-----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, I0W4drtMm0ygijvdFXv1A70iZ2cdmu6aJ4zCQmHBgaeKwSSCZnLOAw9vyBdrKNYs z1qie5nxU1zoDu05jyyvPA== 0000882377-06-002798.txt : 20060815 0000882377-06-002798.hdr.sgml : 20060815 20060814215144 ACCESSION NUMBER: 0000882377-06-002798 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 2 FILED AS OF DATE: 20060815 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: Ace Securities Corp. Home Equity Loan Trust, Series 2006-NC2 CENTRAL INDEX KEY: 0001372671 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: 333-131727-13 FILM NUMBER: 061032924 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-NC2 CENTRAL INDEX KEY: 0001372671 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 d552257a.htm ACE SECURITIES CORP. HOME EQUITY LOAN 2006-NC2 Unassociated Document
ACE Securities Corp.
Home Equity Loan Trust Series 2006-NC2
Filed pursuant to rule 433(d) - Registration No. 333-131727
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.

$861,478,000 (Approximate)
 
Home Equity Loan Trust
 
Series 2006-NC2

ACE Securities Corp.
(Depositor)
 
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC2
(Issuing Entity)



August 14, 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.


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 14, 2006
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-NC2
$861,478,000 (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
316,508,000
Float
2.18
  1 - 81
0
ACT/360
July 2036
AAA / Aaa
A-2A
189,052,000
Float
1.00
  1 - 21
0
ACT/360
July 2036
AAA / Aaa
A-2B
82,832,000
Float
2.00
21 - 28
0
ACT/360
July 2036
AAA / Aaa
A-2C
51,640,000
Float
3.00
28 - 61
0
ACT/360
July 2036
AAA / Aaa
A-2D
42,290,000
Float
6.40
61 - 81
0
ACT/360
July 2036
AAA / Aaa
M-1
34,297,000
Float
5.11
49 - 81
0
ACT/360
July 2036
AA+ / Aa1
M-2
47,835,000
Float
4.87
44 - 81
0
ACT/360
July 2036
AA / Aa2
M-3
15,343,000
Float
4.76
43 - 81
0
ACT/360
July 2036
AA- / Aa2
M-4
16,697,000
Float
4.72
42 - 81
0
ACT/360
July 2036
A+ / Aa3
M-5
16,697,000
Float
4.68
40 - 81
0
ACT/360
July 2036
A / A2
M-6
12,636,000
Float
4.65
40 - 81
0
ACT/360
July 2036
A- / A2
M-7
13,538,000
Float
4.63
39 - 81
0
ACT/360
July 2036
BBB+ / A3
M-8
9,477,000
Float
4.62
39 - 81
0
ACT/360
July 2036
BBB / Baa1
M-9
12,636,000
Float
4.59
38 - 81
0
ACT/360
July 2036
BBB- / Baa2
                 
Total Offered
$861,478,000
              
                 
Non-Offered Certificates
              
M-10
14,892,000
Float
* Not Offered *
M-11
9,928,000
Float
* Not Offered *
Total Non-Offered
$24,820,000
              
                 
Total
$886,298,000
    
 
Pricing Speed
Fixed-Rate Mortgage Loans:
  
100% PPC (4% CPR growing to 23% CPR over 12 months, and 23% CPR for each month thereafter)
     
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 fixed-rate and adjustable-rate first and second lien mortgage loans with conforming principal balances (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 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 and Class M-9 Certificates are the only certificates offered by this free writing prospectus (collectively, the “Offered Certificates”). The trust will also issue the Class M-10 Certificates, the Class M-11 Certificates, the Class CE Certificates, the Class P Certificates and the Class R Certificates which are not offered hereby. 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 4,878 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of the Mortgage Loans is approximately $902,542,793 as of the Cut-off Date. The Mortgage Loans will be separated into two groups. The Group I Mortgage Loans will consist of approximately 2,496 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $418,661,671and the Group II Mortgage Loans will consist of approximately 2,382 conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $483,881,121.
   
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-NC2. The Issuing Entity is also referred to herein as the trust.
   
Originator:
New Century Mortgage Corporation
   
Master Servicer and Securities Administrator:
 Wells Fargo Bank, National Association
   
Servicer:
 Countrywide Home Loans Servicing LP
   
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:
September 1, 2006
   
Expected Pricing:
   Week of August 14, 2006
   
Expected Closing Date:
   On or about [September 15], 2006
   

 
 
Record Date:
For so long as the Class A Certificates and Class M 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 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:
The 25th day of each month (or the next business day if such day is not a business day) commencing in October 2006.
   
Determination Date:
The Determination Date with respect to any Distribution Date is the 18th day of the month in which the Distribution Date occurs or, if such day is not a business day, on the immediately preceding business.
   
Servicer Remittance Date:
The 22nd day of the month in which such Distribution Date occurs; provided that if such 22nd day of a given month is not a business day, the Servicer Remittance Date for such month shall be the business day immediately preceding such 22nd 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 and (i) principal prepayments in full, shall be 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) principal prepayments in part, the calendar month prior to such Distribution Date.
   
Interest Accrual Period:
Interest will initially accrue on the Class A Certificates and Class M 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 Class A Certificates and Class M 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 0.5185% per annum for the Mortgage Loans.
   
Prepayment Interest Shortfalls:
Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans.
   
Compensating Interest:
 On each distribution Date, the Servicer will be required to cover Prepayment Interest Shortfalls on voluntary prepayments in full on the Mortgage Loans received from the 16th day of the month prior to the month of such Distribution Date to the last day of such prior month, up to the Servicing Fee payable to the Servicer for such Distribution Date. If the Servicer fails to make any required Compensating Interest payment, the Master Servicer will be required to do so up to the amount of the compensation payable to the Master Servicer for such Distribution Date.
   
Optional Termination:
On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans (and properties acquired in respect of the Mortgage Loans) remaining in the trust as of the last day of the related Due Period has been reduced to 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.
   
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 by the Servicer. 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 received from the Swap Provider and available for this purpose, 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 and available for this purpose.
   
Required Overcollateralization Amount:
Overcollateralization refers to the amount by which the aggregate principal balance of the Mortgage Loans exceeds the aggregate certificate principal balance of the Certificates. This excess (the “Overcollateralization Amount”) is intended to protect the certificateholders against shortfalls in payments on the Certificates. The Required Overcollateralization Amount for the Certificates, which will be fully established at issuance, is anticipated to be approximately 1.80% 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 3.60% 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 lesser of (i) the Net Monthly Excess Cashflow for that Distribution Date and (ii) the excess of the Required Overcollateralization Amount over 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 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 October 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 48.80%.
   
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
24.40%
48.80%
 
M-1
AA+ / Aa1
20.60%
41.20%
 
M-2
AA / Aa2
15.30%
30.60%
 
M-3
AA- / Aa2
13.60%
27.20%
 
M-4
A+ / Aa3
11.75%
23.50%
 
M-5
A / A2
9.90%
19.80%
 
M-6
A- / A2
8.50%
17.00%
 
M-7
BBB+ / A3
7.00%
14.00%
 
M-8
BBB / Baa1
5.95%
11.90%
 
M-9
BBB- / Baa2
4.55%
9.10%
 
M-10
BB+ / Ba1
2.90%
5.80%
 
M-11
BB / Ba2
1.80%
3.60%
 
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, net of any Net Swap Payment and any Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (not caused by the occurrence of a Swap Provider trigger event) (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 and any Swap Termination Payment (not caused by the occurrence of a Swap Provider trigger event) payable 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). 
   
 
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:
On any Distribution Date the “Net WAC Rate Carryover Amount” for any Class of Certificates will be equal to the sum of (i) the excess of, if any, (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 identified in the final prospectus supplement. The Swap Agreement will have an initial notional amount of $783,342,714. Beginning with the Distribution Date in April 2007, the Trust (through a supplemental interest trust) will be obligated to pay to the Swap Provider an amount equal to the product of (i) [5.28]%, (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 Class A Certificates and Class M 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 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, 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.
   
Group I Cap Agreement:
On the Closing Date, the Trustee will enter into a “Group I Cap Agreement”, which will be effective for the period commencing on the Distribution Date occurring in October 2006 and ending on the Distribution Date occurring in March 2007, to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-1 Certificates and the Mezzanine Certificates as described herein. The Group I Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a specified strike rate for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group I Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-1 Certificates, the Mezzanine Certificates and the Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the Closing Date to but excluding the first Distribution Date), and the denominator of which is 360.
   
Group II Cap Agreement:
On the Closing Date, the Trustee will enter into a “Group II Cap Agreement”, which will be effective for the period commencing on the Distribution Date occurring in October 2006 and ending on the Distribution Date occurring in March 2007, to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-2A, Class A-2B, Class A-2C, Class A-2D Certificates and the Mezzanine Certificates as described herein. The Group II Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a specified strike rate for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group II Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-2A, Class A-2B, Class A-2C, Class A-2D Certificates, the Mezzanine Certificates and Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the Closing Date to but excluding the first Distribution Date), and the denominator of which is 360.
   
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 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; and (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period. 
   
Class A Principal Distribution Amount:
Until the Stepdown Date, 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).
 
Until the Stepdown Date, or if a Trigger Event occurs, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest and any Net Swap Payment received from the Swap Provider and required to maintain or restore the Required Overcollateralization Amount until the aggregate certificate principal balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event occurs, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 48.80% 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:
Unless the aggregate certificate principal balance of the Class A Certificates is reduced to zero, 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 41.20% Credit Enhancement Percentage (2x the Class M-1 Initial Credit Enhancement Percentage), second to the Class M-2 Certificates until it reaches approximately a 30.60% Credit Enhancement Percentage (2x the Class M-2 Initial Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 27.20% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 23.50% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), fifth to the Class M-5 Certificates until it reaches approximately a 19.80% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), sixth to the Class M-6 Certificates until it reaches approximately a 17.00% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 14.00% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 11.90% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), ninth to the Class M-9 Certificates until it reaches approximately a 9.10% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), tenth to the Class M-10 Certificates until it reaches approximately a 5.80% Credit Enhancement Percentage (2x the Class M-10 Initial Credit Enhancement Percentage) and eleventh to the Class M-11 Certificates until it reaches approximately a 3.60% Credit Enhancement Percentage (2x the Class M-11 Initial Credit Enhancement Percentage).

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 32.80% 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
 
October 2008 to September 2009
1.35%, plus 1/12th of 1.65% for each month thereafter
 
October 2009 to September 2010
3.00%, plus 1/12th of 1.70% for each month thereafter
 
October 2010 to September 2011
4.70%, plus 1/12th of 1.35% for each month thereafter
 
October 2011 to September 2012
6.05%, plus 1/12th of 0.70% for each month thereafter
 
October 2012 and thereafter
6.75%
 
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 and any 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 based on entitlement, 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 Net Monthly Excess Cashflow, 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 remaining Net Monthly Excess Cashflow, if any, to pay the Interest Carry Forward Amounts on the Mezzanine Certificates, on a sequential basis.
7.  From remaining Net Monthly Excess Cashflow, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, on a sequential basis.
8.  From remaining Net Monthly Excess Cashflow, if any, to pay the Net WAC Rate Carryover Amount on the Class A Certificates pro rata based on entitlement, and then, sequentially to the Mezzanine Certificates.
9.  From remaining Net Monthly Excess Cashflow, 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 Class CE, Class P and Class R 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 and any 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, and 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 Class A Certificates and Mezzanine 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 remaining Net WAC Rate Carryover Amount on the Class A Certificates pro rata based on entitlement and then sequentially to the Mezzanine Certificates.
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 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.
   
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.
   




Group 1 Cap Schedule
Distribution Date
Notional Schedule ($)
Strike Rate (%)
10/25/2006
418,661,671
7.50
11/25/2006
414,404,029
7.50
12/25/2006
409,433,755
7.50
1/25/2007
403,760,763
7.50
2/25/2007
397,398,694
7.50
3/25/2007
390,364,925
7.50
 
 


Group 2 Cap Schedule
Distribution Date
Notional Schedule ($)
Strike Rate (%)
10/25/2006
483,881,121
7.50
11/25/2006
478,898,207
7.50
12/25/2006
473,082,611
7.50
1/25/2007
466,446,090
7.50
2/25/2007
459,004,800
7.50
3/25/2007
450,779,311
7.50






Swap Schedule
Distribution Date
Notional Schedule ($)
Distribution Date
Notional Schedule ($)
10/25/2006
-
10/25/2008
236,214,786
11/25/2006
-
11/25/2008
225,646,003
12/25/2006
-
12/25/2008
215,558,588
1/25/2007
-
1/25/2009
205,930,700
2/25/2007
-
2/25/2009
196,750,755
3/25/2007
-
3/25/2009
187,987,508
4/25/2007
783,342,714
4/25/2009
179,621,745
5/25/2007
755,994,254
5/25/2009
171,635,153
6/25/2007
726,833,376
6/25/2009
164,010,272
7/25/2007
696,763,252
7/25/2009
156,730,592
8/25/2007
667,941,042
8/25/2009
149,781,557
9/25/2007
640,314,805
9/25/2009
143,146,441
10/25/2007
613,834,771
10/25/2009
136,810,829
11/25/2007
588,453,244
11/25/2009
130,760,979
12/25/2007
564,124,518
12/25/2009
124,983,784
1/25/2008
540,804,795
1/25/2010
119,466,794
2/25/2008
518,452,103
2/25/2010
114,198,199
3/25/2008
497,026,221
3/25/2010
109,166,472
4/25/2008
476,440,904
4/25/2010
104,360,780
5/25/2008
456,700,982
5/25/2010
99,770,793
6/25/2008
429,393,091
6/25/2010
95,386,661
7/25/2008
365,864,061
7/25/2010
91,199,003
8/25/2008
313,084,438
8/25/2010
0
9/25/2008
269,143,783
    
       




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
22.70
4.19
2.18
1.46
1.20
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
Dec-08
             
A-2A
Avg Life
17.91
1.52
1.00
0.83
0.68
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Dec-31
Jul-09
Jun-08
Mar-08
Nov-07
             
A-2B
Avg Life
27.02
3.88
2.00
1.76
1.48
 
First Payment Date
Dec-31
Jul-09
Jun-08
Mar-08
Nov-07
 
Last Payment Date
Oct-35
Mar-12
Jan-09
Aug-08
Jun-08
             
A-2C
Avg Life
29.70
7.48
3.00
2.07
1.83
 
First Payment Date
Oct-35
Mar-12
Jan-09
Aug-08
Jun-08
 
Last Payment Date
Jun-36
Sep-16
Oct-11
Jan-09
Aug-08
             
A-2D
Avg Life
29.78
12.33
6.40
2.66
2.02
 
First Payment Date
Jun-36
Sep-16
Oct-11
Jan-09
Aug-08
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Sep-09
Nov-08
             
M-1
Avg Life
29.40
8.51
5.11
5.11
3.26
 
First Payment Date
Jan-34
Sep-10
Oct-10
Oct-11
Dec-08
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-2
Avg Life
29.40
8.51
4.87
4.98
3.68
 
First Payment Date
Jan-34
Sep-10
May-10
Feb-11
Mar-10
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-3
Avg Life
29.40
8.51
4.76
4.52
3.45
 
First Payment Date
Jan-34
Sep-10
Apr-10
Nov-10
Dec-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-4
Avg Life
29.40
8.51
4.72
4.34
3.28
 
First Payment Date
Jan-34
Sep-10
Mar-10
Aug-10
Sep-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-5
Avg Life
29.40
8.51
4.68
4.19
3.15
 
First Payment Date
Jan-34
Sep-10
Jan-10
Jun-10
Jul-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10





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
29.40
8.51
4.65
4.08
3.05
 
First Payment Date
Jan-34
Sep-10
Jan-10
Apr-10
Jun-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-7
Avg Life
29.40
8.51
4.63
4.00
2.99
 
First Payment Date
Jan-34
Sep-10
Dec-09
Mar-10
May-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-8
Avg Life
29.40
8.51
4.62
3.94
2.93
 
First Payment Date
Jan-34
Sep-10
Dec-09
Feb-10
Apr-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-9
Avg Life
29.40
8.51
4.59
3.89
2.89
 
First Payment Date
Jan-34
Sep-10
Nov-09
Jan-10
Mar-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-10
Avg Life
29.40
8.51
4.59
3.83
2.84
 
First Payment Date
Jan-34
Sep-10
Oct-09
Nov-09
Feb-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10
             
M-11
Avg Life
29.40
8.38
4.50
3.74
2.78
 
First Payment Date
Jan-34
Sep-10
Oct-09
Nov-09
Jan-09
 
Last Payment Date
Jun-36
Sep-19
Jun-13
Oct-11
May-10








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
22.70
4.52
2.38
1.46
1.20
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Jun-36
Oct-33
Aug-22
Jan-19
Dec-08
             
A-2A
Avg Life
17.91
1.52
1.00
0.83
0.68
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Dec-31
Jul-09
Jun-08
Mar-08
Nov-07
             
A-2B
Avg Life
27.02
3.88
2.00
1.76
1.48
 
First Payment Date
Dec-31
Jul-09
Jun-08
Mar-08
Nov-07
 
Last Payment Date
Oct-35
Mar-12
Jan-09
Aug-08
Jun-08
             
A-2C
Avg Life
29.70
7.48
3.00
2.07
1.83
 
First Payment Date
Oct-35
Mar-12
Jan-09
Aug-08
Jun-08
 
Last Payment Date
Jun-36
Sep-16
Oct-11
Jan-09
Aug-08
             
A-2D
Avg Life
29.78
15.06
7.97
2.66
2.02
 
First Payment Date
Jun-36
Sep-16
Oct-11
Jan-09
Aug-08
 
Last Payment Date
Jun-36
Aug-33
Apr-22
Sep-09
Nov-08
             
M-1
Avg Life
29.40
9.42
5.64
8.15
5.24
 
First Payment Date
Jan-34
Sep-10
Oct-10
Oct-12
Dec-08
 
Last Payment Date
Jun-36
Feb-31
Jun-20
Sep-18
Aug-15
             
M-2
Avg Life
29.40
9.40
5.38
5.56
4.37
 
First Payment Date
Jan-34
Sep-10
May-10
Feb-11
Mar-10
 
Last Payment Date
Jun-36
Apr-30
Oct-19
Sep-16
Jan-14
             
M-3
Avg Life
29.40
9.37
5.25
4.91
3.74
 
First Payment Date
Jan-34
Sep-10
Apr-10
Nov-10
Dec-09
 
Last Payment Date
Jun-36
Dec-28
Nov-18
Jan-16
Jul-13
             
M-4
Avg Life
29.40
9.35
5.20
4.71
3.56
 
First Payment Date
Jan-34
Sep-10
Mar-10
Aug-10
Sep-09
 
Last Payment Date
Jun-36
May-28
Jul-18
Sep-15
Apr-13
             
M-5
Avg Life
29.40
9.31
5.14
4.55
3.42
 
First Payment Date
Jan-34
Sep-10
Jan-10
Jun-10
Jul-09
 
Last Payment Date
Jun-36
Sep-27
Feb-18
May-15
Jan-13





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
29.40
9.27
5.08
4.42
3.31
 
First Payment Date
Jan-34
Sep-10
Jan-10
Apr-10
Jun-09
 
Last Payment Date
Jun-36
Nov-26
Jul-17
Dec-14
Oct-12
             
M-7
Avg Life
29.40
9.22
5.03
4.32
3.23
 
First Payment Date
Jan-34
Sep-10
Dec-09
Mar-10
May-09
 
Last Payment Date
Jun-36
Feb-26
Feb-17
Aug-14
Jul-12
             
M-8
Avg Life
29.40
9.16
4.98
4.23
3.15
 
First Payment Date
Jan-34
Sep-10
Dec-09
Feb-10
Apr-09
 
Last Payment Date
Jun-36
Feb-25
Jul-16
Mar-14
Mar-12
             
M-9
Avg Life
29.40
9.06
4.91
4.14
3.08
 
First Payment Date
Jan-34
Sep-10
Nov-09
Jan-10
Mar-09
 
Last Payment Date
Jun-36
Apr-24
Jan-16
Oct-13
Nov-11
             
M-10
Avg Life
29.40
8.85
4.78
3.98
2.96
 
First Payment Date
Jan-34
Sep-10
Oct-09
Nov-09
Feb-09
 
Last Payment Date
Jun-36
Nov-22
Mar-15
Mar-13
Jun-11
             
M-11
Avg Life
29.40
8.41
4.51
3.76
2.79
 
First Payment Date
Jan-34
Sep-10
Oct-09
Nov-09
Jan-09
 
Last Payment Date
Jun-36
Jun-20
Nov-13
Feb-12
Aug-10



Class A-1 Effective Net WAC Schedule*
  
Class A-1 Effective Net WAC Schedule*
 
Period
 
Date
 
Effective Net WAC (%)
  
 
Period
 
Date
Effective
Net WAC (%)
1
10/25/2006
18.406
  
46
7/25/2010
18.302
2
11/25/2006
20.121
  
47
8/25/2010
12.402
3
12/25/2006
20.376
  
48
9/25/2010
12.393
4
1/25/2007
20.122
  
49
10/25/2010
12.796
5
2/25/2007
20.122
  
50
11/25/2010
12.375
6
3/25/2007
20.939
  
51
12/25/2010
12.780
7
4/25/2007
21.770
  
52
1/25/2011
12.391
8
5/25/2007
21.676
  
53
2/25/2011
12.381
9
6/25/2007
21.373
  
54
3/25/2011
13.697
10
7/25/2007
21.249
  
55
4/25/2011
12.362
11
8/25/2007
20.930
  
56
5/25/2011
12.765
12
9/25/2007
20.713
  
57
6/25/2011
12.345
13
10/25/2007
20.608
  
58
7/25/2011
12.769
14
11/25/2007
20.292
  
59
8/25/2011
12.347
15
12/25/2007
20.198
  
60
9/25/2011
12.337
16
1/25/2008
19.884
  
61
10/25/2011
12.739
17
2/25/2008
19.686
  
62
11/25/2011
12.318
18
3/25/2008
19.735
  
63
12/25/2011
12.719
19
4/25/2008
19.297
  
64
1/25/2012
12.299
20
5/25/2008
19.230
  
65
2/25/2012
12.289
21
6/25/2008
18.884
  
66
3/25/2012
13.126
22
7/25/2008
19.044
  
67
4/25/2012
12.269
23
8/25/2008
17.988
  
68
5/25/2012
12.668
24
9/25/2008
17.214
  
69
6/25/2012
12.250
25
10/25/2008
16.813
  
70
7/25/2012
12.648
26
11/25/2008
16.476
  
71
8/25/2012
12.230
27
12/25/2008
16.645
  
72
9/25/2012
12.220
28
1/25/2009
17.240
  
73
10/25/2012
12.618
29
2/25/2009
17.107
  
74
11/25/2012
12.201
30
3/25/2009
17.749
  
75
12/25/2012
12.597
31
4/25/2009
16.849
  
76
1/25/2013
12.181
32
5/25/2009
16.967
  
77
2/25/2013
12.171
33
6/25/2009
16.702
  
78
3/25/2013
13.464
34
7/25/2009
17.817
  
79
4/25/2013
12.151
35
8/25/2009
17.416
  
80
5/25/2013
12.546
36
9/25/2009
17.297
  
81
6/25/2013
12.131
37
10/25/2009
17.464
        
38
11/25/2009
17.066
        
39
12/25/2009
17.342
        
40
1/25/2010
17.887
        
41
2/25/2010
17.776
          
*PPC: 100% (ARM); PPC: 100% (Fixed)
42
3/25/2010
18.707
          
*1 Month LIBOR: 20%
43
4/25/2010
17.560
          
*6 Month Libor: 20%
44
5/25/2010
17.780
          
*Includes Net Swap Payments received from the Swap Provider and cap payment received from
45
6/25/2010
17.419
          
the Cap Provider






Class A-2 Effective Net WAC Schedule*
  
Class A-2 Effective Net WAC Schedule*
 
Period
 
Date
 
Effective Net WAC (%)
  
 
Period
 
Date
Effective
Net WAC (%)
1
10/25/2006
18.548
  
46
7/25/2010
19.175
2
11/25/2006
20.304
  
47
8/25/2010
13.250
3
12/25/2006
20.564
  
48
9/25/2010
13.244
4
1/25/2007
20.305
  
49
10/25/2010
13.679
5
2/25/2007
20.305
  
50
11/25/2010
13.231
6
3/25/2007
21.142
  
51
12/25/2010
13.676
7
4/25/2007
21.954
  
52
1/25/2011
13.241
8
5/25/2007
21.866
  
53
2/25/2011
13.235
9
6/25/2007
21.557
  
54
3/25/2011
14.646
10
7/25/2007
21.440
  
55
4/25/2011
13.222
11
8/25/2007
21.115
  
56
5/25/2011
13.656
12
9/25/2007
20.900
  
57
6/25/2011
13.215
13
10/25/2007
20.801
  
58
7/25/2011
13.658
14
11/25/2007
20.479
  
59
8/25/2011
13.211
15
12/25/2007
20.392
  
60
9/25/2011
13.204
16
1/25/2008
20.073
  
61
10/25/2011
13.638
17
2/25/2008
19.875
  
62
11/25/2011
13.191
18
3/25/2008
19.938
  
63
12/25/2011
13.624
19
4/25/2008
19.489
  
64
1/25/2012
13.178
20
5/25/2008
19.430
  
65
2/25/2012
13.171
21
6/25/2008
19.250
  
66
3/25/2012
14.072
22
7/25/2008
19.377
  
67
4/25/2012
13.158
23
8/25/2008
18.320
  
68
5/25/2012
13.589
24
9/25/2008
17.559
  
69
6/25/2012
13.144
25
10/25/2008
17.178
  
70
7/25/2012
13.575
26
11/25/2008
16.831
  
71
8/25/2012
13.131
27
12/25/2008
17.187
  
72
9/25/2012
13.124
28
1/25/2009
17.725
  
73
10/25/2012
13.554
29
2/25/2009
17.594
  
74
11/25/2012
13.110
30
3/25/2009
18.290
  
75
12/25/2012
13.540
31
4/25/2009
17.342
  
76
1/25/2013
13.096
32
5/25/2009
17.478
  
77
2/25/2013
13.089
33
6/25/2009
17.373
  
78
3/25/2013
14.484
34
7/25/2009
18.453
  
79
4/25/2013
13.075
35
8/25/2009
18.033
  
80
5/25/2013
13.504
36
9/25/2009
17.916
  
81
6/25/2013
13.061
37
10/25/2009
18.109
        
38
11/25/2009
17.692
        
39
12/25/2009
18.171
        
40
1/25/2010
18.636
        
41
2/25/2010
18.528
          
*PPC: 100% (ARM); PPC: 100% (Fixed)
42
3/25/2010
19.543
          
*1 Month LIBOR: 20%
43
4/25/2010
18.319
          
*6 Month Libor: 20%
44
5/25/2010
18.567
          
*Includes Net Swap Payments received from the Swap Provider and cap payment received from
45
6/25/2010
18.300
          
the Cap Provider

 




Class M Effective Net WAC Schedule*
  
Class M Effective Net WAC Schedule*
 
Period
 
Date
 
Effective Net WAC (%)
  
 
Period
 
Date
Effective
Net WAC (%)
1
10/25/2006
18.482
  
46
7/25/2010
18.771
2
11/25/2006
20.219
  
47
8/25/2010
12.858
3
12/25/2006
20.477
  
48
9/25/2010
12.850
4
1/25/2007
20.220
  
49
10/25/2010
13.271
5
2/25/2007
20.220
  
50
11/25/2010
12.836
6
3/25/2007
21.048
  
51
12/25/2010
13.262
7
4/25/2007
21.869
  
52
1/25/2011
12.849
8
5/25/2007
21.778
  
53
2/25/2011
12.841
9
6/25/2007
21.472
  
54
3/25/2011
14.209
10
7/25/2007
21.351
  
55
4/25/2011
12.825
11
8/25/2007
21.029
  
56
5/25/2011
13.238
12
9/25/2007
20.813
  
57
6/25/2011
12.804
13
10/25/2007
20.711
  
58
7/25/2011
13.237
14
11/25/2007
20.392
  
59
8/25/2011
12.802
15
12/25/2007
20.302
  
60
9/25/2011
12.794
16
1/25/2008
19.985
  
61
10/25/2011
13.212
17
2/25/2008
19.787
  
62
11/25/2011
12.778
18
3/25/2008
19.844
  
63
12/25/2011
13.195
19
4/25/2008
19.400
  
64
1/25/2012
12.761
20
5/25/2008
19.337
  
65
2/25/2012
12.753
21
6/25/2008
19.080
  
66
3/25/2012
13.624
22
7/25/2008
19.223
  
67
4/25/2012
12.736
23
8/25/2008
18.166
  
68
5/25/2012
13.152
24
9/25/2008
17.399
  
69
6/25/2012
12.720
25
10/25/2008
17.009
  
70
7/25/2012
13.135
26
11/25/2008
16.666
  
71
8/25/2012
12.703
27
12/25/2008
16.936
  
72
9/25/2012
12.695
28
1/25/2009
17.500
  
73
10/25/2012
13.109
29
2/25/2009
17.368
  
74
11/25/2012
12.678
30
3/25/2009
18.039
  
75
12/25/2012
13.092
31
4/25/2009
17.113
  
76
1/25/2013
12.661
32
5/25/2009
17.241
  
77
2/25/2013
12.652
33
6/25/2009
17.062
  
78
3/25/2013
13.999
34
7/25/2009
18.158
  
79
4/25/2013
12.635
35
8/25/2009
17.747
  
80
5/25/2013
13.048
36
9/25/2009
17.629
  
81
6/25/2013
12.618
37
10/25/2009
17.809
        
38
11/25/2009
17.401
        
39
12/25/2009
17.787
        
40
1/25/2010
18.289
        
41
2/25/2010
18.179
          
*PPC: 100% (ARM); PPC: 100% (Fixed)
42
3/25/2010
19.155
          
*1 Month LIBOR: 20%
43
4/25/2010
17.967
          
*6 Month Libor: 20%
44
5/25/2010
18.203
          
*Includes Net Swap Payments received from the Swap Provider and cap payment received from
45
6/25/2010
17.892
          
the Cap Provider

 





Excess Spread*
(Assumes Pricing Prepayment Speed, Excludes Basis Risk Shortfalls)

Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month
Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month
Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
1
67
5.4017
5.4653
67
45
482
5.2693
5.3867
480
2
223
5.4148
5.4535
222
46
494
5.2701
5.4046
497
3
241
5.4150
5.4334
240
47
471
5.3145
5.4223
474
4
223
5.4247
5.4072
221
48
470
5.3647
5.4333
469
5
223
5.4058
5.3741
223
49
489
5.3670
5.4357
488
6
278
5.3556
5.3382
283
50
470
5.3708
5.4383
468
7
252
5.3326
5.3117
252
51
489
5.3735
5.4406
487
8
252
5.3100
5.2840
253
52
470
5.3764
5.4437
471
9
251
5.2548
5.2564
251
53
469
5.3789
5.4455
470
10
252
5.2281
5.2338
253
54
526
5.3802
5.4491
526
11
249
5.2079
5.2128
251
55
469
5.3837
5.4558
469
12
249
5.1872
5.1896
250
56
488
5.3856
5.4597
487
13
251
5.1665
5.1689
253
57
468
5.3890
5.4650
468
14
248
5.1453
5.1476
250
58
487
5.3899
5.4697
488
15
250
5.1228
5.1252
254
59
468
5.3995
5.4744
468
16
246
5.1020
5.1043
250
60
467
5.4111
5.4787
467
17
246
5.0813
5.0836
251
61
486
5.4122
5.4787
485
18
253
5.0601
5.0785
259
62
466
5.4144
5.4806
465
19
245
5.0404
5.0959
251
63
485
5.4166
5.4815
484
20
248
5.0196
5.1157
256
64
466
5.4178
5.4833
465
21
262
4.9982
5.1379
272
65
465
5.4200
5.4839
465
22
365
4.9790
5.1600
377
66
503
5.4197
5.4861
502
23
356
5.0520
5.1865
368
67
465
5.4216
5.4901
464
24
353
5.1554
5.1996
363
68
483
5.4222
5.4928
483
25
360
5.1508
5.1936
371
69
464
5.4235
5.4969
463
26
350
5.1456
5.1886
362
70
483
5.4239
5.4995
483
27
378
5.1406
5.1837
389
71
464
5.4318
5.5025
464
28
457
5.1356
5.1784
462
72
465
5.4399
5.5045
463
29
457
5.1305
5.1732
461
73
484
5.4401
5.5036
483
30
486
5.1247
5.1801
490
74
466
5.4415
5.5042
464
31
455
5.1214
5.2038
461
75
485
5.4411
5.5048
484
32
465
5.1151
5.2283
470
76
467
5.4427
5.5044
466
33
464
5.1105
5.2533
468
77
468
5.4420
5.5039
467
34
495
5.1057
5.2791
495
78
524
5.4408
5.5103
523
35
483
5.1809
5.3060
481
79
469
5.4420
5.5242
468
36
483
5.2570
5.3204
476
80
488
5.4427
5.5372
487
37
493
5.2589
5.3208
486
81
471
5.4416
5.5531
470
38
474
5.2611
5.3227
468
          
39
490
5.2631
5.3236
484
          
40
482
5.2639
5.3253
480
          
41
483
5.2651
5.3264
480
          
42
517
5.2652
5.3341
514
          
43
482
5.2678
5.3535
479
          
44
494
5.2681
5.3689
491
          
 
*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
36.86
24.20
M-2
26.40
19.89
M-3
23.58
18.51
M-4
20.75
17.01
M-5
18.14
15.50
M-6
16.27
14.34
M-7
14.32
13.06
M-8
13.00
12.13
M-9
11.26
10.85
M-10
  9.33
  9.33
M-11
  8.34
  8.50






DESCRIPTION OF THE TOTAL COLLATERAL


SUMMARY - AGGREGATE POOL*
Number of Mortgage Loans:
4,878
Index Type:
  
Aggregate Principal Balance:
$902,542,793
6 Month LIBOR:
82.78%
Conforming Principal Balance Loans:
$764,076,603
Fixed Rate:
17.22%
Average Principal Balance:
$185,023
W.A. Initial Periodic Cap:
1.498%
Range:
$27,364 - $649,023
W.A. Subsequent Periodic Cap:
1.498%
W.A. Coupon:
8.495%
W.A. Lifetime Rate Cap:
6.996%
Range:
5.500% - 13.900%
Property Type:
  
W.A. Gross Margin:
6.195%
Single Family:
72.88%
Range:
4.500% - 8.450%
PUD:
12.30%
W.A. Remaining Term (months):
356
2-4 Family:
7.99%
Range (months):
175 - 357
Condo:
6.74%
W.A. Seasoning (months):
4
Modular:
0.09%
Latest Maturity Date:
June 1, 2036
Occupancy Status:
  
State Concentration (Top 5):
  
Primary:
89.93%
California:
34.99%
Investment:
6.82%
Florida:
10.97%
Second Home:
3.25%
New York:
6.50%
Documentation Status:
  
Texas:
4.81%
Full:
51.59%
New Jersey:
3.95%
Stated:
46.78%
W.A. Original Combined LTV:
81.48%
Easy:
1.63%
Range:
16.67% - 100.00%
    
First Liens:
93.93%
Non-Zero W.A. Prepayment Penalty - Term (months):
25
Second Liens:
6.07%
Loans with Prepay Penalties:
70.80%
Non-Balloon Loans:
50.42%
Interest Only Loans:
11.21%
Non-Zero W.A. FICO Score:
620
Non-Zero W.A. Interest Only Term (months):
60
       
       
* Subject to a permitted variance of +/- 10%
Tables reflect actual balances through 7/31/06 that have been rolled forward assuming all scheduled payments have been received through 9/1/06.




DESCRIPTION OF THE TOTAL COLLATERAL


Originator
 
 
Aggregate
% of Aggregate
 
 
 
 
Number of
Remaining
Remaining
Mortgage
 
CLTV
Originator
Mortgage Loans
Principal Balance
Principal Balance
Rates(%)
FICO
(%)
New Century
4,878
902,542,793
100.00
8.495
620
81.48
Total:
4,878
902,542,793
100.00
8.495
620
81.48


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
27
2,485,283
0.28
8.442
615
71.28
Fixed - 20 Year
30
3,178,414
0.35
7.797
615
71.35
Fixed - 25 Year
3
391,898
0.04
8.295
604
82.74
Fixed - 30 Year
1,210
122,124,757
13.53
9.554
635
86.29
Balloon - 30/40
116
27,232,003
3.02
7.948
635
78.03
ARM - 2 Year/6 Month
1,403
219,482,437
24.32
8.742
608
81.08
ARM - 2 Year/6 Month IO
335
101,183,029
11.21
7.721
650
81.10
ARM - 2 Year/6 Month 30/40 Balloon
1,655
406,751,944
45.07
8.292
613
80.87
ARM - 3 Year/6 Month
38
6,224,410
0.69
8.659
635
78.88
ARM - 3 Year/6 Month 30/40 Balloon
61
13,488,617
1.49
7.995
610
78.00
Total:
4,878
902,542,793
100.00
8.495
620
81.48


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
4,543
801,359,763
88.79
8.592
616
81.53
60
335
101,183,029
11.21
7.721
650
81.10
Total:
4,878
902,542,793
100.00
8.495
620
81.48





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
268
10,884,321
1.21
11.007
636
95.74
50,000.01 - 100,000.00
1,285
96,034,406
10.64
9.756
614
86.48
100,000.01 - 150,000.00
957
119,256,666
13.21
9.036
611
81.78
150,000.01 - 200,000.00
629
108,925,979
12.07
8.583
607
78.77
200,000.01 - 250,000.00
505
113,298,346
12.55
8.256
607
78.90
250,000.01 - 300,000.00
360
98,285,731
10.89
8.125
618
79.37
300,000.01 - 350,000.00
260
84,387,068
9.35
8.122
624
81.43
350,000.01 - 400,000.00
231
85,916,546
9.52
8.101
624
81.29
400,000.01 - 450,000.00
146
61,825,921
6.85
8.034
630
83.10
450,000.01 - 500,000.00
106
50,174,841
5.56
8.010
635
82.46
500,000.01 - 550,000.00
58
30,200,999
3.35
7.922
653
82.64
550,000.01 - 600,000.00
46
26,378,528
2.92
7.926
658
80.78
600,000.01 - 650,000.00
27
16,973,439
1.88
7.973
632
80.01
Total:
4,878
902,542,793
100.00
8.495
620
81.48



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
271
11,011,576
1.22
10.987
636
95.57
50,000.01 - 100,000.00
1,283
95,934,516
10.63
9.756
614
86.49
100,000.01 - 150,000.00
959
119,556,588
13.25
9.034
611
81.78
150,000.01 - 200,000.00
627
108,626,058
12.04
8.584
607
78.76
200,000.01 - 250,000.00
505
113,298,346
12.55
8.256
607
78.90
250,000.01 - 300,000.00
363
99,165,868
10.99
8.119
619
79.31
300,000.01 - 350,000.00
260
84,486,877
9.36
8.130
624
81.52
350,000.01 - 400,000.00
228
85,190,287
9.44
8.093
624
81.29
400,000.01 - 450,000.00
147
62,275,413
6.90
8.026
629
83.08
450,000.01 - 500,000.00
105
49,944,288
5.53
8.011
635
82.52
500,000.01 - 550,000.00
57
29,701,009
3.29
7.950
652
82.58
550,000.01 - 600,000.00
46
26,378,528
2.92
7.926
658
80.78
600,000.01 - 650,000.00
27
16,973,439
1.88
7.973
632
80.01
Total:
4,878
902,542,793
100.00
8.495
620
81.48


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
27
2,485,283
0.28
8.442
615
71.28
181 - 240
30
3,178,414
0.35
7.797
615
71.35
241 - 300
3
391,898
0.04
8.295
604
82.74
301 - 360
4,818
896,487,197
99.33
8.497
620
81.54
Total:
4,878
902,542,793
100.00
8.495
620
81.48



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 (%)
5.500 - 5.999
19
5,408,291
0.60
5.804
665
72.69
6.000 - 6.499
70
20,289,961
2.25
6.294
657
72.71
6.500 - 6.999
292
79,826,056
8.84
6.814
645
76.48
7.000 - 7.499
362
88,576,943
9.81
7.246
633
78.21
7.500 - 7.999
741
179,290,056
19.86
7.765
629
79.96
8.000 - 8.499
598
123,496,766
13.68
8.252
616
79.95
8.500 - 8.999
698
135,953,369
15.06
8.743
615
81.01
9.000 - 9.499
504
89,423,306
9.91
9.235
595
82.94
9.500 - 9.999
492
74,687,414
8.28
9.764
596
85.64
10.000 - 10.499
283
34,406,002
3.81
10.216
589
84.48
10.500 - 10.999
246
25,488,272
2.82
10.716
619
89.69
11.000 - 11.499
162
14,664,650
1.62
11.207
626
92.26
11.500 - 11.999
153
12,349,604
1.37
11.752
633
97.12
12.000 - 12.499
133
9,732,866
1.08
12.177
626
98.66
12.500 - 12.999
101
7,376,243
0.82
12.658
625
99.85
13.000 - 13.499
17
1,027,468
0.11
13.127
623
100.00
13.500 - 13.999
7
545,525
0.06
13.729
622
100.00
Total:
4,878
902,542,793
100.00
8.495
620
81.48

 




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
117
18,414,443
2.04
7.770
596
41.54
50.01 - 55.00
46
8,132,044
0.90
7.953
603
52.69
55.01 - 60.00
102
20,437,995
2.26
8.036
597
57.93
60.01 - 65.00
138
28,346,579
3.14
7.897
590
63.54
65.01 - 70.00
173
38,219,480
4.23
8.105
590
68.91
70.01 - 75.00
268
51,520,190
5.71
8.347
585
73.96
75.01 - 80.00
1,694
361,828,953
40.09
8.050
635
79.83
80.01 - 85.00
537
107,913,896
11.96
8.567
587
84.51
85.01 - 90.00
744
149,093,348
16.52
8.776
618
89.64
90.01 - 95.00
277
61,344,807
6.80
8.740
637
94.84
95.01 - 100.00
782
57,291,057
6.35
11.330
655
99.98
Total:
4,878
902,542,793
100.00
8.495
620
81.48





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
284
43,087,579
4.77
9.372
512
76.20
525 - 549
382
62,292,923
6.90
8.933
537
76.41
550 - 574
503
95,241,385
10.55
8.719
561
79.28
575 - 599
700
128,594,889
14.25
8.568
588
80.43
600 - 624
865
156,114,701
17.30
8.381
612
82.01
625 - 649
853
158,374,905
17.55
8.424
637
83.76
650 - 674
574
113,274,750
12.55
8.265
661
83.05
675 - 699
299
62,449,676
6.92
8.257
685
83.79
700 - 724
199
40,367,549
4.47
8.166
711
82.91
725 - 749
124
24,688,994
2.74
8.171
736
82.94
750 - 774
60
11,311,013
1.25
8.533
757
85.30
775 - 799
30
6,211,644
0.69
7.610
783
78.81
800 - 824
5
532,785
0.06
8.627
806
78.69
Total:
4,878
902,542,793
100.00
8.495
620
81.48




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
1,142
315,788,560
34.99
8.193
629
80.50
Florida
609
99,015,240
10.97
8.611
610
80.05
New York
227
58,644,068
6.50
8.302
631
82.35
Texas
425
43,379,166
4.81
8.734
616
82.10
New Jersey
158
35,624,202
3.95
8.696
620
81.39
Arizona
163
28,387,653
3.15
8.562
613
80.01
Illinois
158
25,203,046
2.79
8.516
614
81.82
Massachusetts
113
24,381,916
2.70
8.594
628
82.93
Maryland
116
24,174,428
2.68
8.409
611
80.32
Nevada
101
20,828,988
2.31
8.620
630
82.96
Washington
78
15,959,265
1.77
8.346
614
81.88
Pennsylvania
125
15,793,798
1.75
8.844
604
80.24
Georgia
120
15,668,343
1.74
8.791
612
83.85
Virginia
81
13,765,208
1.53
8.618
605
81.66
Michigan
116
12,380,534
1.37
9.169
609
85.20
Hawaii
44
12,256,736
1.36
8.256
650
81.39
Minnesota
78
11,676,251
1.29
8.879
620
84.07
Ohio
116
11,486,536
1.27
9.082
595
85.70
Connecticut
55
11,049,556
1.22
8.684
594
80.25
Colorado
62
9,726,175
1.08
8.338
608
82.99
Wisconsin
71
8,771,605
0.97
9.226
603
83.74
Oregon
53
8,213,145
0.91
8.549
632
82.90
Tennessee
72
7,330,800
0.81
8.802
610
85.22
New Mexico
40
6,439,884
0.71
8.563
596
84.64
Indiana
71
5,890,684
0.65
9.174
615
86.76
Missouri
55
5,457,899
0.60
9.525
590
82.93
Rhode Island
26
5,379,168
0.60
8.440
616
79.98
South Carolina
37
5,337,060
0.59
8.879
612
83.60
Utah
31
5,206,965
0.58
8.636
611
83.17
Alaska
17
3,536,371
0.39
8.336
616
85.00
Idaho
25
3,286,406
0.36
8.802
602
81.71
Maine
24
3,159,778
0.35
9.322
588
81.17
District of Columbia
13
2,858,954
0.32
9.079
610
83.76
Louisiana
21
2,666,381
0.30
9.402
590
83.83
*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 (%)
North Carolina 
27 
2,634,203 
0.29 
9.472 
608 
86.31 
Arkansas
30
2,609,009
0.29
8.917
610
81.58
New Hampshire
15
2,602,558
0.29
8.758
622
80.97
Alabama
25
2,324,749
0.26
9.748
586
86.99
Kentucky
24
2,307,059
0.26
9.171
612
84.50
Mississippi
24
2,093,873
0.23
9.187
585
86.30
Iowa
17
1,700,012
0.19
9.527
595
84.74
Oklahoma
17
1,585,290
0.18
8.731
604
82.62
Nebraska
16
1,527,934
0.17
9.057
601
87.79
Delaware
8
1,271,056
0.14
8.289
585
80.60
Kansas
14
1,230,295
0.14
9.878
593
84.37
North Dakota
4
497,651
0.06
8.979
638
89.57
West Virginia
5
476,312
0.05
10.255
551
78.98
Montana
5
430,657
0.05
8.445
644
84.61
Vermont
2
295,065
0.03
9.887
648
74.06
South Dakota
2
232,298
0.03
10.191
525
82.21
Total:
4,878
902,542,793
100.00
8.495
620
81.48



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
4,294
811,652,220
89.93
8.423
616
81.23
Investment
409
61,548,019
6.82
9.307
645
84.06
Second Home
175
29,342,554
3.25
8.781
664
82.96
Total:
4,878
902,542,793
100.00
8.495
620
81.48

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 Documentation
2,770
465,600,930
51.59
8.125
604
81.03
Stated Documentation
2,048
422,199,538
46.78
8.922
636
81.95
Limited Documentation
60
14,742,325
1.63
7.915
640
82.06
Total:
4,878
902,542,793
100.00
8.495
620
81.48
 
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 (%)
Refinance - Cashout
2,185
449,383,641
49.79
8.343
598
78.80
Purchase
2,385
391,667,102
43.40
8.755
645
84.62
Refinance - Rate Term
308                     
61,492,049
6.81
7.948
617
81.01
Total:
4,878
902,542,793
100.00
8.495
620
81.48

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
3,647
657,743,615
72.88
8.471
617
81.22
PUD
599
111,011,303
12.30
8.523
619
82.48
2-4 Family
303
72,093,517
7.99
8.524
636
81.74
Condo
322
60,867,557
6.74
8.658
637
82.03
Modular
7
826,800
0.09
9.008
574
84.02
Total:
4,878
902,542,793
100.00
8.495
620
81.48




DESCRIPTION OF THE TOTAL COLLATERAL

Next Rate Adjustment Date*
     
% 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 (%)
January 2008
1
205,414
0.03
7.750
536
79.23
February 2008
11
2,708,710
0.36
8.655
610
85.30
March 2008
45
13,526,705
1.81
7.381
654
81.57
April 2008
165
37,773,295
5.06
8.040
624
82.06
May 2008
906
202,098,299
27.05
8.390
614
80.79
June 2008
2,265
471,104,987
63.06
8.382
616
80.91
April 2009
3
469,300
0.06
9.053
560
69.98
May 2009
26
6,113,557
0.82
8.111
623
79.90
June 2009
70
13,130,170
1.76
8.219
618
77.82
Total:
3,492
747,130,437
100.00
8.345
617
80.89
 
*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 (%)
4.500 - 4.999
1
367,632
0.05
8.500
567
80.00
5.000 - 5.499
5
734,338
0.10
9.197
577
82.26
5.500 - 5.999
585
133,293,547
17.84
8.149
621
80.82
6.000 - 6.499
2,559
543,627,958
72.76
8.298
621
81.57
6.500 - 6.999
237
52,185,339
6.98
9.005
580
77.97
7.000 - 7.499
95
15,616,349
2.09
9.374
562
68.14
7.500 - 7.999
7
729,004
0.10
8.683
585
81.33
8.000 - 8.499
3
576,271
0.08
8.442
527
65.02
Total:
3,492
747,130,437
100.00
8.345
617
80.89
 
*ARM Loans Only



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 (%)
12.500 - 12.999
19
5,408,291
0.72
5.804
665
72.69
13.000 - 13.499
40
11,928,480
1.60
6.278
642
76.02
13.500 - 13.999
208
60,140,265
8.05
6.824
644
78.15
14.000 - 14.499
312
79,393,486
10.63
7.253
631
78.21
14.500 - 14.999
640
161,003,828
21.55
7.768
629
80.46
15.000 - 15.499
521
113,117,692
15.14
8.256
616
80.17
15.500 - 15.999
591
121,953,827
16.32
8.750
615
81.26
16.000 - 16.499
443
81,892,502
10.96
9.235
594
83.21
16.500 - 16.999
359
63,015,010
8.43
9.766
592
84.82
17.000 - 17.499
182
26,749,347
3.58
10.223
578
83.45
17.500 - 17.999
121
15,453,251
2.07
10.695
589
85.08
18.000 - 18.499
39
5,117,633
0.68
11.183
579
83.06
18.500 - 18.999
13
1,646,248
0.22
11.603
589
85.30
19.000 - 19.499
4
310,578
0.04
12.060
530
75.49
Total:
3,492
747,130,437
100.00
8.345
617
80.89
 
*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 (%)
5.500 - 5.999
19
5,408,291
0.72
5.804
665
72.69
6.000 - 6.499
40
11,928,480
1.60
6.278
642
76.02
6.500 - 6.999
204
59,554,847
7.97
6.816
644
78.07
7.000 - 7.499
310
79,190,359
10.60
7.251
631
78.21
7.500 - 7.999
642
161,253,465
21.58
7.765
629
80.48
8.000 - 8.499
521
113,000,043
15.12
8.252
616
80.18
8.500 - 8.999
589
121,710,541
16.29
8.745
616
81.26
9.000 - 9.499
442
81,927,464
10.97
9.232
594
83.19
9.500 - 9.999
363
63,594,077
8.51
9.765
592
84.79
10.000 - 10.499
184
26,695,232
3.57
10.212
579
83.48
10.500 - 10.999
120
15,341,373
2.05
10.687
588
85.04
11.000 - 11.499
40
5,457,561
0.73
11.184
574
82.87
11.500 - 11.999
14
1,758,126
0.24
11.614
593
85.60
12.000 - 12.499
4
310,578
0.04
12.060
530
75.49
Total:
3,492
747,130,437
100.00
8.345
617
80.89
 
*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
18
2,649,912
0.35
9.252
587
81.45
1.500
3,474
744,480,524
99.65
8.342
617
80.89
Total:
3,492
747,130,437
100.00
8.345
617
80.89
 
*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
18
2,649,912
0.35
9.252
587
81.45
1.500
3,474
744,480,524
99.65
8.342
617
80.89
Total:
3,492
747,130,437
100.00
8.345
617
80.89
*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
19
2,761,791
0.37
9.355
589
81.80
7.000 - 7.499
3,473
744,368,646
99.63
8.341
617
80.89
Total:
3,492
747,130,437
100.00
8.345
617
80.89
*ARM Loans Only

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
1,485
263,559,802
29.20
8.929
622
82.43
12
202
49,294,410
5.46
8.565
624
81.57
24
2,651
508,178,280
56.31
8.311
617
81.67
36
540
81,510,300
9.03
8.194
628
77.17
Total:
4,878
902,542,793
100.00
8.495
620
81.48






 


DESCRIPTION OF THE GROUP 1 COLLATERAL


SUMMARY - GROUP 1 POOL*
Number of Mortgage Loans:
2,496
Index Type:
  
Aggregate Principal Balance:
$418,661,671
6 Month LIBOR:
79.18%
Conforming Principal Balance Loans:
$418,661,671
Fixed Rate:
20.82%
Average Principal Balance:
$167,733
W.A. Initial Periodic Cap:
1.499%
Range:
$29,961 - $559,344
W.A. Subsequent Periodic Cap:
1.499%
W.A. Coupon:
8.394%
W.A. Lifetime Rate Cap:
6.997%
Range:
5.500% - 12.950%
Property Type:
  
W.A. Gross Margin:
6.200%
Single Family:
76.24%
Range:
4.500% - 7.600%
PUD:
10.02%
W.A. Remaining Term (months):
355
2-4 Family:
8.64%
Range (months):
175 - 357
Condo:
4.96%
W.A. Seasoning (months):
3
Modular:
0.14%
Latest Maturity Date:
June 1, 2036
Occupancy Status:
  
State Concentration (Top 5):
  
Primary:
93.64%
California:
25.60%
Investment:
5.51%
Florida:
11.57%
Second Home:
0.84%
New York:
6.46%
Documentation Status:
  
Texas:
5.37%
Full:
60.15%
New Jersey:
5.13%
Stated:
38.69%
W.A. Original Combined LTV:
80.15%
Limited:
1.17%
Range:
16.67% - 100.00%
    
First Liens:
95.72%
Non-Zero W.A. Prepayment Penalty - Term (months):
25
Second Liens:
4.28%
Loans with Prepay Penalties:
69.85%
Non-Balloon Loans:
49.03%
Interest Only Loans:
3.71%
Non-Zero W.A. FICO Score:
608
Non-Zero W.A. Interest Only Term (months):
60
       
       
* Subject to a permitted variance of +/- 10%
Tables reflect actual balances through 7/31/06 that have been rolled forward assuming all scheduled payments have been received through 9/1/06.




DESCRIPTION OF THE GROUP 1 COLLATERAL


Originator
 
 
Aggregate
% of Aggregate
 
 
 
 
Number of
Remaining
Remaining
Mortgage
 
CLTV
Originator
Mortgage Loans
Principal Balance
Principal Balance
Rates(%)
FICO
(%)
New Century
2,496
418,661,671
100.00
8.394
608
80.15
Total:
2,496
418,661,671
100.00
8.394
608
80.15


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
20
2,061,317
0.49
8.192
629
69.55
Fixed - 20 Year
26
2,747,560
0.66
7.765
612
71.05
Fixed - 25 Year
3
391,898
0.09
8.295
604
82.74
Fixed - 30 Year
598
66,678,680
15.93
8.897
626
82.00
Balloon - 30/40
73
15,300,553
3.65
7.808
630
75.98
ARM - 2 Year/6 Month
765
114,558,243
27.36
8.604
603
80.23
ARM - 2 Year/6 Month IO
58
15,526,372
3.71
7.592
660
81.93
ARM - 2 Year/6 Month 30/40 Balloon
889
189,911,564
45.36
8.225
599
79.99
ARM - 3 Year/6 Month
24
3,314,975
0.79
8.716
611
80.50
ARM - 3 Year/6 Month 30/40 Balloon
40
8,170,509
1.95
8.016
605
77.89
Total:
2,496
418,661,671
100.00
8.394
608
80.15


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
2,438
403,135,299
96.29
8.425
606
80.09
60
58
15,526,372
3.71
7.592
660
81.93
Total:
2,496
418,661,671
100.00
8.394
608
80.15





DESCRIPTION OF THE GROUP 1 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
136
5,515,205
1.32
10.894
632
93.85
50,000.01 - 100,000.00
643
49,270,108
11.77
9.271
608
83.90
100,000.01 - 150,000.00
553
69,179,508
16.52
8.685
606
79.71
150,000.01 - 200,000.00
382
66,050,562
15.78
8.416
603
77.71
200,000.01 - 250,000.00
275
61,828,672
14.77
8.177
600
77.81
250,000.01 - 300,000.00
198
54,050,524
12.91
7.961
613
78.45
300,000.01 - 350,000.00
126
40,828,491
9.75
8.077
614
80.94
350,000.01 - 400,000.00
129
48,143,168
11.50
8.044
610
80.88
400,000.01 - 450,000.00
35
14,471,085
3.46
7.789
615
84.43
450,000.01 - 500,000.00
14
6,713,202
1.60
8.144
625
84.25
500,000.01 - 550,000.00
4
2,051,803
0.49
7.827
663
84.66
550,000.01 - 600,000.00
1
559,344
0.13
7.575
608
85.00
Total:
2,496
418,661,671
100.00
8.394
608
80.15



DESCRIPTION OF THE GROUP 1 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
138
5,615,095
1.34
10.869
631
93.64
50,000.01 - 100,000.00
641
49,170,218
11.74
9.270
608
83.91
100,000.01 - 150,000.00
555
69,479,429
16.60
8.684
606
79.73
150,000.01 - 200,000.00
380
65,750,641
15.70
8.416
603
77.68
200,000.01 - 250,000.00
275
61,828,672
14.77
8.177
600
77.81
250,000.01 - 300,000.00
199
54,350,286
12.98
7.964
613
78.49
300,000.01 - 350,000.00
127
41,227,623
9.85
8.088
613
80.92
350,000.01 - 400,000.00
127
47,444,273
11.33
8.030
611
80.87
400,000.01 - 450,000.00
35
14,471,085
3.46
7.789
615
84.43
450,000.01 - 500,000.00
14
6,713,202
1.60
8.144
625
84.25
500,000.01 - 550,000.00
4
2,051,803
0.49
7.827
663
84.66
550,000.01 - 600,000.00
1
559,344
0.13
7.575
608
85.00
Total:
2,496
418,661,671
100.00
8.394
608
80.15


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
20
2,061,317
0.49
8.192
629
69.55
181 - 240
26
2,747,560
0.66
7.765
612
71.05
241 - 300
3
391,898
0.09
8.295
604
82.74
301 - 360
2,447
413,460,896
98.76
8.399
608
80.26
Total:
2,496
418,661,671
100.00
8.394
608
80.15



DESCRIPTION OF THE GROUP 1 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 (%)
5.500 - 5.999
15
4,073,676
0.97
5.760
654
70.52
6.000 - 6.499
43
9,925,463
2.37
6.306
639
71.12
6.500 - 6.999
190
43,336,494
10.35
6.798
632
74.21
7.000 - 7.499
215
44,640,455
10.66
7.235
620
76.76
7.500 - 7.999
392
76,158,883
18.19
7.763
612
79.67
8.000 - 8.499
336
59,222,838
14.15
8.241
605
79.48
8.500 - 8.999
378
64,354,453
15.37
8.746
602
80.38
9.000 - 9.499
254
41,218,082
9.85
9.242
586
82.71
9.500 - 9.999
229
33,831,307
8.08
9.768
590
83.99
10.000 - 10.499
150
16,922,857
4.04
10.240
589
83.04
10.500 - 10.999
92
8,945,756
2.14
10.712
594
87.59
11.000 - 11.499
64
5,733,910
1.37
11.211
634
93.61
11.500 - 11.999
68
5,878,590
1.40
11.743
627
95.27
12.000 - 12.499
44
2,873,230
0.69
12.167
628
99.07
12.500 - 12.999
26
1,545,676
0.37
12.662
623
99.27
Total:
2,496
418,661,671
100.00
8.394
608
80.15

 




DESCRIPTION OF THE GROUP 1 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
85
12,909,308
3.08
7.700
602
41.82
50.01 - 55.00
29
4,928,272
1.18
8.152
612
52.45
55.01 - 60.00
78
14,772,571
3.53
7.959
606
57.90
60.01 - 65.00
101
20,893,768
4.99
7.708
599
63.38
65.01 - 70.00
112
22,470,991
5.37
8.032
595
68.78
70.01 - 75.00
177
34,657,966
8.28
8.101
601
73.98
75.01 - 80.00
722
116,431,801
27.81
8.077
614
79.68
80.01 - 85.00
337
65,333,289
15.61
8.521
590
84.50
85.01 - 90.00
425
76,964,743
18.38
8.695
608
89.62
90.01 - 95.00
152
29,720,516
7.10
8.419
629
94.77
95.01 - 100.00
278
19,578,443
4.68
11.141
648
99.95
Total:
2,496
418,661,671
100.00
8.394
608
80.15





DESCRIPTION OF THE GROUP 1 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
31
3,240,725
0.77
9.747
512
82.47
525 - 549
237
38,103,052
9.10
8.820
540
76.15
550 - 574
383
68,756,872
16.42
8.650
561
78.12
575 - 599
471
79,723,127
19.04
8.537
588
79.45
600 - 624
480
79,868,960
19.08
8.237
612
80.02
625 - 649
399
69,882,321
16.69
8.113
637
82.55
650 - 674
311
45,608,508
10.89
8.459
660
84.78
675 - 699
96
18,376,662
4.39
7.819
685
81.34
700 - 724
44
8,047,049
1.92
7.821
711
76.01
725 - 749
24
3,784,990
0.90
7.646
738
79.43
750 - 774
13
1,944,963
0.46
7.896
760
82.21
775 - 799
4
1,112,635
0.27
6.894
780
66.52
800 - 824
3
211,809
0.05
8.745
804
76.72
Total:
2,496
418,661,671
100.00
8.394
608
80.15




DESCRIPTION OF THE GROUP 1 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
441
107,192,237
25.60
8.029
612
76.55
Florida
298
48,431,989
11.57
8.345
599
77.53
New York
115
27,062,452
6.46
8.307
610
80.88
Texas
226
22,501,265
5.37
8.529
613
81.39
New Jersey
95
21,478,967
5.13
8.596
613
81.33
Illinois
103
16,043,470
3.83
8.443
608
82.85
Arizona
89
14,980,302
3.58
8.334
606
79.07
Maryland
66
13,619,979
3.25
8.221
612
79.34
Massachusetts
59
11,707,719
2.80
8.478
621
82.00
Pennsylvania
73
9,706,508
2.32
8.741
600
79.45
Washington
46
8,571,459
2.05
8.252
620
84.21
Nevada
41
8,266,859
1.97
8.520
604
81.48
Michigan
79
8,152,646
1.95
9.082
599
84.75
Virginia
49
7,608,665
1.82
8.710
599
81.54
Ohio
72
7,413,101
1.77
8.886
592
84.80
Georgia
63
7,047,782
1.68
8.923
602
82.77
Connecticut
34
6,980,308
1.67
8.264
596
80.68
Colorado
46
6,873,674
1.64
8.393
616
83.76
Wisconsin
46
5,620,319
1.34
9.101
607
85.18
Minnesota
41
5,155,177
1.23
8.763
615
84.95
New Mexico
25
4,512,014
1.08
8.216
605
85.17
Hawaii
16
4,459,164
1.07
7.881
624
81.66
Tennessee
42
4,279,135
1.02
8.479
611
85.75
Indiana
45
3,797,472
0.91
9.099
607
86.80
Oregon
21
3,510,333
0.84
8.302
625
83.15
Missouri
36
3,482,984
0.83
9.465
601
83.81
Rhode Island
16
3,382,440
0.81
8.104
625
77.06
Utah
19
2,719,639
0.65
8.761
609
81.68
Alaska
13
2,539,515
0.61
8.428
613
86.37
South Carolina
19
2,468,816
0.59
8.782
598
85.90
District of Columbia
8
1,789,738
0.43
9.044
593
82.15
New Hampshire
10
1,784,611
0.43
8.639
616
80.52
Idaho
8
1,453,877
0.35
8.281
610
83.08
Maine
12
1,450,380
0.35
8.786
603
81.32
 
*Geographic Distribution continued on the next page





DESCRIPTION OF THE GROUP 1 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 (%)
Louisiana 
12
1,449,419
0.35
8.868
602
85.45
North Carolina
14
1,396,993
0.33
9.043
608
84.74
Arkansas
14
1,236,389
0.30
8.689
610
79.61
Alabama
15
1,212,012
0.29
9.469
580
86.44
Mississippi
11
1,157,363
0.28
9.347
582
85.36
Nebraska
9
1,008,403
0.24
8.854
586
88.19
Oklahoma
10
985,281
0.24
8.720
603
83.39
Delaware
5
955,242
0.23
8.076
590
77.68
Kansas
10
949,404
0.23
9.903
590
84.55
Iowa
10
872,251
0.21
9.448
593
86.29
Kentucky
4
350,271
0.08
8.663
642
79.48
Montana
3
304,985
0.07
8.333
643
82.71
West Virginia
3
252,950
0.06
9.440
591
81.13
North Dakota
2
205,029
0.05
8.840
673
88.96
Vermont
1
176,555
0.04
9.475
584
60.00
South Dakota
1
104,127
0.02
9.350
532
90.00
Total:
2,496
418,661,671
100.00
8.394
608
80.15



DESCRIPTION OF THE GROUP 1 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
2,329
392,049,079
93.64
8.359
607
80.23
Investment
146
23,088,701
5.51
8.934
629
79.33
Second Home
21
3,523,891
0.84
8.756
648
77.54
Total:
2,496
418,661,671
100.00
8.394
608
80.15

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 Documentation
1,611
251,806,084
60.15
8.031
604
80.53
Stated Documentation
865
161,971,962
38.69
8.974
615
79.60
Limited Documentation
20
4,883,625
1.17
7.825
616
79.05
Total:
2,496
418,661,671
100.00
8.394
608
80.15
 
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 (%)
Refinance - Cashout
1,619
310,329,393
74.12
8.331
605
78.90
Purchase
631
63,721,325
15.22
9.042
618
85.31
Refinance - Rate Term
246
44,610,954
10.66
7.905
622
81.51
Total:
2,496
418,661,671
100.00
8.394
608
80.15

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
1,968
319,168,928
76.24
8.407
606
80.12
PUD
246
41,970,277
10.02
8.290
607
80.66
2-4 Family
153
36,162,317
8.64
8.341
623
79.39
Condo
124
20,765,429
4.96
8.479
620
80.94
Modular
5
594,721
0.14
8.678
571
81.69
Total:
2,496
418,661,671
100.00
8.394
608
80.15




DESCRIPTION OF THE GROUP 1 COLLATERAL

Next Rate Adjustment Date*
     
% 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 (%)
January 2008
1
205,414
0.06
7.750
536
79.23
February 2008
6
1,649,140
0.50
8.760
583
84.14
March 2008
10
2,127,655
0.64
8.031
655
84.25
April 2008
56
11,286,751
3.40
8.180
610
82.58
May 2008
441
88,410,713
26.67
8.310
603
80.66
June 2008
1,198
216,316,505
65.26
8.346
604
79.77
April 2009
1
157,359
0.05
10.250
574
90.00
May 2009
16
3,160,356
0.95
8.397
614
81.56
June 2009
47
8,167,770
2.46
8.110
604
77.30
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*ARM Loans Only




DESCRIPTION OF THE GROUP 1 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 (%)
4.500 - 4.999
1
367,632
0.11
8.500
567
80.00
5.000 - 5.499
4
578,461
0.17
9.170
594
82.87
5.500 - 5.999
305
61,165,874
18.45
8.166
606
80.14
6.000 - 6.499
1,272
230,637,735
69.58
8.263
606
80.85
6.500 - 6.999
133
28,392,685
8.57
8.863
589
77.74
7.000 - 7.499
57
9,849,680
2.97
9.177
582
69.35
7.500 - 7.999
4
489,598
0.15
8.628
602
83.02
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*ARM Loans Only



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 (%)
12.500 - 12.999
15
4,073,676
1.23
5.760
654
70.52
13.000 - 13.499
22
5,112,828
1.54
6.295
619
73.27
13.500 - 13.999
120
28,767,459
8.68
6.815
624
76.58
14.000 - 14.499
173
37,247,250
11.24
7.245
615
76.59
14.500 - 14.999
314
63,812,090
19.25
7.766
611
80.38
15.000 - 15.499
277
51,485,098
15.53
8.241
605
79.91
15.500 - 15.999
297
54,075,950
16.31
8.756
601
80.67
16.000 - 16.499
225
37,408,753
11.29
9.243
587
83.24
16.500 - 16.999
175
28,710,999
8.66
9.771
589
83.52
17.000 - 17.499
87
12,001,248
3.62
10.234
574
82.28
17.500 - 17.999
50
5,865,825
1.77
10.697
572
83.56
18.000 - 18.499
12
1,745,070
0.53
11.150
599
84.20
18.500 - 18.999
8
1,106,496
0.33
11.614
578
82.55
19.000 - 19.499
1
68,921
0.02
12.040
560
75.00
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*ARM Loans Only




DESCRIPTION OF THE GROUP 1 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 (%)
5.500 - 5.999
15
4,073,676
1.23
5.760
654
70.52
6.000 - 6.499
22
5,112,828
1.54
6.295
619
73.27
6.500 - 6.999
117
28,288,549
8.53
6.802
624
76.40
7.000 - 7.499
172
37,129,564
11.20
7.243
615
76.58
7.500 - 7.999
317
64,291,000
19.40
7.765
611
80.43
8.000 - 8.499
278
51,602,785
15.57
8.241
605
79.91
8.500 - 8.999
295
53,770,369
16.22
8.750
601
80.68
9.000 - 9.499
224
37,318,469
11.26
9.241
587
83.25
9.500 - 9.999
177
29,016,580
8.75
9.770
588
83.47
10.000 - 10.499
88
12,091,532
3.65
10.234
574
82.26
10.500 - 10.999
50
5,865,825
1.77
10.697
572
83.56
11.000 - 11.499
12
1,745,070
0.53
11.150
599
84.20
11.500 - 11.999
8
1,106,496
0.33
11.614
578
82.55
12.000 - 12.499
1
68,921
0.02
12.040
560
75.00
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*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
992,461
0.30
8.524
610
83.13
1.500
1,769
330,489,202
99.70
8.325
604
80.10
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*ARM Loans Only





DESCRIPTION OF THE GROUP 1 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
7
992,461
0.30
8.524
610
83.13
1.500
1,769
330,489,202
99.70
8.325
604
80.10
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*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
7
992,461
0.30
8.524
610
83.13
7.000 - 7.499
1,769
330,489,202
99.70
8.325
604
80.10
Total:
1,776
331,481,663
100.00
8.326
604
80.11
 
*ARM Loans Only

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
782
126,219,116
30.15
8.773
609
81.61
12
105
23,180,836
5.54
8.418
616
79.12
24
1,270
217,894,530
52.05
8.264
604
80.53
36
339
51,367,189
12.27
7.999
621
75.42
Total:
2,496
418,661,671
100.00
8.394
608
80.15







DESCRIPTION OF THE GROUP 2 COLLATERAL



SUMMARY - GROUP 2 POOL*
Number of Mortgage Loans:
2,382
Index Type:
  
Aggregate Principal Balance:
$483,881,121
6 Month LIBOR:
85.90%
Conforming Principal Balance Loans:
$345,414,932
Fixed Rate:
14.10%
Average Principal Balance:
$203,141
W.A. Initial Periodic Cap:
1.498%
Range:
$27,364 - $649,023
W.A. Subsequent Periodic Cap:
1.498%
W.A. Coupon:
8.582%
W.A. Lifetime Rate Cap:
6.996%
Range:
5.775% - 13.900%
Property Type:
  
W.A. Gross Margin:
6.192%
Single Family:
69.97%
Range:
5.200% - 8.450%
PUD:
14.27%
W.A. Remaining Term (months):
356
2-4 Family:
7.43%
Range (months):
176 - 357
Condo:
8.29%
W.A. Seasoning (months):
4
Modular:
0.05%
Latest Maturity Date:
June 1, 2036
Occupancy Status:
  
State Concentration (Top 5):
  
Primary:
86.72%
California:
43.11%
Investment:
7.95%
Florida:
10.45%
Second Home:
5.34%
New York:
6.53%
Documentation Status:
  
Texas:
4.31%
Full:
44.18%
New Jersey:
2.92%
Stated:
53.78%
W.A. Original Combined LTV:
82.62%
Easy:
2.04%
Range:
28.30% - 100.00%
    
First Liens:
92.38%
Non-Zero W.A. Prepayment Penalty - Term (months):
24
Second Liens:
7.62%
Loans with Prepay Penalties:
71.62%
Non-Balloon Loans:
51.62%
Interest Only Loans:
17.70%
Non-Zero W.A. FICO Score:
629
Non-Zero W.A. Interest Only Term (months):
60
       
       
* Subject to a permitted variance of +/- 10%
Tables reflect actual balances through 7/31/06 that have been rolled forward assuming all scheduled payments have been received through 9/1/06.



DESCRIPTION OF THE GROUP 2 COLLATERAL


Originator
 
 
Aggregate
% of Aggregate
 
 
 
 
Number of
Remaining
Remaining
Mortgage
 
CLTV
Originator
Mortgage Loans
Principal Balance
Principal Balance
Rates(%)
FICO
(%)
New Century
2,382
483,881,121
100.00
8.582
629
82.62
Total:
2,382
483,881,121
100.00
8.582
629
82.62


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
7
423,967
0.09
9.653
544
79.64
Fixed - 20 Year
4
430,854
0.09
8.004
629
73.26
Fixed - 30 Year
612
55,446,077
11.46
10.343
647
91.45
Balloon - 30/40
43
11,931,450
2.47
8.128
642
80.67
ARM - 2 Year/6 Month
638
104,924,194
21.68
8.892
613
82.00
ARM - 2 Year/6 Month IO
277
85,656,658
17.70
7.744
648
80.95
ARM - 2 Year/6 Month 30/40 Balloon
766
216,840,380
44.81
8.352
625
81.64
ARM - 3 Year/6 Month
14
2,909,434
0.60
8.595
663
77.04
ARM - 3 Year/6 Month 30/40 Balloon
21
5,318,108
1.10
7.964
619
78.15
Total:
2,382
483,881,121
100.00
8.582
629
82.62


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
2,105
398,224,464
82.30
8.762
626
82.98
60
277
85,656,658
17.70
7.744
648
80.95
Total:
2,382
483,881,121
100.00
8.582
629
82.62





DESCRIPTION OF THE GROUP 2 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
132
5,369,117
1.11
11.123
640
97.67
50,000.01 - 100,000.00
642
46,764,297
9.66
10.266
621
89.20
100,000.01 - 150,000.00
404
50,077,159
10.35
9.521
617
84.63
150,000.01 - 200,000.00
247
42,875,417
8.86
8.842
612
80.41
200,000.01 - 250,000.00
230
51,469,674
10.64
8.351
616
80.21
250,000.01 - 300,000.00
162
44,235,207
9.14
8.325
624
80.50
300,000.01 - 350,000.00
134
43,558,578
9.00
8.163
634
81.89
350,000.01 - 400,000.00
102
37,773,378
7.81
8.174
641
81.81
400,000.01 - 450,000.00
111
47,354,836
9.79
8.109
634
82.69
450,000.01 - 500,000.00
92
43,461,638
8.98
7.990
637
82.18
500,000.01 - 550,000.00
54
28,149,197
5.82
7.929
652
82.49
550,000.01 - 600,000.00
45
25,819,184
5.34
7.934
660
80.69
600,000.01 - 650,000.00
27
16,973,439
3.51
7.973
632
80.01
Total:
2,382
483,881,121
100.00
8.582
629
82.62



DESCRIPTION OF THE GROUP 2 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
133
5,396,481
1.12
11.111
641
97.58
50,000.01 - 100,000.00
642
46,764,297
9.66
10.266
621
89.20
100,000.01 - 150,000.00
404
50,077,159
10.35
9.521
617
84.63
150,000.01 - 200,000.00
247
42,875,417
8.86
8.842
612
80.41
200,000.01 - 250,000.00
230
51,469,674
10.64
8.351
616
80.21
250,000.01 - 300,000.00
164
44,815,582
9.26
8.306
625
80.31
300,000.01 - 350,000.00
133
43,259,254
8.94
8.170
634
82.09
350,000.01 - 400,000.00
101
37,746,014
7.80
8.174
641
81.81
400,000.01 - 450,000.00
112
47,804,328
9.88
8.098
634
82.67
450,000.01 - 500,000.00
91
43,231,086
8.93
7.990
637
82.25
500,000.01 - 550,000.00
53
27,649,206
5.71
7.960
651
82.43
550,000.01 - 600,000.00
45
25,819,184
5.34
7.934
660
80.69
600,000.01 - 650,000.00
27
16,973,439
3.51
7.973
632
80.01
Total:
2,382
483,881,121
100.00
8.582
629
82.62


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
7
423,967
0.09
9.653
544
79.64
181 - 240
4
430,854
0.09
8.004
629
73.26
301 - 360
2,371
483,026,301
99.82
8.582
630
82.63
Total:
2,382
483,881,121
100.00
8.582
629
82.62



DESCRIPTION OF THE GROUP 2 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 (%)
5.500 - 5.999
4
1,334,615
0.28
5.939
697
79.29
6.000 - 6.499
27
10,364,498
2.14
6.283
674
74.23
6.500 - 6.999
102
36,489,562
7.54
6.832
661
79.16
7.000 - 7.499
147
43,936,488
9.08
7.257
646
79.68
7.500 - 7.999
349
103,131,173
21.31
7.767
641
80.18
8.000 - 8.499
262
64,273,929
13.28
8.262
627
80.39
8.500 - 8.999
320
71,598,916
14.80
8.741
627
81.58
9.000 - 9.499
250
48,205,224
9.96
9.228
603
83.14
9.500 - 9.999
263
40,856,108
8.44
9.761
601
87.01
10.000 - 10.499
133
17,483,144
3.61
10.194
589
85.88
10.500 - 10.999
154
16,542,516
3.42
10.718
632
90.82
11.000 - 11.499
98
8,930,739
1.85
11.205
621
91.40
11.500 - 11.999
85
6,471,014
1.34
11.761
638
98.79
12.000 - 12.499
89
6,859,635
1.42
12.182
625
98.50
12.500 - 12.999
75
5,830,567
1.20
12.656
625
100.00
13.000 - 13.499
17
1,027,468
0.21
13.127
623
100.00
13.500 - 13.999
7
545,525
0.11
13.729
622
100.00
Total:
2,382
483,881,121
100.00
8.582
629
82.62
 




DESCRIPTION OF THE GROUP 2 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
5,505,135
1.14
7.937
580
40.86
50.01 - 55.00
17
3,203,772
0.66
7.648
588
53.07
55.01 - 60.00
24
5,665,423
1.17
8.237
575
58.03
60.01 - 65.00
37
7,452,812
1.54
8.427
565
63.98
65.01 - 70.00
61
15,748,488
3.25
8.210
583
69.09
70.01 - 75.00
91
16,862,224
3.48
8.851
551
73.90
75.01 - 80.00
972
245,397,151
50.71
8.038
645
79.89
80.01 - 85.00
200
42,580,607
8.80
8.639
581
84.52
85.01 - 90.00
319
72,128,604
14.91
8.863
628
89.67
90.01 - 95.00
125
31,624,291
6.54
9.042
645
94.91
95.01 - 100.00
504
37,712,614
7.79
11.428
658
100.00
Total:
2,382
483,881,121
100.00
8.582
629
82.62





DESCRIPTION OF THE GROUP 2 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
253
39,846,855
8.23
9.341
512
75.69
525 - 549
145
24,189,871
5.00
9.112
531
76.81
550 - 574
120
26,484,513
5.47
8.897
562
82.31
575 - 599
229
48,871,762
10.10
8.619
589
82.03
600 - 624
385
76,245,741
15.76
8.533
612
84.10
625 - 649
454
88,492,585
18.29
8.670
637
84.72
650 - 674
263
67,666,242
13.98
8.135
662
81.88
675 - 699
203
44,073,014
9.11
8.439
685
84.82
700 - 724
155
32,320,500
6.68
8.252
711
84.63
725 - 749
100
20,904,004
4.32
8.266
735
83.58
750 - 774
47
9,366,049
1.94
8.665
757
85.94
775 - 799
26
5,099,009
1.05
7.767
784
81.49
800 - 824
2
320,976
0.07
8.550
807
80.00
Total:
2,382
483,881,121
100.00
8.582
629
82.62




DESCRIPTION OF THE GROUP 2 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
701
208,596,323
43.11
8.278
638
82.52
Florida
311
50,583,251
10.45
8.865
622
82.46
New York
112
31,581,617
6.53
8.298
648
83.62
Texas
199
20,877,901
4.31
8.955
620
82.86
New Jersey
63
14,145,235
2.92
8.847
630
81.48
Arizona
74
13,407,352
2.77
8.817
621
81.06
Massachusetts
54
12,674,196
2.62
8.701
633
83.79
Nevada
60
12,562,129
2.60
8.686
647
83.93
Maryland
50
10,554,449
2.18
8.650
610
81.59
Illinois
55
9,159,576
1.89
8.643
625
80.01
Georgia
57
8,620,561
1.78
8.683
620
84.72
Hawaii
28
7,797,572
1.61
8.470
665
81.23
Washington
32
7,387,806
1.53
8.455
606
79.17
Minnesota
37
6,521,073
1.35
8.971
623
83.37
Virginia
32
6,156,544
1.27
8.504
612
81.82
Pennsylvania
52
6,087,290
1.26
9.009
611
81.49
Oregon
32
4,702,812
0.97
8.733
637
82.71
Michigan
37
4,227,888
0.87
9.337
629
86.06
Ohio
44
4,073,435
0.84
9.437
602
87.34
Connecticut
21
4,069,248
0.84
9.405
591
79.52
Wisconsin
25
3,151,285
0.65
9.450
596
81.19
Tennessee
30
3,051,665
0.63
9.254
608
84.49
South Carolina
18
2,868,244
0.59
8.961
624
81.61
Colorado
16
2,852,502
0.59
8.207
587
81.12
Utah
12
2,487,326
0.51
8.499
613
84.79
Indiana
26
2,093,211
0.43
9.311
629
86.68
Rhode Island
10
1,996,728
0.41
9.009
601
84.92
Missouri
19
1,974,915
0.41
9.632
570
81.39
Kentucky
20
1,956,787
0.40
9.262
607
85.40
New Mexico
15
1,927,870
0.40
9.375
573
83.38
Idaho
17
1,832,529
0.38
9.216
596
80.62
Maine
12
1,709,398
0.35
9.777
574
81.04
Arkansas
16
1,372,620
0.28
9.121
609
83.36
North Carolina
13
1,237,211
0.26
9.957
608
88.07
 
*Geographic Distribution continued on the next page





DESCRIPTION OF THE GROUP 2 COLLATERAL

Geographic Distribution (Continued)
 
Number of
  
% of Aggregate
  
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Louisiana 
9
1,216,963
0.25
10.038
574
81.89
Alabama
10
1,112,737
0.23
10.052
593
87.59
District of Columbia
5
1,069,216
0.22
9.137
638
86.44
Alaska
4
996,856
0.21
8.102
626
81.50
Mississippi
13
936,510
0.19
8.989
589
87.48
Iowa
7
827,761
0.17
9.610
597
83.12
New Hampshire
5
817,947
0.17
9.018
635
81.94
Oklahoma
7
600,009
0.12
8.748
607
81.36
Nebraska
7
519,531
0.11
9.451
629
87.00
Delaware
3
315,814
0.07
8.934
570
89.44
North Dakota
2
292,622
0.06
9.076
614
90.00
Kansas
4
280,891
0.06
9.795
603
83.77
West Virginia
2
223,362
0.05
11.177
506
76.55
South Dakota
1
128,171
0.03
10.875
519
75.89
Montana
2
125,671
0.03
8.717
648
89.21
Vermont
1
118,510
0.02
10.500
744
95.00
Total:
2,382
483,881,121
100.00
8.582
629
82.62



DESCRIPTION OF THE GROUP 2 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
1,965
419,603,141
86.72
8.483
625
82.16
Investment
263
38,459,317
7.95
9.531
655
86.90
Second Home
154
25,818,663
5.34
8.785
666
83.70
Total:
2,382
483,881,121
100.00
8.582
629
82.62

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 (%)
Stated Documentation
1,183
260,227,576
53.78
8.890
649
83.41
Full Documentation
1,159
213,794,846
44.18
8.236
604
81.62
Limited Documentation
40
9,858,699
2.04
7.959
652
83.55
Total:
2,382
483,881,121
100.00
8.582
629
82.62
 
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
1,754
327,945,778
67.77
8.699
650
84.48
Refinance - Cashout
566
139,054,248
28.74
8.369
583
78.59
Refinance - Rate Term
62
16,881,096
3.49
8.060
605
79.69
Total:
2,382
483,881,121
100.00
8.582
629
82.62

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
1,679
338,574,687
69.97
8.531
626
82.26
PUD
353
69,041,027
14.27
8.664
626
83.59
Condo
198
40,102,129
8.29
8.751
645
82.60
2-4 Family
150
35,931,201
7.43
8.708
650
84.11
Modular
2
232,079
0.05
9.854
580
90.00
Total:
2,382
483,881,121
100.00
8.582
629
82.62




DESCRIPTION OF THE GROUP 2 COLLATERAL

Next Rate Adjustment Date*
     
% 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 (%)
February 2008
5
1,059,569
0.25
8.493
653
87.11
March 2008
35
11,399,050
2.74
7.260
653
81.07
April 2008
109
26,486,544
6.37
7.981
630
81.84
May 2008
465
113,687,585
27.35
8.451
623
80.89
June 2008
1,067
254,788,482
61.30
8.412
627
81.88
April 2009
2
311,941
0.08
8.450
553
59.88
May 2009
10
2,953,201
0.71
7.805
632
78.12
June 2009
23
4,962,400
1.19
8.398
641
78.67
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*ARM Loans Only




DESCRIPTION OF THE GROUP 2 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 (%)
5.000 - 5.499
1
155,877
0.04
9.300
512
80.00
5.500 - 5.999
280
72,127,673
17.35
8.134
634
81.40
6.000 - 6.499
1,287
312,990,223
75.30
8.324
632
82.11
6.500 - 6.999
104
23,792,654
5.72
9.173
570
78.24
7.000 - 7.499
38
5,766,669
1.39
9.711
528
66.05
7.500 - 7.999
3
239,406
0.06
8.796
550
77.89
8.000 - 8.499
3
576,271
0.14
8.442
527
65.02
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*ARM Loans Only



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 (%)
12.500 - 12.999
4
1,334,615
0.32
5.939
697
79.29
13.000 - 13.499
18
6,815,652
1.64
6.266
660
78.08
13.500 - 13.999
88
31,372,806
7.55
6.833
663
79.58
14.000 - 14.499
139
42,146,235
10.14
7.261
645
79.64
14.500 - 14.999
326
97,191,737
23.38
7.769
641
80.51
15.000 - 15.499
244
61,632,593
14.83
8.267
625
80.39
15.500 - 15.999
294
67,877,877
16.33
8.746
627
81.73
16.000 - 16.499
218
44,483,749
10.70
9.229
600
83.19
16.500 - 16.999
184
34,304,011
8.25
9.762
596
85.91
17.000 - 17.499
95
14,748,100
3.55
10.214
582
84.40
17.500 - 17.999
71
9,587,426
2.31
10.693
599
86.01
18.000 - 18.499
27
3,372,562
0.81
11.200
569
82.47
18.500 - 18.999
5
539,752
0.13
11.579
613
90.95
19.000 - 19.499
3
241,657
0.06
12.066
522
75.63
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*ARM Loans Only




DESCRIPTION OF THE GROUP 2 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 (%)
5.500 - 5.999
4
1,334,615
0.32
5.939
697
79.29
6.000 - 6.499
18
6,815,652
1.64
6.266
660
78.08
6.500 - 6.999
87
31,266,298
7.52
6.829
662
79.58
7.000 - 7.499
138
42,060,795
10.12
7.258
645
79.64
7.500 - 7.999
325
96,962,465
23.33
7.765
641
80.51
8.000 - 8.499
243
61,397,258
14.77
8.262
625
80.40
8.500 - 8.999
294
67,940,172
16.35
8.742
627
81.72
9.000 - 9.499
218
44,608,996
10.73
9.225
601
83.15
9.500 - 9.999
186
34,577,497
8.32
9.762
595
85.89
10.000 - 10.499
96
14,603,701
3.51
10.194
583
84.48
10.500 - 10.999
70
9,475,548
2.28
10.680
599
85.96
11.000 - 11.499
28
3,712,491
0.89
11.200
563
82.25
11.500 - 11.999
6
651,631
0.16
11.613
617
90.79
12.000 - 12.499
3
241,657
0.06
12.066
522
75.63
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*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
11
1,657,451
0.40
9.688
573
80.45
1.500
1,705
413,991,322
99.60
8.354
627
81.52
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*ARM Loans Only





DESCRIPTION OF THE GROUP 2 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
11
1,657,451
0.40
9.688
573
80.45
1.500
1,705
413,991,322
99.60
8.354
627
81.52
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*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
12
1,769,330
0.43
9.820
577
81.05
7.000 - 7.499
1,704
413,879,444
99.57
8.353
627
81.52
Total:
1,716
415,648,774
100.00
8.360
627
81.51
 
*ARM Loans Only

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
703
137,340,686
28.38
9.072
635
83.18
12
97
26,113,575
5.40
8.696
630
83.75
24
1,381
290,283,750
59.99
8.346
626
82.52
36
201
30,143,111
6.23
8.526
640
80.14
Total:
2,382
483,881,121
100.00
8.582
629
82.62





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
Karan Mehta
212-250-0869
   
ABS Structuring
  
Bill Yeung
212-250-6893
Christopher Sudol
212-250-0507
   
ABS Collateral
  
Reta Chandra
212-250-2729
   
Rating Agencies
  
Moody’s
  
Gulmira Karaguishiyeva
201-395-6354
S&P
  
Truc Bui
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