424B5 1 d601900_424b5.htm CITIGROUP MORTGAGE LOAN TRUST INC Unassociated Document
Prospectus Supplement dated December 8, 2006 (To Prospectus dated December 13, 2006)
 
$491,684,000 (Approximate)
 
Citigroup Mortgage Loan Trust 2006-HE3
Issuing Entity
 
Asset-Backed Pass-Through Certificates, Series 2006-HE3
 
Citigroup Mortgage Loan Trust Inc.
Depositor
 
Citigroup Global Markets Realty Corp.
Sponsor
 
Wells Fargo Bank, N.A.
JPMorgan Chase Bank, National Association
Ocwen Loan Servicing, LLC
Countrywide Home Loans Servicing LP
Servicers
 
Citibank, N.A.
Trust Administrator
 
You should consider carefully the risk factors beginning on page S-13 in this prospectus supplement and page 5 in the prospectus.
 
This prospectus supplement may be used to offer and sell the offered certificates only if accompanied by the prospectus.
 
The certificates represent obligations of the issuing entity only and do not represent an interest in or obligation of the depositor, the servicers or the sponsor, or any of their affiliates. This prospectus supplement may be used to offer and sell the certificates only if accompanied by the prospectus. 
 
Offered Certificates         The trust created for the Series 2006-HE3 certificates will hold a pool of one- to four-family residential first lien and second lien, fixed-rate and adjustable-rate mortgage loans. The mortgage loans will be segregated into two groups, one consisting of mortgage loans with principal balances at origination that conform to Fannie Mae loan limits and one consisting of mortgage loans with principal balances at origination that may or may not conform to Fannie Mae loan limits. The trust will issue thirteen classes of offered certificates. You can find a list of these classes, together with their initial certificate principal balances and pass-through rates, on page S-5 of this prospectus supplement. Credit enhancement for the offered certificates will be provided in the form of excess interest, subordination, overcollateralization and a primary mortgage insurance policy. The offered certificates will also have the benefit of certain payments made pursuant to a cap contract. The offered certificates will be entitled to monthly distributions beginning in January 2007.
 
Underwriting                      Citigroup Global Markets Inc., as underwriter, will offer to the public the offered certificates at varying prices to be determined at the time of sale. The proceeds to the depositor from the sale of the offered certificates, before deducting expenses, will be approximately 99.90% of the aggregate initial certificate principal balance of the offered certificates.
 
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the offered certificates or determined that this prospectus supplement or the prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
 
The Attorney General of the State of New York has not passed on or endorsed the merits of this offering. Any representation to the contrary is unlawful.
 
Citigroup
 



Important notice about information presented in this prospectus supplement and the accompanying prospectus
 
You should rely only on the information contained in this document. We have not authorized anyone to provide you with different information.
 
We provide information to you about the offered certificates in two separate documents that progressively provide more detail:
 
•
 
the accompanying prospectus, which provides general information, some of which may not apply to this series of certificates; and
 
•
 
this prospectus supplement, which describes the specific terms of this series of certificates.
 

Citigroup Mortgage Loan Trust Inc.’s principal offices are located at 390 Greenwich Street, 4th Floor, New York, New York 10013 and its phone number is (212) 816-6000, Attention: Mortgage Finance.
 
 
 
Table of Contents
 
Prospectus Supplement

SUMMARY OF PROSPECTUS SUPPLEMENT
RISK FACTORS
AFFILIATIONS AND RELATED TRANSACTIONS
USE OF PROCEEDS
THE MORTGAGE POOL
STATIC POOL INFORMATION
THE ORIGINATORS
THE SERVICERS
THE TRUSTEE
THE TRUST ADMINISTRATOR
THE SPONSOR
THE DEPOSITOR
THE ISSUING ENTITY
THE CAP PROVIDER
YIELD ON THE CERTIFICATES
DESCRIPTION OF THE CERTIFICATES
POOLING AND SERVICING AGREEMENT
FEDERAL INCOME TAX CONSEQUENCES
METHOD OF DISTRIBUTION
SECONDARY MARKET
LEGAL OPINIONS
RATINGS
LEGAL INVESTMENT
CONSIDERATIONS FOR BENEFIT PLAN INVESTORS
ANNEX I
ANNEX II
ANNEX III



European Economic Area
 
In relation to each Member State of the European Economic Area which has implemented the Prospectus Directive (each, a Relevant Member State), each Underwriter has represented and agreed that with effect from and including the date on which the Prospectus Directive is implemented in that Relevant Member State (the Relevant Implementation Date) it has not made and will not make an offer of certificates to the public in that Relevant Member State prior to the publication of a prospectus in relation to the certificates which has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State and notified to the competent authority in that Relevant Member State, all in accordance with the Prospectus Directive, except that it may, with effect from and including the Relevant Implementation Date, make an offer of certificates to the public in that Relevant Member State at any time:
 
(a)
to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities;
 
(b)
to any legal entity which has two or more of (1) an average of at least 250 employees during the last financial year; (2) a total balance sheet of more than €43,000,000 and (3) an annual net turnover of more than €50,000,000, as shown in its last annual or consolidated accounts; or
 
(c)
in any other circumstances which do not require the publication by the Issuer of a prospectus pursuant to Article 3 of the Prospectus Directive.
 
For the purposes of this provision, the expression an “offer of certificates to the public” in relation to any certificates in any Relevant Member State means the communication in any form and by any means of sufficient information on the terms of the offer and the certificates to be offered so as to enable an investor to decide to purchase or subscribe the certificates, as the same may be varied in that Member State by any measure implementing the Prospectus Directive in that Member State and the expression Prospectus Directive means Directive 2003/71/EC and includes any relevant implementing measure in each Relevant Member State.
 
United Kingdom
 
Each Underwriter has represented and agreed that:
 
(a)
it has only communicated or caused to be communicated and will only communicate or cause to be communicated an invitation or inducement to engage in investment activity (within the meaning of Section 21 of the Financial Services and Markets Act) received by it in connection with the issue or sale of the certificates in circumstances in which Section 21(1) of the Financial Services and Markets Act does not apply to the Issuer; and
 
(b)
it has complied and will comply with all applicable provisions of the Financial Services and Markets Act with respect to anything done by it in relation to the certificates in, from or otherwise involving the United Kingdom.
 
  
 
  
 


 
SUMMARY OF PROSPECTUS SUPPLEMENT
 
The following summary is a broad overview of the certificates offered by this prospectus supplement and the accompanying prospectus and does not contain all of the information that you should consider in making your investment decision. To understand all of the terms of the offered certificates, carefully read this entire prospectus supplement and the entire accompanying prospectus.
 
Title of Series
 
  
Citigroup Mortgage Loan Trust Inc., Asset-Backed Pass-Through Certificates, Series 2006-HE3.
 
Cut-off Date
 
  
December 1, 2006.
 
Closing Date
 
  
On or about December 29, 2006.
 
Issuing Entity
 
  
Citigroup Mortgage Loan Trust 2006-HE3. The issuing entity will be established under a pooling and servicing agreement among Citigroup Mortgage Loan Trust Inc., as depositor, Wells Fargo Bank, N.A., JPMorgan Chase Bank, National Association, Ocwen Loan Servicing, LLC and Countrywide Home Loans Servicing LP as servicers, Citibank, N.A., as trust administrator and U.S. Bank National Association, as trustee.
 
Depositor
 
  
Citigroup Mortgage Loan Trust Inc., a Delaware corporation and an affiliate of Citigroup Global Markets Inc. The depositor will deposit the mortgage loans into the trust. See “The Depositor” in this prospectus supplement.
 
Originators
 
  
New Century Mortgage Corporation, LIME Financial Services, Ltd., Quick Loan Funding, Inc., Master Financial, Inc., Meritage Mortgage Corporation, Wells Fargo Bank, N.A., WMC Mortgage Corp., National City Mortgage Co. and MortgageIT, Inc. See “The Originators” in this prospectus supplement.
 
Servicers
 
  
Wells Fargo Bank, N.A. (“Wells Fargo Bank”), JPMorgan Chase Bank, National Association (“JPMCB”), Ocwen Loan Servicing, LLC (“Ocwen”) and Countrywide Home Loans Servicing LP. (“Countrywide”).
 
Sponsor
 
  
Citigroup Global Markets Realty Corp., a New York corporation and an affiliate of Citigroup Global Markets Inc. The sponsor will sell the mortgage loans to the depositor. See “The Sponsor” in this prospectus supplement. 
 
Trust Administrator
 
  
Citibank N.A., a national banking association and an affiliate of Citigroup Global Markets Inc. See “The Trust Administrator” in this prospectus supplement.
 
Trustee
 
  
U.S. Bank National Association, a national banking association. See “The Trustee” in this prospectus supplement.
 
Custodians
 
  
Citibank N.A., a national banking association and an affiliate of the depositor and the underwriter and Wells Fargo Bank, N.A., a national banking association. See “Pooling and Servicing Agreement—The Custodians” in this prospectus supplement.
 
PMI Insurer
 
  
Mortgage Guaranty Insurance Corporation, a Wisconsin stock insurance corporation. See “Description of the Certificates—The PMI Policy and the PMI Insurer” in this prospectus supplement.
 
Credit Risk Manager
 
  
Clayton Fixed Income Services Inc., formerly known as The Murrayhill Company, a Colorado corporation. See “Pooling and Servicing Agreement—The Credit Risk Manager” in this prospectus supplement.
 
Cap Provider
 
  
Swiss Re Financial Products Corporation. See “The Cap Provider” in this prospectus supplement.
 
Distribution Dates
 
  
Distributions on the certificates will be made on the 25th day of each month, or, if that day is not a business day, on the next succeeding business day, beginning in January 2007.
 
Final Scheduled Distribution Dates
 
  
The final scheduled distribution date for the Class A Certificates and Mezzanine Certificates will be the distribution date in December 2036. The final scheduled distribution date for the Class A Certificates and Mezzanine Certificates is calculated as the month after the maturity of the latest maturing loan in the pool. The actual final distribution date for each class of Class A Certificates and Mezzanine Certificates may be earlier, and could be substantially earlier, than the applicable final scheduled distribution date.
 
Offered Certificates
 
  
Only the certificates listed in the immediately following table are being offered by this prospectus supplement. Each class of offered certificates will have the initial certificate principal balance and pass-through rate set forth or described in the immediately following table.
 
 
Class
 
Initial Certificate Principal Balance(1)
 
Pass-Through Rate(2)
 
Class
 
Initial Certificate Principal Balance (1)
 
Pass-Through Rate(2)
A-2A
$ 189,624,000
Variable
M-4
$ 13,310,000
Variable
A-2B
$   76,463,000
Variable
M-5
$ 11,832,000
Variable
A-2C
$   58,113,000
Variable
M-6
$   9,983,000
Variable
A-2D
$   41,034,000
Variable
M-7
$   9,613,000
Variable
M-1
$   26,991,000
Variable
M-8
$   5,546,000
Variable
M-2
$   25,512,000
Variable
M-9
$   9,613,000
Variable
M-3
$   14,050,000
Variable
      
_______________
(1) Approximate. Subject to a variance of + 10%.
(2) The pass-through rate on each class of offered certificates is based on one-month LIBOR plus an applicable certificate margin, subject to a rate cap as described in this prospectus supplement under “Description of the Certificates—Pass-Through Rates.”
 



The Trust
 
The depositor will establish a trust with respect to the certificates pursuant to a pooling and servicing agreement, dated as of the cut-off date, among the depositor, the servicers, the trust administrator and the trustee. There will be nineteen classes of certificates representing beneficial interests in the trust. See “Description of the Certificates” in this prospectus supplement.
 
The certificates will represent in the aggregate the entire beneficial ownership interest in the trust. Distributions of interest and principal on the certificates will be made only from payments received in connection with the mortgage loans and amounts received under the cap contract.
 
The Mortgage Loans
 
References to percentages of the mortgage loans or weighted averages with respect to the mortgage loans under this section are calculated based on the aggregate principal balance of the mortgage loans, or of the indicated subset thereof, as of the cut-off date. Prior to the issuance of the certificates, mortgage loans may be removed from the mortgage pool as a result of incomplete documentation or otherwise if the depositor deems such removal necessary or desirable. A limited number of other mortgage loans may be included in the mortgage pool prior to the issuance of the certificates unless including such mortgage loans would materially alter the characteristics of the mortgage loans in the mortgage pool as described in this prospectus supplement. Any statistic presented on a weighted average basis or any statistic based on the aggregate principal balance of the mortgage loans is subject to a variance of plus or minus 5%.
 
The trust will contain approximately 3,626 conventional, one- to four-family, fixed-rate and adjustable-rate mortgage loans secured by first or second liens on residential real properties. The mortgage loans have an aggregate principal balance of approximately $739,473,750 as of the cut-off date, after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 10%.
 
The mortgage loans will be divided into two loan groups, loan group I and loan group II. Loan group I will consist of fixed-rate and adjustable-rate mortgage loans with principal balances at origination that conform to Fannie Mae loan limits. Loan group II will consist of fixed-rate and adjustable-rate mortgage loans with principal balances at origination that may or may not conform to Fannie Mae loan limits. In addition, certain of the conforming balance mortgage loans included in loan group II might otherwise have been included in loan group I, but were excluded from loan group I because they did not meet Fannie Mae criteria (including published guidelines) for factors other than principal balance. The mortgage loans in loan group I are referred to in this prospectus supplement as the Group I Mortgage Loans. The mortgage loans in loan group II are referred to in this prospectus supplement as the Group II Mortgage Loans.
 
The Group I Mortgage Loans will consist of approximately 1,694 mortgage loans having an aggregate principal balance as of the cut-off date of approximately $280,059,122, after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 10%.
 
The Group II Mortgage Loans will consist of approximately 1,932 mortgage loans having an aggregate principal balance as of the cut-off date of approximately $459,414,629, after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 10%.
 
The mortgage loans have the following approximate characteristics as of the cut-off date:

Adjustable-rate mortgage loans:
81.04%
Fixed-rate mortgage loans:
18.96%
Interest only mortgage loans:
20.48%
Second lien mortgage loans:
5.30%
Range of mortgage rates:
5.625% - 15.874%
Weighted average mortgage rate:
8.386%
Range of gross margins of the adjustable-rate mortgage loans:
2.125% - 9.875%
Weighted average gross margin of the adjustable-rate mortgage loans:
6.106%
Range of minimum mortgage rates of the adjustable-rate mortgage loans:
2.125% - 12.775%
Weighted average minimum mortgage rate of the adjustable-rate mortgage loans:
7.951%
Range of maximum mortgage rates of the adjustable-rate mortgage loans:
11.950% - 19.775%
Weighed average maximum mortgage rate of the adjustable-rate mortgage loans:
15.016%
Weighted average next adjustment date of the adjustable-rate mortgage loans:
November 2008
Weighed average remaining term to stated maturity:
354 months
Range of principal balances:
$7,118- $1,200,000
Average principal balance:
$203,937
Range of fully combined loan- to-value ratios:
13.97% - 100.00%
Weighted average fully combined loan-to-value ratio:
87.39%
Balloon loans:
38.03%
Geographic concentrations in excess of 5%:
California
Florida
35.84%
9.24%
 
The Group I Mortgage Loans have the following approximate characteristics as of the cut-off date:

Adjustable-rate Group I Mortgage Loans:
76.45%
Fixed-rate Group I Mortgage Loans:
23.55%
Interest only Group I Mortgage Loans:
5.27%
Second lien Group I Mortgage Loans:
2.39%
Range of mortgage rates:
5.625% - 12.900%
Weighted average mortgage rate:
8.432%
Range of gross margins of the adjustable-rate Group I Mortgage Loans:
3.375% - 7.938%
Weighted average gross margin of the adjustable-rate Group I Mortgage Loans:
6.336%
Range of minimum mortgage rates of the adjustable-rate Group I Mortgage Loans:
3.375% - 12.775%
Weighted average minimum mortgage rate of the adjustable-rate Group I Mortgage Loans:
8.424%
Range of maximum mortgage rates of the adjustable-rate Group I Mortgage Loans:
11.950% - 19.775%
Weighed average maximum mortgage rate of the adjustable-rate Group I Mortgage Loans:
15.274%
Weighted average next adjustment date of the adjustable-rate Group I Mortgage Loans:
November 2008
Weighed average remaining term to stated maturity:
355 months
Range of principal balances:
$17,959 - $616,370
Average principal balance:
$165,324
Range of fully combined loan- to-value ratios:
15.69% - 100.00%
Weighted average fully combined loan-to-value ratio:
81.75%
Balloon loans:
44.16%
Geographic concentrations in excess of 5%:
California
Florida
Arizona
Texas
21.29%
10.47%
7.49%
5.30%
 
 The Group II Mortgage Loans have the following approximate characteristics as of the cut-off date:
 
Adjustable-rate Group II Mortgage Loans:
83.83%
Fixed-rate Group II Mortgage Loans:
16.17%
Interest only Group II Mortgage Loans:
29.74%
Second lien Group II Mortgage Loans:
7.07%
Range of mortgage rates:
5.625% - 15.874%
Weighted average mortgage rate:
8.358%
Range of gross margins of the adjustable-rate Group II Mortgage Loans:
2.125% - 9.875%
Weighted average gross margin of the adjustable-rate Group II Mortgage Loans:
5.978%
Range of minimum mortgage rates of the adjustable-rate Group II Mortgage Loans:
2.125% - 12.050%
Weighted average minimum mortgage rate of the adjustable-rate Group II Mortgage Loans:
7.688%
Range of maximum mortgage rates of the adjustable-rate Group II Mortgage Loans:
12.150% - 19.050%
Weighed average maximum mortgage rate of the adjustable-rate Group II Mortgage Loans:
14.872%
Weighted average next adjustment date of the adjustable-rate Group II Mortgage Loans:
October 2008
Weighed average remaining term to stated maturity:
353 months
Range of principal balances:
$7,118 - $1,200,000
Average principal balance:
$237,792
Range of fully combined loan- to-value ratios:
13.97% - 100.00%
Weighted average fully combined loan-to-value ratio:
90.82%
Balloon loans:
34.30%
Geographic concentrations in excess of 5%:
California
Florida
44.71%
8.50%
 
For additional information regarding the mortgage loans, see “The Mortgage Pool” in this prospectus supplement.
 
The Certificates
 
Each class of certificates will have different characteristics, some of which are reflected in the following general designations.
 
Class A Certificates
 
Class A-1 Certificates, Class A-2A Certificates, Class A-2B Certificates, Class A-2C Certificates and Class A-2D Certificates.
 
Group I Certificates
 
Class A-1 Certificates.
 
Group II Certificates
 
Class A-2A Certificates, Class A-2B Certificates, Class A-2C Certificates and Class A-2D Certificates.
 
Mezzanine Certificates
 
Class M-1 Certificates, Class M-2 Certificates, Class M-3 Certificates, Class M-4 Certificates, Class M-5 Certificates, Class M-6 Certificates, Class M-7 Certificates, Class M-8 Certificates, Class M-9 Certificates and Class M-10 Certificates.
 
Floating Rate Certificates
 
Class A Certificates and Mezzanine Certificates.
 
Subordinate Certificates
 
Mezzanine Certificates and Class CE Certificates.
 
Residual Certificates
 
Class R and Class R-X Certificates.
 
The pass-through rate for the Floating Rate Certificates will be a per annum rate based on one-month LIBOR plus an applicable margin set forth below, in each case, subject to the Net WAC Pass-Through Rate as described under “Description of the Certificates—Pass-Through Rates” in this prospectus supplement.
 
 
Margin
Class
(1)
(2)
A-1
0.140%
0.280%
A-2A
0.070%
0.140%
A-2B
0.100%
0.200%
A-2C
0.160%
0.320%
A-2D
0.230%
0.460%
M-1
0.270%
0.405%
M-2
0.290%
0.435%
M-3
0.310%
0.465%
M-4
0.380%
0.570%
M-5
0.400%
0.600%
M-6
0.460%
0.690%
M-7
0.850%
1.275%
M-8
1.500%
2.250%
M-9
2.500%
3.750%
M-10
2.500%
3.750%
__________
(1)   For the interest accrual period for each distribution date through and including the first distribution date on which the aggregate principal balance of the mortgage loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date.
(2)   For each interest accrual period thereafter.
 
 
The offered certificates will be sold by the depositor to Citigroup Global Markets Inc., the underwriter, on the closing date.
 
The Floating Rate Certificates will initially be represented by one or more global certificates registered in the name of Cede & Co., as a nominee of The Depository Trust Company in minimum denominations of $25,000 and integral multiples of $1.00 in excess of those minimum denominations. See “Description of the Certificates—Registration of the Book-Entry Certificates” in this prospectus supplement.
 
The Class A-1 Certificates, the Class M-10 Certificates, the Class CE Certificates, the Class P Certificates and the Residual Certificates are not offered by this prospectus supplement. Information about these classes of certificates is included in this prospectus supplement solely to facilitate an understanding of the offered certificates.
 
Class A-1 and Class M-10 Certificates. The Class A-1 Certificates will have an initial certificate principal balance of approximately $222,647,000 and the Class M-10 Certificates will have an initial certificate principal balance of approximately $8,874,000 (in each case subject to a permitted variance of plus or minus 5%). The Class A-1 Certificates and the Class M-10 Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date.
 
Class CE Certificates. The Class CE Certificates will have an initial certificate principal balance of approximately $16,268,650, which is approximately equal to the initial overcollateralization required by the pooling and servicing agreement. The Class CE Certificates initially evidence an interest of approximately 2.20% in the trust. On any distribution date, the Class CE Certificates will be entitled to distributions only after all required distributions on the Floating Rate Certificates for such distribution date have been made. The Class CE Certificates will be delivered to the sponsor as partial consideration for the sale of the Mortgage Loans.
 
Class P Certificates. The Class P Certificates will have an initial certificate principal balance of $100 and will not be entitled to distributions in respect of interest. The Class P Certificates will be entitled to all prepayment charges received in respect of the mortgage loans. The Class P Certificates will be delivered to the sponsor as partial consideration for the sale of the Mortgage Loans.
 
Residual Certificates. The Residual Certificates will represent the residual interests in the trust. The Residual Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date.
 
Credit Enhancement
 
The credit enhancement provided for the benefit of the holders of the Floating Rate Certificates will consist of excess interest, subordination, overcollateralization and a primary mortgage insurance policy, each as described in this section and under “Description of the Certificates—Credit Enhancement” and “Description of the Certificates—The PMI Policy and the PMI Insurer” in this prospectus supplement.
 
In addition, the Floating Rate Certificates will have the benefit of a cap contract as described under “Description of the Certificates—Cap Contract” in this prospectus supplement.
 
Excess Interest. The mortgage loans bear interest each month which, in the aggregate, is expected to exceed the amount needed to distribute monthly interest on the Floating Rate Certificates and to pay certain fees and expenses of the trust. The excess interest, if any, from the mortgage loans each month will be available to absorb realized losses on the mortgage loans and to maintain or restore overcollateralization at the required level.
 
Subordination. The rights of the holders of the Mezzanine Certificates and the Class CE Certificates to receive distributions will be subordinated, to the extent described in this prospectus supplement, to the rights of the holders of the Class A Certificates.
 
In addition, the rights of the holders of Mezzanine Certificates with higher numerical class designations to receive distributions will be subordinated to the rights of the holders of the Mezzanine Certificates with lower numerical class designations, and the rights of the holders of the Class CE Certificates to receive distributions will be subordinated to the rights of the holders of the Mezzanine Certificates, in each case to the extent described in this prospectus supplement.
 
Subordination is intended to enhance the likelihood of regular distributions on the more senior classes of certificates in respect of interest and principal and to afford the more senior classes of certificates protection against realized losses on the mortgage loans.
 
Overcollateralization. The aggregate principal balance of the mortgage loans as of the cut-off date will exceed the aggregate certificate principal balance of the Floating Rate Certificates and Class P Certificates as of the closing date by approximately $16,268,650. The required level of overcollateralization will initially be equal to approximately 2.20% of the aggregate principal balance of the mortgage loans as of the cut-off date. We cannot assure you that sufficient interest will be generated by the mortgage loans to maintain or restore overcollateralization at the required level.
 
Primary Mortgage Insurance. Approximately 23.36% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) will be insured by an insurance policy (the “PMI Policy”) issued by the PMI Insurer. However, the PMI Policy will provide only limited protection against losses on defaulted mortgage loans which are covered by the PMI Policy. See “Description of the Certificates—The PMI Policy and the PMI Insurer” in this prospectus supplement.
 
Allocation of Losses. If, on any distribution date, there is not sufficient excess interest, overcollateralization or payments received under the cap contract to absorb realized losses on the mortgage loans as described under “Description of the Certificates—Credit Enhancement—Overcollateralization Provisions” and “Description of the Certificates—Cap Contract” in this prospectus supplement, then realized losses on the mortgage loans will be allocated to the Mezzanine Certificates in reverse order of seniority. The pooling and servicing agreement will not permit the allocation of realized losses on the mortgage loans to the Class A Certificates or the Class P Certificates; however, investors in the Class A Certificates should realize that under certain loss scenarios there may not be enough interest and principal on the mortgage loans to distribute to the Class A Certificates all interest and principal amounts to which these certificates are then entitled. See “Description of the Certificates— Allocation of Losses” in this prospectus supplement.
 
Once realized losses are allocated to the Mezzanine Certificates, such realized losses will not be reinstated thereafter, except in the case of certain subsequent recoveries that occur while such certificates are still outstanding. However, the amount of any realized losses allocated to any of the Mezzanine Certificates may be distributed, without interest, on future distribution dates to the holders of such Mezzanine Certificates, if such certificates are then still outstanding, on a subordinated basis to the extent funds are available for such purpose according to the priorities described under “Description of the Certificates—Credit Enhancement—Overcollateralization Provisions” and “Description of the Certificates—Cap Contract” in this prospectus supplement.
 
Cap Contract
 
Citibank, N.A., in its capacity as cap trustee on behalf of a separate cap trust, will enter into a cap contract (the “Cap Contract”) with the cap provider. The cap trustee is appointed pursuant to the cap administration agreement to receive and distribute funds with regards to the Cap Contract. Pursuant to the cap administration agreement, the Floating Rate Certificates will be entitled to the benefits provided by the Cap Contract and any proceeds thereof deposited with the cap trustee. In general, the cap provider will be obligated to make payments to the cap trustee when One-Month LIBOR as determined pursuant to the Cap Contract exceeds a certain level. Such payments will be used to pay certain amounts in respect of the Floating Rate Certificates as described in this prospectus supplement. There can be no assurance as to the extent of benefits, if any, that may be realized by the holders of the Floating Rate Certificates as a result of the Cap Contract. We refer you to “Description of the Certificates—Cap Contract” in this prospectus supplement.
 
P&I Advances
 
Each servicer is required to advance delinquent payments of principal and interest on the mortgage loans serviced by it, subject to the limitations described under “Description of the Certificates—P&I Advances” in this prospectus supplement. The servicers are entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. The servicers will not advance the balloon payment with respect to any balloon mortgage loan. See “Description of the Certificates—P&I Advances” in this prospectus supplement and “Description of the Securities—Advances in Respect of Delinquencies” in the prospectus.
 
Trigger Event
 
The occurrence of a Trigger Event, following the Stepdown Date, may have the effect of accelerating or decelerating the amortization of certain classes of the Floating Rate Certificates and affecting the weighted average lives of such certificates. The Stepdown Date is the earlier to occur of (1) the first distribution date immediately succeeding the distribution date on which the aggregate certificate principal balance of the Class A Certificates has been reduced to zero and (2) the later of (x) the distribution date occurring in January 2010 and (y) the first distribution date on which the subordination available to the Class A Certificates has doubled. A Trigger Event will have occurred if delinquencies or losses on the mortgage loans exceed the levels set forth in the definition thereof.
 
See “Description of the Certificates—Principal Distributions” and “Glossary” in this prospectus supplement for additional information.
 
Fees and Expenses
 
Before distributions are made on the certificates, the following fees and expenses will be payable: (i) each servicer will be paid a monthly fee equal to one-twelfth of 0.500% per annum multiplied by the principal balance of each mortgage loan serviced by it as of the first day of the related due period, (ii) the credit risk manager will be paid a monthly fee equal to one-twelfth of 0.015% multiplied by the aggregate principal balance of the mortgage loans as of the first day of the related due period and (iii) the PMI Insurer will be paid a monthly fee equal to one-twelfth of 1.21% multiplied by the aggregate principal balance of the mortgage loans covered by the PMI Policy as of the first day of the related due period. The servicing fee will be payable from amounts on deposit in the collection account; provided, however, that servicing fees are generally payable only from interest actually received on the related mortgage loan. The credit risk manager fee and the PMI insurer fee will be payable from amounts on deposit in the distribution account.
 
Optional Termination
 
At its option, Wells Fargo Bank, JPMCB or Ocwen, in that order, may purchase all of the mortgage loans in the trust, together with any properties in respect of the mortgage loans acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates, after the aggregate principal balance of the mortgage loans and properties acquired in respect of the mortgage loans has been reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date.  See “Pooling and Servicing Agreement—Termination” in this prospectus supplement and “Description of the Securities— Termination” in the prospectus.
 
Repurchase or Substitution of Mortgage Loans For Breaches of Representations and Warranties
 
Each originator or the sponsor will make certain representations and warranties with respect to each mortgage loan as of the closing date. Upon discovery of a breach of such representations and warranties that materially and adversely affects the interests of the certificateholders, the originator or the sponsor, as applicable, will be obligated to cure such breach or otherwise repurchase or replace such mortgage loan.
 
See “The Pooling and Servicing Agreement—Assignment of the Mortgage Loans” in this prospectus supplement for additional information.
 
Federal Income Tax Consequences
 
One or more elections will be made to treat the trust (exclusive of the Net WAC Rate Carryover Reserve Account, the Cap Account, the Cap Contract and any servicer prepayment charge payment amounts) as one or more real estate mortgage investment conduits, or REMICs, for federal income tax purposes. See “Federal Income Tax Consequences” in this prospectus supplement and in the prospectus.
 
Ratings
 
It is a condition to the issuance of the offered certificates that the offered certificates receive not lower than the following ratings from Moody’s Investors Service, Inc., or Moody’s, Standard & Poor’s, a division of the McGraw-Hill Companies, Inc., or S&P, and Dominion Bond Ratings Service, or DBRS:
Offered Certificates
Moody’s
S&P
 
DBRS
Class A-2A
Aaa
AAA
AAA
Class A-2B
Aaa
AAA
AAA
Class A-2C
Aaa
AAA
AAA
Class A-2D
Aaa
AAA
AAA
Class M-1
Aa1
AA+
AA (high)
Class M-2
Aa2
AA
AA
Class M-3
Aa3
AA-
AA (low)
Class M-4
A1
A+
A (high)
Class M-5
A2
A
A
Class M-6
A3
A-
A (low)
Class M-7
Baa1
BBB+
BBB (high)
Class M-8
Baa2
BBB
BBB
Class M-9
Baa3
BBB-
BBB (low)

A security rating does not address the frequency of prepayments on the mortgage loans or the corresponding effect on yield to investors. The ratings on the offered certificates do not address the likelihood of any recovery of basis risk shortfalls by holders of such certificates. See “Yield on the Certificates” and “Ratings” in this prospectus supplement and “Yield Considerations” in the prospectus.
 
Legal Investment
 
The offered certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984, or SMMEA. See “Legal Investment” in this prospectus supplement and in the prospectus.
 
Considerations for Benefit Plan Investors
 
The U.S. Department of Labor has issued an individual exemption, Prohibited Transaction Exemption 91-23, as amended, to Citigroup Global Markets Inc. This exemption generally exempts from the application of certain of the prohibited transaction provisions of Section 406 of the Employee Retirement Income Security Act of 1974, as amended, or ERISA, and the excise taxes imposed on such prohibited transactions by Section 4975(a) and (b) of the Internal Revenue Code of 1986, or the Code, and Section 502(i) of ERISA, transactions relating to the purchase, sale and holding of pass-through certificates underwritten by Citigroup Global Markets Inc. This exemption generally applies to certificates such as the offered certificates, and the servicing and operation of asset pools such as the mortgage pool, provided that certain conditions are satisfied. See “Considerations For Benefit Plan Investors” in this prospectus supplement and in the prospectus.
 

 


  RISK FACTORS
 
In addition to the matters described elsewhere in this prospectus supplement and the prospectus, prospective investors should carefully consider the following factors before deciding to invest in the offered certificates.
 
The mortgage loans were underwritten to standards which do not conform to the credit standards of Fannie Mae or Freddie Mac which may result in losses on the mortgage loans.
 
Each originator’s underwriting standards are intended to assess the value of the mortgaged property and to evaluate the adequacy of the property as collateral for the mortgage loan and consider, among other things, a mortgagor’s credit history, repayment ability and debt service-to-income ratio, as well as the type and use of the mortgaged property. Each originator provides loans primarily to borrowers who do not qualify for loans conforming to Fannie Mae or Freddie Mac credit guidelines. None of the originators’ underwriting standards prohibit a mortgagor from obtaining, at the time of origination of such originator’s first lien, additional financing which is subordinate to that first lien, which subordinate financing would reduce the equity the mortgagor would otherwise have in the related mortgaged property as indicated in such originator’s loan-to-value ratio determination for such originator’s first lien.
 
As a result of the originators’ underwriting standards, the mortgage loans in the mortgage pool are likely to experience rates of delinquency, foreclosure and bankruptcy that are higher, and that may be substantially higher, than those experienced by mortgage loans underwritten in a more traditional manner.
 
Furthermore, changes in the values of mortgaged properties may have a greater effect on the delinquency, foreclosure, bankruptcy and loss experience of the mortgage loans in the mortgage pool than on mortgage loans originated in a more traditional manner. No assurance can be given that the values of the related mortgaged properties have remained or will remain at the levels in effect on the dates of origination of the related mortgage loans. See “The Originators” in this prospectus supplement.
 
Mortgage loans with high fully combined loan-to-value ratios leave the related borrower with little or no equity in the related mortgaged property, which may result in losses with respect to these mortgage loans.
 
Approximately 54.84% of the Group I Mortgage Loans and approximately 79.66% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 70.26% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) have an original fully combined loan-to-value ratio in excess of 80%. None of the mortgage loans has an original fully combined loan-to-value ratio in excess of approximately 100.00%. Mortgage loans with higher loan-to-value ratios may present a greater risk of loss. In addition, an overall decline in the residential real estate market, a rise in interest rates over a period of time and the general condition of a mortgaged property, as well as other factors, may have the effect of reducing the value of the related mortgaged property from the value at the time the mortgage loan was originated. If the value of a mortgaged property decreases, the loan-to-value ratio may increase over what it was at the time the mortgage loan was originated which may reduce the likelihood of liquidation or other proceeds being sufficient to satisfy the mortgage loan. There can be no assurance that the loan-to-value ratio of any mortgage loan determined at any time after origination will be less than or equal to its original loan-to-value ratio. Additionally, the related originator’s determination of the value of a mortgaged property used in the originator’s loan-to-value determination for such originator’s first or second lien may differ from the appraised value of such mortgaged property or the actual value of such mortgaged property at that time. For information about how the fully combined loan-to-value ratio is calculated and for additional information about the loan-to value ratios of the mortgage loans, see “The Mortgage Pool—General” in this prospectus supplement.
 
Furthermore, a mortgagor may have obtained at or around the time of origination of the related originator’s first lien or second lien, or may obtain at any time thereafter, additional financing which is subordinate to that lien, which subordinate financing would reduce the equity the mortgagor would otherwise have in the related mortgaged property as indicated in the related originator’s loan-to-value ratio determination for such originator’s first or second lien.
 
There are risks associated with second lien mortgage loans.
 
Approximately 2.39% of the Group I Mortgage Loans and approximately 7.07% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 5.30% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) are secured by second liens on the related mortgaged properties. The proceeds from any liquidation, insurance or condemnation proceedings will be available to satisfy the outstanding balance of such mortgage loans only to the extent that the claims of the related senior mortgages have been satisfied in full, including any related foreclosure costs. In circumstances when it has been determined to be uneconomical to foreclose on the mortgaged property, the related servicer may write off the entire balance of such mortgage loan as a bad debt. The foregoing considerations will be particularly applicable to mortgage loans secured by second liens that have high original loan-to-value ratios because it is comparatively more likely that the related servicer would determine foreclosure to be uneconomical in the case of such mortgage loans. The rate of default of second lien mortgage loans may be greater than that of mortgage loans secured by first liens on comparable properties.
 
Delinquencies on the mortgage loans may adversely affect the Floating Rate Certificates.
 
None of the mortgage loans are 30-59 days delinquent as of November 30, 2006. However, with respect to approximately 59.76% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date), the first payment on the mortgage loans is due on or after November 1, 2006 and such mortgage loans could not have been 30-59 days delinquent as of November 30, 2006. A mortgage loan is considered to be delinquent when a payment due on any due date remains unpaid as of the close of business on next monthly due date. As a result of the inclusion of delinquent mortgage loans, the mortgage pool may bear more risk than a pool of mortgage loans without any delinquencies but with otherwise comparable characteristics. It is possible that a delinquent mortgage loan will not ever become current or, if it does become current, that the mortgagor may become delinquent again.
 
Each servicer will be required to make advances of delinquent payments of principal and interest on any delinquent mortgage loans serviced by it (to the extent such advances are deemed by the related servicer to be recoverable), until such mortgage loans become current. Furthermore, with respect to any delinquent mortgage loan, each servicer may either foreclose on any such mortgage loan or work out an agreement with the mortgagor, which may involve waiving or modifying certain terms of the related mortgage loan. If a servicer extends the payment period or accepts a lesser amount than the amount due pursuant to the mortgage note in satisfaction of the mortgage note, your yield may be reduced.
 
With respect to approximately 62.75% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date), New Century may be required to repurchase any such mortgage loan to the extent any such mortgage loan experiences an early payment default (i.e. the first payment due to the depositor is not received within 30 days of that payment being due). These purchases will have the same effect on the holders of the Floating Rate Certificates as a prepayment of those mortgage loans and may adversely affect the yield on the Floating Rate Certificates. In the event New Century defaults on such obligation such mortgage loans will remain in the trust. In addition, approximately 0.74% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) have already experienced an early payment default and the related originator will be required to repurchase such mortgage loan from the trust.
 
Investors should also see the tables titled “Historical Delinquency of the Mortgage Loans,” in this prospectus supplement.
 
Interest only mortgage loans risk.
 
Approximately 5.27% of the Group I Mortgage Loans and approximately 29.74% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 20.48% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) require the borrowers to make monthly payments only of accrued interest for the first 60 or 120 months following origination. After such interest-only period, the borrower’s monthly payment will be recalculated to cover both interest and principal so that the mortgage loan will amortize fully prior to its final payment date. The interest-only feature may reduce the likelihood of prepayment during the interest-only period due to the smaller monthly payments relative to a fully-amortizing mortgage loan. If the monthly payment increases, the related borrower may not be able to pay the increased amount and may default or may refinance the related mortgage loan to avoid the higher payment. Because no principal payments may be made on such mortgage loans for an extended period following origination, certificateholders will receive smaller principal distributions during such period than they would have received if the related borrowers were required to make monthly payments of interest and principal for the entire lives of such mortgage loans. This slower rate of principal distributions may reduce the return on an investment in the Floating Rate Certificates that are purchased at a discount.
 
Balloon loan risk.
 
Balloon loans pose a risk because a mortgagor must make a large lump sum payment of principal at the end of the loan term. If the mortgagor is unable to pay the lump sum or refinance such amount, you may suffer a loss. Approximately 44.16% of the Group I Mortgage Loans and approximately 34.30% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 38.03% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) are balloon loans.
 
Silent second lien risk.
 
Approximately 14.56% of the Group I Mortgage Loans and approximately 38.44% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) are subject to a second lien mortgage loan which may or may not be included in the trust. The weighted average loan-to-value ratio of such mortgage loans at origination is approximately 80.23% (with respect to such Group I Mortgage Loans) and approximately 80.33% (with respect to such Group II Mortgage Loans) and the weighted average combined loan-to-value ratio of such mortgage loans at origination (including the second lien) is approximately 98.83% (with respect to such Group I Mortgage Loans) and approximately 99.51% (with respect to such Group II Mortgage Loans). With respect to such mortgage loans, foreclosure frequency may be increased relative to mortgage loans that were originated without a silent second lien since mortgagors have less equity in the mortgaged property. In addition, a default may be declared on the second lien loan, even though the first lien is current, which would constitute a default on the first lien loan. Investors should also note that any mortgagor may obtain secondary financing at any time subsequent to the date of origination of their mortgage loan from the originator or from any other lender.
 
Dual amortization loan risk
 
Approximately 3.87% of the Group I Mortgage Loans and approximately 3.41% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 3.58% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) require the borrowers to make monthly payments based on a forty-year amortization during the first ten years of such mortgage loan’s term. At the end of such period, the borrower’s monthly payment will be recalculated at the same interest rate so that the mortgage loan will amortize fully prior to its maturity date, which is generally 240 months following the end of the initial ten-year period. The borrower’s monthly payments will generally increase as a result of such recalculation, although the size of any such increase will be affected by any principal prepayments made by the borrower during the initial ten year period. If the borrower’s monthly payment increases, the borrower may not be able to pay the increased amount and may default or may refinance the related mortgage loan to avoid the higher payment. Because reduced principal payments may be made on such mortgage loans for an extended period following origination (and to the extent that such reduced principal payments are not offset by principal prepayments), if the borrower defaults, the unpaid principal balance of the related mortgage loan will be greater than otherwise would be the case, increasing the risk of loss and loss severity in that situation.
 
The transfer of servicing may result in higher delinquencies and defaults which may adversely affect the yield on your certificates.
 
Wells Fargo Bank, N.A. is scheduled to become the servicer of the mortgage loans originated by New Century Mortgage Corporation on February 1, 2007. All transfers of servicing involve the risk of disruption in collections due to data input errors, misapplied or misdirected payments, system incompatibilities, the requirement to notify the mortgagors about the servicing transfer, delays caused by the transfer of the related servicing mortgage files and records to the new servicer and other reasons. As a result of these servicing transfers or any delays associated with these transfers, the rates of delinquencies and defaults could increase at least for a period of time. We cannot assure you that there will be no disruptions associated with the transfers of servicing or that, if there are disruptions, that they will not adversely affect the yield on your certificates.
 
The mortgage loans are concentrated in particular states, which may present a greater risk of loss relating to these mortgage loans.
 
The chart presented under “Summary of Prospectus Supplement—The Mortgage Loans” lists the states with the highest concentrations of mortgage loans. Because of the relative geographic concentration of the mortgaged properties within certain states, losses on the mortgage loans may be higher than would be the case if the mortgaged properties were more geographically diversified. For example, some of the mortgaged properties may be more susceptible to certain types of special hazards, such as hurricanes, earthquakes, floods, wildfires and other natural disasters and major civil disturbances, than residential properties located in other parts of the country.
 
In addition, the conditions below will have a disproportionate impact on the mortgage loans based on their location:
 
•
 
Economic conditions in states with high concentrations of mortgage loans which may or may not affect real property values may affect the ability of mortgagors to repay their mortgage loans on time.
•
 
Declines in the residential real estate markets in the states with high concentrations of mortgage loans may reduce the values of properties located in those states, which would result in an increase in the loan-to-value ratios.
•
 
Any increase in the market value of properties located in the states with high concentrations of mortgage loans would reduce the loan-to-value ratios and could, therefore, make alternative sources of financing available to the mortgagors at lower interest rates, which could result in an increased rate of prepayment of the mortgage loans.
 
Violation of consumer protection laws may result in losses on the mortgage loans and your certificates.
 
Applicable state laws generally regulate interest rates and other charges, require certain disclosure, and require licensing of the originator. In addition, other state laws, public policy and general principles of equity relating to the protection of consumers, unfair and deceptive practices and debt collection practices may apply to the origination, servicing and collection of the mortgage loans.
 
The mortgage loans are also subject to federal laws, including:
 
•
 
the Federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to the mortgagors regarding the terms of the mortgage loans;
 
•
 
the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and
 
•
the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience.

Violations of certain provisions of these federal laws may limit the ability of the servicers to collect all or part of the principal of or interest on the mortgage loans and in addition could subject the trust to damages and administrative enforcement and could result in the borrowers rescinding such mortgage loans against either the trust or subsequent holders of the mortgage loans.
 
Each originator or the sponsor will represent that as of the closing date, each mortgage loan was in compliance with applicable federal, state and local laws and regulations that were in effect at the time the related mortgage loan was originated. In the event of a breach of such representation, the originator or the sponsor will be obligated to cure such breach or repurchase or replace the affected mortgage loan in the manner set forth in the pooling and servicing agreement.
 
High Cost Loans.
 
None of the mortgage loans are “High Cost Loans” within the meaning of the Homeownership Act or any state or local law, ordinance or regulation similar to the Homeownership Act. See “Certain Legal Aspects of Residential Loans—Anti-Deficiency Legislation, Bankruptcy Laws and Other Limitations on Lenders” in the prospectus.
 
In addition to the Homeownership Act, however, a number of legislative proposals have been introduced at both the federal and state level that are designed to discourage predatory lending practices. Some states have enacted, or may enact, laws or regulations that prohibit inclusion of some provisions in mortgage loans that have mortgage rates or origination costs in excess of prescribed levels, and require that borrowers be given certain disclosures prior to the consummation of such mortgage loans. In some cases, state law may impose requirements and restrictions greater than those in the Homeownership Act. The failure of the originators to comply with these laws could subject the trust, and other assignees of the mortgage loans, to monetary penalties and could result in the borrowers rescinding such mortgage loans against either the trust or subsequent holders of the mortgage loans. Lawsuits have been brought in various states making claims against assignees of high cost loans for violations of state law. Named defendants in these cases include numerous participants within the secondary mortgage market, including some securitization trusts.
 
Under the anti-predatory lending laws of some states, the borrower is required to meet a net tangible benefits test in connection with the origination of the related mortgage loan. This test may be highly subjective and open to interpretation. As a result, a court may determine that a mortgage loan does not meet the test even if an originator reasonably believed that the test was satisfied. Any determination by a court that a mortgage loan does not meet the test will result in a violation of the state anti-predatory lending law, in which case the originator will be required to purchase such mortgage loan from the trust.
 
Your certificates will be limited obligations solely of the trust and not of any other party.
 
The certificates will not represent an interest in or obligation of the sponsor, the depositor, the servicers, the credit risk manager, the PMI Insurer, the trust administrator, the trustee or any of their respective affiliates. Neither the certificates nor the underlying mortgage loans will be guaranteed or insured by any governmental agency or instrumentality, or by the sponsor, the depositor, the servicers, the credit risk manager, the PMI Insurer, the trust administrator, the trustee or any of their respective affiliates. Proceeds of the assets included in the trust will be the sole source of distributions on the offered certificates, and there will be no recourse to the sponsor, the depositor, the servicers, the credit risk manager, the PMI Insurer, the trust administrator, the trustee or any other entity in the event that such proceeds are insufficient or otherwise unavailable to make all distributions provided for under the offered certificates.
 
The Cap Contract is subject to counterparty risk.
 
The assets of the trust will include the Cap Contract which will require the counterparty thereunder to make certain payments to the trust. To the extent that distributions on the Floating Rate Certificates depend in part on payments to be received by the trust administrator under the Cap Contract, the ability of the trust administrator to make such distributions on the Floating Rate Certificates will be subject to the credit risk of the counterparty to the Cap Contract. Although there will be a mechanism in place to facilitate replacement of the Cap Contract upon the default or credit impairment of the counterparty thereunder, there can be no assurance that any such mechanism will result in the ability of the trustee to obtain a suitable replacement Cap Contract.
 
Credit scores may not accurately predict the performance of the mortgage loans.
 
Credit scores are obtained by many lenders in connection with mortgage loan applications to help them assess a borrower’s creditworthiness. Credit scores are generated by models developed by a third party which analyzed data on consumers in order to establish patterns which are believed to be indicative of the borrower’s probability of default. The credit score is based on a borrower’s historical credit data, including, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. Credit scores range from approximately 250 to approximately 900, with higher scores indicating an individual with a more favorable credit history compared to an individual with a lower score. However, a credit score purports only to be a measurement of the relative degree of risk a borrower represents to a lender (i.e., a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score). Lenders have varying ways of analyzing credit scores and, as a result, the analysis of credit scores across the industry is not consistent. In addition, it should be noted that credit scores were developed to indicate a level of default probability over a two year period, which does not correspond to the life of a mortgage loan. Furthermore, credit scores were not developed specifically for use in connection with mortgage loans, but for consumer loans in general, and assess only the borrower’s past credit history. Therefore, a credit score does not take into consideration the effect of mortgage loan characteristics (which may differ from consumer loan characteristics) on the probability of repayment by the borrower. There can be no assurance that the credit scores of the mortgagors will be an accurate predictor of the likelihood of repayment of the related mortgage loans.
 
Potential inadequacy of credit enhancement for the offered certificates.
 
The credit enhancement features described in this prospectus supplement are intended to increase the likelihood that holders of the offered certificates will receive regular distributions of interest and/or principal. If delinquencies or defaults occur on the mortgage loans, neither the servicers nor any other entity will advance scheduled monthly payments of interest and principal on delinquent or defaulted mortgage loans if such advances are deemed unrecoverable. If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, the holders of the offered certificates may suffer losses.
 
Furthermore, although loan-level primary mortgage insurance coverage has been acquired on behalf of the trust from the PMI Insurer with respect to approximately 23.17% of the mortgage loans, such coverage will provide only limited protection against losses on defaulted covered mortgage loans. Unlike a financial guaranty policy, coverage under a mortgage insurance policy is subject to certain limitations and exclusions including, for example, losses resulting from fraud and physical damage to the mortgaged property and to certain conditions precedent to payment, such as notices and reports. As a result, coverage may be denied or limited on covered mortgage loans. In addition, since the amount of coverage depends on the loan-to-value ratio at the time of origination of the covered mortgage loan, a decline in the value of a mortgaged property will not result in increased coverage, and the trust may still suffer a loss on a covered mortgage loan. The PMI Insurer also may affect the timing and conduct of foreclosure proceedings and other servicing decisions regarding defaulted mortgage loans covered by the policy.
 
Under the PMI Policy, the amount of the claim generally will include interest to the date the claim is presented. However, the claim must be paid generally within 60 days thereafter. To the extent the servicer is required to continue making monthly advances after the claim is presented but before the claim is paid, reimbursement of these advances will reduce the amount of liquidation proceeds available for distribution to certificateholders.
 
Interest generated by the mortgage loans may be insufficient to maintain or restore overcollateralization.
 
The mortgage loans are expected to generate more interest than is needed to distribute interest owed on the Floating Rate Certificates and to pay certain fees and expenses of the trust. Any remaining interest generated by the mortgage loans will then be used to absorb losses that occur on the mortgage loans. After these financial obligations of the trust are covered, available excess interest generated by the mortgage loans will be used to maintain or restore overcollateralization, at the then-required level. We cannot assure you that sufficient interest will be generated by the mortgage loans to create overcollateralization or thereafter to maintain or restore overcollateralization at the required level. The factors described below will affect the amount of excess interest that the mortgage loans will generate:
 
•
 
Every time a mortgage loan is prepaid in full, liquidated or written off, excess interest may be reduced because such mortgage loan will no longer be outstanding and generating interest or, in the case of a partial prepayment, will be generating less interest. Prepayments and liquidations of mortgage loans with relatively higher mortgage rates will cause excess interest to be reduced to a greater degree than will prepayments and liquidations of mortgage loans with relatively lower mortgage rates.
 
•
 
If the rates of delinquencies, defaults or losses on the mortgage loans are higher than expected, excess interest will be reduced by the amount necessary to compensate for any shortfalls in cash available to make required distributions on the Floating Rate Certificates.
 
•
 
The adjustable-rate mortgage loans have mortgage rates that adjust less frequently than, and on the basis of indices that are different from the index used to determine, the pass-through rates on the Floating Rate Certificates, and the fixed-rate mortgage loans have mortgage rates that do not adjust. As a result, the pass-through rates on the Floating Rate Certificates may increase relative to mortgage rates on the mortgage loans, requiring that a greater portion of the interest generated by the mortgage loans be applied to cover interest on the Floating Rate Certificates.
 
•
 
The distribution priorities for the certificates will at times cause certain classes of Floating Rate Certificates with lower pass-through rates to amortize more rapidly than the classes of Floating Rate Certificates with higher pass-through rates, with resulting increases in the weighted average pass-through rate of the Floating Rate Certificates and corresponding decreases in the amount of excess interest.

The pass-through rates on the Floating Rate Certificates are subject to limitation.
 
The Floating Rate Certificates will accrue interest at a pass-through rate based on a one-month LIBOR index plus a specified margin, but the pass-through rate on every class of Floating Rate Certificates will be subject to a limit. The limit on the pass-through rates for the Floating Rate Certificates is generally based on the weighted average of the mortgage rates on the related mortgage loans, net of certain fees and expenses of the trust. As a result of the limit on the pass-through rates on the Floating Rate Certificates, such certificates may accrue less interest than they would accrue if their pass-through rates were calculated without regard to such limit.
 
A variety of factors could limit the pass-through rates and adversely affect the yields to maturity on the Floating Rate Certificates. Some of these factors are described below.
 
•
 
The pass-through rates for the Floating Rate Certificates will adjust monthly while the mortgage rates on the fixed-rate mortgage loans do not adjust and the mortgage rates on the adjustable-rate mortgage loans adjust less frequently. Furthermore, substantially all of the adjustable-rate mortgage loans will have the first adjustment to their mortgage rates two, three or five years after their origination. Consequently, the limits on the pass-through rates on the Floating Rate Certificates may prevent any increases in the pass-through rate on one or more classes of such certificates for extended periods in a rising interest rate environment.
 
•
 
If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher mortgage rates than on the mortgage loans with relatively lower mortgage rates, the pass-through rate on one or more classes of the Floating Rate Certificates is more likely to be limited.
 
•
 
The mortgage rates on the adjustable-rate mortgage loans may respond to different economic and market factors than does one-month LIBOR. It is possible that the mortgage rates on the adjustable-rate mortgage loans may decline while the pass-through rates on the Floating Rate Certificates are stable or rising. It is also possible that the mortgage rates on the adjustable-rate mortgage loans and the pass-through rates on the Floating Rate Certificates may both decline or increase during the same period, but that the pass-through rates on the Floating Rate Certificates may decline more slowly or increase more rapidly.

If the pass-through rate on any class of Floating Rate Certificates is limited for any distribution date, the resulting basis risk shortfalls may be recovered by the holders of those certificates on the same distribution date or on future distribution dates, to the extent that on such distribution date or future distribution dates there are any available funds remaining after certain other distributions on the certificates and the payment of certain fees and expenses of the trust. There can be no assurance that any basis risk shortfalls will be recovered, and the ratings on the offered certificates will not address the likelihood of any such recovery of basis risk shortfalls by holders of such certificates.
 
Amounts used to pay such shortfalls on the Floating Rate Certificates may be supplemented by the Cap Contract on any distribution date to the extent such amount is available in the priority described in this prospectus supplement. However, the amount received from the cap counterparty under the Cap Contract may be insufficient to pay the holders of the applicable certificates the full amount of interest which they would have received absent the limitations of the rate cap.
 
The limit on the pass-through rate on any class of Floating Rate Certificates may apply for extended periods, or indefinitely. If the pass-through rate on any class of Floating Rate Certificates is limited for any distribution date, the value of such class of certificates may be temporarily or permanently reduced.
 
The rate and timing of principal distributions on the Floating Rate Certificates will be affected by prepayment speeds.
 
The rate and timing of distributions allocable to principal on the Floating Rate Certificates will depend on the rate and timing of principal payments (including prepayments and collections upon defaults, liquidations and repurchases) on the mortgage loans and the allocation thereof to distribute principal on such certificates. As is the case with mortgage pass-through certificates generally, the Floating Rate Certificates will be subject to substantial inherent cash-flow uncertainties because the mortgage loans may be prepaid at any time. However, with respect to approximately 74.33% of the Group I Mortgage Loans and approximately 75.92% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 75.32% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date), a prepayment may subject the related mortgagor to a prepayment charge. A prepayment charge may or may not act as a deterrent to prepayment of the related mortgage loan. See “The Mortgage Pool” in this prospectus supplement.
 
The rate of prepayments on the mortgage loans will be sensitive to prevailing interest rates. Generally, when prevailing interest rates are increasing, prepayment rates on mortgage loans tend to decrease. A decrease in the prepayment rates on the mortgage loans will result in a reduced rate of return of principal to investors in the Floating Rate Certificates at a time when reinvestment at the higher prevailing rates would be desirable. Conversely, when prevailing interest rates are declining, prepayment rates on mortgage loans tend to increase. An increase in the prepayment rates on the mortgage loans will result in a greater rate of return of principal to investors in the Floating Rate Certificates at a time when reinvestment at comparable yields may not be possible. Furthermore, the adjustable-rate mortgage loans may prepay at different rates and in response to different factors than the fixed-rate mortgage loans. The inclusion of different types of mortgage loans in the mortgage pool may increase the difficulty in analyzing possible prepayment rates.
 
The originators or the sponsor may be required to repurchase mortgage loans from the trust in the event certain breaches of representations and warranties have not been cured. In addition, at its option, Wells Fargo Bank, JPMCB or Ocwen, in that order, may purchase all of the mortgage loans when the aggregate principal balance of the mortgage loans is less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. These purchases will have the same effect on the holders of the Floating Rate Certificates as a prepayment of the mortgage loans.
 
Furthermore, each servicer has the option to purchase mortgage loans serviced by it that become 90 days or more delinquent. In addition, each servicer may exercise such option on its own behalf or on behalf of another party which would benefit from the removal of such delinquent mortgage loans. Investors should note that the removal of any delinquent mortgage loan by any servicer from the trust may affect the loss and delinquency tests which determine the level of the overcollateralization target amount, which may adversely affect the market value of the Floating Rate Certificates. These purchases will have the same effect on the holders of the Floating Rate Certificates as a prepayment of the mortgage loans.
 
The multiple class structure of the Floating Rate Certificates causes the yields of such classes to be particularly sensitive to changes in the rates of prepayment of the mortgage loans. Because distributions of principal will be made to the holders of such certificates according to the priorities described in this prospectus supplement, the yields to maturity on the classes of Floating Rate Certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on such classes. The yields to maturity on each class of Floating Rate Certificates will also be extremely sensitive to losses due to defaults on the mortgage loans (and the timing thereof), to the extent such losses are not covered by excess interest, the Class CE Certificates, payments received under the Cap Contract or, in the case of a class of Class A Certificates, by the Mezzanine Certificates or, in the case of a class of Mezzanine Certificates, by Mezzanine Certificates with higher numerical class designations. Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the Floating Rate Certificates may be adversely affected by losses even if such classes of certificates do not ultimately bear such loss.
 
For further information regarding the effect of principal prepayments on the weighted average lives of the offered certificates, see “Yield on the Certificates” in this prospectus supplement, including the tables entitled “Percent of Initial Certificate Principal Balance Outstanding.”
 
The yield to maturity on the Floating Rate Certificates will depend on a variety of factors.
 
The yield to maturity on the Floating Rate Certificates will depend on: (i) the applicable pass-through rate thereon from time to time; (ii) the applicable purchase price; (iii) the rate and timing of principal payments (including prepayments and collections upon defaults, liquidations and repurchases) on the mortgage loans, and the allocation thereof to reduce the certificate principal balance of such certificates; (iv) the rate, timing and severity of realized losses on the mortgage loans; (v) adjustments to the mortgage rates on the adjustable-rate mortgage loans; (vi) the amount of excess interest generated by the mortgage loans; (vii) changes in twelve-month LIBOR, six-month LIBOR, one-month LIBOR and one-year CMT and (viii) the allocation to the Floating Rate Certificates of some types of interest shortfalls.
 
If the Floating Rate Certificates are purchased at a premium and principal distributions on these certificates occur at a rate faster than that assumed at the time of purchase, the investor’s actual yield to maturity will be lower than that assumed at the time of purchase. Conversely, if the Floating Rate Certificates are purchased at a discount and principal distributions on these certificates occur at a rate slower than that anticipated at the time of purchase, the investor’s actual yield to maturity will be lower than that originally assumed.
 
As a result of the absorption of realized losses on the mortgage loans by excess interest, overcollateralization and amounts received under the Cap Contract as described in this prospectus supplement, liquidations of defaulted mortgage loans, whether or not realized losses are allocated to the certificates upon such liquidations, will result in an earlier return of principal to the Floating Rate Certificates and will influence the yield on such certificates in a manner similar to the manner in which principal prepayments on the mortgage loans will influence the yield on such certificates.
 
Additional risks associated with the Mezzanine Certificates.
 
The weighted average lives of, and the yields to maturity on, the Mezzanine Certificates will be progressively more sensitive, in increasing order of their numerical class designations, to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans. If the actual rate and severity of losses on the mortgage loans is higher than those assumed by an investor in the Mezzanine Certificates, the actual yield to maturity of these certificates may be lower than the yield anticipated by the holder. The timing of losses on the mortgage loans will also affect an investor’s yield to maturity, even if the rate of defaults and severity of losses over the life of the mortgage pool are consistent with an investor’s expectations. In most cases, the earlier a loss occurs, the greater the effect on an investor’s yield to maturity. Realized losses on the mortgage loans, to the extent they exceed the amount of excess interest, overcollateralization and payments made under the Cap Contract, will reduce the certificate principal balance of the class of Mezzanine Certificate then outstanding with the highest numerical class designation. As a result of these reductions, less interest will accrue on these classes of certificates than would be the case if those losses were not so allocated. Once a realized loss is allocated to a Mezzanine Certificate, such written down amount will not be reinstated (except in the case of Subsequent Recoveries received while such certificate remains outstanding) and will not accrue interest. However, the amount of any realized losses allocated to the Mezzanine Certificates may be distributed to the holders of such certificates on a subordinated basis, without interest, according to the priorities set forth under “Description of the Certificates—Credit Enhancement—Overcollateralization Provisions” and “—Cap Contract” in this prospectus supplement.
 
Unless the aggregate certificate principal balance of the Class A Certificates has been reduced to zero, the Mezzanine Certificates will not be entitled to any principal distributions until at least January 2010 or a later date as described under “Description of the Certificates—Principal Distributions” in this prospectus supplement or during any period in which delinquencies or realized losses on the mortgage loans exceed the levels set forth under “Description of the Certificates—Principal Distributions” in this prospectus supplement. As a result, the weighted average lives of the Mezzanine Certificates will be longer than would be the case if distributions of principal were allocated among all of the certificates at the same time. As a result of the longer weighted average lives of the Mezzanine Certificates, the holders of these certificates have a greater risk of suffering a loss on their investments. Further, because the Mezzanine Certificates might not receive any principal if the delinquency levels or realized losses set forth under “Description of the Certificates—Principal Distributions” in this prospectus supplement are exceeded, it is possible for these certificates to receive no principal distributions on a particular distribution date even if no losses have occurred on the mortgage loans.
 
Interest Shortfalls and Relief Act Shortfalls.
 
When a mortgage loan is prepaid, the mortgagor is charged interest only up to the date on which payment is made, rather than for an entire month. This may result in a shortfall in interest collections available for distribution on the next distribution date. Each servicer is required to cover a portion of the shortfall in interest collections that are attributable to prepayments related to the mortgage loans serviced by it, but only in an amount up to the related servicer’s servicing fee actually received for the related calendar month. In addition, certain shortfalls in interest collections due to the application of the Servicemembers Civil Relief Act, or Relief Act, or due to the application of any state law providing for similar relief will not be covered by the servicers.
 
Any prepayment interest shortfalls to the extent not covered by compensating interest paid by the servicers and any interest shortfalls resulting from the application of the Relief Act for any distribution date will be allocated, first, to the Net Monthly Excess Cashflow and thereafter, to the interest distribution amounts with respect to the Floating Rate Certificates on a pro rata basis based on the respective amounts of interest accrued on such certificates for such distribution date. The holders of the Floating Rate Certificates will not be entitled to reimbursement for any such interest shortfalls.
 
Terrorist attacks and military action could adversely affect the yield on your certificates.
 
The terrorist attacks in the United States on September 11, 2001 suggest that there is an increased likelihood of future terrorist activity in the United States. In addition, current political tensions and military operations in the Middle East have resulted in a significant deployment of United States military personnel in the region. Investors should consider the possible effects of past and possible future terrorist attacks at home and abroad and any resulting military response by the United States on the delinquency, default and prepayment experience of the mortgage loans. In accordance with the applicable servicing standard set forth in the pooling and servicing agreement, the servicers may defer, reduce or forgive payments and delay foreclosure proceedings in respect of mortgage loans to borrowers affected in some way by past and possible future events.
 
In addition, the current deployment of United States military personnel in the Middle East and the activation of a substantial number of United States military reservists and members of the National Guard may significantly increase the proportion of mortgage loans whose mortgage rates are reduced by the application of the Relief Act. See “Legal Aspects of Mortgage Loans—Servicemembers Civil Relief” in the prospectus. Certain shortfalls in interest collection arising from the application of the Relief Act or any state law providing for similar relief will not be covered by the servicers.
 
An optional termination may adversely affect yields on the Floating Rate Certificates.
 
When the aggregate stated principal balance of the mortgage loans has been reduced to less than 10% of their aggregate stated principal balance as of the cut-off date, Wells Fargo Bank, JPMCB or Ocwen, in that order, may purchase all of the mortgage loans in the trust and cause an early retirement of the certificates. If this happens, the purchase price paid in connection with such termination, net of amounts payable or reimbursable to such servicer, the trust administrator or others, will be passed through to the related certificateholders. Any class of Floating Rate Certificates purchased at a premium could be adversely affected by an optional purchase of the mortgage loans. In addition, if the trust contains any REO properties at the time of any optional termination, it is possible that the purchase price paid in connection with such termination will be insufficient to result in the payment of the principal of and accrued interest on all classes of Floating Rate Certificates, and this could result in losses or shortfalls being incurred by the most subordinate then-outstanding classes of offered certificates. See “Pooling and Servicing Agreement—Termination” in this prospectus supplement.
 
The liquidity of your certificates may be limited.
 
The underwriter has no obligation to make a secondary market in the classes of offered certificates. There is therefore no assurance that a secondary market will develop or, if it develops, that it will continue. Consequently, you may not be able to sell your certificates readily or at prices that will enable you to realize your desired yield. The market values of the certificates are likely to fluctuate and these fluctuations may be significant and could result in significant losses to you.
 
The secondary markets for mortgage-backed securities have experienced periods of illiquidity and can be expected to do so in the future. Illiquidity can have a severely adverse effect on the prices of securities that are especially sensitive to prepayment, credit or interest rate risk, or that have been structured to meet the investment requirements of limited categories of investors.
 
Possible reduction or withdrawal of ratings on the offered certificates.
 
Each rating agency rating the offered certificates may change or withdraw its initial ratings at any time in the future if, in its judgment, circumstances warrant a change. A reduction in the claims paying ability of the PMI Insurer could result in a reduction in the ratings of the offered certificates. No person is obligated to maintain the ratings at their initial levels. If a rating agency reduces or withdraws its rating on one or more classes of the offered certificates, the liquidity and market value of the affected certificates is likely to be reduced.
 
Suitability of the offered certificates as investments.
 
The offered certificates are not suitable investments for any investor that requires a regular or predictable schedule of monthly payments or payment on any specific date. The offered certificates are complex investments that should be considered only by investors who, either alone or with their financial, tax and legal advisors, have the expertise to analyze the prepayment, reinvestment, default and market risk, the tax consequences of an investment and the interaction of these factors.
 
All capitalized terms used in this prospectus supplement will have the meanings assigned to them under “Description of the Certificates—Glossary” or in the prospectus under “Glossary.”
 
  AFFILIATIONS AND RELATED TRANSACTIONS
 
The depositor, the sponsor and the underwriter are direct wholly-owned subsidiaries of Citigroup Financial Products, Inc. The trust administrator is a direct wholly-owned subsidiary of Citicorp Holdings Inc., a Delaware corporation. Citigroup Financial Products Inc. and Citicorp Holdings Inc. are both wholly owned subsidiaries of Citigroup Inc.
 
There is not currently, and there was not during the past two years, any material business relationship, agreement, arrangement, transaction or understanding that is or was entered into outside the ordinary course of business or is or was on terms other than would be obtained in an arm’s length transaction with an unrelated third party, between (a) any of the sponsor, the depositor and the trust and (b) any of the servicers, the trust administrator, the trustee or the originator.
 
  USE OF PROCEEDS
 
The sponsor will sell the mortgage loans to the depositor, and the depositor will convey the mortgage loans to the trust in exchange for and concurrently with the delivery of the certificates. Net proceeds from the sale of the certificates will be applied by the depositor to the purchase of the mortgage loans from the sponsor. These net proceeds, together with the Class CE Certificates and Class P Certificates will represent the purchase price to be paid by the depositor to the sponsor for the mortgage loans. The sponsor will have acquired the mortgage loans prior to the sale of the mortgage loans to the depositor.
 
  THE MORTGAGE POOL
 
The statistical information presented in this prospectus supplement relates to the mortgage loans and related mortgaged properties in the aggregate and in each loan group as of the cut-off date, as adjusted for scheduled principal payments due on or before the cut-off date whether or not received. Prior to the issuance of the certificates, mortgage loans may be removed from the mortgage pool as a result of incomplete documentation or otherwise if the depositor deems such removal necessary or desirable. In addition, mortgage loans may be prepaid at any time. A limited number of other mortgage loans may be included in the mortgage pool prior to the issuance of the certificates unless including such mortgage loans would materially alter the characteristics of the mortgage loans in the mortgage pool as described in this prospectus supplement.
 
The depositor believes that the information set forth in this prospectus supplement with respect to the mortgage loans in the aggregate and in each loan group will be representative of the characteristics of the mortgage pool and each such loan group as it will be constituted at the time the certificates are issued, although the range of mortgage rates and maturities and certain other characteristics of the mortgage loans may vary. Any statistic presented on a weighted average basis or any statistic based on the aggregate principal balance of the mortgage loans is subject to a variance of plus or minus 5%.
 
If any material pool characteristic of the Mortgage Loans on the closing date differs by more than 5% or more from the description of the Mortgage Loans in this prospectus supplement, the depositor will file updated pool characteristics by Form 8-K within four days following the closing date.
 
Unless otherwise noted, all statistical percentages or weighted averages set forth in this prospectus supplement are measured as a percentage of the aggregate principal balance of the mortgage loans in the related loan group or in the aggregate as of the cut-off date.
 
General Description of the Mortgage Loans
 
The trust will consist of a pool of one- to four- family, fixed-rate and adjustable-rate, first lien and second lien residential mortgage loans which will be divided into two loan groups consisting of loan group I containing mortgage loans that conform to Fannie Mae loan limits at origination and loan group II containing mortgage loans that may or may not conform to Fannie Mae loan limits at origination. In addition, certain of the conforming balance mortgage loans included in loan group II might otherwise have been included in loan group I, but were excluded from loan group I because they did not meet Fannie Mae criteria (including published guidelines) for factors other than principal balance.
 
The mortgage pool will consist of 3,626 conventional, one- to four-family, adjustable-rate and fixed-rate mortgage loans secured by first liens and second liens on residential real properties and having an aggregate principal balance as of the cut-off date of approximately $739,473,750 after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 10%. The Group I Mortgage Loans will consist of 1,694 conventional, one- to four-family, adjustable-rate and fixed-rate mortgage loans secured by first liens and second liens on residential real properties and having an aggregate principal balance as of the cut-off date of approximately $280,059,122 after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 10%. The Group II Mortgage Loans will consist of 1,932 conventional, one- to four-family, adjustable-rate and fixed-rate mortgage loans secured by first liens and second liens on residential real properties and having an aggregate principal balance as of the cut-off date of approximately $459,414,629 after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 10%. The mortgage loans have original terms to maturity of not greater than 30 years.
 
The mortgage loans are secured by first or second mortgages or deeds of trust or other similar security instruments creating first or second liens on one- to four-family residential properties consisting of one- to four-family dwelling units, individual condominium units and planned unit developments. The mortgage loans will be acquired by the depositor from the sponsor in the manner described in this prospectus supplement.
 
Approximately 62.84% of the Mortgage Loans were originated by New Century Mortgage Corporation generally in accordance with its underwriting guidelines then in effect. Approximately 10.65% of the Mortgage Loans were originated by LIME Financial Services, Ltd. generally in accordance with its underwriting guidelines then in effect. Approximately 10.37% of the Mortgage Loans were originated by Quick Loan Funding, Inc. or acquired by Quick Loan Funding, Inc. from correspondent lenders after re-underwriting such acquired Mortgage Loans generally in accordance with its underwriting guidelines then in effect. Approximately 5.26% of the Mortgage Loans were originated by Master Financial, Inc. generally in accordance with its underwriting guidelines then in effect. Approximately 4.89% of the Mortgage Loans were originated by Meritage Mortgage Corporation generally in accordance with its underwriting guidelines then in effect. Approximately 4.80% of the Mortgage Loans were originated by Wells Fargo Bank, N.A. generally in accordance with its underwriting guidelines then in effect. Approximately 0.70% of the Mortgage Loans were originated by WMC Mortgage Corp. generally in accordance with its underwriting guidelines then in effect. Approximately 0.26% of the Mortgage Loans were originated by National City Mortgage Co. or acquired by National City Mortgage Co. from correspondent lenders after re-underwriting such acquired Mortgage Loans generally in accordance with its underwriting guidelines then in effect. Approximately 0.22% of the Mortgage Loans were originated by MortgageIT, Inc. or acquired by MortgageIT, Inc. from correspondent lenders after re-underwriting such acquired Mortgage Loans generally in accordance with its underwriting guidelines then in effect.
 
Each mortgage loan will accrue interest at the fixed-rate or the adjustable-rate calculated as specified under the terms of the related mortgage note. Approximately 81.04% of the Mortgage Loans are adjustable-rate mortgage loans and approximately 18.96% of the Mortgage Loans are fixed-rate mortgage loans. Approximately 76.45% of the Group I Mortgage Loans are adjustable-rate mortgage loans and approximately 23.55% of the Group I Mortgage Loans are fixed-rate mortgage loans. Approximately 83.83% of the Group II Mortgage Loans are adjustable -rate mortgage loans and approximately 16.17% of the Group II Mortgage Loans are fixed-rate mortgage loans.
 
Each fixed-rate mortgage loan has a mortgage rate that is fixed for the life of such mortgage loan.
 
Each adjustable-rate mortgage loan accrues interest at a mortgage rate that is adjustable. Generally, the adjustable-rate mortgage loans provide for semi-annual adjustment to their mortgage rates; provided, however, that (i) the first adjustment of the rates for approximately 86.96% of the adjustable-rate Group I Mortgage Loans and approximately 89.99% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate mortgage loans in the related loan group as of the cut-off date) and approximately 88.91% of the adjustable-rate mortgage loans (by aggregate principal balance of the adjustable-rate mortgage loans as of the cut-off date), will not occur until after an initial period of approximately two years from the date of origination, (ii) the first adjustment of the rates for approximately 12.88% of the adjustable-rate Group I Mortgage Loans and approximately 9.00% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate mortgage loans in the related loan group as of the cut-off date) and approximately 10.38% of the adjustable-rate mortgage loans (by aggregate principal balance of the adjustable-rate mortgage loans as of the cut-off date), will not occur until after an initial period of approximately three years from the date of origination and (iii) the first adjustment of the rates for approximately 0.16% of the adjustable-rate Group I Mortgage Loans and approximately 0.97% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate mortgage loans in the related loan group as of the cut-off date) and approximately 0.68% of the adjustable-rate mortgage loans (by aggregate principal balance of the adjustable-rate mortgage loans as of the cut-off date), will not occur until after an initial period of approximately five years from the date of origination. Such adjustable-rate mortgage loans are referred to in this prospectus supplement as “delayed first adjustment mortgage loans.” In connection with each mortgage rate adjustment, the adjustable-rate mortgage loans have corresponding adjustments to their monthly payment amount, in each case on each applicable adjustment date. On each adjustment date, the mortgage rate on each adjustable-rate mortgage loan will be adjusted to equal the sum, rounded to the nearest multiple of 0.125%, of the index and a fixed percentage amount, or gross margin, for that mortgage loan specified in the related mortgage note. However, the mortgage rate on each adjustable-rate mortgage loan will generally not increase or decrease by more than 1.000% to 2.000% per annum, on any related adjustment date after the first adjustment date and will not exceed a specified maximum mortgage rate over the life of the mortgage loan or be less than a specified minimum mortgage rate over the life of the mortgage loan. Effective with the first monthly payment due on each adjustable-rate mortgage loan after each related adjustment date, the monthly payment amount will be adjusted to an amount that will amortize fully the outstanding principal balance of that mortgage loan over its remaining term and pay interest at the mortgage rate as so adjusted. Due to the application of the periodic rate caps and the maximum mortgage rates, the mortgage rate on each adjustable-rate mortgage loan, as adjusted on any related adjustment date, may be less than the sum of the index, calculated as described in this prospectus supplement, and the related gross margin. See “—The Index” in this prospectus supplement. None of the adjustable-rate mortgage loans permits the related mortgagor to convert the adjustable mortgage rate thereon to a fixed mortgage rate.
 
Approximately 5.27% of the Group I Mortgage Loans, approximately 29.74% of the Group II Mortgage Loans and approximately 20.48% of the mortgage loans provide that for a period of 60 or 120 months after origination, the required monthly payments are limited to accrued interest. At the end of such period, the monthly payments on each such mortgage loan will be recalculated to provide for amortization of the principal balance by the maturity date and payment of interest at the then-current mortgage rate.
 
Approximately 74.33% of the Group I Mortgage Loans, approximately 75.92% of the Group II Mortgage Loans and approximately 75.32% of the mortgage loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments as provided in the related mortgage note. These mortgage loans provide for payment of a prepayment charge on some partial prepayments and all prepayments in full made within a specified period not in excess of three years from the date of origination of the mortgage loan, as provided in the related mortgage note. The amount of the prepayment charge is as provided in the related mortgage note, but, in most cases, is equal to six month’s interest on any amounts prepaid in excess of 20% of the original principal balance of the related mortgage loan in any 12 month period, as permitted by law. The holders of the Class P Certificates will be entitled to all prepayment charges received on the mortgage loans, and these amounts will not be available for distribution on the offered certificates. Under the limited instances described under the terms of the pooling and servicing agreement, the servicers may waive the payment of any otherwise applicable prepayment charge. Investors should conduct their own analysis of the effect, if any, that the prepayment charges, and decisions by the servicers with respect to the waiver of the prepayment charges, may have on the prepayment performance of the mortgage loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982, or Parity Act, which regulates the ability of the originator to impose prepayment charges, was amended, and as a result, the originator will be required to comply with state and local laws in originating mortgage loans with prepayment charge provisions with respect to loans originated on or after July 1, 2003. The depositor makes no representations as to the effect that the prepayment charges, decisions by the servicers with respect to the waiver thereof and the recent amendment of the Parity Act, may have on the prepayment performance of the mortgage loans. However, the Office of Thrift Supervision’s ruling does not retroactively affect loans originated before July 1, 2003. See “Legal Aspects of Mortgage Loans—Enforceability of Provisions—Prepayment Charges and Prepayments” in the prospectus.
 
Approximately 100.00% of the mortgage loans have scheduled monthly payments due on the first day of the month and none of the mortgage loans have scheduled monthly payments due between the second day of the month and the thirtieth day of the month, the applicable day is referred to as the “due date” with respect to each mortgage loan. Each mortgage loan will contain a customary “due-on-sale” clause.
 
None of the mortgage loans are buydown mortgage loans.
 
Mortgage Loan Statistics for all Mortgage Loans
 
The average principal balance of the mortgage loans as of the cut-off date was approximately $203,937. No mortgage loan had a principal balance as of the cut-off date of greater than approximately $1,200,000 or less than approximately $7,118.
 
The mortgage loans had mortgage rates as of the cut-off date ranging from approximately 5.625% per annum to approximately 15.874% per annum, and the weighted average mortgage rate for the mortgage loans was approximately 8.386% per annum.
 
As of the cut-off date, the adjustable-rate mortgage loans had gross margins ranging from approximately 2.125% per annum to approximately 9.875% per annum, minimum mortgage rates ranging from approximately 2.125% per annum to approximately 12.775% per annum and maximum mortgage rates ranging from approximately 11.950% per annum to approximately 19.775% per annum. As of the cut-off date, with respect to the adjustable-rate mortgage loans, the weighted average gross margin was approximately 6.106% per annum, the weighted average minimum mortgage rate was approximately 7.951% per annum and the weighted average maximum mortgage rate was approximately 15.016% per annum. The latest first adjustment date following the cut-off date on any adjustable-rate mortgage loan occurs in October 2011 and the weighted average next adjustment date for all of the adjustable-rate mortgage loans following the cut-off date is November 2008.
 
The weighted average original fully combined loan-to-value ratio of the mortgage loans as of the cut-off date was approximately 87.39%. As of the cut-off date, no mortgage loan had an original fully combined loan-to-value ratio greater than 100.00% or less than approximately 13.97%. The original fully combined loan-to-value ratio of a mortgage loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the mortgage loan at origination plus the principal balance of any related junior or senior lien mortgage loan (in either case whether or not it was included in the trust) over the value of the related mortgaged property determined at origination.
 
The weighted average remaining term to stated maturity of the mortgage loans was approximately 354 months as of the cut-off date. None of the mortgage loans will have a first due date prior to May 2005 or after December 2006, or will have a remaining term to stated maturity of less than 119 months or greater than 359 months as of the cut-off date. The latest maturity date of any mortgage loan is November 2036.
 
The weighted average credit score of the mortgage loans (not including any mortgage loan for which a credit score was unavailable) is approximately 625.
 
The mortgage loans, the Group I Mortgage Loans and the Group II Mortgage Loans are expected to have the characteristics as set forth in Annex II to this prospectus supplement as of the cut-off date, but investors should note that the sum in any column may not equal the total indicated due to rounding. The “Weighted Average FICO” column heading in the tables in Annex II refers to the weighted average credit score of only the mortgage loans in the applicable subset for which credit scores were available. The “Weighted Average Original CLTV” column heading in the tables in Annex II refers to the principal balance of the mortgage loan at origination plus the principal balance of any senior lien mortgage loan (as applicable) divided by the value of the related mortgaged property determined at origination.
 
Group I Mortgage Loan Statistics
 
The average principal balance of the Group I Mortgage Loans as of the cut-off date was approximately $165,324. No Group I Mortgage Loan had a principal balance as of the cut-off date of greater than approximately $616,370 or less than approximately $17,959.
 
The Group I Mortgage Loans had mortgage rates as of the cut-off date ranging from approximately 5.625% per annum to approximately 12.900% per annum, and the weighted average mortgage rate for the Group I Mortgage Loans was approximately 8.432% per annum.
 
As of the cut-off date, the adjustable-rate Group I Mortgage Loans had gross margins ranging from approximately 3.375% per annum to approximately 7.938% per annum, minimum mortgage rates ranging from approximately 3.375% per annum to approximately 12.775% per annum and maximum mortgage rates ranging from approximately 11.950% per annum to approximately 19.775% per annum. As of the cut-off date, with respect to the adjustable-rate Group I Mortgage Loans, the weighted average gross margin was approximately 6.336% per annum, the weighted average minimum mortgage rate was approximately 8.424% per annum and the weighted average maximum mortgage rate was approximately 15.274% per annum. The latest first adjustment date following the cut-off date on any adjustable-rate Group I Mortgage Loan occurs in July 2011 and the weighted average next adjustment date for all of the adjustable-rate Group I Mortgage Loans following the cut-off date is November 2008.
 
The weighted average original fully combined loan-to-value ratio of the Group I Mortgage Loans as of the cut-off date was approximately 81.75%. As of the cut-off date, no Group I Mortgage Loan had an original combined loan-to-value ratio greater than 100.00% or less than approximately 15.69%. The original combined loan-to-value ratio of a Group I Mortgage Loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the mortgage loan at origination plus the principal balance of any related junior or senior lien mortgage loan over the value of the related mortgaged property determined at origination.
 
The weighted average remaining term to stated maturity of the Group I Mortgage Loans was approximately 355 months as of the cut-off date. None of the Group I Mortgage Loans will have a first due date prior to October 2005 or after December 2006, or will have a remaining term to stated maturity of less than 166 months or greater than 359 months as of the cut-off date. The latest maturity date of any Group I Mortgage Loan is November 2036.
 
The weighted average credit score of the Group I Mortgage Loans is approximately 603.
 
Group II Mortgage Loan Statistics
 
The average principal balance of the Group II Mortgage Loans as of the cut-off date was approximately $237,792. No Group II Mortgage Loan had a principal balance as of the cut-off date of greater than approximately $1,200,000 or less than approximately $7,118.
 
The Group II Mortgage Loans had mortgage rates as of the cut-off date ranging from approximately 5.625% per annum to approximately 15.874% per annum, and the weighted average mortgage rate for the Group II Mortgage Loans was approximately 8.358% per annum.
 
As of the cut-off date, the adjustable-rate Group II Mortgage Loans had gross margins ranging from approximately 2.125% per annum to approximately 9.875% per annum, minimum mortgage rates ranging from approximately 2.125% per annum to approximately 12.050% per annum and maximum mortgage rates ranging from approximately 12.150% per annum to approximately 19.050% per annum. As of the cut-off date, with respect to the adjustable-rate Group II Mortgage Loans, the weighted average gross margin was approximately 5.978% per annum, the weighted average minimum mortgage rate was approximately 7.688% per annum and the weighted average maximum mortgage rate was approximately 14.872% per annum. The latest first adjustment date following the cut-off date on any adjustable-rate Group II Mortgage Loan occurs in October 2011 and the weighted average next adjustment date for all of the adjustable-rate Group II Mortgage Loans following the cut-off date is October 2008.
 
The weighted average original fully combined loan-to-value ratio of the Group II Mortgage Loans as of the cut-off date was approximately 90.82%. As of the cut-off date, no Group II Mortgage Loan had an original combined loan-to-value ratio greater than 100.00% or less than approximately 13.97%. The original combined loan-to-value ratio of a Group II Mortgage Loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the mortgage loan at origination plus the principal balance of any related junior or senior lien mortgage loan over the value of the related mortgaged property determined at origination.
 
The weighted average remaining term to stated maturity of the Group II Mortgage Loans was approximately 353 months as of the cut-off date. None of the Group II Mortgage Loans will have a first due date prior to May 2005 or after December 2006, or will have a remaining term to stated maturity of less than 119 months or greater than 359 months as of the cut-off date. The latest maturity date of any Group II Mortgage Loan is November 2008.
 
The weighted average credit score of the Group II Mortgage Loans is approximately 639.
 
The Index
 
As of any adjustment date, the index applicable to the determination of the mortgage rate on the adjustable-rate mortgage loans will be six-month LIBOR, twelve-month LIBOR and one-year CMT.
 
The six-month LIBOR index is the rate for six-month U.S. dollar denominated deposits offered in the London interbank market as determined in accordance with the related mortgage note. In the event such index is no longer available, the related servicer will select a substitute index in accordance with the terms of the related mortgage note and in compliance with federal and state law.
 
The twelve-month LIBOR index is the rate for one-year U.S. dollar denominated deposits offered in the London interbank market as determined in accordance with the related mortgage note. In the event such index is no longer available, the related servicer will select a substitute index in accordance with the terms of the related mortgage note and in compliance with federal and state law.
 
The one-year CMT index is the weekly average yields on U.S. Treasury Securities, adjusted to constant maturities of one year. Yields on U.S. Treasury securities are estimated from the U.S. Treasury’s daily yield curve. This curve, which relates the yield on a security to its time to maturity, is based on the closing market bid yields on actively-traded U.S. Treasury securities in the over-the-counter market. These market yields are calculated from composites of quotations reported by five leading U.S. Treasury securities dealers to the Federal Reserve Bank of New York. The constant yield values are read from the yield curve at fixed maturities. This method permits, for example, estimations of the yield for a one-year maturity even if no outstanding security has exactly one year remaining to maturity. Historical quotations for the One-Year Constant Maturity Treasury Index can be found at the internet website of the Board of Governors of the Federal Reserve System. In the event such index is no longer available, the related servicer will select a substitute index in accordance with the terms of the related mortgage note and in compliance with federal and state law.
 
  STATIC POOL INFORMATION
 
The Depositor has made available, on its internet website located at https://www2.citimortgage.com/Remic/securitydata.do?DATA_SELECTION=abReportsShelf, static pool information previously securitized pools of the sponsor beginning in 2005, which information is incorporated by reference into this prospectus supplement. The static pool information includes (i) information about the characteristics of the mortgage loans included in the previously securitized pools and (ii) delinquency, loss and prepayment information about such mortgage loans in monthly increments through October 2006. The static pool information about previously securitized pools of the sponsor that were established before January 1, 2006 is not deemed to be a part of this prospectus supplement, the prospectus or the related registration statement.
 
There can be no assurance that the rates of delinquencies, losses and prepayments experienced by the prior securitized pools will be comparable to delinquencies, losses and prepayments expected to be experienced by the mortgage loans owned by the trust.
 
  THE ORIGINATORS
 
Approximately 62.84% of the Mortgage Loans were originated by New Century Mortgage Corporation. Approximately 10.65% of the Mortgage Loans were originated by LIME Financial Services, Ltd. Approximately 10.37% of the Mortgage Loans were originated by Quick Loan Funding, Inc. Approximately 5.26% of the Mortgage Loans were originated by Master Financial, Inc. Approximately 4.89% of the Mortgage Loans were originated by Meritage Mortgage Corporation. Approximately 4.80% of the Mortgage Loans were originated by Wells Fargo Bank, N.A.. Approximately 0.70% of the Mortgage Loans were originated by WMC Mortgage Corp. Approximately 0.26% of the Mortgage Loans were originated by National City Mortgage Co. Approximately 0.22% of the Mortgage Loans were originated by MortgageIT, Inc.
 
The mortgage loans were originated or acquired by the related originator in accordance with the underwriting guidelines established by it. The following is a general summary of the underwriting guidelines for New Century Mortgage Corporation believed by the depositor to have been generally applied, with some variation, by New Century Mortgage Corporation for the mortgage loans originated by it. This summary does not purport to be a complete description of the underwriting standards of New Century Mortgage Corporation or any other originator.
 
General
 
The information set forth in this section (other than the immediately following paragraph) regarding the general information of New Century Mortgage Corporation (“New Century”) has been provided by New Century to the depositor.
 
New Century is a wholly-owned subsidiary of New Century Financial Corporation, a publicly traded company. Founded in 1995 and headquartered in Irvine, California, New Century Financial Corporation is a real estate investment trust and one of the nation’s premier full service mortgage finance companies, providing first and second mortgage products to borrowers nationwide. New Century Financial Corporation offers a broad range of mortgage products designed to meet the needs of all borrowers.
 
New Century is a consumer finance and mortgage banking company that originates, purchases, sells and services first-lien and second-lien mortgage loans and other consumer loans. New Century emphasizes the origination of mortgage loans that are commonly referred to as non-conforming “B&C” loans or subprime loans.
 
As of June 30, 2006, New Century Financial Corporation employed approximately 7,100 associates and originated loans through its wholesale network of more than 53,000 independent mortgage brokers through 33 regional processing centers operating in 19 states. Its retail network operates through 246 sales offices in 35 states. For the quarter ending June 30, 2006, New Century Financial Corporation originated $29.6 billion in mortgage loans.
 
Underwriting Standards of New Century
 
The mortgage loans originated or acquired by New Century were done so in accordance with the underwriting guidelines established by it (collectively, the “New Century Underwriting Guidelines”). The following is a general summary of the New Century Underwriting Guidelines believed to be generally applied, with some variation, by New Century. This summary does not purport to be a complete description of the underwriting standards of New Century.
 
The New Century Underwriting Guidelines are primarily intended to assess the borrower’s ability to repay the mortgage loan, to assess the value of the mortgaged property and to evaluate the adequacy of the property as collateral for the mortgage loan. All of the mortgage loans were also underwritten with a view toward the resale of the mortgage loans in the secondary mortgage market. While New Century’s primary consideration in underwriting a mortgage loan is the value of the mortgaged property, New Century also considers, among other things, a mortgagor’s credit history, repayment ability and debt service-to-income ratio, as well as the type and use of the mortgaged property. The mortgage loans, in most cases, bear higher rates of interest than mortgage loans that are originated in accordance with Fannie Mae and Freddie Mac standards, which is likely to result in rates of delinquencies and foreclosures that are higher, and that may be substantially higher, than those experienced by portfolios of mortgage loans underwritten in a more traditional manner. As a result of New Century’s underwriting criteria, changes in the values of the related mortgaged properties may have a greater effect on the delinquency, foreclosure and loss experience on the mortgage loans than these changes would be expected to have on mortgage loans that are originated in a more traditional manner. No assurance can be given that the values of the related Mortgaged Properties have remained or will remain at the levels in effect on the dates of origination of the related mortgage loans. In addition, there can be no assurance that the value of the related Mortgaged Property estimated in any appraisal or review is equal to the actual value of that mortgaged property at the time of that appraisal or review.
 
The mortgage loans will have been originated in accordance with the New Century Underwriting Guidelines. On a case-by-case basis, exceptions to the New Century Underwriting Guidelines are made where compensating factors exist. It is expected that a substantial portion of the mortgage loans will represent these exceptions.
 
Each applicant completes an application that includes information with respect to the applicant’s liabilities, income, credit history, employment history and personal information. The New Century Underwriting Guidelines require a credit report on each applicant from a credit reporting company. The report typically contains information relating to matters such as credit history with local and national merchants and lenders, installment debt payments and any record of defaults, bankruptcies, repossessions or judgments. Mortgaged properties that are to secure mortgage loans generally are appraised by qualified independent appraisers. These appraisers inspect and appraise the subject property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report that includes a market value analysis based on recent sales of comparable homes in the area and, when deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and are generally on forms acceptable to Fannie Mae and Freddie Mac. The New Century Underwriting Guidelines require a review of the appraisal by a qualified employee of New Century or by an appraiser retained by New Century. New Century uses the value as determined by the review in computing the loan-to-value ratio of the related mortgage loan if the appraised value of a mortgaged property, as determined by a review, is (i) more than 10% greater but less than 25% lower than the value as determined by the appraisal for mortgage loans having a loan-to-value ratio or a combined loan-to-value ratio of up to 90%, and (ii) more than 5% greater but less than 25% lower than the value as determined by the appraisal for mortgage loans having a loan-to-value ratio or a combined loan-to-value ratio of between 91-95%. For mortgage loans having a loan-to-value ratio or a combined loan-to-value ratio greater than 95%, the appraised value as determined by the review is used in computing the loan-to-value ratio of the related mortgage loan. If the appraised value of a mortgaged property as determined by a review is 25% or more lower than the value as determined by the appraisal, then New Century obtains a new appraisal and repeats the review process.
 
The mortgage loans were originated consistent with and generally conform to the New Century Underwriting Guidelines’ full documentation, limited documentation and stated income documentation residential loan programs. Under each of the programs, New Century reviews the applicant’s source of income, calculates the amount of income from sources indicated on the loan application or similar documentation, reviews the credit history of the applicant, calculates the debt service-to-income ratio to determine the applicant’s ability to repay the loan, reviews the type and use of the property being financed, and reviews the property. In determining the ability of the applicant to repay the loan, a qualifying rate has been created under the New Century Underwriting Guidelines that generally is equal to the interest rate on that loan. The New Century Underwriting Guidelines require that mortgage loans be underwritten in a standardized procedure which complies with applicable federal and state laws and regulations and requires New Century’s underwriters to be satisfied that the value of the property being financed, as indicated by an appraisal and a review of the appraisal, currently supports the outstanding loan balance. In general, the maximum loan amount for mortgage loans originated under the programs is $1,500,000 (additional requirements may be imposed in connection with mortgage loans in excess of $1,500,000). The New Century Underwriting Guidelines generally permit loans on one- to four-family residential properties to have a loan-to-value ratio at origination of up to 95% with respect to first liens loans. The maximum loan-to-value ratio depends on, among other things, the purpose of the mortgage loan, a borrower’s credit history, home ownership history, mortgage payment history or rental payment history, repayment ability and debt service-to-income ratio, as well as the type and use of the property. With respect to mortgage loans secured by mortgaged properties acquired by a mortgagor under a “lease option purchase,” the loan-to-value ratio of the related mortgage loan is based on the lower of the appraised value at the time of origination of the mortgage loan or the sale price of the related mortgaged property if the “lease option purchase price” was set less than 12 months prior to origination and is based on the appraised value at the time of origination if the “lease option purchase price” was set 12 months or more prior to origination.
 
The New Century Underwriting Guidelines require that the income of each applicant for a mortgage loan under the full documentation program be verified. The specific income documentation required for New Century’s various programs is as follows: under the full documentation program, applicants usually are required to submit one written form of verification of stable income for at least 12 months from the applicant’s employer for salaried employees and 24 months for self-employed applicants; under the limited documentation program, applicants usually are required to submit verification of stable income for at least 6 months, such as 6 consecutive months of complete personal checking account bank statements, and under the stated income documentation program, an applicant may be qualified based upon monthly income as stated on the mortgage loan application if the applicant meets certain criteria. All the foregoing programs require that, with respect to salaried employees, there be a telephone verification of the applicant’s employment. Verification of the source of funds, if any, that are required to be deposited by the applicant into escrow in the case of a purchase money loan is required.
 
In evaluating the credit quality of borrowers, New Century utilizes credit bureau risk scores, or a FICO score, a statistical ranking of likely future credit performance developed by Fair, Isaac & Company and the three national credit data repositories: Equifax, TransUnion and Experian.
 
The New Century Underwriting Guidelines have the following categories and criteria for grading the potential likelihood that an applicant will satisfy the repayment obligations of a mortgage loan:
 
“AA” Risk. Under the “AA” risk category, the applicant must have a FICO score of 500, or greater, based on loan-to-value ratio and loan amount. Two or more tradelines (one of which with 24 months history and no late payments), are required for loan-to-value ratios above 90%. The borrower must have no late mortgage payments within the last 12 months on an existing mortgage loan. No bankruptcy may have occurred during the preceding two years for borrowers with a FICO score of less than 620; provided, however, that a Chapter 7 bankruptcy for a borrower with a FICO score in excess of 550 (or 580 under the stated income documentation program) may have occurred as long as such bankruptcy is discharged at least one day prior to funding of the loan. A maximum loan-to-value ratio of 90% is permitted with respect to borrowers with Chapter 7 bankruptcy, which Chapter 7 bankruptcy is discharged at least one day prior to loan funding. A borrower in Chapter 13 bankruptcy may discharge such bankruptcy with the proceeds of the borrower’s loan (any such loan may not exceed a 90% loan-to-value ratio), provided that such borrower has a FICO score of at least 550 (or 580 with respect to stated income documentation programs). No notice of default filings or foreclosures (or submission of deeds in lieu of foreclosures) may have occurred during the preceding two years. The mortgaged property must be in at least average condition. A maximum loan-to-value ratio of 95%, is permitted for a mortgage loan on a single family owner occupied or two unit property. A maximum loan-to-value ratio of 90% is permitted for a mortgage loan on a non-owner occupied property, an owner occupied high-rise condominium or a three to four family residential property. The maximum loan-to-value ratio for rural, remote or unique properties is 85%. The maximum combined loan-to-value ratio, including any related subordinate lien, is 100%, for either a refinance loan or a purchase money loan. The maximum debt service-to-income ratio is usually 50% unless the loan-to-value ratio is reduced.
 
“A+” Risk. Under the “A+” risk category, the applicant must have a FICO score of 500, or greater, based on loan-to-value ratio and loan amount. Two or more tradelines (one of which with 24 months history and no late payments), are required for loan-to-value ratios above 90%. A maximum of one 30 day late payment within the last 12 months is acceptable on an existing mortgage loan. No bankruptcy may have occurred during the preceding two years for borrowers with FICO scores of less than 640; provided, however, that a Chapter 7 bankruptcy for a borrower with a FICO score in excess of 550 (or 580 under the stated income documentation program) may have occurred as long as such bankruptcy is discharged at least one day prior to funding of the loan. A maximum loan-to-value ratio of 90% is permitted with respect to borrowers with Chapter 7 bankruptcy, which Chapter 7 bankruptcy is discharged at least one day prior to loan funding. A borrower in Chapter 13 bankruptcy may discharge such bankruptcy with the proceeds of the borrower’s loan (any such loan may not exceed a 90% loan-to-value ratio), provided that such borrower has a FICO score of at least 550 (or 580 with respect to stated income documentation programs). No notice of default filings or foreclosures (or submission of deeds in lieu of foreclosures) may have occurred during the preceding two years. The mortgaged property must be in at least average condition. A maximum loan-to-value ratio of 95% (or 90% for mortgage loans originated under the stated income documentation program), is permitted for a mortgage loan on a single family owner occupied or two unit property. A maximum loan-to-value ratio of 90% is permitted for a mortgage loan on a non owner occupied property, an owner occupied high-rise condominium or a three to four family residential property. The maximum loan-to-value ratio for rural, remote or unique properties is 85%. The maximum combined loan-to-value ratio, including any related subordinate lien, is 100%, for either a refinance loan or a purchase money loan. The maximum debt service-to-income ratio is usually 50% unless the loan-to-value ratio is reduced.
 
“A” Risk. Under the “A” risk category, an applicant must have a FICO score of 500, or greater, based on loan-to-value ratio and loan amount. A maximum of three 30 day late payment and no 60 day late payments within the last 12 months is acceptable on an existing mortgage loan. No bankruptcy may have occurred during the preceding two years for borrowers with FICO scores of less than 660; provided, however, that a Chapter 7 bankruptcy for a borrower with a FICO score in excess of 550 (or 580 under the stated income documentation program) may have occurred as long as such bankruptcy is discharged at least one day prior to funding of the loan. A maximum loan-to-value ratio of 90% is permitted with respect to borrowers with Chapter 7 bankruptcy, which Chapter 7 bankruptcy is discharged at least one day prior to loan funding. A borrower in Chapter 13 bankruptcy may discharge such bankruptcy with the proceeds of the borrower’s loan (any such loan may not exceed a 90% loan-to-value ratio), provided that such borrower has a FICO score of at least 550 (or 580 with respect to stated income documentation programs). The mortgaged property must be in at least average condition. A maximum loan-to-value ratio of 90% (or 80% for mortgage loans originated under the stated income documentation program) is permitted for a mortgage loan on a single family owner occupied or two unit property. A maximum loan-to-value ratio of 85% (or 75% for mortgage loans originated under the stated income documentation program), is permitted for a mortgage loan on a non-owner occupied property. A maximum loan-to-value ratio of 85% (or 75% for mortgage loans originated under the stated income documentation program), is permitted for a mortgage loan on an owner occupied high-rise condominium or a three to four family residential property. The maximum loan-to-value ratio for rural, remote, or unique properties is 80%. The maximum combined loan-to-value ratio, including any related subordinate lien, is 100%, for a refinance loan and 100%, for a purchase money loan. The maximum debt service-to-income ratio is usually 50% unless the loan-to-value ratio is reduced.
 
“B” Risk. Under the “B” risk category, an applicant must have a FICO score of 500, or greater, based on loan-to-value ratio and loan amount. Unlimited 30 day late payments and a maximum of one 60 day late payment within the last 12 months is acceptable on an existing mortgage loan. An existing mortgage loan must be less than 90 days late at the time of funding of the loan. No bankruptcy filings within the past 18 months or notice of default filings within the last 18 months by the applicant may have occurred; provided, however, that Chapter 7 bankruptcy for a borrower with a FICO score in excess of 550 (or 580 under the stated income documentation program) may have occurred as long as such bankruptcy has been discharged at least one day prior to funding of the loan. A maximum loan-to-value ratio of 85% is permitted with respect to borrowers with a Chapter 7 bankruptcy, which Chapter 7 bankruptcy was discharged at least one day prior to loan funding. A borrower in Chapter 13 bankruptcy may discharge such bankruptcy with the loan proceeds (such loans may not exceed a 85% loan-to-value ratio), provided that such borrower has a FICO score of at least 550 (or 580 with respect to stated income documentation programs). The mortgaged property must be in at least average condition. A maximum loan-to-value ratio of 85% (or 75% for mortgage loans originated under the stated income documentation program) is permitted for a mortgage loan on an owner occupied detached property originated under the full documentation program. A maximum loan-to-value ratio of 80% is permitted for a mortgage loan on a non-owner occupied property, an owner occupied high-rise condominium or a three to four family residential property (70% for a mortgage loan on a non owner occupied property and 70% for a mortgage loan on an owner occupied high-rise condominium or a three to four family residential property originated under the stated income documentation program). The maximum loan-to-value ratio for rural, remote or unique properties is 75%. The maximum combined loan-to-value ratio, including any related subordinate lien, is 100%, for a refinance loan and for a purchase money loan. The maximum debt service-to-income ratio is usually 50%, unless the loan-to-value ratio is reduced.
 
“C” Risk. Under the “C” risk category, an applicant must have a FICO score of 500, or greater, based on loan-to-value ratio and loan amount. Unlimited 30 day and 60 day late payments and a maximum of one 90 day late payment within the last 12 months are acceptable on an existing mortgage loan. An existing mortgage loan must be less than 120 days late at the time of funding of the loan. All bankruptcies must be discharged at least one day prior to funding of the loan; provided, however, that Chapter 13 bankruptcies may be discharged with loan proceeds. The mortgaged property must be in average condition. In most cases, a maximum loan-to-value ratio of 80% for a mortgage loan on a single family, owner occupied or two unit property for a full documentation program (70% for mortgage loans originated under the stated income documentation program) is permitted. A maximum loan-to-value ratio of 75% is permitted for a mortgage loan on a non-owner occupied property, an owner occupied high-rise condominium or a three to four family residential property (65% for a mortgage loan on a non owner occupied property, an owner occupied high-rise condominium or a three to four family residential property originated under the stated income documentation program). The maximum loan-to-value ratio for rural, remote or unique properties is 65%. The maximum combined loan-to-value ratio, including any related subordinate lien, is 85% for a refinance loan and for a purchase money loan. The maximum debt service-to-income ratio is usually 50% unless the loan-to-value ratio is reduced.
 
“C-” Risk. Under the “C-” risk category, an applicant must have a FICO score of 500, or greater. A maximum of two 90 day late payments or one 120 day late payment is acceptable on an existing mortgage loan. An existing mortgage loan must be less than 150 days late at the time of funding of the loan. There may be no current notice of default and all bankruptcies must be discharged at least one day prior to funding of the loan; provided, however, that Chapter 13 bankruptcies may be discharged with loan proceeds. A maximum loan-to-value ratio of 70% (55% for mortgage loans originated under the stated income documentation program), is permitted for a mortgage loan on a single family owner occupied or two unit property. A maximum loan-to-value ratio of 65% is permitted for a mortgage loan on a non-owner occupied property, an owner occupied high-rise condominium or a three to four family residential property (50% for a mortgage loan on a non owner occupied property, an owner occupied high-rise condominium or a three to four family residential property originated under the stated income documentation program). Rural, remote or unique properties are not allowed. The maximum combined loan-to-value ratio, including any related subordinate lien, is 80% for a refinance loan and 80% for a purchase money loan. The maximum debt service-to-income ratio is usually 55%.
 
Special Programs. New Century originates loans which it calls “special programs” to enable borrowers with higher FICO scores and good mortgage histories, the ability to obtain larger loan amounts or higher loan-to-value ratios. Special programs extend loan-to-value ratios to a maximum of 100%, and combined 80/20 (first/second) loan combinations to 100% CLTV and loan amounts to $1,500,000 with higher minimum FICO scores and paid-as-agreed minimum tradeline requirements. No bankruptcy filing may have occurred during the preceding two years for borrowers with FICO scores less than 580 under the full income documentation program, 600 under the limited documentation program, or 620 under the stated income documentation program (Chapter 13 bankruptcies may not be paid off with loan proceeds). No notice of default filings or foreclosures (or submission of deeds in lieu of foreclosures) may have occurred during the preceding two years. The mortgaged property must be in at least average condition. The maximum combined loan-to-value ratio, including any related subordinate lien, is 100%, for either a refinance loan or a purchase money loan. The maximum debt service-to-income ratio is usually 50%.
 
Exceptions. As described above, the foregoing categories and criteria are guidelines only. On a case by case basis, it may be determined that an applicant warrants a debt service-to-income ratio exception, a pricing exception, a loan-to-value ratio exception, an exception from certain requirements of a particular risk category, etc. An exception may be allowed if the application reflects compensating factors, such as: low loan-to-value ratio; pride of ownership; a maximum of one 30 day late payment on all mortgage loans during the last 12 months; and stable employment or ownership of current residence of four or more years. An exception may also be allowed if the applicant places a down payment through escrow of at least 20% of the purchase price of the mortgaged property or if the new loan reduces the applicant’s monthly aggregate mortgage payment by 25% or more. Accordingly, a mortgagor may qualify in a more favorable risk category than, in the absence of compensating factors, would satisfy only the criteria of a less favorable risk category. It is expected that a substantial portion of the mortgage loans will represent these kinds of exceptions.
 

  THE SERVICERS
 
Wells Fargo Bank, N.A. (“Wells Fargo Bank”) will service all of the mortgage loans originated by Wells Fargo Bank, Master Financial, Inc., Meritage Mortgage Corporation, National City Mortgage Co. and MortgageIT, Inc. Wells Fargo Bank will also act as servicer for the mortgage loans originated by New Century, except for the period beginning on the closing date and scheduled to end on February 1, 2007, during which period New Century will act as servicer for such mortgage loans. JPMorgan Chase Bank, National Association (“JPMCB”) will service approximately 10.09% of the mortgage loans originated by Quick Loan Funding, Inc. as well as all of the mortgage loans originated by LIME Financial Services, Ltd. Ocwen Loan Servicing, LLC (“Ocwen”) will service approximately 89.91% of the mortgage loans originated by Quick Loan Funding, Inc. Countrywide Home Loans Servicing LP (“Countrywide”) will service all of the mortgage loans originated by WMC Mortgage Corp. Each servicer will service the mortgage loans in accordance with the pooling and servicing agreement.
 
Set forth below is certain information relating to Wells Fargo Bank, which will be servicing 20% or more of the mortgage loans as of the cut-off date. The information in the following paragraphs has been provided by Wells Fargo Bank.
 
Wells Fargo Bank, N.A.
 
Servicing Experience and Procedures of Wells Fargo Bank
 
Servicing Experience. Wells Fargo Bank is an indirect, wholly-owned subsidiary of Wells Fargo & Company. Wells Fargo Bank is a national banking association and is engaged in a wide range of activities typical of a national bank. Wells Fargo Bank, including its predecessors, has many years of experience in servicing residential mortgage loans, commercial mortgage loans, auto loans, home equity loans, credit card receivables and student loans. Wells Fargo Bank, including its predecessors, has been servicing residential mortgage loans since 1974 and has been servicing subprime residential mortgage loans since 1996. These servicing activities, which include collections, loss mitigation, default reporting, bankruptcy, foreclosure and REO Property management, are handled at various Wells Fargo Bank locations including Frederick, Maryland, Fort Mill, South Carolina and other mortgage loan servicing centers. As of the date hereof, Wells Fargo Bank has not failed to make any required advance with respect to any issuance of residential mortgage backed securities.
 
Wells Fargo Bank’s servicing portfolio of residential mortgage loans (which includes fixed rate first lien subprime loans, adjustable rate first lien subprime loans and second lien subprime loans as well as other types of residential mortgage loans serviced by Wells Fargo Bank) has grown from approximately $450 billion as of the end of 2000 to approximately $1.005 trillion as of the end of 2005. The table below sets forth for each of the periods indicated the number and aggregate original principal balance of mortgage loans serviced by Wells Fargo Bank (other than any mortgage loans serviced for Fannie Mae, Freddie Mac and Federal Home Loan Banks; mortgage loans insured or guaranteed by the Government National Mortgage Association, Federal Housing Administration or Department of Veterans Affairs; or mortgage loans with respect to which Wells Fargo Bank has acquired the servicing rights, acts as subservicer, or acts as special servicer) for first lien subprime loans and second lien subprime loans:
 
 
As of December 31, 2003
 
As of December 31, 2004
 
As of December 31, 2005
Asset Type
No. of Loans
Aggregate Unpaid Principal Balance of Loans
No. of Loans
Aggregate Unpaid Principal Balance of Loans
No. of Loans
Aggregate Unpaid Principal Balance of Loans
First Lien Subprime Loans
91,491
$12,527,230,580
136,814
$19,729,933,615
174,704
$26,301,059,617
Second Lien Subprime Loans
*
*
*
*
*
*
________________
* Wells Fargo Bank does not have a material servicing portfolio of second lien subprime loans for the periods indicated.
 
Servicing Procedures. Shortly after the funding of a loan, various types of loan information are loaded into Wells Fargo Bank’s automated loan servicing system. Wells Fargo Bank then makes reasonable efforts to collect all payments called for under the mortgage loan documents and will, consistent with the applicable servicing agreement and any pool insurance policy, primary mortgage insurance policy, bankruptcy bond or alternative arrangements, follow such collection procedures as are customary with respect to loans that are comparable to the mortgage loans. Wells Fargo Bank may, in its discretion, (i) waive any assumption fee, late payment or other charge in connection with a mortgage loan and (ii) to the extent not inconsistent with the coverage of such mortgage loan by a pool insurance policy, primary mortgage insurance policy, bankruptcy bond or alternative arrangements, if applicable, waive, vary or modify any term of any mortgage loan or consent to the postponement of strict compliance with any such term or in any matter grant indulgence to any borrower, subject to the limitations set forth in the applicable servicing agreement.
 
Wells Fargo Bank’s collections policy is designed to identify payment problems sufficiently early to permit Wells Fargo Bank to address such delinquency problems and, when necessary, to act to preserve equity in a pre-foreclosure mortgaged property. Borrowers are billed on a monthly basis in advance of the due date. If a borrower attempts to use Wells Fargo Bank’s Voice Response Unit (“VRU”) to obtain loan information on or after a date on which a late charge is due, the VRU automatically transfers the call to the collection area. Collection procedures commence upon identification of a past due account by Wells Fargo Bank’s automated servicing system. If timely payment is not received, Wells Fargo Bank’s automated loan servicing system automatically places the mortgage loan in the assigned collection queue and collection procedures are generally initiated on the 5th day of delinquency. The account remains in the queue unless and until a payment is received, at which point Wells Fargo Bank’s automated loan servicing system automatically removes the mortgage loan from that collection queue.
 
When a mortgage loan appears in a collection queue, a collector will telephone to remind the borrower that a payment is due. Follow-up telephone contacts with the borrower are attempted until the account is current or other payment arrangements have been made. When contact is made with a delinquent borrower, collectors present such borrower with alternative payment methods, such as Western Union, Phone Pay and Quick Collect, in order to expedite payments. Standard form letters are utilized when attempts to reach the borrower by telephone fail and/or in some circumstances, to supplement the phone contacts. Company collectors have computer access to telephone numbers, payment histories, loan information and all past collection notes. Wells Fargo Bank supplements the collectors’ efforts with advanced technology such as predictive dialers and statistical behavioral software used to determine the optimal times to call a particular customer. Additionally, collectors may attempt to mitigate losses through the use of behavioral or other models that are designed to assist in identifying workout options in the early stages of delinquency. For those loans in which collection efforts have been exhausted without success, Wells Fargo Bank determines whether foreclosure proceedings are appropriate. The course of action elected with respect to a delinquent mortgage loan generally will be guided by a number of factors, including the related borrower’s payment history, ability and willingness to pay, the condition and occupancy of the mortgaged property, the amount of borrower equity in the mortgaged property and whether there are any junior liens.
 
Regulations and practices regarding the liquidation of properties (e.g., foreclosure) and the rights of a borrower in default vary greatly from state to state. As such, all foreclosures are assigned to outside counsel, licensed to practice in the same state as the mortgaged property. Bankruptcies filed by borrowers are similarly assigned to appropriate local counsel. Communication with foreclosure and bankruptcy attorneys is maintained through the use of a software program, thus reducing the need for phone calls and faxes and simultaneously creating a permanent record of communication. Attorney timeline performance is managed using quarterly report cards. The status of foreclosures and bankruptcies is monitored by Wells Fargo Bank through its use of such software system. Bankruptcy filing and release information is received electronically from a third-party notification vendor.
 
Prior to a foreclosure sale, Wells Fargo Bank performs a market value analysis. This analysis includes: (i) a current valuation of the mortgaged property obtained through a drive-by appraisal or broker’s price opinion conducted by an independent appraiser and/or a broker from a network of real estate brokers, complete with a description of the condition of the mortgaged property, as well as other information such as recent price lists of comparable properties, recent closed comparables, estimated marketing time and required or suggested repairs, and an estimate of the sales price; (ii) an evaluation of the amount owed, if any, for real estate taxes; and (iii) estimated carrying costs, brokers’ fees, repair costs and other related costs associated with real estate owned properties. Wells Fargo Bank bases the amount it will bid at foreclosure sales on this analysis. In the case of second lien loans, Wells Fargo Bank performs a net present value analysis to determine whether to refer the second lien loan to foreclosure or to charge it off.
 
If Wells Fargo Bank acquires title to a property at a foreclosure sale or otherwise, it obtains an estimate of the sale price of the property and then hires one or more real estate brokers to begin marketing the property. If the mortgaged property is not vacant when acquired, local eviction attorneys are hired to commence eviction proceedings and/or negotiations are held with occupants in an attempt to get them to vacate without incurring the additional time and cost of eviction. Repairs are performed if it is determined that they will increase the net liquidation proceeds, taking into consideration the cost of repairs, the carrying costs during the repair period and the marketability of the property both before and after the repairs.
 
Wells Fargo Bank’s loan servicing software also tracks and maintains tax and homeowners’ insurance information and tax and insurance escrow information. Expiration reports are generated periodically listing all policies scheduled to expire. When policies lapse, a letter is automatically generated and issued advising the borrower of such lapse and notifying the borrower that Wells Fargo Bank will obtain lender-placed insurance at the borrower’s expense.
 
For a description of the limitations on the liability of the servicer, see “Description of the Securities—Certain Matters Regarding the Master Servicer and the Depositor” in the prospectus.
 
  THE TRUSTEE
 
U.S. Bank National Association (“U.S. Bank”), a national banking association, will be named trustee under the pooling and servicing agreement. The trustee’s offices for notices under the pooling and servicing agreement are located at One Federal Street, 3rd Floor, Boston, MA 02110, Attention: Structured Finance/CMLTI 2006-HE3, and its telephone number is (800) 934-6802.
 
As of September 30, 2006, U.S. Bank (and its affiliate U.S. Bank National Association) was acting as trustee on 587 issuances of MBS Subprime securities with an outstanding aggregate principal balance of approximately $196,346,300,000.
 
U.S. Bank is a national banking association and a wholly-owned subsidiary of U.S. Bancorp, which is currently ranked as the sixth largest bank holding company in the United States with total assets exceeding $217 billion as of September 30, 2006. As of September 30, 2006, U.S. Bancorp served approximately 13.5 million customers, operates 2,462 branch offices in 24 states and had over 51,000 employees.  A network of specialized U.S. Bancorp offices across the nation, inside and outside its 24-state footprint, provides a comprehensive line of banking, brokerage, insurance, investment, mortgage, trust and payment services products to consumers, businesses, governments and institutions.
 
U.S. Bank has one of the largest corporate trust businesses in the country with offices in 45 U.S. cities. The pooling and servicing agreement will be administered from U.S. Bank’s corporate trust office located at One Federal Street, EX-MA-FED, Boston, MA 02110
 
U.S. Bank has provided corporate trust services since 1924. As of September 30, 2006, U.S. Bank was acting as trustee with respect to over 69,000 issuances of securities with an aggregate outstanding principal balance of over $1.9 trillion. This portfolio includes corporate and municipal bonds, mortgage-backed and asset-backed securities and collateralized debt obligations.
 
On December 30, 2005, U.S. Bank purchased the corporate trust and structured finance trust services businesses of Wachovia Corporation. On September 5, 2006, U.S. Bank completed the bulk sale transfer and conversion of these businesses and became successor fiduciary or agent, as applicable, under the client agreements.
 
On September 29, 2006, U.S. Bank purchased the municipal and corporate bond trustee business of SunTrust Banks, Inc. and became successor fiduciary or agent, as applicable, under the client agreements.
 
On November 10, 2006, U.S. Bank announced that it has entered into a definitive agreement to purchase the municipal bond trustee business of LaSalle Bank National Association, the U.S. subsidiary of ABN AMRO Bank N.V. The transaction is subject to certain regulatory approvals and is expected to close by the end of the fourth quarter 2006 with conversion occurring early in 2007. The trustee’s responsibilities include (i) accepting delivery of the mortgage loans and (ii) acting as a fiduciary on behalf of the certificateholders pursuant to the pooling and servicing agreement.
 
  THE TRUST ADMINISTRATOR
 
The Trust Administrator is Citibank, N.A., a national banking association and wholly owned subsidiary of Citigroup Inc., a Delaware corporation. Citibank, N.A. performs as trust administrator through the Agency and Trust line of business, which is part of the Global Transaction Services division. Citibank, N.A. has primary corporate trust offices located in both New York and London. Citibank, N.A. is a leading provider of corporate trust services offering a full range of agency, fiduciary, tender and exchange, depositary and escrow services. As of the end of the third quarter of 2006, Citibank’s Agency & Trust group manages in excess of 3.6 trillion in fixed income and equity investments on behalf of approximately 2,500 corporations worldwide. Since 1987, Citibank Agency & Trust has provided trust services for asset-backed securities containing pool assets consisting of airplane leases, auto loans and leases, boat loans, commercial loans, commodities, credit cards, durable goods, equipment leases, foreign securities, funding agreement backed note programs, truck loans, utilities, student loans and commercial and residential mortgages. As of the end of the third quarter of 2006, Citibank, N.A. acts as trust administrator and/or paying agent on approximately 300 various residential mortgage-backed transactions. The trust administrator’s offices for notices under the pooling and servicing agreement are located 388 Greenwich Street, 14th Floor, New York, New York 10013, Attention: Citibank Agency & Trust, and its telephone number is (949) 250-6464.
 
Under the pooling and servicing agreement, the trust administrator’s material duties will be (i) to authenticate and deliver the certificates; (ii) to maintain a certificate registrar; (iii) to calculate and make the required distributions to certificateholders on each distribution date; (iv) to prepare and make available to certificateholders the monthly distribution reports and any other reports required to be delivered by the trust administrator; (v) send a notice to holders of a class of certificates when the remaining certificate principal balance of such class of certificates is to be paid on a specified distribution date; (vi) to act as successor servicer, or to appoint a successor servicer, to the extent described under “Pooling and Servicing Agreement—Events of Default and Removal of Servicer” below; (vii) to perform certain tax administration services for the trust and (viii) to communicate with investors and rating agencies with respect to the certificates. In performing the obligations set forth in clauses (iii) and (iv) above, the trust administrator will be able to rely on the monthly loan information provided to it by the servicers, and will perform all obligations set forth above solely to the extent described in the pooling and servicing agreement.
 
  THE SPONSOR
 
The information set forth in the following paragraphs has been provided by Citigroup Global Markets Realty Corp.
 
Citigroup Global Markets Realty Corp., a New York corporation, is the sponsor of the transaction. The sponsor was organized in 1979 and is an affiliate of Citigroup Global Markets Inc. The sponsor maintains its principal office at 388 Greenwich Street, New York, New York 10013, Attention: Mortgage Finance Group. Its telecopy number is (212) 723-8604. The sponsor was established as a mortgage banking company to facilitate the purchase of whole loan portfolios and servicing rights containing various levels of quality from “investment quality” to varying degrees of “non-investment quality” up to and including real estate owned assets.
 
Since its inception, the sponsor has purchased over $50 billion in residential whole loans and servicing rights, which include the purchase of newly originated Alt-A, jumbo (prime) and sub-prime mortgage loans. Mortgage loans are purchased on a bulk and flow basis. Mortgage loans are generally purchased with the ultimate strategy of securitization into a securitization based upon product type and credit parameters.
 
Mortgage loans acquired by the sponsor are subject to varying levels of due diligence prior to purchase. Portfolios may be reviewed for credit, data integrity, appraisal valuation, documentation, as well as compliance with certain laws. Mortgage loans purchased will have been originated pursuant to the related originator’s underwriting guidelines that are acceptable to the sponsor.
 
Subsequent to purchase by the sponsor, mortgage loans are pooled together by product type and credit parameters and structured into a securitization, with the assistance of Citigroup Global Markets Inc., for distribution into the primary market.
 
The sponsor has been securitizing residential mortgage loans since 1987. The following table describes size, composition and growth of the sponsor’s total portfolio of assets it has securitized as of the dates indicated.
 
 
December 31, 2003     
December 31, 2004
December 31, 2005
Loan Type
Total Portfolio of Loans
Total Portfolio of Loans
Total Portfolio of Loans
Prime / Alt-A
$ 2,122,000,000
$ 4,310,000,000
$   9,804,000,000
Reperforming
$    552,000,000
$    406,000,000
$      309,000,000
SubPrime
$    306,000,000
$ 2,426,000,000
$   8,246,000,000
HELOC
$                      0
$                      0
$                        0
Totals
$ 2,980,000,000
$ 7,142,000,000
$ 18,359,000,000

With respect to some of the securitizations organized by the sponsor, a trigger event has occurred with respect to the loss and delinquency experience of the mortgage loans included in the related trust, resulting in a sequential payment of principal to the related offered certificates, from the certificate with the highest credit rating to the one with the lowest rating.
 
  THE DEPOSITOR
 
Citigroup Mortgage Loan Trust Inc., a Delaware corporation, is the depositor of the transaction. The depositor was organized in 2003 and is an affiliate of Citigroup Global Markets Inc. The depositor maintains its principal office at 390 Greenwich Street, New York, New York 10013, Attention: Mortgage Finance Group. Its telecopy number is (212) 723-8604.
 
The depositor has been engaged in the securitization of mortgage loans since its incorporation in 2003, although the sponsor has been engaged in the securitization of mortgage loans through other depositors since 1987. The depositor is generally engaged in the business of acting as a depositor of one or more trust funds that may issue or cause to be issued, sell and deliver bonds or other evidences of indebtedness or certificates of interest that are secured by, or represent an interest in mortgage loans. The depositor typically acquires mortgage loans and other assets for inclusion in securitizations from the sponsor.
 
The certificate of incorporation of the depositor provides that the depositor may not conduct any activities other than those related to the issue and sale of one or more series of securities and to act as depositor of trusts that may issue and sell securities.
 
After the issuance of the certificates, the depositor will have limited or no obligations with respect to the certificates and the trust fund. Those obligations may include cure, repurchase or substitution obligations relating to breaches of representations and warranties, if any, that the depositor makes with respect to the mortgage loans, to arrange for the Cap Contract or replacement instruments to be included in the trust, to appoint replacements to certain transaction participants, to prepare and file and required reports under the Securities Exchange Act of 1934, as amended, to provide notices to certain parties under the pooling and servicing agreement or to provide requested information to the various transaction participants.
 
The depositor does not have, nor is it expected in the future to have, any significant assets. We do not expect that the depositor will have any business operations other than acquiring and pooling residential mortgage loans, mortgage securities and agency securities, offering mortgage-backed or other asset-backed securities, and related activities.
 
  THE ISSUING ENTITY
 
Citigroup Mortgage Loan Trust 2006-HE3, will be a New York common law trust established pursuant to the pooling and servicing agreement. The issuing entity will not own any assets other than the mortgage loans and the other assets described under “The Pooling and Servicing Agreement—General.” The issuing entity will not have any liabilities other than those incurred in connection with the pooling and servicing agreement and any related agreement. The issuing entity will not have any directors, officers, or other employees. No equity contribution will be made to the issuing entity by the sponsor, the depositor or any other party, and the issuing entity will not have any other capital. The fiscal year end of the issuing entity will be December 31. The issuing entity will act through the trustee and the trust administrator.
 
  THE CAP PROVIDER
 
Swiss Re Financial Products Corporation (“SRFP”) is a Delaware corporation incorporated on May 23, 1995. In the course of conducting its business, SRFP trades in over-the-counter derivative products and structures and advises on a variety of financial transactions that transfer insurance, market or credit risk to or from capital markets. SRFP’s headquarters are located at 55 East 52nd Street, New York, New York 10055. SRFP currently has a long-term counterparty credit rating of “AA-” and a short-term debt rating of “A-1+” from Standard & Poor’s.
SRFP is an indirect, wholly owned subsidiary of Swiss Reinsurance Company (“Swiss Re”), a Swiss corporation. The obligations of SRFP under the Cap Contract are fully and unconditionally guaranteed under a guaranty by Swiss Re. Swiss Re was founded in Zurich, Switzerland, in 1863 and since then has become one of the world’s leading reinsurers. Swiss Re and its reinsurance subsidiaries have over 70 offices in more than 30 countries. Swiss Re’s headquarters are located at Mythenquai 50/60, CH-8022, Zurich, Switzerland. On June 12, 2006, Swiss Re announced that it completed its acquisition of GE Insurance Solutions (excluding its US life and health business) from General Electric.
 
Swiss Re currently has (i) from Standard & Poor’s: long-term counterparty credit, financial strength and senior unsecured debt ratings of “AA-” and a short-term counterparty credit rating of “A-1+,” (ii) from Moody’s: insurance financial strength and senior debt ratings of “Aa2” (negative outlook), and a short-term rating of “P-1” and (iii) from Fitch: insurer financial strength rating (Fitch initiated) and long-term issuer rating (Fitch initiated) of “AA-”.
 
Various regulatory authorities, including the U.S. Securities and Exchange Commission and State Attorneys General in the United States, including the New York State Attorney General’s office, State Insurance Departments in the United States and the U.K. Financial Services Authority, as well as law enforcement agencies, are conducting investigations on various aspects of the insurance industry, including the use of non-traditional, or loss mitigation insurance, products. Swiss Re is among the companies that have received subpoenas to produce documents relating to "non-traditional" products as part of these investigations. Swiss Re has announced that it is cooperating fully with all requests for documents addressed to Swiss Re. It is unclear at this point what the ultimate scope of the investigations will be, in terms of the products, parties or practices under review, particularly given the potentially broad range of products that could be characterized as "non-traditional." It is therefore also unclear what the direct or indirect consequences of such investigations will be, and Swiss Re is not currently in a position to give any assurances as to the consequences for it or the insurance and reinsurance industries of the foregoing investigations or related developments. Any of the foregoing could adversely affect its business, results of operations and financial condition.

The information contained in the preceding four paragraphs has been provided by SRFP and Swiss Re for use in this prospectus supplement. Neither SRFP nor Swiss Re undertakes any obligation to update such information. SRFP and Swiss Re have not been involved in the preparation of, and do not accept responsibility for, this prospectus supplement as a whole or the accompanying prospectus.
 
The aggregate “significance percentage” as calculated in accordance with Item 1115 of Regulation AB under the Securities Act of 1933, as amended, is less than 10%. As provided in the Cap Contract, the Cap Provider may be replaced or may be required to obtain a guarantor if the aggregate significance percentage of the Cap Contract is 10% or more.
 
  YIELD ON THE CERTIFICATES
 
Certain Shortfalls in Collections of Interest
 
When a principal prepayment in full is made on a mortgage loan, the mortgagor is charged interest only for the period from the due date of the preceding monthly payment up to the date of the prepayment, instead of for a full month. When a partial principal prepayment is made on a mortgage loan, the mortgagor is not charged interest on the amount of the prepayment for the month in which the prepayment is made. In addition, the application of the Relief Act or any state law providing for similar relief to any mortgage loan will adversely affect, for an indeterminate period of time, the ability of the servicers to collect full amounts of interest on these mortgage loans. See “Legal Aspects of Mortgage Loans—Servicemembers Civil Relief Act” in the prospectus. The servicers are required to cover a portion of the shortfall in interest collections that is attributable to prepayments, but only in an amount up to the servicer’s servicing fee actually received for the related calendar month. The effect of any principal prepayments on the mortgage loans, to the extent that any Prepayment Interest Shortfalls exceed Compensating Interest, and the effect of any shortfalls resulting from the application of the Relief Act or any state law providing for similar relief, will be to reduce the aggregate amount of interest collected that is available for distribution to holders of the certificates. Any such shortfalls will be allocated among the certificates as provided under “Description of the Certificates—Interest Distributions” in this prospectus supplement.
 
General Prepayment Considerations
 
The yields to maturity of the Floating Rate Certificates will be sensitive to defaults on the mortgage loans. If a purchaser of an offered certificate calculates its anticipated yield based on an assumed rate of default and amount of losses that is lower than the default rate and amount of losses actually incurred, its actual yield to maturity may be lower than that so calculated. In general, the earlier a loss occurs, the greater the effect on an investor’s yield to maturity. There can be no assurance as to the delinquency, foreclosure or loss experience with respect to the mortgage loans. Because the mortgage loans were underwritten in accordance with standards less stringent than those generally acceptable to Fannie Mae and Freddie Mac with regard to a borrower’s credit standing and repayment ability, the risk of delinquencies with respect to, and losses on, the mortgage loans will be greater than that of mortgage loans underwritten in accordance with Fannie Mae and Freddie Mac standards.
 
The rate of principal payments, the aggregate amount of payments and the yields to maturity of the offered certificates will be related to the rate and timing of payments of principal on the mortgage loans. The rate of principal payments on the adjustable-rate mortgage loans will in turn be affected by the amortization schedules of such mortgage loans as they change from time to time to accommodate changes in the mortgage rates and by the rate of principal prepayments on the mortgage loans. The rate of principal prepayments on the mortgage loans will be affected by payments resulting from refinancings, liquidations of the mortgage loans due to defaults, casualties, condemnations and repurchases (whether optional or required), by an originator or the sponsor, as the case may be. All of the mortgage loans contain due-on-sale clauses. The mortgage loans may be prepaid by the mortgagors at any time; however, as described under “The Mortgage Pool” in this prospectus supplement, with respect to approximately 74.33% of the Group I Mortgage Loans and approximately 75.92% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 75.32% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date), a prepayment may subject the related mortgagor to a prepayment charge.
 
Prepayments, liquidations and repurchases of the mortgage loans will result in distributions in respect of principal to the holders of the class or classes of Floating Rate Certificates then entitled to receive distributions that otherwise would be distributed over the remaining terms of the mortgage loans. Since the rates of payment of principal on the mortgage loans will depend on future events and a variety of factors, no assurance can be given as to that rate or the rate of principal prepayments. The extent to which the yield to maturity of any class of Floating Rate Certificates may vary from the anticipated yield will depend upon the degree to which the Floating Rate Certificates are purchased at a discount or premium and the degree to which the timing of distributions on the Floating Rate Certificates is sensitive to prepayments on the mortgage loans. Further, an investor should consider, in the case of any Floating Rate Certificates purchased at a discount, the risk that a slower than assumed rate of principal payments on the mortgage loans could result in an actual yield to the investor that is lower than the anticipated yield. In the case of any Floating Rate Certificates purchased at a premium, investors should consider the risk that a faster than assumed rate of principal payments could result in an actual yield to the investor that is lower than the anticipated yield.
 
It is highly unlikely that the mortgage loans will prepay at any constant rate until maturity or that all of the mortgage loans will prepay at the same rate. Moreover, the timing of prepayments on the mortgage loans may significantly affect the yield to maturity on the Floating Rate Certificates, even if the average rate of principal payments experienced over time is consistent with an investor’s expectation. In most cases, the earlier a prepayment of principal is made on the mortgage loans, the greater the effect on the yield to maturity of the Floating Rate Certificates. As a result, the effect on an investor’s yield of principal distributions occurring at a rate higher or lower than the rate assumed by the investor during the period immediately following the issuance of the Floating Rate Certificates would not be fully offset by a subsequent like reduction or increase in the rate of principal distributions.
 
The rate of payments (including prepayments), on pools of mortgage loans is influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors’ housing needs, job transfers, unemployment, mortgagors’ net equity in the mortgaged properties and servicing decisions. If prevailing mortgage rates fall significantly below the mortgage rates on the mortgage loans, the rate of prepayment and refinancing would be expected to increase. Conversely, if prevailing mortgage rates rise significantly above the mortgage rates on the mortgage loans, the rate of prepayment on the mortgage loans would be expected to decrease. The prepayment experience of the delayed first adjustment mortgage loans may differ from that of the other mortgage loans. The delayed first adjustment mortgage loans may be subject to greater rates of prepayments as they approach their initial adjustment dates even if market interest rates are only slightly higher or lower than the mortgage rates on the delayed first adjustment mortgage loans as borrowers seek to avoid changes in their monthly payments. In addition, the existence of the applicable periodic rate caps, maximum mortgage rates and minimum mortgage rates with respect to the adjustable-rate mortgage loans may affect the likelihood of prepayments resulting from refinancings. There can be no certainty as to the rate of prepayments on the mortgage loans in the mortgage pool during any period or over the life of the Floating Rate Certificates. Furthermore, the interest-only feature of the interest only mortgage loans may reduce the perceived benefits of refinancing to take advantage of lower market interest rates or to avoid adjustments in the mortgage rates. However, as a mortgage loan with such a feature nears the end of its interest-only period, the borrower may be more likely to refinance the mortgage loan, even if market interest rates are only slightly less than the mortgage rate in order to avoid the increase in the monthly payments to amortize the mortgage loan over its remaining life. See “Yield Considerations” and “Maturity and Prepayment Considerations” in the prospectus.
 
Because principal distributions prior to the Stepdown Date or when a Trigger Event is in effect are distributed to more senior classes of Floating Rate Certificates before other classes, and because distributions of principal to the Class A Certificates will be allocated among the classes of Class A Certificates in accordance with the priorities described under “Description of the Certificates—Principal Distributions,” holders of classes of Floating Rate Certificates having a later distribution priority bear a greater risk of losses than holders of classes having earlier distribution priorities. As a result, the Floating Rate Certificates having later distribution priority will represent an increasing percentage of the obligations of the trust during the period prior to the commencement of distributions of principal on these certificates.
 
Defaults on mortgage loans may occur with greater frequency in their early years. In addition, default rates may be higher for mortgage loans used to refinance an existing mortgage loan. In the event of a mortgagor’s default on a mortgage loan, there can be no assurance that recourse will be available beyond the specific mortgaged property pledged as security for repayment or that the value of the mortgaged property will be sufficient to cover the amount due on the mortgage loan. Any recovery made on a defaulted mortgage loan in the absence of realized losses will have a similar effect on the holders of the Floating Rate Certificates as a prepayment of those mortgage loans.
 
Special Yield Considerations
 
The mortgage rates on the fixed-rate mortgage loans are fixed and will not vary with any index, and the mortgage rates on the adjustable-rate mortgage loans, adjust semi-annually or annually based upon six-month LIBOR, twelve-month LIBOR, and one-year CMT subject to periodic and lifetime limitations and after an initial fixed rate period of two years, three years and five years after origination. The pass-through rates on the Floating Rate Certificates will adjust monthly based upon one-month LIBOR determined as described in this prospectus supplement, subject to the related Net WAC Pass-Through Rate, with the result that increases in the pass-through rate on the Floating Rate Certificates may be limited by the related Net WAC Pass-Through Rate for extended periods in a rising interest rate environment. With respect to the adjustable-rate mortgage loans, twelve-month LIBOR, six-month LIBOR, one-month LIBOR and one-year CMT may respond differently to economic and market factors. Thus, it is possible, for example, that if one-month LIBOR and any of the applicable mortgage loan indexes rise during the same period, one-month LIBOR may rise more rapidly than such indexes, potentially resulting in the application of the related Net WAC Pass-Through Rate on the Floating Rate Certificates. In addition, if the mortgage loans with relatively higher mortgage rates prepay more rapidly than the mortgage loans with relatively lower mortgage rates, then the related Net WAC Pass-Through Rate will decrease, and the Floating Rate Certificates will be more likely to have their pass-through rates limited by the related Net WAC Pass-Through Rate. Application of the related Net WAC Pass-Through Rate would adversely affect the yield to maturity on the Floating Rate Certificates.
 
If the pass-through rate on any class of Floating Rate Certificates is limited by the related Net WAC Pass-Through Rate for any distribution date, the resulting basis risk shortfalls may be recovered by the holders of such certificates on such distribution date or on future distribution dates, from Net Monthly Excess Cashflow and from the proceeds of the Cap Contract, to the extent that on such distribution date or future distribution dates there are any available funds remaining after certain other distributions on the Floating Rate Certificates and the payment of certain fees and expenses of the trust. The ratings on the offered certificates will not address the likelihood of any such recovery of basis risk shortfalls by holders of those certificates.
 
As described under “Description of the Certificates—Allocation of Losses,” amounts otherwise distributable to holders of the Mezzanine Certificates and the Class CE Certificates may be made available to protect the holders of the Class A Certificates against interruptions in distributions due to certain mortgagor delinquencies, to the extent not covered by advances made by the servicers. Such delinquencies may affect the yield to investors in these certificates and, even if subsequently cured, will affect the timing of the receipt of distributions by the holders of these certificates.
 
Weighted Average Life
 
Weighted average life refers to the amount of time that will elapse from the date of issuance of a security until each dollar of principal of that security will be distributed to the investor. The weighted average life of each class of the offered certificates will be influenced by the rate at which principal on the mortgage loans is paid. Principal payments on the mortgage loans may be in the form of scheduled payments or prepayments (including repurchases and prepayments of principal by the mortgagor), as well as amounts received by virtue of condemnation, insurance or foreclosure with respect to the mortgage loans, and the timing of these payments.
 
Prepayments on mortgage loans are commonly measured relative to a prepayment standard or model. The model used in this prospectus supplement (referred to as the Prepayment Assumption) assumes:
 
(i) in the case of the fixed-rate mortgage loans, 100% of the Fixed-Rate Prepayment Vector. The “Fixed-Rate Prepayment Vector” assumes a constant prepayment rate, or CPR, of 4% per annum in the first month of the life of such mortgage loans and an additional approximately 1.727% per annum (precisely 19%/11) in each month thereafter until the 11th month. Beginning in the 12th month and in each month thereafter during the life of such mortgage loans, the Fixed-Rate Prepayment Vector assumes a CPR of 23%; and
 
(ii) in the case of the adjustable-rate mortgage loans, 100% of the Adjustable-Rate Prepayment Vector. The “Adjustable-Rate Prepayment Vector” means (I) with respect to the adjustable-rate mortgage loans whose initial adjustment date is two years or less after origination (a) a CPR of 2% per annum in the first month of the life of such mortgage loans and an additional 2.545% per annum (precisely 28%/11) in each month thereafter until the 11th month, and then beginning in the 12th month and in each month thereafter until the 22nd month, a CPR of 30% per annum, (b) beginning in the 23rd month and in each month thereafter until the 27th month, a CPR of 60% per annum and (c) beginning in the 28th month and in each month thereafter, a CPR of 35% per annum and (II) with respect to the adjustable-rate mortgage loans whose initial adjustment date is three years or more after origination (a) a CPR of 2% per annum in the first month of the life of such mortgage loans and an additional 2.545% per annum (precisely 28%/11) in each month thereafter until the 11th month, and then beginning in the 12th month and in each month thereafter until the 34th month, a CPR of 30% per annum, (b) beginning in the 35th month and in each month thereafter until the 39th month, a CPR of 60% per annum and (c) beginning in the 40th month and in each month thereafter, a CPR of 35% per annum.
 
The assumed prepayment rate for the mortgage loans will not exceed 85% CPR per annum in any period for any percentage of the related vector.
 
CPR is a prepayment assumption that represents a constant assumed rate of prepayment each month relative to the then outstanding principal balance of a pool of mortgage loans for the life of such mortgage loans. The model does not purport to be either an historical description of the prepayment experience of any pool of mortgage loans or a prediction of the anticipated rate of prepayment of any mortgage loans, including the mortgage loans to be included in the trust.
 
Each of the Prepayment Scenarios in the table below assumes the respective percentages of the Prepayment Assumption.
 
The tables entitled “Percent of Initial Certificate Principal Balance Outstanding” indicate the percentage of the initial Certificate Principal Balance of the each class of the offered certificates that would be outstanding after each of the dates shown at the various percentages of the Prepayment Scenarios indicated and the corresponding weighted average lives of the offered certificates. The tables are based on the following modeling assumptions:
 
•
 
the mortgage loans have the characteristics set forth in the table entitled “Assumed Mortgage Loan Characteristics” which is attached as Annex III to this prospectus supplement;
 
•
 
distributions on the offered certificates are received, in cash, on the 25th day of each month, commencing in January 2007;
 
•
 
the mortgage loans prepay at the percentages of the Prepayment Assumption indicated in the applicable Prepayment Scenario;
 
•
 
no defaults or delinquencies occur in the payment by mortgagors of principal and interest on the mortgage loans and no shortfalls due to the application of the Relief Act are incurred;
 
•
 
none of the originator, the sponsor, the servicers or any other person purchases from the trust any mortgage loan under any obligation or option under the pooling and servicing agreement, except as indicated in the second footnote to the tables;
 
•
 
scheduled monthly payments on the mortgage loans are received on the first day of each month commencing in January 2007, and are computed prior to giving effect to any prepayments received in the prior month;
 
•
 
prepayments representing payment in full of individual mortgage loans are received on the last day of each month commencing in December 2006, and include 30 days’ interest on the mortgage loan;
 
•
 
the scheduled monthly payment for each mortgage loan is calculated based on its principal balance, mortgage rate and remaining amortization term so that the mortgage loan will amortize in amounts sufficient to repay the remaining principal balance of the mortgage loan by its stated remaining term and for the interest only loans, after taking into account its interest only period;
 
•
 
the certificates are purchased on December 29, 2006;
 
•
 
six-month LIBOR remains constant at 5.29% per annum and one-month LIBOR remains constant at 5.35% per annum, twelve month LIBOR remains constant at 5.11% per annum and one-year CMT remains constant at 4.87% per annum; and the mortgage rate on each adjustable-rate mortgage loan is adjusted on the next adjustment date and on subsequent adjustment dates, if necessary, to equal the applicable index plus the applicable gross margin, subject to the applicable periodic rate cap and lifetime limitations;
 
•
 
the certificate principal balances of the Class P Certificates is $0.00; and
 
•
 
the monthly payment on each adjustable-rate mortgage loan is adjusted on the due date immediately following the next adjustment date and on subsequent adjustment dates, if necessary, to equal a fully amortizing monthly payment.
 

Prepayment Scenarios(1)
 
 
I
II
III
IV
V
Fixed-Rate Mortgage Loans:
0%
50%
100%
150%
200%
Adjustable-Rate Mortgage Loans:
0%
50%
100%
150%
200%
_______________
(1) Percentages of the Fixed-Rate Prepayment Vector in the case of the fixed-rate mortgage loans and the Adjustable-Rate Prepayment Vector in the case of the adjustable-rate mortgage loans.
 
There will be discrepancies between the characteristics of the actual mortgage loans in the mortgage pool and the characteristics assumed in preparing the tables below. Any such discrepancy may have an effect upon the percentages of the initial Certificate Principal Balances outstanding, and the weighted average lives of the offered certificates. In addition, to the extent that the actual mortgage loans included in the mortgage pool will have characteristics that differ from those assumed in preparing the tables and since it is not likely the level of twelve-month LIBOR, six-month LIBOR, one-month LIBOR or one-year CMT will remain constant as assumed, the offered certificates may mature earlier or later than indicated by the tables. Based on the foregoing assumptions, the tables below indicate the weighted average lives of the offered certificates, and set forth the percentage of the initial Certificate Principal Balances of the offered certificates that would be outstanding after each of the dates shown, at the various Prepayment Scenarios indicated. Neither the prepayment model used in this prospectus supplement nor any other prepayment model or assumption purports to be an historical description of prepayment experience or a prediction of the anticipated rate of prepayment of any pool of mortgage loans, including the mortgage loans included in the mortgage pool. Variations in the prepayment experience and the balance of the mortgage loans that prepay may increase or decrease the percentages of initial Certificate Principal Balance and weighted average lives shown in the tables. These variations may occur even if the average prepayment experience of all of the mortgage loans equals any of the specified percentages of the Prepayment Assumption.

 
 

Percent of Initial Certificate Principal Balance Outstanding
 
 
Class A-2A
Class A-2B
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
99
74
48
22
0
100
100
100
100
88
December 25, 2008
98
33
0
0
0
100
100
41
0
0
December 25, 2009
97
2
0
0
0
100
100
0
0
0
December 25, 2010
97
0
0
0
0
100
46
0
0
0
December 25, 2011
96
0
0
0
0
100
17
0
0
0
December 25, 2012
94
0
0
0
0
100
0
0
0
0
December 25, 2013
92
0
0
0
0
100
0
0
0
0
December 25, 2014
90
0
0
0
0
100
0
0
0
0
December 25, 2015
88
0
0
0
0
100
0
0
0
0
December 25, 2016
86
0
0
0
0
100
0
0
0
0
December 25, 2017
83
0
0
0
0
100
0
0
0
0
December 25, 2018
80
0
0
0
0
100
0
0
0
0
December 25, 2019
77
0
0
0
0
100
0
0
0
0
December 25, 2020
70
0
0
0
0
100
0
0
0
0
December 25, 2021
64
0
0
0
0
100
0
0
0
0
December 25, 2022
59
0
0
0
0
100
0
0
0
0
December 25, 2023
54
0
0
0
0
100
0
0
0
0
December 25, 2024
49
0
0
0
0
100
0
0
0
0
December 25, 2025
43
0
0
0
0
100
0
0
0
0
December 25, 2026
36
0
0
0
0
100
0
0
0
0
December 25, 2027
28
0
0
0
0
100
0
0
0
0
December 25, 2028
20
0
0
0
0
100
0
0
0
0
December 25, 2029
10
0
0
0
0
100
0
0
0
0
December 25, 2030
0
0
0
0
0
99
0
0
0
0
December 25, 2031
0
0
0
0
0
70
0
0
0
0
December 25, 2032
0
0
0
0
0
37
0
0
0
0
December 25, 2033
0
0
0
0
0
20
0
0
0
0
December 25, 2034
0
0
0
0
0
0
0
0
0
0
December 25, 2035
0
0
0
0
0
0
0
0
0
0
December 25, 2036
0
0
0
0
0
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
16.65
1.65
1.00
0.73
0.59
25.81
4.14
2.00
1.52
1.17
Weighted Average Life to Optional Termination in Years(1)(2)
16.65
1.65
1.00
0.73
0.59
25.81
4.14
2.00
1.52
1.17
_______________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.
 
 
 

Percent of Initial Certificate Principal Balance Outstanding
 
 
Class A-2C
Class A-2D
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
100
100
100
100
100
December 25, 2008
100
100
100
0
0
100
100
100
93
0
December 25, 2009
100
100
17
0
0
100
100
100
0
0
December 25, 2010
100
100
17
0
0
100
100
100
0
0
December 25, 2011
100
100
0
0
0
100
100
96
0
0
December 25, 2012
100
90
0
0
0
100
100
65
0
0
December 25, 2013
100
63
0
0
0
100
100
45
0
0
December 25, 2014
100
40
0
0
0
100
100
31
0
0
December 25, 2015
100
22
0
0
0
100
100
21
0
0
December 25, 2016
100
6
0
0
0
100
100
15
0
0
December 25, 2017
100
0
0
0
0
100
90
10
0
0
December 25, 2018
100
0
0
0
0
100
75
7
0
0
December 25, 2019
100
0
0
0
0
100
62
3
0
0
December 25, 2020
100
0
0
0
0
100
50
*
0
0
December 25, 2021
100
0
0
0
0
100
40
0
0
0
December 25, 2022
100
0
0
0
0
100
33
0
0
0
December 25, 2023
100
0
0
0
0
100
27
0
0
0
December 25, 2024
100
0
0
0
0
100
22
0
0
0
December 25, 2025
100
0
0
0
0
100
18
0
0
0
December 25, 2026
100
0
0
0
0
100
15
0
0
0
December 25, 2027
100
0
0
0
0
100
12
0
0
0
December 25, 2028
100
0
0
0
0
100
10
0
0
0
December 25, 2029
100
0
0
0
0
100
7
0
0
0
December 25, 2030
100
0
0
0
0
100
4
0
0
0
December 25, 2031
100
0
0
0
0
100
2
0
0
0
December 25, 2032
100
0
0
0
0
100
*
0
0
0
December 25, 2033
100
0
0
0
0
100
0
0
0
0
December 25, 2034
95
0
0
0
0
100
0
0
0
0
December 25, 2035
60
0
0
0
0
100
0
0
0
0
December 25, 2036
0
0
0
0
0
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
29.09
7.74
3.00
1.87
1.55
29.89
15.23
7.46
2.19
1.86
Weighted Average Life to Optional Termination in Years(1)(2)
29.09
7.74
3.00
1.87
1.55
29.89
12.38
5.85
2.19
1.86
_______________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1)   The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2)   Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.
 
 


Percent of Initial Certificate Principal Balance Outstanding
 
 
Class M-1
Class M-2
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
100
100
100
100
100
December 25, 2008
100
100
100
100
92
100
100
100
100
100
December 25, 2009
100
100
100
98
92
100
100
100
100
59
December 25, 2010
100
100
76
98
55
100
100
44
62
6
December 25, 2011
100
83
30
80
23
100
83
30
9
0
December 25, 2012
100
70
21
46
4
100
70
21
5
0
December 25, 2013
100
58
14
26
0
100
58
14
0
0
December 25, 2014
100
48
10
10
0
100
48
10
0
0
December 25, 2015
100
40
7
1
0
100
40
7
0
0
December 25, 2016
100
34
5
0
0
100
34
5
0
0
December 25, 2017
100
28
3
0
0
100
28
2
0
0
December 25, 2018
100
23
1
0
0
100
23
0
0
0
December 25, 2019
100
19
0
0
0
100
19
0
0
0
December 25, 2020
100
16
0
0
0
100
16
0
0
0
December 25, 2021
100
13
0
0
0
100
13
0
0
0
December 25, 2022
100
11
0
0
0
100
11
0
0
0
December 25, 2023
100
9
0
0
0
100
9
0
0
0
December 25, 2024
100
7
0
0
0
100
7
0
0
0
December 25, 2025
100
6
0
0
0
100
6
0
0
0
December 25, 2026
100
5
0
0
0
100
5
0
0
0
December 25, 2027
100
4
0
0
0
100
4
0
0
0
December 25, 2028
100
3
0
0
0
100
1
0
0
0
December 25, 2029
100
1
0
0
0
100
0
0
0
0
December 25, 2030
100
0
0
0
0
100
0
0
0
0
December 25, 2031
100
0
0
0
0
100
0
0
0
0
December 25, 2032
100
0
0
0
0
100
0
0
0
0
December 25, 2033
89
0
0
0
0
89
0
0
0
0
December 25, 2034
76
0
0
0
0
76
0
0
0
0
December 25, 2035
62
0
0
0
0
62
0
0
0
0
December 25, 2036
0
0
0
0
0
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
28.92
9.30
5.17
6.14
4.25
28.92
9.26
4.96
4.32
3.19
Weighted Average Life to Optional Termination in Years(1)(2)
28.92
8.42
4.68
3.64
2.68
28.92
8.42
4.50
3.66
2.74
______________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1)   The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2)   Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.


Percent of Initial Certificate Principal Balance Outstanding
 
 
Class M-3
Class M-4
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
100
100
100
100
100
December 25, 2008
100
100
100
100
100
100
100
100
100
100
December 25, 2009
100
100
100
100
15
100
100
100
100
15
December 25, 2010
100
100
44
16
6
100
100
44
16
6
December 25, 2011
100
83
30
9
0
100
83
30
9
0
December 25, 2012
100
70
21
5
0
100
70
21
4
0
December 25, 2013
100
58
14
0
0
100
58
14
0
0
December 25, 2014
100
48
10
0
0
100
48
10
0
0
December 25, 2015
100
40
7
0
0
100
40
7
0
0
December 25, 2016
100
34
5
0
0
100
34
3
0
0
December 25, 2017
100
28
0
0
0
100
28
0
0
0
December 25, 2018
100
23
0
0
0
100
23
0
0
0
December 25, 2019
100
19
0
0
0
100
19
0
0
0
December 25, 2020
100
16
0
0
0
100
16
0
0
0
December 25, 2021
100
13
0
0
0
100
13
0
0
0
December 25, 2022
100
11
0
0
0
100
11
0
0
0
December 25, 2023
100
9
0
0
0
100
9
0
0
0
December 25, 2024
100
7
0
0
0
100
7
0
0
0
December 25, 2025
100
6
0
0
0
100
6
0
0
0
December 25, 2026
100
5
0
0
0
100
3
0
0
0
December 25, 2027
100
1
0
0
0
100
0
0
0
0
December 25, 2028
100
0
0
0
0
100
0
0
0
0
December 25, 2029
100
0
0
0
0
100
0
0
0
0
December 25, 2030
100
0
0
0
0
100
0
0
0
0
December 25, 2031
100
0
0
0
0
100
0
0
0
0
December 25, 2032
100
0
0
0
0
100
0
0
0
0
December 25, 2033
89
0
0
0
0
89
0
0
0
0
December 25, 2034
76
0
0
0
0
76
0
0
0
0
December 25, 2035
62
0
0
0
0
62
0
0
0
0
December 25, 2036
0
0
0
0
0
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
28.92
9.23
4.85
3.82
2.87
28.92
9.20
4.78
3.60
2.73
Weighted Average Life to Optional Termination in Years(1)(2)
28.92
8.42
4.40
3.55
2.69
28.92
8.42
4.35
3.35
2.57
_______________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1)   The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2)   Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.
 
 
 
 
 

Percent of Initial Certificate Principal Balance Outstanding
 
 
Class M-5
Class M-6
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
100
100
100
100
100
December 25, 2008
100
100
100
100
100
100
100
100
100
100
December 25, 2009
100
100
100
86
15
100
100
100
29
15
December 25, 2010
100
100
44
16
5
100
100
44
16
0
December 25, 2011
100
83
30
9
0
100
83
30
9
0
December 25, 2012
100
70
21
0
0
100
70
21
0
0
December 25, 2013
100
58
14
0
0
100
58
14
0
0
December 25, 2014
100
48
10
0
0
100
48
10
0
0
December 25, 2015
100
40
7
0
0
100
40
4
0
0
December 25, 2016
100
34
0
0
0
100
34
0
0
0
December 25, 2017
100
28
0
0
0
100
28
0
0
0
December 25, 2018
100
23
0
0
0
100
23
0
0
0
December 25, 2019
100
19
0
0
0
100
19
0
0
0
December 25, 2020
100
16
0
0
0
100
16
0
0
0
December 25, 2021
100
13
0
0
0
100
13
0
0
0
December 25, 2022
100
11
0
0
0
100
11
0
0
0
December 25, 2023
100
9
0
0
0
100
9
0
0
0
December 25, 2024
100
7
0
0
0
100
6
0
0
0
December 25, 2025
100
4
0
0
0
100
0
0
0
0
December 25, 2026
100
0
0
0
0
100
0
0
0
0
December 25, 2027
100
0
0
0
0
100
0
0
0
0
December 25, 2028
100
0
0
0
0
100
0
0
0
0
December 25, 2029
100
0
0
0
0
100
0
0
0
0
December 25, 2030
100
0
0
0
0
100
0
0
0
0
December 25, 2031
100
0
0
0
0
100
0
0
0
0
December 25, 2032
100
0
0
0
0
100
0
0
0
0
December 25, 2033
89
0
0
0
0
89
0
0
0
0
December 25, 2034
76
0
0
0
0
76
0
0
0
0
December 25, 2035
62
0
0
0
0
62
0
0
0
0
December 25, 2036
0
0
0
0
0
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
28.92
9.15
4.71
3.45
2.62
28.92
9.10
4.65
3.34
2.54
Weighted Average Life to Optional Termination in Years(1)(2)
28.92
8.42
4.31
3.21
2.47
28.92
8.42
4.28
3.12
2.41
________________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1)   The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2)   Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.


Percent of Initial Certificate Principal Balance Outstanding
 
 
Class M-7
Class M-8
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
100
100
100
100
100
December 25, 2008
100
100
100
100
100
100
100
100
100
100
December 25, 2009
100
100
100
29
15
100
100
100
29
15
December 25, 2010
100
100
44
16
0
100
100
44
16
0
December 25, 2011
100
83
30
7
0
100
83
30
0
0
December 25, 2012
100
70
21
0
0
100
70
21
0
0
December 25, 2013
100
58
14
0
0
100
58
14
0
0
December 25, 2014
100
48
10
0
0
100
48
5
0
0
December 25, 2015
100
40
0
0
0
100
40
0
0
0
December 25, 2016
100
34
0
0
0
100
34
0
0
0
December 25, 2017
100
28
0
0
0
100
28
0
0
0
December 25, 2018
100
23
0
0
0
100
23
0
0
0
December 25, 2019
100
19
0
0
0
100
19
0
0
0
December 25, 2020
100
16
0
0
0
100
16
0
0
0
December 25, 2021
100
13
0
0
0
100
13
0
0
0
December 25, 2022
100
11
0
0
0
100
10
0
0
0
December 25, 2023
100
7
0
0
0
100
0
0
0
0
December 25, 2024
100
0
0
0
0
100
0
0
0
0
December 25, 2025
100
0
0
0
0
100
0
0
0
0
December 25, 2026
100
0
0
0
0
100
0
0
0
0
December 25, 2027
100
0
0
0
0
100
0
0
0
0
December 25, 2028
100
0
0
0
0
100
0
0
0
0
December 25, 2029
100
0
0
0
0
100
0
0
0
0
December 25, 2030
100
0
0
0
0
100
0
0
0
0
December 25, 2031
100
0
0
0
0
100
0
0
0
0
December 25, 2032
100
0
0
0
0
100
0
0
0
0
December 25, 2033
89
0
0
0
0
89
0
0
0
0
December 25, 2034
76
0
0
0
0
76
0
0
0
0
December 25, 2035
62
0
0
0
0
62
0
0
0
0
December 25, 2036
0
0
0
0
0
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
28.92
9.02
4.59
3.25
2.48
28.92
8.94
4.52
3.19
2.41
Weighted Average Life to Optional Termination in Years(1)(2)
28.92
8.42
4.26
3.06
2.36
28.92
8.42
4.24
3.03
2.31
__________________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1)   The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2)   Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.

 

Percent of Initial Certificate Principal Balance Outstanding
 
 
Class M-9
Distribution Date
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
December 25, 2008
100
100
100
100
100
December 25, 2009
100
100
100
29
15
December 25, 2010
100
100
44
16
0
December 25, 2011
100
83
30
0
0
December 25, 2012
100
70
21
0
0
December 25, 2013
100
58
13
0
0
December 25, 2014
100
48
0
0
0
December 25, 2015
100
40
0
0
0
December 25, 2016
100
34
0
0
0
December 25, 2017
100
28
0
0
0
December 25, 2018
100
23
0
0
0
December 25, 2019
100
19
0
0
0
December 25, 2020
100
16
0
0
0
December 25, 2021
100
8
0
0
0
December 25, 2022
100
0
0
0
0
December 25, 2023
100
0
0
0
0
December 25, 2024
100
0
0
0
0
December 25, 2025
100
0
0
0
0
December 25, 2026
100
0
0
0
0
December 25, 2027
100
0
0
0
0
December 25, 2028
100
0
0
0
0
December 25, 2029
100
0
0
0
0
December 25, 2030
100
0
0
0
0
December 25, 2031
100
0
0
0
0
December 25, 2032
100
0
0
0
0
December 25, 2033
89
0
0
0
0
December 25, 2034
76
0
0
0
0
December 25, 2035
62
0
0
0
0
December 25, 2036
0
0
0
0
0
Weighted Average Life to Maturity in Years(1)
28.92
8.80
4.44
3.10
2.38
Weighted Average Life to Optional Termination in Years(1)(2)
28.92
8.42
4.23
2.98
2.31
__________________
* If applicable, represents less than one-half of one percent, but greater than zero.
(1)   The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate.
(2)   Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted.
 

 

 
There is no assurance that prepayments of the mortgage loans in the mortgage pool will conform to any of the Prepayment Scenarios indicated in the immediately preceding tables, or to any other level, or that the actual weighted average lives of the offered certificates will conform to any of the weighted average lives set forth in the immediately preceding tables. Furthermore, the information contained in the tables with respect to the weighted average lives of the offered certificates is not necessarily indicative of the weighted average lives that might be calculated or projected under different or varying prepayment assumptions.
 
The characteristics of the mortgage loans included in the mortgage pool will differ from those assumed in preparing the immediately preceding tables. In addition, it is unlikely that any mortgage loan will prepay at any percentage of the Prepayment Assumption until maturity or that all of the mortgage loans included in the mortgage pool will prepay at the same rate. The timing of changes in the rate of prepayments may significantly affect the actual yield to maturity to investors, even if the average rate of principal prepayments is consistent with the expectations of investors.
 
Yield Sensitivity of the Mezzanine Certificates
 
If the Certificate Principal Balances of the Class CE Certificates and each class of Mezzanine Certificates with a lower distribution priority have been reduced to zero, the yield to maturity on the class of Mezzanine Certificates with the lowest distribution priority will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow or by amounts paid under the Cap Contract and available for that purpose), will be allocated to those certificates. Investors in the Mezzanine Certificates should fully consider the risk that Realized Losses on the mortgage loans could result in the failure of investors to fully recover their investments. Once a Realized Loss is allocated to a Mezzanine Certificate, such written down amount will not bear interest and will not be reinstated (except in the case of subsequent recoveries). However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to the holders of such Certificates on a subordinated basis without interest according to the priorities set forth under “Description of the Certificates—Credit Enhancement—Overcollateralization Provisions” and “—Cap Contract” in this prospectus supplement.
 
The Mezzanine Certificates will not be entitled to any principal distributions until the Stepdown Date or during any period in which a Trigger Event is in effect (unless the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero). As a result, the weighted average lives of the Mezzanine Certificates will be longer than would otherwise be the case if distributions of principal were allocated on a pro rata basis among all of the Class A Certificates and Mezzanine Certificates. As a result of the longer weighted average lives of the Mezzanine Certificates, the holders of these certificates have a greater risk of suffering a loss on their investments. Further, because a Trigger Event may be based on delinquencies, it is possible for the Mezzanine Certificates to receive no principal distributions (unless the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero) on and after the Stepdown Date, even if no losses have occurred on the mortgage pool. For additional considerations relating to the yield on the Mezzanine Certificates, see “Yield Considerations” and “Maturity and Prepayment Considerations” in the prospectus.
 
  DESCRIPTION OF THE CERTIFICATES
 
General Description of the Certificates
 
The certificates will consist of nineteen classes of certificates designated as the Class A-1 Certificates, the Class A-2A Certificates, the Class A-2B Certificates, the Class A-2C Certificates, the Class A-2D Certificates, the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates, the Class M-9 Certificates, the Class M-10 Certificates, the Class CE Certificates, the Class P Certificates, the Class R Certificates and the Class R-X Certificates. Only the Class A Certificates (other than the Class A-1 Certificates) and the Mezzanine Certificates (other than the Class M-10 Certificates) are offered by this prospectus supplement.
 
For the designations given to certain classes of certificates based on their characterization, see “Summary of Prospectus Supplement—The Certificates” in this prospectus supplement.
 
The certificates represent in the aggregate the entire beneficial ownership interest in a trust consisting primarily of the mortgage pool of conventional, one- to four-family, fixed-rate and adjustable-rate, first lien and second lien mortgage loans.
 
Distributions on the certificates will be made on the 25th day of each month, or, if such day is not a business day, on the next succeeding business day, beginning in January 2007.
 
Each class of offered certificates will have the initial Certificate Principal Balance (subject to the indicated permitted variance) and pass-through rate as set forth in the table appearing in the summary of this prospectus supplement and as described under “— Pass-Through Rates” below. The Class A-1 Certificates will have an initial Certificate Principal Balance of $222,647,000 and the Class M-10 Certificates will have an initial Certificate Principal Balance of $8,874,000.
 
The Class A Certificates in the aggregate evidence an initial approximate 79.50% undivided interest in the trust. The Mezzanine Certificates and the Class CE Certificates evidence the following approximate initial undivided interests in the trust:

Class
Percentage Interest (%)
M-1
3.65
M-2
3.45
M-3
1.90
M-4
1.80
M-5
1.60
M-6
1.35
M-7
1.30
M-8
0.75
M-9
1.30
M-10
1.20
CE
2.20

The offered certificates will be issued, maintained and transferred on the book-entry records of The Depository Trust Company, or DTC, and its participants in minimum denominations of $25,000 and integral multiples of $1.00 in excess of those minimum denominations.
 
All distributions to holders of the certificates, other than the final distribution on any class of certificates, will be made on each distribution date by or on behalf of the trust administrator to the persons in whose names the certificates are registered at the close of business on each record date. With respect to the Offered Certificates, the record date for each distribution date will be the close of business on the business day immediately preceding such distribution, for so long as such certificates are book-entry certificates as described under “—Registration of the Book-Entry Certificates” below. Distributions will be made either by check mailed to the address of each certificateholder as it appears in the certificate register or upon written request to the trust administrator at least five business days prior to the relevant record date by any holder of certificates by wire transfer in immediately available funds to the account of the certificateholder specified in the request. The final distribution on any class of certificates will be made in like manner, but only upon presentment and surrender of the related certificates at the corporate trust office of the trust administrator or other location specified in the notice to certificateholders of the final distribution.
 
Fees and Expenses of the Trust
 
The following fees and expenses will be paid from amounts received on the Mortgage Loans prior to distributions to certificateholders:
 
Fee Payable to:(1)
Frequency of Payment:
 
Amount of Fee:
How and When Fee Is Payable:
Servicers
Monthly
For each mortgage loan serviced by it, a monthly fee paid to the related servicer out of interest collections received from the related mortgage loan. The monthly fee is calculated as one-twelfth of the Servicing Fee Rate on the unpaid principal balance of the mortgage loan at the end of the applicable Due Period.
 
Withdrawn from amounts on deposit in the Collection Account, before distributions to certificateholders.(1)
Credit Risk Manager
Monthly
For each mortgage loan, a monthly fee payable to the credit risk manager. The monthly fee is calculated as one-twelfth of the Credit Risk Manager Fee Rate on the unpaid principal balance of the mortgage loan at the end of the applicable Due Period.
 
Paid by the trust administrator from amounts on deposit in the Distribution Account, before distributions to certificateholders.
PMI Insurer
Monthly
For each mortgage loan covered by the PMI Policy, a monthly fee payable to the PMI Insurer. The monthly fee is calculated as one-twelfth of the PMI Insurer Fee Rate on the unpaid principal balance of the related mortgage loan at the end of the applicable Due Period.
 
Paid by the trust administrator from amounts on deposit in the Distribution Account, before distributions to certificateholders.
(1)  
See “The Pooling and Servicing Agreement—Servicing and Other Compensation and Payment of Expenses” in this prospectus supplement for a description of additional compensation that the servicers may receive.
 
(2)  
The trust administrator will be paid income on amounts on deposit in the Distribution Account as set forth in the pooling and servicing agreement. The trustee and the related custodian will be paid by the trust administrator pursuant to the pooling and servicing agreement or the custodial agreement, as applicable. 
 
Registration of the Book-Entry Certificates
 
The offered certificates will be book-entry certificates. Persons acquiring beneficial ownership interests in the book-entry certificates are referred to as certificate owners and will hold their certificates through DTC in the United States, or, upon request, through Clearstream Banking Luxembourg, or Clearstream, formerly known as Cedelbank SA, or the Euroclear System, or Euroclear, in Europe if they are participants of these systems, or indirectly through organizations which are participants in these systems. The book-entry certificates will be issued in one or more certificates which equal the aggregate Certificate Principal Balance of such certificates and will initially be registered in the name of Cede & Co., the nominee of DTC. Clearstream and Euroclear will hold omnibus positions on behalf of their participants through customers’ securities accounts in Clearstream’s and Euroclear’s names on the books of their respective depositaries which in turn will hold such positions in customers’ securities accounts in the depositaries’ names on the books of DTC. Citibank will act as depositary for Clearstream and JPMorgan Chase Bank will act as depositary for Euroclear. Citibank and JPMorgan Chase Bank are referred to individually as the Relevant Depositary and together as the European Depositaries. Investors may hold such beneficial interests in the book-entry certificates in minimum denominations of $25,000. Except as described below, no certificate owner acquiring a book-entry certificate will be entitled to receive a physical, or definitive, certificate representing such certificate. Unless and until definitive certificates are issued, it is anticipated that the only certificateholder of the offered certificates will be Cede & Co., as nominee of DTC. Certificate owners will not be certificateholders as that term is used in the pooling and servicing agreement. Certificate owners are only permitted to exercise their rights indirectly through DTC and DTC participants.
 
The certificate owner’s ownership of a book-entry certificate will be recorded on the records of the brokerage firm, bank, thrift institution or other financial intermediary that maintains the certificate owner’s account for such purpose. In turn, the financial intermediary’s ownership of such book-entry certificate will be recorded on the records of DTC, or of a participating firm that acts as agent for the financial intermediary, whose interest will in turn be recorded on the records of DTC, if the beneficial owner’s financial intermediary is not a DTC participant and on the records of Clearstream or Euroclear, as appropriate.
 
Certificate owners will receive all distributions of principal of and interest on the book-entry certificates from the trust administrator through DTC and DTC participants. While the book-entry certificates are outstanding and except under the circumstances described below, under the rules, regulations and procedures creating and affecting DTC and its operations, DTC is required to make book-entry transfers among DTC participants on whose behalf it acts with respect to the book-entry certificates and is required to receive and transmit distributions of principal of, and interest on, the book-entry certificates. DTC participants and indirect participants with whom certificate owners have accounts with respect to book-entry certificates are similarly required to make book-entry transfers and receive and transmit such distributions on behalf of their respective certificate owners. Accordingly, although certificate owners will not possess certificates representing their respective interests in the book-entry certificates, the rules of DTC provide a mechanism by which certificate owners will receive distributions and will be able to transfer their interest.
 
Certificate owners will not receive or be entitled to receive certificates representing their respective interests in the book-entry certificates, except under the limited circumstances described below. Unless and until definitive certificates are issued, certificate owners who are not DTC participants may transfer ownership of book-entry certificates only through DTC participants and indirect participants by instructing such DTC participants and indirect participants to transfer book-entry certificates, by book-entry transfer, through DTC for the account of the purchasers of such book-entry certificates, which account is maintained with their respective DTC participants. Under the rules of DTC and in accordance with DTC’s normal procedures, transfers of ownership of book-entry certificates will be executed through DTC and the accounts of the respective DTC participants at DTC will be debited and credited. Similarly, the DTC participants and indirect participants will make debits or credits, as the case may be, on their records on behalf of the selling and purchasing certificate owners.
 
Because of time zone differences, credits of securities received in Clearstream or Euroclear as a result of a transaction with a DTC participant will be made during subsequent securities settlement processing and dated the business day following the DTC settlement date. Such credits or any transactions in such securities settled during such processing will be reported to the relevant Euroclear participants or Clearstream participants on such business day. Cash received in Clearstream or Euroclear as a result of sales of securities by or through a Clearstream participant or Euroclear participant to a DTC participant will be received with value on the DTC settlement date but will be available in the relevant Clearstream or Euroclear cash account only as of the business day following settlement in DTC.
 
Transfers between DTC participants will occur in accordance with the rules of DTC. Transfers between Clearstream participants and Euroclear participants will occur in accordance with their respective rules and operating procedures.
 
Cross-market transfers between persons holding directly or indirectly through DTC, on the one hand, and directly or indirectly through Clearstream participants or Euroclear participants, on the other, will be effected in DTC in accordance with DTC rules on behalf of the relevant European international clearing system by the Relevant Depositary; however, such cross market transactions will require delivery of instructions to the relevant European international clearing system by the counterparty in such system in accordance with its rules and procedures and within its established deadlines according to European time. The relevant European international clearing system will, if the transaction meets its settlement requirements, deliver instructions to the Relevant Depositary to take action to effect final settlement on its behalf by delivering or receiving securities in DTC, and making or receiving payment in accordance with normal procedures for same day funds settlement applicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to the European Depositaries.
 
DTC, which is a New York-chartered limited purpose trust company, performs services for its DTC participants, some of which and/or their representatives own DTC. In accordance with its normal procedures, DTC is expected to record the positions held by each DTC participant in the book-entry certificates, whether held for its own account or as a nominee for another person. In general, beneficial ownership of book-entry certificates will be subject to the rules of DTC, as in effect from time to time.
 
Clearstream, 67 Bd Grande-Duchesse Charlotte, L-1331 Luxembourg, was incorporated in 1970 as a limited company under Luxembourg law. Clearstream is owned by banks, securities dealers and financial institutions, and currently has about 100 shareholders, including U.S. financial institutions or their subsidiaries. No single entity may own more than five percent of Clearstream’s stock.
 
Clearstream is registered as a bank in Luxembourg, and as such is subject to regulation by the Institute Monetaire Luxembourgeois, the Luxembourg Monetary Authority, which supervises Luxembourg banks.
 
Clearstream holds securities for its participants and facilitates the clearance and settlement of securities transactions by electronic book-entry transfers between their accounts. Clearstream provides various services, including safekeeping, administration, clearance and settlement of internationally traded securities and securities lending and borrowing. Clearstream also deals with domestic securities markets in several countries through established depository and custodial relationships. Clearstream has established an electronic bridge with the Euroclear Operator in Brussels to facilitate settlement of trades between systems. Clearstream currently accepts over 150,000 securities issues on its books.
 
Clearstream’s customers are world-wide financial institutions including underwriters, securities brokers and dealers, banks, trust companies and clearing corporations. Clearstream’s United States customers are limited to securities brokers and dealers and banks. Currently, Clearstream has approximately 2,500 customers located in over 60 countries, including all major European countries, Canada, and the United States. Indirect access to Clearstream is available to other institutions which clear through or maintain a custodial relationship with an account holder of Clearstream.
 
Euroclear was created in 1968 to hold securities for its participants and to clear and settle transactions between Euroclear participants through simultaneous electronic book-entry delivery against payment, thereby eliminating the need for physical movement of certificates and any risk from lack of simultaneous transfers of securities and cash. Transactions may be settled in any of 29 currencies, including United States dollars. Euroclear includes various other services, including securities lending and borrowing and interfaces with domestic markets in several countries generally similar to the arrangements for cross-market transfers with DTC described above. Euroclear is operated by the Euroclear Bank S.A./N.V., or the Euroclear Operator, under contract with Euroclear Clearance Systems S.C., or the Cooperative, a Belgian cooperative corporation. All operations are conducted by the Euroclear Operator, and all Euroclear securities clearance accounts and Euroclear cash accounts are accounts with the Euroclear Operator, not the Cooperative. The Cooperative establishes policy for Euroclear on behalf of Euroclear participants.
 
Euroclear participants include banks, central banks, securities brokers and dealers and other professional financial intermediaries. Indirect access to Euroclear is also available to other firms that clear through or maintain a custodial relationship with a Euroclear participant, either directly or indirectly.
 
Securities clearance accounts and cash accounts with the Euroclear Operator are governed by the “Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the Euroclear System,” or the Terms and Conditions, and applicable Belgian law. These Terms and Conditions govern transfers of securities and cash within Euroclear, withdrawals of securities and cash from Euroclear, and receipts of payments with respect to securities in Euroclear. All securities in Euroclear are held on a fungible basis without attribution of specific certificates to specific securities clearance accounts. The Euroclear Operator acts under the Terms and Conditions only on behalf of Euroclear participants, and has no record of or relationship with persons holding through Euroclear participants.
 
Distributions on the book-entry certificates will be made on each distribution date by the trust administrator to Cede & Co. DTC will be responsible for crediting the amount of such payments to the accounts of the applicable DTC participants in accordance with DTC’s normal procedures. Each DTC participant will be responsible for disbursing such payments to the certificate owners of the book-entry certificates that it represents and to each financial intermediary for which it acts as agent. Each financial intermediary will be responsible for disbursing funds to the certificate owners of the book-entry certificates that it represents.
 
Under a book-entry format, certificate owners of the book-entry certificates may experience some delay in their receipt of payments, since such payments will be forwarded by the trust administrator to Cede & Co. Distributions with respect to certificates held through Clearstream or Euroclear will be credited to the cash accounts of Clearstream participants or Euroclear participants in accordance with the relevant system’s rules and procedures, to the extent received by the Relevant Depositary. Such distributions will be subject to tax reporting in accordance with relevant United States tax laws and regulations. Because DTC can only act on behalf of financial intermediaries, the ability of a certificate owner to pledge book-entry certificates to persons or entities that do not participate in the depository system, or otherwise take actions in respect of such book-entry certificates, may be limited due to the lack of physical certificates for the book-entry certificates. In addition, issuance of the book-entry certificates in book-entry form may reduce the liquidity of such certificates in the secondary market since certain potential investors may be unwilling to purchase certificates for which they cannot obtain physical certificates.
 
Monthly and annual reports on the trust will be provided to Cede & Co., as nominee of DTC, and may be made available by Cede & Co. to certificate owners upon request, in accordance with the rules, regulations and procedures creating and affecting the depository, and to the financial intermediaries to whose DTC accounts the book-entry certificates of such certificate owners are credited.
 
DTC has advised the trust administrator that, unless and until definitive certificates are issued, DTC will take any action permitted to be taken by the holders of the book-entry certificates under the pooling and servicing agreement only at the direction of one or more financial intermediaries to whose DTC accounts the book-entry certificates are credited, to the extent that such actions are taken on behalf of financial intermediaries whose holdings include such book-entry certificates. Clearstream or the Euroclear Operator, as the case may be, will take any other action permitted to be taken by a certificateholder under the pooling and servicing agreement on behalf of a Clearstream participant or Euroclear participant only in accordance with its relevant rules and procedures and subject to the ability of the Relevant Depositary to effect such actions on its behalf through DTC. DTC may take actions, at the direction of the related DTC participants, with respect to some book-entry certificates which conflict with actions taken with respect to other book-entry certificates.
 
Definitive certificates will be issued to certificate owners of the book-entry certificates, or their nominees, rather than to DTC or its nominee, only if: (a) DTC or the depositor advises the trust administrator in writing that DTC is no longer willing, qualified or able to discharge properly its responsibilities as nominee and depository with respect to the book-entry certificates and the depositor or the trust administrator is unable to locate a qualified successor or (b) after the occurrence of a servicer event of termination as set forth in the pooling and servicing agreement, certificate owners having percentage interests aggregating not less than 51% of the book-entry certificates advise the trust administrator and DTC through the financial intermediaries and the DTC participants in writing that the continuation of a book-entry system through DTC, or a successor to DTC, is no longer in the best interests of certificate owners.
 
Upon the occurrence of any of the events described in the immediately preceding paragraph, the trust administrator will be required to notify all certificate owners of the occurrence of such event and the availability through DTC of definitive certificates. Upon surrender by DTC of the global certificate or certificates representing the book-entry certificates and instructions for re-registration, the trust administrator on behalf of the trustee will issue definitive certificates, and thereafter the trust administrator will recognize the holders of the definitive certificates as certificateholders under the pooling and servicing agreement.
 
Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of book-entry certificates among DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform such procedures and such procedures may be discontinued at any time.
 
None of the depositor, the servicers, the trustee or (except in connection with its role as depositary for Clearstream) the trust administrator will have any responsibility for any aspect of the records relating to or payments made on account of beneficial ownership interests of the book-entry certificates held by Cede & Co., as nominee for DTC, or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests.
 
Pass-Through Rates
 
The pass-through rate for any class of Floating Rate Certificates and any distribution date will be the lesser of (i) the related Formula Rate for such distribution date and (ii) the related Net WAC Pass-Through Rate for such distribution date. See “—Glossary” below.
 
Each class of Floating Rate Certificates will accrue interest during each Interest Accrual Period on the related Certificate Principal Balance at the related pass-through rate calculated as described above. Interest will accrue on the Floating Rate Certificates on the basis of a 360 day year and the actual number of days elapsed in such Interest Accrual Period. The interest entitlement of each class of Floating Rate Certificates on each distribution date will also include any interest distributable on such class on the prior distribution date (exclusive of any Net WAC Rate Carryover Amount for such class) that was undistributed on such prior distribution date together with interest on such undistributed amount for the most recently-ended Interest Accrual Period at the applicable pass-through rate therefor. The interest entitlement of each class of certificates will be reduced, to not less than zero, in the case of each class, by the allocable share for such class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicers and by the allocable share for such class of shortfalls resulting from the application of the Relief Act. See “—Interest Distributions” below.
 
The pass-through rate for each class of Floating Rate Certificates for the Interest Accrual Period beginning on a distribution date, to the extent it has been determined, and for the immediately preceding Interest Accrual Period will be made available via the trust administrator’s internet website, together with the monthly statements required by the pooling and servicing agreement. See “—Reports to Certificateholders” below.
 
Calculation of One-Month LIBOR
 
With respect to each Interest Accrual Period and the Floating Rate Certificates, on the second business day preceding such Interest Accrual Period, (each such date, an “Interest Determination Date”), the trust administrator will determine one-month LIBOR for such Interest Accrual Period. “One-month LIBOR” means, as of any Interest Determination Date, the London interbank offered rate for one-month U.S. dollar deposits which appears on Telerate Page 3750 (as defined herein), Bloomberg Page BBAM or another page of these or any other financial reporting service in general use in the financial services industry, as of 11:00 a.m. (London time) on such date. If such rate does not appear on Telerate Page 3750, the rate for that day will be determined on the basis of the offered rates of the Reference Banks (as defined herein) for one-month U.S. dollar deposits, as of 11:00 a.m. (London time) on such Interest Determination Date. The trust administrator will request the principal London office of each of the Reference Banks to provide a quotation of its rate. If on such Interest Determination Date two or more Reference Banks provide such offered quotations, one-month LIBOR for the related Interest Accrual Period shall be the arithmetic mean of such offered quotations (rounded upwards if necessary to the nearest whole multiple of 0.0625%). If on such Interest Determination Date fewer than two Reference Banks provide such offered quotations, one-month LIBOR for the related Interest Accrual Period shall be the higher of (x) one-month LIBOR as determined on the previous Interest Determination Date and (y) the Reserve Interest Rate (as defined herein).
 
As used in this section, “business day” means a day on which banks are open for dealing in foreign currency and exchange in London and New York City; “Telerate Page 3750” means the display page currently so designated on the Dow Jones Telerate Capital Markets Report (or such other page as may replace that page on that service for the purpose of displaying comparable rates or prices); “Reference Banks” means leading banks selected by the trust administrator and engaged in transactions in Eurodollar deposits in the international Eurocurrency market (i) with an established place of business in London, (ii) which have been designated as such by the trust administrator and (iii) not controlling, controlled by, or under common control with, the depositor or the sponsor; and “Reserve Interest Rate” shall be the rate per annum that the trust administrator determines to be either (i) the arithmetic mean (rounded upwards if necessary to the nearest whole multiple of 0.0625%) of the one-month U.S. dollar lending rates which two or more New York City banks selected by the trust administrator are quoting on the relevant Interest Determination Date to the principal London offices of leading banks in the London interbank market or, (ii) in the event that the trust administrator can determine no such arithmetic mean because fewer than two New York City banks have provided such quotes, the lowest one-month U.S. dollar lending rate which two or more New York City banks selected by the trust administrator are quoting on such Interest Determination Date to leading European banks.
 
The establishment of one-month LIBOR on each Interest Determination Date by the trust administrator and the trust administrator’s calculation of the rate of interest applicable to the Floating Rate Certificates for the related Interest Accrual Period shall (in the absence of manifest error) be final and binding.
 
Glossary
 
The following terms are given the meanings shown below to help describe the cash flows on the certificates:
 
“Allocated Realized Loss Amount”: An Allocated Realized Loss Amount with respect to any class of Mezzanine Certificates and any distribution date will be (x) an amount equal to the sum of any Realized Losses allocated to that class of certificates on the distribution date as described above in “—Allocation of Losses; Subordination” and any Allocated Realized Loss Amount for that class remaining undistributed from the previous distribution date minus (y) the amount of the increase in the related Certificate Principal Balance due to the receipt of Subsequent Recoveries.
 
“Available Distribution Amount”: The Available Distribution Amount for any distribution date will be equal to the sum, net of amounts (other than the servicing fee and the credit risk manager fee) reimbursable therefrom to the servicers, the trust administrator or the trustee, of (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, after deduction of the servicing fees, the PMI insurer fee and the credit risk manager fee for such distribution date, (ii) certain unscheduled payments in respect of the mortgage loans (including prepayments, insurance proceeds, liquidation proceeds, Subsequent Recoveries and proceeds from repurchases of and substitutions for the mortgage loans) occurring during the related Prepayment Period and (iii) all P&I Advances and Compensating Interest with respect to the mortgage Loans received for the related distribution date. Prepayment Charges collected with respect to the mortgage loans will not be included among the “Available Distribution Amount” available for general distributions on the certificates. Prepayment Charges will be distributed to the holders of the Class P Certificates which are not offered hereby.
 
“Bankruptcy Loss”: A Bankruptcy Loss is a Deficient Valuation or a Debt Service Reduction.
 
“Certificate Margin”: With respect to the Floating Rate Certificates and any distribution date, the applicable Certificate Margin for such distribution date as set forth below:
 
 
Margin
Class
(1)
(2)
A-1
0.140%
0.280%
A-2A
0.070%
0.140%
A-2B
0.100%
0.200%
A-2C
0.160%
0.320%
A-2D
0.230%
0.460%
M-1
0.270%
0.405%
M-2
0.290%
0.435%
M-3
0.310%
0.465%
M-4
0.380%
0.570%
M-5
0.400%
0.600%
M-6
0.460%
0.690%
M-7
0.850%
1.275%
M-8
1.500%
2.250%
M-9
2.500%
3.750%
M-10
2.500%
3.750%
__________
(1)   For the interest accrual period for each distribution date through and including the first distribution date on which the aggregate principal balance of the mortgage loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date.
(2)   For each interest accrual period thereafter.

“Certificate Principal Balance”: The Certificate Principal Balance of any Floating Rate Certificate as of any date of determination will be equal to the initial Certificate Principal Balance of such certificate reduced by the aggregate of all amounts allocable to principal previously distributed with respect to that certificate and with respect to any Mezzanine Certificate, any reductions in the Certificate Principal Balance of such certificate deemed to have occurred in connection with allocations of Realized Losses in the manner described in this prospectus supplement (taking into account any increases in the Certificate Principal Balance thereof due to the receipt of Subsequent Recoveries as described below). The Certificate Principal Balance of the Class CE Certificates as of any date of determination will be equal to the excess, if any, of the then aggregate principal balance of the mortgage loans over the then aggregate Certificate Principal Balance of the Floating Rate Certificates and the Class P Certificates. In the event that Realized Losses on a mortgage loan are subsequently recovered from the proceeds of a mortgage loan, the Certificate Principal Balance of the most senior class of Mezzanine Certificates then outstanding to which realized losses have been allocated will be increased by the amount of such subsequently recovered loss amount, to the extent of aggregate Realized Losses previously allocated to such class.
 
“Class M-1 Principal Distribution Amount”: The Class M-1 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 66.30% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
“Class M-2 Principal Distribution Amount”: The Class M-2 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 73.20% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
“Class M-3 Principal Distribution Amount”: The Class M-3 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 77.00% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
“Class M-4 Principal Distribution Amount”: The Class M-4 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date) and (v) the Certificate Principal Balance of the Class M-4 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 80.60% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
“Class M-5 Principal Distribution Amount”: The Class M-5 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date) and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 83.80% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
“Class M-6 Principal Distribution Amount”: The Class M-6 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date) and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 86.50% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date. 
 
“Class M-7 Principal Distribution Amount”: The Class M-7 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date) and (viii) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 89.10% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date. 
 
“Class M-8 Principal Distribution Amount”: The Class M-8 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date) and (ix) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 90.60% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date. 
 
“Class M-9 Principal Distribution Amount”: The Class M-9 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date) and (x) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 93.20% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date. 
 
“Class M-10 Principal Distribution Amount”: The Class M-10 Principal Distribution Amount is an amount equal to the excess of:
 
•         the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distribution of the Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date), (x) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related distribution date) and (xi) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to the related distribution date over
 
•         the lesser of (A) the product of (i) approximately 95.60% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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 (B) the excess, if any, of the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date. 
 
“Compensating Interest”: With respect to any principal prepayments in full or in part, any payments made by the servicers from their own funds to cover Prepayment Interest Shortfalls as described herein up to the related servicing fee actually received for the related calendar month.
 
“Credit Risk Manager Fee”: With respect to any distribution date, the premium payable to the Credit Risk Manager at the Credit Risk Manager Fee Rate on the then current aggregate principal balance of the mortgage loans. Such fee will be paid monthly from the trust in accordance with the pooling and servicing agreement.
 
“Credit Risk Manager Fee Rate”: With respect to any distribution date, 0.015% per annum.
 
“Debt Service Reduction”: A Debt Service Reduction is any reduction in the amount which a mortgagor is obligated to pay on a monthly basis with respect to a mortgage loan as a result of any proceeding initiated under the United States Bankruptcy Code, other than a reduction attributable to a Deficient Valuation.
 
“Deficient Valuation”: With respect to any mortgage loan, a Deficient Valuation is a valuation by a court of competent jurisdiction of the mortgaged property in an amount less than the then outstanding indebtedness under the mortgage loan, which valuation results from a proceeding initiated under the United States Bankruptcy Code.
 
“Determination Date”: The Determination Date with respect to any distribution date will be the 15th day of the calendar month in which such distribution date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th day.
 
“Due Period”: The Due Period with respect to any distribution date will be the period commencing on the second day of the month immediately preceding the month in which the distribution date occurs and ending on the first day of the month in which the distribution date occurs.
 
“Expense Adjusted Mortgage Rate”: The Expense Adjusted Mortgage Rate on any mortgage loan is equal to the then applicable mortgage rate on the mortgage loan minus the sum of (i) the Servicing Fee Rate, (ii) the Credit Risk Manager Fee Rate and (iii) the PMI Insurer Fee Rate, if applicable.
 
“Expense Adjusted Maximum Mortgage Rate”: The Expense Adjusted Maximum Mortgage Rate on any mortgage loan is equal to the then applicable maximum mortgage rate (or the mortgage rate in the case of any fixed-rate mortgage loan) minus the sum of (i) the Servicing Fee Rate, (ii) the Credit Risk Manager Fee Rate and (iii) the PMI Insurer Fee Rate, if applicable.
 
“Formula Rate”: With respect to the Floating Rate Certificates is the lesser of (a) one-month LIBOR plus the applicable Certificate Margin and (b) the Maximum Cap Rate.
 
“Group I Allocation Percentage”: The Group I Allocation Percentage for any distribution date is the percentage equivalent of a fraction, the numerator of which (i) the Group I Principal Remittance Amount for such distribution date and the denominator of which is (ii) the Principal Remittance Amount for such distribution date.
 
“Group I Interest Remittance Amount”: The Group I Interest Remittance Amount for any distribution date will be (i) interest received or advanced on the Group I Mortgage Loans and (ii) amounts in respect of Prepayment Interest Shortfalls paid by the servicers on the Group I Mortgage Loans (in each case, to the extent remaining after payment of an allocable portion of (A) the servicing fees for such distribution date and any unpaid servicing fees in respect of prior periods collected by the servicers, (B) the credit risk manager fee for such distribution date and (C) the PMI insurer fee, if applicable, for such distribution date).
 
“Group I Principal Distribution Amount”: The Group I Principal Distribution Amount for any distribution date will be the sum of (i) the principal portion of all scheduled monthly payments due on the Group I Mortgage Loans during the related Due Period, to the extent received on or prior to the related Determination Date or advanced prior to such distribution date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group I Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal adjustment) during the related Prepayment Period; (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds, Subsequent Recoveries and all full and partial principal prepayments, received on the Group I Mortgage Loans during the related Prepayment Period, to the extent applied as recoveries of principal on the mortgage loans and (iv) the Group I Allocation Percentage of the amount of any Overcollateralization Increase Amount for such distribution date minus (v) the Group I Allocation Percentage of the amount of any Overcollateralization Reduction Amount for such distribution date. In no event will the Group I Principal Distribution Amount with respect to any distribution date be (x) less than zero or (y) greater than the then outstanding aggregate Certificate Principal Balance of the Floating Rate Certificates.
 
“Group I Principal Remittance Amount”: The Group I Principal Remittance Amount for any distribution date will be equal to the sum of the amounts described in clauses (i) through (iii) of the definition of Group I Principal Distribution Amount.
 
“Group I Senior Principal Distribution Amount”: The Group I Senior Principal Distribution Amount is an amount equal to the excess of (i) the aggregate Certificate Principal Balance of the Group I Certificates immediately prior to the related distribution date over (ii) the lesser of (A) the product of (i) approximately 59.00% and (ii) the aggregate principal balance of the Group I Mortgage Loans as of the last day of the related Due Period (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 (B) the aggregate principal balance of the Group I Mortgage Loans as of the last day of the related Due Period (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) minus approximately 0.50% of the aggregate principal balance of the Group I Mortgage Loans as of the cut-off date.
 
“Group II Allocation Percentage”: The Group II Allocation Percentage for any distribution date is the percentage equivalent of a fraction, the numerator of which (i) the Group II Principal Remittance Amount for such distribution date and the denominator of which is (ii) the Principal Remittance Amount for such distribution date.
 
“Group II Interest Remittance Amount”: The Group II Interest Remittance Amount for any distribution date will be (i) interest received or advanced on the Group II Mortgage Loans and (ii) amounts in respect of Prepayment Interest Shortfalls paid by the servicers on the Group II Mortgage Loans (in each case, to the extent remaining after payment of an allocable portion of (A) the servicing fees for such distribution date and any unpaid servicing fees in respect of prior periods collected by the servicers, (B) the credit risk manager fee for such distribution date) and (C) the PMI insurer fee, if applicable, for such distribution date).
 
“Group II Principal Distribution Amount”: The Group II Principal Distribution Amount for any distribution date will be the sum of (i) the principal portion of all scheduled monthly payments due on the Group II Mortgage Loans during the related Due Period, to the extent received on or prior to the related Determination Date or advanced prior to such distribution date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group II Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal adjustment) during the related Prepayment Period; (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds, Subsequent Recoveries and all full and partial principal prepayments, received on the Group II Mortgage Loans during the related Prepayment Period, to the extent applied as recoveries of principal on the mortgage loans and (iv) the Group II Allocation Percentage of the amount of any Overcollateralization Increase Amount for such distribution date minus (v) the Group II Allocation Percentage of the amount of any Overcollateralization Reduction Amount for such distribution date. In no event will the Group II Principal Distribution Amount with respect to any distribution date be (x) less than zero or (y) greater than the then outstanding aggregate Certificate Principal Balance of the Floating Rate Certificates.
 
“Group II Principal Remittance Amount”: The Group II Principal Remittance Amount for any distribution date will be equal to the sum of the amounts described in clauses (i) through (iii) of the definition of Group II Principal Distribution Amount.
 
“Group II Senior Principal Distribution Amount”: The Group II Senior Principal Distribution Amount is an amount equal to the excess of (i) the aggregate Certificate Principal Balance of the Group II Certificates immediately prior to the related distribution date over (ii) the lesser of (A) the product of (i) approximately 59.00% and (ii) the aggregate principal balance of the Group II Mortgage Loans as of the last day of the related Due Period (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 (B) the aggregate principal balance of the Group II Mortgage Loans as of the last day of the related Due Period (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) minus approximately 0.50% of the aggregate principal balance of the Group II Mortgage Loans as of the cut-off date.
 
“Interest Accrual Period”: The Interest Accrual Period for any distribution date and the Floating Rate Certificates will be the period commencing on the distribution date of the month immediately preceding the month in which the distribution date occurs or, in the case of the first distribution date, commencing on the closing date, and ending on the day immediately preceding the distribution date. All distributions of interest on the Floating Rate Certificates will be based on a 360-day year and the actual number of days in the applicable Interest Accrual Period.
 
“Interest Carry Forward Amount”: The Interest Carry Forward Amount with respect to any class of Floating Rate Certificates and 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 the certificates in respect of interest on the immediately preceding distribution date, together with any Interest Carry Forward Amount with respect to that class of certificates remaining unpaid from any previous distribution date, plus interest accrued thereon at the related pass-through rate on such class of certificates for the most recently ended Interest Accrual Period.
 
“Interest Distribution Amount”: The Interest Distribution Amount for each class of certificates on any distribution date will be equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of such class of certificates immediately prior to the distribution date at the then applicable pass-through rate for such class, reduced, to not less than zero, in the case of each class, by the allocable share for such class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicers and shortfalls resulting from the application of the Relief Act or any state law providing for similar relief.
 
“Maximum Cap Rate”: The Maximum Cap Rate for any distribution date and
 
(a) the Group I Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Maximum Mortgage Rates on the then outstanding Group I Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period, plus an amount, expressed as a per annum rate, equal to the product of (i) the payment made by the cap counterparty divided by the aggregate principal balance of the mortgage loans and (ii) 12;
 
(b) the Group II Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Maximum Mortgage Rates on the then outstanding Group II Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period, plus an amount, expressed as a per annum rate, equal to the product of (i) the payment made by the cap counterparty divided by the aggregate principal balance of the mortgage loans and (ii) 12; and
 
(c) the Mezzanine Certificates is a per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of the mortgage loans in each loan group the current aggregate Certificate Principal Balance of the related Class A Certificates) of (i) the Maximum Cap Rate for the Group I Certificates and (ii) the Maximum Cap Rate for the Group II Certificates.
 
“Net Monthly Excess Cashflow”: The Net Monthly Excess Cashflow for any distribution date will be equal to the sum of (a) any Overcollateralization Reduction Amount and (b) the excess of:
 
•
 
the Available Distribution Amount for such distribution date over
•
 
the sum for such distribution date of the aggregate of (a) the Senior Interest Distribution Amounts distributable to the holders of the Class A Certificates, (b) the Interest Distribution Amounts distributable to the holders of the Mezzanine Certificates and (c) the Principal Remittance Amount.

“Net WAC Pass-Through Rate”: The Net WAC Pass-Through Rate for any distribution date and
 
(a) the Group I Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Group I Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period;
 
(b) the Group II Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Group II Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period; and
 
(c) the Mezzanine Certificates is a per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of the mortgage loans in each loan group the current aggregate Certificate Principal Balance of the related Class A Certificates) of (i) the Net WAC Pass-Through Rate for the Group I Certificates and (ii) the Net WAC Pass-Through Rate for the Group II Certificates.
 
“Net WAC Rate Carryover Reserve Account”: The reserve account established by the trust administrator from which payments in respect of Net WAC Rate Carryover Amounts on the Floating Rate Certificates will be made.
 
“Net WAC Rate Carryover Amount”: For any class of Floating Rate Certificates and any distribution date, an amount equal to the sum of (i) the excess, if any, of (x) the amount of interest such class of certificates would have accrued for such distribution date had the related pass-through rate been the related Formula Rate, over (y) the amount of interest such class of certificates accrued for such distribution date at the related Net WAC Pass-Through Rate and (ii) the unpaid portion of any Net WAC Rate Carryover Amount for such class from any prior distribution date together with interest accrued on such unpaid portion for the most recently ended Interest Accrual Period at the Formula Rate applicable for such class for such Interest Accrual Period.
 
“Overcollateralization Increase Amount”: The Overcollateralization Increase Amount with respect to any distribution date will equal the lesser of (a) the sum of (i) the Net Monthly Excess Cashflow for such distribution date and (ii) any amounts received under the Cap Contract for this purpose and (b) the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralized Amount on such distribution date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such distribution date has been distributed).
 
“Overcollateralization Reduction Amount”: The Overcollateralization Reduction Amount with respect to any distribution date will equal the lesser of (a) the Principal Remittance Amount on such distribution date and (b) the excess, if any, of (i) the Overcollateralized Amount for such distribution date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such distribution date has been distributed) over (ii) the Overcollateralization Target Amount for such distribution date.
 
“Overcollateralization Target Amount”: The Overcollateralization Target Amount with respect to any distribution date, (i) prior to the Stepdown Date, an amount equal to approximately 2.20% of the aggregate principal balance of the mortgage loans as of the cut-off date, (ii) on or after the Stepdown Date, provided a Trigger Event is not in effect, the greater of (x) approximately 4.40% of the then current aggregate outstanding principal balance of the mortgage loans as of the last day of the related Due Period (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 (y) 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date or (iii) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding distribution date. On and after any distribution date following the reduction of the aggregate Certificate Principal Balance of the Floating Rate Certificates to zero, the Overcollateralization Target Amount will be zero. Notwithstanding the foregoing, the percentages set forth above are subject to a variance of plus or minus 5%.
 
“Overcollateralized Amount”: The Overcollateralized Amount with respect to any distribution date will equal the excess, if any, of (a) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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) over (b) the aggregate Certificate Principal Balance of the Floating Rate Certificates and the Class P Certificates (after taking into account the distributions of the Principal Remittance Amount on the related distribution date).
 
“PMI Insurer Fee Rate”: With respect to any distribution date and any mortgage loan covered by the PMI Policy, the PMI Insurer Fee Rate is 1.21% per annum.
 
“Prepayment Interest Shortfall”: With respect to any principal prepayments on the mortgage loans, any resulting interest shortfall.
 
“Prepayment Period”: With respect to the mortgage loans serviced by Wells Fargo Bank but originated by an originator other than Wells Fargo Bank, and (i) voluntary principal payments in full, the period commencing on the 14th day of the month preceding the month in which such distribution date occurs (or in the case of the first distribution date, commencing in December 1, 2006) and ending on the 13th day of the calendar month in which such distribution date occurs and (ii) principal prepayments in part, the calendar month preceding the month in which such distribution date occurs. With respect to the mortgage loans serviced by Wells Fargo Bank and originated by Wells Fargo Bank and any distribution date is, with respect to any prepayments in full, prepayments in part, liquidations and other unscheduled collections on the mortgage loans, the calendar month immediately preceding the month in which such distribution date occurs. With respect to the mortgage loans serviced by JPMCB and Ocwen, and (i) voluntary principal payments in full, the period commencing on the 16th day of the month preceding the month in which such distribution date occurs (or in the case of the first distribution date, commencing in December 1, 2006) and ending on the 15th day of the calendar month in which such distribution date occurs and (ii) principal prepayments in part, the calendar month preceding the month in which such distribution date occurs. With respect to the mortgage loans serviced by Countrywide and any distribution date is, with respect to any voluntary principal payments in full, principal prepayments in part, liquidations and other unscheduled collections on the mortgage loans, the calendar month immediately preceding the month in which such distribution date occurs.
 
“Principal Remittance Amount”: The Principal Remittance Amount for any distribution date will be the sum of (a) the Group I Principal Remittance Amount and (b) the Group II Principal Remittance Amount.
 
“Realized Loss”: A Realized Loss is (a) a Bankruptcy Loss or (b) with respect to any defaulted mortgage loan that is finally liquidated through foreclosure sale, disposition of the related mortgaged property (if acquired on behalf of the certificateholders by foreclosure or deed in lieu of foreclosure) or otherwise, is the amount of loss realized, if any, equal to the portion of the unpaid principal balance remaining, if any, plus interest thereon through the last day of the month in which such mortgage loan was finally liquidated, after application of all amounts recovered (net of amounts reimbursable to the servicers for P&I Advances, servicing advances and other related expenses, including attorney’s fees) towards interest and principal owing on the mortgage loan.
 
“Senior Enhancement Percentage”: The Senior Enhancement Percentage for any distribution date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the Mezzanine Certificates and the Class CE Certificates, calculated after taking into account distribution of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount to the holders of the certificates then entitled to distributions thereof on the related distribution date, by (y) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (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).
 
“Senior Interest Distribution Amount”: The Senior Interest Distribution Amount for each class of Class A Certificates on any distribution date is equal to the sum of the Interest Distribution Amount for that class for that distribution date and the Interest Carry Forward Amount, if any, for that class for that distribution date.
 
“Senior Principal Distribution Amount”: The Senior Principal Distribution Amount for any distribution date is the sum of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount.
 
“Servicing Fee Rate”: The Servicing Fee Rate on each mortgage loan is 0.500% per annum. With respect to the Wells Fargo mortgage loans originated by Wells Fargo the Servicing Fee Rate is 0.375% per annum.
 
“Servicing Remittance Date”: The Servicer Remittance Date (except with respect to Ocwen) and any distribution date will be the 18th day of the calendar month in which such distribution date occurs or, if such 18th day is not a business day, the immediately following business day. With respect to Ocwen and any distribution date, the 22nd day of the calendar month in which such distribution date occurs or, if such 22nd day is not a business day, the immediately following business day.
 
“Stepdown Date”: The Stepdown Date will be the earlier to occur of (i) the distribution date immediately succeeding the 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 January 2010 and (y) the first distribution date on which the Senior Enhancement Percentage (calculated for this purpose only prior to any distribution of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the related distribution date) is greater than or equal to approximately 41.00%.
 
“Subsequent Recoveries”: Subsequent recoveries, net of expenses reimbursable to the servicers, with respect to mortgage loans that have been previously liquidated and that resulted in a Realized Loss in a month prior to the month of receipt of such recoveries.
 
“Trigger Event”: With respect to any distribution date, a Trigger Event is in effect if:
 
(i)
 
(A) the percentage obtained by dividing the aggregate principal balance of mortgage loans delinquent 60 days or more (including mortgage loans delinquent 60 days or more and in foreclosure or in bankruptcy and REO properties) by the aggregate principal balance of all of the mortgage loans, in each case, as of the last day of the previous calendar month, exceeds (B) 38.00% of the Senior Enhancement Percentage for the prior distribution date; or
 
(ii)
 
the aggregate amount of Realized Losses incurred since the cut-off date through the last day of the related Prepayment Period (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), reduced by the aggregate amount of Subsequent Recoveries received since the cut-off date through the last day of the related Prepayment 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
January 2010 through December 2010
1.60%
January 2011 through December 2011
3.60%
January 2012 through December 2012
5.60%
January 2013 through December 2013
7.20%
January 2014 and thereafter
8.05%


Interest Distributions
 
On each distribution date, the trust administrator will withdraw from the Distribution Account that portion of Available Distribution Amount for such distribution date consisting of the Interest Remittance Amount for such distribution date and make the following disbursements and transfers in the order of priority described below, in each case to the extent of the Interest Remittance Amount remaining for such distribution date.
 
I. On each distribution date, the Group I Interest Remittance Amount will be distributed in the following order of priority:
 
(i) to the holders of the Group I Certificates, the Senior Interest Distribution Amount allocable to the Group I Certificates; and
 
(ii) concurrently, to the holders of each class of Group II Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amounts related to such certificates, to the extent remaining undistributed after the distribution of the Group II Interest Remittance Amount, as set forth in clause II below.
 
II. On each distribution date, the Group II Interest Remittance Amount will be distributed in the following order of priority:
 
(i) concurrently, to the holders of each class of Group II Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amounts allocable to the Group II Certificates; and
 
(ii) to the holders of the Group I Certificates, the Senior Interest Distribution Amount related to such certificates, to the extent remaining undistributed after the distribution of the Group I Interest Remittance Amount, as set forth in clause I above.
 
III. On each distribution date, following the distributions made pursuant to clauses I and II above, the sum of the Group I Interest Remittance Amount and the Group II Interest Remittance Amount remaining will be distributed sequentially, to the holders of 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, in that order, in an amount equal to the Interest Distribution Amount for each such class.
 
On any distribution date, any Prepayment Interest Shortfalls to the extent not covered by the servicers and any shortfalls resulting from the application of the Relief Act or similar state laws will be allocated, first, in reduction of the Interest Distribution Amount with respect to the Class CE Certificates determined as provided in the pooling and servicing agreement, and thereafter, in reduction of the Interest Distribution Amounts with respect to the Floating Rate Certificates on a pro rata basis based on their respective entitlements to such interest for such distribution date. The holders of the Floating Rate Certificates will not be entitled to reimbursement for any such interest shortfalls.
 
Principal Distributions
 
I. On each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, distributions in respect of principal to the extent of the Group I Principal Distribution Amount will be made in the following amounts and order of priority:
 
(i) to the holders of the Group I Certificates until the Certificate Principal Balance thereof has been reduced to zero; and
 
(ii) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), after taking into account the distribution of the Group II Principal Distribution Amount already distributed, as described herein, until the Certificate Principal Balances thereof have been reduced to zero.
 
II. On each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, distributions in respect of principal to the extent of the Group II Principal Distribution Amount will be made in the following amounts and order of priority:
 
(i) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), until the Certificate Principal Balances thereof have been reduced to zero; and
 
(ii) to the holders of the Group I Certificates, after taking into account the distribution of the Group I Principal Distribution Amount already distributed, as described herein, until the Certificate Principal Balance thereof has been reduced to zero.
 
III. On each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, distributions in respect of principal to the extent of the sum of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount remaining undistributed for such distribution date will be made sequentially to the holders of 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, in that order, in each case, until the Certificate Principal Balance of each such class has been reduced to zero.
 
IV. On each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, distributions in respect of principal to the extent of the Group I Principal Distribution Amount will be made in the following amounts and order of priority:
 
(i) to the holders of the Group I Certificates, up to an amount equal to the Group I Senior Principal Distribution Amount until the Certificate Principal Balance thereof has been reduced to zero; and
 
(ii) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), after taking into account the distribution of the Group II Principal Distribution Amount as described herein, up to an amount equal to the Group II Senior Principal Distribution Amount remaining undistributed, until the Certificate Principal Balances thereof have been reduced to zero.
 
V. On each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, distributions in respect of principal to the extent of the Group II Principal Distribution Amount will be made in the following amounts and order of priority:
 
(i) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), up to an amount equal to the Group II Senior Principal Distribution Amount, until the Certificate Principal Balances thereof have been reduced to zero; and
 
(ii) to the holders of the Group I Certificates, after taking into account the distribution of the Group I Principal Distribution Amount as described herein, up to an amount equal to the Group I Senior Principal Distribution Amount remaining undistributed, until the Certificate Principal Balance thereof has been reduced to zero.
 
VI. On each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, distributions in respect of principal to the extent of the sum of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount remaining undistributed for such distribution date will be made in the following amounts and order of priority:
 
(i) to the holders of the Class M-1 Certificates, up to an amount equal to the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(ii) to the holders of the Class M-2 Certificates, up to an amount equal to the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(iii) to the holders of the Class M-3 Certificates, up to an amount equal to the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(iv) to the holders of the Class M-4 Certificates, up to an amount equal to the Class M-4 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(v) to the holders of the Class M-5 Certificates, up to an amount equal to the Class M-5 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(vi) to the holders of the Class M-6 Certificates, up to an amount equal to the Class M-6 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(vii) to the holders of the Class M-7 Certificates, up to an amount equal to the Class M-7 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(viii) to the holders of the Class M-8 Certificates, up to an amount equal to the Class M-8 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero;
 
(ix) to the holders of the Class M-9 Certificates, up to an amount equal to the Class M-9 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and
 
(x) to the holders of the Class M-10 Certificates, up to an amount equal to the Class M-10 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero.
 
The allocation of distributions in respect of principal to the Class A Certificates on each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, will have the effect of accelerating the amortization of the Class A Certificates while, in the absence of Realized Losses, increasing the respective percentage interest in the aggregate principal balance of the mortgage loans evidenced by the Subordinate Certificates. Increasing the respective percentage interest in the trust of the Subordinate Certificates relative to that of the Class A Certificates is intended to preserve the availability of the subordination provided by the Subordinate Certificates.
 
With respect to the Group II Certificates, all principal distributions will be distributed sequentially, to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until their respective Certificate Principal Balances have been reduced to zero, with the exception that on any distribution date on which the aggregate Certificate Principal Balance of the Subordinate Certificates has been reduced to zero, principal distributions will be allocated concurrently, to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, on a pro rata basis based on the Certificate Principal Balance of each such class, until their respective Certificate Principal Balances have been reduced to zero.
 
Credit Enhancement
 
The holders of each class of Class A Certificates and each class of Mezzanine Certificates (subject to the priorities described under “—Excess Interest and Overcollateralization,” and “—Allocation of Losses”) are entitled to the benefits of the credit enhancement consisting of excess interest, overcollateralization, subordination and a primary mortgage insurance policy.
 
Subordination. The rights of the holders of the Subordinate Certificates and the Residual Certificates to receive distributions will be subordinated, to the extent described herein, to the rights of the holders of the Class A Certificates.
 
The protection afforded to the holders of the Class A Certificates by means of the subordination of the Subordinate Certificates will be accomplished by (i) the preferential right of the holders of the Class A Certificates to receive on any distribution date, prior to distributions on the Subordinate Certificates and Residual Certificates, distributions in respect of interest and principal, subject to funds available for such distributions, and (ii) if necessary, the right of the holders of the Class A Certificates to receive future distributions of amounts that would otherwise be payable to the holders of the Subordinate Certificates.
 
In addition, the rights of the holders of Mezzanine Certificates with higher distribution priorities to receive distributions in respect of interest and principal will be senior to the rights of holders of Mezzanine Certificates with lower distribution priorities, and the rights of the holders of the Mezzanine Certificates to receive distributions in respect of interest and principal will be senior to the rights of the holders of the Class CE Certificates, in each case to the extent described herein.
 
The subordination feature is intended to enhance the likelihood of regular receipt by the holders of the more senior classes of certificates of distributions in respect of interest and principal and to afford such holders limited protection against Realized Losses.
 
Excess Interest and Overcollateralization. The mortgage loans, if they perform, are expected to generate more interest than is needed to distribute interest on the Floating Rate Certificates and to pay certain fees and expenses of the trust. The weighted average of the mortgage rates of the mortgage loans (net of certain fees and expenses of the trust) is generally expected to be higher than the weighted average of the pass-through rates on the Floating Rate Certificates. The aggregate principal balance of the mortgage loans as of the cut-off date will exceed the aggregate Certificate Principal Balance of the Floating Rate Certificates and the Class P Certificates as of the closing date by approximately $16,268,650, which is approximately equal to the initial Overcollateralization Target Amount. The pooling and servicing agreement requires that, on each distribution date, the Net Monthly Excess Cashflow, if any, be applied on such distribution date as an accelerated distribution of principal on the Floating Rate Certificates, whenever the Overcollateralization Amount is less than the required amount, subject to the priorities described below and under “—Principal Distributions” above.
 
The distribution of portions of the Net Monthly Excess Cashflow (to the extent described above and subject to the priorities described below) as principal to the holders of the Floating Rate Certificates is intended to maintain or restore overcollateralization (the excess of the aggregate principal balance of the mortgage loans over the aggregate Certificate Principal Balance of the Floating Rate Certificates and the Class P Certificates). The pooling and servicing agreement requires that the above described principal distributions to the holders of the Floating Rate Certificates entitled to principal continue whenever funds are available for such purpose, until the amount of overcollateralization is equal to the Overcollateralization Target Amount. There can be no assurance that Net Monthly Excess Cashflow will be generated in amounts sufficient to maintain the required level of overcollateralization. There can be no assurance as to the rate at which the Certificate Principal Balances of the certificates entitled to principal will be reduced, and there can be no assurance that Realized Losses will not be allocated to the Mezzanine Certificates. However, excess interest, overcollateralization and payments from the Cap Contract are intended to absorb Realized Losses prior to the allocation of any such Realized Losses to the Mezzanine Certificates. See “—Allocation of Losses” below.
 
With respect to any distribution date, any Net Monthly Excess Cashflow will be distributed in the following amounts and order of priority:
 
(i) to the holders of the class or classes of Floating Rate Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Group I Principal Distribution Amount and Group II Principal Distribution Amount;
 
(ii) sequentially, to the holders of the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates, the Class M-9 Certificates and the Class M-10 Certificates, in that order, in each case up to the related Interest Carry Forward Amount related to such class for such distribution date;
 
(iii) sequentially, to the holders of the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates, the Class M-9 Certificates and the Class M-10 Certificates, in that order, in each case up to the related Allocated Realized Loss Amount for such class for such distribution date;
 
(iv) to the Net WAC Rate Carryover Reserve Account, the aggregate of any Net WAC Rate Carryover Amounts for the Floating Rate Certificates;
 
(v) to the holders of the Class CE Certificates as provided in the pooling and servicing agreement; and
 
(vi) to the holders of the Residual Certificates, any remaining amounts; provided that if such distribution date is the distribution date immediately following the expiration of the latest prepayment charge term or any distribution date thereafter, then any such remaining amounts will be distributed first, to the holders of the Class P Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and second, to the holders of the Residual Certificates.
 
In the event that Realized Losses are incurred on the mortgage loans, such Realized Losses could result in an overcollateralization deficiency since such Realized Losses would reduce the principal balance of the mortgage loans without a corresponding reduction to the aggregate Certificate Principal Balance of the Floating Rate Certificates. In such event, the pooling and servicing agreement will require the distribution from Net Monthly Excess Cashflow, if any, of an amount equal to the Overcollateralization Increase Amount, which will constitute a principal distribution on the Floating Rate Certificates in reduction of the Certificate Principal Balances thereof in order to eliminate such overcollateralization deficiency. This will have the effect of accelerating the amortization of the Floating Rate Certificates relative to the amortization of the mortgage loans, and of increasing the Overcollateralized Amount.
 
In the event that the Overcollateralized Amount exceeds the Overcollateralization Target Amount on any distribution date, the pooling and servicing agreement will provide that a portion of the Principal Remittance Amount on such distribution date be distributed to the holders of the Class CE Certificates pursuant to the priorities set forth above. This will have the effect of decelerating the amortization of the Floating Rate Certificates relative to the amortization of the mortgage loans, and of reducing the Overcollateralized Amount.
 
On the Closing Date, the trust administrator will establish the Net WAC Rate Carryover Reserve Account from which distributions in respect of Net WAC Rate Carryover Amounts on the Floating Rate Certificates will be made. The Net WAC Rate Carryover Reserve Account will be an asset of the trust but not of any REMIC. On each distribution date, after making the distributions and allocations of the last of the Available Distribution Amount for such distribution date as described above, the trust administrator will withdraw from the Net WAC Rate Carryover Reserve Account, to the extent of the amount then on deposit therein, the aggregate of any Net WAC Rate Carryover Amounts for the Floating Rate Certificates for such distribution date and will distribute such amounts to the holders of such classes of certificates in the following amounts and order of priority:
 
(i) concurrently, to the Class A Certificates, on a pro rata basis based on the Certificate Principal Balance for each such class prior to any distributions of principal on such distribution date and then on a pro rata basis based on any remaining Net WAC Rate Carryover Amount for each such class; and
 
(ii) sequentially, to 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.
 
On each distribution date, the trust administrator will withdraw from the Distribution Account all amounts representing prepayment charges in respect of the mortgage loans received during the related Prepayment Period and will distribute these amounts to the holders of the Class P Certificates.
 
The PMI Policy and the PMI Insurer
 
The PMI Policy
 
Approximately 31.92% of the Group I Mortgage Loans and approximately 17.83% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date), are covered by a primary mortgage insurance policy issued by the PMI Insurer (the “PMI Policy,” and the mortgage loans covered by such policy, the “PMI Mortgage Loans”).
 
The PMI Policy does not cover any mortgage loans 60 days or more delinquent in payment as of the cut-off date. Each PMI Mortgage Loan is covered for losses up to the policy limits; provided, however, that the PMI Policy will not cover special hazard, bankruptcy or fraud losses or certain other types of losses as provided in the PMI Policy. Claims on an insured mortgage loan generally will reduce uninsured exposure to an amount equal to 80% of the lesser of the appraised value as of the origination date or the purchase price, as the case may be, of the related mortgaged property, subject to conditions, exceptions and exclusions and assuming that any pre-existing primary mortgage insurance policy covering the mortgage loan remains in effect and a full claim settlement is made thereunder.
 
The PMI Policy is required to remain in force with respect to each PMI Mortgage Loan until: (i) the principal balance of the PMI Mortgage Loan is paid in full; (ii) the principal balance of the PMI Mortgage Loan has amortized down to a level that results in a loan-to-value ratio for the mortgage loan of 75% or less (provided, however, that no coverage of any PMI Mortgage Loan under such PMI Policy is required where prohibited by applicable law); or (iii) any event specified in the PMI Policy occurs that allows for the termination of the PMI Policy by the PMI Insurer or cancellation of the PMI Policy by the insured.
 
The PMI Policy may not be assigned or transferred without the prior written consent of the PMI Insurer; provided, however, that the PMI Insurer has previously provided written consent to the assignment of coverage on all mortgage loans from the trustee to any successor trustee, provided that in each case, prompt notice of such assignment is provided to the PMI Insurer.
 
The PMI Policy generally requires that delinquencies on any PMI Mortgage Loan must be reported to the PMI Insurer within four months of default, that reports regarding the delinquency of the PMI Mortgage Loan must be submitted to the PMI Insurer on a monthly basis thereafter, and that appropriate proceedings to obtain title to the property securing such PMI Mortgage Loan must be commenced within six months of default. As a condition to submitting a claim under the PMI Policy, the insured must have (i) acquired, and tendered to the PMI Insurer, good and merchantable title to the property securing the PMI Mortgage Loan, free and clear of all liens and encumbrances, including, but not limited to, any right of redemption by the mortgagor unless such acquisition of good and merchantable title is excused under the terms of such PMI Policy, and (ii) if the PMI Mortgage Loan is covered by a pre-existing primary mortgage insurance policy, a claim must be submitted and settled under such pre-existing primary mortgage insurance policy within the time frames specified in the PMI Policy.
 
The claim amount generally includes unpaid principal, accrued interest to the date of such tender to the PMI Insurer by the insured, and certain expenses (less the amount of a full claim settlement under any pre-existing primary mortgage insurance policy covering the PMI Mortgage Loan). When a claim is presented, the PMI Insurer will have the option of either (i) paying the claim amount and taking title to the property securing the PMI Mortgage Loan, (ii) paying the insured a percentage of the claim amount (without deduction for a claim settlement under any pre-existing primary mortgage insurance policy covering the PMI Mortgage Loan) and with the insured retaining title to the property securing such PMI Mortgage Loan, or (iii) if the property securing the PMI Mortgage Loan has been sold to a third party with the prior approval of the PMI Insurer, paying the claim amount reduced by the net sale proceeds as described in the PMI Policy to reflect the actual loss.
 
Claims generally must be filed within 60 days after the insured has acquired good and merchantable title to the property securing the PMI Mortgage Loan or such property has been sold to a third party with the prior approval of the PMI Insurer. A claim generally must be paid within 60 days after the claim is filed by the insured. No payment for a loss will be made under the PMI Policy unless the property securing the PMI Mortgage Loan is in the same physical condition as when such PMI Mortgage Loan was originally insured, except for reasonable wear and tear, and unless premiums on the standard homeowners’ insurance policy, real estate taxes and foreclosure protection and preservation expenses have been advanced by or on behalf of the insured.
 
If a claim submitted under the PMI Policy is incomplete, the PMI Insurer is required to provide notification of all information and documentation required to perfect the claim within 20 days of the PMI Insurer's receipt of such incomplete claim. In such case, payment of the claim will be suspended until such information and documentation are provided to the PMI Insurer, provided that the PMI Insurer is not required to pay the claim if it is not perfected within 180 days after its initial filing.
 
Unless approved in writing by the PMI Insurer, no changes may be made to the terms of the PMI Mortgage Loan, including the borrowed amount, interest rate, term or amortization schedule, except as specifically permitted by the terms of the PMI Mortgage Loan; nor may the lender make any change in the property or other collateral securing the PMI Mortgage Loan, nor may any mortgagor be released under the PMI Mortgage Loan from liability. If a PMI Mortgage Loan is assumed with the insured’s approval, the PMI Insurer’s liability for coverage of the PMI Mortgage Loan under the PMI Policy generally will terminate as of the date of such assumption unless the PMI Insurer approves the assumption in writing. In addition, with respect to any PMI Mortgage Loan covered by the PMI Policy, the applicable servicer must obtain the prior approval of the PMI Insurer in connection with any acceptance of a deed in lieu of foreclosure or of any sale of the property securing the PMI Mortgage Loan.
 
The PMI Policy excludes coverage of: (i) any claim where the insurer under any pre-existing primary mortgage insurance policy has acquired the property securing the PMI Mortgage Loan; (ii) any claim resulting from a default occurring after lapse or cancellation of coverage; (iii) certain claims resulting from a default existing at the inception of coverage; (iv) certain claims where there is an environmental condition which existed on the property securing the PMI Mortgage Loan (whether or not known by the person or persons submitting an application for coverage of the PMI Mortgage Loan) as of the effective date of coverage; (v) any claim, if the mortgage, deed of trust or other similar instrument did not provide the insured at origination with a first lien on the property securing the PMI Mortgage Loan; (vi) certain claims involving or arising out of any breach by the insured of its obligations under, or its failure to comply with, the terms of the PMI Policy or of its obligations as imposed by operation of law; (vii) certain claims resulting from physical damage to a property securing a PMI Mortgage Loan; (viii) any claim arising from the failure of the borrower under a covered PMI Mortgage Loan to make any balloon payment, if applicable, under such PMI Mortgage Loan; and (ix) any claim submitted in connection with a PMI Mortgage Loan if the PMI Mortgage Loan did not meet the PMI Insurer’s requirements applicable to the origination of the PMI Mortgage Loan.
 
In issuing the PMI Policy, the PMI Insurer has relied upon certain information and data regarding the PMI Mortgage Loans furnished to it by the related originator. The PMI Policy will not insure against certain losses sustained by reason of a default arising from or involving certain matters, including: (i) misrepresentation made, or knowingly participated in, by the lender, other persons involved in the origination of the PMI Mortgage Loan or the application for insurance, or made by any appraiser or other person providing valuation information regarding the property securing the PMI Mortgage Loan; (ii) negligence or fraud by the applicable servicer of the PMI Mortgage Loan; and (iii) failure to construct a property securing a PMI Mortgage Loan in accordance with specified plans. The PMI Policy permits the PMI Insurer to cancel coverage of a PMI Mortgage Loan under the PMI Policy or deny any claim submitted under the PMI Policy in connection with a PMI Mortgage Loan if the insured fails to furnish the PMI Insurer with copies of all documents in connection with the origination or servicing of a covered PMI Mortgage Loan.
 
The PMI Policy provides less than 10% of the cash flow used to support the Floating Rate Certificates, and the PMI Insurer is not a significant enhancement provider as described under Regulation AB Item 1114. The PMI Insurer may be replaced in certain circumstances, including if the PMI Policy provides 10% or more of the cash flow used to support the Floating Rate Certificates and the PMI Insurer fails to comply with the reporting requirements as set forth in the PMI Policy.
 
The preceding description of the PMI Policy is only a brief outline and does not purport to summarize or describe the provisions, terms and conditions of the PMI Policy. For a more complete description of these provisions, terms and conditions, reference is made to the PMI Policy, a copy of which is available upon request from the trustee.
 
The PMI Insurer
 
Mortgage Guaranty Insurance Corporation (the “PMI Insurer”), a wholly-owned subsidiary of MGIC Investment Corporation, is a Wisconsin corporation, founded in 1985, that is a private mortgage insurance company with its administrative offices located in Milwaukee, Wisconsin. As of the date of this prospectus supplement, the PMI Insurer had insurer financial strength ratings of “AA” from S&P, “AA+” from Fitch and “Aa2” from Moody’s. The rating agencies issuing the insurer financial strength rating with respect to the PMI Insurer can withdraw or change its rating at any time.
 
Cap Contract
 
Citibank, N.A. (in its capacity as cap trustee, on behalf of a separate trust created pursuant to the cap administration agreement) will enter into a cap contract (the “Cap Contract”) with Swiss Re Financial Products Corporation (in such capacity, the “Cap Provider”) for the benefit of the holders of the Floating Rate Certificates. On or before the closing date, the trust administrator will enter into a cap administration agreement, with the cap trustee. Pursuant to the cap administration agreement, the cap trustee will remit to the trust administrator for deposit into the cap account, from amounts, if any, received under the Cap Contract, funds equaling the amounts required to make the distributions below. The Cap Contract will be an asset of the cap trust. The cap account will be an asset of the trust. For the avoidance of doubt, each of the Cap Contract, the cap administration agreement and the cap account will not be an asset of any REMIC.
 
Under the Cap Contract, on the business day on or prior to each distribution date commencing with the distribution date in January 2007 and ending with the distribution date in November 2011, the Cap Provider will be obligated to make a payment for that distribution date equal to the product of (x) the excess, if any, of (i) One-Month LIBOR as determined pursuant to the Cap Contract for the related calculation period (as defined in the Cap Contract) over (ii) the Cap Rate for such distribution date (as set forth below), (y) the product of (i) the Cap Contract Notional Amount (as defined below) for that distribution date and (ii) 250, and (z) a fraction, the numerator of which is equal to the actual number of days in the related calculation period and the denominator of which is 360.
 
The Cap Contract Notional Amount for each distribution date will be equal to the Cap Contract Calculation Amount set forth below for such distribution date (the “Cap Contract Notional Amount”).
 
Month of
Distribution Date
Cap Contract Calculation Amount ($)1
Cap Rate (%)1 
January 2007
2,857,324.00
5.45
February 2007
2,830,064.58
5.45
March 2007
2,795,357.78
5.45
April 2007
2,753,221.90
5.45
May 2007
2,703,750.14
5.45
June 2007
2,647,075.08
5.45
July 2007
2,583,380.14
5.45
August 2007
2,513,088.68
5.45
September 2007
2,437,811.25
5.45
October 2007
2,358,320.80
5.45
November 2007
2,276,213.73
5.45
December 2007
2,193,121.73
5.45
January 2008
2,112,776.51
5.45
February 2008
2,035,261.88
5.45
March 2008
1,960,536.62
5.45
April 2008
1,888,381.43
5.45
May 2008
1,818,763.36
5.45
June 2008
1,749,939.41
5.45
July 2008
1,670,019.55
5.45
August 2008
1,590,300.24
5.45
September 2008
1,504,543.28
5.45
October 2008
1,414,559.61
5.45
November 2008
1,297,183.52
5.45
December 2008
1,197,666.77
5.45
January 2009
1,109,055.53
5.45
February 2009
1,033,524.08
5.45
March 2009
   969,181.35
5.45
April 2009
   927,590.94
5.45
May 2009
   887,684.18
5.45
June 2009
   849,254.80
5.45
July 2009
   811,442.35
5.45
August 2009
   774,372.84
5.45
September 2009
   737,727.60
5.45
October 2009
   702,377.74
5.45
November 2009
   666,453.43
5.45
December 2009
   632,947.96
5.45
January 2010
   601,632.65
5.45
February 2010
   601,632.65
5.45
March 2010
   601,632.65
5.45
April 2010
   578,325.40
5.45
May 2010
   555,927.71
5.45
June 2010
   534,434.97
5.45
July 2010
   513,810.84
5.45
August 2010
   494,017.50
5.45
September 2010
   475,020.52
5.45
October 2010
   456,786.63
5.45
November 2010
   439,284.23
5.45
December 2010
   422,482.90
5.45
January 2011
   406,353.95
5.45
February 2011
   390,869.04
5.45
March 2011
   376,001.55
5.45
April 2011
   361,725.89
5.45
May 2011
   348,017.79
5.45
June 2011
   334,853.78
5.45
July 2011
   322,211.70
5.45
August 2011
   310,069.21
5.45
September 2011
   298,402.86
5.45
October 2011
   287,193.18
5.45
November 2011
   276,416.20
5.45
(1) Subject to a variance of +/- 10%.

The Cap Contract will terminate following the last distribution date specified above, unless the Cap Contract is terminated earlier upon the occurrence of a Cap Contract Event of Default, a Cap Contract Termination Event or a Cap Contract Additional Termination Event, each as defined below.
 
The obligations of the Cap Provider to pay specified amounts due under the Cap Contract (other than Cap Contract Termination Payments (as defined below)) generally will be subject to the following conditions precedent: (1) no Cap Contract Event of Default or event that with the giving of notice or lapse of time or both would become a Cap Contract Event of Default will have occurred and be continuing and (2) no “early termination date” (as defined in the Cap Contract) has occurred or been effectively designated.
 
Events of default under the Cap Contract (each a “Cap Contract Event of Default”) include the following:
 
·  
failure to make a payment due under the Cap Contract, after notice of such failure is received and expiration of a specified grace period,
 
·  
failure by the Cap Provider to comply with or perform certain agreements or obligations required under the Cap Contract after notice of such failure is received and expiration of a specified grace period,
 
·  
failure by the Cap Provider to comply with or perform the second rating trigger collateral posting requirements of the Cap Contract if a second rating trigger downgrade has occurred and been continuing for 30 or more business days and after notice of such failure is received and expiration of a specified grace period,
 
·  
certain representations by the Cap Provider or its credit support provider prove to have been incorrect or misleading in any material respect,
 
·  
repudiation or certain defaults by the Cap Provider or its credit support provider in respect of any derivative or similar transactions entered into between the trust and the Cap Provider and specified for this purpose in the Cap Contract,
 
·  
cross-default by the Cap Provider or its credit support provider relating generally to its obligations in respect of borrowed money in excess of a threshold specified in the Cap Contract,
 
·  
certain insolvency or bankruptcy events, and
 
·  
a merger by the Cap Provider without an assumption of the Cap Provider’s obligations under the Cap Contract,
 
each as further described in the Cap Contract.
 
Termination events under the Cap Contract (each a “Cap Contract Termination Event”) include the following:
 
·  
illegality (which generally relates to changes in law causing it to become unlawful for either party to perform its obligations under the Cap Contract),
 
·  
tax event (which generally relates to the application of certain withholding taxes to amounts payable under the Cap Contract, as a result of a change in tax law or certain similar events) and
 
·  
tax event upon merger (which generally relates to the application of certain withholding taxes to amounts payable under the Cap Contract as a result of a merger or similar transaction),
 
each as further described in the Cap Contract.
 
Additional termination events” under the Cap Contract (each a “Cap Contract Additional Termination Event”) include the following:
 
·  
failure of the Cap Provider to comply with the first rating trigger collateral posting requirements of the Cap Contract,
 
·  
if a second rating trigger downgrade has occurred and been continuing for 30 or more business days and a firm offer from a substitute cap provider remains capable of acceptance by the offeree,
 
·  
failure of the Cap Provider to comply with the Regulation AB provisions of the Cap Contract (including, if applicable, the provisions of any additional agreement incorporated by reference into the Cap Contract), and
 
·  
occurrence of an optional termination of the securitization pursuant to the terms of the pooling and servicing agreement,
 
each as further described in the Cap Contract.
 
If the Cap Provider’s credit ratings are withdrawn or reduced below the first ratings threshold specified in the Cap Contract, the Cap Provider will be required, at its own expense, to post collateral in accordance with the Cap Contract.
 
If the Cap Provider’s credit ratings are withdrawn or reduced below the second ratings threshold specified in the Cap Contract, the Cap Provider will be required, at its own expense, either (1) to obtain a substitute cap provider which will assume the obligations of the Cap Provider under the Cap Contract and which meets all eligibility requirements provided therein or in any related documentation, or (2) to obtain a guarantor which will provide a guarantee of the obligations of the Cap Provider under the Cap Contract that meets all eligibility requirements provided therein or in any related documentation.
 
Upon the occurrence of a Cap Contract Event of Default, the non-defaulting party will have the right to designate an early termination date (an “Early Termination Date”). Upon the occurrence of a Cap Contract Termination Event or a Cap Contract Additional Termination Event, an Early Termination Date may be designated by one of the parties (as specified in the Cap Contract) and will occur only upon notice and, in some circumstances, after any affected party has used reasonable efforts to transfer its rights and obligations under the Cap Contract to a related entity within a specified period after notice has been given of the Cap Contract Termination Event, and, in the case of a downgrade below the second ratings threshold, only, if a firm offer from a substitute cap provider remains capable of acceptance by the offeree, all as set forth in the Cap Contract. The occurrence of an Early Termination Date under the Cap Contract will constitute a “Cap Contract Early Termination.”
 
Upon a Cap Contract Early Termination, the Cap Provider may be liable to make a termination payment (the “Cap Contract Termination Payment”) to the cap trustee (regardless, if applicable, of which of the parties has caused the termination). The Cap Contract Termination Payment will be based on the value of the Cap Contract computed in accordance with the procedures set forth in the Cap Contract.
 
Upon a Cap Contract Early Termination other than in connection with the optional termination of the trust, the cap trustee, pursuant to the cap administration agreement, will use reasonable efforts to appoint a successor cap provider to enter into a new cap contract on terms substantially similar to the Cap Contract, with a successor cap provider meeting all applicable eligibility requirements and any third party consent requirements. The cap trustee will apply any Cap Contract Termination Payment received from the original Cap Provider in connection with such Cap Contract Early Termination to the upfront payment required to appoint the successor cap provider. If the cap trustee is unable to appoint a successor cap provider within 30 days of the Cap Contract Early Termination, then the cap trustee will deposit any Cap Termination Payment received from the original Cap Provider into, a separate, non-interest bearing reserve account (a “Cap Termination Reserve Account”) and will, on each subsequent distribution date, withdraw from the amount then remaining on deposit in such reserve account an amount equal to the payment, if any, that would have been paid to the trust administrator by the original Cap Provider calculated in accordance with the terms of the original Cap Contract, and distribute such amount in accordance with the terms of the pooling and servicing agreement and the cap administration agreement.
 
Upon a Cap Contract Early Termination in connection with the optional termination of the trust, if the cap trustee receives a Cap Contract Termination Payment from the Cap Provider, such Cap Contract Termination Payment generally will not be available to certificateholders; rather, the trustee will distribute such Cap Contract Termination Payment in accordance with the terms of the cap administration agreement.
 
On each distribution date, to the extent required, following the distribution of the Net Monthly Excess Cashflow and withdrawals from the Net WAC Rate Carryover Reserve Account, the cap trustee will withdraw from amounts in the cap account (other than Cap Contract Termination Payments as described above) to distribute to the Floating Rate Certificates the following amounts in the following order of priority:
 
(i) concurrently, to each class of Class A Certificates, the related Senior Interest Distribution Amount remaining undistributed, on a pro rata basis based on such respective remaining Senior Interest Distribution Amount,
 
(ii) to the holders of the class or classes of certificates then entitled to receive distributions in respect of principal, in an amount necessary to maintain the Overcollateralization Target Amount;
 
(iii) sequentially, to 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, in that order, the related Interest Distribution Amount and Interest Carry Forward Amount, to the extent remaining undistributed;
 
(iv) sequentially to 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, in that order, in each case up to the related Allocated Realized Loss Amount related to such certificates for such distribution date remaining undistributed;
 
(v) concurrently, to each class of Class A Certificates, the related Net WAC Rate Carryover Amount, to the extent remaining undistributed, on a pro rata basis based on the Certificate Principal Balance for each such Class prior to any distributions of principal on such distribution date and then on a pro rata basis based on such respective Net WAC Rate Carryover Amounts remaining;
 
(vi) sequentially, to 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, in that order, the related Net WAC Rate Carryover Amount, to the extent remaining undistributed.
 
Allocation of Losses
 
Any Realized Losses on the mortgage loans will be allocated on any distribution date first, to Net Monthly Excess Cashflow, second, to payments received under the Cap Contract, third, to the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero and fourth, to each class of Mezzanine Certificates in reverse numerical order until the certificate principal balance of each such class has been reduced to zero. The pooling and servicing agreement will not permit the allocation of Realized Losses to the Class A Certificates or the Class P Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to these certificates, under certain loss scenarios there may not be enough interest and principal received or advanced on the mortgage loans to distribute to the Class A Certificates all interest and principal amounts to which they are then entitled.
 
Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such certificates will no longer accrue interest and such amounts will not be reinstated thereafter (except in the case of Subsequent Recoveries). However, Allocated Realized Loss Amounts may be distributed to the holders of the Mezzanine Certificates from Net Monthly Excess Cashflow, according to the priorities set forth under “—Overcollateralization Provisions” above or from the Cap Account, according to the priorities set forth under “—Cap Contract.”
 
Any allocation of a Realized Loss to a certificate will be made by reducing the Certificate Principal Balance of that certificate by the amount so allocated as of the distribution date in the month following the calendar month in which the Realized Loss was incurred.
 
P&I Advances
 
If the scheduled payment on a mortgage loan which was due during the related Due Period is delinquent, the related servicer will remit to the trust administrator on the servicer remittance date an amount equal to such delinquency, except to the extent such servicer determines any such advance to be nonrecoverable from future payments on the mortgage loan for which such advance was made. These advances are referred to in this prospectus supplement as “P&I Advances.” Subject to the foregoing, P&I Advances will be made by the servicers until the time set forth in the pooling and servicing agreement. Failure by a servicer to remit any required P&I Advance, which failure goes unremedied beyond any applicable cure period under the pooling and servicing agreement, will constitute an event of default with respect to such servicer under the pooling and servicing agreement. Shortfalls in interest collection arising from the application of the Relief Act or any state law providing for similar relief will generally not be covered by any P&I Advances. If a servicer fails to make any required P&I Advance, the trust administrator, in its capacity as successor servicer, will be obligated to make such P&I Advance to the extent provided in the pooling and servicing agreement. The servicers will not advance the balloon payment with respect to any balloon mortgage loan. In the event that a defaulted mortgage loan is modified by a servicer in accordance with the terms of the pooling and servicing agreement, such servicer is entitled to reimbursement from amounts in the collection account at the time of such modification for any outstanding P&I Advances or servicing advances made by such servicer with respect to the mortgage loans as set forth in the pooling and servicing agreement.
 
The purpose of making such P&I Advances is to maintain a regular cash flow to the certificateholders, rather than to guarantee or insure against losses.
 
Each servicer is entitled to be reimbursed for these advances to the extent set forth in the pooling and servicing agreement. See “Description of the Securities—Advances in Respect of Delinquencies” in the prospectus.
 
The pooling and servicing agreement provides that the trust administrator on behalf of the trust, or the servicers, may enter into a facility with any person which provides that such person (an “Advancing Person”) may fund P&I Advances and/or servicing advances, although no such facility will reduce or otherwise affect the servicer's obligation to fund such P&I Advances and/or servicing advances. Any P&I Advances and/or servicing advances made by an Advancing Person will be reimbursed to the Advancing Person in the same manner as reimbursements would be made to the servicers. In addition, the servicers may pledge its servicing rights under the pooling and servicing agreement to one or more lenders.
 
Reports to Certificateholders
 
On each distribution date, the trust administrator will prepare and make available to each holder of a certificate, a statement based upon information received from the servicers, if applicable, generally setting forth, among other things:
 
  (i)  the amount of the distribution made on such distribution date to the holders of certificates of each such class allocable to principal and the amount of the distribution made on such distribution date to the holders of the Class P Certificates allocable to prepayment charges;
 
  (ii)  the amount of the distribution made on such distribution date to the holders of certificates of each such class allocable to interest;
 
  (iii)  the fees and expenses of the trust accrued and paid on such distribution date and to whom such fees and expenses were paid;
 
  (iv)  the aggregate amount of P&I Advances for such distribution date (including the general purpose of such P&I Advances);
 
  (v)  the aggregate principal balance of the mortgage loans and any REO Properties at the close of business on such distribution date;
 
  (vi)  the number, aggregate principal balance, weighted average remaining term to maturity and weighted average mortgage rate of the mortgage loans as of the related due date;
 
  (vii)  the number and aggregate unpaid Principal Balance of Mortgage Loans in respect of which (a) one monthly payment is delinquent, (b) two monthly payments are delinquent, (c) three monthly payments are delinquent and (d) foreclosure proceedings have begun;
 
  (viii)  with respect to any mortgage loan that became an REO Property during the preceding calendar month, the loan number of such mortgage loan, the unpaid principal balance and the principal balance of such mortgage loan as of the date it became an REO Property;
 
  (ix)  the delinquency percentage and realized loss percentage;
 
  (x)  the book value and the principal balance of any REO Property as of the close of business on the last business day of the calendar month preceding the distribution date;
 
  (xi)  the aggregate amount of principal prepayments made during the related Prepayment Period;
 
  (xii)  the aggregate Certificate Principal Balance of each class of certificates, before and after giving effect to the distributions and allocations of Realized Losses, made on such distribution date, incurred during the related Prepayment Period (or, in the case of bankruptcy losses allocable to interest, during the related Due Period), separately identifying whether such Realized Losses constituted bankruptcy losses;
 
  (xiii)  the aggregate amount of extraordinary trust fund expenses withdrawn from the Collection Account or the Distribution Account for such distribution date;
 
  (xiv)  the Interest Distribution Amount in respect of each such class of certificates for such distribution date (separately identifying any reductions in the case of subordinate certificates resulting from the allocation of Realized Losses allocable to interest and extraordinary trust fund expenses on such distribution date) and the respective portions thereof, if any, remaining unpaid following the distributions made in respect of such certificates on such distribution date;
 
  (xv)  the aggregate amount of any prepayment interest shortfalls for such distribution date, to the extent not covered by payments by the servicers;
 
  (xvi)  the aggregate amount of relief act interest shortfalls for such distribution date;
 
  (xvii)  the Net Monthly Excess Cashflow, the Overcollateralization Target Amount, the Overcollateralized Amount, the Overcollateralization Reduction Amount, the Overcollateralization Increase Amount and the Credit Enhancement Percentage;
 
  (xviii)  with respect to any mortgage loan as to which foreclosure proceedings have been concluded, the loan number and unpaid principal balance of such mortgage loan as of the date of such conclusion of foreclosure proceedings;
 
  (xix)  with respect to mortgage loans as to which a final liquidation has occurred, the number of mortgage loans, the unpaid principal balance of such mortgage loans as of the date of such final liquidation and the amount of proceeds (including liquidation proceeds and insurance proceeds) collected in respect of such mortgage loans;
 
  (xx)  any Allocated Realized Loss Amount with respect to each class of certificates for such distribution date;
 
  (xxi)  the amounts deposited into the Net WAC Rate Carryover Reserve Account for such distribution date, the amounts withdrawn from such account and distributed to each class of certificates, and the amounts remaining on deposit in such account after all deposits into and withdrawals from such account on such distribution date;
 
  (xxii)  the Net WAC Rate Carryover Amounts for each class of certificates, if any, for such distribution date and the amounts remaining unpaid after reimbursements therefor on such distribution date;
 
  (xxiii)  whether a Stepdown Date or Trigger Event is in effect;
 
  (xxiv)  the total cashflows received and the general sources thereof;
 
  (xxv)  the applicable Record Dates, Interest Accrual Periods and determination dates for calculating distributions for such distribution date;
 
  (xxvi)  the respective Pass-Through Rates applicable to the Floating Rate Certificates for such distribution date (and whether such Pass-Through Rate was limited by the Net WAC Rate) and the Pass-Through Rate applicable to the Floating Rate Certificates for the immediately succeeding distribution date;
 
  (xxvii)  payments, if any, made under the Cap Contract and the amount distributed to the Floating Rate Certificates from such payments;
 
  (xxviii)  if known, material breaches of representations and warranties regarding the mortgage loans; and
 
  (xxix) (A) the amount of payments received from the applicable servicer related to claims under the PMI Policy during the related Prepayment Period (and the number of mortgage loans to which such payments related), (B) the cumulative amount of payments received related to claims under the PMI Policy since the closing date (and the number of mortgage loans to which such payments related), (C) the dollar amount of claims made under the PMI Policy that were denied (as identified by the related servicer) during the Prepayment Period (and the number of mortgage loans to which such denials related) and (D) the dollar amount of the cumulative claims made under the PMI Policy that were denied since the closing date (and the number of mortgage loans to which such denials related).
 
The trust administrator will make each monthly statement and, at its option, any additional files containing the same information in an alternative format, available each month via the trust administrator’s internet website. Assistance in using the website can be obtained by calling Citibank’s Agency & Trust department at (949) 250-6464. Parties that are unable to use the above distribution options are entitled to have a paper copy mailed to them via first class mail by calling Citibank’s Agency & Trust department and indicating such. The trust administrator will have the right to change the way statements are distributed in order to make such distribution more convenient and/or more accessible the recipients thereof, and the trust administrator will provide timely and adequate notification regarding any such changes.
 
The primary source of information available to investors concerning the Class A Certificates and Mezzanine Certificates will be the monthly reports made available via the trust administrator’s internet website, which will include information as to the outstanding Certificate Principal Balance of the Class A Certificates and Mezzanine Certificates and the status of the applicable form of credit enhancement. Also, investors may read and copy any Form 10-D, Form 10-K or Form 8-K at the SEC’s Public Reference Room at 450 Fifth Street, NW, Washington, D.C. 20549. Investors may obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330. The SEC also makes any such materials filed electronically available at the following website: http://www.sec.gov.
 
Any Form 10-D, Form 10-K or Form 8-K to be filed on behalf of the Issuing Entity will be signed by the depositor.
 
In addition, within a reasonable period of time after the end of each calendar year, the trust administrator will, upon request, prepare and deliver to each holder of a certificate of record during the previous calendar year a statement containing information necessary to enable holders of the certificates to prepare their tax returns. Such obligation of the trust administrator will be deemed to have been satisfied to the extent that substantially comparable information is provided by the trust administrator pursuant to Code. These statements will not have been examined and reported upon by an independent public accountant.
 
  POOLING AND SERVICING AGREEMENT
 
General
 
The certificates will be issued pursuant to the pooling and servicing agreement, dated as of December 1, 2006, among the depositor, the servicers, the trust administrator and the trustee, a form of which is filed as an exhibit to the registration statement. A current report on Form 8-K relating to the certificates containing a copy of the pooling and servicing agreement as executed will be filed by the depositor with the Securities and Exchange Commission following the initial issuance of the certificates. The trust created under the pooling and servicing agreement will consist of (i) all of the depositor’s right, title and interest in and to the mortgage loans, the related mortgage notes, mortgages and other related documents; (ii) all payments on or collections in respect of the mortgage loans due after the cut-off date, together with any proceeds thereof; (iii) any mortgaged properties acquired on behalf of certificateholders by foreclosure or by deed-in-lieu of foreclosure, and any revenues received thereon; (iv) the rights of the trustee under all insurance policies required to be maintained pursuant to the pooling and servicing agreement; (v) the right to any payments made to the trust administrator pursuant to the Cap Contract; and (vi) the rights of the depositor under the assignment agreement pursuant to which the sponsor assigned certain rights to the depositor.
 
Reference is made to the prospectus for important information in addition to that set forth in this prospectus supplement regarding the trust, the terms and conditions of the pooling and servicing agreement and the offered certificates. The depositor will provide to a prospective or actual certificateholder without charge, on written request, a copy, without exhibits, of the pooling and servicing agreement. Requests should be addressed to the Secretary, Citigroup Mortgage Loan Trust Inc., 390 Greenwich Street, 6th Floor, New York, New York 10013.
 
Assignment of the Mortgage Loans
 
Pursuant to one or more sale agreements, the originators sold the mortgage loans originated by it, directly or indirectly, without recourse, to the sponsor. Pursuant to one or more assignment and recognition agreements and the mortgage loan purchase agreement the sponsor will sell, transfer, assign, set over and otherwise convey the mortgage loans, without recourse, to the depositor on the closing date. Pursuant to the pooling and servicing agreement, the depositor will sell, transfer, assign, set over and otherwise convey all of the mortgage loans, without recourse, to the trustee, for the benefit of the certificateholders, on the closing date.
 
The depositor will deliver or cause to be delivered to the trustee, or to a custodian on behalf of the trustee, with respect to each mortgage loan, among other things: the mortgage note endorsed in blank, the original mortgage with evidence of recording indicated thereon and an assignment of the mortgage in blank.
 
The assignments of mortgage will not be recorded in the offices for real property records, except as set forth in the pooling and servicing agreement.
 
Pursuant to an assignment and recognition agreement or the mortgage loan purchase agreement, each originator and/or the sponsor will make certain representations and warranties relating to, among other things, certain characteristics of the mortgage loans. Subject to certain limitations contained in the related assignment and recognition agreement or the mortgage loan purchase agreement, the related originator or the sponsor will be obligated to repurchase or substitute a similar mortgage loan for any mortgage loan as to which there exists uncured deficient documentation or an uncured breach of any such representation or warranty, if such document deficiency or breach of any such representation or warranty materially and adversely affects the value of such mortgage loan or the interests of the certificateholders in such mortgage loan.
 
The sponsor will sell, and the originator sold, the mortgage loans without recourse and neither the sponsor nor any originator will have any obligation with respect to the certificates, other than the cure, repurchase or substitution obligations described above and certain limited indemnification obligations. The depositor will not make any loan level representations and warranties and will not therefore have any cure, repurchase or substitution obligations with respect to any loan level representation or warranty.
 
The assignments of mortgage will not be recorded in the offices for real property records, except as set forth in the pooling and servicing agreement.
 
Payments on Mortgage Loans; Deposits to Collection Account and Distribution Account
 
Each servicer will establish and maintain or cause to be maintained a separate trust account (each, a “Collection Account”) for the benefit of the certificateholders. Each Collection Account will be an Eligible Account (as defined in the pooling and servicing agreement). Upon receipt by the related servicer of amounts in respect of the mortgage loans (excluding amounts representing the servicing fee or other servicing compensation, reimbursement for P&I Advances and servicing advances and insurance proceeds to be applied to the restoration or repair of a mortgaged property or similar items), the related servicer will deposit such amounts in the related collection account. Amounts so deposited may be invested in permitted investments (as defined in the pooling and servicing agreement) maturing no later than one business day prior to the Servicer Remittance Date. The trust administrator will establish an account (the “Distribution Account”) into which will be deposited amounts withdrawn from the Collection Account for distribution to certificateholders on a distribution date and payment of certain fees and expenses of the trust. The distribution account will be an Eligible Account. Amounts on deposit therein may be invested in permitted investments maturing on or before the business day prior to the related distribution date unless such permitted investments are invested in investments managed or advised by the trust administrator or an affiliate thereof, in which case such permitted investments may mature on the related distribution date.
 
Events of Default and Removal of Servicers
 
The circumstances under which each servicer may be removed are set forth under “Description of the Securities—Events of Default and Rights upon Events of Default” in the prospectus.
 
In the event of an event of default regarding a servicer, the trust administrator will become the successor servicer under the pooling and servicing agreement and in the event of an event of default regarding the trust administrator, the trustee will become the successor servicer under the pooling and servicing agreement (or, the trustee may, if it shall be unwilling to continue to so act, or shall, if it is unable to so act, petition a court of competent jurisdiction to appoint any established housing and home finance institution servicer, servicing or mortgage servicing institution having a net worth of not less than $15,000,000 and meeting such other standards for a successor servicer as are set forth in the pooling and servicing agreement).
 
The trustee or trust administrator will be required to notify certificateholders and the rating agencies of any event of a default by the related servicer actually known to a responsible officer of the trustee or trust administrator, and of the appointment of any successor servicers.
 
All reasonable out-of-pocket servicing transfer costs will be paid by the predecessor servicers, upon presentation of reasonable documentation of such costs, and if such predecessor servicer defaults in its obligation to pay such costs, such costs shall be paid by the successor servicers or the trustee (in which case the successor servicers, or the trustee, as applicable, shall be entitled to reimbursement therefor from the assets of the trust).
 
Limitations on Liability and Indemnification of the Trustee, the Trust Administrator and any Custodian
 
The pooling and servicing agreement will provide that the trustee, the trust administrator and any director, officer, employee or agent of the trustee or the trust administrator will be indemnified by the trust and will be held harmless against any loss, liability or expense (not including expenses, disbursements and advances incurred or made by the trustee or the trust administrator, as applicable, including the compensation and the expenses and disbursements of such party’s agents and counsel, in the ordinary course of such party’s performance in accordance with the provisions of the pooling and servicing agreement) incurred by the trustee or the trust administrator, as applicable, arising out of or in connection with the acceptance or administration of its obligations and duties under the pooling and servicing agreement, other than any loss, liability or expense (i) resulting from a breach of a servicers’ obligations and duties under the pooling and servicing agreement, for which the trustee or the trust administrator, as applicable, is indemnified by the related servicer under the pooling and servicing agreement or (ii) incurred by reason of willful misfeasance, bad faith or negligence of the trustee or the trust administrator, as applicable, in the performance of its duties under the pooling and servicing agreement or by reason of the reckless disregard by the trustee or the trust administrator, as applicable, of its obligations and duties under the pooling and servicing agreement or as a result of a breach by the trustee or the trust administrator, as applicable, of certain of its obligations or covenants under the pooling and servicing agreement with respect to REMIC administration or REMIC protection. The pooling and servicing agreement will provide that amounts owing from the trust to the trustee or the trust administrator in respect of the foregoing indemnification may be withdrawn and paid to the trustee or the trust administrator, as applicable, prior to the making of distributions to certificateholders. In addition, any custodian of the mortgage files will be indemnified by the trust to the same degree as the trustee or the trust administrator would be indemnified as described above were it performing custodian functions itself pursuant to the pooling and servicing agreement. Furthermore, to the extent set forth in the pooling and servicing agreement, each servicer will be entitled to be indemnified by the trust against losses, liabilities or expenses incurred in connection with legal actions relating to the pooling and servicing agreement.
 
The trustee and the trust administrator will not be liable under the pooling and servicing agreement:

·  
except for the performance of such duties and obligations as are specifically specified in the pooling and servicing agreement prior to the occurrence of a servicer event of default and after the curing of such servicer event of default;
 
·  
for an error of judgment made in good faith by a responsible officer of the trustee or the trust administrator, as applicable, unless it is proved that the trustee or the trust administrator, as applicable was negligent in ascertaining the pertinent facts;
 
·  
for any action taken or omitted by it in good faith and believed by it to be authorized or within the discretion or rights or power’s conferred upon it by the pooling and servicing agreement;
 
·  
for any action taken or omitted by it in good faith in accordance with the direction of the holders of certificates evidencing at least 25% of the voting rights relating to the time, method and place of conducting any proceeding for any remedy available to the trustee or the trust administrator, as applicable, or exercising of any trust or power conferred upon the trustee or the trust administrator under the pooling and servicing agreement;
 
·  
for any loss resulting from the investment of funds held in the collection account at the direction of the servicers;
 
·  
for any willful misconduct or negligence of any agents, custodians, nominees or attorneys appointed by the trustee or the trust administrator, as applicable, to perform any of its duties (as long as such agents, custodians, nominees or attorneys are appointed with due and proper care); or
 
·  
to expend or risk its own funds or incur any liability in the performance of its duties if it has reasonable grounds for believing that repayment of such funds or indemnity satisfactory to it against such risk or liability is not assured to it.
 
The trustee or the trust administrator, as applicable, may conclusively rely upon and will be fully protected in acting or refraining from acting upon any certificates or opinions of counsel furnished to such trustee or trust administrator, as applicable under the pooling and servicing agreement. Any such opinion of counsel will be full and complete authorization and protection in respect of any action taken or omitted to be taken by such trustee or trust administrator, as applicable in good faith and in accordance with such opinion of counsel. The trustee or the trust administrator, as applicable may also request and rely conclusively upon and will be fully protected in acting or refraining from acting upon any resolution, certificate, statement, instrument, opinion, report, notice, request, consent, order, appraisal, bond or other document reasonably believed by it to be genuine and to have been signed or presented by the proper party and the manner of obtaining consents and evidencing the authorization of the execution of those documents will be subject to such reasonable regulations as the trustee or trust administrator, as applicable may prescribe. The trustee or the trust administrator, as applicable will not be deemed to have knowledge or notice of any matter, including an event of default, unless actually known to a responsible officer of the trustee or the trust administrator, as applicable or unless a responsible officer of the trustee or the trust administrator, as applicable has received written notice of that matter. Neither the trustee nor the trust administrator will be responsible for verifying, recomputing or recalculating information given to it by the servicers except as expressly required by the pooling and servicing agreement.

Removal of the Trustee and the Trust Administrator
 
If at any time the trustee or trust administrator becomes ineligible in accordance with the provisions of the pooling and servicing agreement and fails to resign after written request by the depositor, or if at any time the trustee or trust administrator becomes incapable of acting, or is adjudged bankrupt or insolvent, or a receiver of the trustee or trust administrator of its respective property is appointed, or any public officer takes charge or control of the trustee or trust administrator or of its respective property or affairs for the purpose of rehabilitation, conservation or liquidation, then the depositor or the servicers, may remove the trustee or trust administrator, as applicable, and appoint a successor trustee or trust administrator by written instrument, in duplicate, which instrument will be delivered to the removed trustee or trust administrator, as applicable, and to the successor trustee or trust administrator. A copy of such instrument will be delivered to the certificateholders and the servicers by the depositor.
 
The certificateholders entitled to at least 51% of the voting rights upon failure of the trustee or trust administrator to perform its obligations may at any time remove the trustee or trust administrator, as applicable, and appoint a successor trustee or trust administrator by written instrument or instruments, in triplicate, signed by such holders or their attorneys-in-fact duly authorized, one complete set of which instruments will be delivered to the depositor, one complete set to the removed trustee or trust administrator, as applicable, and one complete set to the appointed successor. A copy of such instrument will be delivered to the certificateholders and the servicers by the depositor.
 
Upon satisfaction of certain conditions as specified in the pooling and servicing agreement, the trustee or trust administrator may resign from its duties under the pooling and servicing agreement. Any resignation or removal of the trustee or trust administrator and appointment of a successor trustee or trust administrator will not become effective until acceptance of appointment by the successor trustee or trust administrator.
 
The Credit Risk Manager
 
Clayton Fixed Income Services Inc., formerly known as The Murrayhill Company, a Colorado corporation, as credit risk manager for the trust, will monitor the performance of the servicers, and make recommendations to the servicers regarding certain delinquent and defaulted mortgage loans and will report on the performance of such mortgage loans, pursuant to a credit risk management agreement to be entered into by the credit risk manager and the servicers on or prior to the closing date. The credit risk manager will rely upon mortgage loan data that is provided to it by the servicers in performing its advisory and monitoring functions. The credit risk manager will be entitled to receive the credit risk manager fee until the termination of the trust or until its removal by a vote of at least 66 2/3% of the certificateholders. Such fee will be paid by the trust and will be equal to a per annum percentage of the then current aggregate principal balance of the mortgage loans.
 
The Custodians
 
Citibank, N.A., a national banking association, referred to in this prospectus supplement as Citibank or the Custodian, will act as custodian for the mortgage files pursuant to the related custodial agreement. The custodian will perform certain administrative functions on behalf of the trust administrator. The custodian’s offices for notices under the custodial agreement are located at 5280 Corporate Drive, Frederick, Maryland 21703, Attention: Citibank, N.A., Custodial Operations. With respect to certain mortgage loans, Wells Fargo Bank, N.A., a national banking association, referred to in this prospectus supplement as Wells Fargo Bank or the Custodian, will act as custodian for the mortgage files pursuant to the related custodial agreement. The custodian will perform certain administrative functions on behalf of the trust administrator. The custodian’s offices for notices under the custodial agreement are located at 1015 Tenth Avenue SE, Minneapolis, Minnesota 55414.

The related custodian will hold the mortgage notes, mortgages and other legal documents in the mortgage files for the benefit of the certificateholders. The related custodian will maintain the mortgage files in secure and fire-resistant facilities. The mortgage files will not be physically segregated from other mortgage files in the related custodian’s custody but will be kept in shared facilities. However, the related custodian’s proprietary document tracking system will show the location within the related custodian’s facilities of each mortgage file and will show that the mortgage loan documents are held by the custodian on behalf of the trust. The related custodian will review each mortgage file in accordance with the review criteria specified in the pooling and servicing agreement and deliver a certification to the effect that, except as noted in the certification, all required documents have been executed and received.
 
Servicing and Other Compensation and Payment of Expenses
 
Each servicer will be entitled to receive a fee as compensation for its servicing activities under the pooling and servicing agreement equal to the servicing fee rate multiplied by the scheduled principal balance of each mortgage loan serviced by such servicer as of the due date in the month preceding the month in which such distribution date occurs. The Servicing Fee Rate for each mortgage loan will be determined as described in the definition of Servicing Fee Rate under “Description of the Certificates—Glossary” in this prospectus supplement.
 
As additional servicing compensation, each servicer may be entitled to retain all assumption fees, tax service fees and late payment charges, all to the extent collected from mortgagors and as provided in the pooling and servicing agreement. In addition, each servicer will be entitled to the related prepayment interest excess as provided in the pooling and servicing agreement.
 
Each servicer will pay all related expenses incurred in connection with its servicing responsibilities, subject to limited reimbursement as described in the pooling and servicing agreement.
 
Each servicer is obligated to offset any Prepayment Interest Shortfall in respect of certain prepayments of mortgage loans, to the extent set forth in the pooling and servicing agreement.
 
The related servicer is obligated to pay certain insurance premiums and certain ongoing expenses associated with the mortgage loans incurred by the servicers in connection with its responsibilities under the pooling and servicing agreement, and is entitled to reimbursement therefor as provided in the pooling and servicing agreement. See “Description of the Securities—Retained Interest; Servicing or Administration Compensation and Payment of Expenses” in the prospectus for information regarding expenses payable by the servicers and “Federal Income Tax Consequences” in this prospectus supplement regarding certain taxes payable by the trust administrator.
 
The servicers do not generally have custodial responsibility for the mortgage loan documents except to the extent that it receives such documents in connection with certain servicing obligations as set forth in the pooling and servicing agreement.
 
Voting Rights
 
At all times, 98% of all voting rights will be allocated among the holders of the Floating Rate Certificates and the Class CE Certificates in proportion to the then outstanding Certificate Principal Balances of their respective certificates, 1% of all voting rights will be allocated to the holders of the Class P Certificates in proportion to the then outstanding Certificate Principal Balances of their respective certificates and 1% of all voting rights will be allocated among the holders of the Residual Certificates, in each case in proportion to the percentage interests in such classes evidenced by their respective certificates.
 
Amendment of the Pooling and Servicing Agreement
 
The pooling and servicing agreement may be amended from time to time by the depositor, the servicers, the trust administrator and the trustee and without the consent of the certificateholders in order to: (i) cure any ambiguity or defect, (ii) correct, modify or supplement any provisions (including to give effect to the expectations of certificateholders) or (iii) make any other provisions with respect to matters or questions arising under the pooling and servicing agreement, provided that such action will not adversely affect the interests of the certificateholders evidenced by an opinion of counsel or confirmation from the rating agencies that such amendment will not result in the reduction or withdrawal of the rating of any outstanding class of certificates.
 
The pooling and servicing agreement may also be amended from time to time by the depositor, the servicers, the trust administrator and the trustee and the certificateholders entitled to at least 66% of the voting rights for the purpose of either adding, changing, or eliminating any provisions of the pooling and servicing agreement or of modifying the rights of the certificateholders; however, no such amendment may: (i) reduce the amount of, or delay the timing of, payments received on mortgage loans or (ii) adversely affect in any material respect the interests of the certificateholders.
 
None of the depositor, the servicers, the trust administrator nor the trustee may enter into an amendment of the pooling and servicing agreement that would significantly change the permitted activities of the trust and the certificateholders that represent more than 50% of the aggregate Certificate Principal Balance of all certificates. Promptly after the execution of any amendment, the trustee will furnish a copy of such amendment to each certificateholder.
 
Evidence as to Compliance
 
Each servicer is required to deliver to the depositor, the trust administrator and the rating agencies by not later than March 15th of each year, starting in March 2007, an officer’s certificate stating that (i) a review of the activities of the related servicer during the preceding calendar year and of performance under the pooling and servicing agreement has been made under such officer’s supervision and (ii) to the best of such officer’s knowledge, based on such review, the related servicer has fulfilled all of its obligations under the pooling and servicing agreement for such year, or, if there has been a default in the fulfillment of any such obligation, specifying each such default known to such officer and the nature and status of such default.
 
In addition, notwithstanding anything in the prospectus to the contrary, the pooling and servicing agreement will generally provide that on or before March 15, 2007, each party participating in the servicing function will provide to the depositor and the trust administrator a report on an assessment of compliance with the applicable minimum servicing criteria established in Item 1122(a) of Regulation AB (the “AB Servicing Criteria”). The AB Servicing Criteria include specific criteria relating to the following areas: general servicing considerations, cash collection and administration, investor remittances and reporting, and pool asset administration. Such report will indicate that the AB Servicing Criteria were used to test compliance on a platform level basis and will set out any material instances of noncompliance.
 
The pooling and servicing agreement will also provide that each party responsible for the servicing function will deliver along with its report on assessment of compliance, an attestation report from a firm of independent public accountants on the assessment of compliance with the AB Servicing Criteria.
 
Termination
 
Wells Fargo Bank, JPMCB or Ocwen, in that order, will have the right to purchase the mortgage and any related REO properties on any distribution date once the aggregate principal balance of the mortgage loans and REO properties at the time of purchase is reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. If such option is exercised, such election will effect both the termination of the trust and the early retirement of the certificates. In the event such option is exercised, the purchase price payable in connection therewith generally will be equal to the greater of (i) the aggregate stated principal balance of the mortgage loans and the fair market value of any REO properties, plus accrued interest for each mortgage loan at the related mortgage rate to but not including the first day of the month in which the purchase price is distributed, together with any amounts due to the servicers for any unreimbursed servicing advances and (ii) the aggregate fair market value of all of the assets in the trust. However, this option may only be exercised if the termination price is sufficient to pay all interest accrued on, as well as amounts necessary to retire the principal balance of, any net interest margin securities to be issued by a separate trust and secured by all or a portion of the Class CE Certificates and Class P Certificates. In the event such option is exercised, the portion of the purchase price allocable to the certificates of each class will be, to the extent of available funds:
 
•
 
in the case of each class of certificates, 100% of the then outstanding Certificate Principal Balance thereof, plus
•
in the case of each class of certificates, one month’s interest on the then outstanding Certificate Principal Balance thereof at the then applicable pass-through rate for that class and any previously accrued but unpaid interest thereon.

In no event will the trust created by the pooling and servicing agreement continue beyond the expiration of 21 years from the death of the survivor of the persons named in the pooling and servicing agreement. See “Description of the Securities—Termination” in the prospectus.
 
  FEDERAL INCOME TAX CONSEQUENCES
 
One or more elections will be made to treat designated portions of the trust (exclusive of the Net WAC Rate Carryover Reserve Account, the Cap Account, the Cap Contract and any servicer prepayment charge payment amounts) as a real estate mortgage investment conduit, or REMIC, for federal income tax purposes. Upon the issuance of the offered certificates, Thacher Proffitt & Wood llp, counsel to the depositor, will deliver its opinion generally to the effect that, assuming compliance with all provisions of the pooling and servicing agreement, for federal income tax purposes, each REMIC created under the pooling and servicing agreement will qualify as a REMIC under Sections 860A through 860G of the Code.
 
For federal income tax purposes, (i) the Residual Certificates will consist of components, each of which will represent the sole class of “residual interests” in related REMICs elected by the trust and (ii) the Floating Rate Certificates and the Class CE Certificates (exclusive of any right to receive payments from or any obligation to make payments to the Net WAC Rate Carryover Reserve Account or the cap account) and the Class P Certificates will represent ownership of “regular interests” in, and generally will be treated as debt instruments of a REMIC. See “Federal Income Tax Consequences—REMIC—Classification of REMICs” in the prospectus.
 
For federal income tax reporting purposes, the Floating Rate Certificates may be treated as having been issued with original issue discount. The prepayment assumption that will be used in determining the rate of accrual of original issue discount, premium and market discount, if any, for federal income tax purposes will be based on the assumption that, subsequent to the date of any determination, the mortgage loans will prepay at a rate equal to the Prepayment Assumption. No representation is made that the mortgage loans will prepay at that rate or at any other rate. See “Federal Income Tax Consequences—REMICs—Taxation of Owners of REMIC Regular Certificates—Original Issue Discount” in the prospectus.
 
The Internal Revenue Service, or IRS, has issued OID regulations under Sections 1271 to 1275 of the Code generally addressing the treatment of debt instruments issued with original issue discount.
 
Each holder of a Floating Rate Certificate is deemed to own an undivided beneficial ownership interest in a REMIC regular interest and the right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of the Net WAC Rate Carryover Amount. Neither the Net WAC Rate Carryover Reserve Account nor the cap account is an asset of any REMIC.
 
The treatment of amounts received by a holder of a Floating Rate Certificate under such holder’s right to receive the Net WAC Rate Carryover Amount, will depend on the portion, if any, of such holder’s purchase price allocable thereto. Under the REMIC Regulations, each holder of a Floating Rate Certificate must allocate its purchase price for the Floating Rate Certificate among its undivided interest in the regular interest of the related REMIC and its undivided interest in the right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of the Net WAC Rate Carryover Amount in accordance with the relative fair market values of each property right. The trust administrator will, as required, treat payments made to the holders of the Floating Rate Certificates with respect to the Net WAC Rate Carryover Amount, as includible in income based on the regulations relating to notional principal contracts (the “Notional Principal Contract Regulations”). The OID Regulations provide that the trust’s allocation of the issue price is binding on all holders unless the holder explicitly discloses on its tax return that its allocation is different from the trust’s allocation. For tax reporting purposes, the trust administrator may, as required, treat the right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of Net WAC Rate Carryover Amounts as having more than a de minimis value. Upon request, the trust administrator will make available information regarding such amounts as has been provided to it. Under the REMIC Regulations, the trust administrator is required to account for the REMIC regular interest, the right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of the Net WAC Rate Carryover Amount as discrete property rights. Holders of the Floating Rate Certificates are advised to consult their own tax advisors regarding the allocation of issue price, timing, character and source of income and deductions resulting from the ownership of such Certificates. Treasury regulations have been promulgated under Section 1275 of the Code generally providing for the integration of a “qualifying debt instrument” with a hedge if the combined cash flows of the components are substantially equivalent to the cash flows on a variable rate debt instrument. However, such regulations specifically disallow integration of debt instruments subject to Section 1272(a)(6) of the Code. Therefore, holders of the Floating Rate Certificates will be unable to use the integration method provided for under such regulations with respect to those Certificates. If the trust administrator’s treatment of payments of the Net WAC Rate Carryover Amount is respected, ownership of the right to the Net WAC Rate Carryover Amount will entitle the owner to amortize the price paid for the right to the Net WAC Rate Carryover Amount under the Notional Principal Contract Regulations.
 
Upon the sale of a Floating Rate Certificate the amount of the sale allocated to the selling certificateholder’s right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of the Net WAC Rate Carryover Amount would be considered a “termination payment” under the Notional Principal Contract Regulations allocable to the related Floating Rate Certificate, as the case may be. A holder of a Floating Rate Certificate will have gain or loss from such a termination of the right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of the Net WAC Rate Carryover Amount equal to (i) any termination payment it received or is deemed to have received minus (ii) the unamortized portion of any amount paid (or deemed paid) by the certificateholder upon entering into or acquiring its interest in the right to receive payments from the Net WAC Rate Carryover Reserve Account and the Cap Account in respect of the Net WAC Rate Carryover Amount.
 
Gain or loss realized upon the termination of the right to receive payments from the Net WAC Rate Carryover Reserve Account and the cap account in respect of the Net WAC Rate Carryover Amount will generally be treated as capital gain or loss. Moreover, in the case of a bank or thrift institution, Code Section 582(c) would likely not apply to treat such gain or loss as ordinary.
 
It is possible that the right to receive payments in respect of the Net WAC Rate Carryover Amounts could be treated as a partnership among the holders of the Floating Rate Certificates, in which case holders of such Certificates potentially would be subject to different timing of income and foreign holders of such Certificates could be subject to withholding in respect of any Net WAC Rate Carryover Amount. Holders of the Floating Rate Certificates are advised to consult their own tax advisors regarding the allocation of issue price, timing, character and source of income and deductions resulting from the ownership of their Certificates.
 
With respect to the Floating Rate Certificates, this paragraph is relevant to such Certificates exclusive of the rights of the holders of such Certificates to receive certain payments in respect of the Net WAC Rate Carryover Amount. The offered certificates may be treated for federal income tax purposes as having been issued with a premium. Certificateholders may elect to amortize such premium under a constant yield method in which case such amortizable premium will generally be allocated among the interest distributions on such certificates and will be applied as an offset against the interest distributions. See “Federal Income Tax Consequences—REMICs—Taxation of Owners of REMIC Regular Certificates—Premium” in the prospectus.
 
The offered certificates will be treated as assets described in Section 7701(a)(19)(C) of the Code and “real estate assets” under Section 856(c)(5)(B) of the Code, generally in the same proportion that the assets in the related trust would be so treated. In addition, interest on the offered certificates will be treated as “interest on obligations secured by mortgages on real property” under Section 856(c)(3)(B) of the Code, generally to the extent that the offered certificates are treated as “real estate assets” under Section 856(c)(5)(B) of the Code. The offered certificates (other than the Residual Certificates and exclusive of the right to receive Net WAC Rate Carryover Amounts) also will be treated as “qualified mortgages” under Section 860G(a)(3) of the Code. See “Federal Income Tax Consequences—REMICs—Characterization of Investments in REMIC Certificates” in the prospectus.
 
It is not anticipated that the REMIC will engage in any transactions that would subject it to the prohibited transactions tax as defined in Section 860F(a)(2) of the Code, the contributions tax as defined in Section 860G(d) of the Code or the tax on net income from foreclosure property as defined in Section 860G(c) of the Code. However, in the event that any such tax is imposed on the REMIC, the tax will be borne (i) by the trustee, if the trustee has breached its obligations with respect to REMIC compliance under the pooling and servicing agreement, (ii) by the trust administrator, if the trust administrator has breached its obligations with respect to REMIC compliance under the pooling and servicing agreement, (iii) by the servicers, if the related servicer has breached it’s obligations with respect to REMIC compliance under the pooling and servicing agreement, or (iv) otherwise by the trust, with a resulting reduction in amounts otherwise distributable to holders of the certificates. See “Description of the Securities—General” and “Federal Income Tax Consequences —REMICs—Prohibited Transactions Tax and Other Taxes” in the prospectus.
 
The responsibility for filing annual federal information returns and other reports will be generally borne by the trust administrator. See “Federal Income Tax Consequences—REMICs—Reporting and Other Administrative Matters” in the prospectus.
 
For further information regarding the federal income tax consequences of investing in the offered certificates, see “Federal Income Tax Consequences—REMICs” in the prospectus.
 
  METHOD OF DISTRIBUTION
 
Subject to the terms and conditions set forth in the underwriting agreement, dated December 8, 2006, the depositor has agreed to sell, and the underwriter has agreed to purchase the offered certificates. The underwriter is obligated to purchase all offered certificates offered hereby if it purchases any. The underwriter is an affiliate of the depositor.
 
Distribution of the offered certificates will be made from time to time in negotiated transactions or otherwise at varying prices to be determined at the time of sale. Proceeds to the depositor from the sale of the offered certificates, before deducting expenses payable by the depositor, will be approximately 100.00% of the aggregate initial Certificate Principal Balance of the offered certificates. In connection with the purchase and sale of the offered certificates, the underwriter may be deemed to have received compensation from the depositor in the form of underwriting discounts.
 
The offered certificates are offered subject to receipt and acceptance by the underwriter, to prior sale and to the underwriter’s right to reject any order in whole or in part and to withdraw, cancel or modify the offer without notice. It is expected that delivery of the offered certificates will be made through the facilities of DTC, Clearstream and Euroclear on or about the closing date. The offered certificates will be offered in Europe and the United States of America.
 
The underwriting agreement provides that the depositor will indemnify the underwriter against certain civil liabilities, including liabilities under the Securities Act of 1933, as amended, or will contribute to payments the underwriter may be required to make in respect thereof.
 
  SECONDARY MARKET
 
There is currently no secondary market for the offered certificates and there can be no assurance that a secondary market for the offered certificates will develop or, if it does develop, that it will continue. The underwriter intends to establish a market in the offered certificates, but is not obligated to do so. The primary source of information available to investors concerning the offered certificates will be the monthly statements discussed in this prospectus supplement under “Description of the Certificates—Reports to Certificateholders,” which will include information as to the outstanding Certificate Principal Balance or Notional Amount of the offered certificates and the status of the credit enhancement. There can be no assurance that any additional information regarding the offered certificates will be available through any other source. In addition, the depositor is not aware of any source through which price information about the offered certificates will be generally available on an ongoing basis. The limited nature of such information regarding the offered certificates may adversely affect the liquidity of the offered certificates, even if a secondary market for the offered certificates becomes available.
 
  LEGAL OPINIONS
 
Legal matters relating to the offered certificates will be passed upon for the depositor and the underwriter by Thacher Proffitt & Wood llp, New York, New York.
 
  RATINGS
 
It is a condition to the issuance of the certificates that each class of the offered certificates be rated not lower than the initial rating indicated for such class in the table under “Summary of Prospectus Supplement—Ratings.”
 
The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the certificates, including the nature of the underlying mortgage loans. The ratings assigned to mortgage pass-through certificates do not represent any assessment of the likelihood that principal prepayments will be made by the mortgagors or the degree to which these prepayments will differ from that originally anticipated or the corresponding effect on yield to investors. The ratings on the offered certificates do not address the likelihood of any recovery of Net WAC Rate Carryover Amounts by holders of such certificates.
 
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating organization. Each security rating should be evaluated independently of any other security rating. In the event that the ratings initially assigned to the offered certificates are subsequently lowered for any reason, no person or entity is obligated to provide any additional credit support or credit enhancement with respect to the offered certificates.
 
The depositor has not requested that any rating agency rate the offered certificates other than as stated above. However, there can be no assurance as to whether any other rating agency will rate the offered certificates, or, if it does, what rating would be assigned by any other rating agency. A rating on the offered certificates by another rating agency, if assigned at all, may be lower than the ratings assigned to the offered certificates as described in this section.
 
  LEGAL INVESTMENT
 
The offered certificates will not constitute “mortgage related securities” for purposes of SMMEA.
 
The depositor makes no representations as to the proper characterization of any class of offered certificates for legal investment or other purposes, or as to the ability of particular investors to purchase any class of offered certificates under applicable legal investment restrictions. These uncertainties may adversely affect the liquidity of any class of offered certificates. Accordingly, all institutions whose investment activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult with their legal advisors in determining whether and to what extent any class of offered certificates constitutes a legal investment or is subject to investment, capital or other restrictions. See “Legal Investment” in the prospectus.
 
  CONSIDERATIONS FOR BENEFIT PLAN INVESTORS
 
A fiduciary of any ERISA plan, IRA, Keogh plan or government plan, collectively referred to here as “benefit plans,” or any insurance company, whether through its general or separate accounts, or any other person investing benefit plan assets of any benefit plan, should carefully review with its legal advisors whether the purchase or holding of offered certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA or Section 4975 of the Code. The purchase or holding of the offered certificates by or on behalf of, or with benefit plan assets of, a benefit plan may qualify for exemptive relief under the Underwriter’s Exemption, as described under “Considerations for Benefit Plan Investors—Possible Exemptive Relief” in the prospectus. The Underwriter’s Exemption relevant to the offered certificates was granted by the Department of Labor on April 18, 1991 as PTE 91-23 at 56 F. R. 15,936 and amended on July 21, 1997 as PTE 97-34 at 62 F. R. 39021 and further amended on November 13, 2000 by PTE 2000-58 at 65 F.R. 67765. The Underwriter’s Exemption was amended further on August 22, 2002 by PTE 2002-41, 67 Fed. Reg. 54487 to permit a trustee to be affiliated with an underwriter despite the restriction in PTE 2000-58 to the contrary. However, the Underwriter’s Exemption contains a number of conditions which must be met for the exemption to apply, including the requirements that the investing benefit plan must be an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the Securities and Exchange Commission under the Securities Act and that the offered certificates be rated at least “BBB-” (or its equivalent) by S&P or Moody’s, at the time of the benefit plan’s purchase.
 
As noted in the prospectus, one requirement for eligibility under the Exemption is that all of the mortgage loans must have a loan-to-value ratio of not more than 100%, based on the outstanding principal balance of the loan and the fair market value of the mortgage property as of the closing date. It is possible that, if the fair market value of any of the mortgage loans has declined substantially since origination, this requirement may not be satisfied. This possibility is greater for the seasoned loans than it is for the other mortgage loans.
 
Each beneficial owner of a Mezzanine Certificate or any interest therein will be deemed to have represented, by virtue of its acquisition or holding of such certificate or interest therein, that either (i) it is not a benefit plan investor, (ii) it has acquired and is holding the related Mezzanine Certificate or interest therein in reliance on the Underwriter’s Exemption, and that it understands that there are certain conditions to the availability of the Underwriter’s Exemption, including that the applicable Mezzanine Certificate must be rated, at the time of purchase, not lower than “BBB-” (or its equivalent) by Moody’s or S&P and that such certificate is so rated or (iii) (1) it is an insurance company, (2) the source of funds used to acquire or hold the certificate or interest therein is an “insurance company general account,” as such term is defined in PTCE 95-60, and (3) the conditions in Sections I and III of PTCE 95-60 have been satisfied.
 
If any certificate or any interest therein is acquired or held in violation of the conditions described in the preceding paragraph, the next preceding permitted beneficial owner will be treated as the beneficial owner of that certificate, retroactive to the date of transfer to the purported beneficial owner. Any purported beneficial owner whose acquisition or holding of any such certificate or interest therein was effected in violation of the conditions described in the preceding paragraph will indemnify and hold harmless the depositor, the trustee, the trust administrator, the servicers, any subservicer and the trust from and against any and all liabilities, claims, costs or expenses incurred by those parties as a result of that acquisition or holding.
 
Before purchasing an offered certificate, a fiduciary of a benefit plan should itself confirm that the offered certificate constitutes a “security” for purposes of the Underwriter’s Exemption and that the specific and general conditions of the Underwriter’s Exemption and the other requirements set forth in the Underwriter’s Exemption would be satisfied. Any benefit plan fiduciary that proposes to cause a benefit plan to purchase a certificate should consult with its counsel with respect to the potential applicability to such investment of the fiduciary responsibility and prohibited transaction provisions of ERISA and the Code to the proposed investment. For further information regarding the ERISA considerations of investing in the certificates, see “Considerations for Benefit Plan Investors” in the prospectus.

 



ANNEX I
 
GLOBAL CLEARANCE, SETTLEMENT AND TAX DOCUMENTATION PROCEDURES
 
Except in certain limited circumstances, the globally offered Citigroup Mortgage Loan Trust, Asset- Backed Pass-Through Certificates, Series 2006-HE3 will be available only in book-entry form. The offered certificates are referred to in this Annex I as Global Securities. Investors in the Global Securities may hold such Global Securities through any of DTC, Clearstream or Euroclear. The Global Securities will be traceable as home market instruments in both the European and U.S. domestic markets. Initial settlement and all secondary trades will settle in same-day funds.
 
Secondary market trading between investors through Clearstream and Euroclear will be conducted in the ordinary way in accordance with the normal rules and operating procedures of Clearstream and Euroclear and in accordance with conventional eurobond practice (i.e., seven calendar day settlement). Secondary market trading between investors through DTC will be conducted according to DTC’s rules and procedures applicable to U.S. corporate debt obligations. Secondary cross-market trading between Clearstream or Euroclear and DTC Participants holding certificates will be effected on a delivery-against-payment basis through the respective Depositaries of Clearstream and Euroclear (in such capacity) and as DTC Participants.
 
Non-U.S. holders (as described below) of Global Securities will be subject to U.S. withholding taxes unless such holders meet certain requirements and deliver appropriate U.S. tax documents to the securities clearing organizations or their participants.
 
Initial Settlement
 
All Global Securities will be held in book-entry form by DTC in the name of Cede & Co. as nominee of DTC. Investors’ interests in the Global Securities will be represented through financial institutions acting on their behalf as direct and indirect Participants in DTC. As a result, Clearstream and Euroclear will hold positions on behalf of their participants through their Relevant Depositary which in turn will hold such positions in their accounts as DTC Participants.
 
Investors electing to hold their Global Securities through DTC will follow DTC settlement practices. Investor securities custody accounts will be credited with their holdings against payment in same-day funds on the settlement date.
 
Investors electing to hold their Global Securities through Clearstream or Euroclear accounts will follow the settlement procedures applicable to conventional eurobonds, except that there will be no temporary global security and no “lock-up” or restricted period. Global Securities will be credited to the securities custody accounts on the settlement date against payment in same-day funds.
 
Secondary Market Trading
 
Since the purchaser determines the place of delivery, it is important to establish at the time of the trade where both the purchaser’s and sponsor’s accounts are located to ensure that settlement can be made on the desired value date.
 
Trading between DTC Participants. Secondary market trading between DTC Participants will be settled using the procedures applicable to prior mortgage loan asset-backed certificates issues in same-day funds.
 
Trading between Clearstream and/or Euroclear Participants. Secondary market trading between Clearstream Participants or Euroclear Participants will be settled using the procedures applicable to conventional eurobonds in same-day funds.
 
Trading between DTC, Sponsor and Clearstream or Euroclear Participants. When Global Securities are to be transferred from the account of a DTC Participant to the account of a Clearstream Participant or a Euroclear Participant, the purchaser will send instructions to Clearstream or Euroclear through a Clearstream Participant or Euroclear Participant at least one business day prior to settlement. Clearstream or Euroclear will instruct the Relevant Depositary, as the case may be, to receive the Global Securities against payment. Payment will include interest accrued on the Global Securities from and including the last coupon payment date to and excluding the settlement date, on the basis of the actual number of days in such accrual period and a year assumed to consist of 360 days. For transactions settling on the 31st of the month, payment will include interest accrued to and excluding the first day of the following month. Payment will then be made by the Relevant Depositary to the DTC Participant’s account against delivery of the Global Securities. After settlement has been completed, the Global Securities will be credited to the respective clearing system and by the clearing system, in accordance with its usual procedures, to the Clearstream Participant’s or Euroclear Participant’s account. The securities credit will appear the next day (European time) and the cash debt will be back-valued to, and the interest on the Global Securities will accrue from, the value date (which would be the preceding day when settlement occurred in New York). If settlement is not completed on the intended value date (i.e., the trade fails), the Clearstream or Euroclear cash debt will be valued instead as of the actual settlement date.
 
Clearstream Participants and Euroclear Participants will need to make available to the respective clearing systems the funds necessary to process same-day funds settlement. The most direct means of doing so is to preposition funds for settlement, either from cash on hand or existing lines of credit, as they would for any settlement occurring within Clearstream or Euroclear. Under this approach, they may take on credit exposure to Clearstream or Euroclear until the Global Securities are credited to their account one day later. As an alternative, if Clearstream or Euroclear has extended a line of credit to them, Clearstream Participants or Euroclear Participants can elect not to preposition funds and allow that credit line to be drawn upon to finance settlement. Under this procedure, Clearstream Participants or Euroclear Participants purchasing Global Securities would incur overdraft charges for one day, assuming they cleared the overdraft when the Global Securities were credited to their accounts. However, interest on the Global Securities would accrue from the value date. Therefore, in many cases, the investment income on the Global Securities earned during that one-day period may substantially reduce or offset the amount of such overdraft charges, although the result will depend on each Clearstream Participant’s or Euroclear Participant’s particular cost of funds. Since the settlement is taking place during New York business hours, DTC Participants can employ their usual procedures for crediting Global Securities to the respective European Depositary for the benefit of Clearstream Participants or Euroclear Participants. The sale proceeds will be available to the DTC sponsor on the settlement date. Thus, to the DTC Participants a cross-market transaction will settle no differently than a trade between two DTC Participants.
 
Trading between Clearstream or Euroclear Sponsor and DTC Purchaser. Due to time zone differences in their favor, Clearstream Participants and Euroclear Participants may employ their customary procedures for transactions in which Global Securities are to be transferred by the respective clearing system, through the respective Depositary, to a DTC Participant. The sponsor will send instructions to Clearstream or Euroclear through a Clearstream Participant or Euroclear Participant at least one business day prior to settlement. In these cases Clearstream or Euroclear will instruct the respective Depositary, as appropriate, to credit the Global Securities to the DTC Participant’s account against payment. Payment will include interest accrued on the Global Securities from and including the last coupon payment to and excluding the settlement date on the basis of the actual number of days in such accrual period and a year assumed to consist to 360 days. For transactions settling on the 31st of the month, payment will include interest accrued to and excluding the first day of the following month. The payment will then be reflected in the account of Clearstream Participant or Euroclear Participant the following day, and receipt of the cash proceeds in the Clearstream Participant’s or Euroclear Participant’s account would be back-valued to the value date (which would be the preceding day, when settlement occurred in New York). Should the Clearstream Participant or Euroclear Participant have a line of credit with its respective clearing system and elect to be in debt in anticipation of receipt of the sale proceeds in its account, the back-valuation will extinguish any overdraft incurred over that one-day period. If settlement is not completed on the intended value date (i.e., the trade fails), receipt of the cash proceeds in the Clearstream Participant’s or Euroclear Participant’s account would instead be valued as of the actual settlement date.
 
Finally, day traders that use Clearstream or Euroclear and that purchase Global Securities from DTC Participants for delivery to Clearstream Participants or Euroclear Participants should note that these trades would automatically fail on the sale side unless affirmative action is taken. At least three techniques should be readily available to eliminate this potential problem:
 
•
 
borrowing through Clearstream or Euroclear for one day (until the purchase side of the trade is reflected in their Clearstream or Euroclear accounts) in accordance with the clearing system’s customary procedures;
 
•
 
borrowing the Global Securities in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Securities sufficient time to be reflected in their Clearstream or Euroclear account in order to settle the sale side of the trade; or
 
•
staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the Clearstream Participant or Euroclear Participant.

Certain U.S. Federal Income Tax Documentation Requirements
 
A beneficial owner of Global Securities holding securities through Clearstream or Euroclear (or through DTC if the holder has an address outside the U.S.) will be subject to the 30% U.S. withholding tax that generally applies to payments of interest (including original issue discount) on registered debt issued by U.S. Persons, unless (i) each clearing system, bank or other financial institution that holds customers’ securities in the ordinary course of its trade or business in the chain of intermediaries between such beneficial owner and the U.S. entity required to withhold tax complies with applicable certification requirements and (ii) such beneficial owner takes one of the following steps to obtain an exemption or reduced tax rate:
 
Exemption for non-U.S. Persons (Form W-8BEN). Beneficial owners of Global Securities that are non-U.S. Persons can obtain a complete exemption from the withholding tax by filing a signed Form W-8BEN (Certificate of Foreign Status of Beneficial Owner for United States Tax Withholding). If the information shown on Form W-8BEN changes, a new Form W-8BEN must be filed within 30 days of such change.
 
Exemption for non-U.S. Persons with effectively connected income (Form W-8ECI). A non-U.S. Person, including a non-U.S. corporation or bank with a U.S. branch, for which the interest income is effectively connected with its conduct of a trade or business in the United States, can obtain an exemption from the withholding tax by filing Form W-8ECI (Certificate of Foreign Person’s Claim for Exemption from Withholding on Income Effectively Connected with the Conduct of a Trade or Business in the United States).
 
Exemption or reduced rate for non-U.S. Persons resident in treaty countries (Form W-8BEN). Non-U.S. Persons that are Certificate Owners residing in a country that has a tax treaty with the United States can obtain an exemption or reduced tax rate (depending on the treaty terms) by filing Form W-8BEN (Certificate of Foreign Status of Beneficial Owner for United States Tax Withholding). Form W-8BEN may be filed by the Certificate Owners or their agents.
 
Exemption for U.S. Persons (Form W-9). U.S. Persons can obtain a complete exemption from the withholding tax by filing Form W-9 (Payer’s Request for Taxpayer Identification Number and Certification).
 
U.S. Federal Income Tax Reporting Procedure.
 
The Certificate Owner of a Global Security files by submitting the appropriate form to the person through whom it holds (the clearing agency, in the case of persons holding directly on the books of the clearing agency) the Global Security. Form W-8BEN and Form W-8ECI are effective until the third succeeding calendar year from the date such form is signed.
 
The term “U.S. Person” means (i) a citizen or resident of the United States, (ii) a corporation, partnership or other entity treated as a corporation or partnership for United States federal income tax purposes organized in or under the laws of the United States or any state thereof or the District of Columbia (unless, in the case of a partnership, Treasury regulations provide otherwise) or (iii) an estate the income of which is includible in gross income for United States tax purposes, regardless of its source, or (iv) a trust if a court within the United States is able to exercise primary supervision over the administration of the trust and one or more United States persons have authority to control all substantial decisions of the trust. Notwithstanding the preceding sentence, to the extent provided in Treasury regulations, certain trusts in existence on August 20, 1996, and treated as United States Persons prior to such date, that elect to continue to be treated as United States persons will also be U.S. Persons. This summary does not deal with all aspects of U.S. Federal income tax withholding that may be relevant to foreign holders of the Global Securities. Investors are advised to consult their own tax advisors for specific tax advice concerning their holding and disposing of the Global Securities.
 

 



ANNEX II
 
COLLATERAL CHARACTERISTICS OF THE MORTGAGE LOANS

 
 
Principal Balances of the Mortgage Loans at Origination
 
 
Original Balance Range ($)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
7,125.00 - 25,000.00
    
49
  
$
1,049,127.78
    
0.14
%
$
21,410.77
    
11.009
%
  
99.43
%
  
99.43
%
  
99.43
%
  
636
  
25,000.01 - 50,000.00
    
223
    
8,497,903.73
    
1.15
    
38,107.19
    
11.010
    
92.90
    
92.90
    
92.51
    
636
  
50,000.01 - 75,000.00
    
379
    
23,906,094.06
    
3.23
    
63,076.77
    
10.068
    
86.98
    
88.72
    
85.53
    
617
  
75,000.01 - 100,000.00
    
441
    
38,631,566.60
    
5.22
    
87,599.92
    
9.325
    
83.39
    
86.62
    
81.60
    
621
  
100,000.01 - 125,000.00
    
338
    
38,052,000.79
    
5.15
    
112,579.88
    
9.012
    
82.09
    
86.78
    
79.61
    
617
  
125,000.01 - 150,000.00
    
307
    
42,131,510.15
    
5.70
    
137,236.19
    
8.895
    
81.32
    
86.28
    
79.10
    
615
  
150,000.01 - 175,000.00
    
244
    
39,513,450.53
    
5.34
    
161,940.37
    
8.630
    
79.68
    
84.44
    
76.92
    
610
  
175,000.01 - 200,000.00
    
219
    
41,128,274.24
    
5.56
    
187,800.34
    
8.518
    
79.90
    
84.77
    
77.71
    
611
  
200,000.01 - 225,000.00
    
198
    
42,002,220.08
    
5.68
    
212,132.42
    
8.240
    
79.78
    
85.76
    
77.64
    
618
  
225,000.01 - 250,000.00
    
172
    
40,806,391.99
    
5.52
    
237,246.47
    
8.203
    
81.36
    
87.98
    
78.95
    
625
  
250,000.01 - 275,000.00
    
133
    
34,964,020.76
    
4.73
    
262,887.37
    
8.033
    
80.38
    
86.75
    
78.00
    
623
  
275,000.01 - 300,000.00
    
135
    
38,875,798.39
    
5.26
    
287,968.88
    
8.217
    
80.01
    
84.92
    
77.35
    
616
  
300,000.01 - 350,000.00
    
196
    
63,314,314.23
    
8.56
    
323,032.22
    
8.193
    
82.16
    
88.24
    
79.10
    
624
  
350,000.01 - 400,000.00
    
181
    
67,767,117.08
    
9.16
    
374,403.96
    
8.036
    
81.69
    
88.30
    
78.92
    
629
  
400,000.01 - 450,000.00
    
122
    
52,027,256.94
    
7.04
    
426,452.93
    
7.852
    
80.39
    
87.56
    
78.05
    
635
  
450,000.01 - 500,000.00
    
99
    
47,155,172.10
    
6.38
    
476,314.87
    
7.948
    
82.11
    
90.16
    
79.68
    
637
  
500,000.01 - 600,000.00
    
98
    
53,447,470.96
    
7.23
    
545,382.36
    
8.058
    
83.57
    
89.27
    
80.51
    
634
  
600,000.01 - 700,000.00
    
55
    
35,347,931.03
    
4.78
    
642,689.66
    
8.089
    
83.27
    
90.37
    
83.27
    
645
  
700,000.01 - 800,000.00
    
21
    
15,529,287.75
    
2.10
    
739,489.89
    
7.650
    
85.27
    
89.95
    
85.27
    
652
  
800,000.01 - 900,000.00
    
7
    
5,855,548.41
    
0.79
    
836,506.92
    
8.323
    
84.40
    
88.83
    
84.40
    
647
  
900,000.01 - 1,000,000.00
    
5
    
4,746,892.83
    
0.64
    
949,378.57
    
7.147
    
72.67
    
76.52
    
72.67
    
648
  
1,100,000.01 - 1,200,000.00
    
4
    
4,724,399.92
    
0.64
    
1,181,099.98
    
8.509
    
71.91
    
74.43
    
71.91
    
623
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Principal Balances of the Mortgage Loans as of the Cut-off Date
 
 
Principal Balance Range ($)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
7,117.76 - 25,000.00
    
50
  
$
1,074,115.62
    
0.15
%
$
21,482.31
    
11.042
%
  
99.45
%
  
99.45
%
  
99.45
%
  
635
  
25,000.01 - 50,000.00
    
224
    
8,572,629.38
    
1.16
    
38,270.67
    
10.993
    
92.76
    
92.76
    
92.38
    
636
  
50,000.01 - 75,000.00
    
382
    
24,175,140.61
    
3.27
    
63,285.71
    
10.060
    
86.95
    
88.67
    
85.51
    
618
  
75,000.01 - 100,000.00
    
436
    
38,262,806.56
    
5.17
    
87,758.73
    
9.324
    
83.39
    
86.65
    
81.58
    
621
  
100,000.01 - 125,000.00
    
338
    
38,052,000.79
    
5.15
    
112,579.88
    
9.012
    
82.09
    
86.78
    
79.61
    
617
  
125,000.01 - 150,000.00
    
307
    
42,131,510.15
    
5.70
    
137,236.19
    
8.895
    
81.32
    
86.28
    
79.10
    
615
  
150,000.01 - 175,000.00
    
247
    
40,037,749.63
    
5.41
    
162,096.15
    
8.620
    
79.75
    
84.54
    
77.00
    
610
  
175,000.01 - 200,000.00
    
217
    
40,803,194.01
    
5.52
    
188,033.15
    
8.520
    
79.79
    
84.62
    
77.61
    
611
  
200,000.01 - 225,000.00
    
198
    
42,027,838.16
    
5.68
    
212,261.81
    
8.243
    
79.82
    
85.90
    
77.69
    
618
  
225,000.01 - 250,000.00
    
171
    
40,581,555.04
    
5.49
    
237,319.04
    
8.206
    
81.36
    
87.91
    
78.95
    
625
  
250,000.01 - 275,000.00
    
133
    
34,964,020.76
    
4.73
    
262,887.37
    
8.033
    
80.38
    
86.75
    
78.00
    
623
  
275,000.01 - 3 00,000.00
    
135
    
38,875,798.39
    
5.26
    
287,968.88
    
8.217
    
80.01
    
84.92
    
77.35
    
616
  
300,000.01 - 350,000.00
    
201
    
65,063,362.01
    
8.80
    
323,698.32
    
8.174
    
81.73
    
87.64
    
78.75
    
623
  
350,000.01 - 400,000.00
    
176
    
66,018,069.30
    
8.93
    
375,102.67
    
8.050
    
82.10
    
88.88
    
79.25
    
631
  
400,000.01 - 450,000.00
    
122
    
52,027,256.94
    
7.04
    
426,452.93
    
7.852
    
80.39
    
87.56
    
78.05
    
635
  
450,000.01 - 500,000.00
    
99
    
47,155,172.10
    
6.38
    
476,314.87
    
7.948
    
82.11
    
90.16
    
79.68
    
637
  
500,000.01 - 600,000.00
    
98
    
53,447,470.96
    
7.23
    
545,382.36
    
8.058
    
83.57
    
89.27
    
80.51
    
634
  
600,000.01 - 700,000.00
    
55
    
35,347,931.03
    
4.78
    
642,689.66
    
8.089
    
83.27
    
90.37
    
83.27
    
645
  
700,000.01 - 800,000.00
    
21
    
15,529,287.75
    
2.10
    
739,489.89
    
7.650
    
85.27
    
89.95
    
85.27
    
652
  
800,000.01 - 900,000.00
    
7
    
5,855,548.41
    
0.79
    
836,506.92
    
8.323
    
84.40
    
88.83
    
84.40
    
647
  
900,000.01 - 1,000,000.00
    
5
    
4,746,892.83
    
0.64
    
949,378.57
    
7.147
    
72.67
    
76.52
    
72.67
    
648
  
1,100,000.01 - 1,200,000.00
    
4
    
4,724,399.92
    
0.64
    
1,181,099.98
    
8.509
    
71.91
    
74.43
    
71.91
    
623
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 

Mortgage Rates of the Mortgage Loans as of the Cut-off Date
 
 
Mortgage Rate (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
5.625 - 6.000
    
17
  
$
6,116,924.29
    
0.83
%
$
359,819.08
    
5.780
%
  
71.71
%
  
76.18
%
  
69.38
%
  
684
  
6.001 - 6.500
    
83
    
25,032,563.44
    
3.39
    
301,597.15
    
6.395
    
77.96
    
84.04
    
75.59
    
672
  
6.501 - 7.000
    
193
    
56,437,127.48
    
7.63
    
292,420.35
    
6.826
    
76.89
    
83.40
    
75.39
    
654
  
7.001 - 7.500
    
365
    
104,126,024.61
    
14.08
    
285,276.78
    
7.330
    
79.55
    
89.29
    
78.04
    
650
  
7.501 - 8.000
    
545
    
137,983,316.63
    
18.66
    
253,180.40
    
7.791
    
80.22
    
88.84
    
78.20
    
634
  
8.001 - 8.500
    
484
    
114,142,334.17
    
15.44
    
235,831.27
    
8.291
    
82.14
    
88.59
    
79.29
    
624
  
8.501 - 9.000
    
504
    
107,321,839.68
    
14.51
    
212,940.16
    
8.786
    
81.34
    
85.18
    
78.79
    
609
  
9.001 - 9.500
    
350
    
66,054,926.82
    
8.93
    
188,728.36
    
9.287
    
84.57
    
86.67
    
81.07
    
598
  
9.501 - 10.000
    
361
    
55,678,383.85
    
7.53
    
154,233.75
    
9.796
    
83.15
    
84.17
    
80.77
    
586
  
10.001 - 10.500
    
169
    
22,634,735.40
    
3.06
    
133,933.35
    
10.285
    
86.25
    
87.54
    
83.31
    
596
  
10.501 - 11.000
    
169
    
17,994,473.49
    
2.43
    
106,476.17
    
10.786
    
88.43
    
89.29
    
87.19
    
607
  
11.001 - 11.500
    
126
    
8,951,339.78
    
1.21
    
71,042.38
    
11.281
    
96.06
    
96.52
    
95.46
    
634
  
11.501 - 12.000
    
119
    
8,411,514.59
    
1.14
    
70,685.00
    
11.795
    
97.96
    
98.16
    
97.90
    
631
  
12.001 - 12.500
    
105
    
6,546,804.57
    
0.89
    
62,350.52
    
12.221
    
99.40
    
99.56
    
99.40
    
634
  
12.501 - 13.000
    
20
    
1,275,877.98
    
0.17
    
63,793.90
    
12.785
    
93.50
    
93.50
    
93.50
    
608
  
13.001 - 13.500
    
4
    
270,135.87
    
0.04
    
67,533.97
    
13.292
    
100.00
    
100.00
    
100.00
    
645
  
13.501 - 14.000
    
4
    
193,862.61
    
0.03
    
48,465.65
    
13.851
    
99.03
    
99.03
    
99.03
    
635
  
14.001 - 14.500
    
5
    
250,489.69
    
0.03
    
50,097.94
    
14.231
    
100.00
    
100.00
    
100.00
    
627
  
14.501 - 15.000
    
1
    
14,990.38
    
0.00
    
14,990.38
    
14.624
    
100.00
    
100.00
    
100.00
    
606
  
15.001 - 15.500
    
1
    
23,583.02
    
0.00
    
23,583.02
    
15.125
    
100.00
    
100.00
    
100.00
    
612
  
15.501 - 15.874
    
1
    
12,502.00
    
0.00
    
12,502.00
    
15.874
    
100.00
    
100.00
    
100.00
    
619
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 

Original Terms to Stated Maturity of the Mortgage Loans
 
 
Original Term (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
120 - 240
    
225
  
$
16,539,546.82
    
2.24
%
$
73,509.10
    
10.396
%
  
93.68
%
  
93.74
%
  
93.61
%
  
658
  
241 - 360
    
3,401
    
722,934,203.53
    
97.76
    
212,565.19
    
8.340
    
81.51
    
87.24
    
79.23
    
625
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 

Remaining Terms to Stated Maturity of the Mortgage Loans
 
 
Remaining Term (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
119 - 120
    
1
  
$
50,919.98
    
0.01
%
$
50,919.98
    
7.990
%
  
69.19
%
  
69.19
%
  
69.19
%
  
629
  
121 - 180
    
211
    
15,048,599.07
    
2.04
    
71,320.37
    
10.639
    
96.28
    
96.34
    
96.20
    
662
  
181 - 240
    
13
    
1,440,027.77
    
0.19
    
110,771.37
    
7.944
    
67.39
    
67.39
    
67.39
    
621
  
241 - 300
    
1
    
69,518.27
    
0.01
    
69,518.27
    
7.315
    
80.00
    
80.00
    
80.00
    
637
  
301 - 359
    
3,400
    
722,864,685.26
    
97.75
    
212,607.26
    
8.340
    
81.51
    
87.25
    
79.23
    
625
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  
 
 
Seasoning of the Mortgage Loans
 
 
Seasoning (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
1 - 6
    
3,529
  
$
729,832,477.60
    
98.70
%
$
206,810.00
    
8.371
%
  
81.64
%
  
87.29
%
  
79.40
%
  
625
  
7 - 12
    
24
    
3,603,647.22
    
0.49
    
150,151.97
    
8.662
    
83.12
    
89.91
    
80.62
    
616
  
13 - 18
    
68
    
5,675,757.47
    
0.77
    
83,467.02
    
9.961
    
97.62
    
97.62
    
97.41
    
659
  
19 - 20
    
5
    
361,868.06
    
0.05
    
72,373.61
    
10.222
    
99.22
    
99.22
    
99.22
    
668
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Original Combined Loan-to-Value Ratios of the Mortgage Loans
 
 
Original Combined
Loan-to-Value Ratio (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
10.66 - 15.00
    
2
  
$
189,866.39
    
0.03
%
$
94,933.20
    
7.668
%
  
12.84
%
  
21.25
%
  
12.84
%
  
631
  
15.01 - 20.00
    
6
    
449,363.86
    
0.06
    
74,893.98
    
9.529
    
18.07
    
18.07
    
18.07
    
556
  
20.01 - 25.00
    
3
    
224,873.57
    
0.03
    
74,957.86
    
7.691
    
23.35
    
23.35
    
23.35
    
570
  
25.01 - 30.00
    
4
    
391,448.83
    
0.05
    
97,862.21
    
7.524
    
27.19
    
27.19
    
27.19
    
663
  
30.01 - 35.00
    
14
    
1,660,076.35
    
0.22
    
118,576.88
    
8.248
    
33.08
    
33.08
    
33.08
    
585
  
35.01 - 40.00
    
18
    
2,602,116.78
    
0.35
    
144,562.04
    
7.664
    
37.66
    
37.66
    
37.66
    
626
  
40.01 - 45.00
    
23
    
3,180,296.94
    
0.43
    
138,273.78
    
8.123
    
43.03
    
44.28
    
43.03
    
582
  
45.01 - 50.00
    
40
    
7,125,254.75
    
0.96
    
178,131.37
    
8.152
    
48.24
    
48.24
    
48.24
    
619
  
50.01 - 55.00
    
46
    
8,686,223.36
    
1.17
    
188,830.94
    
7.702
    
52.92
    
52.92
    
52.92
    
600
  
55.01 - 60.00
    
70
    
16,868,688.59
    
2.28
    
240,981.27
    
8.220
    
58.68
    
58.85
    
58.68
    
583
  
60.01 - 65.00
    
94
    
21,204,898.63
    
2.87
    
225,584.03
    
7.989
    
63.53
    
63.53
    
63.53
    
590
  
65.01 - 70.00
    
144
    
30,820,099.06
    
4.17
    
214,028.47
    
8.136
    
68.82
    
69.81
    
68.82
    
591
  
70.01 - 75.00
    
205
    
43,072,593.53
    
5.82
    
210,110.21
    
8.428
    
74.09
    
74.56
    
74.09
    
591
  
75.01 - 80.00
    
1,169
    
285,367,313.26
    
38.59
    
244,112.33
    
7.932
    
79.82
    
93.68
    
79.82
    
642
  
80.01 - 85.00
    
364
    
75,868,844.15
    
10.26
    
208,430.89
    
8.617
    
84.43
    
85.36
    
80.82
    
593
  
85.01 - 90.00
    
561
    
132,666,551.22
    
17.94
    
236,482.27
    
8.503
    
89.71
    
90.14
    
83.07
    
625
  
90.01 - 95.00
    
223
    
55,508,214.88
    
7.51
    
248,915.76
    
8.499
    
94.85
    
94.92
    
88.95
    
640
  
95.01 - 100.00
    
640
    
53,587,026.20
    
7.25
    
83,729.73
    
10.585
    
99.97
    
99.97
    
96.82
    
654
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 



Fully Combined Loan-to-Value Ratios of the Mortgage Loans(1) (2)
 
 
Fully Combined
Loan-to-Value Ratio (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
13.97 - 15.00
    
1
  
$
124,890.30
    
0.02
%
$
124,890.30
    
7.950
%
  
13.97
%
  
13.97
%
  
13.97
%
  
565
  
15.01 - 20.00
    
6
    
449,363.86
    
0.06
    
74,893.98
    
9.529
    
18.07
    
18.07
    
18.07
    
556
  
20.01 - 25.00
    
3
    
224,873.57
    
0.03
    
74,957.86
    
7.691
    
23.35
    
23.35
    
23.35
    
570
  
25.01 - 30.00
    
4
    
391,448.83
    
0.05
    
97,862.21
    
7.524
    
27.19
    
27.19
    
27.19
    
663
  
30.01 - 35.00
    
14
    
1,660,076.35
    
0.22
    
118,576.88
    
8.248
    
33.08
    
33.08
    
33.08
    
585
  
35.01 - 40.00
    
19
    
2,667,092.87
    
0.36
    
140,373.31
    
7.651
    
37.00
    
37.60
    
37.00
    
629
  
40.01 - 45.00
    
21
    
2,958,942.74
    
0.40
    
140,902.04
    
8.043
    
43.03
    
43.03
    
43.03
    
586
  
45.01 - 50.00
    
40
    
7,125,254.75
    
0.96
    
178,131.37
    
8.152
    
48.24
    
48.24
    
48.24
    
619
  
50.01 - 55.00
    
46
    
8,686,223.36
    
1.17
    
188,830.94
    
7.702
    
52.92
    
52.92
    
52.92
    
600
  
55.01 - 60.00
    
70
    
16,960,633.54
    
2.29
    
242,294.76
    
8.222
    
58.54
    
58.67
    
58.54
    
582
  
60.01 - 65.00
    
94
    
21,204,898.63
    
2.87
    
225,584.03
    
7.989
    
63.53
    
63.53
    
63.53
    
590
  
65.01 - 70.00
    
140
    
28,944,087.46
    
3.91
    
206,743.48
    
8.126
    
68.75
    
68.82
    
68.75
    
586
  
70.01 - 75.00
    
200
    
42,349,712.86
    
5.73
    
211,748.56
    
8.427
    
74.07
    
74.10
    
74.07
    
592
  
75.01 - 80.00
    
401
    
86,185,092.25
    
11.65
    
214,925.42
    
8.363
    
79.29
    
79.44
    
79.29
    
598
  
80.01 - 85.00
    
323
    
70,453,086.78
    
9.53
    
218,121.01
    
8.579
    
84.35
    
84.38
    
80.81
    
593
  
85.01 - 90.00
    
530
    
128,505,156.40
    
17.38
    
242,462.56
    
8.458
    
89.49
    
89.70
    
82.86
    
627
  
90.01 - 95.00
    
276
    
64,567,683.73
    
8.73
    
233,940.88
    
8.494
    
93.19
    
94.86
    
87.67
    
637
  
95.01 - 100.00
    
1,438
    
256,015,232.07
    
34.62
    
178,035.63
    
8.386
    
84.40
    
99.98
    
83.64
    
658
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  
___________
(1) The original principal balance of the first lien mortgage loan plus, if applicable, the original principal balance of the second lien mortgage loan divided by the lesser of (a) the sales price or (b) the appraisal.
 
(2) The fully combined loan-to-value ratio as of the closing date is less than or equal to 100%.
 

 
Occupancy Status of the Mortgage Loans(1)
 
 
Occupancy Status
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Investor
    
260
  
$
43,903,009.57
    
5.94
%
$
168,857.73
    
8.864
%
  
83.36
%
  
83.71
%
  
80.28
%
  
656
  
Primary
    
3,289
    
680,759,021.95
    
92.06
    
206,980.55
    
8.348
    
81.68
    
87.54
    
79.46
    
623
  
Second Home
    
77
    
14,811,718.83
    
2.00
    
192,359.98
    
8.723
    
81.98
    
91.47
    
81.55
    
660
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  
______________
(1) The occupancy status of a Mortgaged Property is as represented by the mortgagor in its loan application.
 

 


Property Types of the Mortgage Loans
 
 
Property Type ($)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
2-4 Family
    
214
  
$
58,348,431.24
    
7.89
%
$
272,656.22
    
8.459
%
  
82.28
%
  
88.96
%
  
81.04
%
  
655
  
Condominium
    
225
    
40,238,797.65
    
5.44
    
178,839.10
    
8.577
    
82.71
    
88.82
    
80.78
    
637
  
Condominium Hi-Rise
    
2
    
331,653.30
    
0.04
    
165,826.65
    
9.777
    
79.58
    
79.58
    
79.58
    
677
  
PUD
    
496
    
109,749,173.71
    
14.84
    
221,268.50
    
8.302
    
82.38
    
88.28
    
79.69
    
623
  
Single Family
    
2,571
    
503,415,243.99
    
68.08
    
195,805.23
    
8.365
    
81.40
    
86.69
    
79.01
    
622
  
Single Family Attached
    
2
    
433,763.20
    
0.06
    
216,881.60
    
8.766
    
77.10
    
87.16
    
77.10
    
597
  
Single Family Detached
    
116
    
26,956,687.26
    
3.65
    
232,385.24
    
8.655
    
84.18
    
91.46
    
84.10
    
626
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 

Purposes of the Mortgage Loans
 
 
Loan Purpose
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Purchase
    
1,621
  
$
290,502,381.04
    
39.29
%
$
179,211.83
    
8.545
%
  
84.89
%
  
96.42
%
  
83.21
%
  
650
  
Refinance Cash Out
    
1,638
    
375,765,796.54
    
50.82
    
229,405.25
    
8.324
    
79.40
    
80.27
    
76.86
    
607
  
Rate Refinance
    
367
    
73,205,572.77
    
9.90
    
199,470.23
    
8.070
    
81.69
    
88.10
    
78.85
    
625
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Documentation Types of the Mortgage Loans(1)(2)
 
 
Documentation Type
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Full (12 months Income)
    
1,354
  
$
256,121,975.30
    
34.64
%
$
189,159.51
    
8.150
%
  
81.50
%
  
86.64
%
  
78.56
%
  
614
  
Full (24 months Income)
    
778
    
133,818,669.44
    
18.10
    
172,003.43
    
8.145
    
80.99
    
85.64
    
77.80
    
608
  
Limited
    
45
    
11,284,455.10
    
1.53
    
250,765.67
    
8.072
    
84.36
    
90.94
    
82.57
    
641
  
None
    
109
    
14,473,073.24
    
1.96
    
132,780.49
    
9.052
    
86.93
    
86.93
    
86.93
    
664
  
Stated
    
1,340
    
323,775,577.27
    
43.78
    
241,623.57
    
8.653
    
82.02
    
88.60
    
80.62
    
640
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  
_______________
(1) For a description of the loan programs, see “The Originators” in this prospectus supplement.
 
(2) The depositor has recharacterized the originators’ documentation types for consistency purposes.
 

 


Originators of the Mortgage Loans
 
 
Originator
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Lime Financial
    
384
  
$
78,718,749.30
    
10.65
%
$
204,996.74
    
8.223
%
  
81.01
%
  
89.75
%
  
79.44
%
  
629
  
Master Financial
    
168
    
38,911,227.23
    
5.26
    
231,614.45
    
8.682
    
84.22
    
91.60
    
84.16
    
626
  
Meritage
    
197
    
36,148,935.02
    
4.89
    
183,497.13
    
8.572
    
85.84
    
93.40
    
81.57
    
640
  
Mortgage It
    
18
    
1,624,109.92
    
0.22
    
90,228.33
    
7.921
    
93.11
    
93.11
    
71.95
    
587
  
Nat City
    
10
    
1,954,901.47
    
0.26
    
195,490.15
    
8.324
    
82.65
    
91.95
    
82.65
    
624
  
New Cenury
    
2,331
    
464,698,194.75
    
62.84
    
199,355.72
    
8.374
    
81.20
    
87.27
    
78.81
    
623
  
Quick Loan
    
272
    
76,704,333.98
    
10.37
    
282,001.23
    
8.157
    
80.48
    
80.88
    
77.61
    
609
  
Wells Fargo
    
179
    
35,504,577.27
    
4.80
    
198,349.59
    
8.637
    
84.01
    
84.76
    
83.84
    
664
  
WMC
    
67
    
5,208,721.41
    
0.70
    
77,742.11
    
10.214
    
99.69
    
99.69
    
99.69
    
674
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 

 
Originators/Servicers of the Mortgage Loans
 
 
Originator/Servicer
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Lime Financial / Chase
    
384
  
$
78,718,749.30
    
10.65
%
$
204,996.74
    
8.223
%
  
81.01
%
  
89.75
%
  
79.44
%
  
629
  
Master Financial / Wells Fargo
    
168
    
38,911,227.23
    
5.26
    
231,614.45
    
8.682
    
84.22
    
91.60
    
84.16
    
626
  
Meritage / Wells Fargo
    
197
    
36,148,935.02
    
4.89
    
183,497.13
    
8.572
    
85.84
    
93.40
    
81.57
    
640
  
Mortgage It / Wells Fargo
    
18
    
1,624,109.92
    
0.22
    
90,228.33
    
7.921
    
93.11
    
93.11
    
71.95
    
587
  
Natcity / Wells Fargo
    
10
    
1,954,901.47
    
0.26
    
195,490.15
    
8.324
    
82.65
    
91.95
    
82.65
    
624
  
New Century / Wells Fargo
    
2,331
    
464,698,194.75
    
62.84
    
199,355.72
    
8.374
    
81.20
    
87.27
    
78.81
    
623
  
Quickloan / Chase
    
27
    
7,741,599.11
    
1.05
    
286,725.89
    
7.743
    
82.67
    
82.67
    
82.67
    
628
  
Quickloan / Ocwen
    
245
    
68,962,734.87
    
9.33
    
281,480.55
    
8.203
    
80.23
    
80.67
    
77.05
    
606
  
Wells Fargo / Wells Fargo
    
179
    
35,504,577.27
    
4.80
    
198,349.59
    
8.637
    
84.01
    
84.76
    
83.84
    
664
  
WMC / Countrywide
    
67
    
5,208,721.41
    
0.70
    
77,742.11
    
10.214
    
99.69
    
99.69
    
99.69
    
674
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 


Geographic Distribution of the Mortgaged Properties of the Mortgage Loans
 
 
Location
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
California
    
866
  
$
265,037,124.71
    
35.84
%
$
306,047.49
    
8.117
%
  
81.35
%
  
87.79
%
  
79.69
%
  
631
  
Florida
    
382
    
68,349,377.96
    
9.24
    
178,925.07
    
8.509
    
80.56
    
86.29
    
78.52
    
628
  
Arizona
    
183
    
34,842,367.77
    
4.71
    
190,395.45
    
8.328
    
79.98
    
83.11
    
77.40
    
616
  
New York
    
130
    
31,518,581.52
    
4.26
    
242,450.63
    
8.205
    
80.92
    
87.75
    
78.95
    
644
  
Texas
    
248
    
29,237,072.95
    
3.95
    
117,891.42
    
8.456
    
80.05
    
85.68
    
78.44
    
621
  
New Jersey
    
93
    
24,690,744.43
    
3.34
    
265,491.88
    
8.696
    
82.37
    
86.08
    
80.01
    
631
  
Washington
    
96
    
21,506,640.40
    
2.91
    
224,027.50
    
8.353
    
80.46
    
88.25
    
78.44
    
627
  
Nevada
    
96
    
21,300,996.82
    
2.88
    
221,885.38
    
8.211
    
82.58
    
90.79
    
80.31
    
632
  
Illinois
    
106
    
19,824,303.59
    
2.68
    
187,021.73
    
8.534
    
84.94
    
89.00
    
81.69
    
624
  
Georgia
    
123
    
18,343,671.97
    
2.48
    
149,135.54
    
8.971
    
85.23
    
91.35
    
81.96
    
621
  
Maryland
    
78
    
18,324,395.84
    
2.48
    
234,928.15
    
8.397
    
80.64
    
83.48
    
77.63
    
601
  
Massachusetts
    
74
    
17,200,654.49
    
2.33
    
232,441.28
    
8.592
    
80.50
    
83.02
    
78.33
    
615
  
Hawaii
    
44
    
16,061,284.53
    
2.17
    
365,029.19
    
7.868
    
80.36
    
82.91
    
79.11
    
644
  
Oregon
    
74
    
15,044,144.01
    
2.03
    
203,299.24
    
8.078
    
84.46
    
90.83
    
80.46
    
633
  
Virginia
    
75
    
14,771,241.37
    
2.00
    
196,949.88
    
8.602
    
80.76
    
86.06
    
78.98
    
615
  
Pennsylvania
    
91
    
10,561,586.70
    
1.43
    
116,061.39
    
8.828
    
83.51
    
85.66
    
80.18
    
593
  
Ohio
    
96
    
10,248,709.66
    
1.39
    
106,757.39
    
9.016
    
85.52
    
91.25
    
81.35
    
608
  
Michigan
    
91
    
9,349,646.52
    
1.26
    
102,743.37
    
9.155
    
84.86
    
88.37
    
82.42
    
608
  
Colorado
    
52
    
8,146,073.49
    
1.10
    
156,655.26
    
8.746
    
84.35
    
90.53
    
81.75
    
619
  
Minnesota
    
41
    
7,408,622.04
    
1.00
    
180,698.10
    
8.562
    
84.61
    
91.09
    
81.04
    
619
  
Wisconsin
    
53
    
6,714,511.57
    
0.91
    
126,688.90
    
8.717
    
82.53
    
86.22
    
79.01
    
625
  
Connecticut
    
29
    
6,444,148.27
    
0.87
    
222,212.01
    
8.588
    
84.21
    
90.38
    
81.91
    
614
  
Missouri
    
50
    
5,501,327.07
    
0.74
    
110,026.54
    
9.030
    
85.06
    
88.62
    
80.67
    
600
  
Tennessee
    
44
    
5,158,465.46
    
0.70
    
117,237.85
    
9.083
    
83.91
    
88.71
    
80.75
    
605
  
New Mexico
    
33
    
5,096,473.22
    
0.69
    
154,438.58
    
8.529
    
82.62
    
86.34
    
77.51
    
614
  
Utah
    
27
    
5,061,608.89
    
0.68
    
187,467.00
    
8.690
    
84.42
    
94.89
    
81.01
    
638
  
South Carolina
    
28
    
4,032,312.94
    
0.55
    
144,011.18
    
8.471
    
82.22
    
86.25
    
78.09
    
616
  
Indiana
    
42
    
3,686,847.37
    
0.50
    
87,782.08
    
9.183
    
88.18
    
91.76
    
83.35
    
617
  
Rhode Island
    
19
    
3,512,385.16
    
0.47
    
184,862.38
    
8.576
    
80.08
    
85.37
    
76.48
    
614
  
North Carolina
    
26
    
3,047,043.97
    
0.41
    
117,194.00
    
9.066
    
86.89
    
91.30
    
84.87
    
625
  
Alabama
    
22
    
2,742,040.98
    
0.37
    
124,638.23
    
9.224
    
83.82
    
89.65
    
80.65
    
595
  
Idaho
    
19
    
2,666,628.29
    
0.36
    
140,348.86
    
8.711
    
79.26
    
81.40
    
76.52
    
577
  
Louisiana
    
21
    
2,578,479.57
    
0.35
    
122,784.74
    
9.010
    
83.19
    
88.40
    
81.08
    
611
  
Oklahoma
    
28
    
2,345,386.11
    
0.32
    
83,763.79
    
9.099
    
82.80
    
93.09
    
80.96
    
620
  
Arkansas
    
19
    
2,030,296.67
    
0.27
    
106,857.72
    
9.041
    
83.83
    
92.96
    
82.94
    
622
  
Alaska
    
12
    
2,010,980.79
    
0.27
    
167,581.73
    
8.094
    
75.41
    
86.26
    
75.41
    
668
  
District of Columbia
    
6
    
1,806,701.28
    
0.24
    
301,116.88
    
8.448
    
79.95
    
79.95
    
74.05
    
638
  
Kentucky
    
13
    
1,624,865.86
    
0.22
    
124,989.68
    
8.259
    
83.35
    
92.81
    
78.42
    
613
  
Iowa
    
17
    
1,530,747.93
    
0.21
    
90,044.00
    
8.917
    
86.93
    
88.21
    
82.34
    
617
  
Mississippi
    
17
    
1,478,545.52
    
0.20
    
86,973.27
    
9.226
    
87.72
    
89.87
    
83.96
    
583
  
New Hampshire
    
10
    
1,474,573.87
    
0.20
    
147,457.39
    
9.596
    
81.41
    
84.18
    
78.73
    
585
  
Kansas
    
13
    
1,453,330.96
    
0.20
    
111,794.69
    
8.967
    
83.51
    
90.55
    
80.09
    
592
  
Maine
    
6
    
1,129,035.43
    
0.15
    
188,172.57
    
8.588
    
78.36
    
79.99
    
78.36
    
620
  
Delaware
    
7
    
1,074,867.41
    
0.15
    
153,552.49
    
9.286
    
81.20
    
81.20
    
80.55
    
602
  
West Virginia
    
6
    
931,222.54
    
0.13
    
155,203.76
    
10.065
    
89.53
    
94.25
    
87.30
    
587
  
Nebraska
    
6
    
816,019.21
    
0.11
    
136,003.20
    
8.836
    
81.59
    
95.11
    
79.91
    
612
  
Wyoming
    
3
    
467,972.59
    
0.06
    
155,990.86
    
8.637
    
81.61
    
95.02
    
79.37
    
589
  
North Dakota
    
3
    
398,806.63
    
0.05
    
132,935.54
    
8.362
    
85.41
    
93.76
    
85.41
    
617
  
Montana
    
3
    
393,683.55
    
0.05
    
131,227.85
    
9.501
    
84.32
    
89.32
    
81.49
    
651
  
South Dakota
    
4
    
351,030.97
    
0.05
    
87,757.74
    
9.488
    
89.75
    
95.60
    
87.88
    
628
  
Vermont
    
1
    
146,169.50
    
0.02
    
146,169.50
    
8.963
    
79.05
    
79.05
    
79.05
    
605
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 



 
Credit Scores of the Mortgage Loans
 
 
Credit Scores
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
500 - 524
    
224
  
$
39,581,217.28
    
5.35
%
$
176,701.86
    
9.335
%
  
73.42
%
  
74.07
%
  
72.23
%
  
513
  
525 - 549
    
242
    
47,377,223.07
    
6.41
    
195,773.65
    
8.984
    
75.98
    
77.04
    
74.78
    
537
  
550 - 574
    
311
    
59,519,795.98
    
8.05
    
191,381.98
    
8.849
    
78.56
    
79.53
    
75.30
    
562
  
575 - 599
    
365
    
76,024,258.97
    
10.28
    
208,285.64
    
8.566
    
80.57
    
81.24
    
76.52
    
587
  
600 - 624
    
684
    
131,179,327.34
    
17.74
    
191,782.64
    
8.378
    
82.88
    
88.06
    
80.21
    
612
  
625 - 649
    
668
    
136,622,859.67
    
18.48
    
204,525.24
    
8.242
    
84.45
    
91.29
    
82.44
    
638
  
650 - 674
    
548
    
120,005,540.37
    
16.23
    
218,988.21
    
8.220
    
83.56
    
93.22
    
81.68
    
661
  
675 - 699
    
255
    
56,191,661.03
    
7.60
    
220,359.46
    
7.962
    
83.96
    
92.76
    
82.02
    
685
  
700 - 724
    
146
    
30,426,475.97
    
4.11
    
208,400.52
    
7.877
    
83.93
    
92.40
    
82.42
    
711
  
725 - 749
    
102
    
25,019,509.00
    
3.38
    
245,289.30
    
7.731
    
83.49
    
94.24
    
82.39
    
738
  
750 - 774
    
51
    
11,646,901.31
    
1.58
    
228,370.61
    
7.707
    
79.33
    
89.19
    
78.73
    
759
  
775 - 799
    
24
    
4,724,298.21
    
0.64
    
196,845.76
    
7.887
    
77.13
    
86.73
    
76.47
    
788
  
800 - 815
    
6
    
1,154,682.15
    
0.16
    
192,447.03
    
7.808
    
71.35
    
77.08
    
71.35
    
809
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Debt-to-Income of the Mortgage Loans
 
 
Debt-to-Income (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
0.00 - 0.00
    
53
  
$
10,347,734.08
    
1.40
%
$
195,240.27
    
8.542
%
  
81.92
%
  
81.92
%
  
81.92
%
  
656
  
0.01 - 10.00
    
14
    
2,996,628.36
    
0.41
    
214,044.88
    
8.384
    
81.08
    
83.96
    
77.93
    
635
  
10.01 - 20.00
    
83
    
14,273,263.43
    
1.93
    
171,967.03
    
8.387
    
78.58
    
81.37
    
75.95
    
640
  
20.01 - 30.00
    
318
    
53,487,819.42
    
7.23
    
168,200.69
    
8.485
    
79.66
    
83.62
    
77.17
    
621
  
30.01 - 40.00
    
915
    
155,213,399.97
    
20.99
    
169,632.13
    
8.448
    
81.51
    
86.69
    
79.38
    
627
  
40.01 - 50.00
    
1,939
    
429,693,650.25
    
58.11
    
221,605.80
    
8.389
    
82.71
    
89.51
    
80.64
    
628
  
50.01 - 60.40
    
304
    
73,461,254.84
    
9.93
    
241,648.86
    
8.139
    
79.11
    
81.25
    
75.68
    
603
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 


Gross Margins of the Adjustable-Rate Mortgage Loans
 
 
Gross Margins (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
2.125 - 2.500
    
9
  
$
2,333,795.86
    
0.39
%
$
259,310.65
    
8.218
%
  
70.90
%
  
70.90
%
  
70.90
%
  
676
  
2.501 - 3.000
    
30
    
6,484,292.84
    
1.08
    
216,143.09
    
8.088
    
79.43
    
79.43
    
79.43
    
663
  
3.001 - 3.500
    
43
    
10,408,971.30
    
1.74
    
242,069.10
    
8.577
    
82.46
    
84.07
    
81.98
    
663
  
3.501 - 4.000
    
53
    
8,227,080.29
    
1.37
    
155,227.93
    
9.034
    
88.81
    
88.81
    
88.68
    
665
  
4.001 - 4.500
    
30
    
5,577,653.36
    
0.93
    
185,921.78
    
8.326
    
87.78
    
91.25
    
87.25
    
667
  
4.501 - 5.000
    
45
    
14,910,291.03
    
2.49
    
331,339.80
    
7.339
    
80.12
    
98.77
    
80.12
    
665
  
5.001 - 5.500
    
71
    
18,401,330.79
    
3.07
    
259,173.67
    
7.519
    
78.99
    
90.88
    
78.03
    
648
  
5.501 - 6.000
    
385
    
104,692,459.46
    
17.47
    
271,928.47
    
7.817
    
81.74
    
89.67
    
79.08
    
640
  
6.001 - 6.500
    
1,273
    
312,175,323.06
    
52.10
    
245,228.06
    
8.289
    
81.77
    
89.09
    
79.26
    
622
  
6.501 - 7.000
    
321
    
81,143,754.11
    
13.54
    
252,784.28
    
8.790
    
80.40
    
81.71
    
77.93
    
587
  
7.001 - 7.500
    
105
    
22,246,358.23
    
3.71
    
211,870.08
    
9.131
    
74.58
    
78.76
    
73.16
    
585
  
7.501 - 8.000
    
33
    
7,436,264.14
    
1.24
    
225,341.34
    
8.991
    
81.99
    
86.18
    
78.93
    
602
  
8.001 - 8.500
    
15
    
3,150,606.79
    
0.53
    
210,040.45
    
9.235
    
87.45
    
92.58
    
82.80
    
619
  
8.501 - 9.000
    
3
    
584,730.88
    
0.10
    
194,910.29
    
9.640
    
89.81
    
96.13
    
89.81
    
649
  
9.001 - 9.500
    
6
    
822,155.24
    
0.14
    
137,025.87
    
10.421
    
96.05
    
96.77
    
85.01
    
604
  
9.501 - 9.875
    
3
    
640,396.99
    
0.11
    
213,465.66
    
10.815
    
95.18
    
100.00
    
95.18
    
592
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  

 
Next Rate Adjustment Dates for the Adjustable-Rate Mortgage Loans
 
 
Next Rate Adjustment Dates (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
January 2007 to June 2007
    
1
  
$
149,826.75
    
0.03
%
$
149,826.75
    
8.750
%
  
48.39
%
  
48.39
%
  
48.39
%
  
717
  
July 2007 to December 2007
    
4
    
699,285.53
    
0.12
    
174,821.38
    
8.294
    
80.71
    
80.71
    
80.71
    
551
  
January 2008 to June 2008
    
57
    
14,434,927.09
    
2.41
    
253,244.33
    
8.060
    
82.61
    
92.70
    
80.88
    
631
  
July 2008 to December 2008
    
2,076
    
517,731,577.58
    
86.40
    
249,389.01
    
8.315
    
81.19
    
87.69
    
78.98
    
621
  
January 2009 to June 2009
    
6
    
1,386,801.54
    
0.23
    
231,133.59
    
8.046
    
83.10
    
96.77
    
77.40
    
664
  
July 2009 to December 2009
    
261
    
60,734,248.21
    
10.14
    
232,698.27
    
8.106
    
82.35
    
88.41
    
79.24
    
632
  
July 2011 to December 2011
    
20
    
4,098,797.67
    
0.68
    
204,939.88
    
8.965
    
84.26
    
85.43
    
83.46
    
659
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  

 


Maximum Mortgage Rates of the Adjustable-Rate Mortgage Loans
 
 
Maximum Mortgage Rate (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
11.950 - 12.000
    
1
  
$
331,309.91
    
0.06
%
$
331,309.91
    
5.950
%
  
76.55
%
  
76.55
%
  
76.55
%
  
626
  
12.001 - 12.500
    
10
    
4,101,460.67
    
0.68
    
410,146.07
    
6.363
    
81.08
    
95.61
    
78.53
    
674
  
12.501 - 13.000
    
55
    
18,945,668.89
    
3.16
    
344,466.71
    
6.545
    
76.64
    
83.76
    
75.18
    
663
  
13.001 - 13.500
    
104
    
30,874,005.14
    
5.15
    
296,865.43
    
6.989
    
77.78
    
86.72
    
76.50
    
659
  
13.501 - 14.000
    
210
    
59,091,985.92
    
9.86
    
281,390.41
    
7.375
    
78.77
    
86.90
    
77.34
    
651
  
14.001 - 14.500
    
327
    
96,674,169.17
    
16.13
    
295,639.66
    
7.652
    
81.39
    
90.54
    
79.81
    
638
  
14.501 - 15.000
    
450
    
118,767,055.46
    
19.82
    
263,926.79
    
8.066
    
81.77
    
89.92
    
79.72
    
629
  
15.001 - 15.500
    
367
    
87,458,928.30
    
14.60
    
238,307.71
    
8.470
    
81.93
    
88.78
    
79.10
    
621
  
15.501 - 16.000
    
323
    
74,723,348.24
    
12.47
    
231,341.64
    
8.917
    
81.07
    
85.30
    
78.40
    
600
  
16.001 - 16.500
    
207
    
44,543,032.51
    
7.43
    
215,183.73
    
9.332
    
84.17
    
86.51
    
80.30
    
592
  
16.501 - 17.000
    
198
    
37,214,233.43
    
6.21
    
187,950.67
    
9.809
    
83.39
    
84.57
    
80.59
    
578
  
17.001 - 17.500
    
89
    
14,969,683.90
    
2.50
    
168,198.70
    
10.270
    
85.11
    
86.51
    
80.99
    
586
  
17.501 - 18.000
    
58
    
8,336,261.64
    
1.39
    
143,728.65
    
10.766
    
81.97
    
83.54
    
79.61
    
567
  
18.001 - 18.500
    
15
    
1,724,539.03
    
0.29
    
114,969.27
    
11.241
    
88.00
    
88.00
    
85.65
    
576
  
18.501 - 19.000
    
7
    
868,147.32
    
0.14
    
124,021.05
    
11.649
    
82.53
    
84.47
    
82.53
    
573
  
19.001 - 19.500
    
1
    
76,978.21
    
0.01
    
76,978.21
    
12.050
    
70.00
    
70.00
    
70.00
    
507
  
19.501 - 19.775
    
3
    
534,656.63
    
0.09
    
178,218.88
    
10.555
    
80.52
    
80.52
    
80.52
    
596
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  

 

Minimum Mortgage Rates of the Adjustable-Rate Mortgage Loans
 
 
Minimum Mortgage Rate (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
2.125 - 2.500
    
9
  
$
2,333,795.86
    
0.39
%
$
259,310.65
    
8.218
%
  
70.90
%
  
70.90
%
  
70.90
%
  
676
  
2.501 - 3.000
    
30
    
6,484,292.84
    
1.08
    
216,143.09
    
8.088
    
79.43
    
79.43
    
79.43
    
663
  
3.001 - 3.500
    
43
    
10,408,971.30
    
1.74
    
242,069.10
    
8.577
    
82.46
    
84.07
    
81.98
    
663
  
3.501 - 4.000
    
53
    
8,227,080.29
    
1.37
    
155,227.93
    
9.034
    
88.81
    
88.81
    
88.68
    
665
  
4.001 - 4.500
    
24
    
4,005,807.62
    
0.67
    
166,908.65
    
9.171
    
90.44
    
90.44
    
90.44
    
659
  
4.501 - 5.000
    
7
    
1,699,204.47
    
0.28
    
242,743.50
    
8.084
    
80.98
    
97.64
    
80.98
    
657
  
5.001 - 5.500
    
2
    
570,567.46
    
0.10
    
285,283.73
    
7.047
    
77.92
    
77.92
    
77.92
    
649
  
5.501 - 6.000
    
19
    
6,655,879.36
    
1.11
    
350,309.44
    
6.279
    
76.34
    
80.45
    
73.64
    
673
  
6.001 - 6.500
    
70
    
20,606,355.40
    
3.44
    
294,376.51
    
6.785
    
77.32
    
84.39
    
75.64
    
661
  
6.501 - 7.000
    
168
    
52,202,564.72
    
8.71
    
310,729.55
    
7.237
    
79.88
    
86.62
    
77.54
    
642
  
7.001 - 7.500
    
257
    
81,515,754.25
    
13.60
    
317,181.92
    
7.323
    
79.80
    
91.72
    
78.81
    
650
  
7.501 - 8.000
    
394
    
109,372,072.91
    
18.25
    
277,594.09
    
7.780
    
81.45
    
91.95
    
79.45
    
637
  
8.001 - 8.500
    
344
    
87,631,302.25
    
14.62
    
254,742.16
    
8.283
    
81.63
    
89.12
    
78.75
    
623
  
8.501- 9.000
    
334
    
80,049,206.94
    
13.36
    
239,668.28
    
8.777
    
81.35
    
85.81
    
78.50
    
600
  
9.001 - 9.500
    
251
    
53,162,935.80
    
8.87
    
211,804.53
    
9.281
    
83.90
    
86.07
    
80.13
    
589
  
9.501 - 10.000
    
232
    
45,159,941.79
    
7.54
    
194,654.92
    
9.793
    
81.92
    
82.94
    
79.27
    
573
  
10.001 - 10.500
    
99
    
16,828,002.07
    
2.81
    
169,979.82
    
10.274
    
84.22
    
85.58
    
80.48
    
580
  
10.501 - 11.000
    
64
    
9,353,036.60
    
1.56
    
146,141.20
    
10.766
    
81.17
    
82.56
    
79.06
    
564
  
11.001 - 11.500
    
15
    
1,724,539.03
    
0.29
    
114,969.27
    
11.241
    
88.00
    
88.00
    
85.65
    
576
  
11.501 - 12.000
    
7
    
868,147.32
    
0.14
    
124,021.05
    
11.649
    
82.53
    
84.47
    
82.53
    
573
  
12.001 - 12.500
    
1
    
76,978.21
    
0.01
    
76,978.21
    
12.050
    
70.00
    
70.00
    
70.00
    
507
  
12.501 - 12.775
    
2
    
299,027.88
    
0.05
    
149,513.94
    
12.766
    
73.80
    
73.80
    
73.80
    
520
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  

 


Initial Periodic Rate Caps of the Adjustable-Rate Mortgage Loans(1)
 
 
Initial Periodic
Rate Cap (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
1.000
    
6
  
$
1,203,929.99
    
0.20
%
$
200,655.00
    
8.738
%
  
75.74
%
  
77.27
%
  
75.74
%
  
621
  
1.500
    
1
    
384,538.66
    
0.06
    
384,538.66
    
9.075
    
89.99
    
89.99
    
79.19
    
587
  
2.000
    
1,475
    
372,606,602.62
    
62.18
    
252,614.65
    
8.258
    
80.81
    
88.01
    
78.31
    
621
  
3.000
    
926
    
222,379,211.56
    
37.11
    
240,150.34
    
8.335
    
82.26
    
87.71
    
80.30
    
625
  
5.000
    
17
    
2,661,181.54
    
0.44
    
156,540.09
    
9.119
    
84.23
    
86.03
    
84.23
    
680
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  
___________________
(1) Relates solely to initial rate adjustments.
 

 
Subsequent Periodic Rate Caps of the Adjustable-Rate Mortgage Loans(1)
 
 
Subsequent Periodic
Rate Cap (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
1.000
    
808
  
$
198,605,682.82
    
33.14
%
$
245,799.11
    
8.322
%
  
81.62
%
  
86.83
%
  
80.18
%
  
624
  
1.500
    
1,614
    
399,777,706.07
    
66.71
    
247,693.75
    
8.276
    
81.23
    
88.39
    
78.52
    
622
  
2.000
    
3
    
852,075.48
    
0.14
    
284,025.16
    
8.990
    
79.53
    
85.15
    
79.53
    
659
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  
___________________
(1) Relates to all rate adjustments subsequent to initial rate adjustments.
 

 
Product Type of the Mortgage Loans
 
 
Product Type
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Arm - Non-Hybrid
    
1
  
$
149,826.75
    
0.02
%
$
149,826.75
    
8.750
%
  
48.39
%
  
48.39
%
  
48.39
%
  
717
  
Fixed 10 Years
    
1
    
50,919.98
    
0.01
    
50,919.98
    
7.990
    
69.19
    
69.19
    
69.19
    
629
  
Fixed 15 Years
    
23
    
1,858,317.81
    
0.25
    
80,796.43
    
8.186
    
72.22
    
72.71
    
71.57
    
638
  
Fixed 20 Years
    
13
    
1,440,027.77
    
0.19
    
110,771.37
    
7.944
    
67.39
    
67.39
    
67.39
    
621
  
Fixed 25 Years
    
1
    
69,518.27
    
0.01
    
69,518.27
    
7.315
    
80.00
    
80.00
    
80.00
    
637
  
Fixed 30 Years
    
799
    
83,139,548.23
    
11.24
    
104,054.50
    
8.992
    
83.68
    
85.44
    
81.98
    
633
  
Fixed 30 Years IO
    
18
    
5,798,371.65
    
0.78
    
322,131.76
    
7.406
    
84.69
    
84.69
    
82.54
    
662
  
Fixed Balloon 30/15
    
172
    
12,052,530.62
    
1.63
    
70,072.85
    
10.907
    
99.66
    
99.66
    
99.66
    
666
  
Fixed Balloon 40/15
    
16
    
1,137,750.64
    
0.15
    
71,109.42
    
11.806
    
99.83
    
99.83
    
99.83
    
657
  
Fixed Balloon 40/30
    
131
    
26,894,411.05
    
3.64
    
205,300.85
    
7.745
    
78.36
    
81.93
    
75.17
    
639
  
Fixed Dual AM 40/20
    
27
    
7,796,889.96
    
1.05
    
288,773.70
    
7.814
    
78.86
    
78.86
    
73.51
    
621
  
Hybrid 2 Years Dual AM 40/20
    
65
    
18,442,157.08
    
2.49
    
283,725.49
    
8.245
    
83.11
    
83.11
    
78.19
    
593
  
Hybrid 2 Years Fixed
    
881
    
169,743,931.24
    
22.95
    
192,671.89
    
8.712
    
80.90
    
85.09
    
78.70
    
608
  
Hybrid 2 Years Fixed Balloon
    
833
    
217,533,584.77
    
29.42
    
261,144.76
    
8.322
    
81.12
    
87.73
    
78.54
    
617
  
Hybrid 2 Years Fixed IO
    
357
    
127,049,052.66
    
17.18
    
355,879.70
    
7.755
    
81.57
    
92.27
    
80.44
    
651
  
Hybrid 3 Years Dual AM 40/20
    
1
    
251,649.72
    
0.03
    
251,649.72
    
8.150
    
90.00
    
90.00
    
90.00
    
602
  
Hybrid 3 Years Fixed
    
127
    
22,737,580.59
    
3.07
    
179,036.07
    
8.260
    
81.97
    
88.13
    
78.71
    
629
  
Hybrid 3 Years Fixed Balloon
    
92
    
23,635,173.68
    
3.20
    
256,904.06
    
8.012
    
81.12
    
87.40
    
78.02
    
637
  
Hybrid 3 Years Fixed IO
    
48
    
15,593,710.21
    
2.11
    
324,868.96
    
8.022
    
84.71
    
91.04
    
81.57
    
630
  
Hybrid 5 Years Fixed
    
7
    
1,132,136.99
    
0.15
    
161,733.86
    
8.847
    
84.11
    
84.11
    
82.81
    
633
  
Hybrid 5 Years Fixed IO
    
13
    
2,966,660.68
    
0.40
    
228,204.67
    
9.010
    
84.32
    
85.94
    
83.71
    
669
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  
 
 
Lien Type on Mortgage Loans
 
 
Lien Type
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
First Lien
    
3,034
  
$
700,293,670.75
    
94.70
%
$
230,815.32
    
8.229
%
  
80.78
%
  
86.70
%
  
78.42
%
  
624
  
Second Lien
    
592
    
39,180,079.60
    
5.30
    
66,182.57
    
11.194
    
99.70
    
99.70
    
99.70
    
658
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Index of the Adjustable-Rate Mortgage Loans
 
 
Index
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
CMT 1 Year
    
2
  
$
470,426.65
    
0.08
%
$
235,213.33
    
9.295
%
  
82.26
%
  
82.26
%
  
82.26
%
  
650
  
1 Year LIBOR
    
2
    
552,387.74
    
0.09
    
276,193.87
    
8.850
    
81.99
    
90.66
    
81.99
    
660
  
6 Month LIBOR
    
2,421
    
598,212,649.98
    
99.83
    
247,093.21
    
8.291
    
81.35
    
87.87
    
79.07
    
623
  
Total
    
2,425
  
$
599,235,464.37
    
100.00
%
$
247,107.41
    
8.292
%
  
81.36
%
  
87.87
%
  
79.07
%
  
623
  

 

Prepayment Penalty Term of the Mortgage Loans
 
 
Prepayment Term (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
0
    
1,009
  
$
182,521,994.57
    
24.68
%
$
180,893.95
    
8.806
%
  
82.51
%
  
86.79
%
  
80.21
%
  
630
  
12
    
166
    
49,464,205.06
    
6.69
    
297,977.14
    
8.256
    
80.85
    
89.07
    
79.03
    
639
  
24
    
1,764
    
380,989,097.34
    
51.52
    
215,980.21
    
8.348
    
82.17
    
88.54
    
80.03
    
620
  
36
    
687
    
126,498,453.38
    
17.11
    
184,131.66
    
7.944
    
79.93
    
84.14
    
77.37
    
632
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  




Interest-Only Terms of the Mortgage Loans
 
 
Original IO Term (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
0
    
3,190
  
$
588,065,955.15
    
79.52
%
$
184,346.69
    
8.538
%
  
81.71
%
  
86.27
%
  
79.25
%
  
619
  
60
    
425
    
149,529,616.08
    
20.22
    
351,834.39
    
7.774
    
82.04
    
91.79
    
80.66
    
649
  
120
    
11
    
1,878,179.12
    
0.25
    
170,743.56
    
9.364
    
84.29
    
86.84
    
84.29
    
696
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Servicer of the Mortgage Loans
 
 
Servicer
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Chase
    
411
  
$
86,460,348.41
    
11.69
%
$
210,365.81
    
8.180
%
  
81.16
%
  
89.11
%
  
79.73
%
  
629
  
Countrywide
    
67
    
5,208,721.41
    
0.70
    
77,742.11
    
10.214
    
99.69
    
99.69
    
99.69
    
674
  
Ocwen
    
245
    
68,962,734.87
    
9.33
    
281,480.55
    
8.203
    
80.23
    
80.67
    
77.05
    
606
  
Wells Fargo
    
2,903
    
578,841,945.66
    
78.28
    
199,394.40
    
8.422
    
81.90
    
87.82
    
79.64
    
627
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  

 
Historical Delinquency of the Mortgage Loans Since Origination

 
Historical Delinquency
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
0 X 30
    
3,607
  
$
736,797,821.45
    
99.64
%
$
204,268.87
    
8.384
%
  
81.78
%
  
87.39
%
  
79.54
%
  
626
  
1 X 30
    
10
    
1,531,814.07
    
0.21
    
153,181.41
    
9.295
    
79.58
    
87.42
    
79.58
    
597
  
1 X 60
    
4
    
816,163.05
    
0.11
    
204,040.76
    
7.563
    
81.65
    
81.65
    
81.65
    
569
  
1 X 90
    
3
    
197,436.40
    
0.03
    
65,812.13
    
9.782
    
92.63
    
92.63
    
92.63
    
589
  
2 X 60
    
2
    
130,515.38
    
0.02
    
65,257.69
    
10.457
    
94.66
    
94.66
    
94.66
    
618
  
Total
    
3,626
  
$
739,473,750.35
    
100.00
%
$
203,936.50
    
8.386
%
  
81.78
%
  
87.39
%
  
79.55
%
  
625
  






Principal Balances of the Group I Mortgage Loans at Origination
 
 
Original Balance Range ($)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
17,980.00-25,000.00
    
31
  
$
691,703.46
    
0.25
%
$
22,313.01
    
10.558
%
  
99.57
%
  
99.57
%
  
99.57
%
  
641
  
25,000.01-50,000.00
    
121
    
4,559,683.59
    
1.63
    
37,683.34
    
11.064
    
92.06
    
92.06
    
91.89
    
628
  
50,000.01-75,000.00
    
157
    
9,993,403.90
    
3.57
    
63,652.25
    
9.637
    
80.76
    
83.63
    
78.79
    
590
  
75,000.01-100,000.00
    
226
    
19,937,649.22
    
7.12
    
88,219.69
    
8.791
    
77.52
    
81.34
    
75.28
    
600
  
100,000.01-125,000.00
    
188
    
21,186,373.92
    
7.56
    
112,693.48
    
8.633
    
79.27
    
83.65
    
76.21
    
596
  
125,000.01-150,000.00
    
164
    
22,638,184.08
    
8.08
    
138,037.71
    
8.643
    
77.87
    
82.25
    
75.46
    
596
  
150,000.01-175,000.00
    
150
    
24,282,710.24
    
8.67
    
161,884.73
    
8.517
    
77.39
    
79.78
    
74.33
    
595
  
175,000.01-200,000.00
    
125
    
23,528,096.71
    
8.40
    
188,224.77
    
8.506
    
77.56
    
80.63
    
75.12
    
590
  
200,000.01-225,000.00
    
113
    
23,915,273.08
    
8.54
    
211,639.58
    
8.184
    
78.49
    
81.78
    
76.47
    
602
  
225,000.01-250,000.00
    
83
    
19,710,324.38
    
7.04
    
237,473.79
    
8.237
    
79.37
    
81.01
    
75.86
    
605
  
250,000.01-275,000.00
    
74
    
19,489,802.32
    
6.96
    
263,375.71
    
8.040
    
78.98
    
81.20
    
75.88
    
609
  
275,000.01-300,000.00
    
63
    
18,119,776.32
    
6.47
    
287,615.50
    
8.266
    
76.13
    
77.65
    
73.82
    
590
  
300,000.01-350,000.00
    
93
    
29,961,237.90
    
10.70
    
322,163.85
    
8.329
    
81.99
    
83.31
    
77.91
    
605
  
350,000.01-400,000.00
    
75
    
28,153,163.59
    
10.05
    
375,375.51
    
8.102
    
79.77
    
81.60
    
75.96
    
611
  
400,000.01-450,000.00
    
20
    
8,375,826.91
    
2.99
    
418,791.35
    
7.521
    
78.54
    
81.19
    
75.79
    
629
  
450,000.01-500,000.00
    
8
    
3,867,099.81
    
1.38
    
483,387.48
    
7.335
    
73.94
    
80.58
    
73.51
    
655
  
500,000.01-600,000.00
    
2
    
1,032,442.53
    
0.37
    
516,221.27
    
7.600
    
82.50
    
92.50
    
79.95
    
695
  
600,000.01-617,500.00
    
1
    
616,369.79
    
0.22
    
616,369.79
    
8.500
    
95.00
    
95.00
    
95.00
    
723
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 
Principal Balances of the Group I Mortgage Loans as of the Cut-off Date
 
 
Principal Balance Range ($)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
17,959.11-25,000.00
    
32
  
$
716,691.30
    
0.26
%
$
22,396.60
    
10.622
%
  
99.59
%
  
99.59
%
  
99.59
%
  
640
  
25,000.01-50,000.00
    
121
    
4,584,679.86
    
1.64
    
37,889.92
    
11.054
    
92.05
    
92.05
    
91.88
    
628
  
50,000.01-75,000.00
    
156
    
9,943,419.79
    
3.55
    
63,739.87
    
9.631
    
80.69
    
83.58
    
78.70
    
590
  
75,000.01-100,000.00
    
226
    
19,937,649.22
    
7.12
    
88,219.69
    
8.791
    
77.52
    
81.34
    
75.28
    
600
  
100,000.01-125,000.00
    
188
    
21,186,373.92
    
7.56
    
112,693.48
    
8.633
    
79.27
    
83.65
    
76.21
    
596
  
125,000.01-150,000.00
    
164
    
22,638,184.08
    
8.08
    
138,037.71
    
8.643
    
77.87
    
82.25
    
75.46
    
596
  
150,000.01-175,000.00
    
153
    
24,807,009.34
    
8.86
    
162,137.32
    
8.503
    
77.55
    
80.04
    
74.52
    
596
  
175,000.01-200,000.00
    
122
    
23,003,797.61
    
8.21
    
188,555.72
    
8.522
    
77.40
    
80.38
    
74.93
    
589
  
200,000.01-225,000.00
    
113
    
23,915,273.08
    
8.54
    
211,639.58
    
8.184
    
78.49
    
81.78
    
76.47
    
602
  
225,000.01-250,000.00
    
83
    
19,710,324.38
    
7.04
    
237,473.79
    
8.237
    
79.37
    
81.01
    
75.86
    
605
  
250,000.01-275,000.00
    
74
    
19,489,802.32
    
6.96
    
263,375.71
    
8.040
    
78.98
    
81.20
    
75.88
    
609
  
275,000.01-300,000.00
    
63
    
18,119,776.32
    
6.47
    
287,615.50
    
8.266
    
76.13
    
77.65
    
73.82
    
590
  
300,000.01-350,000.00
    
96
    
31,010,821.70
    
11.07
    
323,029.39
    
8.305
    
81.39
    
82.67
    
77.45
    
604
  
350,000.01-400,000.00
    
72
    
27,103,579.79
    
9.68
    
376,438.61
    
8.120
    
80.36
    
82.26
    
76.41
    
612
  
400,000.01-450,000.00
    
20
    
8,375,826.91
    
2.99
    
418,791.35
    
7.521
    
78.54
    
81.19
    
75.79
    
629
  
450,000.01-500,000.00
    
8
    
3,867,099.81
    
1.38
    
483,387.48
    
7.335
    
73.94
    
80.58
    
73.51
    
655
  
500,000.01-600,000.00
    
2
    
1,032,442.53
    
0.37
    
516,221.27
    
7.600
    
82.50
    
92.50
    
79.95
    
695
  
600,000.01-616,369.79
    
1
    
616,369.79
    
0.22
    
616,369.79
    
8.500
    
95.00
    
95.00
    
95.00
    
723
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 


Mortgage Rates of the Group I Mortgage Loans as of the Cut-off Date
 
 
Mortgage Rate (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
5.625-6.000
    
9
  
$
2,400,417.11
    
0.86
%
$
266,713.01
    
5.750
%
  
64.61
%
  
67.67
%
  
64.61
%
  
675
  
6.001-6.500
    
50
    
12,030,321.27
    
4.30
    
240,606.43
    
6.404
    
74.18
    
75.88
    
71.43
    
667
  
6.501-7.000
    
94
    
20,140,851.71
    
7.19
    
214,264.38
    
6.819
    
73.65
    
77.03
    
72.13
    
643
  
7.001-7.500
    
160
    
32,500,914.41
    
11.61
    
203,130.72
    
7.324
    
77.15
    
82.14
    
75.13
    
639
  
7.501-8.000
    
258
    
49,623,005.74
    
17.72
    
192,337.23
    
7.809
    
78.21
    
82.66
    
75.28
    
616
  
8.001-8.500
    
223
    
41,670,103.27
    
14.88
    
186,861.45
    
8.297
    
81.32
    
84.41
    
77.26
    
605
  
8.501-9.000
    
240
    
40,269,739.26
    
14.38
    
167,790.58
    
8.797
    
79.53
    
81.31
    
76.12
    
586
  
9.001-9.500
    
175
    
29,183,637.41
    
10.42
    
166,763.64
    
9.280
    
80.95
    
82.13
    
77.51
    
566
  
9.501-10.000
    
197
    
27,104,419.58
    
9.68
    
137,585.89
    
9.782
    
80.13
    
80.81
    
77.61
    
559
  
10.001-10.500
    
90
    
10,350,745.40
    
3.70
    
115,008.28
    
10.279
    
81.13
    
82.52
    
79.01
    
567
  
10.501-11.000
    
70
    
8,311,054.70
    
2.97
    
118,729.35
    
10.761
    
78.88
    
79.51
    
76.73
    
558
  
11.001-11.500
    
48
    
2,629,148.61
    
0.94
    
54,773.93
    
11.237
    
89.94
    
91.43
    
88.98
    
593
  
11.501-12.000
    
35
    
1,950,262.76
    
0.70
    
55,721.79
    
11.759
    
92.56
    
93.42
    
92.30
    
600
  
12.001-12.500
    
34
    
1,317,730.29
    
0.47
    
38,756.77
    
12.237
    
99.16
    
99.92
    
99.16
    
631
  
12.501-12.900
    
11
    
576,770.23
    
0.21
    
52,433.66
    
12.743
    
86.41
    
86.41
    
86.41
    
572
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 

Original Terms to Stated Maturity of the Group I Mortgage Loans
 
 
Original Term (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
180-240
    
66
  
$
4,449,613.98
    
1.59
%
$
67,418.39
    
9.072
%
  
80.82
%
  
81.02
%
  
80.55
%
  
642
  
241-360
    
1,628
    
275,609,507.77
    
98.41
    
169,293.31
    
8.422
    
79.02
    
81.77
    
76.15
    
602
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 
Remaining Terms to Stated Maturity of the Group I Mortgage Loans
 
 
Remaining Term (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
166-180
    
56
  
$
3,239,157.72
    
1.16
%
$
57,842.10
    
9.560
%
  
85.23
%
  
85.51
%
  
84.86
%
  
650
  
181-240
    
10
    
1,210,456.26
    
0.43
    
121,045.63
    
7.767
    
69.01
    
69.01
    
69.01
    
620
  
241-300
    
1
    
69,518.27
    
0.02
    
69,518.27
    
7.315
    
80.00
    
80.00
    
80.00
    
637
  
301-359
    
1,627
    
275,539,989.50
    
98.39
    
169,354.63
    
8.422
    
79.02
    
81.77
    
76.14
    
602
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 


Seasoning of the Group I Mortgage Loans
 
 
Seasoning (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
1-6
    
1,685
  
$
278,739,568.88
    
99.53
%
$
165,424.08
    
8.430
%
  
79.04
%
  
81.73
%
  
76.20
%
  
603
  
7-12
    
5
    
1,076,519.25
    
0.38
    
215,303.85
    
8.757
    
77.93
    
83.79
    
77.93
    
598
  
13 - 15
    
4
    
243,033.62
    
0.09
    
60,758.41
    
9.136
    
95.38
    
95.38
    
90.39
    
628
  
Total 
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 

Original Combined Loan-to-Value Ratios of the Group I Mortgage Loans
 
 
Original Combined
Loan-to-Value Ratio (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
10.66-15.00
    
1
  
$
64,976.09
    
0.02
%
$
64,976.09
    
7.125
%
  
10.66
%
  
35.25
%
  
10.66
%
  
757
  
15.01-20.00
    
3
    
179,802.81
    
0.06
    
59,934.27
    
9.591
    
17.74
    
17.74
    
17.74
    
548
  
20.01-25.00
    
2
    
150,007.60
    
0.05
    
75,003.80
    
7.774
    
22.53
    
22.53
    
22.53
    
573
  
25.01-30.00
    
1
    
149,882.93
    
0.05
    
149,882.93
    
6.925
    
27.78
    
27.78
    
27.78
    
570
  
30.01-35.00
    
10
    
1,067,271.97
    
0.38
    
106,727.20
    
8.165
    
33.08
    
33.08
    
33.08
    
591
  
35.01-40.00
    
15
    
1,936,485.70
    
0.69
    
129,099.05
    
8.085
    
37.73
    
37.73
    
37.73
    
592
  
40.01-45.00
    
17
    
2,460,260.52
    
0.88
    
144,721.21
    
8.144
    
43.18
    
44.79
    
43.18
    
563
  
45.01-50.00
    
32
    
5,295,892.80
    
1.89
    
165,496.65
    
8.195
    
48.16
    
48.16
    
48.16
    
599
  
50.01-55.00
    
34
    
6,619,389.89
    
2.36
    
194,687.94
    
7.770
    
52.86
    
52.86
    
52.86
    
600
  
55.01-60.00
    
49
    
8,970,747.32
    
3.20
    
183,076.48
    
8.357
    
58.75
    
59.07
    
58.75
    
573
  
60.01-65.00
    
65
    
13,494,054.14
    
4.82
    
207,600.83
    
7.930
    
63.53
    
63.53
    
63.53
    
590
  
65.01-70.00
    
90
    
16,619,470.37
    
5.93
    
184,660.78
    
8.252
    
68.56
    
68.69
    
68.56
    
572
  
70.01-75.00
    
149
    
28,019,713.48
    
10.00
    
188,051.77
    
8.455
    
74.13
    
74.35
    
74.13
    
589
  
75.01-80.00
    
455
    
77,215,105.78
    
27.57
    
169,703.53
    
8.195
    
79.68
    
88.63
    
79.68
    
615
  
80.01-85.00
    
239
    
42,062,169.91
    
15.02
    
175,992.34
    
8.704
    
84.47
    
85.31
    
80.39
    
584
  
85.01-90.00
    
255
    
45,738,945.55
    
16.33
    
179,368.41
    
8.541
    
89.67
    
89.99
    
81.22
    
611
  
90.01-95.00
    
88
    
19,290,786.96
    
6.89
    
219,213.49
    
8.503
    
94.73
    
94.73
    
86.20
    
632
  
95.01-100.00
    
189
    
10,724,157.93
    
3.83
    
56,741.58
    
10.091
    
99.98
    
99.98
    
93.43
    
646
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 



Fully Combined Loan-to-Value Ratios of the Group I Mortgage Loans(1) (2)
 
 
Fully Combined
Loan-to-Value Ratio (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
15.69-20.00
    
3
  
$
179,802.81
    
0.06
%
$
59,934.27
    
9.591
%
  
17.74
%
  
17.74
%
  
17.74
%
  
548
  
20.01-25.00
    
2
    
150,007.60
    
0.05
    
75,003.80
    
7.774
    
22.53
    
22.53
    
22.53
    
573
  
25.01-30.00
    
1
    
149,882.93
    
0.05
    
149,882.93
    
6.925
    
27.78
    
27.78
    
27.78
    
570
  
30.01-35.00
    
10
    
1,067,271.97
    
0.38
    
106,727.20
    
8.165
    
33.08
    
33.08
    
33.08
    
591
  
35.01-40.00
    
16
    
2,001,461.79
    
0.71
    
125,091.36
    
8.053
    
36.85
    
37.65
    
36.85
    
598
  
40.01-45.00
    
15
    
2,238,906.32
    
0.80
    
149,260.42
    
8.040
    
43.20
    
43.20
    
43.20
    
567
  
45.01-50.00
    
32
    
5,295,892.80
    
1.89
    
165,496.65
    
8.195
    
48.16
    
48.16
    
48.16
    
599
  
50.01-55.00
    
34
    
6,619,389.89
    
2.36
    
194,687.94
    
7.770
    
52.86
    
52.86
    
52.86
    
600
  
55.01-60.00
    
49
    
9,062,692.27
    
3.24
    
184,952.90
    
8.359
    
58.49
    
58.73
    
58.49
    
572
  
60.01-65.00
    
65
    
13,494,054.14
    
4.82
    
207,600.83
    
7.930
    
63.53
    
63.53
    
63.53
    
590
  
65.01-70.00
    
89
    
16,447,784.24
    
5.87
    
184,806.56
    
8.262
    
68.48
    
68.59
    
68.48
    
571
  
70.01-75.00
    
147
    
27,857,982.07
    
9.95
    
189,510.08
    
8.454
    
74.12
    
74.17
    
74.12
    
589
  
75.01-80.00
    
245
    
41,900,971.25
    
14.96
    
171,024.37
    
8.520
    
79.41
    
79.43
    
79.41
    
584
  
80.01-85.00
    
218
    
39,718,893.17
    
14.18
    
182,196.76
    
8.672
    
84.40
    
84.44
    
80.30
    
584
  
85.01-90.00
    
236
    
43,838,243.78
    
15.65
    
185,755.27
    
8.510
    
89.66
    
89.66
    
81.09
    
612
  
90.01-95.00
    
117
    
23,518,876.92
    
8.40
    
201,016.04
    
8.448
    
92.59
    
94.75
    
85.14
    
631
  
95.01-100.00
    
415
    
46,517,007.80
    
16.61
    
112,089.18
    
8.438
    
84.92
    
99.92
    
83.21
    
644
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  
___________
(1) The original principal balance of the first lien mortgage loan plus, if applicable, the original principal balance of the second lien mortgage loan divided by the lesser of (a) the sales price or (b) the appraisal.
 
(2) The fully combined loan-to-value ratio as of the closing date is less than or equal to 100%.
 

 
Occupancy Status of the Group I Mortgage Loans(1)
 
 
Occupancy Status
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Investor
    
64
  
$
10,861,862.32
    
3.88
%
$
169,716.60
    
8.780
%
  
80.01
%
  
80.01
%
  
77.35
%
  
635
  
Primary
    
1,617
    
266,785,220.33
    
95.26
    
164,987.77
    
8.414
    
79.05
    
81.86
    
76.19
    
601
  
Second Home
    
13
    
2,412,039.10
    
0.86
    
185,541.47
    
8.894
    
74.46
    
77.51
    
73.73
    
600
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  
______________
(1) The occupancy status of a Mortgaged Property is as represented by the mortgagor in its loan application.
 

 
Property Types of the Group I Mortgage Loans
 
 
Property Type ($)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
2-4 Family
    
80
  
$
18,713,098.63
    
6.68
%
$
233,913.73
    
8.215
%
  
77.00
%
  
79.52
%
  
74.92
%
  
629
  
Condominium
    
101
    
15,651,623.15
    
5.59
    
154,966.57
    
8.496
    
79.00
    
82.50
    
76.09
    
624
  
PUD
    
227
    
42,750,146.09
    
15.26
    
188,326.63
    
8.351
    
81.16
    
83.87
    
77.54
    
603
  
Single Family
    
1,258
    
196,875,181.64
    
70.30
    
156,498.55
    
8.464
    
78.71
    
81.43
    
75.91
    
599
  
Single Family Attached
    
2
    
433,763.20
    
0.15
    
216,881.60
    
8.766
    
77.10
    
87.16
    
77.10
    
597
  
Single Family Detached
    
26
    
5,635,309.04
    
2.01
    
216,742.66
    
8.445
    
81.87
    
81.87
    
81.49
    
595
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 
Purposes of the Group I Mortgage Loans
 
 
Loan Purpose
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Purchase
    
358
  
$
36,540,772.87
    
13.05
%
$
102,069.20
    
8.823
%
  
86.03
%
  
95.30
%
  
82.73
%
  
625
  
Refinance Cashout
    
1,060
    
196,097,160.51
    
70.02
    
184,997.32
    
8.442
    
77.09
    
77.68
    
74.48
    
594
  
Refinance Rate
    
276
    
47,421,188.37
    
16.93
    
171,815.90
    
8.092
    
81.75
    
88.16
    
78.36
    
622
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 
Documentation Types of the Group I Mortgage Loans(1)(2)
 
 
Documentation Type
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Full (12 mos Income)
    
763
  
$
117,735,304.57
    
42.04
%
$
154,305.77
    
8.258
%
  
79.00
%
  
81.11
%
  
75.50
%
  
598
  
Full (24 mos Income)
    
459
    
68,713,920.50
    
24.54
    
149,703.53
    
8.339
    
79.52
    
83.04
    
76.36
    
595
  
Limited
    
19
    
3,817,725.36
    
1.36
    
200,932.91
    
7.823
    
79.45
    
84.05
    
77.46
    
639
  
Stated
    
453
    
89,792,171.32
    
32.06
    
198,216.71
    
8.758
    
78.73
    
81.51
    
76.99
    
613
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  
_______________
(1) For a description of the loan programs, see “The Originators” in this prospectus supplement.
 
(2) The depositor has recharacterized the originators’ documentation types for consistency purposes.
 

 
Originators of the Group I Mortgage Loans
 
 
Originator
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Lime Financial
    
174
  
$
27,459,502.76
    
9.80
%
$
157,813.23
    
8.505
%
  
80.29
%
  
85.71
%
  
78.27
%
  
606
  
Master Financial
    
43
    
8,319,973.70
    
2.97
    
193,487.76
    
8.517
    
83.33
    
85.46
    
83.07
    
602
  
Meritage
    
100
    
16,005,300.00
    
5.71
    
160,053.00
    
8.103
    
84.19
    
87.76
    
78.26
    
632
  
Mortgage It
    
2
    
225,951.02
    
0.08
    
112,975.51
    
7.715
    
74.59
    
74.59
    
74.59
    
589
  
New Century
    
1,242
    
199,777,408.02
    
71.33
    
160,851.38
    
8.440
    
78.38
    
81.05
    
75.58
    
602
  
Quickloan
    
131
    
28,034,710.64
    
10.01
    
214,005.42
    
8.466
    
78.31
    
78.31
    
75.38
    
587
  
Wells Fargo
    
2
    
236,275.61
    
0.08
    
118,137.81
    
9.461
    
95.00
    
95.00
    
95.00
    
648
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 


Originators/Servicers of the Group I Mortgage Loans
 
 
Originator/Servicer
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
Lime Financial / Chase
    
174
  
$
27,459,502.76
    
9.80
%
$
157,813.23
    
8.505
%
  
80.29
%
  
85.71
%
  
78.27
%
  
606
  
Master Financial / Wells Fargo
    
43
    
8,319,973.70
    
2.97
    
193,487.76
    
8.517
    
83.33
    
85.46
    
83.07
    
602
  
Meritage / Wells Fargo
    
100
    
16,005,300.00
    
5.71
    
160,053.00
    
8.103
    
84.19
    
87.76
    
78.26
    
632
  
Mortgage It / Wells Fargo
    
2
    
225,951.02
    
0.08
    
112,975.51
    
7.715
    
74.59
    
74.59
    
74.59
    
589
  
New Century / Wells Fargo
    
1,242
    
199,777,408.02
    
71.33
    
160,851.38
    
8.440
    
78.38
    
81.05
    
75.58
    
602
  
Quickloan / Chase
    
14
    
2,983,867.11
    
1.07
    
213,133.37
    
7.905
    
79.35
    
79.35
    
79.35
    
609
  
Quickloan / Ocwen
    
117
    
25,050,843.53
    
8.94
    
214,109.77
    
8.533
    
78.19
    
78.19
    
74.91
    
584
  
Wells Fargo / Wells Fargo
    
2
    
236,275.61
    
0.08
    
118,137.81
    
9.461
    
95.00
    
95.00
    
95.00
    
648
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 

 


Geographic Distribution of the Group I Mortgaged Properties of the Group I Mortgage Loans
 
 
Location
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
California
    
223
  
$
59,629,011.26
    
21.29
%
$
267,394.67
    
8.076
%
  
75.41
%
  
77.27
%
  
73.16
%
  
603
  
Florida
    
174
    
29,308,804.18
    
10.47
    
168,441.40
    
8.411
    
77.31
    
80.27
    
75.02
    
605
  
Arizona
    
125
    
20,981,718.12
    
7.49
    
167,853.74
    
8.332
    
79.63
    
81.91
    
76.86
    
600
  
Texas
    
159
    
14,851,611.58
    
5.30
    
93,406.36
    
8.437
    
79.09
    
81.72
    
77.71
    
602
  
New Jersey
    
51
    
12,827,468.12
    
4.58
    
251,518.98
    
8.713
    
78.38
    
79.87
    
76.01
    
606
  
New York
    
53
    
11,559,776.80
    
4.13
    
218,109.00
    
7.849
    
74.89
    
76.60
    
73.13
    
615
  
Illinois
    
57
    
8,939,443.41
    
3.19
    
156,832.34
    
8.518
    
82.98
    
84.87
    
78.61
    
605
  
Georgia
    
67
    
8,574,611.11
    
3.06
    
127,979.27
    
9.007
    
85.04
    
90.19
    
81.07
    
609
  
Maryland
    
45
    
8,356,954.90
    
2.98
    
185,710.11
    
8.487
    
81.05
    
83.26
    
76.28
    
590
  
Oregon
    
39
    
7,799,351.07
    
2.78
    
199,983.36
    
7.992
    
84.32
    
88.42
    
78.91
    
617
  
Nevada
    
37
    
7,699,479.08
    
2.75
    
208,094.03
    
8.026
    
79.71
    
82.88
    
76.98
    
616
  
Massachusetts
    
37
    
6,985,656.22
    
2.49
    
188,801.52
    
8.511
    
75.65
    
77.27
    
72.74
    
597
  
Virginia
    
38
    
6,731,364.00
    
2.40
    
177,141.16
    
8.600
    
77.56
    
81.80
    
75.51
    
593
  
Pennsylvania
    
47
    
6,190,229.86
    
2.21
    
131,707.02
    
8.446
    
80.45
    
83.01
    
77.17
    
579
  
Ohio
    
58
    
5,830,777.49
    
2.08
    
100,530.65
    
8.811
    
85.13
    
88.97
    
79.84
    
595
  
Hawaii
    
18
    
5,670,522.39
    
2.02
    
315,029.02
    
7.711
    
73.09
    
74.62
    
72.23
    
652
  
Washington
    
33
    
5,351,726.68
    
1.91
    
162,173.54
    
8.772
    
81.29
    
83.59
    
78.55
    
590
  
Michigan
    
57
    
5,228,942.32
    
1.87
    
91,735.83
    
9.281
    
82.39
    
85.99
    
80.13
    
598
  
Wisconsin
    
39
    
5,110,620.73
    
1.82
    
131,041.56
    
8.643
    
82.00
    
85.17
    
78.24
    
609
  
Minnesota
    
26
    
4,005,393.99
    
1.43
    
154,053.62
    
8.596
    
85.18
    
89.24
    
81.14
    
602
  
Colorado
    
24
    
3,660,118.91
    
1.31
    
152,504.95
    
8.994
    
82.98
    
86.94
    
78.88
    
602
  
New Mexico
    
20
    
2,966,421.68
    
1.06
    
148,321.08
    
8.671
    
79.01
    
81.61
    
76.41
    
577
  
Connecticut
    
15
    
2,710,847.56
    
0.97
    
180,723.17
    
8.389
    
79.89
    
84.89
    
76.25
    
602
  
South Carolina
    
17
    
2,592,088.88
    
0.93
    
152,475.82
    
8.569
    
79.35
    
81.34
    
74.84
    
597
  
Tennessee
    
28
    
2,456,996.63
    
0.88
    
87,749.88
    
9.337
    
83.16
    
87.80
    
79.95
    
584
  
Missouri
    
25
    
2,409,202.34
    
0.86
    
96,368.09
    
9.303
    
85.12
    
89.09
    
80.54
    
575
  
Utah
    
16
    
2,371,477.54
    
0.85
    
148,217.35
    
8.755
    
85.58
    
91.40
    
80.80
    
613
  
Rhode Island
    
11
    
2,131,366.93
    
0.76
    
193,760.63
    
8.755
    
79.28
    
80.55
    
76.17
    
600
  
Indiana
    
22
    
1,879,321.11
    
0.67
    
85,423.69
    
9.532
    
88.73
    
91.72
    
83.60
    
586
  
Idaho
    
13
    
1,754,451.35
    
0.63
    
134,957.80
    
8.616
    
80.01
    
82.03
    
76.27
    
577
  
Louisiana
    
13
    
1,436,786.04
    
0.51
    
110,522.00
    
8.808
    
82.76
    
87.80
    
80.00
    
632
  
Alabama
    
14
    
1,346,546.98
    
0.48
    
96,181.93
    
9.412
    
79.11
    
83.66
    
77.17
    
564
  
Oklahoma
    
14
    
1,344,692.82
    
0.48
    
96,049.49
    
9.094
    
80.41
    
92.52
    
79.69
    
602
  
New Hampshire
    
9
    
1,170,714.09
    
0.42
    
130,079.34
    
9.439
    
77.89
    
81.37
    
74.51
    
576
  
Maine
    
4
    
962,171.66
    
0.34
    
240,542.92
    
8.855
    
79.59
    
79.59
    
79.59
    
614
  
Iowa
    
10
    
949,563.41
    
0.34
    
94,956.34
    
8.886
    
84.28
    
84.28
    
80.48
    
608
  
Mississippi
    
8
    
901,457.93
    
0.32
    
112,682.24
    
8.929
    
83.95
    
86.75
    
80.05
    
559
  
Kansas
    
5
    
731,843.88
    
0.26
    
146,368.78
    
8.441
    
84.92
    
87.86
    
78.13
    
599
  
Nebraska
    
5
    
716,052.05
    
0.26
    
143,210.41
    
9.019
    
81.81
    
94.43
    
79.90
    
611
  
Arkansas
    
9
    
700,000.64
    
0.25
    
77,777.85
    
9.843
    
85.10
    
86.92
    
82.53
    
588
  
North Carolina
    
8
    
591,198.05
    
0.21
    
73,899.76
    
9.060
    
81.28
    
88.40
    
79.41
    
588
  
Delaware
    
3
    
506,134.90
    
0.18
    
168,711.63
    
9.715
    
81.67
    
81.67
    
80.28
    
536
  
Alaska
    
4
    
463,750.30
    
0.17
    
115,937.58
    
8.909
    
72.48
    
76.30
    
72.48
    
603
  
West Virginia
    
3
    
395,007.53
    
0.14
    
131,669.18
    
9.272
    
86.37
    
97.49
    
81.11
    
614
  
Kentucky
    
4
    
305,384.22
    
0.11
    
76,346.06
    
8.447
    
88.01
    
89.41
    
80.59
    
648
  
District of Columbia
    
1
    
294,539.92
    
0.11
    
294,539.92
    
7.875
    
84.28
    
84.28
    
79.22
    
741
  
North Dakota
    
2
    
232,406.63
    
0.08
    
116,203.32
    
8.443
    
89.29
    
89.29
    
89.29
    
629
  
Montana
    
2
    
201,782.36
    
0.07
    
100,891.18
    
8.693
    
85.13
    
94.87
    
79.59
    
672
  
Vermont
    
1
    
146,169.50
    
0.05
    
146,169.50
    
8.963
    
79.05
    
79.05
    
79.05
    
605
  
Wyoming
    
1
    
97,162.60
    
0.03
    
97,162.60
    
10.650
    
90.00
    
90.00
    
79.20
    
511
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 


Credit Scores of the Group I Mortgage Loans
 
 
Credit Scores
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
500-524
    
187
  
$
31,196,938.83
    
11.14
%
$
166,828.55
    
9.379
%
  
73.17
%
  
73.50
%
  
71.94
%
  
513
  
525-549
    
164
    
28,314,156.40
    
10.11
    
172,647.30
    
9.084
    
74.32
    
74.99
    
73.10
    
536
  
550-574
    
216
    
34,925,533.71
    
12.47
    
161,692.29
    
8.938
    
77.79
    
78.57
    
74.70
    
562
  
575-599
    
215
    
36,861,830.35
    
13.16
    
171,450.37
    
8.540
    
77.57
    
78.09
    
74.34
    
587
  
600-624
    
319
    
48,905,499.78
    
17.46
    
153,308.78
    
8.330
    
82.11
    
85.39
    
78.51
    
612
  
625-649
    
265
    
43,591,998.40
    
15.57
    
164,498.11
    
7.951
    
82.75
    
87.11
    
79.09
    
637
  
650-674
    
164
    
27,258,977.98
    
9.73
    
166,213.28
    
7.813
    
81.82
    
89.00
    
78.89
    
660
  
675-699
    
75
    
13,313,827.22
    
4.75
    
177,517.70
    
7.610
    
82.30
    
85.62
    
78.15
    
684
  
700-724
    
41
    
6,424,335.00
    
2.29
    
156,691.10
    
7.707
    
83.30
    
87.35
    
81.64
    
713
  
725-749
    
29
    
5,430,468.18
    
1.94
    
187,257.52
    
7.292
    
79.64
    
87.09
    
77.84
    
737
  
750-774
    
12
    
2,130,315.55
    
0.76
    
177,526.30
    
7.365
    
70.19
    
79.71
    
70.19
    
760
  
775-799
    
6
    
1,226,180.28
    
0.44
    
204,363.38
    
7.058
    
68.52
    
72.70
    
66.57
    
787
  
800-812
    
1
    
479,060.07
    
0.17
    
479,060.07
    
6.100
    
51.84
    
51.84
    
51.84
    
812
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 
Debt-to-Income of the Group I Mortgage Loans
 
 
Debt-to-Income (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
20.12-30.00
    
173
  
$
23,241,246.86
    
8.30
%
$
134,342.47
    
8.467
%
  
76.22
%
  
77.80
%
  
73.82
%
  
600
  
30.01-40.00
    
468
    
69,023,588.30
    
24.65
    
147,486.30
    
8.465
    
79.72
    
81.79
    
76.84
    
609
  
40.01-50.00
    
879
    
154,626,564.49
    
55.21
    
175,911.90
    
8.456
    
80.03
    
83.52
    
77.28
    
604
  
50.01-59.79
    
174
    
33,167,722.10
    
11.84
    
190,619.09
    
8.227
    
75.06
    
76.19
    
71.63
    
586
  
Total
    
1,694
  
$
280,059,121.75
    
100.00
%
$
165,324.16
    
8.432
%
  
79.05
%
  
81.75
%
  
76.22
%
  
603
  

 
Gross Margins of the Group I Adjustable-Rate Mortgage Loans
 
 
Gross Margins (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
3.375-3.500
    
1
  
$
135,660.43
    
0.06
%
$
135,660.43
    
8.875
%
  
95.00
%
  
95.00
%
  
95.00
%
  
635
  
4.001-4.500
    
2
    
605,132.34
    
0.28
    
302,566.17
    
6.018
    
82.64
    
82.64
    
77.75
    
674
  
4.501-5.000
    
5
    
998,917.84
    
0.47
    
199,783.57
    
7.690
    
82.95
    
99.08
    
82.95
    
643
  
5.001-5.500
    
23
    
4,079,315.37
    
1.91
    
177,361.54
    
7.669
    
75.45
    
81.22
    
73.43
    
631
  
5.501-6.000
    
183
    
37,435,644.84
    
17.48
    
204,566.37
    
8.019
    
79.25
    
84.53
    
76.60
    
622
  
6.001-6.500
    
605
    
112,510,422.37
    
52.55
    
185,967.64
    
8.450
    
80.37
    
83.64
    
77.09
    
597
  
6.501-7.000
    
209
    
43,154,654.73
    
20.16
    
206,481.60
    
8.887
    
79.12
    
79.59
    
75.91
    
574
  
7.001-7.500
    
72
    
12,703,366.51
    
5.93
    
176,435.65
    
9.341
    
73.27
    
75.12
    
71.43
    
569
  
7.501-7.938
    
14
    
2,482,536.64
    
1.16
    
177,324.05
    
9.102
    
77.21
    
79.46
    
75.14
    
585
  
Total
    
1,114
  
$
214,105,651.07
    
100.00
%
$
192,195.38
    
8.498
%
  
79.40
%
  
82.46
%
  
76.38
%
  
596
  

 



Next Rate Adjustment Dates for the Group I Adjustable-Rate Mortgage Loans
 
 
Next Rate Adjustment Dates (months)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
January 2008 to June 2008
    
23
  
$
4,201,461.81
    
1.96
%
$
182,672.25
    
8.454
%
  
83.35
%
  
87.65
%
  
81.34
%
  
601
  
July 2008 to December 2008
    
952
    
181,981,175.05
    
85.00
    
191,156.70
    
8.551
    
79.05
    
82.04
    
76.13
    
592
  
January 2009 to June 2009
    
1
    
174,460.93
    
0.08
    
174,460.93
    
7.850
    
80.00
    
100.00
    
80.00
    
612
  
July 2009 to December 2009
    
137
    
27,399,418.71
    
12.80
    
199,995.76
    
8.144
    
81.04
    
84.30
    
77.18
    
618
  
July 2011 to December 2011
    
1
    
349,134.57
    
0.16
    
349,134.57
    
9.550
    
84.13
    
84.13
    
79.93
    
616
  
Total
    
1,114
  
$
214,105,651.07
    
100.00
%
$
192,195.38
    
8.498
%
  
79.40
%
  
82.46
%
  
76.38
%
  
596
  

 
Maximum Mortgage Rates of the Group I Adjustable-Rate Mortgage Loans
 
 
Maximum Mortgage Rate (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
11.950-12.000
    
1
  
$
331,309.91
    
0.15
%
$
331,309.91
    
5.950
%
  
76.55
%
  
76.55
%
  
76.55
%
  
626
  
12.001-12.500
    
2
    
621,822.43
    
0.29
    
310,911.22
    
6.310
    
83.89
    
94.96
    
79.14
    
678
  
12.501-13.000
    
13
    
3,257,875.10
    
1.52
    
250,605.78
    
6.159
    
66.88
    
69.73
    
65.75
    
657
  
13.001-13.500
    
47
    
11,130,704.05
    
5.20
    
236,823.49
    
6.831
    
71.91
    
77.18
    
71.21
    
647
  
13.501-14.000
    
89
    
19,720,771.85
    
9.21
    
221,581.71
    
7.313
    
76.73
    
82.64
    
74.46
    
633
  
14.001-14.500
    
112
    
26,020,516.97
    
12.15
    
232,326.04
    
7.749
    
80.55
    
85.43
    
77.75
    
615
  
14.501-15.000
    
179
    
36,686,143.21
    
17.13
    
204,950.52
    
8.033
    
80.65
    
84.74
    
77.24
    
607
  
15.001-15.500
    
160
    
31,003,646.08
    
14.48
    
193,772.79
    
8.495
    
81.01
    
83.79
    
76.79
    
595
  
15.501-16.000
    
163
    
29,619,630.41
    
13.83
    
181,715.52
    
8.932
    
79.66
    
81.73
    
76.48
    
582
  
16.001-16.500
    
112
    
20,590,692.89
    
9.62
    
183,845.47
    
9.372
    
80.54
    
81.33
    
77.15
    
564
  
16.501-17.000
    
127
    
20,787,778.55
    
9.71
    
163,683.30
    
9.826
    
80.38
    
80.81
    
77.69
    
558
  
17.001-17.500
    
51
    
6,683,418.77
    
3.12
    
131,047.43
    
10.264
    
80.93
    
82.15
    
77.88
    
563
  
17.501-18.000
    
40
    
5,565,408.91
    
2.60
    
139,135.22
    
10.762
    
76.66
    
77.31
    
73.82
    
544
  
18.001-18.500
    
10
    
921,855.80
    
0.43
    
92,185.58
    
11.175
    
81.68
    
81.68
    
79.01
    
536
  
18.501-19.000
    
5
    
629,419.51
    
0.29
    
125,883.90
    
11.690
    
79.32
    
82.00
    
79.32
    
553
  
19.501-19.775
    
3
    
534,656.63
    
0.25
    
178,218.88
    
10.555
    
80.52
    
80.52
    
80.52
    
596
  
Total
    
1,114
  
$
214,105,651.07
    
100.00
%
$
192,195.38
    
8.498
%
  
79.40
%
  
82.46
%
  
76.38
%
  
596
  

 


Minimum Mortgage Rates of the Group I Adjustable-Rate Mortgage Loans
 
 
Minimum Mortgage Rate (%)
 
  
 
Number
of Mortgage Loans
 
  
 
Aggregate
Principal Balance
 
  
 
% of Aggregate Principal Balance
 
  
 
Average Principal Balance
 
  
 
Weighted Average Mortgage Rate
 
  
 
Weighted Average Combined Loan-to- Value Ratio
 
  
 
Weighted Average Fully Combined Loan-to- Value Ratio
 
  
 
Weighted Average Effective Loan-to- Value Ratio
 
  
 
Weighted Average Credit Score
 
  
3.375-3.500
    
1
  
$
135,660.43
    
0.06
%
$
135,660.43
    
8.875
%
  
95.00
%
  
95.00
%
  
95.00
%
  
635
  
4.501-5.000
    
1
    
100,615.18
    
0.05
    
100,615.18
    
10.250
    
95.00
    
95.00
    
95.00
    
665
  
5.501-6.000
    
7
    
2,122,714.67
    
0.99
    
303,244.95
    
5.986
    
70.64
    
74.11
    
68.90
    
657
  
6.001-6.500
    
35
    
8,637,209.36
    
4.03
    
246,777.41
    
6.609
    
71.32
    
73.99
    
69.95
    
647
  
6.501-7.000
    
79
    
19,176,041.60
    
8.96
    
242,734.70
    
7.480
    
78.21
    
81.53
    
75.18
    
619
  
7.001-7.500
    
90
    
20,462,122.41
    
9.56
    
227,356.92
    
7.327
    
77.41
    
84.76
    
75.88
    
636
  
7.501-8.000
    
171
    
35,016,220.00
    
16.35
    
204,773.22
    
7.817
    
80.75
    
86.49
    
77.34
    
618
  
8.001-8.500
    
150
    
30,795,943.13
    
14.38
    
205,306.29
    
8.288
    
81.22
    
84.28
    
76.84
    
603
  
8.501-9.000
    
171
    
32,367,625.03
    
15.12
    
189,284.36
    
8.801
    
79.93
    
81.88
    
76.57
    
585
  
9.001-9.500
    
138
    
24,539,097.00
    
11.46
    
177,819.54
    
9.280
    
80.37
    
81.39
    
77.25
    
563
  
9.501-10.000
    
150
    
24,109,729.92
    
11.26
    
160,731.53
    
9.786
    
80.22
    
80.67
    
77.63
    
557
  
10.001-10.500
    
59
    
8,367,370.17
    
3.91
    
141,819.83
    
10.277
    
80.07
    
81.29
    
77.50
    
556