25/2010
12.683
11
4/25/2007
20.388
  
56
1/25/2011
12.272
12
5/25/2007
20.256
  
57
2/25/2011
12.274
13
6/25/2007
19.956
  
58
3/25/2011
13.615
14
7/25/2007
19.833
  
59
4/25/2011
12.321
15
8/25/2007
19.535
  
60
5/25/2011
12.735
16
9/25/2007
19.330
  
61
6/25/2011
12.322
17
10/25/2007
19.225
  
62
7/25/2011
12.730
18
11/25/2007
18.933
  
63
8/25/2011
12.317
19
12/25/2007
18.841
  
64
9/25/2011
12.322
20
1/25/2008
18.553
  
65
10/25/2011
12.739
21
2/25/2008
18.435
  
66
11/25/2011
12.327
22
3/25/2008
19.869
  
67
12/25/2011
12.735
23
4/25/2008
18.629
  
68
1/25/2012
12.322
24
5/25/2008
17.945
  
69
2/25/2012
12.319
25
6/25/2008
16.940
  
70
3/25/2012
13.175
26
7/25/2008
16.881
  
71
4/25/2012
12.330
27
8/25/2008
16.541
  
72
5/25/2012
12.740
28
9/25/2008
17.050
  
73
6/25/2012
12.326
29
10/25/2008
17.225
  
74
7/25/2012
12.734
30
11/25/2008
16.843
  
75
8/25/2012
12.321
31
12/25/2008
16.979
  
76
9/25/2012
12.326
32
1/25/2009
16.600
  
77
10/25/2012
12.742
33
2/25/2009
16.522
  
78
11/25/2012
12.330
34
3/25/2009
18.234
        
35
4/25/2009
17.323
        
36
5/25/2009
17.524
        
37
6/25/2009
17.110
        
38
7/25/2009
17.307
        
39
8/25/2009
16.928
        
40
9/25/2009
17.540
        
41
10/25/2009
17.855
          
*Running to Call
42
11/25/2009
17.421
          
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
17.659
          
*1 Month LIBOR: 20%
44
1/25/2010
12.041
          
*6 Month Libor: 20%; 1 Year Libor: 20%
45
2/25/2010
12.045
          
*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
6/25/2006
22.922
  
46
3/25/2010
13.144
2
7/25/2006
21.556
  
47
4/25/2010
11.887
3
8/25/2006
21.413
  
48
5/25/2010
12.284
4
9/25/2006
21.306
  
49
6/25/2010
11.887
5
10/25/2006
21.239
  
50
7/25/2010
12.282
6
11/25/2006
21.040
  
51
8/25/2010
11.890
7
12/25/2006
20.939
  
52
9/25/2010
11.994
8
1/25/2007
20.698
  
53
10/25/2010
12.409
9
2/25/2007
20.497
  
54
11/25/2010
12.010
10
3/25/2007
20.495
  
55
12/25/2010
12.415
11
4/25/2007
20.053
  
56
1/25/2011
12.016
12
5/25/2007
19.907
  
57
2/25/2011
12.019
13
6/25/2007
19.618
  
58
3/25/2011
13.313
14
7/25/2007
19.484
  
59
4/25/2011
12.041
15
8/25/2007
19.197
  
60
5/25/2011
12.458
16
9/25/2007
18.992
  
61
6/25/2011
12.055
17
10/25/2007
18.876
  
62
7/25/2011
12.456
18
11/25/2007
18.592
  
63
8/25/2011
12.054
19
12/25/2007
18.487
  
64
9/25/2011
12.054
20
1/25/2008
18.207
  
65
10/25/2011
12.460
21
2/25/2008
18.215
  
66
11/25/2011
12.061
22
3/25/2008
19.468
  
67
12/25/2011
12.463
23
4/25/2008
18.275
  
68
1/25/2012
12.059
24
5/25/2008
17.594
  
69
2/25/2012
12.059
25
6/25/2008
16.601
  
70
3/25/2012
12.890
26
7/25/2008
16.525
  
71
4/25/2012
12.062
27
8/25/2008
16.240
  
72
5/25/2012
12.468
28
9/25/2008
16.697
  
73
6/25/2012
12.065
29
10/25/2008
16.868
  
74
7/25/2012
12.466
30
11/25/2008
16.501
  
75
8/25/2012
12.063
31
12/25/2008
16.624
  
76
9/25/2012
12.063
32
1/25/2009
16.260
  
77
10/25/2012
12.468
33
2/25/2009
16.231
  
78
11/25/2012
12.069
34
3/25/2009
17.940
        
35
4/25/2009
17.012
        
36
5/25/2009
17.206
        
37
6/25/2009
16.803
        
38
7/25/2009
16.992
        
39
8/25/2009
16.667
        
40
9/25/2009
17.252
        
41
10/25/2009
17.547
          
*Running to Call
42
11/25/2009
17.127
          
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
17.356
          
*1 Month LIBOR: 20%
44
1/25/2010
11.750
          
*6 Month Libor: 20%; 1 Year Libor: 20%
45
2/25/2010
11.760
          
*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
6/25/2006
23.168
  
46
3/25/2010
13.323
2
7/25/2006
21.769
  
47
4/25/2010
12.060
3
8/25/2006
21.619
  
48
5/25/2010
12.463
4
9/25/2006
21.512
  
49
6/25/2010
12.060
5
10/25/2006
21.453
  
50
7/25/2010
12.460
6
11/25/2006
21.246
  
51
8/25/2010
12.061
7
12/25/2006
21.153
  
52
9/25/2010
12.149
8
1/25/2007
20.905
  
53
10/25/2010
12.580
9
2/25/2007
20.704
  
54
11/25/2010
12.175
10
3/25/2007
20.724
  
55
12/25/2010
12.581
11
4/25/2007
20.260
  
56
1/25/2011
12.174
12
5/25/2007
20.123
  
57
2/25/2011
12.176
13
6/25/2007
19.827
  
58
3/25/2011
13.500
14
7/25/2007
19.700
  
59
4/25/2011
12.214
15
8/25/2007
19.406
  
60
5/25/2011
12.629
16
9/25/2007
19.201
  
61
6/25/2011
12.220
17
10/25/2007
19.092
  
62
7/25/2011
12.625
18
11/25/2007
18.803
  
63
8/25/2011
12.216
19
12/25/2007
18.706
  
64
9/25/2011
12.220
20
1/25/2008
18.421
  
65
10/25/2011
12.632
21
2/25/2008
18.351
  
66
11/25/2011
12.226
22
3/25/2008
19.715
  
67
12/25/2011
12.631
23
4/25/2008
18.494
  
68
1/25/2012
12.221
24
5/25/2008
17.811
  
69
2/25/2012
12.220
25
6/25/2008
16.811
  
70
3/25/2012
13.066
26
7/25/2008
16.745
  
71
4/25/2012
12.228
27
8/25/2008
16.426
  
72
5/25/2012
12.636
28
9/25/2008
16.915
  
73
6/25/2012
12.227
29
10/25/2008
17.088
  
74
7/25/2012
12.632
30
11/25/2008
16.713
  
75
8/25/2012
12.222
31
12/25/2008
16.843
  
76
9/25/2012
12.225
32
1/25/2009
16.470
  
77
10/25/2012
12.638
33
2/25/2009
16.411
  
78
11/25/2012
12.230
34
3/25/2009
18.121
        
35
4/25/2009
17.204
        
36
5/25/2009
17.402
        
37
6/25/2009
16.993
        
38
7/25/2009
17.187
        
39
8/25/2009
16.828
        
40
9/25/2009
17.430
        
41
10/25/2009
17.737
          
*Running to Call
42
11/25/2009
17.309
          
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
17.543
          
*1 Month LIBOR: 20%
44
1/25/2010
11.930
          
*6 Month Libor: 20%; 1 Year Libor: 20%
45
2/25/2010
11.936
          
*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 &
1 Year Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month & 1 Year Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
1
263
5.0910
5.3028
263
45
401
5.4308
5.5272
384
2
172
5.1835
5.3419
172
46
454
5.4323
5.5432
444
3
172
5.2494
5.3699
172
47
401
5.4366
5.5617
388
4
172
5.2688
5.3854
172
48
419
5.4433
5.5775
406
5
173
5.3074
5.3962
173
49
402
5.5175
5.5944
380
6
172
5.3567
5.3959
172
50
419
5.5222
5.5987
399
7
173
5.3234
5.3833
173
51
402
5.5267
5.6023
380
8
173
5.3515
5.3738
172
52
402
5.5319
5.6061
385
9
173
5.3367
5.3587
172
53
420
5.5348
5.6092
404
10
178
5.3383
5.3453
177
54
402
5.5393
5.6124
384
11
173
5.3054
5.3330
172
55
420
5.5427
5.6163
403
12
176
5.2887
5.3242
174
56
403
5.5463
5.6292
384
13
174
5.2660
5.3187
172
57
403
5.5495
5.6400
384
14
177
5.2630
5.3154
175
58
457
5.5514
5.6522
446
15
174
5.2614
5.3125
172
59
406
5.5556
5.6657
391
16
174
5.2577
5.3093
172
60
424
5.5614
5.6768
410
17
178
5.2546
5.3057
175
61
407
5.6132
5.6886
386
18
175
5.2525
5.3029
172
62
424
5.6157
5.6917
405
19
179
5.2487
5.3016
176
63
407
5.6195
5.6951
385
20
176
5.2467
5.3112
173
64
407
5.6234
5.6992
388
21
187
5.2430
5.3209
184
65
424
5.6258
5.7002
408
22
355
5.2391
5.3326
353
66
407
5.6292
5.7033
388
23
358
5.2367
5.3453
355
67
424
5.6326
5.7055
407
24
368
5.2451
5.3590
364
68
407
5.6349
5.7102
388
25
361
5.3062
5.3714
353
69
407
5.6383
5.7134
387
26
370
5.3077
5.3725
362
70
442
5.6389
5.7175
427
27
361
5.3099
5.3744
353
71
407
5.6419
5.7218
388
28
361
5.3116
5.3754
355
72
425
5.6444
5.7248
408
29
371
5.3136
5.3755
365
73
409
5.6556
5.7289
389
30
361
5.3150
5.3771
355
74
427
5.6571
5.7300
409
31
372
5.3159
5.3798
366
75
411
5.6602
5.7314
391
32
362
5.3170
5.3949
356
76
412
5.6610
5.7327
393
33
364
5.3181
5.4106
357
77
430
5.6619
5.7324
413
34
419
5.3178
5.4255
418
78
414
5.6641
5.7338
395
35
395
5.3206
5.4424
393
          
36
406
5.3334
5.4599
403
          
37
395
5.4027
5.4755
388
          
38
397
5.4072
5.4797
390
          
39
391
5.4108
5.4825
383
          
40
393
5.4144
5.4857
389
          
41
405
5.4180
5.4877
402
          
42
394
5.4220
5.4913
390
          
43
406
5.4257
5.4942
402
          
44
401
5.4281
5.5123
383
          
*Includes Net Swap Payments received from the Swap Provider



Breakeven CDR Table for the Mezzanine 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
29.96
21.38
M-2
23.66
18.41
M-3
20.26
16.58
M-4
17.59
15.00
M-5
15.24
13.50
M-6
13.33
12.20
M-7
11.48
10.85
M-8
  9.94
  9.66
M-9
  8.81
  8.74
M-10
  7.94
  8.01
M-11
  7.03
  7.22



DESCRIPTION OF THE TOTAL COLLATERAL


SUMMARY - AGGREGATE POOL*
Number of Mortgage Loans:
4,421
Index Type:
  
Aggregate Principal Balance:
$728,556,320
1 Year LIBOR
0.10%
Conforming Principal Balance Loans:
$629,653,768
6 Month LIBOR:
93.00%
Average Principal Balance:
$164,794
Fixed Rate:
6.91%
Range:
$9,984 - $848,856
W.A. Initial Periodic Cap:
2.985%
W.A. Coupon:
7.785%
W.A. Subsequent Periodic Cap:
1.001%
Range:
4.875% - 13.500%
W.A. Lifetime Rate Cap:
6.000%
W.A. Gross Margin:
4.740%
Property Type:
  
Range:
2.117% - 9.875%
Single Family:
61.67%
W.A. Remaining Term (months):
349
PUD:
29.15%
Range (months):
169 - 360
Condo:
6.99%
W.A. Seasoning (months):
3
2-4 Family:
2.04%
Latest Maturity Date:
May 1, 2036
Townhouse:
0.14%
State Concentration (Top 5):
  
Modular:
0.02%
California:
25.72%
Occupancy Status:
  
Minnesota:
10.39%
Primary:
97.31%
Florida:
7.43%
Investment:
2.17%
Arizona:
6.74%
Second Home:
0.52%
Illinois:
4.39%
Documentation Status:
  
W.A. Original Combined LTV:
80.82%
Full:
61.60%
Range:
8.46% - 100.00%
Stated:
28.63%
First Liens:
95.38%
Limited:
8.31%
Second Liens:
4.62%
None:
1.45%
Non-Balloon Loans:
94.27%
Non-Zero W.A. Prepayment Penalty - Term (months):
27
Non-Zero W.A. FICO Score:
643
Loans with Prepay Penalties:
78.48%
   
Interest Only Loans:
62.46%
   
Non-Zero W.A. Interest Only Term (months):
60
* Subject to a permitted variance of +/- 10%




DESCRIPTION OF THE TOTAL COLLATERAL


Collateral Type
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Fixed - 15 Year
13
975,028
0.13
7.845
620
75.47
Fixed - 20 Year
5
232,301
0.03
11.144
650
94.53
Fixed - 30 Year
132
15,210,502
2.09
8.504
629
80.14
Balloon - 15/30
728
31,716,675
4.35
10.759
649
99.31
Balloon - 20/30
36
1,656,258
0.23
10.916
643
99.47
Balloon - 30/40
3
539,207
0.07
8.042
641
71.68
ARM - 6 Month
4
681,208
0.09
7.391
661
81.32
ARM - 6 Month IO
8
1,671,670
0.23
7.469
631
78.79
ARM - 1 Year/6 Month
16
2,727,200
0.37
8.117
625
80.54
ARM - 1 Year/6 Month IO
17
5,184,950
0.71
7.983
656
77.89
ARM - 2 Year/6 Month
1,243
176,686,756
24.25
8.053
628
80.21
ARM - 2 Year/6 Month IO
1,564
369,204,449
50.68
7.453
649
79.97
ARM - 2 Year/6 Month 30/40 Balloon
28
6,146,817
0.84
8.432
614
76.13
ARM - 3 Year/6 Month
214
30,694,932
4.21
7.743
632
80.64
ARM - 3 Year/6 Month IO
318
67,663,026
9.29
7.255
653
79.47
ARM - 3 Year/6 Month 30/40 Balloon
9
1,703,924
0.23
7.824
639
69.42
ARM - 5 Year/6 Month
26
4,560,100
0.63
7.694
662
80.40
ARM - 5 Year/6 Month IO
55
10,608,319
1.46
7.461
652
79.50
ARM - 1 Year IO
1
340,000
0.05
7.750
602
80.00
ARM -5 Year/1 Year IO
1
353,000
0.05
6.500
646
79.68
TOTAL:
4,421
728,556,320
100.00
7.785
643
80.82


IO Terms
     
% of Aggregate
  
W.A.
W.A.
IO Terms (mos.)
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
 
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
2,457
273,530,907
37.54
8.376
632
82.42
60
1,961
454,072,654
62.32
7.430
650
79.86
120
3
952,760
0.13
7.134
656
80.00
Total:
4,421
728,556,320
100.00
7.785
643
80.82





DESCRIPTION OF THE TOTAL COLLATERAL

Principal Balance at Origination
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Principal Balance at
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
650
21,475,416
2.95
10.551
634
95.38
50,000.01 - 100,000.00
791
59,220,140
8.13
8.909
628
84.64
100,000.01 - 150,000.00
993
124,138,298
17.04
7.910
630
80.47
150,000.01 - 200,000.00
743
130,041,786
17.85
7.653
637
80.03
200,000.01 - 250,000.00
422
94,475,967
12.97
7.615
639
79.93
250,000.01 - 300,000.00
265
72,492,908
9.95
7.458
649
79.38
300,000.01 - 350,000.00
205
66,187,204
9.08
7.398
654
79.76
350,000.01 - 400,000.00
122
45,470,638
6.24
7.374
655
80.61
400,000.01 - 450,000.00
90
38,159,721
5.24
7.426
667
81.31
450,000.01 - 500,000.00
54
25,631,046
3.52
7.427
657
79.87
500,000.01 - 550,000.00
31
16,230,283
2.23
7.346
661
80.17
550,000.01 - 600,000.00
26
14,852,617
2.04
7.245
663
80.46
600,000.01 - 650,000.00
11
6,940,944
0.95
7.654
662
79.62
650,000.01 - 700,000.00
7
4,729,294
0.65
7.654
646
73.68
700,000.01 - 750,000.00
6
4,429,353
0.61
7.882
651
76.46
750,000.01 - 800,000.00
2
1,579,950
0.22
7.560
650
72.33
800,000.01 - 850,000.00
3
2,500,755
0.34
7.463
639
68.48
Total:
4,421
728,556,320
100.00
7.785
643
80.82



DESCRIPTION OF THE TOTAL COLLATERAL

Remaining Principal Balance
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Remaining Principal
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
650
21,475,416
2.95
10.551
634
95.38
50,000.01 - 100,000.00
794
59,518,395
8.17
8.903
628
84.60
100,000.01 - 150,000.00
993
124,289,526
17.06
7.909
630
80.49
150,000.01 - 200,000.00
740
129,592,303
17.79
7.653
637
80.02
200,000.01 - 250,000.00
422
94,475,967
12.97
7.615
639
79.93
250,000.01 - 300,000.00
265
72,492,908
9.95
7.458
649
79.38
300,000.01 - 350,000.00
205
66,187,204
9.08
7.398
654
79.76
350,000.01 - 400,000.00
123
45,870,608
6.30
7.373
655
80.70
400,000.01 - 450,000.00
89
37,759,751
5.18
7.428
668
81.22
54
25,631,046
3.52
7.427
657
79.87
500,000.01 - 550,000.00
31
16,230,283
2.23
7.346
661
80.17
550,000.01 - 600,000.00
26
14,852,617
2.04
7.245
663
80.46
600,000.01 - 650,000.00
11
6,940,944
0.95
7.654
662
79.62
650,000.01 - 700,000.00
7
4,729,294
0.65
7.654
646
73.68
700,000.01 - 750,000.00
6
4,429,353
0.61
7.882
651
76.46
750,000.01 - 800,000.00
2
1,579,950
0.22
7.560
650
72.33
800,000.01 - 850,000.00
3
2,500,755
0.34
7.463
639
68.48
Total:
4,421
728,556,320
100.00
7.785
643
80.82


Remaining Term
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
741
32,691,703
4.49
10.672
648
98.60
181 - 240
41
1,888,559
0.26
10.944
644
98.87
301 - 360
3,639
693,976,059
95.25
7.640
643
79.93
Total:
4,421
728,556,320
100.00
7.785
643
80.82



DESCRIPTION OF THE TOTAL COLLATERAL

Mortgage Rate
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
4.500 - 4.999
2
446,588
0.06
4.875
686
80.00
5.000 - 5.499
6
1,452,235
0.20
5.335
675
80.00
5.500 - 5.999
50
12,065,729
1.66
5.787
684
80.06
6.000 - 6.499
162
40,021,464
5.49
6.226
675
79.64
6.500 - 6.999
524
121,047,126
16.61
6.733
668
79.19
7.000 - 7.499
666
140,750,978
19.32
7.224
652
79.25
7.500 - 7.999
832
160,394,625
22.02
7.699
638
79.41
8.000 - 8.499
495
88,813,763
12.19
8.186
629
78.80
8.500 - 8.999
487
74,000,739
10.16
8.693
617
80.98
9.000 - 9.499
219
25,480,301
3.50
9.184
612
84.76
9.500 - 9.999
268
25,521,716
3.50
9.684
616
88.57
10.000 - 10.499
168
11,578,067
1.59
10.221
625
92.97
10.500 - 10.999
166
10,477,115
1.44
10.723
625
94.29
11.000 - 11.499
102
5,598,925
0.77
11.157
634
98.69
11.500 - 11.999
100
4,442,298
0.61
11.677
623
98.57
12.000 - 12.499
92
3,743,360
0.51
12.094
604
96.09
12.500 - 12.999
67
2,328,446
0.32
12.594
594
99.91
13.000 - 13.499
13
353,957
0.05
13.027
587
100.00
13.500 - 13.999
2
38,888
0.01
13.500
589
100.00
Total:
4,421
728,556,320
100.00
7.785
643
80.82


 




DESCRIPTION OF THE TOTAL COLLATERAL

Original Combined Loan-to-Value Ratio
Original Combined
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Loan-to-Value
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
49
5,910,807
0.81
8.024
617
41.43
50.01 - 55.00
23
3,854,207
0.53
7.980
602
53.29
55.01 - 60.00
27
3,786,187
0.52
7.947
620
57.65
60.01 - 65.00
61
13,438,167
1.84
7.861
614
63.53
65.01 - 70.00
78
15,127,329
2.08
7.866
624
68.66
70.01 - 75.00
108
24,744,818
3.40
8.204
614
73.87
75.01 - 80.00
2,782
544,061,623
74.68
7.427
649
79.92
80.01 - 85.00
124
20,539,075
2.82
8.393
605
84.40
85.01 - 90.00
208
34,126,751
4.68
8.644
626
89.75
90.01 - 95.00
110
15,303,805
2.10
8.778
631
94.68
95.01 - 100.00
851
47,663,550
6.54
10.348
644
99.93
Total:
4,421
728,556,320
100.00
7.785
643
80.82





DESCRIPTION OF THE TOTAL COLLATERAL

FICO Score at Origination
     
% of Aggregate
  
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
1
104,262
0.01
7.650
514
80.00
525 - 549
52
6,757,501
0.93
9.178
544
74.35
550 - 574
197
30,173,939
4.14
8.876
564
77.28
575 - 599
803
106,112,746
14.56
8.462
589
80.92
600 - 624
943
143,762,304
19.73
7.897
612
81.30
625 - 649
810
137,693,085
18.90
7.693
638
80.88
650 - 674
765
140,369,915
19.27
7.540
661
80.72
675 - 699
399
73,500,259
10.09
7.363
685
81.42
700 - 724
196
39,464,069
5.42
7.238
711
80.59
725 - 749
147
26,888,418
3.69
7.225
737
81.96
750 - 774
78
16,558,029
2.27
7.146
761
81.53
775 - 799
22
4,851,228
0.67
7.082
786
80.33
800 - 824
8
2,320,565
0.32
7.064
807
81.16
Total:
4,421
728,556,320
100.00
7.785
643
80.82




DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution*
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
605
187,385,392
25.72
7.282
663
79.57
Minnesota
516
75,695,108
10.39
7.771
638
81.39
Florida
307
54,099,344
7.43
7.967
653
81.04
Arizona
266
49,105,466
6.74
7.731
643
79.03
Illinois
222
31,959,913
4.39
8.387
631
82.31
Texas
233
29,327,036
4.03
7.633
632
81.23
Michigan
285
27,545,248
3.78
8.244
631
83.34
Maryland
118
27,368,179
3.76
7.859
643
79.67
Washington
139
26,040,704
3.57
7.584
638
80.66
Ohio
266
25,202,632
3.46
7.946
620
84.51
Virginia
91
20,749,463
2.85
8.040
633
80.75
Nevada
86
19,147,543
2.63
7.361
657
79.73
Colorado
113
18,170,441
2.49
7.512
636
81.12
Wisconsin
183
17,440,976
2.39
8.482
636
82.53
Tennessee
102
12,994,247
1.78
7.835
624
81.25
Indiana
95
8,965,640
1.23
8.351
619
82.73
North Carolina
86
8,877,221
1.22
8.332
616
82.74
Kentucky
90
8,782,101
1.21
7.949
627
83.56
Georgia
59
8,246,382
1.13
8.159
627
82.91
Oregon
38
8,028,378
1.10
7.980
643
82.34
Missouri
79
7,219,014
0.99
8.559
618
84.12
Pennsylvania
65
6,713,749
0.92
8.222
635
83.06
New Jersey
22
5,143,308
0.71
8.707
632
78.80
South Carolina
41
4,381,529
0.60
8.629
620
83.47
20
3,854,425
0.53
8.100
603
75.24
Utah
28
3,578,486
0.49
8.108
640
82.93
New York
14
3,562,869
0.49
8.550
631
73.59
New Mexico
23
3,265,444
0.45
8.048
635
81.04
Idaho
26
3,209,435
0.44
8.211
626
78.79
Alabama
24
2,478,346
0.34
8.735
636
85.79
Louisiana
20
2,210,691
0.30
8.343
642
80.72
Iowa
21
1,976,237
0.27
8.797
615
79.85
Mississippi
26
1,846,248
0.25
8.790
615
84.11
District of Columbia
8
1,804,335
0.25
7.566
624
68.17
*Geographic Distribution continued on the next page





DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution (Continued)
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Arkansas
26
1,601,310
0.22
8.400
635
81.62
Massachusetts
7
1,510,275
0.21
9.402
622
78.08
Delaware
7
1,251,489
0.17
7.984
603
74.90
Oklahoma
10
1,013,047
0.14
9.139
607
87.10
3
951,661
0.13
7.317
605
67.58
West Virginia
6
874,414
0.12
8.083
625
81.56
Montana
7
849,061
0.12
8.344
617
83.37
Kansas
9
716,641
0.10
8.926
625
83.74
Wyoming
5
576,155
0.08
7.979
610
83.37
New Hampshire
4
575,073
0.08
7.459
682
80.00
Alaska
2
477,200
0.07
7.812
678
80.00
Vermont
3
425,574
0.06
7.711
621
71.94
Nebraska
7
388,063
0.05
8.137
666
83.34
Maine
3
335,165
0.05
7.768
612
71.82
South Dakota
3
303,293
0.04
8.770
630
80.48
Rhode Island
1
274,000
0.04
10.500
582
89.84
North Dakota
1
58,367
0.01
8.875
603
80.00
Total:
4,421
728,556,320
100.00
7.785
643
80.82



DESCRIPTION OF THE TOTAL COLLATERAL



Occupancy Status
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
4,299
708,991,241
97.31
7.771
642
80.87
Investment
103
15,777,700
2.17
8.295
672
77.77
Second Home
19
3,787,380
0.52
8.265
676
83.95
Total:
4,421
728,556,320
100.00
7.785
643
80.82

Documentation Type
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full
3,081
448,795,557
61.60
7.821
627
81.39
Stated Documentation
1,040
208,619,464
28.63
7.698
675
79.86
Limited
242
60,579,154
8.31
7.724
641
80.66
No Documentation
58
10,562,146
1.45
8.340
697
76.10
Total:
4,421
728,556,320
100.00
7.785
643
80.82
 
Loan Purpose
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Purchase
3,112
521,867,337
71.63
7.667
651
81.61
Refinance - Cashout
1,057
174,867,478
24.00
8.081
621
78.44
Refinance - Rate Term
252
31,821,506
4.37
8.091
628
80.85
Total:
4,421
728,556,320
100.00
7.785
643
80.82




DESCRIPTION OF THE TOTAL COLLATERAL

Property Type
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
2,951
449,316,788
61.67
7.921
639
80.98
PUD
1,061
212,337,895
29.15
7.471
649
80.64
Condo
308
50,895,360
6.99
7.852
650
80.74
2-4 Family
96
14,865,789
2.04
7.968
650
79.69
Townhouse
4
1,023,188
0.14
7.103
641
67.80
Modular
1
117,300
0.02
8.875
616
85.00
Total:
4,421
728,556,320
100.00
7.785
643
80.82




DESCRIPTION OF THE TOTAL COLLATERAL

Rate Adjustment*
     
% of Aggregate
  
W.A.
W.A.
Month & Year of Next
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
July-2006
5
1,006,677
0.15
7.043
657
83.18
August-2006
3
741,228
0.11
8.114
624
75.05
September-2006
2
294,173
0.04
6.655
651
76.55
October-2006
2
310,800
0.05
7.909
612
81.16
January-2007
4
1,007,346
0.15
7.617
708
79.25
February-2007
10
2,762,649
0.41
8.368
660
79.84
March-2007
9
2,030,812
0.30
7.685
623
77.50
April-2007
9
2,091,742
0.31
8.196
615
78.47
May-2007
2
359,600
0.05
7.296
619
80.00
July-2007
1
187,600
0.03
6.750
636
80.00
August-2007
3
194,419
0.03
8.026
603
86.44
September-2007
5
932,259
0.14
7.024
633
78.69
October-2007
27
7,063,900
1.04
6.582
683
82.27
November-2007
50
11,408,342
1.68
6.913
648
80.45
December-2007
129
28,225,705
4.16
7.369
651
80.95
January-2008
491
97,837,780
14.43
7.421
645
80.15
February-2008
639
124,533,602
18.36
7.724
639
80.11
March-2008
756
141,802,875
20.91
7.776
639
79.80
April-2008
652
124,665,780
18.38
7.792
642
79.80
May-2008
83
15,307,249
2.26
8.017
631
78.89
September-2008
2
415,200
0.06
6.980
613
79.69
October-2008
5
1,418,386
0.21
6.169
681
84.38
November-2008
8
1,518,393
0.22
7.625
645
81.53
December-2008
28
6,042,544
0.89
7.220
647
80.46
January-2009
97
19,884,301
2.93
6.928
662
79.28
February-2009
124
20,848,116
3.07
7.560
639
79.25
March-2009
137
25,146,474
3.71
7.459
646
79.73
April-2009
127
23,097,097
3.41
7.733
637
79.44
May-2009
12
1,569,883
0.23
7.872
653
81.28
August-2010
1
118,240
0.02
6.875
679
79.97
October-2010
1
292,000
0.04
5.250
659
80.00
November-2010
2
503,200
0.07
6.997
625
80.00
December-2010
1
362,300
0.05
7.625
668
80.00
January-2011
11
2,402,213
0.35
7.118
679
77.81
February-2011
17
3,088,038
0.46
7.250
666
81.55
March-2011
21
3,426,067
0.51
8.070
634
80.18
April-2011
27
5,177,361
0.76
7.627
652
79.27
May-2011
1
152,000
0.02
8.375
651
80.00
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*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
7
1,747,162
0.26
6.871
654
79.93
2.500 - 2.999
3
821,479
0.12
7.358
673
80.00
3.000 - 3.499
7
2,333,379
0.34
7.342
669
76.79
3.500 - 3.999
109
19,978,748
2.95
7.853
617
57.38
4.000 - 4.499
2,411
478,953,556
70.62
7.432
647
79.39
4.500 - 4.999
67
13,773,838
2.03
7.062
649
79.18
5.000 - 5.499
207
35,843,347
5.28
8.091
629
81.13
5.500 - 5.999
292
57,770,577
8.52
8.231
636
86.71
6.000 - 6.499
152
25,339,710
3.74
8.335
641
88.45
6.500 - 6.999
82
14,618,960
2.16
7.865
636
81.40
7.000 - 7.499
57
10,131,311
1.49
7.973
623
79.73
7.500 - 7.999
60
10,711,338
1.58
8.509
630
81.78
8.000 - 8.499
32
4,180,544
0.62
8.801
609
85.82
8.500 - 8.999
15
1,683,644
0.25
9.359
621
89.03
9.000 - 9.499
2
262,757
0.04
9.286
587
80.17
9.500 - 9.999
1
76,000
0.01
10.875
573
80.00
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*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 (%)
10.500 - 10.999
3
542,185
0.08
5.404
682
80.00
11.000 - 11.499
7
1,608,435
0.24
5.424
672
80.00
11.500 - 11.999
53
12,893,726
1.90
5.839
681
80.04
12.000 - 12.499
156
38,782,565
5.72
6.228
676
79.78
12.500 - 12.999
519
119,852,887
17.67
6.730
668
79.19
13.000 - 13.499
655
138,781,467
20.46
7.223
653
79.30
13.500 - 13.999
804
156,978,204
23.15
7.698
637
79.44
14.000 - 14.499
467
86,022,953
12.68
8.187
629
78.95
14.500 - 14.999
440
70,153,796
10.34
8.689
615
80.73
15.000 - 15.499
160
21,315,072
3.14
9.183
604
83.79
15.500 - 15.999
142
19,508,666
2.88
9.675
601
85.14
16.000 - 16.499
45
5,870,870
0.87
10.192
598
87.90
16.500 - 16.999
38
4,086,200
0.60
10.675
590
88.36
7
1,022,185
0.15
11.042
646
98.35
17.500 - 17.999
6
657,140
0.10
11.627
598
94.30
18.000 - 18.499
2
150,000
0.02
12.000
593
48.15
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*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 (%)
0.000 - 0.499
1
127,495
0.02
7.250
625
80.00
2.000 - 2.499
1
353,000
0.05
6.500
646
79.68
3.000 - 3.499
2
783,357
0.12
7.659
662
77.16
3.500 - 3.999
1
110,966
0.02
7.250
699
75.00
4.000 - 4.499
2
1,140,939
0.17
7.236
669
65.28
4.500 - 4.999
3
615,604
0.09
5.664
677
78.63
5.000 - 5.499
6
1,452,235
0.21
5.335
675
80.00
5.500 - 5.999
52
12,220,395
1.80
5.822
683
79.85
6.000 - 6.499
160
39,414,077
5.81
6.269
675
80.14
6.500 - 6.999
520
120,214,677
17.72
6.729
668
79.19
7.000 - 7.499
650
137,726,637
20.31
7.222
653
79.25
7.500 - 7.999
803
155,829,806
22.98
7.698
637
79.56
8.000 - 8.499
467
86,334,398
12.73
8.183
629
78.87
438
69,717,245
10.28
8.694
615
80.74
9.000 - 9.499
160
21,953,315
3.24
9.191
605
83.38
9.500 - 9.999
141
18,555,985
2.74
9.701
599
85.88
10.000 - 10.499
44
5,760,692
0.85
10.202
599
87.96
10.500 - 10.999
38
4,086,200
0.60
10.675
590
88.36
11.000 - 11.499
7
1,022,185
0.15
11.042
646
98.35
11.500 - 11.999
6
657,140
0.10
11.627
598
94.30
12.000 - 12.499
2
150,000
0.02
12.000
593
48.15
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*ARM Loans Only

Initial Periodic Rate Cap*
     
% of Aggregate
  
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
7
1,341,477
0.20
6.800
655
81.43
2.000
35
8,134,488
1.20
7.784
642
79.55
3.000
3,460
668,281,527
98.53
7.621
643
79.93
5.000
2
468,859
0.07
6.840
673
79.76
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*ARM Loans Only





DESCRIPTION OF THE TOTAL COLLATERAL

Subsequent Periodic Rate Cap*
     
% of Aggregate
  
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
3,497
676,782,006
99.79
7.621
643
79.93
1.500
5
908,717
0.13
7.823
583
79.28
2.000
2
535,628
0.08
6.769
625
79.79
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*ARM Loans Only

Lifetime Periodic Cap*
     
% of Aggregate
  
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.000 - 5.499
7
1,236,914
0.18
6.986
649
81.69
6.000 - 6.499
3,485
674,549,783
99.46
7.619
643
79.96
6.500 - 6.999
9
1,968,386
0.29
8.563
620
69.81
7.000 - 7.499
3
471,268
0.07
7.772
583
80.00
Total:
3,504
678,226,350
100.00
7.621
643
79.93
*ARM Loans Only





DESCRIPTION OF THE TOTAL COLLATERAL

Original Prepayment Charge Term
     
% of Aggregate
  
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,047
156,760,720
21.52
8.301
641
81.34
2
1
36,050
0.00
12.200
736
100.00
6
2
307,784
0.04
9.714
588
87.26
12
179
43,022,002
5.91
8.057
650
79.66
24
2,218
374,729,384
51.43
7.652
644
80.83
36
897
142,825,790
19.60
7.552
642
80.49
48
77
10,874,590
1.49
6.821
631
81.58
Total:
4,421
728,556,320
100.00
7.785
643
80.82




DESCRIPTION OF THE GROUP I COLLATERAL


SUMMARY - GROUP I POOL*
Number of Mortgage Loans:
3,132
Index Type:
  
Aggregate Principal Balance:
$450,071,477
1 Year LIBOR:
0.15%
Conforming Principal Balance Loans:
$450,071,477
6 Month LIBOR:
92.67%
Average Principal Balance:
$143,701
Fixed Rate:
7.18%
Range:
$9,984 - $488,000
W.A. Initial Periodic Cap:
2.985%
W.A. Coupon:
7.917%
W.A. Subsequent Periodic Cap:
1.002%
Range:
5.375% - 13.500%
W.A. Lifetime Rate Cap:
5.999%
W.A. Gross Margin:
4.798%
Property Type:
  
Range:
2.250% - 9.875%
Single Family:
70.90%
W.A. Remaining Term (months):
349
PUD:
19.00%
Range (months):
173 - 360
Condo:
7.21%
W.A. Seasoning (months):
3
2-4 Family:
2.80%
Latest Maturity Date:
May 1, 2036
Townhouse:
0.09%
State Concentration (Top 5):
  
Occupancy Status:
  
California:
18.56%
Primary:
97.27%
Minnesota:
14.12%
Investment:
2.34%
Florida:
6.43%
Second Home:
0.40%
Arizona:
6.36%
Documentation Status:
  
Illinois:
5.70%
Full:
66.88%
W.A. Original Combined LTV:
80.82%
Stated:
25.79%
Range:
8.46% - 100.00%
Limited:
6.29%
First Liens:
95.24%
None:
1.05%
Second Liens:
4.76%
Non-Zero W.A. Prepayment Penalty - Term (months):
27
Non-Balloon Loans:
93.90%
Loans with Prepay Penalties:
79.23%
Non-Zero W.A. FICO Score:
637
Interest Only Loans:
56.73%
   
Non-Zero W.A. Interest Only Term (months):
60
       
* Subject to a permitted variance of +/- 10%




DESCRIPTION OF THE GROUP I COLLATERAL

Collateral Type
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Fixed - 15 Year
8
745,179
0.17
7.617
629
80.36
Fixed - 20 Year
2
96,276
0.02
11.111
638
100.00
Fixed - 30 Year
92
9,675,830
2.15
8.680
621
79.37
Balloon - 15/30
551
19,791,446
4.40
10.803
643
99.56
Balloon - 20/30
33
1,465,120
0.33
11.068
638
99.76
Balloon - 30/40
3
539,207
0.12
8.042
641
71.68
ARM - 6 Month
3
341,925
0.08
8.771
625
82.64
ARM - 6 Month IO
6
1,341,270
0.30
7.427
636
79.18
ARM - 1 Year/6 Month
15
2,529,904
0.56
8.234
626
80.88
ARM - 1 Year/6 Month IO
11
2,490,596
0.55
7.986
625
77.88
ARM - 2 Year/6 Month
956
129,497,496
28.77
8.076
626
80.28
ARM - 2 Year/6 Month IO
1,025
207,318,676
46.06
7.564
644
80.00
ARM - 2 Year/6 Month 30/40 Balloon
24
4,497,287
1.00
8.353
602
76.11
ARM - 3 Year/6 Month
148
21,413,417
4.76
7.864
627
79.64
ARM - 3 Year/6 Month IO
193
37,166,562
8.26
7.474
646
79.10
ARM - 3 Year/6 Month 30/40 Balloon
6
1,165,964
0.26
8.000
642
62.05
ARM - 5 Year/6 Month
18
2,975,091
0.66
7.940
643
84.24
ARM - 5 Year/6 Month IO
36
6,327,230
1.41
7.727
643
79.07
ARM - 1 Year IO
1
340,000
0.08
7.750
602
80.00
ARM - 5 Year/1 Year IO
1
353,000
0.08
6.500
646
79.68
Total:
3,132
450,071,477
100.00
7.917
637
80.82

 

IO Terms
     
% of Aggregate
  
W.A.
W.A.
IO Terms (mos.)
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
 
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,859
194,734,143
43.27
8.389
627
82.12
60
1,270
254,384,575
56.52
7.558
644
79.82
120
3
952,760
0.21
7.134
656
80.00
Total:
3,132
450,071,477
100
7.917
637
80.82





DESCRIPTION OF THE GROUP I COLLATERAL

Principal Balance at Origination
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Principal Balance at
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
542
17,467,241
3.88
10.601
635
96.39
50,000.01 - 100,000.00
598
44,799,259
9.95
8.827
625
83.73
100,000.01 - 150,000.00
725
90,602,732
20.13
7.904
628
80.10
150,000.01 - 200,000.00
537
93,845,135
20.85
7.687
635
79.73
200,000.01 - 250,000.00
314
70,432,774
15.65
7.699
635
79.68
250,000.01 - 300,000.00
178
48,648,486
10.81
7.592
646
79.19
300,000.01 - 350,000.00
119
38,459,079
8.55
7.577
650
79.29
350,000.01 - 400,000.00
86
32,169,844
7.15
7.491
651
80.47
400,000.01 - 450,000.00
32
13,158,927
2.92
7.410
654
80.44
450,000.01 - 500,000.00
1
488,000
0.11
7.375
790
80.00
Total:
3,132
450,071,477
100
7.917
637
80.82



DESCRIPTION OF THE GROUP I COLLATERAL

Remaining Principal Balance
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Remaining Principal
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
542
17,467,241
3.88
10.601
635
96.39
50,000.01 - 100,000.00
600
44,997,558
10.00
8.822
625
83.68
100,000.01 - 150,000.00
725
90,704,142
20.15
7.904
628
80.12
150,000.01 - 200,000.00
535
93,545,427
20.78
7.687
635
79.72
200,000.01 - 250,000.00
314
70,432,774
15.65
7.699
635
79.68
250,000.01 - 300,000.00
178
48,648,486
10.81
7.592
646
79.19
300,000.01 - 350,000.00
119
38,459,079
8.55
7.577
650
79.29
350,000.01 - 400,000.00
87
32,569,814
7.24
7.488
651
80.59
400,000.01 - 450,000.00
31
12,758,957
2.83
7.415
654
80.14
450,000.01 - 500,000.00
1
488,000
0.11
7.375
790
80.00
Total:
3,132
450,071,477
100
7.917
637
80.82


Remaining Term
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
559
20,536,626
4.56
10.687
642
98.86
181 - 240
35
1,561,396
0.35
11.070
638
99.78
301 - 360
2,538
427,973,455
95.09
7.772
636
79.88
Total:
3,132
450,071,477
100
7.917
637
80.82



DESCRIPTION OF THE GROUP I COLLATERAL

Mortgage Rate
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.000 - 5.499
2
526,667
0.12
5.416
684
80.00
5.500 - 5.999
24
4,682,296
1.04
5.824
672
79.86
6.000 - 6.499
91
18,718,721
4.16
6.250
676
79.08
6.500 - 6.999
321
63,937,775
14.21
6.739
666
79.55
7.000 - 7.499
433
84,154,605
18.70
7.228
651
78.86
7.500 - 7.999
570
98,168,348
21.81
7.708
632
79.36
8.000 - 8.499
380
62,710,054
13.93
8.201
624
79.16
8.500 - 8.999
396
55,638,724
12.36
8.690
615
80.14
9.000 - 9.499
160
17,020,928
3.78
9.193
611
84.56
9.500 - 9.999
210
18,407,441
4.09
9.689
606
87.55
10.000 - 10.499
133
8,613,540
1.91
10.203
618
91.97
10.500 - 10.999
120
6,468,277
1.44
10.728
618
94.59
11.000 - 11.499
73
3,221,693
0.72
11.177
627
98.71
11.500 - 11.999
77
3,168,284
0.70
11.658
621
98.71
12.000 - 12.499
68
2,247,952
0.50
12.064
601
96.35
12.500 - 12.999
59
1,993,327
0.44
12.606
595
99.90
13.000 - 13.499
13
353,957
0.08
13.027
587
100.00
13.500 - 13.999
2
38,888
0.01
13.500
589
100.00
Total:
3,132
450,071,477
100
7.917
637
80.82





DESCRIPTION OF THE GROUP I COLLATERAL

Original Combined Loan-to-Value Ratio
Original Combined
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Loan-to-Value
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
32
4,529,469
1.01
7.970
616
41.53
50.01 - 55.00
18
3,041,787
0.68
7.948
609
53.45
55.01 - 60.00
20
2,638,198
0.59
8.217
614
57.88
60.01 - 65.00
45
7,093,887
1.58
8.182
601
63.51
65.01 - 70.00
63
10,972,582
2.44
7.949
612
68.72
70.01 - 75.00
78
14,143,870
3.14
8.381
608
74.06
75.01 - 80.00
1,904
330,297,382
73.39
7.552
644
79.91
80.01 - 85.00
93
15,189,526
3.37
8.343
599
84.34
85.01 - 90.00
142
21,326,384
4.74
8.768
617
89.69
90.01 - 95.00
85
9,684,339
2.15
8.697
627
94.63
95.01 - 100.00
652
31,154,053
6.92
10.436
636
99.94
Total:
3,132
450,071,477
100
7.917
637
80.82





DESCRIPTION OF THE GROUP I COLLATERAL

FICO Score at Origination
     
% of Aggregate
  
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
1
104,262
0.02
7.650
514
80.00
525 - 549
44
6,062,888
1.35
9.195
544
74.22
550 - 574
152
21,843,306
4.85
8.813
564
76.91
575 - 599
627
78,461,110
17.43
8.519
589
80.98
600 - 624
691
95,506,104
21.22
7.977
612
81.58
625 - 649
576
86,551,970
19.23
7.797
638
80.99
650 - 674
511
74,693,437
16.6
7.692
661
81.15
675 - 699
251
39,707,369
8.82
7.354
685
80.80
700 - 724
127
23,272,673
5.17
7.185
711
80.02
725 - 749
92
13,918,764
3.09
7.411
738
81.59
750 - 774
48
7,450,370
1.66
7.233
759
82.01
775 - 799
9
1,761,130
0.39
7.249
785
81.10
800 - 824
3
738,095
0.16
7.325
807
80.00
Total:
3,132
450,071,477
100
7.917
637
80.82




DESCRIPTION OF THE GROUP I COLLATERAL

Geographic Distribution*
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
309
83,528,946
18.56
7.392
656
78.46
Minnesota
458
63,541,683
14.12
7.763
637
81.69
Florida
190
28,922,294
6.43
8.066
652
80.59
Arizona
174
28,635,687
6.36
7.663
643
79.78
Illinois
192
25,634,531
5.70
8.459
630
82.62
Michigan
225
20,750,933
4.61
8.343
629
83.56
Washington
116
19,391,678
4.31
7.690
637
81.04
Texas
130
15,992,630
3.55
7.806
626
82.15
Wisconsin
168
15,146,503
3.37
8.427
640
82.31
Maryland
75
14,802,714
3.29
7.974
623
78.03
Colorado
96
14,606,847
3.25
7.566
632
81.23
Nevada
61
11,972,111
2.66
7.467
648
79.14
Virginia
60
11,888,472
2.64
8.021
623
81.35
Ohio
135
11,468,481
2.55
8.462
614
85.32
Tennessee
64
7,079,738
1.57
8.002
631
82.49
Indiana
77
6,527,322
1.45
8.498
618
82.96
North Carolina
68
6,391,692
1.42
8.453
612
83.40
Kentucky
64
5,873,229
1.30
8.041
621
83.51
Georgia
42
5,652,179
1.26
8.333
621
83.89
Missouri
60
5,069,721
1.13
8.374
618
83.26
Oregon
25
4,899,104
1.09
8.063
632
81.61
Pennsylvania
46
4,590,644
1.02
8.399
623
82.08
Connecticut
20
3,854,425
0.86
8.100
603
75.24
New Jersey
19
3,600,514
0.80
8.200
636
76.27
Utah
26
3,170,661
0.70
8.212
626
83.31
New York
13
3,143,076
0.70
8.423
632
70.06
South Carolina
28
2,530,583
0.56
9.116
606
85.24
Idaho
18
2,387,867
0.53
8.347
626
79.13
Alabama
21
2,096,696
0.47
8.813
637
86.85
Louisiana
17
1,803,374
0.40
8.482
646
80.86
New Mexico
13
1,694,452
0.38
8.131
617
77.58
Iowa
18
1,619,135
0.36
8.612
624
79.81
Delaware
7
1,251,489
0.28
7.984
603
74.90
District of Columbia
7
1,204,335
0.27
8.035
603
70.67
*Geographic Distribution continued on the next page





DESCRIPTION OF THE GROUP I COLLATERAL

Geographic Distribution (Continued)
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Massachusetts
6
1,171,744
0.26
9.554
587
74.64
Mississippi
16
1,158,345
0.26
8.591
616
84.02
Arkansas
18
961,152
0.21
8.622
630
81.44
Montana
5
739,599
0.16
8.003
628
83.12
Oklahoma
7
716,495
0.16
9.167
606
89.12
West Virginia
4
681,000
0.15
7.827
629
79.70
Kansas
7
623,710
0.14
8.718
626
85.40
Wyoming
5
576,155
0.13
7.979
610
83.37
New Hampshire
4
575,073
0.13
7.459
682
80.00
Hawaii
2
566,962
0.13
7.702
574
59.16
Nebraska
7
388,063
0.09
8.137
666
83.34
Vermont
2
304,574
0.07
7.645
650
76.48
South Dakota
3
303,293
0.07
8.770
630
80.48
Rhode Island
1
274,000
0.06
10.500
582
89.84
Maine
1
131,200
0.03
7.750
643
80.00
Alaska
1
118,000
0.03
8.000
652
80.00
North Dakota
1
58,367
0.01
8.875
603
80.00
Total:
3,132
450,071,477
100
7.917
637
80.82



DESCRIPTION OF THE GROUP I COLLATERAL



Occupancy Status
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
3,047
437,775,139
97.27
7.902
636
80.92
Investment
74
10,512,183
2.34
8.493
655
76.71
Second Home
11
1,784,155
0.40
8.091
693
80.69
Total:
3,132
450,071,477
100
7.917
637
80.82

Documentation Type
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full
2,285
301,008,454
66.88
7.954
623
81.43
Stated Documentation
678
116,051,539
25.79
7.834
671
79.74
Limited
141
28,308,164
6.29
7.780
633
80.33
No Documentation
28
4,703,320
1.05
8.405
679
71.33
Total:
3,132
450,071,477
100
7.917
637
80.82
 
Loan Purpose
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Purchase
2,039
288,282,210
64.05
7.806
646
81.92
Refinance - Cashout
874
135,078,067
30.01
8.114
618
78.38
Refinance - Rate Term
219
26,711,200
5.93
8.117
629
81.24
Total:
3,132
450,071,477
100
7.917
637
80.82




DESCRIPTION OF THE GROUP I COLLATERAL

Property Type
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
2,348
319,105,403
70.90
8.010
634
80.95
PUD
482
85,491,300
19.00
7.592
640
80.69
Condo
214
32,463,849
7.21
7.812
648
80.57
2-4 Family
85
12,587,738
2.80
8.034
649
79.15
Townhouse
3
423,188
0.09
7.781
608
74.37
Total:
3,132
450,071,477
100
7.917
637
80.82




DESCRIPTION OF THE GROUP I COLLATERAL

Rate Adjustment*
 
     
% of Aggregate
  
W.A.
W.A.
Month & Year of Next
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
July-2006
4
667,393
0.16
7.574
636
84.80
August-2006
2
599,228
0.14
8.496
628
76.01
September-2006
2
294,173
0.07
6.655
651
76.55
October-2006
1
122,400
0.03
7.000
602
80.00
January-2007
2
374,050
0.09
7.402
678
80.00
February-2007
8
2,003,849
0.48
8.717
633
79.80
March-2007
8
1,380,412
0.33
7.772
622
82.65
April-2007
7
1,242,588
0.30
7.860
597
74.92
May-2007
2
359,600
0.09
7.296
619
80.00
July-2007
1
187,600
0.04
6.750
636
80.00
August-2007
2
119,271
0.03
7.884
616
87.34
September-2007
4
795,257
0.19
7.049
629
84.05
October-2007
11
1,674,546
0.40
7.267
645
85.85
November-2007
43
8,611,935
2.06
7.071
642
80.32
December-2007
85
15,248,895
3.65
7.523
639
81.22
January-2008
364
63,327,669
15.16
7.511
640
80.49
February-2008
463
78,554,965
18.80
7.776
637
79.93
March-2008
537
89,605,597
21.45
7.877
633
79.96
April-2008
434
73,542,853
17.60
7.951
637
79.70
May-2008
62
9,766,360
2.34
8.188
628
78.61
September-2008
1
240,000
0.06
6.875
635
79.47
October-2008
3
688,751
0.16
6.400
691
80.53
November-2008
5
763,975
0.18
7.594
631
83.05
December-2008
19
3,554,074
0.85
7.403
622
78.79
January-2009
56
10,055,383
2.41
7.163
653
78.94
February-2009
90
15,111,893
3.62
7.634
637
78.87
March-2009
87
14,802,639
3.54
7.673
644
79.14
April-2009
76
13,224,957
3.17
8.008
626
78.33
May-2009
9
1,182,783
0.28
7.866
657
80.00
August-2010
1
118,240
0.03
6.875
679
79.97
November-2010
1
163,200
0.04
7.250
654
80.00
January-2011
7
1,202,724
0.29
7.298
655
82.30
February-2011
14
2,710,192
0.65
7.336
661
81.77
March-2011
15
2,177,904
0.52
8.397
610
79.55
April-2011
16
3,131,060
0.75
7.855
644
80.02
May-2011
1
152,000
0.04
8.375
651
80.00
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only




DESCRIPTION OF THE GROUP I 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
4
834,762
0.20
6.814
654
79.86
2.500 - 2.999
1
157,872
0.04
6.375
713
80.00
3.000 - 3.499
2
320,017
0.08
8.045
601
73.54
3.500 - 3.999
75
12,142,649
2.91
8.080
611
56.45
4.000 - 4.499
1,619
284,266,735
68.05
7.563
642
79.30
4.500 - 4.999
51
9,937,042
2.38
6.972
649
79.65
5.000 - 5.499
168
27,509,263
6.58
8.073
626
81.05
5.500 - 5.999
207
35,319,263
8.45
8.337
629
86.61
6.000 - 6.499
112
16,667,717
3.99
8.402
635
87.81
6.500 - 6.999
61
9,442,244
2.26
8.115
630
81.58
7.000 - 7.499
48
8,545,389
2.05
7.943
618
79.25
7.500 - 7.999
51
7,536,898
1.80
8.571
615
82.28
8.000 - 8.499
29
3,543,988
0.85
8.882
603
86.01
8.500 - 8.999
12
1,195,824
0.29
9.387
620
89.27
9.000 - 9.499
2
262,757
0.06
9.286
587
80.17
9.500 - 9.999
1
76,000
0.02
10.875
573
80.00
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only




DESCRIPTION OF THE GROUP I 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 (%)
10.500 - 10.999
1
95,597
0.02
7.875
659
80.00
11.000 - 11.499
3
682,867
0.16
5.607
673
80.00
11.500 - 11.999
27
5,510,293
1.32
5.940
667
79.86
12.000 - 12.499
87
18,014,651
4.31
6.251
677
79.37
12.500 - 12.999
318
62,987,495
15.08
6.742
667
79.55
13.000 - 13.499
428
83,501,238
19.99
7.228
651
78.95
13.500 - 13.999
551
95,917,012
22.96
7.706
632
79.40
14.000 - 14.499
357
60,083,844
14.38
8.202
624
79.38
14.500 - 14.999
363
53,191,198
12.73
8.684
614
79.91
15.000 - 15.499
118
15,020,805
3.60
9.188
605
83.14
15.500 - 15.999
112
13,772,802
3.30
9.704
594
84.91
16.000 - 16.499
38
4,998,821
1.20
10.191
591
86.75
16.500 - 16.999
29
2,871,175
0.69
10.711
586
90.02
17.000 - 17.499
5
449,602
0.11
11.096
613
99.42
17.500 - 17.999
5
561,018
0.13
11.605
582
95.03
18.000 - 18.499
1
100,000
0.02
12.000
590
22.22
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only




DESCRIPTION OF THE GROUP I 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 (%)
2.000 - 2.499
1
353,000
0.08
6.500
646
79.68
3.500 - 3.999
1
110,966
0.03
7.250
699
75.00
4.000 - 4.499
1
360,939
0.09
6.125
714
67.04
4.500 - 4.999
1
169,017
0.04
7.750
653
75.00
5.000 - 5.499
2
526,667
0.13
5.416
684
80.00
5.500 - 5.999
26
4,836,963
1.16
5.909
670
79.34
6.000 - 6.499
89
18,049,174
4.32
6.267
675
79.63
6.500 - 6.999
320
63,471,273
15.19
6.739
666
79.55
7.000 - 7.499
426
83,293,316
19.94
7.228
651
78.89
7.500 - 7.999
550
95,692,504
22.91
7.708
632
79.46
8.000 - 8.499
358
60,475,111
14.48
8.201
624
79.28
8.500 - 8.999
361
52,996,089
12.69
8.688
613
80.05
9.000 - 9.499
117
14,750,059
3.53
9.199
605
83.21
9.500 - 9.999
113
13,802,901
3.30
9.710
595
85.06
10.000 - 10.499
37
4,888,643
1.17
10.203
592
86.79
10.500 - 10.999
29
2,871,175
0.69
10.711
586
90.02
11.000 - 11.499
5
449,602
0.11
11.096
613
99.42
11.500 - 11.999
5
561,018
0.13
11.605
582
95.03
12.000 - 12.499
1
100,000
0.02
12.000
590
22.22
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only

Initial Periodic Rate Cap*
     
% of Aggregate
  
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
5
860,193
0.21
7.165
645
83.72
2.000
28
5,507,181
1.32
7.712
631
80.40
3.000
2,408
410,922,186
98.36
7.754
637
79.89
5.000
2
468,859
0.11
6.840
673
79.76
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only





DESCRIPTION OF THE GROUP I COLLATERAL

Subsequent Periodic Rate Cap*
     
% of Aggregate
  
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
2,437
416,496,702
99.70
7.752
637
79.91
1.500
5
908,717
0.22
7.823
583
79.28
2.000
1
353,000
0.08
6.500
646
79.68
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only

Lifetime Periodic Cap*
     
% of Aggregate
  
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.000 - 5.499
7
1,236,914
0.30
6.986
649
81.69
6.000 - 6.499
2,427
415,135,689
99.37
7.751
637
79.93
6.500 - 6.999
7
1,097,176
0.26
8.434
606
69.79
7.000 - 7.499
2
288,640
0.07
8.077
582
80.00
Total:
2,443
417,758,419
100
7.751
637
79.91
*ARM Loans Only





DESCRIPTION OF THE GROUP I COLLATERAL

Original Prepayment Charge Term
     
% of Aggregate
  
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
780
93,483,856
20.77
8.502
630
81.32
6
2
307,784
0.07
9.714
588
87.26
12
122
21,756,068
4.83
8.264
642
79.27
24
1,559
233,244,460
51.82
7.764
639
80.80
36
669
101,279,309
22.50
7.648
637
80.70
Total:
3,132
450,071,477
100
7.917
637
80.82






DESCRIPTION OF THE GROUP II COLLATERAL


SUMMARY - GROUP II POOL*
Number of Mortgage Loans:
1,289
Index Type:
  
Aggregate Principal Balance:
$278,484,843
6 Month LIBOR:
93.53%
Conforming Principal Balance Loans:
$179,582,291
Fixed Rate:
6.47%
Average Principal Balance:
$216,047
W.A. Initial Periodic Cap:
2.986%
Range:
$11,976 - $848,856
W.A. Subsequent Periodic Cap:
1.001%
W.A. Coupon:
7.572%
W.A. Lifetime Rate Cap:
6.002%
Range:
4.875% - 12.650%
Property Type:
  
W.A. Gross Margin:
4.648%
Single Family:
46.76%
Range:
2.117% - 8.875%
PUD:
45.55%
W.A. Remaining Term (months):
349
Condo:
6.62%
Range (months):
169 - 360
2-4 Family:
0.82%
W.A. Seasoning (months):
3
Townhouse:
0.22%
Latest Maturity Date:
May 1, 2036
Modular:
0.04%
State Concentration (Top 5):
  
Occupancy Status:
  
California:
37.29%
Primary:
97.39%
Florida:
9.04%
Investment:
1.89%
Arizona:
7.35%
Second Home:
0.72%
Ohio:
4.93%
Documentation Status:
  
Texas:
4.79%
Full:
53.07%
W.A. Original Combined LTV:
80.82%
Stated:
33.24%
Range:
29.66% - 100.00%
Limited:
11.59%
First Liens:
95.60%
None:
2.10%
Second Liens:
4.40%
Non-Zero W.A. Prepayment Penalty - Term (months):
26
Non-Balloon Loans:
94.86%
Loans with Prepay Penalties:
77.28%
Non-Zero W.A. FICO Score:
653
Interest Only Loans:
71.71%
   
Non-Zero W.A. Interest Only Term (months):
60
* Subject to a permitted variance of +/- 10%




DESCRIPTION OF THE GROUP II COLLATERAL


Collateral Type
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Fixed - 15 Year
5
229,848
0.08
8.586
590
59.63
Fixed - 20 Year
3
136,024
0.05
11.167
659
90.66
Fixed - 30 Year
40
5,534,672
1.99
8.197
643
81.49
Balloon - 15/30
177
11,925,229
4.28
10.686
659
98.90
Balloon - 20/30
3
191,138
0.07
9.750
684
97.26
ARM - 6 Month
1
339,283
0.12
6.000
698
79.99
ARM - 6 Month IO
2
330,400
0.12
7.640
613
77.22
ARM - 1 Year/6 Month
1
197,295
0.07
6.625
616
76.15
ARM - 1 Year/6 Month IO
6
2,694,354
0.97
7.981
685
77.90
ARM - 2 Year/6 Month
287
47,189,260
16.95
7.990
635
80.04
ARM - 2 Year/6 Month IO
539
161,885,773
58.13
7.311
655
79.93
ARM - 2 Year/6 Month 30/40 Balloon
4
1,649,530
0.59
8.648
647
76.16
ARM - 3 Year/6 Month
66
9,281,515
3.33
7.463
644
82.94
ARM - 3 Year/6 Month IO
125
30,496,463
10.95
6.989
662
79.93
ARM - 3 Year/6 Month 30/40 Balloon
3
537,961
0.19
7.443
632
85.38
ARM - 5 Year/6 Month
8
1,585,009
0.57
7.233
696
73.20
ARM - 5 Year/6 Month IO
19
4,281,089
1.54
7.067
666
80.13
Total:
1,289
278,484,843
100
7.572
653
80.82

 

IO Terms
     
% of Aggregate
  
W.A.
W.A.
IO Terms (mos.)
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
 
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
598
78,796,764
28.29
8.345
642
83.14
60
691
199,688,079
71.71
7.267
657
79.9
Total:
1,289
278,484,843
100
7.572
653
80.82





DESCRIPTION OF THE GROUP II COLLATERAL

Principal Balance at Origination
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Principal Balance at
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
108
4,008,175
1.44
10.334
630
90.98
50,000.01 - 100,000.00
193
14,420,880
5.18
9.163
636
87.48
100,000.01 - 150,000.00
268
33,535,567
12.04
7.925
636
81.48
150,000.01 - 200,000.00
206
36,196,651
13.00
7.565
642
80.82
200,000.01 - 250,000.00
108
24,043,193
8.63
7.370
652
80.68
250,000.01 - 300,000.00
87
23,844,423
8.56
7.185
656
79.77
300,000.01 - 350,000.00
86
27,728,125
9.96
7.150
660
80.41
350,000.01 - 400,000.00
36
13,300,794
4.78
7.090
665
80.96
400,000.01 - 450,000.00
58
25,000,794
8.98
7.435
675
81.77
450,000.01 - 500,000.00
53
25,143,046
9.03
7.429
654
79.87
500,000.01 - 550,000.00
31
16,230,283
5.83
7.346
661
80.17
550,000.01 - 600,000.00
26
14,852,617
5.33
7.245
663
80.46
600,000.01 - 650,000.00
11
6,940,944
2.49
7.654
662
79.62
650,000.01 - 700,000.00
7
4,729,294
1.70
7.654
646
73.68
700,000.01 - 750,000.00
6
4,429,353
1.59
7.882
651
76.46
750,000.01 - 800,000.00
2
1,579,950
0.57
7.560
650
72.33
800,000.01 - 850,000.00
3
2,500,755
0.90
7.463
639
68.48
Total:
1,289
278,484,843
100
7.572
653
80.82



DESCRIPTION OF THE GROUP II COLLATERAL

Remaining Principal Balance
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Remaining Principal
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
108
4,008,175
1.44
10.334
630
90.98
50,000.01 - 100,000.00
194
14,520,837
5.21
9.155
636
87.43
100,000.01 - 150,000.00
268
33,585,385
12.06
7.922
637
81.48
150,000.01 - 200,000.00
205
36,046,876
12.94
7.566
642
80.82
200,000.01 - 250,000.00
108
24,043,193
8.63
7.370
652
80.68
250,000.01 - 300,000.00
87
23,844,423
8.56
7.185
656
79.77
300,000.01 - 350,000.00
86
27,728,125
9.96
7.150
660
80.41
350,000.01 - 400,000.00
36
13,300,794
4.78
7.090
665
80.96
400,000.01 - 450,000.00
58
25,000,794
8.98
7.435
675
81.77
450,000.01 - 500,000.00
53
25,143,046
9.03
7.429
654
79.87
500,000.01 - 550,000.00
31
16,230,283
5.83
7.346
661
80.17
550,000.01 - 600,000.00
26
14,852,617
5.33
7.245
663
80.46
600,000.01 - 650,000.00
11
6,940,944
2.49
7.654
662
79.62
650,000.01 - 700,000.00
7
4,729,294
1.70
7.654
646
73.68
700,000.01 - 750,000.00
6
4,429,353
1.59
7.882
651
76.46
750,000.01 - 800,000.00
2
1,579,950
0.57
7.560
650
72.33
800,000.01 - 850,000.00
3
2,500,755
0.90
7.463
639
68.48
Total:
1,289
278,484,843
100
7.572
653
80.82


Remaining Term
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
182
12,155,077
4.36
10.646
658
98.16
181 - 240
6
327,162
0.12
10.339
673
94.52
301 - 360
1,101
266,002,603
95.52
7.428
653
80.01
Total:
1,289
278,484,843
100
7.572
653
80.82



DESCRIPTION OF THE GROUP II COLLATERAL

Mortgage Rate
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
4.500 - 4.999
2
446,588
0.16
4.875
686
80.00
5.000 - 5.499
4
925,568
0.33
5.289
670
80.00
5.500 - 5.999
26
7,383,432
2.65
5.764
692
80.18
6.000 - 6.499
71
21,302,742
7.65
6.205
674
80.13
6.500 - 6.999
203
57,109,351
20.51
6.725
671
78.79
7.000 - 7.499
233
56,596,373
20.32
7.217
655
79.84
7.500 - 7.999
262
62,226,277
22.34
7.684
646
79.48
8.000 - 8.499
115
26,103,708
9.37
8.150
641
77.93
8.500 - 8.999
91
18,362,015
6.59
8.703
620
83.52
9.000 - 9.499
59
8,459,373
3.04
9.165
615
85.17
9.500 - 9.999
58
7,114,275
2.55
9.672
641
91.22
10.000 - 10.499
35
2,964,527
1.06
10.274
645
95.90
10.500 - 10.999
46
4,008,838
1.44
10.715
636
93.80
11.000 - 11.499
29
2,377,232
0.85
11.129
642
98.68
11.500 - 11.999
23
1,274,015
0.46
11.726
628
98.22
12.000 - 12.499
24
1,495,408
0.54
12.139
608
95.71
12.500 - 12.999
8
335,119
0.12
12.526
590
99.95
Total:
1,289
278,484,843
100
7.572
653
80.82

 




DESCRIPTION OF THE GROUP II COLLATERAL

Original Combined Loan-to-Value Ratio
Original Combined
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
Loan-to-Value
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
17
1,381,338
0.50
8.198
622
41.12
50.01 - 55.00
5
812,420
0.29
8.099
576
52.67
55.01 - 60.00
7
1,147,989
0.41
7.327
636
57.11
60.01 - 65.00
16
6,344,280
2.28
7.503
629
63.56
65.01 - 70.00
15
4,154,747
1.49
7.646
656
68.51
70.01 - 75.00
30
10,600,948
3.81
7.968
622
73.63
75.01 - 80.00
878
213,764,241
76.76
7.235
657
79.94
80.01 - 85.00
31
5,349,549
1.92
8.535
624
84.54
85.01 - 90.00
66
12,800,367
4.60
8.438
641
89.83
90.01 - 95.00
25
5,619,466
2.02
8.919
636
94.78
95.01 - 100.00
199
16,509,497
5.93
10.183
659
99.93
Total:
1,289
278,484,843
100
7.572
653
80.82





DESCRIPTION OF THE GROUP II COLLATERAL

FICO Score at Origination
     
% of Aggregate
  
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
525 - 549
8
694,612
0.25
9.025
545
75.47
550 - 574
45
8,330,633
2.99
9.041
564
78.23
575 - 599
176
27,651,635
9.93
8.298
589
80.75
600 - 624
252
48,256,201
17.33
7.738
613
80.73
625 - 649
234
51,141,115
18.36
7.517
638
80.69
650 - 674
254
65,676,478
23.58
7.368
661
80.23
675 - 699
148
33,792,890
12.13
7.374
685
82.15
700 - 724
69
16,191,397
5.81
7.315
711
81.42
725 - 749
55
12,969,654
4.66
7.026
735
82.35
750 - 774
30
9,107,659
3.27
7.074
763
81.14
775 - 799
13
3,090,098
1.11
6.987
787
79.89
800 - 824
5
1,582,470
0.57
6.943
808
81.70
Total:
1,289
278,484,843
100
7.572
653
80.82




DESCRIPTION OF THE GROUP II COLLATERAL

Geographic Distribution*
 
Number of
Aggregate
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
296
103,856,446
37.29
7.195
668
80.46
Florida
117
25,177,050
9.04
7.855
655
81.55
Arizona
92
20,469,779
7.35
7.825
642
77.98
Ohio
131
13,734,151
4.93
7.515
626
83.84
Texas
103
13,334,406
4.79
7.425
638
80.12
Maryland
43
12,565,465
4.51
7.723
666
81.61
Minnesota
58
12,153,425
4.36
7.816
644
79.80
Virginia
31
8,860,991
3.18
8.065
646
79.94
Nevada
25
7,175,432
2.58
7.183
671
80.70
Michigan
60
6,794,314
2.44
7.942
637
82.69
Washington
23
6,649,025
2.39
7.273
641
79.56
Illinois
30
6,325,382
2.27
8.098
638
81.03
Tennessee
38
5,914,510
2.12
7.635
616
79.76
Colorado
17
3,563,593
1.28
7.294
650
80.68
Oregon
13
3,129,274
1.12
7.848
662
83.49
Kentucky
26
2,908,872
1.04
7.764
638
83.65
Georgia
17
2,594,203
0.93
7.780
639
80.77
North Carolina
18
2,485,529
0.89
8.023
627
81.04
Indiana
18
2,438,318
0.88
7.956
622
82.13
Wisconsin
15
2,294,473
0.82
8.846
609
83.99
Missouri
19
2,149,293
0.77
8.996
617
86.13
Pennsylvania
19
2,123,106
0.76
7.839
660
85.17
South Carolina
13
1,850,946
0.66
7.964
640
81.05
New Mexico
10
1,570,992
0.56
7.958
653
84.78
New Jersey
3
1,542,793
0.55
9.890
623
84.71
Idaho
8
821,568
0.30
7.819
626
77.78
Mississippi
10
687,904
0.25
9.125
611
84.26
Arkansas
8
640,159
0.23
8.067
643
81.90
District of Columbia
1
600,000
0.22
6.625
665
63.16
New York
1
419,793
0.15
9.500
616
100.00
Utah
2
407,825
0.15
7.307
753
80.00
Louisiana
3
407,317
0.15
7.726
626
80.10
Hawaii
1
384,699
0.14
6.750
652
80.00
Alabama
3
381,650
0.14
8.303
634
80.00
*Geographic Distribution continued on the next page





DESCRIPTION OF THE GROUP II COLLATERAL

Geographic Distribution (Continued)
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Alaska
1
359,200
0.13
7.750
686
80.00
Iowa
3
357,103
0.13
9.637
575
80.00
Massachusetts
1
338,531
0.12
8.875
743
90.00
Oklahoma
3
296,552
0.11
9.069
608
82.22
Maine
2
203,965
0.07
7.779
593
66.56
West Virginia
2
193,414
0.07
8.982
611
88.13
Vermont
1
121,000
0.04
7.875
550
60.50
Montana
2
109,462
0.04
10.648
546
85.00
Kansas
2
92,931
0.03
10.322
620
72.64
Total:
1,289
278,484,843
100
7.572
653
80.82



DESCRIPTION OF THE GROUP II COLLATERAL



Occupancy Status
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
1,252
271,216,101
97.39
7.559
652
80.79
Investment
29
5,265,517
1.89
7.901
706
79.89
Second Home
8
2,003,225
0.72
8.421
662
86.85
Total:
1,289
278,484,843
100
7.572
653
80.82

Documentation Type
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full
796
147,787,103
53.07
7.548
635
81.32
Stated Documentation
362
92,567,924
33.24
7.527
680
80.02
Limited
101
32,270,990
11.59
7.675
647
80.95
No Documentation
30
5,858,827
2.10
8.289
711
79.93
Total:
1,289
278,484,843
100
7.572
653
80.82
 
Loan Purpose
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Purchase
1,073
233,585,127
83.88
7.495
657
81.23
Refinance - Cashout
183
39,789,411
14.29
7.971
631
78.65
Refinance - Rate Term
33
5,110,305
1.84
7.955
624
78.82
Total:
1,289
278,484,843
100
7.572
653
80.82




DESCRIPTION OF THE GROUP II COLLATERAL

Property Type
     
% of Aggregate
  
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
603
130,211,385
46.76
7.701
649
81.04
PUD
579
126,846,595
45.55
7.390
656
80.60
Condo
94
18,431,512
6.62
7.923
655
81.04
2-4 Family
11
2,278,051
0.82
7.604
654
82.63
Townhouse
1
600,000
0.22
6.625
665
63.16
Modular
1
117,300
0.04
8.875
616
85.00
Total:
1,289
278,484,843
100
7.572
653
80.82




DESCRIPTION OF THE GROUP II COLLATERAL

Rate Adjustment*
     
% of Aggregate
  
W.A.
W.A.
Month & Year of Next
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
July-2006
1
339,283
0.13
6.000
698
79.99
August-2006
1
142,000
0.05
6.500
607
71.00
October-2006
1
188,400
0.07
8.500
618
81.91
January-2007
2
633,295
0.24
7.744
725
78.80
February-2007
2
758,800
0.29
7.448
730
79.95
March-2007
1
650,400
0.25
7.500
627
66.57
April-2007
2
849,154
0.33
8.687
642
83.67
August-2007
1
75,149
0.03
8.250
582
85.00
September-2007
1
137,002
0.05
6.875
660
47.57
October-2007
16
5,389,354
2.07
6.369
695
81.16
November-2007
7
2,796,407
1.07
6.427
668
80.84
December-2007
44
12,976,810
4.98
7.189
665
80.63
January-2008
127
34,510,111
13.25
7.257
656
79.52
February-2008
176
45,978,637
17.65
7.636
643
80.41
March-2008
219
52,197,278
20.04
7.603
648
79.53
April-2008
218
51,122,927
19.63
7.563
650
79.93
May-2008
21
5,540,889
2.13
7.714
636
79.38
September-2008
1
175,200
0.07
7.125
582
80.00
October-2008
2
729,635
0.28
5.950
672
88.01
November-2008
3
754,418
0.29
7.656
660
80.00
December-2008
9
2,488,470
0.96
6.959
682
82.85
January-2009
41
9,828,918
3.77
6.688
672
79.63
February-2009
34
5,736,223
2.20
7.367
646
80.26
March-2009
50
10,343,835
3.97
7.153
649
80.58
April-2009
51
9,872,140
3.79
7.363
653
80.93
May-2009
3
387,100
0.15
7.891
643
85.18
October-2010
1
292,000
0.11
5.250
659
80.00
November-2010
1
340,000
0.13
6.875
611
80.00
December-2010
1
362,300
0.14
7.625
668
80.00
January-2011
4
1,199,489
0.46
6.937
704
73.30
February-2011
3
377,846
0.15
6.632
701
80.00
March-2011
6
1,248,163
0.48
7.500
676
81.30
April-2011
11
2,046,300
0.79
7.280
664
78.13
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only




DESCRIPTION OF THE GROUP II 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
912,400
0.35
6.923
654
80.00
2.500 - 2.999
2
663,607
0.25
7.592
663
80.00
3.000 - 3.499
5
2,013,362
0.77
7.230
680
77.31
3.500 - 3.999
34
7,836,099
3.01
7.502
626
58.83
4.000 - 4.499
792
194,686,821
74.75
7.242
655
79.51
4.500 - 4.999
16
3,836,796
1.47
7.295
649
77.97
5.000 - 5.499
39
8,334,084
3.20
8.150
637
81.39
5.500 - 5.999
85
22,451,314
8.62
8.065
647
86.87
6.000 - 6.499
40
8,671,993
3.33
8.206
653
89.67
6.500 - 6.999
21
5,176,716
1.99
7.410
647
81.09
7.000 - 7.499
9
1,585,921
0.61
8.131
649
82.32
7.500 - 7.999
9
3,174,441
1.22
8.361
665
80.60
8.000 - 8.499
3
636,557
0.24
8.355
643
84.73
8.500 - 8.999
3
487,821
0.19
9.289
623
88.43
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only




DESCRIPTION OF THE GROUP II 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 (%)
10.500 - 10.999
2
446,588
0.17
4.875
686
80.00
11.000 - 11.499
4
925,568
0.36
5.289
670
80.00
11.500 - 11.999
26
7,383,432
2.83
5.764
692
80.18
12.000 - 12.499
69
20,767,915
7.97
6.209
676
80.13
12.500 - 12.999
201
56,865,392
21.83
6.717
670
78.78
13.000 - 13.499
227
55,280,228
21.22
7.216
655
79.83
13.500 - 13.999
253
61,061,192
23.44
7.685
646
79.49
14.000 - 14.499
110
25,939,108
9.96
8.154
640
77.94
14.500 - 14.999
77
16,962,598
6.51
8.703
618
83.32
15.000 - 15.499
42
6,294,267
2.42
9.171
602
85.34
15.500 - 15.999
30
5,735,865
2.20
9.607
617
85.69
16.000 - 16.499
7
872,048
0.33
10.197
639
94.49
16.500 - 16.999
9
1,215,025
0.47
10.589
601
84.44
17.000 - 17.499
2
572,583
0.22
11.000
672
97.51
17.500 - 17.999
1
96,122
0.04
11.750
694
90.00
18.000 - 18.499
1
50,000
0.02
12.000
599
100.00
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only




DESCRIPTION OF THE GROUP II 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 (%)
0.000 - 0.499
1
127,495
0.05
7.250
625
80.00
3.000 - 3.499
2
783,357
0.30
7.659
662
77.16
4.000 - 4.499
1
780,000
0.30
7.750
648
64.46
4.500 - 4.999
2
446,588
0.17
4.875
686
80.00
5.000 - 5.499
4
925,568
0.36
5.289
670
80.00
5.500 - 5.999
26
7,383,432
2.83
5.764
692
80.18
6.000 - 6.499
71
21,364,903
8.20
6.270
674
80.58
6.500 - 6.999
200
56,743,404
21.79
6.718
670
78.78
7.000 - 7.499
224
54,433,321
20.90
7.213
655
79.78
7.500 - 7.999
253
60,137,303
23.09
7.683
646
79.73
8.000 - 8.499
109
25,859,287
9.93
8.140
640
77.93
8.500 - 8.999
77
16,721,156
6.42
8.710
618
82.94
9.000 - 9.499
43
7,203,255
2.77
9.176
605
83.72
9.500 - 9.999
28
4,753,085
1.82
9.672
613
88.24
10.000 - 10.499
7
872,048
0.33
10.197
639
94.49
10.500 - 10.999
9
1,215,025
0.47
10.589
601
84.44
11.000 - 11.499
2
572,583
0.22
11.000
672
97.51
11.500 - 11.999
1
96,122
0.04
11.750
694
90.00
12.000 - 12.499
1
50,000
0.02
12.000
599
100.00
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only

Initial Periodic Rate Cap*
     
% of Aggregate
  
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
2
481,283
0.18
6.148
671
77.34
2.000
7
2,627,307
1.01
7.934
665
77.76
3.000
1,052
257,359,341
98.81
7.408
653
80.00
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only





DESCRIPTION OF THE GROUP II COLLATERAL

Subsequent Periodic Rate Cap*
     
% of Aggregate
  
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
1,060
260,285,304
99.93
7.411
653
79.98
2.000
1
182,628
0.07
7.290
584
80.00
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only

Lifetime Periodic Cap*
     
% of Aggregate
  
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
6.000 - 6.499
1,058
259,414,094
99.60
7.407
653
80.01
6.500 - 6.999
2
871,210
0.33
8.726
638
69.84
7.000 - 7.499
1
182,628
0.07
7.290
584
80.00
Total:
1,061
260,467,932
100
7.411
653
79.98
*ARM Loans Only





DESCRIPTION OF THE GROUP II COLLATERAL

Original Prepayment Charge Term
     
% of Aggregate
  
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
267
63,276,864
22.72
8.006
658
81.37
2
1
36,050
0.01
12.200
736
100.00
12
57
21,265,933
7.64
7.845
657
80.06
24
659
141,484,924
50.81
7.468
651
80.87
36
228
41,546,481
14.92
7.317
653
79.97
48
77
10,874,590
3.90
6.821
631
81.58
Total:
1,289
278,484,843
100
7.572
653
80.82




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
Rika Yano
212-250-6997
Karan Mehta
212-250-0869
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