-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UCPncGsAwVk2HnAE/SPMgZM8B46GeTtba/0Vt9j1qYYkH19UZ6El8qEHHYPL3rbC AEDyaTvaVU+Lkyi7FinJCA== 0000882377-06-002721.txt : 20060809 0000882377-06-002721.hdr.sgml : 20060809 20060809140401 ACCESSION NUMBER: 0000882377-06-002721 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 2 FILED AS OF DATE: 20060809 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL4 CENTRAL INDEX KEY: 0001372075 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-131727-12 FILM NUMBER: 061016597 BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL4 CENTRAL INDEX KEY: 0001372075 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 FWP 1 d549690.htm ACE SECURITIES HOME EQUITY LOAN TRUST, 2006-SL4 Unassociated Document

ACE Securities Corp.
Home Equity Loan Trust Series 2006-SL4
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.

$334,481,000 (Approximate)
 
Home Equity Loan Trust
 
Series 2006-SL4

ACE Securities Corp.
(Depositor)
 
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL4
(Issuing Entity)



August 9, 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, the issuing entity 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.
 
 

 


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 ISSUING ENTITY OF THE SECURITIES OR ANY OF ITS AFFILIATES. DBSI IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUING ENTITY IN CONNECTION WITH THE PROPOSED TRANSACTION.



FREE WRITING PROSPECTUS DATED August 9, 2006
 
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-SL4
$334,481,000 (Approximate)
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
204,497,000
Float
0.90
1 - 25
0
ACT/360
September 2036
AAA / Aaa
A-2
49,336,000
Float
2.51
25 - 36
0
ACT/360
September 2036
AAA / Aaa
A-3
12,151,000
Fixed
5.32
36 - 64
24
30/360
September 2036
AAA / Aaa
M-1
13,908,000
Fixed
5.23
58 - 64
24
30/360
September 2036
AA+ / Aa1
M-2
13,560,000
Fixed
4.67
50 - 64
24
30/360
September 2036
AA / Aa2
M-3
4,868,000
Fixed
4.39
48 - 64
24
30/360
September 2036
AA / Aa3
M-4
7,997,000
Float
4.26
45 - 64
0
ACT/360
September 2036
A+ / A1
M-5
5,563,000
Float
4.15
43 - 64
0
ACT/360
September 2036
A / A2
M-6
4,868,000
Fixed
4.08
42 - 64
24
30/360
September 2036
A / A3
M-7
3,825,000
Float
4.03
41 - 64
0
ACT/360
September 2036
A- / Baa1
M-8
2,434,000
Float
4.00
41 - 64
0
ACT/360
September 2036
BBB+ / Baa2
M-9
6,085,000
Float
3.96
39 - 64
0
ACT/360
September 2036
BBB / Baa3
M-10
5,389,000
Float
3.91
38 - 64
0
ACT/360
September 2036
BBB- / Ba1
Total
334,481,000
             
       
 
Pricing Speed
Fixed-Rate Mortgage Loans
 
35% CPR

Transaction Overview
 
Certificates:
The Class A-1, Class A-2 and Class A-3 Certificates (the “Senior Certificates” or “Class A Certificates”) and 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 and Class M-10 Certificates (collectively, the “Mezzanine Certificates”). The Class A Certificates and the Mezzanine Certificates are referred to collectively in this free writing prospectus as the “Offered Certificates”. The pass-through rates on the Class A-1, Class A-2, Class M-4, Class M-5, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates (collectively, the “Floating Rate 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 rate on the Class A-3, Class M-1, Class M-2, Class M-3 and Class M-6 Certificates (collectively, the “Fixed Rate Certificates”) will be the lesser of (i) the applicable fixed rate and (ii) the applicable Net WAC Pass-Through Rate. The trust will also issue the Class CE-1 Certificates, the Class CE-2 Certificates, the Class P Certificates, and the Class R Certificates which are referred to herein as the “Non-offered Certificates”.





Transaction Overview
 
Collateral:
As of the Cut-off Date, the Mortgage Loans will consist of approximately 5,714 fixed-rate second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of all of the Mortgage Loans is approximately $347,691,832 as of the Cut-off Date.
   
Senior Certificates or Class A Certificates:
Class A-1 Certificates, Class A-2 Certificates, and Class A-3 Certificates
   
Mezzanine 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 and Class M-10 Certificates
   
Depositor:
ACE Securities Corp. (“ACE”)
   
Originators:
Originator
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining
Principal Balance
 
American Home Mortgage
244,466,908
    70.31
 
People’s Choice
37,404,967
    10.76
 
Other
65,819,956
    18.93
 
Total
347,691,832
100.00
   
Master Servicer and Securities Administrator:
Wells Fargo Bank, National Association
   
Servicer:
GMAC Mortgage Corporation (“GMAC”)
   
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:
August 1, 2006
   
Expected Pricing:
Week of August 7, 2006
   
Expected Closing Date:
On or about August 29, 2006
 
Record Date:
For so long as the Floating Rate Certificates are held in book-entry form, the Record Date for the Floating Rate Certificates will be the business day immediately preceding the related Distribution Date, and the Record Date for the Fixed Rate Certificates and any Floating Rate Certificates held in definitive form 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 September 2006.
   
Determination Date:
With respect to any Distribution Date, the 15th day of the calendar month in which such Distribution Date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th 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:
With respect to the first Distribution Date, the period beginning on the Cut-off Date and ending on the (15th) day of the month of such Distribution Date, and with respect to any Distribution Date thereafter, the period beginning on the sixteenth (16th) day of the month preceding the related Distribution Date and ending on the fifteenth (15th) day of the month in which such Distribution Date occurs.
   
Interest Accrual Period:
Interest will initially accrue on the Floating Rate 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 Floating Rate Certificates will initially settle flat (no accrued interest). Interest will accrue on the Fixed Rate Certificates for each Distribution Date during the period commencing on the first day of the month prior to the month in which the Distribution Date occurs and ending on the last day of the month immediately preceding the month in which such Distribution Date occurs on a 30/360 basis. The Fixed Rate Certificates will settle with accrued interest from the Cut-off Date to the Closing Date.
   
Interest Distribution Amount:
For the Offered 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 an amount 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, the Servicer and the Credit Risk Manager will be paid monthly fees on the outstanding principal balance of the Mortgage Loans. These fees (“Administration Fee Rate”) initially aggregate to a weighted average cost of approximately 0.5310% per annum 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 payable to the Servicer. If the Servicer fails to make such payments, the Master Servicer will be required to do so in an amount not to exceed the compensation payable to the Master Servicer.
   
Prepayment Interest Shortfalls:
Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans.
   
Expense Adjusted Mortgage Rate:
For any Mortgage Loan for any Distribution Date shall be a per annum rate equal to the applicable Mortgage Rate for such Mortgage Loan as of the first day of the month preceding the month in which such Distribution Date occurs minus the Administration Fee Rate.
   
Optional Termination:
On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans as of the related Determination Date is less than or equal to 10% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date, the Master Servicer may repurchase all of the Mortgage Loans and REO properties remaining in the trust, causing an early retirement of the Certificates, but is not required to do so. In the event that the Master Servicer fails to exercise such repurchase option on the first possible optional termination date, the Servicer may, subject to certain conditions set forth in the pooling and servicing agreement, exercise such repurchase option. In the event either the Master Servicer or the Servicer exercises this option, the portion of the purchase price allocable to the Certificates will be, to the extent of available funds, (i) 100% of the then outstanding Certificate Principal Balance of the Certificates, plus (ii) one month’s interest on the then outstanding Certificate Principal Balance of the Certificates at the then applicable pass-through rate for each such class, plus (iii) any previously accrued but unpaid interest thereon to which the holders of the Certificates are entitled, together with the amount of any Net WAC Rate Carryover Amounts.
   
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 but 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)   Overcollateralization (“OC”); and
3)   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 made to the Swap Provider, if any, second, to the Class CE-1 Certificates (the Class CE-2 Certificate will not have a certificate principal balance and will not be allocated any losses), third, to the Class M-10 Certificates, fourth, to the Class M-9 Certificates, fifth, to the Class M-8 Certificates, sixth, to the Class M-7 Certificates, seventh, to the Class M-6 Certificates, eighth, to the Class M-5 Certificates, ninth, to the Class M-4 Certificates, tenth, to the Class M-3 Certificates, eleventh, to the Class M-2 Certificates, and twelfth, 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 (except in the case of subsequent recoveries). 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, to the extent available for such distribution or from any Net Swap Payments payable by the Swap Provider available for this purpose.
 
A "Realized Loss" for a Liquidated Mortgage Loan is equal to the principal balance of such Liquidated Mortgage Loan plus interest thereon from the date on which interest was last paid less any liquidation proceeds received on such Mortgage Loan and for a Charged Off Mortgage Loan is equal to the principal balance of such Charged Off Mortgage Loan plus interest thereon from the date on which interest was last paid.
 
A "Liquidated Mortgage Loan" is a Mortgage Loan that was liquidated and for which the Servicer has determined that it has received all amounts it expects to receive in connection with such liquidation, including payments under any related private mortgage insurance policy, hazard insurance policy or any condemnation proceeds and amounts received in connection with the final disposition of the related REO property.
 
A "Charged Off Mortgage Loan" is a defaulted Mortgage Loan that the Servicer is required to charge off once such Mortgage Loan becomes 180 days delinquent provided that such Mortgage Loan has not yet been liquidated and provided further, that the Servicer has determined, based on a broker's price opinion and other relevant considerations, that no significant net recovery is possible through foreclosure proceedings or other liquidation of the related mortgaged property or that the potential net recovery is anticipated to be an amount that is insufficient to warrant proceeding through foreclosure or other liquidation of the related mortgaged property.
 
Required Overcollateralization Amount:
Overcollateralization refers to the amount by which the aggregate principal balance of the Mortgage Loans exceeds the Certificate Principal Balance of the Certificates (other than the Class CE-1 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 3.80% 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 7.60% 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, to the extent available will be paid to the Certificates then entitled to receive distributions in respect of principal in order to reduce the certificate principal balance of such Certificates to the extent necessary to reach the Required Overcollateralization Amount. In addition, Net Swap Payments paid by the Swap Provider may be used to restore or maintain the Required Overcollateralization Amount.
   
Overcollateralization Increase Amount:
An Overcollateralization Increase Amount for any Distribution Date is the amount of Net Monthly Excess Cashflow actually applied as an accelerated payment of principal to the extent the Required Overcollateralization Amount exceeds the current Overcollateralization Amount.
   
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 which the Certificate Principal Balances of the Class A Certificates are reduced to zero and (ii) the later to occur of (x) the Distribution Date occurring in September 2009 and (y) the first Distribution Date on which the Class A 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 47.00%.
 
Credit Enhancement Percentage:
The Credit Enhancement Percentage for any class of certificates 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
23.50%
47.00%
 
M-1
AA+ / Aa1
19.50%
39.00%
 
M-2
AA / Aa2
15.60%
31.20%
 
M-3
AA / Aa3
14.20%
28.40%
 
M-4
A+ / A1
11.90%
23.80%
 
M-5
A / A2
10.30%
20.60%
 
M-6
A / A3
8.90%
17.80%
 
M-7
A- / Baa1
7.80%
15.60%
 
M-8
BBB+ / Baa2
7.10%
14.20%
 
M-9
BBB / Baa3
5.35%
10.70%
 
M-10
BBB- / Ba1
3.80%
7.60%
 
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 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, (y) the amount of principal required to be distributed to the holders of the Certificates on such Distribution Date and (z) 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.
 
Net WAC Pass-Through Rate:
The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period with respect to the Floating Rate Certificates) equal to the product of (i) 12 and (ii) a fraction, expressed as a percentage, the numerator of which is the amount of interest which accrued on the Mortgage Loans during the related Due Period minus the fees payable to the Servicer, the Master Servicer and the Credit Risk Manager with respect to the Mortgage Loans for such Distribution Date and 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 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), after giving effect to principal prepayments received during the related Prepayment Period.
 
Net WAC Rate Carryover Amount:
If on any Distribution Date the Pass-Through Rate for any class of the Series 2006-SL4 Certificates is limited by the 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, in the case of a class of Floating Rate Certificates, or the related fixed rate, in the case of the Fixed Rate Certificates over (b) the amount of interest accrued on such class based on the 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, in the case of a class of Floating Rate Certificates, or the related fixed rate, in the case of the Fixed Rate Certificates 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.
   
Swap Agreement:
On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider described in the prospectus supplement. The Swap Agreement will have an initial notional amount of $278,153,465. Beginning with the Distribution Date in September 2006, the Trust (through a supplemental interest trust) will be obligated to pay an amount equal to the product of (i) [5.54]% per annum, (ii) the Swap Notional Amount (as defined below) and (iii) a fraction, the numerator of which is 30 and the denominator of which is 360, 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 the product of (i) one-month LIBOR, (ii) the Swap Notional Amount and (iii) a fraction, the numerator of which is the actual number of days elapsed during the related Interest Accrual Period and the denominator of which is 360, until the Swap Agreement is terminated. The “Swap Notional Amount” for each Distribution Date will be equal to the lesser of (a) the aggregate certificate principal balances of the Floating Rate Certificates on the day immediately preceding such Distribution Date, and (b) the scheduled swap notional amount set forth in the Swap Agreement for such Distribution Date. 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 Securities Administrator on behalf of 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 which is not payable as a result of the occurrence of a swap provider trigger event under the Swap Agreement, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full prior to distributions to Certificateholders.
   
Available Distribution Amount:
For any Distribution Date, net of the administration fees, an amount equal to (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all P&I Advances with respect to the Mortgage Loans received for the Distribution Date; (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period; and (v) Net Swap Payments payable by the Swap Provider.
   
Class A Principal Distribution Amount:
Until the Stepdown Date, or if a Trigger Event is in effect, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest and any net swap payment required to restore or maintain the Required Overcollateralization Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event is in effect, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 47.00% Credit Enhancement Percentage (2x the Class A Target Credit Enhancement Percentage). Principal distributions to the Class A Certificates will be allocated sequentially to the Class A-1 Certificates, Class A-2 Certificates and Class A-3 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero.
   
Class M Principal Distribution Amount:
The Mezzanine Certificates will generally not receive any principal payments until the Stepdown Date. On or after the Stepdown Date (if no Trigger Event is in effect), principal will be paid to the Mezzanine Certificates, first to the Class M-1 Certificates until it reaches approximately a 39.00% Credit Enhancement Percentage (2x the Class M-1 Target Credit Enhancement Percentage), second to the Class M-2 Certificates, until it reaches approximately a 31.20% Credit Enhancement Percentage (2x the Class M-2 Target Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 28.40% Credit Enhancement Percentage (2x the Class M-3 Target Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 23.80% Credit Enhancement Percentage (2x the Class M-4 Target Credit Enhancement Percentage), fifth to the Class M-5 Certificates until it reaches approximately a 20.60% Credit Enhancement Percentage (2x the Class M-5 Target Credit Enhancement Percentage), sixth to the Class M-6 Certificates, until it reaches approximately a 17.80% Credit Enhancement Percentage (2x the Class M-6 Target Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 15.60% Credit Enhancement Percentage (2x the Class M-7 Target Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 14.20% Credit Enhancement Percentage (2x the Class M-8 Target Credit Enhancement Percentage), ninth to the Class M-9 Certificates, until it reaches approximately a 10.70% Credit Enhancement Percentage (2x the Class M-9 Target Credit Enhancement Percentage, and tenth to the Class M-10 Certificates, until it reaches approximately a 7.60% Credit Enhancement Percentage (2x the Class M-10 Target Credit Enhancement Percentage
 
Coupon Step-up:
On the Distribution Date following the first possible optional termination date, the margin on the Certificates will increase to the following, subject to the applicable Net WAC Pass-Through Rate.
   
 
Class
After Optional Termination
 
A-1 Certificates and A-2 Certificates
2 x Margin
 
Fixed Rate Certificates
+ 0.50%
 
Floating Rate Mezzanine Certificates
The lesser of 1.5 x Margin and 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 17.03% of the Senior Credit Enhancement Percentage.
   
Cumulative Loss Test:
The determination on any Distribution Date that the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date:
 
 
Distribution Date Occurring in
Percentage
 
September 2008 to August 2009
1.95%, plus 1/12th of 2.40% for each month thereafter
 
September 2009 to August 2010
4.35%, plus 1/12th of 1.65% for each month thereafter
 
September 2010 to August 2011
6.00%, plus 1/12th of 1.25% for each month thereafter
 
September 2011 to August 2012
7.25%, plus 1/12th of 0.75% for each month thereafter
 
September 2012 and thereafter
8.00%
 
Payment Priority:
I. On each Distribution Date, the Available Distribution Amount 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.  (A) To pay interest to the Class A Certificates, including any accrued unpaid interest from a prior Distribution Date; on a pro rata basis, based on the entitlement of each such class.
(B) 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 under “Class A Principal Distribution Amount”.
4.  To pay principal to the Mezzanine Certificates in accordance with the principal payment provisions described above under “Class M Principal Distribution Amount”.
5.  From excess interest and any overcollateralization reduction amount, 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 and any overcollateralization reduction amount, if any, to pay the Interest Carry Forward Amounts on the Mezzanine Certificates, in the same priority as 2(B) above.
7.  From excess interest and any overcollateralization reduction amount, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, in the same priority as 2(B) above.
8.  From excess interest and any overcollateralization reduction amount, 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 and any overcollateralization reduction amount, if any, to pay the Swap Termination Payment (caused by a Swap Provider Trigger Event) owed to the Swap Provider.
10.  To pay any remaining amount to the non-offered certificates identified in, and in accordance with the provisions of, the Pooling and Servicing Agreement.
 
 
II. Any Net Swap Payments on deposit to the Supplemental Interest Trust will be paid 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 any unpaid interest on the Class A Certificates including any accrued unpaid interest from a prior Distribution Date, on a pro rata basis based on entitlement of such class, then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially.
3.  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.*
4.  To pay any allocated Realized Losses* remaining unpaid on the Mezzanine Certificates, sequentially.
5.  To pay the Net WAC Rate Carryover Amount on the Offered Certificates remaining unpaid in the same order of priority as described above.
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-1 Certificates.
 
* Notwithstanding the foregoing, the cumulative amount paid pursuant to clauses 3 and 4 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
   
ERISA:
It is expected that the Offered Certificates may be purchased by, or with the assets of, employee benefit plans subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or plans or arrangements subject to section 4975 of the Internal Revenue Code (each, a “Plan”). Prior to the termination of the Supplemental Interest Trust, Plans or persons using assets of a Plan may purchase the Offered Certificates if the purchase and holding meets the requirements of an investor-based class exemption issued by the Department of Labor. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates.
   
Taxation - REMIC:
One or more REMIC elections will be made for designated portions of the Trust (exclusive of certain shortfall payments or payments from the Supplemental Interest Trust or the obligation to make payments to the Supplemental Interest Trust pursuant to the Swap Agreement).
   
Form of Registration:
Book-entry form through DTC, Clearstream and Euroclear.
   
Minimum Denominations:
$25,000 and integral multiples of $1 in excess thereof.
   
 

 


Swap Schedule

Distribution Date
Notional Schedule ($)
Distribution Date
Notional Schedule ($)
9/25/2006
278,153,465
8/25/2010
50,261,709
10/25/2006
268,237,012
9/25/2010
48,458,997
11/25/2006
258,673,118
10/25/2010
46,720,663
12/25/2006
249,449,274
11/25/2010
45,044,414
1/25/2007
240,553,416
12/25/2010
43,428,040
2/25/2007
231,973,903
1/25/2011
41,869,410
3/25/2007
223,699,512
2/25/2011
40,366,467
4/25/2007
215,719,412
3/25/2011
38,917,228
5/25/2007
208,023,160
4/25/2011
37,519,781
6/25/2007
200,600,682
5/25/2011
36,172,282
7/25/2007
193,442,259
6/25/2011
34,872,599
8/25/2007
186,538,519
7/25/2011
33,619,349
9/25/2007
179,880,420
8/25/2011
32,410,906
10/25/2007
173,459,243
9/25/2011
31,245,688
11/25/2007
167,266,575
10/25/2011
30,122,153
12/25/2007
161,294,303
11/25/2011
29,038,815
1/25/2008
155,534,602
12/25/2011
27,994,243
2/25/2008
149,979,923
1/25/2012
0
3/25/2008
144,622,986
   
4/25/2008
139,456,767
   
5/25/2008
134,474,493
   
6/25/2008
129,669,630
   
7/25/2008
125,035,877
   
8/25/2008
120,567,155
   
9/25/2008
116,257,601
   
10/25/2008
112,101,560
   
11/25/2008
108,093,577
   
12/25/2008
104,228,392
   
1/25/2009
100,500,930
   
2/25/2009
96,906,296
   
3/25/2009
93,439,770
   
4/25/2009
90,096,798
   
5/25/2009
86,872,988
   
6/25/2009
83,764,104
   
7/25/2009
80,766,061
   
8/25/2009
77,874,917
   
9/25/2009
75,086,872
   
10/25/2009
72,398,259
   
11/25/2009
69,805,542
   
12/25/2009
67,305,311
   
1/25/2010
64,894,276
   
2/25/2010
62,569,264
   
3/25/2010
60,327,216
   
4/25/2010
58,165,180
   
5/25/2010
56,080,308
   
6/25/2010
54,069,855
   
7/25/2010
52,131,174
   






Sensitivity Table
To 10% Call

   
0% CPR
20% CPR
35% CPR
45% CPR
55% CPR
             
A-1
Avg Life
13.16
1.75
0.90
0.66
0.50
 
First Payment Date
Sep-06
Sep-06
Sep-06
Sep-06
Sep-06
 
Last Payment Date
Jun-21
Jun-11
Sep-08
Feb-08
Oct-07
             
A-2
Avg Life
16.68
7.27
2.51
1.83
1.38
 
First Payment Date
Jun-21
Jun-11
Sep-08
Feb-08
Oct-07
 
Last Payment Date
May-29
Jul-16
Aug-09
Nov-08
Apr-08
             
A-3
Avg Life
22.74
9.91
5.32
2.32
1.74
 
First Payment Date
May-29
Jul-16
Aug-09
Nov-08
Apr-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jan-09
Jun-08
             
M-1
Avg Life
16.86
6.49
5.23
3.74
2.74
 
First Payment Date
Jun-21
Sep-09
Jun-11
Jan-09
Jun-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-2
Avg Life
16.86
6.49
4.67
3.81
2.90
 
First Payment Date
Jun-21
Sep-09
Oct-10
Apr-10
Jun-09
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-3
Avg Life
16.86
6.49
4.39
3.62
2.77
 
First Payment Date
Jun-21
Sep-09
Aug-10
Feb-10
Apr-09
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-4
Avg Life
16.86
6.49
4.26
3.43
2.63
 
First Payment Date
Jun-21
Sep-09
May-10
Oct-09
Jan-09
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             





Sensitivity Table
To 10% Call (Continued)

   
0% CPR
20% CPR
35% CPR
45% CPR
55% CPR
             
M-5
Avg Life
16.86
6.49
4.15
3.29
2.50
 
First Payment Date
Jun-21
Sep-09
Mar-10
Sep-09
Dec-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-6
Avg Life
16.86
6.49
4.08
3.20
2.44
 
First Payment Date
Jun-21
Sep-09
Feb-10
Jul-09
Nov-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-7
Avg Life
16.86
6.49
4.03
3.14
2.39
 
First Payment Date
Jun-21
Sep-09
Jan-10
Jun-09
Oct-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-8
Avg Life
16.86
6.49
4.00
3.10
2.36
 
First Payment Date
Jun-21
Sep-09
Jan-10
Jun-09
Oct-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-9
Avg Life
16.86
6.49
3.96
3.05
2.32
 
First Payment Date
Jun-21
Sep-09
Nov-09
Apr-09
Sep-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             
M-10
Avg Life
16.86
6.49
3.91
3.00
2.28
 
First Payment Date
Jun-21
Sep-09
Oct-09
Mar-09
Aug-08
 
Last Payment Date
May-29
Jul-16
Dec-11
Jun-10
Jul-09
             





Sensitivity Table
To Maturity

   
0% CPR
20% CPR
35% CPR
45% CPR
55% CPR
             
A-1
Avg Life
13.16
1.75
0.90
0.66
0.50
 
First Payment Date
Sep-06
Sep-06
Sep-06
Sep-06
Sep-06
 
Last Payment Date
Jun-21
Jun-11
Sep-08
Feb-08
Oct-07
             
A-2
Avg Life
16.89
7.38
2.51
1.83
1.38
 
First Payment Date
Jun-21
Jun-11
Sep-08
Feb-08
Oct-07
 
Last Payment Date
Jun-32
Apr-18
Aug-09
Nov-08
Apr-08
             
A-3
Avg Life
27.93
13.87
8.25
2.32
1.74
 
First Payment Date
Jun-32
Apr-18
Aug-09
Nov-08
Apr-08
 
Last Payment Date
Mar-36
Dec-21
Sep-18
Jan-09
Jun-08
             
M-1
Avg Life
17.65
7.07
5.81
5.87
4.26
 
First Payment Date
Jun-21
Sep-09
Jun-11
Jan-09
Jun-08
 
Last Payment Date
Nov-35
Jun-21
Dec-16
May-15
Mar-13
             
M-2
Avg Life
17.65
7.07
5.05
4.33
3.33
 
First Payment Date
Jun-21
Sep-09
Oct-10
Apr-10
Jun-09
 
Last Payment Date
Oct-35
Jun-21
Jul-16
Nov-13
Jan-12
             
M-3
Avg Life
17.65
7.07
4.76
3.90
2.97
 
First Payment Date
Jun-21
Sep-09
Aug-10
Feb-10
Apr-09
 
Last Payment Date
Aug-35
Jun-21
Jan-16
Jun-13
Oct-11
             
M-4
Avg Life
17.64
7.07
4.62
3.70
2.82
 
First Payment Date
Jun-21
Sep-09
May-10
Oct-09
Jan-09
 
Last Payment Date
Jul-35
Jun-21
Nov-15
May-13
Sep-11
             





Sensitivity Table
To Maturity (Continued)

   
0% CPR
20% CPR
35% CPR
45% CPR
55% CPR
             
M-5
Avg Life
17.63
7.07
4.50
3.55
2.69
 
First Payment Date
Jun-21
Sep-09
Mar-10
Sep-09
Dec-08
 
Last Payment Date
May-35
Jun-21
Jun-15
Jan-13
Jun-11
             
M-6
Avg Life
17.62
7.07
4.41
3.44
2.62
 
First Payment Date
Jun-21
Sep-09
Feb-10
Jul-09
Nov-08
 
Last Payment Date
Feb-35
Jun-21
Feb-15
Oct-12
Apr-11
             
M-7
Avg Life
17.61
7.07
4.34
3.37
2.56
 
First Payment Date
Jun-21
Sep-09
Jan-10
Jun-09
Oct-08
 
Last Payment Date
Dec-34
Jun-21
Oct-14
Jul-12
Feb-11
             
M-8
Avg Life
17.60
7.04
4.30
3.32
2.52
 
First Payment Date
Jun-21
Sep-09
Jan-10
Jun-09
Oct-08
 
Last Payment Date
Sep-34
Mar-21
Jul-14
May-12
Dec-10
             
M-9
Avg Life
17.57
6.99
4.22
3.25
2.47
 
First Payment Date
Jun-21
Sep-09
Nov-09
Apr-09
Sep-08
 
Last Payment Date
Jul-34
Nov-20
Apr-14
Mar-12
Oct-10
             
M-10
Avg Life
17.47
6.87
4.11
3.15
2.38
 
First Payment Date
Jun-21
Sep-09
Oct-09
Mar-09
Aug-08
 
Last Payment Date
Oct-33
Sep-19
Aug-13
Sep-11
Jun-10
             






Effective Available Funds Schedule*
 
Effective Available Funds Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
9/25/2006
23.179
 
46
6/25/2010
13.454
2
10/25/2006
21.870
 
47
7/25/2010
13.390
3
11/25/2006
21.681
 
48
8/25/2010
12.724
4
12/25/2006
21.861
 
49
9/25/2010
12.608
5
1/25/2007
21.563
 
50
10/25/2010
12.908
6
2/25/2007
21.450
 
51
11/25/2010
12.608
7
3/25/2007
21.956
 
52
12/25/2010
12.908
8
4/25/2007
21.212
 
53
1/25/2011
12.608
9
5/25/2007
21.283
 
54
2/25/2011
12.608
10
6/25/2007
20.956
 
55
3/25/2011
13.574
11
7/25/2007
21.021
 
56
4/25/2011
12.608
12
8/25/2007
20.681
 
57
5/25/2011
12.909
13
9/25/2007
20.536
 
58
6/25/2011
12.609
14
10/25/2007
20.590
 
59
7/25/2011
12.909
15
11/25/2007
20.229
 
60
8/25/2011
12.609
16
12/25/2007
20.276
 
61
9/25/2011
12.609
17
1/25/2008
19.898
 
62
10/25/2011
12.909
18
2/25/2008
19.724
 
63
11/25/2011
12.609
19
3/25/2008
19.989
 
64
12/25/2011
12.910
20
4/25/2008
19.355
   
21
5/25/2008
19.381
       
22
6/25/2008
18.959
       
23
7/25/2008
18.975
       
24
8/25/2008
18.533
       
25
9/25/2008
18.307
       
26
10/25/2008
18.307
       
27
11/25/2008
17.831
       
28
12/25/2008
17.820
       
29
1/25/2009
17.319
       
30
2/25/2009
17.049
       
31
3/25/2009
17.570
       
32
4/25/2009
16.478
       
33
5/25/2009
16.433
       
34
6/25/2009
15.863
       
35
7/25/2009
15.803
       
36
8/25/2009
15.202
       
37
9/25/2009
14.853
       
38
10/25/2009
15.304
       
39
11/25/2009
15.218
       
40
12/25/2009
15.183
       
41
1/25/2010
14.592
       
42
2/25/2010
14.261
         
*  CPR: 35%
43
3/25/2010
15.004
         
*  Effective AFC is ACT/360 day count
44
4/25/2010
14.132
         
*  1 Month Libor: 20%
45
5/25/2010
14.085
         
*  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 (%)
Excess
Spread in bp
(Forward LIBOR)
Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
1
529
5.3700
529
45
445
5.2432
445
2
467
5.4291
467
46
444
5.2427
444
3
466
5.4665
466
47
444
5.2422
444
4
467
5.4531
467
48
443
5.2470
443
5
466
5.4336
466
49
443
5.3382
443
6
466
5.4654
466
50
444
5.3406
444
7
468
5.3713
468
51
443
5.3420
443
8
466
5.3779
466
52
444
5.3432
444
9
467
5.3338
467
53
444
5.3451
444
10
466
5.3022
466
54
444
5.3466
444
11
467
5.2735
467
55
446
5.3466
446
12
466
5.2385
466
56
444
5.3493
444
13
466
5.2367
466
57
445
5.3496
445
14
467
5.2155
467
58
444
5.3509
444
15
466
5.1954
466
59
445
5.3517
445
16
467
5.1725
467
60
445
5.3531
445
17
466
5.1546
466
61
445
5.3763
445
18
466
5.1343
466
62
446
5.3761
446
19
468
5.1133
468
63
445
5.3786
445
20
466
5.0952
466
64
446
5.3784
446
21
467
5.0753
467
       
22
466
5.0549
466
       
23
468
5.0365
468
       
24
466
5.0177
466
       
25
466
5.1896
466
       
26
468
5.1842
468
       
27
467
5.1794
467
       
28
469
5.1737
469
       
29
468
5.1694
468
       
30
468
5.1630
468
       
31
472
5.1571
472
       
32
469
5.1538
469
       
33
471
5.1467
471
       
34
470
5.1420
470
       
35
472
5.1363
472
       
36
471
5.1312
471
       
37
471
5.2468
471
       
38
452
5.2475
452
       
39
429
5.2466
429
       
40
436
5.2460
436
       
41
440
5.2463
440
       
42
443
5.2455
443
       
43
447
5.2438
447
       
44
445
5.2451
445
       

*Includes Net Swap Payments
*Excess Spread is on a 30/360 day count.






Breakeven CDR Table for the Subordinated Certificates
The assumptions for the breakeven CDR table below are as follows:
       
- Pricing speed prepayment assumption
             
- 10% cleanup call is exercised
             
- Forward Curves
             
- 100% Severity
             
- Interest & Principal advancing
             
- 3 month recovery lag
             
- Breakevens are shown at the loss before the referenced Class first incurs a writedown
     


 
Class
 
CDR Break-Even (%)
 
Cumulative Loss (%)
M-1
15.86
25.40
M-2
13.03
21.80
M-3
12.07
20.50
M-4
10.60
18.36
M-5
9.59
16.88
M-6
8.72
15.56
M-7
8.05
14.55
M-8
7.64
13.86
M-9
6.64
12.24
M-10
5.85
10.93

 





DESCRIPTION OF THE TOTAL COLLATERAL

SUMMARY - AGGREGATE POOL
 
Number of Mortgage Loans:
5,714
Occupancy Status:
 
Aggregate Principal Balance:
$347,691,832
Primary:
81.33%
Conforming Balance:
$324,897,016
Investment:
13.61%
Average Principal Balance:
$60,849
Second Home:
5.06%
Range:
$5,331 - $499,519
Documentation Status:
 
W.A. Coupon:
10.833%
Full:
26.41%
Range:
5.750% - 18.125%
Stated:
65.79%
W.A. Remaining Term (Months):
209
Limited:
0.47%
Range (Months):
117 - 360
No Ratio:
2.41%
W.A. Seasoning (Months):
2
No Documentation:
4.92%
Latest Maturity Date:
August 1, 2036
Second Liens:
100.00%
State Concentration (Top 5):
 
Fixed Rate:
100.00%
California:
19.62%
Non-Zero W.A. Prepayment Penalty (Months):
25
Florida:
12.60%
Loans with Prepay Penalties:
12.76%
Arizona:
6.10%
Interest Only Loans:
3.96%
Illinois:
5.99%
Weighted Average Interest Only Term (Months):
114
Virginia:
5.45%
Non-Zero W.A. FICO Score:
706
W.A. Original Combined LTV:
95.62%
Property Type:
 
Range:
21.00% - 100.00%
Single Family:
57.35%
Non-Balloon Loans:
19.96%
PUD:
24.17%
Originators:
 
2-4 Family:
9.46%
American Home Mortgage:
70.31%
Condo:
8.86%
People’s Choice:
10.76%
Townhouse:
0.15%
Other:
18.93%
Row House:
0.02%
       
 




DESCRIPTION OF THE TOTAL COLLATERAL

Originator
 
Originator
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
American Home Mortgage
3,753
244,466,908
70.31
10.600
713
95.18
People’s Choice
588
37,404,967
10.76
11.406
664
99.60
Other
1,373
65,819,956
18.93
11.374
703
95.00
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 
Product Type
 
Product Type
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Fixed - 10 Year
11
582,536
0.17
10.138
701
87.70
Fixed - 15 Year
124
4,552,878
1.31
9.625
707
89.37
Fixed - 15 Year IO
20
750,546
0.22
10.689
714
96.22
Fixed - 20 Year
79
3,680,349
1.06
9.705
714
92.26
Fixed - 30 Year
789
47,419,279
13.64
11.707
671
99.26
Fixed - 30 Year IO
249
12,417,947
3.57
10.765
725
94.54
Balloon - 15/30
4,431
277,458,455
79.80
10.725
711
95.21
Balloon - 15/30 IO
6
585,160
0.17
10.260
726
95.44
Balloon - 20/30
5
244,682
0.07
10.509
749
99.47
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 
Principal Balance at Origination
 
Principal Balance at Origination
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
0.01 - 50,000.00
3,009
93,041,538
26.76
10.691
706
94.87
50,000.01 - 100,000.00
1,944
137,602,226
39.58
10.720
703
96.40
472
57,279,299
16.47
11.056
706
96.50
150,000.01 - 200,000.00
201
36,159,283
10.40
11.443
710
94.76
200,000.01 - 250,000.00
37
8,601,387
2.47
10.566
713
95.04
250,000.01 - 300,000.00
34
9,335,447
2.68
10.941
719
96.23
300,000.01 - 350,000.00
8
2,589,051
0.74
10.001
708
84.45
350,000.01 - 400,000.00
7
2,514,282
0.72
9.992
716
88.77
400,000.01 - 450,000.00
1
69,799
0.02
9.625
750
62.00
450,000.01 - 500,000.00
1
499,519
0.14
9.625
681
79.00
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 

 
DESCRIPTION OF THE TOTAL COLLATERAL

Remaining Principal Balance
 
Remaining Principal Balance ($)
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
0.01 - 50,000.00
3,013
93,171,039
26.80
10.690
706
94.87
50,000.01 - 100,000.00
1,944
137,707,071
39.61
10.721
703
96.38
100,000.01 - 150,000.00
471
57,291,489
16.48
11.057
706
96.53
150,000.01 - 200,000.00
201
36,193,362
10.41
11.432
709
94.69
200,000.01 - 250,000.00
38
8,851,310
2.55
10.596
714
95.18
250,000.01 - 300,000.00
32
9,045,787
2.60
10.928
718
96.11
300,000.01 - 350,000.00
8
2,589,051
0.74
10.001
708
84.45
350,000.01 - 400,000.00
6
2,343,203
0.67
10.065
717
89.12
450,000.01 - 500,000.00
1
499,519
0.14
9.625
681
79.00
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 
Remaining Term
 
Months Remaining
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
61 - 120
11
582,536
0.17
10.138
701
87.70
121 - 180
4,581
283,347,039
81.49
10.706
711
95.12
181 - 240
84
3,925,032
1.13
9.755
716
92.71
301 - 360
1,038
59,837,226
17.21
11.511
682
98.28
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 

Interest Only Term
 
IO Term (months)
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
0
5,439
333,938,179
96.04
10.837
705
95.66
60
26
1,335,706
0.38
10.501
719
95.87
120
249
12,417,947
3.57
10.765
725
94.54
Total:
5,714
347,691,832
100.00
10.833
706
95.62


DESCRIPTION OF THE TOTAL COLLATERAL

Mortgage Rate
 
Mortgage Rate (%)
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
5.500 - 5.999
3
187,588
0.05
5.783
730
85.49
6.000 - 6.499
11
648,530
0.19
6.230
759
94.38
6.500 - 6.999
100
4,923,325
1.42
6.746
745
89.84
7.000 - 7.499
202
9,219,519
2.65
7.200
735
91.16
7.500 - 7.999
330
17,376,725
5.00
7.694
728
92.32
8.000 - 8.499
233
13,687,396
3.94
8.189
718
93.77
8.500 - 8.999
229
13,644,626
3.92
8.716
716
93.67
9.000 - 9.499
267
15,137,501
4.35
9.201
716
92.74
9.500 - 9.999
613
37,373,774
10.75
9.710
715
95.29
10.000 - 10.499
546
36,207,232
10.41
10.185
711
95.85
10.500 - 10.999
514
36,482,286
10.49
10.666
709
96.40
11.000 - 11.499
432
28,643,362
8.24
11.202
703
97.32
11.500 - 11.999
433
29,013,190
8.34
11.697
693
96.23
12.000 - 12.499
483
27,146,567
7.81
12.171
682
96.94
12.500 - 12.999
459
27,783,926
7.99
12.684
693
96.73
13.000 - 13.499
318
17,752,190
5.11
13.210
702
97.33
13.500 - 13.999
257
15,721,956
4.52
13.661
691
97.40
14.000 - 14.499
135
7,291,417
2.10
14.186
689
97.28
14.500 - 14.999
93
5,973,470
1.72
14.600
697
96.00
31
1,997,607
0.57
15.182
684
94.78
15.500 - 15.999
14
921,119
0.26
15.683
691
94.93
16.000 - 16.499
7
253,521
0.07
16.108
676
93.20
16.500 - 16.999
2
230,221
0.07
16.565
686
92.62
17.500 - 17.999
1
34,792
0.01
17.500
620
94.99
18.000 - 18.499
1
39,992
0.01
18.125
657
100.00
Total:
5,714
347,691,832
100.00
10.833
706
95.62

 

 
DESCRIPTION OF THE TOTAL COLLATERAL

Original Combined Loan-to-Value Ratio
 
Original Combined Loan-to-Value Ratio (%)
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Less than or equal to 50.00
12
782,577
0.23
8.338
706
40.77
50.01 - 55.00
11
651,055
0.19
9.097
695
53.14
55.01 - 60.00
7
380,020
0.11
9.601
700
58.04
60.01 - 65.00
17
1,383,164
0.40
8.608
722
63.44
65.01 - 70.00
20
2,320,260
0.67
8.685
704
68.32
70.01 - 75.00
37
2,290,382
0.66
9.739
702
73.36
75.01 - 80.00
108
8,509,672
2.45
9.388
698
79.02
80.01 - 85.00
138
8,169,172
2.35
10.277
700
84.27
85.01 - 90.00
1,239
57,067,660
16.41
10.619
713
89.67
90.01 - 95.00
1,133
63,438,199
18.25
10.860
713
94.78
95.01 - 100.00
2,992
202,699,671
58.30
11.037
702
99.92
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
FICO Score at Origination
 
FICO Score at Origination
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
575 - 599
74
3,391,103
0.98
12.259
590
99.90
600 - 624
140
7,527,077
2.16
12.091
615
98.35
625 - 649
401
22,828,487
6.57
12.052
639
95.96
650 - 674
820
47,175,214
13.57
11.900
664
95.03
675 - 699
1,279
84,542,135
24.32
10.649
687
95.51
700 - 724
1,061
68,082,035
19.58
10.489
711
95.75
725 - 749
869
54,214,257
15.59
10.444
737
95.65
750 - 774
598
33,792,857
9.72
10.422
762
95.86
775 - 799
377
20,860,684
6.00
10.190
786
95.26
800 - 824
95
5,277,983
1.52
9.856
806
92.57
Total:
5,714
347,691,832
100.00
10.833
706
95.62

 
 
DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution*
 
Location
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
California
717
68,200,849
19.62
10.635
702
94.86
Florida
709
43,819,641
12.60
11.666
698
96.34
Arizona
344
21,224,134
6.10
10.994
712
96.03
Illinois
357
20,820,113
5.99
10.715
703
96.44
Virginia
257
18,941,403
5.45
10.394
710
94.93
New York
173
16,688,799
4.80
11.218
710
95.15
Maryland
235
15,848,038
4.56
10.708
699
96.04
Colorado
225
11,824,304
3.40
10.324
713
96.40
Nevada
145
10,837,985
3.12
10.864
708
95.42
Washington
163
9,664,054
2.78
10.441
710
95.94
Texas
311
9,658,534
2.78
10.797
716
95.58
North Carolina
231
8,964,737
2.58
10.659
703
96.27
Oregon
152
8,863,579
2.55
10.478
718
93.95
New Jersey
109
8,796,485
2.53
11.308
708
94.86
Georgia
191
8,342,504
2.40
11.146
701
97.29
Massachusetts
112
7,325,054
2.11
10.647
710
95.32
Michigan
188
6,379,991
1.83
10.989
682
97.19
Connecticut
73
4,902,335
1.41
11.308
701
95.27
Utah
61
4,720,053
1.36
11.052
724
95.83
Pennsylvania
108
4,449,722
1.28
10.047
714
95.56
Minnesota
73
3,801,313
1.09
10.206
706
94.06
Ohio
106
3,447,438
0.99
9.936
718
95.82
93
3,333,091
0.96
10.085
719
95.77
Rhode Island
43
2,801,852
0.81
11.390
696
95.95
Indiana
74
2,580,922
0.74
10.468
713
95.98
Hawaii
27
2,421,171
0.70
10.704
690
95.42
Idaho
49
1,954,118
0.56
11.100
712
94.09
Tennessee
47
1,934,060
0.56
9.924
714
97.07
New Hampshire
29
1,901,210
0.55
10.972
728
92.88
Delaware
29
1,794,400
0.52
10.049
716
97.04
Louisiana
33
1,364,886
0.39
10.405
704
94.22
District of Columbia
16
1,209,037
0.35
11.318
711
96.83
New Mexico
22
1,023,287
0.29
11.643
689
94.52
Wisconsin
23
850,947
0.24
11.229
701
95.30
Missouri
28
792,345
0.23
10.955
702
93.88
West Virginia
11
748,331
0.22
10.694
702
98.41
25
707,093
0.20
9.966
715
96.14

*Geographic Distribution continued on the next page



DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution (continued)
 
Location
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Maine
12
598,918
0.17
10.398
719
98.46
Iowa
16
524,998
0.15
9.160
718
93.53
Mississippi
13
513,269
0.15
12.026
683
98.18
Kentucky
13
484,422
0.14
10.594
741
96.02
Montana
12
475,449
0.14
11.204
715
97.31
Kansas
14
444,219
0.13
9.810
721
94.21
Alabama
11
388,610
0.11
10.220
723
96.80
Arkansas
12
359,776
0.10
9.091
721
93.47
Vermont
6
339,635
0.10
10.511
745
98.15
Wyoming
7
325,133
0.09
9.116
712
97.45
Nebraska
4
147,245
0.04
11.599
702
94.33
Alaska
3
98,273
0.03
10.592
706
85.22
South Dakota
2
54,071
0.02
9.875
743
95.00
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 


DESCRIPTION OF THE TOTAL COLLATERAL

Occupancy Status
 
Occupancy Status
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Primary
4,237
282,764,996
81.33
10.441
703
96.10
Investment
1,181
47,329,775
13.61
12.694
718
92.70
Second Home
296
17,597,060
5.06
12.122
723
95.90
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 
Documentation Type
 
Program
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Stated Documentation
3,455
228,739,152
65.79
11.257
706
95.76
Full Documentation
1,836
91,820,082
26.41
9.204
703
95.12
No Documentation
267
17,102,205
4.92
12.991
732
95.42
No Ratio
136
8,393,565
2.41
12.605
690
97.20
Limited Documentation
20
1,636,827
0.47
11.224
664
99.30
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 
Loan Purpose
 
Purpose
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Purchase
4,374
260,647,975
74.97
11.001
710
97.31
Refinance - Cashout
1,204
81,525,162
23.45
10.339
694
90.53
Refinance - Rate Term
136
5,518,695
1.59
10.186
709
91.28
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 


Property Type
 
Property Type
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
Single Family Residence
3,303
199,397,094
57.35
10.639
704
95.50
PUD
1,298
84,025,411
24.17
10.592
709
95.88
2-4 Family
508
32,886,354
9.46
12.267
708
94.71
Condo
596
30,806,604
8.86
11.189
710
96.63
Townhouse
7
520,258
0.15
12.279
659
99.99
Rowhouse
2
56,111
0.02
11.063
611
99.98
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 
Original Prepayment Charge Term
 
Prepayment Penalty Term (months)
Number of Initial Mortgage Loans
Aggregate Remaining Principal Balance ($)
% of Aggregate Remaining Principal Balance
W.A. Coupon (%)
W.A. Non-Zero FICO
W.A. Original CLTV (%)
0
4,990
303,337,625
87.24
10.749
710
95.17
12
86
5,781,998
1.66
11.430
693
98.11
24
481
29,904,806
8.60
11.407
669
99.28
30
1
26,394
0.01
13.125
710
100.00
36
156
8,641,008
2.49
11.397
686
97.32
Total:
5,714
347,691,832
100.00
10.833
706
95.62
 
 






FOR ADDITIONAL INFORMATION PLEASE CALL:


Deutsche Bank Securities
   
Whole Loan Trading
 
Michael Commaroto
212-250-3114
Paul Mangione
212-250-5786
Gary Huang
212-250-7943
   
ABS Banking
 
Sue Valenti
212-250-3455
Rika Yano
212-250-6997
   
ABS Structuring
 
Bill Yeung
212-250-6893
Chris Sudol
212-250-0507
   
ABS Collateral
 
Steve Lumer
212-250-0115
Justice Asante
212-250-8595
   




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MQ/O;^VTW6;?RY9+9M/T^-90,GY2\4BY]4-?H!17%F_&E3-,HEEU/"4J-.4E) ;^SBXW:\KV_`WP60QP>-6)E6G4DDU[SOHS__9 ` end
-----END PRIVACY-ENHANCED MESSAGE-----