FWP 1 d579485.htm ACE SECURITIES CORP.HOME EQUITY LOAN TRUST Unassociated Document
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-FM2


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.

$873,675,000 (Approximate)
 
Home Equity Loan Trust
 
Series 2006-FM2
 

 
ACE Securities Corp.
(Depositor)
 
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2
(Issuing Entity)
 


October 18, 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 issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the 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 October 18, 2006
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-FM2
$873,675,000 (Approximate)
 
All dollar amounts and percentages 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)
Payment
Delay
(days)
Interest
Accrual
Basis
Legal
Final
Maturity
Expected
Ratings
S / M
Offered Certificates:
             
A-1
$337,235,000
Float
2.21
1 - 80
0
ACT/360
August 2036
AAA/Aaa
A-2A
206,050,000
Float
1.00
1 - 21
0
ACT/360
August 2036
AAA/Aaa
A-2B
66,745,000
Float
2.00
21 - 29
0
ACT/360
August 2036
AAA/Aaa
A-2C
50,402,000
Float
3.00
29 - 55
0
ACT/360
August 2036
AAA/Aaa
A-2D
57,263,000
Float
6.07
55 - 80
0
ACT/360
August 2036
AAA/Aaa
M-1
41,475,000
Float
3.70
41 - 48
0
ACT/360
August 2036
AA+/Aa1
M-2
32,909,000
Float
5.07
48 - 80
0
ACT/360
August 2036
AA/Aa2
M-3
16,680,000
Float
6.65
80 - 80
0
ACT/360
August 2036
AA-/Aa3
M-4
13,975,000
Float
4.58
40 - 80
0
ACT/360
August 2036
A+/A1
M-5
13,524,000
Float
4.56
39 - 80
0
ACT/360
August 2036
A/A2
M-6
9,016,000
Float
4.54
39 - 80
0
ACT/360
August 2036
A-/A3
M-7
9,918,000
Float
4.53
38 - 80
0
ACT/360
August 2036
BBB+/Baa1
M-8
6,762,000
Float
4.51
38 - 80
0
ACT/360
August 2036
BBB/Baa2
M-9
11,721,000
Float
4.51
38 - 80
0
ACT/360
August 2036
BBB-/Baa3
Total Offered
$873,675,000
             
                 
Non-Offered Certificates        
     
M-10
$12,172,000
Float
*Not Offered Hereby*
                 
Total Certificates            
    $885,847,000
             
 
Pricing Speed
 
Fixed-Rate Mortgage Loans
100% PPC (4% CPR growing to 23% CPR over 12 months and remaining constant at 23% CPR 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 (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”), and the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates (collectively, the “Mezzanine Certificates”). The Class A Certificates and the Mezzanine Certificates other than the Class M-10 Certificates are sometimes referred to herein collectively as the “Offered Certificates.” The Class A-1 Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (“Group I Mortgage Loans”) and the Class A-2 Certificates are backed by fixed-rate and adjustable-rate first and second lien mortgage loans with conforming and non-conforming principal balances (“Group II Mortgage Loans”). The Mezzanine Certificates are backed by the Group I Mortgage Loans and Group II Mortgage Loans (collectively, the “Mortgage Loans”). The pass-through rates on the Class A 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 4,147 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of all of the Mortgage Loans is approximately $901,626,555 as of the Cut-off Date. The Mortgage Loans will be separated into two groups. The Group I Mortgage Loans will represent approximately 2,408 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $423,662,272 and the Group II Mortgage Loans will represent approximately 1,739 conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $477,964,284.
   
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 and Class M-10 Certificates
   
Depositor:
ACE Securities Corp. (“ACE”)
   
Originator:
Fremont Investment & Loan
   
Master Servicer:
Wells Fargo Bank, National Association
   
Servicer:
Countrywide Home Loans Servicing LP
   
Trustee:
HSBC Bank USA, National Association
   
Custodian:
Wells Fargo Bank, National Association
   
Credit Risk Manager:
Clayton Fixed Income Services Inc. (formerly known as “The Murrayhill Company”)
   
Underwriter:
Deutsche Bank Securities Inc.
   
Swap Provider:
TBD
   
Cap Provider:
TBD
   
Cut-off Date:
October 1, 2006
   
Expected Pricing:
Week of October 16, 2006
   
Expected Closing Date:
On or about October 30, 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.
 
 



Transaction Overview (Cont.)
 
Distribution Date:
The 25th day of each month (or the next business day if such day is not a business day) commencing in November 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 day.
   
Servicer Remittance Date:
With respect to any Distribution 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 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.
   
Interest Accrual Period:
Interest will initially accrue on all Offered Certificates from the Closing Date to (but excluding) the first Distribution Date, and thereafter, from the prior Distribution Date to (but excluding) the current Distribution Date on an actual/360 basis. The Offered Certificates will initially settle flat (no accrued interest).
   
Interest Distribution Amount:
For any class of Offered Certificates 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 0.5175% per annum for the Mortgage Loans.
   
Compensating Interest:
The Servicer will be required to cover Prepayment Interest Shortfalls on prepayments in full on the Mortgage Loans received during the portion of the Prepayment Period occurring in the month prior to the month in which the related Distribution Date occurs, up to the Servicing Fee. If the Servicer fails to make any required Compensating Interest payment, the Master Servicer will be required to do so up to the Master Servicing Fee.
   
Prepayment Interest Shortfalls:
Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans.




Transaction Overview (Cont.)
 
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) as of the related determination date is less than or equal to 10% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date, the Master Servicer may repurchase all of the Mortgage Loans and REO properties remaining in the trust, causing an early retirement of the certificates, but is not required to do so.
   
Monthly Servicer Advances:
The Servicer will collect monthly payments of principal and interest on the Mortgage Loans and will be obligated to make advances of delinquent monthly principal and interest payments. The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans only to the extent such amounts are deemed recoverable. If the Servicer fails to make any such advance, the Master Servicer will be required to do so subject to its determination of recoverability. The Servicer and the Master Servicer are entitled to be reimbursed for such 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-10 Certificates, fourth, to the Class M-9 Certificates, fifth, to the Class M-8 Certificates, sixth, to the Class M-7 Certificates, seventh, to the Class M-6 Certificates, eighth, to the Class M-5 Certificates, ninth, to the Class M-4 Certificates, tenth, to the Class M-3 Certificates, eleventh, to the Class M-2 Certificates, and twelfth, to the Class M-1 Certificates. There will be no allocation of Realized Losses to the Class A Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to such certificates, under certain loss scenarios there may not be enough principal and interest on the Mortgage Loans to distribute to the holders of the Class A Certificates all principal and interest amounts to which they are then entitled.
   
Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such Certificates will no longer accrue interest and such amounts will not be reinstated thereafter. However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to such certificates on a subordinated basis on any Distribution Date from Net Monthly Excess Cashflow, to the extent available for such distribution 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 established at issuance and which is equal to the Overcollateralization Amount as of the Closing Date, is anticipated to be approximately 1.75% 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 3.50% of the aggregate principal balance of the Mortgage Loans as of the end of such Due Period, subject to a floor amount of approximately 0.50% of the aggregate 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.




Transaction Overview (Cont.)
 
Overcollateralization Increase Amount:
An Overcollateralization Increase Amount for any Distribution Date is the amount of Net Monthly Excess Cashflow actually applied as an accelerated payment of principal to the extent the Required Overcollateralization Amount exceeds the current Overcollateralization Amount.
         
Overcollateralization Reduction Amount:
An Overcollateralization Reduction Amount for any Distribution Date is the amount by which the current Overcollateralization Amount exceeds the Required Overcollateralization Amount after taking into account all other distributions to be made on the Distribution Date limited to the distribution of principal on the Mortgage Loans.
         
Stepdown Date:
Is the earlier of (i) the Distribution Date immediately following the first Distribution Date on which the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero and (ii) the later to occur of (x) the Distribution Date occurring in November 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 40.80%.
         
Credit Enhancement Percentage:
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
20.40%
40.80%
 
M-1
AA+/Aa1
15.80%
31.60%
 
M-2
AA/Aa2
12.15%
24.30%
 
M-3
AA-/Aa3
10.30%
20.60%
 
M-4
A+/A1
8.75%
17.50%
 
M-5
A/A2
7.25%
14.50%
 
M-6
A-/A3
6.25%
12.50%
 
M-7
BBB+/Baa1
5.15%
10.30%
 
M-8
BBB/Baa2
4.40%
8.80%
 
M-9
BBB-/Baa3
3.10%
6.20%
 
M-10
BB+/Ba1
1.75%
3.50%
         
Net Monthly Excess Cashflow:
For any Distribution Date is equal to the sum of (i) any Overcollateralization Reduction Amount and (ii) the excess of the Available Distribution Amount, net of any Net Swap Payment and the Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (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.
 



Transaction Overview (Cont.)
 
Net WAC Pass-Through Rate:
Class A-1 Certificates and 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 (i) 12 and (ii) a fraction, expressed as a percentage, the numerator of which is the amount of interest which accrued on the Mortgage Loans 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 and with respect to the related Mortgage Loans for such Distribution Date, the Group I Allocation Percentage or Group II Allocation Percentage, as applicable, of any Net Swap Payment or Swap Termination Payment made to the Swap Provider which was not caused by the occurrence of a Swap Provider trigger event, in each case 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), after giving effect to principal prepayments received during the related Prepayment Period which were distributed on the immediately preceding Distribution Date.
 
Mezzanine Certificates: The per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group, the aggregate 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 (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 with respect to a class of certificates will be distributed from cap payments, if any, paid by the cap provider pursuant to the related Cap Agreement (described below), 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, and from certain amounts received by the Securities Administrator, on behalf of the supplemental interest trust (described below), under the Swap Agreement, if any. 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.
 
 
Interest Carry Forward Amount:
For any Distribution Date, will be equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on such class in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to such class remaining unpaid from the previous Distribution Date, plus interest accrued thereon at the related pass-through rate for the most recently ended Interest Accrual Period.
 
 



Transaction Overview (Cont.)
  
Swap Agreement:
On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider identified in the final prospectus supplement. Beginning with the Distribution Date in May 2007 the Swap Agreement will have an initial notional amount of $771,169,000. Beginning with the Distribution Date in May 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) [5.12]%, (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 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, and, if such Swap Termination Payment is not due as a result of the occurrence of a Swap Provider Trigger Event (as defined in the Swap Agreement), such payment will be 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 November 2006 and ending on the Distribution Date immediately following the Distribution Date occurring in April 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 during the related Interest Accrual Period and the denominator of which is 360.








Transaction Overview (Cont.)
   
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 November 2006 and ending on the Distribution Date immediately following the Distribution Date occurring in April 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 during the related Interest Accrual Period, and the denominator of which is 360.
   
Available Distribution Amount:
For any Distribution Date, net of the administrative fees, an amount equal to (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all P&I Advances with respect to the Mortgage Loans received for the Distribution Date; and (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period.
   





Transaction Overview (Cont.)
 
   
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 is in effect, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest required to maintain the Required Overcollateralization Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event occurs, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 40.80% 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 and 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 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 Class A Certificates are 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 is in effect), principal will be paid to the Mezzanine Certificates, first to the Class M-1, Class M-2 and Class M-3 Certificates, sequentially, until the Class M-1, Class M-2 and Class M-3 Certificates together reach approximately a 20.60% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), second to the Class M-4 Certificates until it reaches approximately a 17.50% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), third to the Class M-5 Certificates until it reaches approximately a 14.50% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), fourth to the Class M-6 Certificates until it reaches approximately a 12.50% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), fifth to the Class M-7 Certificates until it reaches approximately a 10.30% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), sixth to the Class M-8 Certificates until it reaches approximately a 8.80% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), seventh to the Class M-9 Certificates until it reaches approximately a 6.20% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), and eighth to the Class M-10 Certificates until it reaches approximately a 3.50% Credit Enhancement Percentage (2x the Class M-10 Initial Credit Enhancement Percentage).
 
 



Transaction Overview (Cont.)
 
Class M Principal Distribution Amount
(continued):
If a Trigger Event is in effect, principal payments will be paid first to the Class A Certificates in the manner and order of priority described under "Class A Principal Distribution Amount", in each case until the Certificate Principal Balance of each such class has been reduced to zero and, then sequentially to the Mezzanine Certificates in their order of seniority, in each case until the Certificate Principal Balance of each such class has been reduced to zero.
     
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, subject to the applicable Net WAC Pass-Through Rate.
     
 
Class
After Optional Termination
 
A
2 x Margin
 
M
The lesser of 1.5 x Margin and Margin plus 0.50%
     
Trigger Event:
If either the Delinquency Test or Cumulative Loss Test is violated.
     
Delinquency Test:
The determination on any Distribution Date that the percentage obtained by dividing (x) the principal amount of (1) Mortgage Loans delinquent 60 days or more, (2) Mortgage Loans in foreclosure, (3) REO Properties and (4) Mortgage Loans discharged due to bankruptcy by (y) the aggregate principal balance of the Mortgage Loans, in each case, as of the last day of the previous calendar month, exceeds 38.70% of the Credit Enhancement Percentage.
   
Cumulative Loss Test:
The determination on any Distribution Date that the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date:
     
 
Distribution Date Occurring in
Percentage
 
November 2008 to October 2009
1.45%, plus 1/12th of 1.80% for each month thereafter
 
November 2009 to October 2010
3.25%, plus 1/12th of 1.85% for each month thereafter
 
November 2010 to October 2011
5.10%, plus 1/12th of 1.45% for each month thereafter
 
November 2011 to October 2012
6.55%, plus 1/12th of 0.80% for each month thereafter
 
November 2012 and thereafter
7.35%




Transaction Overview (Cont.)
 
Payment Priority:
On each Distribution Date, the Available Distribution Amount will be distributed as follows:
1.    To the Supplemental Interest Trust to pay any Net Swap Payment or 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, including any accrued unpaid interest from a prior Distribution Date, and then to pay interest excluding any accrued unpaid interest from a prior Distribution Date to the Mezzanine Certificates, on a sequential basis in order of priority.
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 in order of priority.
7.    From remaining Net Monthly Excess Cashflow, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, on a sequential basis in order of priority.
8.    From remaining Net Monthly Excess Cashflow, if any, to pay the Net WAC Rate Carryover Amount on the Class A Certificates and the Mezzanine Certificates in the same order of priority as described in 2 above.
9.    From remaining Net Monthly Excess Cashflow, if any, to pay any Swap Termination Payment (caused by a Swap Provider Trigger Event) 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.
 
 



Transaction Overview (Cont.)
 
   
Payment Priority cont’d:
Any Net Swap Payments payable to the Securities Administrator on behalf of the Supplemental Interest Trust by the Swap Provider will be paid as follows:
 
1.    To pay any unpaid interest on the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially in order of priority.
2.    To pay any principal to the Class A Certificates and the Mezzanine Certificates in accordance with the principal payment provisions described above in an amount necessary to restore or maintain the Required Overcollateralization Amount but not to exceed the cumulative realized losses on the Mortgage Loans.
3.    To pay any allocated Realized Losses remaining unpaid on the Mezzanine Certificates, sequentially.
4.    To pay the Net WAC Rate Carryover Amount on the Class A Certificates and Mezzanine Certificates remaining unpaid in the same order of priority as described above.
5.    To pay any Swap Termination Payment (caused by a Swap Provider Trigger Event under the Swap Agreement) owed to the Swap Provider.
6.    To pay any remaining amount to the Class CE Certificates.
 
Any Net Swap Payments payable to the Swap Provider by the Securities Administrator on behalf of the Supplemental Interest Trust will be paid as follows:
 
1. To make any Net Swap Payment owed to the Swap Provider pursuant to the Swap Agreement for such Distribution Date, and
2. To make any Swap Termination Payment not due to a Swap Provider Trigger Event owed to the Swap Provider pursuant to the Swap Agreement (to the extent not paid by the Securities Administrator from any upfront payment received pursuant to any replacement interest rate swap agreement that may be entered into by the Securities Administrator).
   
ERISA:
It is expected that the Offered Certificates may be purchased by, or with the assets of, employee benefit plans subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or plans or arrangements subject to section 4975 of the Internal Revenue Code (each, a “Plan”). Prior to the termination of the Supplemental Interest Trust, Plans or persons using assets of a Plan may purchase the Offered Certificates if the purchase and holding meets the requirements of an investor-based class exemption issued by the Department of Labor. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates.
   
Legal Investment:
The Offered Certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984.
   
Taxation - REMIC:
One or more REMIC elections will be made for designated portions of the Trust (exclusive of certain shortfall payments or payments from the Supplemental Interest Trust or the obligation to make payments to the Supplemental Interest Trust pursuant to the Swap Agreement).
   
Form of Registration:
Book-entry form through DTC, Clearstream and Euroclear.
   
Minimum Denominations:
$25,000 and integral multiples of $1 in excess thereof.
   
 



Swap Schedule

Distribution Date
Notional Schedule ($)
Distribution Date
Notional Schedule ($)
11/25/2006
-
7/25/2009
159,568,000
12/25/2006
-
8/25/2009
152,479,000
1/25/2007
-
9/25/2009
145,711,000
2/25/2007
-
10/25/2009
139,249,000
3/25/2007
-
11/25/2009
133,079,000
4/25/2007
-
12/25/2009
127,188,000
5/25/2007
771,169,000
1/25/2010
121,562,000
6/25/2007
742,148,000
2/25/2010
116,190,000
7/25/2007
711,457,000
3/25/2010
111,060,000
8/25/2007
681,990,000
4/25/2010
106,161,000
9/25/2007
653,747,000
5/25/2010
101,482,000
10/25/2007
626,677,000
6/25/2010
  97,014,000
11/25/2007
600,732,000
7/25/2010
  92,746,000
12/25/2007
575,864,000
8/25/2010
  88,669,000
1/25/2008
552,028,000
9/25/2010
  84,775,000
2/25/2008
529,182,000
10/25/2010
  81,056,000
3/25/2008
507,285,000
11/25/2010
  77,503,000
4/25/2008
486,292,000
12/25/2010
  74,109,000
5/25/2008
466,138,000
1/25/2011
  70,867,000
6/25/2008
446,103,000
2/25/2011
  67,769,000
7/25/2008
380,229,000
3/25/2011
  64,810,000
8/25/2008
324,953,000
4/25/2011
  61,982,000
9/25/2008
278,959,000
5/25/2011
  59,280,000
10/25/2008
240,941,000
6/25/2011
  56,699,000
11/25/2008
229,862,000
7/25/2011
  54,232,000
12/25/2008
219,579,000
8/25/2011
  51,872,000
1/25/2009
209,763,000
9/25/2011
  49,616,000
2/25/2009
200,396,000
10/25/2011
  47,461,000
3/25/2009
191,455,000
11/25/2011
-
4/25/2009
182,919,000
   
5/25/2009
174,772,000
   
6/25/2009
166,994,000
   





Group I and Group II Cap Schedule

Group I
 
Group II
Distribution Date
Notional Schedule ($)
Cap Strike
 
Distribution Date
Notional Schedule ($)
Cap Strike
11/25/2006
423,662,000
7.50%
 
11/25/2006
477,964,000
7.50%
12/25/2006
418,738,000
7.50%
 
12/25/2006
472,423,000
7.50%
1/25/2007
413,092,000
7.50%
 
1/25/2007
466,065,000
7.50%
2/25/2007
406,735,000
7.50%
 
2/25/2007
458,902,000
7.50%
3/25/2007
399,686,000
7.50%
 
3/25/2007
450,956,000
7.50%
4/25/2007
391,966,000
7.50%
 
4/25/2007
442,250,000
7.50%
5/25/2007
-
7.50%
 
5/25/2007
-
7.50%
             





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 (yrs)
22.14
4.28
2.21
1.53
1.17
 
First Payment Date
Nov-06
Nov-06
Nov-06
Nov-06
Nov-06
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Apr-09
             
A-2A
Avg Life (yrs)
17.73
1.59
1.00
0.83
0.67
 
First Payment Date
Nov-06
Nov-06
Nov-06
Nov-06
Nov-06
 
Last Payment Date
Dec-31
Dec-09
Jul-08
Jun-08
Jan-08
             
A-2B
Avg Life (yrs)
26.60
4.11
2.00
1.73
1.48
 
First Payment Date
Dec-31
Dec-09
Jul-08
Jun-08
Jan-08
 
Last Payment Date
Feb-35
Apr-12
Mar-09
Aug-08
Jun-08
             
A-2C
Avg Life (yrs)
29.25
7.05
3.00
2.03
1.74
 
First Payment Date
Feb-35
Apr-12
Mar-09
Aug-08
Jun-08
 
Last Payment Date
Jun-36
Oct-15
May-11
Feb-09
Aug-08
             
A-2D
Avg Life (yrs)
29.65
11.75
6.07
3.33
2.06
 
First Payment Date
Jun-36
Oct-15
May-11
Feb-09
Aug-08
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Mar-09
             
M-1
Avg Life (yrs)
27.94
5.46
3.70
4.23
3.37
 
First Payment Date
Feb-33
Sep-10
Mar-10
Aug-10
Apr-09
 
Last Payment Date
Apr-36
Feb-14
Oct-10
Jul-11
Jun-10
             
M-2
Avg Life (yrs)
29.64
9.81
5.07
4.95
3.65
 
First Payment Date
Apr-36
Feb-14
Oct-10
Jul-11
Jun-10
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-3
Avg Life (yrs)
29.65
12.82
6.65
4.99
3.65
 
First Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-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-4
Avg Life (yrs)
28.87
8.38
4.58
4.05
3.38
 
First Payment Date
Feb-33
Sep-10
Feb-10
Jun-10
Jan-10
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-5
Avg Life (yrs)
28.87
8.38
4.56
3.96
3.25
 
First Payment Date
Feb-33
Sep-10
Jan-10
Apr-10
Nov-09
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-6
Avg Life (yrs)
28.87
8.38
4.54
3.90
3.16
 
First Payment Date
Feb-33
Sep-10
Jan-10
Mar-10
Oct-09
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-7
Avg Life (yrs)
28.87
8.38
4.53
3.85
3.09
 
First Payment Date
Feb-33
Sep-10
Dec-09
Feb-10
Aug-09
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-8
Avg Life (yrs)
28.87
8.38
4.51
3.82
3.03
 
First Payment Date
Jan-33
Sep-10
Dec-09
Feb-10
Aug-09
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-9
Avg Life (yrs)
28.87
8.38
4.51
3.77
2.99
 
First Payment Date
Jan-33
Sep-10
Dec-09
Jan-10
Jul-09
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-10
             
M-10
Avg Life (yrs)
28.87
8.27
4.42
3.68
2.90
 
First Payment Date
Jan-33
Sep-10
Nov-09
Dec-09
Jun-09
 
Last Payment Date
Jun-36
Aug-19
Jun-13
Oct-11
Jun-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 (yrs)
22.14
4.63
2.42
1.68
1.17
 
First Payment Date
Nov-06
Nov-06
Nov-06
Nov-06
Nov-06
 
Last Payment Date
Jun-36
May-33
Jun-22
Nov-18
Apr-09
             
A-2A
Avg Life (yrs)
17.73
1.59
1.00
0.83
0.67
 
First Payment Date
Nov-06
Nov-06
Nov-06
Nov-06
Nov-06
 
Last Payment Date
Dec-31
Dec-09
Jul-08
Jun-08
Jan-08
             
A-2B
Avg Life (yrs)
26.60
4.11
2.00
1.73
1.48
 
First Payment Date
Dec-31
Dec-09
Jul-08
Jun-08
Jan-08
 
Last Payment Date
Feb-35
Apr-12
Mar-09
Aug-08
Jun-08
             
A-2C
Avg Life (yrs)
29.25
7.05
3.00
2.03
1.74
 
First Payment Date
Feb-35
Apr-12
Mar-09
Aug-08
Jun-08
 
Last Payment Date
Jun-36
Oct-15
May-11
Feb-09
Aug-08
             
A-2D
Avg Life (yrs)
29.65
14.10
7.44
4.27
2.06
 
First Payment Date
Jun-36
Oct-15
May-11
Feb-09
Aug-08
 
Last Payment Date
Jun-36
Jun-33
May-22
Oct-18
Mar-09
             
M-1
Avg Life (yrs)
27.94
5.46
3.70
4.23
3.52
 
First Payment Date
Feb-33
Sep-10
Mar-10
Aug-10
Apr-09
 
Last Payment Date
Apr-36
Feb-14
Oct-10
Jul-11
Jan-11
             
M-2
Avg Life (yrs)
29.64
9.82
5.07
5.27
5.03
 
First Payment Date
Apr-36
Feb-14
Oct-10
Jul-11
Jan-11
 
Last Payment Date
Jun-36
Feb-20
Sep-13
Sep-12
Dec-12
             
M-3
Avg Life (yrs)
29.65
17.53
9.37
7.25
7.15
 
First Payment Date
Jun-36
Feb-20
Sep-13
Sep-12
Dec-12
 
Last Payment Date
Jun-36
Feb-30
Oct-19
Sep-16
Sep-15









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-4
Avg Life (yrs)
28.87
9.16
5.03
4.40
3.63
 
First Payment Date
Feb-33
Sep-10
Feb-10
Jun-10
Jan-10
 
Last Payment Date
Jun-36
Dec-26
Sep-17
Feb-15
Nov-12
             
M-5
Avg Life (yrs)
28.87
9.11
4.97
4.28
3.48
 
First Payment Date
Feb-33
Sep-10
Jan-10
Apr-10
Nov-09
 
Last Payment Date
Jun-36
Mar-26
Mar-17
Sep-14
Aug-12
             
M-6
Avg Life (yrs)
28.87
9.05
4.92
4.19
3.37
 
First Payment Date
Feb-33
Sep-10
Jan-10
Mar-10
Oct-09
 
Last Payment Date
Jun-36
Mar-25
Aug-16
Apr-14
Apr-12
             
M-7
Avg Life (yrs)
28.87
8.98
4.87
4.11
3.28
 
First Payment Date
Feb-33
Sep-10
Dec-09
Feb-10
Aug-09
 
Last Payment Date
Jun-36
Jun-24
Mar-16
Dec-13
Jan-12
             
M-8
Avg Life (yrs)
28.87
8.89
4.79
4.04
3.19
 
First Payment Date
Jan-33
Sep-10
Dec-09
Feb-10
Aug-09
 
Last Payment Date
Jun-36
Jun-23
Aug-15
Jun-13
Sep-11
             
M-9
Avg Life (yrs)
28.87
8.74
4.71
3.93
3.10
 
First Payment Date
Jan-33
Sep-10
Dec-09
Jan-10
Jul-09
 
Last Payment Date
Jun-36
Sep-22
Mar-15
Feb-13
May-11
             
M-10
Avg Life (yrs)
28.87
8.32
4.45
3.71
2.91
 
First Payment Date
Jan-33
Sep-10
Nov-09
Dec-09
Jun-09
 
Last Payment Date
Jun-36
Oct-20
Feb-14
Apr-12
Oct-10
             




Class A-1 Net WAC Schedule*
 
Class A-1 Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
11/25/2006
21.776
 
46
8/25/2010
17.647
2
12/25/2006
20.539
 
47
9/25/2010
17.547
3
1/25/2007
20.280
 
48
10/25/2010
17.793
4
2/25/2007
20.280
 
49
11/25/2010
17.352
5
3/25/2007
21.114
 
50
12/25/2010
17.603
6
4/25/2007
20.280
 
51
1/25/2011
17.166
7
5/25/2007
22.095
 
52
2/25/2011
17.074
8
6/25/2007
21.785
 
53
3/25/2011
18.102
9
7/25/2007
21.665
 
54
4/25/2011
16.895
10
8/25/2007
21.333
 
55
5/25/2011
17.158
11
9/25/2007
21.112
 
56
6/25/2011
16.725
12
10/25/2007
21.011
 
57
7/25/2011
16.994
13
11/25/2007
20.682
 
58
8/25/2011
16.561
14
12/25/2007
20.592
 
59
9/25/2011
16.479
15
1/25/2008
20.266
 
60
10/25/2011
16.751
16
2/25/2008
20.063
 
61
11/25/2011
12.002
17
3/25/2008
20.126
 
62
12/25/2011
12.395
18
4/25/2008
19.668
 
63
1/25/2012
11.989
19
5/25/2008
19.606
 
64
2/25/2012
11.980
20
6/25/2008
19.280
 
65
3/25/2012
12.798
21
7/25/2008
20.599
 
66
4/25/2012
11.964
22
8/25/2008
19.469
 
67
5/25/2012
12.355
23
9/25/2008
18.651
 
68
6/25/2012
11.949
24
10/25/2008
18.179
 
69
7/25/2012
12.340
25
11/25/2008
17.790
 
70
8/25/2012
11.934
26
12/25/2008
17.897
 
71
9/25/2012
11.925
27
1/25/2009
18.605
 
72
10/25/2012
12.314
28
2/25/2009
18.476
 
73
11/25/2012
11.909
29
3/25/2009
19.252
 
74
12/25/2012
12.298
30
4/25/2009
18.209
 
75
1/25/2013
11.893
31
5/25/2009
18.365
 
76
2/25/2013
11.884
32
6/25/2009
17.958
 
77
3/25/2013
13.148
33
7/25/2009
19.259
 
78
4/25/2013
11.867
34
8/25/2009
18.825
 
79
5/25/2013
12.254
35
9/25/2009
18.702
 
80
6/25/2013
11.850
36
10/25/2009
18.910
 
81
7/25/2013
12.236
37
11/25/2009
18.463
       
38
12/25/2009
18.679
       
39
1/25/2010
18.375
       
40
2/25/2010
18.267
       
41
3/25/2010
19.244
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
42
4/25/2010
18.047
         
*1 Month LIBOR: 20%
43
5/25/2010
18.280
         
*6 Month Libor: 20%
44
6/25/2010
17.836
         
*Includes Net Swap Payments received from the Swap Provider
45
7/25/2010
18.087
         
*Includes Cap Payments received from the Cap Provider







Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule*
 
Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
11/25/2006
21.626
 
46
8/25/2010
17.742
2
12/25/2006
20.409
 
47
9/25/2010
17.644
3
1/25/2007
20.154
 
48
10/25/2010
17.895
4
2/25/2007
20.155
 
49
11/25/2010
17.453
5
3/25/2007
20.975
 
50
12/25/2010
17.709
6
4/25/2007
20.156
 
51
1/25/2011
17.268
7
5/25/2007
21.967
 
52
2/25/2011
17.178
8
6/25/2007
21.662
 
53
3/25/2011
18.219
9
7/25/2007
21.539
 
54
4/25/2011
17.003
10
8/25/2007
21.211
 
55
5/25/2011
17.270
11
9/25/2007
20.992
 
56
6/25/2011
16.833
12
10/25/2007
20.887
 
57
7/25/2011
17.105
13
11/25/2007
20.563
 
58
8/25/2011
16.671
14
12/25/2007
20.470
 
59
9/25/2011
16.591
15
1/25/2008
20.148
 
60
10/25/2011
16.869
16
2/25/2008
19.946
 
61
11/25/2011
12.118
17
3/25/2008
20.002
 
62
12/25/2011
12.515
18
4/25/2008
19.552
 
63
1/25/2012
12.105
19
5/25/2008
19.487
 
64
2/25/2012
12.100
20
6/25/2008
19.201
 
65
3/25/2012
12.927
21
7/25/2008
20.562
 
66
4/25/2012
12.087
22
8/25/2008
19.451
 
67
5/25/2012
12.483
23
9/25/2008
18.644
 
68
6/25/2012
12.074
24
10/25/2008
18.184
 
69
7/25/2012
12.470
25
11/25/2008
17.796
 
70
8/25/2012
12.062
26
12/25/2008
17.926
 
71
9/25/2012
12.056
27
1/25/2009
18.648
 
72
10/25/2012
12.451
28
2/25/2009
18.523
 
73
11/25/2012
12.043
29
3/25/2009
19.307
 
74
12/25/2012
12.437
30
4/25/2009
18.260
 
75
1/25/2013
12.030
31
5/25/2009
18.419
 
76
2/25/2013
12.023
32
6/25/2009
18.030
 
77
3/25/2013
13.304
33
7/25/2009
19.349
 
78
4/25/2013
12.010
34
8/25/2009
18.913
 
79
5/25/2013
12.403
35
9/25/2009
18.792
 
80
6/25/2013
11.996
36
10/25/2009
19.005
 
81
7/25/2013
12.389
37
11/25/2009
18.556
       
38
12/25/2009
18.783
       
39
1/25/2010
18.463
       
40
2/25/2010
18.355
       
41
3/25/2010
19.343
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
42
4/25/2010
18.139
         
*1 Month LIBOR: 20%
43
5/25/2010
18.377
         
*6 Month Libor: 20%
44
6/25/2010
17.930
         
*Includes Net Swap Payments received from the Swap Provider
45
7/25/2010
18.185
         
*Includes Cap Payments received from the Cap Provider

 




Class M Net WAC Schedule*
 
Class M Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
11/25/2006
21.696
 
46
8/25/2010
17.697
2
12/25/2006
20.470
 
47
9/25/2010
17.598
3
1/25/2007
20.213
 
48
10/25/2010
17.847
4
2/25/2007
20.214
 
49
11/25/2010
17.406
5
3/25/2007
21.040
 
50
12/25/2010
17.659
6
4/25/2007
20.214
 
51
1/25/2011
17.220
7
5/25/2007
22.027
 
52
2/25/2011
17.129
8
6/25/2007
21.720
 
53
3/25/2011
18.164
9
7/25/2007
21.598
 
54
4/25/2011
16.952
10
8/25/2007
21.268
 
55
5/25/2011
17.217
11
9/25/2007
21.048
 
56
6/25/2011
16.782
12
10/25/2007
20.945
 
57
7/25/2011
17.053
13
11/25/2007
20.619
 
58
8/25/2011
16.619
14
12/25/2007
20.528
 
59
9/25/2011
16.538
15
1/25/2008
20.204
 
60
10/25/2011
16.813
16
2/25/2008
20.001
 
61
11/25/2011
12.063
17
3/25/2008
20.060
 
62
12/25/2011
12.459
18
4/25/2008
19.607
 
63
1/25/2012
12.050
19
5/25/2008
19.543
 
64
2/25/2012
12.043
20
6/25/2008
19.238
 
65
3/25/2012
12.866
21
7/25/2008
20.579
 
66
4/25/2012
12.029
22
8/25/2008
19.459
 
67
5/25/2012
12.423
23
9/25/2008
18.647
 
68
6/25/2012
12.015
24
10/25/2008
18.181
 
69
7/25/2012
12.409
25
11/25/2008
17.793
 
70
8/25/2012
12.002
26
12/25/2008
17.912
 
71
9/25/2012
11.994
27
1/25/2009
18.628
 
72
10/25/2012
12.386
28
2/25/2009
18.501
 
73
11/25/2012
11.980
29
3/25/2009
19.281
 
74
12/25/2012
12.372
30
4/25/2009
18.236
 
75
1/25/2013
11.965
31
5/25/2009
18.394
 
76
2/25/2013
11.958
32
6/25/2009
17.996
 
77
3/25/2013
13.230
33
7/25/2009
19.307
 
78
4/25/2013
11.942
34
8/25/2009
18.872
 
79
5/25/2013
12.333
35
9/25/2009
18.750
 
80
6/25/2013
11.927
36
10/25/2009
18.960
 
81
7/25/2013
12.317
37
11/25/2009
18.512
       
38
12/25/2009
18.735
       
39
1/25/2010
18.422
       
40
2/25/2010
18.314
       
41
3/25/2010
19.296
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
42
4/25/2010
18.096
         
*1 Month LIBOR: 20%
43
5/25/2010
18.331
         
*6 Month Libor: 20%
44
6/25/2010
17.886
         
*Includes Net Swap Payments received from the Swap Provider
45
7/25/2010
18.139
         
*Includes Cap Payments received from 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
325
5.3200
5.3900
325
45
492
5.0715
5.1553
489
2
253
5.3565
5.3722
249
46
480
5.0718
5.1700
477
3
235
5.3668
5.3416
230
47
479
5.0715
5.1858
477
4
235
5.3265
5.3060
234
48
491
5.0708
5.2000
488
5
289
5.3061
5.2674
290
49
478
5.1553
5.2156
471
6
235
5.2977
5.2299
237
50
490
5.1564
5.2177
483
7
271
5.2178
5.1818
272
51
477
5.1587
5.2193
475
8
270
5.1762
5.1529
270
52
477
5.1611
5.2206
474
9
271
5.1860
5.1276
272
53
514
5.1614
5.2226
510
10
268
5.0861
5.0964
270
54
476
5.1641
5.2247
473
11
268
5.0730
5.0769
270
55
488
5.1653
5.2256
485
12
270
5.0205
5.0552
273
56
475
5.1671
5.2305
472
13
267
5.0491
5.0377
270
57
487
5.1680
5.2336
485
14
269
5.0244
5.0130
273
58
474
5.1704
5.2379
472
15
265
4.9988
4.9876
270
59
473
5.1708
5.2420
472
16
265
4.9720
4.9608
270
60
486
5.1714
5.2448
484
17
272
4.9472
4.9359
278
61
461
5.1896
5.2490
463
18
264
4.9231
4.9118
271
62
479
5.1900
5.2495
480
19
267
4.8971
4.8859
276
63
461
5.1914
5.2507
463
20
265
4.8736
4.9022
275
64
460
5.1924
5.2510
463
21
489
4.8487
4.9224
484
65
496
5.1924
5.2515
498
22
481
4.8241
4.9439
480
66
459
5.1939
5.2527
462
23
477
4.8003
4.9686
479
67
477
5.1945
5.2535
479
24
482
4.7824
4.9982
487
68
459
5.1950
5.2624
461
25
473
4.9917
5.0283
469
69
477
5.1950
5.2711
481
26
482
4.9857
5.0217
478
70
459
5.1957
5.2816
463
27
490
4.9788
5.0151
477
71
460
5.1959
5.2908
464
28
489
4.9728
5.0088
477
72
479
5.1963
5.2993
482
29
517
4.9657
5.0022
503
73
461
5.2501
5.3100
459
30
488
4.9606
4.9972
476
74
480
5.2505
5.3102
478
31
497
4.9539
4.9901
486
75
462
5.2520
5.3111
463
32
486
4.9484
5.0104
477
76
463
5.2523
5.3115
464
33
498
4.9408
5.0320
489
77
517
5.2517
5.3114
518
34
488
4.9352
5.0530
481
78
464
5.2540
5.3127
465
35
488
4.9290
5.0783
481
79
483
5.2532
5.3124
483
36
497
4.9268
5.1008
490
80
465
5.2538
5.3164
466
37
486
5.0698
5.1252
472
         
38
490
5.0704
5.1252
476
         
39
482
5.0709
5.1258
476
         
40
482
5.0724
5.1256
476
         
41
516
5.0706
5.1257
509
         
42
482
5.0718
5.1268
476
         
43
493
5.0716
5.1263
487
         
44
481
5.0723
5.1424
475
         
*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:
- 100% PPC
- Optional Termination is not exercised
- Forward Curves
- 40% Severity
- Interest & Principal advancing
- 6 month recovery lag
- Triggers Failing
The table below displays the Constant Default Rate (“CDR”) and the related cumulative collateral loss before the referenced Class incurs a writedown.
 
Class
 
CDR Break-Even (%)
 
Cumulative Loss (%)
M-1
28.29
20.49
M-2
22.19
17.55
M-3
19.46
16.06
M-4
17.33
14.80
M-5
15.39
13.58
M-6
14.15
12.76
M-7
12.79
11.81
M-8
11.87
11.15
M-9
10.28
9.95
M-10
8.92
8.86

 




DESCRIPTION OF THE TOTAL COLLATERAL

SUMMARY - AGGREGATE POOL*
 
Number of Mortgage Loans:
4,147
 
Index Type:
 
Aggregate Principal Balance:
$901,626,555
 
6 Month LIBOR:
83.28%
Conforming Principal Balance Loans:
$661,339,550
 
Fixed Rate:
16.72%
Average Principal Balance:
$217,417
 
W.A. Initial Periodic Cap**:
2.827%
Range:
$14,320 - $1,038,631
 
W.A. Subsequent Periodic Cap**:
1.500%
W.A. Coupon:
8.488%
 
W.A. Lifetime Rate Cap**:
6.000%
Range:
5.550% - 13.700%
 
Property Type:
 
W.A. Gross Margin**:
6.042%
 
Single Family:
81.52%
Range:
2.990% - 6.990%
 
2-4 Family:
12.58%
W.A. Remaining Term:
355 months
 
Condo:
5.90%
Range:
55 months - 357 months
     
W.A. Seasoning:
4 months
 
Occupancy Status:
 
Latest Maturity Date:
July 1, 2036
 
Primary:
93.97%
State Concentration (Top 5):
   
Investment:
5.28%
California:
26.79%
 
Second Home:
0.76%
Florida:
15.48%
 
Documentation Status:
 
New York:
11.10%
 
Full:
53.85%
Maryland:
7.15%
 
Stated:
45.37%
New Jersey:
6.67%
 
Easy:
0.78%
W.A. Original Combined LTV:
81.67%
     
Range:
8.13% - 100.00%
 
Non-Zero W.A. Prepayment Penalty Term:
25 months
First Liens:
93.45%
 
Loans with Prepay Penalties:
62.31%
Second Liens:
6.55%
 
Interest Only Loans:
13.00%
Non-Balloon Loans:
62.18%
 
Non-Zero Weighted Average IO Term:
60 months
W.A. FICO Score:
627
     
         
* Subject to a permitted variance of +/- 10%
** For ARM loans only




DESCRIPTION OF THE TOTAL COLLATERAL


Originator
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Originator
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
FREMONT
4,147
901,626,555
100.00
8.488
627
81.67
Total:
4,147
901,626,555
100.00
8.488
627
81.67



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
422
14,125,266
1.57
11.436
634
98.79
50,000.01 - 100,000.00
681
51,594,621
5.72
10.184
626
88.82
100,000.01 - 150,000.00
675
84,303,005
9.35
9.285
618
81.74
150,000.01 - 200,000.00
593
103,410,257
11.47
8.485
616
79.52
200,000.01 - 250,000.00
409
91,870,913
10.19
8.511
613
79.34
250,000.01 - 300,000.00
315
86,549,574
9.60
8.267
626
79.83
300,000.01 - 350,000.00
301
97,262,796
10.79
8.203
629
80.86
350,000.01 - 400,000.00
202
75,828,488
8.41
8.183
626
80.06
400,000.01 - 450,000.00
151
64,247,560
7.13
8.076
631
81.32
450,000.01 - 500,000.00
106
50,458,144
5.60
8.136
641
82.04
500,000.01 - 550,000.00
82
42,904,338
4.76
8.077
639
81.93
550,000.01 - 600,000.00
80
46,026,777
5.10
8.034
644
82.98
600,000.01 - 650,000.00
41
25,510,283
2.83
7.909
645
84.98
650,000.01 - 700,000.00
29
19,489,589
2.16
8.239
629
86.75
700,000.01 - 750,000.00
25
18,067,533
2.00
8.381
637
79.55
750,000.01 - 800,000.00
18
14,104,241
1.56
8.281
636
81.99
800,000.01 - 850,000.00
3
2,514,871
0.28
7.273
695
83.34
850,000.01 - 900,000.00
3
2,640,419
0.29
6.501
701
71.88
900,000.01 - 950,000.00
2
1,843,760
0.20
7.150
626
78.95
8
7,835,490
0.87
7.274
636
81.06
Greater than or equal to 1,000,000.01
1
1,038,631
0.12
7.550
697
80.00
Total:
4,147
901,626,555
100.00
8.488
627
81.67







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 (%)
423
14,175,217
1.57
11.439
634
98.79
50,000.01 - 100,000.00
680
51,544,670
5.72
10.182
626
88.81
100,000.01 - 150,000.00
678
84,752,902
9.40
9.278
618
81.75
150,000.01 - 200,000.00
593
103,559,378
11.49
8.488
615
79.48
200,000.01 - 250,000.00
407
91,521,802
10.15
8.510
613
79.38
250,000.01 - 300,000.00
314
86,299,667
9.57
8.266
626
79.80
300,000.01 - 350,000.00
302
97,612,112
10.83
8.203
629
80.85
350,000.01 - 400,000.00
201
75,479,173
8.37
8.182
625
80.06
400,000.01 - 450,000.00
152
64,692,376
7.18
8.078
631
81.35
450,000.01 - 500,000.00
106
50,513,039
5.60
8.122
641
81.90
500,000.01 - 550,000.00
82
42,953,626
4.76
8.065
639
81.84
550,000.01 - 600,000.00
79
45,477,778
5.04
8.059
642
83.19
600,000.01 - 650,000.00
41
25,510,283
2.83
7.909
645
84.98
650,000.01 - 700,000.00
29
19,489,589
2.16
8.239
629
86.75
700,000.01 - 750,000.00
25
18,067,533
2.00
8.381
637
79.55
750,000.01 - 800,000.00
18
14,104,241
1.56
8.281
636
81.99
800,000.01 - 850,000.00
3
2,514,871
0.28
7.273
695
83.34
850,000.01 - 900,000.00
3
2,640,419
0.29
6.501
701
71.88
900,000.01 - 950,000.00
2
1,843,760
0.20
7.150
626
78.95
950,000.01 - 1,000,000.00
8
7,835,490
0.87
7.274
636
81.06
Greater than or equal to 1,000,000.01
1
1,038,631
0.12
7.550
697
80.00
Total:
4,147
901,626,555
100.00
8.488
627
81.67


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 (%)
1 - 60
4
85,368
0.01
12.645
662
95.00
61 - 120
5
140,519
0.02
11.871
629
99.16
121 - 180
79
2,271,495
0.25
10.379
651
92.41
181 - 240
5
426,586
0.05
8.973
620
83.84
301 - 360
4,054
898,702,586
99.68
8.482
627
81.64
Total:
4,147
901,626,555
100.00
8.488
627
81.67




DESCRIPTION OF THE TOTAL COLLATERAL

Product 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 - 5 Year
4         
85,368
0.01
12.645
662
95.00
Fixed - 10 Year
5         
140,519
0.02
11.871
629
99.16
Fixed - 15 Year
79         
2,271,495
0.25
10.379
651
92.41
Fixed - 20 Year
5         
426,586
0.05
8.973
620
83.84
Fixed - 30 Year
1,074         
115,376,351
12.80
9.413
648
88.04
Balloon - 30/40
101         
32,471,145
3.60
7.538
652
79.86
ARM - 2 Year/6 Month
1,489         
320,115,896
35.50
8.768
604
79.33
ARM - 2 Year/6 Month IO
354         
114,461,791
12.70
7.657
647
81.20
ARM - 2 Year/6 Month 30/40 Balloon
989         
304,214,556
33.74
8.248
633
82.13
ARM - 3 Year/6 Month
21         
4,262,071
0.47
8.977
591
75.78
ARM - 3 Year/6 Month IO
8         
2,746,620
0.30
7.246
656
80.58
ARM - 3 Year/6 Month 30/40 Balloon
9         
3,424,121
0.38
7.860
661
82.21
ARM - 5 Year/6 Month
4         
751,717
0.08
8.448
634
70.61
ARM - 5 Year/6 Month 30/40 Balloon
5         
878,319
0.10
9.067
637
76.21
Total:
4,147         
901,626,555
100.00
8.488
627
81.67


Interest Only Term
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
3,785
784,418,145
87.00
8.613
624
81.75
60
362
117,208,411
13.00
7.648
647
81.19
Total:
4,147
901,626,555
100.00
8.488
627
81.67







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
15
4,969,559
0.55
5.956
685
72.21
6.000 - 6.499
53
18,353,567
2.04
6.278
668
74.81
6.500 - 6.999
168
55,822,200
6.19
6.779
668
78.65
299
91,930,028
10.20
7.260
642
80.58
7.500 - 7.999
625
181,151,513
20.09
7.755
638
81.09
8.000 - 8.499
520
140,896,945
15.63
8.260
633
80.88
8.500 - 8.999
673
173,196,821
19.21
8.739
615
81.18
9.000 - 9.499
354
80,272,549
8.90
9.223
615
82.75
9.500 - 9.999
385
62,765,334
6.96
9.734
595
83.08
10.000 - 10.499
176
22,406,194
2.49
10.216
583
82.45
10.500 - 10.999
271
26,831,539
2.98
10.757
614
87.53
11.000 - 11.499
205
15,928,279
1.77
11.239
630
92.21
11.500 - 11.999
131
10,177,656
1.13
11.784
580
84.25
12.000 - 12.499
113
6,903,976
0.77
12.198
590
90.25
12.500 - 12.999
144
9,169,861
1.02
12.706
610
95.59
13.000 - 13.499
10
566,781
0.06
13.187
622
98.82
13.500 - 13.999
5
283,754
0.03
13.595
592
99.53
Total:
4,147
901,626,555
100.00
8.488
627
81.67

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
77
12,914,529
1.43
8.972
586
43.05
50.01 - 55.00
38
7,173,315
0.80
8.256
603
52.78
55.01 - 60.00
59
13,959,580
1.55
8.587
584
58.20
60.01 - 65.00
125
27,428,596
3.04
8.792
579
63.70
65.01 - 70.00
104
23,222,022
2.58
8.976
572
68.97
70.01 - 75.00
148
36,063,830
4.00
8.447
590
74.00
75.01 - 80.00
1,820
481,401,983
53.39
8.138
639
79.89
80.01 - 85.00
253
67,685,785
7.51
8.192
609
84.58
85.01 - 90.00
453
131,636,109
14.60
8.444
621
89.80
90.01 - 95.00
123
27,106,428
3.01
8.571
631
94.71
95.01 - 100.00
947
73,034,379
8.10
10.783
653
99.96
Total:
4,147
901,626,555
100.00
8.488
627
81.67




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
160
34,528,056
3.83
9.911
512
71.02
525 - 549
228
49,820,348
5.53
9.339
536
74.39
550 - 574
281
66,680,689
7.40
8.816
562
79.85
575 - 599
561
111,694,100
12.39
8.565
587
81.25
600 - 624
823
157,671,506
17.49
8.404
612
82.90
625 - 649
849
179,659,255
19.93
8.521
637
83.36
650 - 674
558
133,213,586
14.77
8.201
662
82.91
675 - 699
357
83,286,766
9.24
8.142
687
83.62
700 - 724
190
44,656,512
4.95
8.111
711
83.64
725 - 749
96
27,063,743
3.00
7.714
737
81.16
750 - 774
35
9,851,820
1.09
7.654
760
81.76
775 - 799
6
2,465,649
0.27
7.373
779
81.06
800 - 824
3
1,034,526
0.11
9.221
806
83.62
Total:
4,147
901,626,555
100.00
8.488
627
81.67





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
753
241,573,933
26.79
8.166
639
81.30
Florida
751
139,534,022
15.48
8.677
614
80.87
New York
337
100,121,470
11.10
8.499
640
81.24
Maryland
311
64,436,352
7.15
8.531
631
81.43
New Jersey
219
60,164,485
6.67
8.732
621
81.93
Illinois
185
33,210,821
3.68
8.884
623
80.96
Virginia
116
27,274,838
3.03
8.585
614
81.86
Massachusetts
105
24,906,326
2.76
8.357
627
81.00
Georgia
169
21,871,074
2.43
8.698
625
86.04
84
17,947,409
1.99
8.579
622
81.57
Arizona
88
14,570,526
1.62
8.337
613
80.03
Texas
119
13,807,953
1.53
8.780
630
82.15
Hawaii
38
13,577,289
1.51
8.010
629
84.21
Nevada
66
12,038,429
1.34
8.546
611
83.64
Washington
66
12,003,882
1.33
8.297
619
81.93
Minnesota
75
11,919,878
1.32
8.343
619
84.24
Colorado
72
11,639,977
1.29
8.454
638
83.84
Pennsylvania
90
10,967,124
1.22
8.818
610
82.63
North Carolina
63
7,608,062
0.84
8.825
612
82.95
Michigan
68
7,133,502
0.79
8.812
607
81.54
District of Columbia
27
6,408,843
0.71
8.418
627
75.84
Wisconsin
50
5,951,697
0.66
8.798
627
85.29
52
5,713,747
0.63
8.927
605
86.87
Oregon
23
5,334,497
0.59
8.169
617
81.14
Rhode Island
16
3,988,996
0.44
8.887
612
82.49
 
*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 (%)
New Mexico
15         
3,497,550
0.39
8.720
622
83.51
Missouri
28         
3,303,270
0.37
8.834
630
83.81
New Hampshire
15         
3,020,009
0.33
8.909
600
82.77
Utah
18         
3,000,733
0.33
8.311
634
83.06
Tennessee
26         
2,664,864
0.30
8.900
603
85.13
South Carolina
19         
2,453,880
0.27
9.389
599
81.22
Delaware
11         
1,965,963
0.22
8.627
623
85.97
Indiana
23         
1,926,844
0.21
9.170
614
86.86
Idaho
14         
1,722,987
0.19
9.222
622
79.97
West Virginia
9         
1,098,408
0.12
8.710
645
83.56
Oklahoma
3         
710,925
0.08
8.496
631
82.34
3         
540,669
0.06
8.286
692
89.02
Vermont
3         
476,382
0.05
9.228
622
82.60
Kentucky
4         
400,210
0.04
9.307
567
81.06
Kansas
5         
358,277
0.04
9.413
587
84.19
Maine
2         
304,650
0.03
7.831
596
87.04
Wyoming
2         
206,308
0.02
8.312
606
84.01
Arkansas
3         
195,236
0.02
10.167
592
93.34
Iowa
1         
74,259
0.01
7.750
569
60.00
4,147         
901,626,555
100.00
8.488
627
81.67


 




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
3,870
847,219,178
93.97
8.468
627
81.67
Investment
249
47,560,848
5.28
8.856
637
81.66
Second Home
28
6,846,530
0.76
8.372
614
82.46
4,147
901,626,555
100.00
8.488
627
81.67

Documentation Type
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full Documentation
2,370
485,523,087
53.85
8.122
618
82.60
Stated Documentation
1,758
409,109,708
45.37
8.917
638
80.44
Easy Documentation
19
6,993,761
0.78
8.783
602
89.79
Total:
4,147
901,626,555
100.00
8.488
627
81.67
 
Loan Purpose
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Purchase
2,537
498,292,259
55.27
8.530
644
83.90
Refinance - Cashout
1,573
393,650,602
43.66
8.441
606
78.83
Refinance - Rate Term
37
9,683,694
1.07
8.173
639
82.92
Total:
4,147
901,626,555
100.00
8.488
627
81.67





DESCRIPTION OF THE TOTAL COLLATERAL

Property Type
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
3,462
734,978,679
81.52
8.471
625
81.58
2-4 Family
389
113,414,559
12.58
8.492
640
81.79
Condo
296
53,233,318
5.90
8.711
631
82.75
Total:
4,147
901,626,555
100.00
8.488
627
81.67


Rate Adjustment*
     
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
September 2007
1    
383,973
0.05
6.990
741
80.00
February 2008
3    
773,360
0.10
8.963
643
81.39
March 2008
33    
7,047,991
0.94
8.605
628
75.55
April 2008
214    
55,140,502
7.34
8.596
614
80.59
May 2008
129    
34,423,629
4.58
8.204
630
82.35
June 2008
1,595    
430,011,215
57.27
8.325
624
80.88
July 2008
857    
211,011,574
28.10
8.464
622
80.51
April 2009
4    
429,189
0.06
9.898
634
79.86
May 2009
2    
556,653
0.07
7.919
655
80.00
June 2009
24    
7,461,721
0.99
8.207
622
79.66
July 2009
8    
1,985,249
0.26
7.645
656
76.85
March 2011
1    
59,276
0.01
9.500
586
39.47
April 2011
1    
214,608
0.03
7.850
596
82.69
May 2011
2    
528,927
0.07
9.939
621
69.79
June 2011
4    
508,592
0.07
7.971
668
73.78
July 2011
1    
318,633
0.04
8.650
644
80.00
Total:
2,879    
750,855,091
100.00
8.379
623
80.73
 
*ARM Loans Only
 

 




DESCRIPTION OF THE TOTAL COLLATERAL

Gross Margin*
     
% of Aggregate
 
W.A.
W.A.
Gross
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
2.500 - 2.999
1
103,296
0.01
9.550
623
90.00
3.000 - 3.499
3
570,864
0.08
7.847
599
66.63
3.500 - 3.999
12
4,528,062
0.60
6.115
662
80.11
4.000 - 4.499
47
17,805,364
2.37
6.517
659
80.11
4.500 - 4.999
165
50,733,083
6.76
7.000
653
79.75
5.000 - 5.499
386
115,504,691
15.38
7.493
639
81.07
5.500 - 5.999
532
151,408,449
20.16
8.025
635
80.69
6.000 - 6.499
586
162,046,349
21.58
8.481
624
81.09
6.500 - 6.999
1,147
248,154,933
33.05
9.400
598
80.66
Total:
2,879
750,855,091
100.00
8.379
623
80.73
*ARM Loans Only





DESCRIPTION OF THE TOTAL COLLATERAL

Maximum Mortgage Rate*
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
11.500 - 11.999
4
1,210,289
0.16
5.849
646
75.72
12.000 - 12.499
26
9,348,073
1.24
6.280
664
79.78
12.500 - 12.999
118
39,092,739
5.21
6.781
666
79.72
13.000 - 13.499
245
75,573,597
10.07
7.271
641
80.79
13.500 - 13.999
552
161,172,382
21.47
7.755
637
81.28
14.000 - 14.499
475
131,247,204
17.48
8.262
633
80.79
14.500 - 14.999
641
166,193,043
22.13
8.741
616
81.27
15.000 - 15.499
334
76,980,933
10.25
9.226
614
82.70
15.500 - 15.999
259
51,994,585
6.92
9.715
584
81.04
16.000 - 16.499
90
16,117,760
2.15
10.224
558
77.27
16.500 - 16.999
79
11,700,173
1.56
10.670
542
74.24
17.000 - 17.499
20
3,235,837
0.43
11.188
541
72.22
17.500 - 17.999
24
4,667,070
0.62
11.719
530
63.23
18.000 - 18.499
8
1,537,898
0.20
12.223
528
56.50
18.500 - 18.999
4
783,509
0.10
12.603
535
53.34
Total:
2,879
750,855,091
100.00
8.379
623
80.73
*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
4
1,210,289
0.16
5.849
646
75.72
6.000 - 6.499
26
9,348,073
1.24
6.280
664
79.78
6.500 - 6.999
118
39,092,739
5.21
6.781
666
79.72
7.000 - 7.499
245
75,573,597
10.07
7.271
641
80.79
7.500 - 7.999
552
161,172,382
21.47
7.755
637
81.28
8.000 - 8.499
475
131,247,204
17.48
8.262
633
80.79
8.500 - 8.999
641
166,193,043
22.13
8.741
616
81.27
9.000 - 9.499
334
76,980,933
10.25
9.226
614
82.70
9.500 - 9.999
259
51,994,585
6.92
9.715
584
81.04
10.000 - 10.499
90
16,117,760
2.15
10.224
558
77.27
10.500 - 10.999
79
11,700,173
1.56
10.670
542
74.24
11.000 - 11.499
20
3,235,837
0.43
11.188
541
72.22
11.500 - 11.999
24
4,667,070
0.62
11.719
530
63.23
12.000 - 12.499
8
1,537,898
0.20
12.223
528
56.50
12.500 - 12.999
4
783,509
0.10
12.603
535
53.34
Total:
2,879
750,855,091
100.00
8.379
623
80.73
*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 (%)
2.000
495
130,220,340
17.34
8.439
625
80.65
3.000
2,384
620,634,751
82.66
8.367
623
80.75
Total:
2,879
750,855,091
100.00
8.379
623
80.73
*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 (%)
1.500
2,879
750,855,091
100.00
8.379
623
80.73
Total:
2,879
750,855,091
100.00
8.379
623
80.73
*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
2,879
750,855,091
100.00
8.379
623
80.73
Total:
2,879
750,855,091
100.00
8.379
623
80.73
*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
1,584
339,781,847
37.69
8.699
629
81.95
12
229
64,485,068
7.15
8.658
637
81.48
24
1,797
385,352,307
42.74
8.436
622
81.54
36
537
112,007,333
12.42
7.926
635
81.39
Total:
4,147
901,626,555
100.00
8.488
627
81.67




DESCRIPTION OF THE GROUP I COLLATERAL

SUMMARY - GROUP 1 POOL*
         
Number of Mortgage Loans:
2,408
 
Index Type:
 
Aggregate Principal Balance:
$423,662,272
 
6 Month LIBOR:
82.40%
Conforming Principal Balance Loans:
$423,662,272
 
Fixed Rate:
17.60%
Average Principal Balance:
$175,939
 
W.A. Initial Periodic Cap**:
2.817%
Range:
$14,879 - $616,617
 
W.A. Subsequent Periodic Cap**:
1.500%
W.A. Coupon:
8.557%
 
W.A. Lifetime Rate Cap**:
6.000%
Range:
5.550% - 13.280%
 
Property Type:
 
W.A. Gross Margin**:
6.132%
 
Single Family:
82.15%
Range:
2.990% - 6.990%
 
2-4 Family:
12.27%
W.A. Remaining Term:
355 months
 
Condo:
5.58%
Range:
116 months - 357 months
     
W.A. Seasoning:
4 months
 
Occupancy Status:
 
Latest Maturity Date:
July 1, 2036
 
Primary:
89.56%
State Concentration (Top 5):
   
Investment:
9.16%
Florida:
15.75%
 
Second Home:
1.28%
California:
14.99%
 
Documentation Status:
 
Maryland:
9.47%
 
Full:
60.95%
New York:
8.78%
 
Stated:
38.38%
New Jersey:
7.58%
 
Easy:
0.66%
W.A. Original Combined LTV:
79.82%
     
Range:
8.13% - 100.00%
 
Non-Zero W.A. Prepayment Penalty Term:
26 months
First Liens:
96.05%
 
Loans with Prepay Penalties:
58.27%
Second Liens:
3.95%
 
Interest Only Loans:
8.15%
Non-Balloon Loans:
65.08%
 
Non-Zero Weighted Average IO Term:
60 months
W.A. FICO Score:
611
     
* Subject to a permitted variance of +/- 10%
** For ARM loans only





DESCRIPTION OF THE GROUP I COLLATERAL


Originator
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Originator
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
FREMONT
2,408
423,662,272
100.00
8.557
611
79.82
Total:
2,408
423,662,272
100.00
8.557
611
79.82

Principal Balance at Origination
     
% of Aggregate
 
W.A.
W.A.
Principal Balance at
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
307
10,133,215
2.39
11.398
632
98.59
50,000.01 - 100,000.00
361
27,312,924
6.45
9.634
613
83.51
100,000.01 - 150,000.00
446
56,138,148
13.25
8.854
604
77.38
150,000.01 - 200,000.00
443
77,253,980
18.23
8.324
610
78.15
200,000.01 - 250,000.00
281
62,994,038
14.87
8.593
603
78.51
250,000.01 - 300,000.00
197
54,066,677
12.76
8.346
615
78.90
300,000.01 - 350,000.00
185
59,786,607
14.11
8.243
614
80.48
350,000.01 - 400,000.00
120
45,064,473
10.64
8.237
610
79.08
400,000.01 - 450,000.00
41
17,031,411
4.02
8.037
617
81.46
450,000.01 - 500,000.00
13
6,093,923
1.44
8.295
634
83.41
500,000.01 - 550,000.00
8
4,200,121
0.99
8.782
630
81.44
550,000.01 - 600,000.00
3
1,751,023
0.41
7.339
636
91.71
600,000.01 - 650,000.00
3
1,835,731
0.43
6.903
674
91.58
Total:
2,408
423,662,272
100.00
8.557
611
79.82
 






DESCRIPTION OF THE GROUP I COLLATERAL

Remaining Principal Balance
     
% of Aggregate
 
W.A.
W.A.
Remaining Principal
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
307
10,133,215
2.39
11.398
632
98.59
50,000.01 - 100,000.00
361
27,312,924
6.45
9.634
613
83.51
100,000.01 - 150,000.00
448
56,438,095
13.32
8.848
604
77.40
150,000.01 - 200,000.00
443
77,353,514
18.26
8.329
610
78.13
200,000.01 - 250,000.00
279
62,594,558
14.77
8.592
603
78.53
250,000.01 - 300,000.00
197
54,066,677
12.76
8.346
615
78.90
300,000.01 - 350,000.00
186
60,135,922
14.19
8.244
615
80.47
350,000.01 - 400,000.00
119
44,715,158
10.55
8.236
609
79.07
400,000.01 - 450,000.00
42
17,476,228
4.13
8.042
620
81.58
450,000.01 - 500,000.00
12
5,649,107
1.33
8.298
626
83.20
500,000.01 - 550,000.00
8
4,200,121
0.99
8.782
630
81.44
550,000.01 - 600,000.00
3
1,751,023
0.41
7.339
636
91.71
600,000.01 - 650,000.00
3
1,835,731
0.43
6.903
674
91.58
Total:
2,408
423,662,272
100.00
8.557
611
79.82

Remaining Term
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
61 - 120
2
51,226
0.01
11.957
604
100.00
121 - 180
62
1,933,151
0.46
10.064
655
91.48
181 - 240
4
302,174
0.07
8.147
600
77.19
301 - 360
2,340
421,375,721
99.46
8.550
611
79.76
Total:
2,408
423,662,272
100.00
8.557
611
79.82






DESCRIPTION OF THE GROUP I COLLATERAL

Product Type
 
Number of
Aggregate
% of Aggregate
W.A.
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
Coupon
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
(%)
FICO
CLTV (%)
Fixed - 10 Year
2
51,226
0.01
11.957
604
100.00
Fixed - 15 Year
62
1,933,151
0.46
10.064
655
91.48
Fixed - 20 Year
4
302,174
0.07
8.147
600
77.19
Fixed - 30 Year
537
55,137,499
13.01
8.794
638
82.49
Balloon - 30/40
71
17,143,010
4.05
7.672
642
79.53
ARM - 2 Year/6 Month
996
180,077,880
42.51
8.948
591
77.91
ARM - 2 Year/6 Month IO
156
33,337,562
7.87
7.542
630
80.31
ARM - 2 Year/6 Month 30/40 Balloon
544
128,679,123
30.37
8.277
618
81.18
ARM - 3 Year/6 Month
18
3,250,032
0.77
8.802
600
77.97
ARM - 3 Year/6 Month IO
5
1,198,500
0.28
7.473
640
77.42
ARM - 3 Year/6 Month 30/40 Balloon
5
1,240,712
0.29
7.490
659
83.05
ARM - 5 Year/6 Month
3
433,083
0.10
8.300
627
63.69
ARM - 5 Year/6 Month 30/40 Balloon
5
878,319
0.21
9.067
637
76.21
Total:
2,408
423,662,272
100.00
8.557
611
79.82


Interest Only Term
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
2,247
389,126,209
91.85
8.647
610
79.78
60
161
34,536,062
8.15
7.540
631
80.21
Total:
2,408
423,662,272
100.00
8.557
611
79.82







DESCRIPTION OF THE GROUP I COLLATERAL

Mortgage Rate
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
11
2,786,467
0.66
5.929
679
71.72
6.000 - 6.499
30
7,869,009
1.86
6.285
665
73.04
6.500 - 6.999
100
25,391,866
5.99
6.806
652
76.83
7.000 - 7.499
181
41,569,188
9.81
7.249
634
80.09
7.500 - 7.999
351
76,042,713
17.95
7.765
620
79.69
8.000 - 8.499
291
61,250,562
14.46
8.262
620
79.93
8.500 - 8.999
408
82,969,509
19.58
8.752
603
79.92
9.000 - 9.499
240
43,478,595
10.26
9.233
608
81.89
9.500 - 9.999
253
38,221,373
9.02
9.741
580
80.39
10.000 - 10.499
113
12,473,623
2.94
10.239
570
80.23
10.500 - 10.999
119
11,985,015
2.83
10.704
563
78.02
11.000 - 11.499
94
6,419,683
1.52
11.247
593
82.45
11.500 - 11.999
74
5,815,816
1.37
11.797
560
75.96
12.000 - 12.499
74
3,878,235
0.92
12.188
573
82.71
12.500 - 12.999
65
3,332,762
0.79
12.671
588
88.53
13.000 - 13.499
4
177,855
0.04
13.138
612
98.37
Total:
2,408
423,662,272
100.00
8.557
611
79.82

Original Combined Loan-to-Value Ratio
Original Combined
   
% of Aggregate
 
W.A.
W.A.
Loan-to-Value
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
70
11,511,496
2.72
8.918
587
42.58
50.01 - 55.00
32
5,758,876
1.36
8.330
600
52.83
55.01 - 60.00
49
9,884,913
2.33
8.610
583
58.42
60.01 - 65.00
111
22,945,468
5.42
9.038
571
63.69
65.01 - 70.00
92
19,936,814
4.71
8.917
576
69.01
70.01 - 75.00
123
25,522,211
6.02
8.632
582
74.17
75.01 - 80.00
939
185,365,645
43.75
8.251
620
79.76
80.01 - 85.00
186
39,183,936
9.25
8.324
607
84.55
85.01 - 90.00
297
65,068,583
15.36
8.492
618
89.78
90.01 - 95.00
66
13,754,934
3.25
8.416
626
94.61
95.01 - 100.00
443
24,729,396
5.84
10.516
650
99.94
Total:
2,408
423,662,272
100.00
8.557
611
79.82





DESCRIPTION OF THE GROUP I COLLATERAL

FICO Score at Origination
     
% of Aggregate
 
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
134
27,024,289
6.38
9.967
512
70.63
525 - 549
181
34,473,233
8.14
9.425
536
72.84
550 - 574
231
47,022,739
11.10
8.822
561
78.24
575 - 599
391
66,420,218
15.68
8.558
587
79.88
600 - 624
494
77,635,584
18.32
8.333
612
81.58
625 - 649
435
70,994,340
16.76
8.428
637
82.22
650 - 674
268
49,578,686
11.70
8.102
662
82.08
675 - 699
135
24,842,576
5.86
7.935
687
82.43
700 - 724
75
12,396,208
2.93
7.895
711
83.29
725 - 749
48
10,013,830
2.36
8.107
737
81.60
750 - 774
12
2,486,678
0.59
7.580
760
83.48
775 - 799
3
675,644
0.16
7.263
777
83.87
800 - 824
1
98,248
0.02
8.550
805
80.00
Total:
2,408
423,662,272
100.00
8.557
611
79.82





DESCRIPTION OF THE GROUP I COLLATERAL

Geographic Distribution*
 
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 (%)
Florida
396
66,735,834
15.75
8.656
601
78.93
California
237
63,493,092
14.99
8.107
614
76.31
Maryland
225
40,123,600
9.47
8.583
618
80.58
New York
130
37,212,195
8.78
8.527
612
76.63
New Jersey
128
32,099,864
7.58
8.897
605
79.74
Illinois
152
23,502,799
5.55
8.828
620
80.66
Massachusetts
74
16,079,796
3.80
8.350
622
78.98
Georgia
123
12,985,939
3.07
8.740
622
85.03
Arizona
76
12,462,925
2.94
8.323
607
79.59
Virginia
66
11,442,358
2.70
8.610
596
80.53
Connecticut
59
9,885,993
2.33
8.700
608
80.63
Pennsylvania
73
8,877,527
2.10
8.755
603
81.99
Minnesota
61
8,156,427
1.93
8.475
618
84.43
Colorado
60
8,053,680
1.90
8.495
620
83.79
Washington
45
7,578,107
1.79
8.137
628
81.52
Hawaii
26
7,315,791
1.73
8.079
637
85.45
North Carolina
54
5,454,116
1.29
9.124
606
85.27
Nevada
37
5,368,784
1.27
8.304
615
83.04
Texas
58
5,332,970
1.26
8.687
616
81.20
Wisconsin
43
4,642,773
1.10
8.759
628
84.99
District of Columbia
20
4,312,116
1.02
8.719
605
70.77
Michigan
44
4,099,179
0.97
8.948
585
81.04
Ohio
36
3,466,648
0.82
8.840
597
84.62
Oregon
17
3,393,644
0.80
8.311
624
79.62
Rhode Island
13
2,882,215
0.68
8.880
600
79.52
*Geographic Distribution continued on the next page








DESCRIPTION OF THE GROUP I 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 (%)
New Hampshire
14
2,755,314
0.65
8.804
603
81.59
Utah
14
2,323,579
0.55
8.280
633
83.60
Missouri
19
1,973,014
0.47
9.065
599
86.08
Indiana
20
1,729,951
0.41
9.191
611
86.92
Idaho
14
1,722,987
0.41
9.222
622
79.97
Tennessee
18
1,634,114
0.39
8.883
593
87.72
New Mexico
9
1,489,058
0.35
8.794
626
87.33
South Carolina
15
1,458,584
0.34
9.300
578
83.34
Delaware
8
1,050,088
0.25
8.329
617
81.83
West Virginia
5
604,639
0.14
8.501
623
83.19
Vermont
3
476,382
0.11
9.228
622
82.60
Kentucky
4
400,210
0.09
9.307
567
81.06
Kansas
5
358,277
0.08
9.413
587
84.19
Oklahoma
2
327,856
0.08
8.433
581
85.06
Maine
1
188,043
0.04
7.850
604
94.50
Arkansas
2
125,014
0.03
9.755
591
92.41
Montana
2
86,791
0.02
9.834
704
83.97
Total:
2,408
423,662,272
100.00
8.557
611
79.82


 




DESCRIPTION OF THE GROUP I COLLATERAL

Occupancy Status
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
2,176
379,423,007
89.56
8.527
609
79.69
Investment
208
38,805,678
9.16
8.878
634
80.91
Second Home
24
5,433,587
1.28
8.363
613
80.77
Total:
2,408
423,662,272
100.00
8.557
611
79.82

Documentation Type
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full Documentation
1,550
258,238,992
60.95
8.229
609
81.61
Stated Documentation
846
162,619,811
38.38
9.081
615
76.93
Easy Documentation
12
2,803,469
0.66
8.353
594
81.87
Total:
2,408
423,662,272
100.00
8.557
611
79.82
 

Loan Purpose
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Refinance - Cashout
1,279
273,245,670
64.50
8.514
601
77.43
Purchase
1,099
143,772,317
33.94
8.648
630
84.31
Refinance - Rate Term
30
6,644,285
1.57
8.348
629
80.84
Total:
2,408
423,662,272
100.00
8.557
611
79.82





DESCRIPTION OF THE GROUP I COLLATERAL

Property Type
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
2,055    
348,029,084
82.15
8.554
609
79.78
2-4 Family
199    
51,996,149
12.27
8.541
621
79.09
Condo
154    
23,637,039
5.58
8.640
624
81.85
Total:
2,408    
423,662,272
100.00
8.557
611
79.82


Rate Adjustment*
 
Number of
 
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
February 2008
2
480,351
0.14
9.093
675
82.25
March 2008
24
4,357,786
1.25
8.691
623
76.25
April 2008
132
26,821,666
7.68
8.799
595
78.50
May 2008
80
15,987,505
4.58
8.568
611
83.12
June 2008
946
195,140,808
55.90
8.450
605
79.52
July 2008
512
99,306,450
28.45
8.699
605
78.85
April 2009
4
429,189
0.12
9.898
634
79.86
May 2009
2
556,653
0.16
7.919
655
80.00
June 2009
16
3,480,796
1.00
8.206
616
81.46
July 2009
6
1,222,606
0.35
7.883
616
71.06
March 2011
1
59,276
0.02
9.500
586
39.47
April 2011
1
214,608
0.06
7.850
596
82.69
May 2011
2
528,927
0.15
9.939
621
69.79
June 2011
4
508,592
0.15
7.971
668
73.78
Total:
1,732
349,095,212
100.00
8.555
605
79.34
 
*ARM Loans Only
 






DESCRIPTION OF THE GROUP I COLLATERAL

Gross Margin*
     
% of Aggregate
 
W.A.
W.A.
Gross
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
2.500 - 2.999
1
103,296
0.03
9.550
623
90.00
3.000 - 3.499
2
355,931
0.10
6.336
653
58.55
3.500 - 3.999
6
1,674,665
0.48
6.137
667
78.84
4.000 - 4.499
22
5,733,596
1.64
6.519
640
79.19
4.500 - 4.999
96
23,763,887
6.81
7.007
642
78.72
5.000 - 5.499
217
47,858,353
13.71
7.505
624
80.49
5.500 - 5.999
292
62,325,396
17.85
8.112
614
78.86
6.000 - 6.499
314
65,976,030
18.90
8.511
610
80.26
6.500 - 6.999
782
141,304,058
40.48
9.502
585
78.90
Total:
1,732
349,095,212
100.00
8.555
605
79.34
*ARM Loans Only





DESCRIPTION OF THE GROUP I COLLATERAL

Maximum Mortgage Rate*
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
11.500 - 11.999
3
694,603
0.20
5.745
630
69.01
12.000 - 12.499
11
3,041,890
0.87
6.296
664
77.25
12.500 - 12.999
67
17,160,877
4.92
6.803
647
78.98
13.000 - 13.499
142
32,184,733
9.22
7.259
629
80.33
13.500 - 13.999
293
63,789,603
18.27
7.761
617
80.19
14.000 - 14.499
249
52,173,368
14.95
8.265
616
79.58
14.500 - 14.999
384
78,883,098
22.60
8.754
603
80.13
15.000 - 15.499
222
40,403,354
11.57
9.240
606
81.79
15.500 - 15.999
189
33,257,765
9.53
9.728
574
79.39
16.000 - 16.499
65
9,674,002
2.77
10.251
552
76.27
16.500 - 16.999
58
8,762,031
2.51
10.670
534
72.38
17.000 - 17.499
15
2,639,605
0.76
11.189
542
69.68
17.500 - 17.999
22
4,108,874
1.18
11.726
533
62.47
18.000 - 18.499
8
1,537,898
0.44
12.223
528
56.50
18.500 - 18.999
4
783,509
0.22
12.603
535
53.34
Total:
1,732
349,095,212
100.00
8.555
605
79.34
*ARM Loans Only





DESCRIPTION OF THE GROUP I COLLATERAL

Minimum Mortgage Rate*
     
% of Aggregate
 
W.A.
W.A.
Minimum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
3
694,603
0.20
5.745
630
69.01
6.000 - 6.499
11
3,041,890
0.87
6.296
664
77.25
6.500 - 6.999
67
17,160,877
4.92
6.803
647
78.98
7.000 - 7.499
142
32,184,733
9.22
7.259
629
80.33
7.500 - 7.999
293
63,789,603
18.27
7.761
617
80.19
8.000 - 8.499
249
52,173,368
14.95
8.265
616
79.58
8.500 - 8.999
384
78,883,098
22.60
8.754
603
80.13
9.000 - 9.499
222
40,403,354
11.57
9.240
606
81.79
9.500 - 9.999
189
33,257,765
9.53
9.728
574
79.39
10.000 - 10.499
65
9,674,002
2.77
10.251
552
76.27
10.500 - 10.999
58
8,762,031
2.51
10.670
534
72.38
11.000 - 11.499
15
2,639,605
0.76
11.189
542
69.68
11.500 - 11.999
22
4,108,874
1.18
11.726
533
62.47
12.000 - 12.499
8
1,537,898
0.44
12.223
528
56.50
12.500 - 12.999
4
783,509
0.22
12.603
535
53.34
Total:
1,732
349,095,212
100.00
8.555
605
79.34
*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 (%)
2.000
312
64,030,865
18.34
8.694
606
79.43
3.000
1,420
285,064,347
81.66
8.523
605
79.32
Total:
1,732
349,095,212
100.00
8.555
605
79.34
*ARM Loans Only






DESCRIPTION OF THE GROUP I COLLATERAL

Subsequent Periodic Rate Cap*
     
% of Aggregate
 
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.500
1,732
349,095,212
100.00
8.555
605
79.34
Total:
1,732
349,095,212
100.00
8.555
605
79.34
*ARM Loans Only

Lifetime Periodic Cap*
     
% of Aggregate
 
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
6.000 - 6.499
1,732
349,095,212
100.00
8.555
605
79.34
Total:
1,732
349,095,212
100.00
8.555
605
79.34
*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
1,018
176,806,980
41.73
8.771
614
80.50
12
95
21,153,563
4.99
8.667
611
74.33
24
969
169,291,863
39.96
8.543
603
79.85
36
326
56,409,866
13.31
7.885
629
79.61
Total:
2,408
423,662,272
100.00
8.557
611
79.82





DESCRIPTION OF THE GROUP II COLLATERAL

SUMMARY - GROUP 2 POOL*
 
Number of Mortgage Loans:
1,739
 
Index Type:
 
Aggregate Principal Balance:
$477,964,284
 
6 Month LIBOR:
84.06%
Conforming Principal Balance Loans:
$237,677,279
 
Fixed Rate:
15.94%
Average Principal Balance:
$274,850
 
W.A. Initial Periodic Cap**:
2.835%
Range:
$14,320 - $1,038,631
 
W.A. Subsequent Periodic Cap**:
1.500%
W.A. Coupon:
8.426%
 
W.A. Lifetime Rate Cap**:
6.000%
Range:
5.990% - 13.700%
 
Property Type:
 
W.A. Gross Margin**:
5.963%
 
Single Family:
80.96%
Range:
3.000% - 6.990%
 
2-4 Family:
12.85%
W.A. Remaining Term:
356 months
 
Condo:
6.19%
Range:
55 months - 357 months
     
W.A. Seasoning:
4 months
 
Occupancy Status:
 
Latest Maturity Date:
July 1, 2036
 
Primary:
97.87%
State Concentration (Top 5):
   
Investment:
1.83%
California:
37.26%
 
Second Home:
0.30%
Florida:
15.23%
 
Documentation Status:
 
New York:
13.16%
 
Full:
47.55%
New Jersey:
5.87%
 
Stated:
51.57%
Maryland:
5.09%
 
Easy:
0.88%
W.A. Original Combined LTV:
83.32%
     
Range:
30.00% - 100.00%
 
Non-Zero W.A. Prepayment Penalty Term:
24 months
First Liens:
91.14%
 
Loans with Prepay Penalties:
65.90%
Second Liens:
8.86%
 
Interest Only Loans:
17.30%
Non-Balloon Loans:
59.61%
 
Non-Zero Weighted Average IO Term:
60 months
W.A. FICO Score:
641
     
* Subject to a permitted variance of +/- 10%
** For ARM loans only





DESCRIPTION OF THE GROUP II COLLATERAL


Originator
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Originator
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
FREMONT
1,739
477,964,284
100.00
8.426
641
83.32
Total:
1,739
477,964,284
100.00
8.426
641
83.32


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
115
3,992,051
0.84
11.534
640
99.29
50,000.01 - 100,000.00
320
24,281,697
5.08
10.803
640
94.78
100,000.01 - 150,000.00
229
28,164,857
5.89
10.144
644
90.42
150,000.01 - 200,000.00
150
26,156,276
5.47
8.959
633
83.56
200,000.01 - 250,000.00
128
28,876,876
6.04
8.332
635
81.14
250,000.01 - 300,000.00
118
32,482,897
6.80
8.135
643
81.36
300,000.01 - 350,000.00
116
37,476,190
7.84
8.138
652
81.46
350,000.01 - 400,000.00
82
30,764,015
6.44
8.104
650
81.51
400,000.01 - 450,000.00
110
47,216,148
9.88
8.091
636
81.27
450,000.01 - 500,000.00
93
44,364,220
9.28
8.115
642
81.85
500,000.01 - 550,000.00
74
38,704,217
8.10
8.000
640
81.99
550,000.01 - 600,000.00
77
44,275,754
9.26
8.061
644
82.63
600,000.01 - 650,000.00
38
23,674,552
4.95
7.987
642
84.47
650,000.01 - 700,000.00
29
19,489,589
4.08
8.239
629
86.75
700,000.01 - 750,000.00
25
18,067,533
3.78
8.381
637
79.55
750,000.01 - 800,000.00
18
14,104,241
2.95
8.281
636
81.99
800,000.01 - 850,000.00
3
2,514,871
0.53
7.273
695
83.34
850,000.01 - 900,000.00
3
2,640,419
0.55
6.501
701
71.88
900,000.01 - 950,000.00
2
1,843,760
0.39
7.150
626
78.95
950,000.01 - 1,000,000.00
8
7,835,490
1.64
7.274
636
81.06
Greater than or equal to 1,000,000.01
1
1,038,631
0.22
7.550
697
80.00
Total:
1,739
477,964,284
100.00
8.426
641
83.32






DESCRIPTION OF THE GROUP II COLLATERAL

Remaining Principal Balance
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Remaining Principal
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
116
4,042,002
0.85
11.540
640
99.30
50,000.01 - 100,000.00
319
24,231,746
5.07
10.800
640
94.77
100,000.01 - 150,000.00
230
28,314,807
5.92
10.136
644
90.42
150,000.01 - 200,000.00
150
26,205,864
5.48
8.956
632
83.49
200,000.01 - 250,000.00
128
28,927,244
6.05
8.333
634
81.23
250,000.01 - 300,000.00
117
32,232,990
6.74
8.132
643
81.30
300,000.01 - 350,000.00
116
37,476,190
7.84
8.138
652
81.46
350,000.01 - 400,000.00
82
30,764,015
6.44
8.104
650
81.51
400,000.01 - 450,000.00
110
47,216,148
9.88
8.091
636
81.27
450,000.01 - 500,000.00
94
44,863,932
9.39
8.100
643
81.74
500,000.01 - 550,000.00
74
38,753,505
8.11
7.987
640
81.88
550,000.01 - 600,000.00
76
43,726,755
9.15
8.087
643
82.85
600,000.01 - 650,000.00
38
23,674,552
4.95
7.987
642
84.47
650,000.01 - 700,000.00
29
19,489,589
4.08
8.239
629
86.75
700,000.01 - 750,000.00
25
18,067,533
3.78
8.381
637
79.55
750,000.01 - 800,000.00
18
14,104,241
2.95
8.281
636
81.99
800,000.01 - 850,000.00
3
2,514,871
0.53
7.273
695
83.34
850,000.01 - 900,000.00
3
2,640,419
0.55
6.501
701
71.88
900,000.01 - 950,000.00
2
1,843,760
0.39
7.150
626
78.95
950,000.01 - 1,000,000.00
8
7,835,490
1.64
7.274
636
81.06
Greater than or equal to 1,000,000.01
1
1,038,631
0.22
7.550
697
80.00
Total:
1,739
477,964,284
100.00
8.426
641
83.32

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 (%)
1 - 60
4
85,368
0.02
12.645
662
95.00
61 - 120
3
89,293
0.02
11.822
644
98.67
121 - 180
17
338,344
0.07
12.177
630
97.73
181 - 240
1
124,412
0.03
10.980
670
100.00
301 - 360
1,714
477,326,866
99.87
8.421
641
83.30
Total:
1,739
477,964,284
100.00
8.426
641
83.32






DESCRIPTION OF THE GROUP II COLLATERAL

Product Type
 
Number of
Aggregate
% of Aggregate
W.A.
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
Coupon
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
(%)
FICO
CLTV (%)
Fixed - 5 Year
4
85,368
0.02
12.645
662
95.00
Fixed - 10 Year
3
89,293
0.02
11.822
644
98.67
Fixed - 15 Year
17
338,344
0.07
12.177
630
97.73
Fixed - 20 Year
1
124,412
0.03
10.980
670
100.00
Fixed - 30 Year
537
60,238,852
12.60
9.979
657
93.13
Balloon - 30/40
30
15,328,134
3.21
7.388
664
80.23
ARM - 2 Year/6 Month
493
140,038,016
29.30
8.536
621
81.15
ARM - 2 Year/6 Month IO
198
81,124,228
16.97
7.704
654
81.57
ARM - 2 Year/6 Month 30/40 Balloon
445
175,535,434
36.73
8.226
644
82.82
ARM - 3 Year/6 Month
3
1,012,039
0.21
9.540
561
68.74
ARM - 3 Year/6 Month IO
3
1,548,120
0.32
7.070
669
83.02
ARM - 3 Year/6 Month 30/40 Balloon
4
2,183,409
0.46
8.069
663
81.73
ARM - 5 Year/6 Month
1
318,633
0.07
8.650
644
80.00
Total:
1,739
477,964,284
100.00
8.426
641
83.32

Interest Only Term
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,538
395,291,935
82.70
8.580
639
83.68
60
201
82,672,348
17.30
7.693
654
81.59
Total:
1,739
477,964,284
100.00
8.426
641
83.32








DESCRIPTION OF THE GROUP II COLLATERAL

Mortgage Rate
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
4
2,183,092
0.46
5.990
692
72.83
6.000 - 6.499
23
10,484,558
2.19
6.273
670
76.13
6.500 - 6.999
68
30,430,334
6.37
6.756
682
80.17
7.000 - 7.499
118
50,360,840
10.54
7.270
648
80.98
7.500 - 7.999
274
105,108,800
21.99
7.747
651
82.11
8.000 - 8.499
229
79,646,383
16.66
8.259
644
81.60
8.500 - 8.999
265
90,227,313
18.88
8.727
626
82.34
9.000 - 9.499
114
36,793,954
7.70
9.211
622
83.77
9.500 - 9.999
132
24,543,961
5.14
9.722
618
87.27
10.000 - 10.499
63
9,932,571
2.08
10.187
598
85.23
10.500 - 10.999
152
14,846,524
3.11
10.800
655
95.21
11.000 - 11.499
111
9,508,596
1.99
11.234
655
98.80
11.500 - 11.999
57
4,361,840
0.91
11.767
606
95.30
12.000 - 12.499
39
3,025,740
0.63
12.212
612
99.91
12.500 - 12.999
79
5,837,098
1.22
12.727
622
99.63
13.000 - 13.499
6
388,925
0.08
13.210
627
99.02
13.500 - 13.999
5
283,754
0.06
13.595
592
99.53
Total:
1,739
477,964,284
100.00
8.426
641
83.32

Original Combined Loan-to-Value Ratio
Original Combined
   
% of Aggregate
 
W.A.
W.A.
Loan-to-Value
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
7
1,403,033
0.29
9.417
578
46.91
50.01 - 55.00
6
1,414,439
0.30
7.957
616
52.57
55.01 - 60.00
10
4,074,667
0.85
8.531
585
57.66
60.01 - 65.00
14
4,483,128
0.94
7.531
621
63.72
65.01 - 70.00
12
3,285,208
0.69
9.333
549
68.71
70.01 - 75.00
25
10,541,619
2.21
7.998
610
73.58
75.01 - 80.00
881
296,036,338
61.94
8.067
650
79.97
80.01 - 85.00
67
28,501,849
5.96
8.010
610
84.62
85.01 - 90.00
156
66,567,526
13.93
8.398
624
89.83
90.01 - 95.00
57
13,351,495
2.79
8.731
637
94.81
95.01 - 100.00
504
48,304,982
10.11
10.919
655
99.98
Total:
1,739
477,964,284
100.00
8.426
641
83.32



DESCRIPTION OF THE GROUP II COLLATERAL

FICO Score at Origination
     
% of Aggregate
 
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
26
7,503,767
1.57
9.710
513
72.42
525 - 549
47
15,347,115
3.21
9.146
536
77.87
550 - 574
50
19,657,950
4.11
8.801
563
83.71
575 - 599
170
45,273,883
9.47
8.575
588
83.26
600 - 624
329
80,035,922
16.75
8.474
612
84.19
625 - 649
414
108,664,915
22.73
8.581
637
84.10
650 - 674
290
83,634,900
17.50
8.260
661
83.41
675 - 699
222
58,444,191
12.23
8.230
687
84.12
700 - 724
115
32,260,304
6.75
8.194
711
83.77
725 - 749
48
17,049,913
3.57
7.483
736
80.90
750 - 774
23
7,365,142
1.54
7.679
760
81.18
775 - 799
3
1,790,004
0.37
7.415
780
80.00
800 - 824
2
936,279
0.20
9.292
806
83.99
Total:
1,739
477,964,284
100.00
8.426
641
83.32





DESCRIPTION OF THE GROUP II COLLATERAL

Geographic Distribution*
 
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 (%)
California
516
178,080,841
37.26
8.187
648
83.08
Florida
355
72,798,188
15.23
8.696
627
82.64
New York
207
62,909,274
13.16
8.482
656
83.97
New Jersey
91
28,064,621
5.87
8.543
640
84.45
Maryland
86
24,312,752
5.09
8.445
653
82.83
Virginia
50
15,832,480
3.31
8.567
627
82.83
Illinois
33
9,708,022
2.03
9.022
629
81.67
Georgia
46
8,885,136
1.86
8.636
628
87.52
Massachusetts
31
8,826,529
1.85
8.369
636
84.68
Texas
61
8,474,983
1.77
8.838
639
82.75
Connecticut
25
8,061,416
1.69
8.430
639
82.71
Nevada
29
6,669,646
1.40
8.740
608
84.12
Hawaii
12
6,261,498
1.31
7.929
618
82.76
Washington
21
4,425,775
0.93
8.571
605
82.62
Minnesota
14
3,763,451
0.79
8.058
622
83.82
Colorado
12
3,586,297
0.75
8.361
679
83.95
Michigan
24
3,034,323
0.63
8.629
637
82.21
Ohio
16
2,247,099
0.47
9.063
617
90.34
North Carolina
9
2,153,946
0.45
8.068
627
77.08
Arizona
12
2,107,601
0.44
8.419
647
82.64
District of Columbia
7
2,096,727
0.44
7.798
674
86.28
Pennsylvania
17
2,089,597
0.44
9.086
642
85.37
New Mexico
6
2,008,492
0.42
8.666
619
80.68
Oregon
6
1,940,853
0.41
7.923
604
83.78
Missouri
9
1,330,256
0.28
8.492
676
80.45
*Geographic Distribution continued on the next page








DESCRIPTION OF THE GROUP II 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 (%)
Wisconsin
7
1,308,924
0.27
8.934
621
86.36
Rhode Island
3
1,106,781
0.23
8.906
643
90.23
Tennessee
8
1,030,750
0.22
8.928
619
81.03
South Carolina
4
995,297
0.21
9.520
630
78.12
Delaware
3
915,875
0.19
8.969
630
90.73
Utah
4
677,153
0.14
8.420
635
81.21
West Virginia
4
493,769
0.10
8.967
672
84.00
Montana
1
453,878
0.09
7.990
690
89.98
Oklahoma
1
383,069
0.08
8.550
674
80.00
New Hampshire
1
264,695
0.06
10.000
567
95.00
Wyoming
2
206,308
0.04
8.312
606
84.01
Indiana
3
196,894
0.04
8.984
637
86.34
Maine
1
116,606
0.02
7.800
582
75.00
Iowa
1
74,259
0.02
7.750
569
60.00
Arkansas
1
70,222
0.01
10.900
594
95.00
Total:
1,739
477,964,284
100.00
8.426
641
83.32





DESCRIPTION OF THE GROUP II COLLATERAL

Occupancy Status
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
1,694
467,796,171
97.87
8.420
641
83.27
Investment
41
8,755,171
1.83
8.757
647
84.99
Second Home
4
1,412,942
0.30
8.403
617
88.98
Total:
1,739
477,964,284
100.00
8.426
641
83.32

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
912
246,489,897
51.57
8.809
654
82.75
Full Documentation
820
227,284,095
47.55
8.000
629
83.72
Easy Documentation
7
4,190,291
0.88
9.071
608
95.09
Total:
1,739
477,964,284
100.00
8.426
641
83.32
 

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
1,438
354,519,943
74.17
8.483
650
83.73
Refinance - Cashout
294
120,404,932
25.19
8.276
616
82.01
Refinance - Rate Term
7
3,039,409
0.64
7.790
660
87.45
Total:
1,739
477,964,284
100.00
8.426
641
83.32





DESCRIPTION OF THE GROUP II COLLATERAL

Property Type
     
% of Aggregate
 
W.A.
W.A.
 
              Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
              Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
1,407
386,949,595
80.96
8.396
640
83.19
2-4 Family
190
61,418,410
12.85
8.450
655
84.07
Condo
142
29,596,279
6.19
8.768
637
83.46
Total:
1,739
477,964,284
100.00
8.426
641
83.32

 

Rate Adjustment*
 
Number of
 
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
September 2007
1
383,973
0.10
6.990
741
80.00
February 2008
1
293,009
0.07
8.750
589
80.00
March 2008
9
2,690,205
0.67
8.465
635
74.42
April 2008
82
28,318,836
7.05
8.403
632
82.56
May 2008
49
18,436,124
4.59
7.889
647
81.68
June 2008
649
234,870,408
58.46
8.221
639
82.02
July 2008
345
111,705,124
27.80
8.255
637
81.99
June 2009
8
3,980,925
0.99
8.209
628
78.09
July 2009
2
762,643
0.19
7.265
721
86.13
July 2011
1
318,633
0.08
8.650
644
80.00
Total:
1,147
401,759,879
100.00
8.227
638
81.94
 
*ARM Loans Only
 






DESCRIPTION OF THE GROUP II COLLATERAL


Gross Margin*
     
% of Aggregate
 
W.A.
W.A.
Gross
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
1
214,933
0.05
10.350
509
80.00
3.500 - 3.999
6
2,853,397
0.71
6.101
659
80.86
4.000 - 4.499
25
12,071,767
3.00
6.515
668
80.55
4.500 - 4.999
69
26,969,197
6.71
6.994
662
80.66
5.000 - 5.499
169
67,646,338
16.84
7.485
650
81.49
5.500 - 5.999
240
89,083,053
22.17
7.964
650
81.97
6.000 - 6.499
272
96,070,318
23.91
8.460
633
81.66
6.500 - 6.999
365
106,850,875
26.60
9.265
616
82.98
Total:
1,147
401,759,879
100.00
8.227
638
81.94
*ARM Loans Only





DESCRIPTION OF THE GROUP II COLLATERAL

Maximum Mortgage Rate*
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
11.500 - 11.999
1
515,685
0.13
5.990
668
84.75
12.000 - 12.499
15
6,306,183
1.57
6.272
664
81.00
12.500 - 12.999
51
21,931,862
5.46
6.763
680
80.30
13.000 - 13.499
103
43,388,864
10.80
7.280
649
81.13
13.500 - 13.999
259
97,382,779
24.24
7.750
649
82.00
14.000 - 14.499
226
79,073,835
19.68
8.260
644
81.58
14.500 - 14.999
257
87,309,944
21.73
8.729
627
82.29
15.000 - 15.499
112
36,577,579
9.10
9.210
622
83.70
15.500 - 15.999
70
18,736,820
4.66
9.691
601
83.97
16.000 - 16.499
25
6,443,757
1.60
10.183
568
78.76
16.500 - 16.999
21
2,938,142
0.73
10.670
567
79.77
17.000 - 17.499
5
596,232
0.15
11.185
539
83.46
17.500 - 17.999
2
558,196
0.14
11.667
507
68.88
Total:
1,147
401,759,879
100.00
8.227
638
81.94
*ARM Loans Only





DESCRIPTION OF THE GROUP II COLLATERAL

Minimum Mortgage Rate*
     
% of Aggregate
 
W.A.
W.A.
Minimum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
1
515,685
0.13
5.990
668
84.75
6.000 - 6.499
15
6,306,183
1.57
6.272
664
81.00
6.500 - 6.999
51
21,931,862
5.46
6.763
680
80.30
7.000 - 7.499
103
43,388,864
10.80
7.280
649
81.13
7.500 - 7.999
259
97,382,779
24.24
7.750
649
82.00
8.000 - 8.499
226
79,073,835
19.68
8.260
644
81.58
8.500 - 8.999
257
87,309,944
21.73
8.729
627
82.29
9.000 - 9.499
112
36,577,579
9.10
9.210
622
83.70
9.500 - 9.999
70
18,736,820
4.66
9.691
601
83.97
10.000 - 10.499
25
6,443,757
1.60
10.183
568
78.76
10.500 - 10.999
21
2,938,142
0.73
10.670
567
79.77
11.000 - 11.499
5
596,232
0.15
11.185
539
83.46
11.500 - 11.999
2
558,196
0.14
11.667
507
68.88
Total:
1,147
401,759,879
100.00
8.227
638
81.94
*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 (%)
2.000
183
66,189,475
16.47
8.193
643
81.84
3.000
964
335,570,404
83.53
8.234
637
81.97
Total:
1,147
401,759,879
100.00
8.227
638
81.94
*ARM Loans Only






DESCRIPTION OF THE GROUP II COLLATERAL

Subsequent Periodic Rate Cap*
     
% of Aggregate
 
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.500
1,147
401,759,879
100.00
8.227
638
81.94
Total:
1,147
401,759,879
100.00
8.227
638
81.94
*ARM Loans Only

Lifetime Periodic Cap*
     
% of Aggregate
 
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
6.000 - 6.499
1,147
401,759,879
100.00
8.227
638
81.94
Total:
1,147
401,759,879
100.00
8.227
638
81.94
*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
566
162,974,867
34.10
8.621
646
83.53
12
134
43,331,505
9.07
8.654
649
84.97
24
828
216,060,444
45.20
8.351
637
82.87
36
211
55,597,467
11.63
7.967
640
83.19
Total:
1,739
477,964,284
100.00
8.426
641
83.32







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
Kathie Peng
212-250-7259
   
ABS Structuring
 
Bill Yeung
212-250-6893
Chris Sudol
212-250-0507
   
ABS Collateral
 
Reta Chandra
212-250-2729