424B5 1 d486451_all.htm FINANCIAL ASSET SECURITIES CORPORATION

PROSPECTUS SUPPLEMENT dated April 10, 2006 (For use with Prospectus dated April 4, 2006)

$971,098,000 (Approximate)

FREMONT HOME LOAN TRUST 2006-1

Issuing Entity

GREENWICH CAPITAL FINANCIAL PRODUCTS, INC.

Sponsor

FINANCIAL ASSET SECURITIES CORP.

Depositor

FREMONT INVESTMENT & LOAN

Servicer (until June 30, 2006)

WELLS FARGO BANK, N.A.

Servicer (effective July 1, 2006)

ASSET-BACKED CERTIFICATES, SERIES 2006-1

Consider carefully the risk factors beginning on page S-14 in this prospectus supplement and on page 6 in the prospectus.

 

The certificates represent obligations of the Issuing Entity only and do not represent an interest in or obligation of Financial Asset Securities Corp., Fremont Investment & Loan, Wells Fargo Bank, N.A. or any of their affiliates. This prospectus supplement may be used to offer and sell the certificates only if accompanied by the prospectus.

 

Only the fourteen classes of certificates identified below are being offered by this prospectus supplement and the accompanying prospectus.

The Offered Certificates

Represent ownership interests in a trust consisting of a pool of first and second lien, fixed-rate and adjustable-rate residential mortgage loans. The mortgage loans will be segregated into two groups, one consisting of mortgage loans with principal balances that conform to Fannie Mae and Freddie Mac loan limits and one consisting of mortgage loans with principal balances that may or may not conform to Fannie Mae and Freddie Mac loan limits.

The offered certificates will accrue interest at a rate equal to one-month LIBOR plus the related fixed margin, subject to certain limitations described in this prospectus supplement.

Will be entitled to monthly distributions beginning in May 2006.

Credit Enhancement

Subordination as described in this prospectus supplement under “Description of the Certificates Subordination.”

Overcollateralization as described in this prospectus supplement under “Description of the Certificates—Overcollateralization Provisions.”

Excess Interest as described in this prospectus supplement under “Description of the Certificates—Overcollateralization Provisions.”

Class

 

Original Certificate Principal Balance(1)

 

Pass-Through

Rate(2)

Class I-A-1

 

$

                334,852,000

 

Variable

Class II-A-1

 

$

                165,310,000

 

Variable

Class II-A-2

 

$

                105,996,000

 

Variable

Class II-A-3

 

$

                126,597,000

 

Variable

Class II-A-4

 

$

                  38,870,000

 

Variable

Class M-1

 

$

                  75,244,000

 

Variable

Class M-2

 

$

                  22,724,000

 

Variable

Class M-3

 

$

                  19,695,000

 

Variable

Class M-4

 

$

                  18,685,000

 

Variable

Class M-5

 

$

                  16,160,000

 

Variable

Class M-6

 

$

                  16,160,000

 

Variable

Class M-7

 

$

                  13,635,000

 

Variable

Class M-8

 

$

                    9,090,000

 

Variable

Class M-9

 

$

                    8,080,000

 

Variable

_________________

 

(1)

Approximate. The original certificate principal balances are subject to a variance of plus or minus 5%.

(2)

Determined as described under “Description of the Certificates—Pass-Through Rates” in this prospectus supplement and subject to limitation or increase under certain circumstances.

 

Greenwich Capital Markets, Inc. and Wachovia Capital Markets, LLC (the “Underwriters”) will offer the offered certificates from time to time to the public in negotiated transactions or otherwise 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 and underwriting fees, will be approximately $970,093,050. The Underwriters’ commission will be any positive difference between the price it pays to the Depositor for the offered certificates and the amount it receives from the sale of such certificates to the public.

Neither the SEC nor any state securities commission has approved these securities or determined that this prospectus supplement or the prospectus is accurate 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.

 

Delivery of the offered certificates will be made in book-entry form through the facilities of The Depository Trust Company, and upon request through the facilities of Clearstream Banking Luxembourg and the Euroclear System, on or about April 13, 2006.

RBS Greenwich Capital

Wachovia Securities

 

 



 

TABLE OF CONTENTS

PROSPECTUS SUPPLEMENT

 

SUMMARY OF TERMS

RISK FACTORS

AFFILIATIONS AND RELATED TRANSACTIONS

THE MORTGAGE POOL

STATIC POOL INFORMATION

THE ORIGINATOR

THE SERVICER

THE TRUSTEE

THE SPONSOR

THE DEPOSITOR

THE ISSUING ENTITY

THE POOLING AGREEMENT

DESCRIPTION OF THE CERTIFICATES

YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS

USE OF PROCEEDS

FEDERAL INCOME TAX CONSEQUENCES

CONSIDERATIONS FOR BENEFIT PLAN INVESTORS

LEGAL INVESTMENT CONSIDERATIONS

METHOD OF DISTRIBUTION

LEGAL MATTERS

RATINGS

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 TERMS

This summary highlights selected information from this document and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the certificates, read carefully this entire document and the accompanying prospectus.

This summary provides an overview of certain calculations, cash flow priorities and other information to aid your understanding and is qualified by the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus. Some of the information consists of forward-looking statements relating to future economic performance or projections and other financial items. Forward-looking statements are subject to a variety of risks and uncertainties that could cause actual results to differ from the projected results. Those risks and uncertainties include, among others, general economic and business conditions, regulatory initiatives and compliance with governmental regulations, and various other matters, all of which are beyond our control. Accordingly, what actually happens may be very different from what we predict in our forward-looking statements.

 

Offered Certificates

On the Closing Date, Fremont Home Loan Trust 2006-1 will issue twenty-one classes of certificates, fourteen of which are being offered by this prospectus supplement and the accompanying prospectus. The assets of the trust that will support the certificates will consist of a pool of fixed-rate and adjustable-rate, first and second lien mortgage loans having the characteristics described in this prospectus supplement. The Class I-A-1 Certificates, the Class II-A-1 Certificates, the Class II-A-2 Certificates, the Class II-A-3 Certificates, the Class II-A-4 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 and the Class M-9 Certificates are the only classes of offered certificates.

The offered certificates will be book-entry securities clearing through The Depository Trust Company (in the United States) or upon request through Clearstream Banking Luxembourg and the Euroclear System (in Europe) in minimum denominations of $25,000; provided that offered certificates must be purchased in minimum total investments of $100,000 per class.

Other Certificates

The trust will issue seven additional classes of certificates. These certificates will be designated as the Class B-1 Certificates, the Class B-2 Certificates, the Class B-3 Certificates, the Class C Certificates, the Class P Certificates, the Class R Certificates and the Class R-X Certificates and are not being offered to the public by this prospectus supplement and the prospectus.

The Class B-1 Certificates, the Class B-2 Certificates and the Class B-3 Certificates are subordinate to the Senior Certificates and the Mezzanine Certificates. Such certificates have an aggregate initial certificate principal balance of $24,240,000. The Class B-1 Certificates, the Class B-2 Certificates and the Class B-3 Certificates will be sold by the Depositor to Greenwich Capital Markets, Inc. on the closing date.

The Class C Certificates will have an initial certificate principal balance of approximately $14,644,462, which is approximately equal to the initial overcollateralization required by the pooling agreement. The Class C Certificates will initially evidence an interest of approximately 1.45% in the trust. The Class C Certificates will be delivered to the Sponsor or its designee as partial consideration for the mortgage loans.

The Class P Certificates will have an original certificate principal balance of $100 and will not be entitled to distributions in respect of interest. The Class P Certificates will be entitled to prepayment charges collected from mortgagors that were not used to absorb realized losses on the Mortgage Loans as set forth herein. The Class P Certificates will be delivered to the Sponsor or its designee as partial consideration for the mortgage loans.

 



 

The Class R Certificates and the Class R-X Certificates will not have original certificate principal balances and are the classes of certificates representing the residual interests in the trust. The Class R Certificates and the Class R-X Certificates will be sold to Greenwich Capital Markets, Inc. on the closing date.

We refer you to “Description of the Certificates— General,” “—Book-Entry Certificates” and “The Mortgage Pool” in this prospectus supplement.

Cut-off Date

April 1, 2006.

Closing Date

On or about April 13, 2006.

The Issuing Entity

Fremont Home Loan Trust 2006-1, a New York common law trust established under the pooling and servicing agreement. The Issuing Entity is also referred to as the trust in this prospectus supplement. We refer you to “The Issuing Entity” in this prospectus supplement for additional information.

The Depositor

Financial Asset Securities Corp., a Delaware corporation and an affiliate of Greenwich Capital Markets, Inc. We refer you to “The Depositor” in this prospectus supplement for additional information.

Servicer

Fremont Investment & Loan, a California industrial bank will be the servicer from the Closing Date up until June 30, 2006.

Wells Fargo Bank, N.A., a national banking association will be the servicer effective July 1, 2006.

Any obligation specified to be performed by the master servicer in the prospectus will be, with respect to the servicing of the mortgage loans, an obligation to be performed by the Servicer pursuant to the pooling and servicing agreement. We refer you to “The Servicer” in this prospectus supplement for additional information.

Originator

Fremont Investment & Loan, a California industrial bank, originated or acquired the mortgage loans. We refer you to “The Originator” in this prospectus supplement for additional information.

Sponsor

Greenwich Capital Financial Products, Inc., a Delaware corporation. We refer you to “The Sponsor” in this prospectus supplement for additional information.

Trustee and Custodian

Deutsche Bank National Trust Company, a national banking association. We refer you to “The Trustee” in this prospectus supplement for additional information.

Credit Risk Manager

 



 

Clayton Fixed Income Services Inc., formerly known as The Murrayhill Company, a Colorado corporation. We refer you to “The Pooling Agreement—The Credit Risk Manager” in this prospectus supplement for additional information.

Designations

Each class of certificates will have different characteristics, some of which are reflected in the following general designations.

Offered Certificates

Senior Certificates and Mezzanine Certificates.

Senior Certificates

Class I-A-1 Certificates, Class II-A-1 Certificates, Class II-A-2 Certificates, Class II-A-3 Certificates and Class II-A-4 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 and Class M-9 Certificates.

Class B Certificates

Class B-1 Certificates, Class B-2 Certificates and Class B-3 Certificates.

Subordinate Certificates

Mezzanine Certificates, Class B Certificates and Class C Certificates.

Floating Rate Certificates

Senior Certificates, Mezzanine Certificates and Class B Certificates (other than Class B-3 Certificates).

Fixed Rate Certificates

Class B-3 Certificates.

Group I Certificates

Class I-A-1 Certificates. Except under the circumstances described under “Description of the Certificates—Allocation of Available Funds,” the Group I Certificates will receive their distributions from Loan Group I. The Group I Certificates are sometimes collectively referred to as Certificate Group I.

Group II Certificates

Class II-A-1 Certificates, Class II-A-2 Certificates, Class II-A-3 Certificates and Class II-A-4 Certificates. Except under the circumstances described under “Description of the Certificates—Allocation of Available Funds”, the Group II Certificates will receive their distributions from Loan Group II. The Group II Certificates are sometimes collectively referred to as Certificate Group II.

Residual Certificates

Class R Certificates and Class R-X Certificates.

Mortgage Loans

On the Closing Date the trust will acquire a pool of approximately 4,728 first and second lien, fixed-rate and adjustable-rate mortgage loans having an aggregate principal balance as of the Cut-off Date of approximately $1,017,888,247 (the “Mortgage Loans”). The mortgage loans will be divided into two loan groups, Loan Group I

 



and Loan Group II (each, a “Loan Group”). Loan Group I will consist of fixed-rate and adjustable-rate mortgage loans with principal balances that conform to Fannie Mae and Freddie Mac loan limits and Loan Group II will consist of fixed-rate and adjustable-rate mortgage loans with principal balances that may or may not conform to Fannie Mae and Freddie Mac 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 or Freddie Mac criteria (including published guidelines) for factors other than principal balance.

The Group I Mortgage Loans will consist of approximately 2,307 mortgage loans having an aggregate principal balance as of the Cut-off Date of approximately $441,682,871 (the “Group I Mortgage Loans”).

The Group II Mortgage Loans will consist of approximately 2,421 mortgage loans having an aggregate principal balance as of the Cut-off Date of approximately $576,205,376 (the “Group II Mortgage Loans”).

The statistical information in this prospectus supplement reflects the characteristics of the Mortgage Loans as of the Cut-off Date. After the date of this prospectus supplement and on or prior to the Closing Date, additional mortgage loans may be added to the Mortgage Pool and some Mortgage Loans may be removed from the mortgage pool, as described under “The Mortgage Pool” in this prospectus supplement. The statistical information as of the Closing Date for the actual pool of Mortgage Loans may therefore vary somewhat from the statistical information for the Mortgage Loans presented in this prospectus supplement. Any statistic presented on a weighted average basis or any statistic based on the Mortgage Loans is subject to a variance of plus or minus 5%.

 



 

The Mortgage Loans have the following characteristics (with all figures being approximate and all percentages and weighted averages being based on scheduled principal balances as of the Cut-off Date):

Mortgage Loans with Prepayment Charges:

55.92%

Fixed-Rate Mortgage Loans:

11.01%

Adjustable-Rate Mortgage Loans:

88.99%

Interest Only Mortgage Loans:

10.45%

Weighted Average Credit Score:

619

Range of Remaining Term to Stated Maturities:

58 months to 359 months

Weighted Average Remaining Term to Stated Maturity:

357 months

Range of Original Principal Balances:

$5,000 to $1,250,000

Average Original Principal Balance:

$215,419

Range of Outstanding Principal Balances:

$4,940 to $1,249,025

Average Outstanding Principal Balance:

$215,289

Range of Current Mortgage Rates:

5.200% to 13.650%

Weighted Average Current Mortgage Rate:

8.449%

Weighted Average Gross Margin of the Adjustable-Rate Mortgage Loans:

5.855%

Weighted Average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans:

14.315%

Weighted Average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans:

8.297%

Weighted Average Initial Periodic Rate Adjustment Cap of the Adjustable-Rate Mortgage Loans:

2.001%

Weighted Average Subsequent Periodic Rate Adjustment Cap of the Adjustable-Rate Mortgage Loans:

1.500%

Weighted Average Time Until Next Adjustment Date for the Adjustable-Rate Mortgage Loans:

22 months

Geographic Concentration in Excess of 5%:

California

Florida

New York

New Jersey

Maryland

 

24.72%

13.80%

12.55%

7.82%

7.08%

 

The Group I Mortgage Loans have the following characteristics (with all figures being approximate and all percentages and weighted averages being based on scheduled principal balances as of the Cut-off Date):

Group I Mortgage Loans with Prepayment Charges:

53.37%

Fixed-Rate Group I Mortgage Loans:

10.71%

Adjustable-Rate Group I Mortgage Loans:

89.29%

Interest Only Group I Mortgage Loans:

6.68%

Weighted Average Credit Score:

603

Range of Remaining Term to Stated Maturities:

58 months to 259 months

Weighted Average Remaining Term to Stated Maturity:

357 months

 

 



 

 

Range of Original Principal Balances:

$5,500 to $750,000

Average Original Principal Balance:

$191,568

Range of Outstanding Principal Balances:

$5,477 to $749,391

Average Outstanding Principal Balance:

$191,453

Range of Current Mortgage Rates:

5.200% to 13.650%

Weighted Average Current Mortgage Rate:

8.473%

Weighted Average Gross Margin of the Adjustable-Rate Group I Mortgage Loans:

5.944%

Weighted Average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans:

14.452%

Weighted Average Minimum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans:

8.436%

Weighted Average Initial Periodic Rate Adjustment Cap of the Adjustable-Rate Group I Mortgage Loans:

2.001%

Weighted Average Subsequent Periodic Rate Adjustment Cap of the Adjustable-Rate Group I Mortgage Loans:

1.500%

Weighted Average Time Until Next Adjustment Date for the Adjustable-Rate Group I Mortgage Loans:

22 months

Geographic Concentration in Excess of 5%:

California

Florida

New York

New Jersey

Maryland

Illinois

Massachusetts

 

16.82%

12.86%

9.66%

9.14%

9.08%

6.56%

5.08%

 

The Group II Mortgage Loans have the following characteristics (with all figures being approximate and all percentages and weighted averages being based on scheduled principal balances as of the Cut-off Date):

Group II Mortgage Loans with Prepayment Charges:

57.87%

Fixed-Rate Group II Mortgage Loans:

11.25%

Adjustable-Rate Group II Mortgage Loans:

88.75%

Interest Only Group II Mortgage Loans:

13.34%

Weighted Average Credit Score:

632

Range of Remaining Term to Stated Maturities:

58 months to 359 months

Weighted Average Remaining Term to Stated Maturity:

357 months

Range of Original Principal Balances:

$5,000 to $1,250,000

Average Original Principal Balance:

$238,146

Range of Outstanding Principal Balances:

$4,940 to $1,249,025

Average Outstanding Principal Balance:

$238,003

Range of Current Mortgage Rates:

5.790% to 13.500%

 

 



 

 

Weighted Average Current Mortgage Rate:

8.431%

Weighted Average Gross Margin of the Adjustable-Rate Group II Mortgage Loans:

5.786%

Weighted Average Maximum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans:

14.210%

Weighted Average Minimum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans:

8.189%

Weighted Average Initial Periodic Rate Adjustment Cap of the Adjustable-Rate Group II Mortgage Loans:

2.001%

Weighted Average Subsequent Periodic Rate Adjustment Cap of the Adjustable-Rate Group II Mortgage Loans:

1.500%

Weighted Average Time Until Next Adjustment Date for the Adjustable-Rate Group II Mortgage Loans:

22 months

Geographic Concentration in Excess of 5%:

California
                New York

Florida

New Jersey

Maryland

 

30.77%

14.77%

14.53%

6.80%

5.55%

 

Distribution Dates

The Trustee will make distributions on the certificates on the 25th day of each calendar month beginning in May 2006 (each, a “Distribution Date”) (i) to the holder of record of the Floating Rate Certificates as of the business day preceding such date of distribution, in the case of the Floating Rate Certificates held in book-entry form or (ii) to the holder of record as of the last business day of the month immediately preceding the month in which the distribution occurs, in the case of the Fixed Rate Certificates and any certificates held in registered, certificated form. If the 25th day of a month is not a business day, then the distribution will be made on the next business day.

Final Scheduled Distribution Date

The final scheduled Distribution Date for the Floating Rate Certificates and Fixed Rate Certificates will be the Distribution Date in April 2036. The final scheduled Distribution Date for the Floating Rate Certificates and Fixed Rate Certificates is one month following the maturity date of the latest maturing Mortgage Loan. The actual final Distribution Date for each class of such certificates may be earlier, and could be substantially earlier, than the final scheduled Distribution Date.

Distributions on the Certificates

The initial pass-through rate for the Floating Rate Certificates will be calculated at the per annum rate of one-month LIBOR plus the related margin as set forth below, subject to the limitations set forth in this prospectus supplement.

 

 



 

 

 

Margin

Class

(1)(%)

(2)(%)

I-A-1

0.155

0.310

II-A-1

0.060

0.120

II-A-2

0.120

0.240

II-A-3

0.180

0.360

II-A-4

0.270

0.540

M-1

0.320

0.480

M-2

0.360

0.540

M-3

0.460

0.690

M-4

0.490

0.735

M-5

0.550

0.825

M-6

1.050

1.575

M-7

1.250

1.875

M-8

2.150

3.225

M-9

2.400

3.600

B-1

2.400

3.600

B-2

2.400

3.600

__________

 

(1)

For each Distribution Date up to and including the Optional Termination Date, as defined in this prospectus supplement under “The Pooling Agreement—Termination.”

(2)

On each Distribution Date after the Optional Termination Date.

 

The pass-through rate for the Fixed Rate Certificates will be the per annum rate set forth below, subject to the limitations set forth in this prospectus supplement.

 

Rate

Class

(1)

(2)

B-3

5.000% per annum

5.500% per annum

__________

 

(1)

For each Distribution Date up to and including the Optional Termination Date, as defined in this prospectus supplement under “Pooling Agreement—Termination.”

(2)

On each Distribution Date after the Optional Termination Date.

 

 

We refer you to “Description of the Certificates—Pass-Through Rates” in this prospectus supplement for additional information.

Interest distributable on the certificates accrues during an accrual period. The accrual period for the Floating Rate Certificates for any Distribution Date is the period from the previous Distribution Date (or, in the case of the first accrual period, from the Closing Date) to the day prior to the current Distribution Date. Interest will be calculated for the Floating Rate Certificates on the basis of the actual number of days in the accrual period, based on a 360-day year. The accrual period for the Fixed Rate Certificates for any Distribution Date will be the calendar month (based on a 360-day year and twelve 30-day months) preceding the month in which such Distribution Date occurs.

The Floating Rate Certificates and Fixed Rate Certificates will accrue interest on their certificate principal balances outstanding immediately prior to each Distribution Date.

The Class C Certificates will accrue interest as provided in the pooling agreement. The Class P Certificates and the Residual Certificates will not accrue interest.

We refer you to “Description of the Certificates” in this prospectus supplement for additional information.

Distribution Priorities

In general, on any Distribution Date, funds available for distribution from payments and other amounts received on the Mortgage Loans will be distributed as follows:

 



 

Group I Certificates

In general, on any Distribution Date, funds available for distribution from payments and other amounts received on the Group I Mortgage Loans will be distributed as follows:

Interest Distributions

to distribute interest on the Group I Certificates; and

Principal Distributions

to distribute principal on the Group I Certificates, but only in the amounts and to the extent described under “Description of the Certificates—Allocation of Available Funds” in this prospectus supplement.

Group II Certificates

In general, on any Distribution Date, funds available for distribution from payments and other amounts received on the Group II Mortgage Loans will be distributed as follows:

Interest Distributions

to distribute interest on the Group II Certificates, on a pro rata basis based on the entitlement of each such class; and

Principal Distributions

to distribute principal on the Group II Certificates, but only in the amounts and priorities described under “Description of the Certificates—Allocation of Available Funds” in this prospectus supplement.

Mezzanine Certificates and Class B Certificates

In general, on any Distribution Date, funds available for distribution from payments and other amounts received on the Group I Mortgage Loans and the Group II Mortgage Loans, after the distributions on the Senior Certificates described above will be distributed as follows:

Interest Distributions

sequentially, to distribute interest on the Mezzanine Certificates and Class B Certificates, in the amounts and priorities described herein; and

Principal Distributions

sequentially, to distribute principal on the Mezzanine Certificates and Class B Certificates, but only in the amounts and priorities described herein.

We refer you to “Description of the Certificates—Allocation of Available Funds” in this prospectus supplement for additional information.

Limited Crosscollateralization

In certain circumstances, payments on the Group I Mortgage Loans may be used to make certain distributions to the holders of the Group II Certificates and payments on the Group II Mortgage Loans may be used to make certain distributions to the holders of the Group I Certificates.

We refer you to “Description of the Certificates—Allocation of Available Funds” in this prospectus supplement for additional information.

Trigger Event

The occurrence of a Trigger Event, on or after the Stepdown Date, may have the effect of accelerating or decelerating the amortization of certain classes of Floating Rate Certificates and Fixed 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 on which the aggregate certificate principal balance of the Senior Certificates has been reduced to

 



zero and (2) the later of (x) the Distribution Date occurring in May 2009 and (y) the first Distribution Date on which the subordination available to the Senior Certificates has doubled. A Trigger Event will be met if delinquencies or losses on the Mortgage Loans exceed the levels set forth in the definition thereof.

We refer you to “Description of the Certificates—Allocation of Available Funds” 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 by the trust: (i) the Servicer will be paid a monthly fee equal to one-twelfth of 0.500% multiplied by the aggregate principal balance of the Mortgage Loans as of the first day of the related due period and (ii) the Credit Risk Manager will be paid a monthly fee equal to one-twelfth of 0.0125% multiplied by the aggregate principal balance of the Mortgage Loans as of the first day of the related due period. The servicing fee will be payable from amounts on deposit in the collection account.

The Swap Provider is entitled to a monthly payment calculated as one-twelfth of the Strike Rate (as defined herein) on the Base Calculation Amount (as defined herein) for such Distribution Date multiplied by 250. The trust is entitled to an amount equal to one-month LIBOR (as set forth in the Interest Rate Swap Agreement and calculated on an actual/360 basis) on the Base Calculation Amount for such Distribution Date multiplied by 250. Only the positive net payment of the two obligations will be paid by the applicable party. If a net payment is owed to the Swap Provider, the Trustee will pay such amount from the distribution account before distributions are made on the Certificates.

Advances

The Servicer will make cash advances to cover delinquent payments of principal and interest to the extent it reasonably believes that the cash advances are recoverable from future payments on the Mortgage Loans. Advances are intended to maintain a regular flow of scheduled interest and principal payments on the certificates and are not intended to guarantee or insure against losses. The Servicer will not be obligated to make any advances of principal on any REO property or any second lien Mortgage Loan.

We refer you to “The Pooling Agreement—Advances” in this prospectus supplement and “Description of the Securities—Advances” in the prospectus for additional information.

Optional Termination

The Servicer may purchase all of the Mortgage Loans and any REO properties and retire the certificates when the aggregate current principal balance of the Mortgage Loans and REO properties is equal to or less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date.

We refer you to “The Pooling Agreement—Termination” and “Description of the Certificates—Pass-Through Rates” in this prospectus supplement and “Operative Agreements—Termination; Optional Termination; Calls” in the prospectus for additional information.

 



 

Repurchase or Substitution of Mortgage Loans

The Originator made, and the Sponsor will make, certain representations and warranties with respect to each Mortgage Loan at the time the Mortgage Loans were sold by the Originator to the Sponsor, or 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.

Credit Enhancement

1.

Subordination

The rights of the holders of the Subordinate Certificates to receive distributions will be subordinated, to the extent described in this prospectus supplement, to the rights of the holders of the Senior Certificates.

In addition, the rights of the holders of the 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 B Certificates and the Class C 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 certificates in respect of interest and principal and to afford such certificates protection against realized losses on the Mortgage Loans.

We refer you to “Description of the Certificates—Subordination” in this prospectus supplement for additional information.

2.

Overcollateralization

As of the Closing Date, 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, the Fixed Rate Certificates and the Class P Certificates by approximately $14,644,462, which is approximately equal to the initial certificate principal balance of the Class C Certificates. Such amount will represent approximately 1.45% of the aggregate principal balance of the Mortgage Loans (as of the Cut-off Date) acquired by the trust on the Closing Date, and is the approximate amount of initial overcollateralization that will be required to be provided under the pooling agreement. We cannot assure you that sufficient interest will be generated by the Mortgage Loans to maintain the required level of overcollateralization.

We refer you to “Description of the Certificates—Overcollateralization Provisions” in this prospectus supplement for additional information.

3.

Excess Interest

The Mortgage Loans bear interest each month that in the aggregate is expected to exceed the amount needed to distribute monthly interest on the Floating Rate Certificates and Fixed Rate Certificates and to pay certain fees and expenses of the trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than any Swap Termination Payment resulting from a Swap Provider Trigger Event). The excess interest from the Mortgage Loans each month will be available to absorb realized losses on the Mortgage Loans and to maintain overcollateralization at required levels as described in the pooling agreement.

We refer you to “Description of the Certificates—Allocation of Available Funds” and “—Overcollateralization Provisions” in this prospectus supplement for additional information.

 



 

4.

Allocation of Losses

If, on any Distribution Date, there is not sufficient excess interest or overcollateralization to absorb realized losses on the Mortgage Loans as described under “Description of the Certificates—Overcollateralization Provisions” or Net Swap Payments received under the Interest Rate Swap Agreement in this prospectus supplement, then realized losses on the Mortgage Loans in excess of such amounts will be allocated, first, to the Class B Certificates, in reverse numerical order, until the certificate principal balances thereof have been reduced to zero and second, to the Mezzanine Certificates, in reverse numerical order, until the certificate principal balances thereof have been reduced to zero. The pooling agreement does not permit the allocation of realized losses on the Mortgage Loans to the Senior Certificates, the Class P Certificates or the Residual Certificates; however investors in the Senior Certificates should realize that under certain loss scenarios there will not be enough interest and principal on the Mortgage Loans to distribute to the Senior Certificates all interest and principal amounts to which such certificates are then entitled.

If realized losses are allocated to the Mezzanine Certificates or the Class B Certificates, such realized losses will not be reinstated thereafter (except in the case of subsequent recoveries). However, the amount of any realized losses allocated to the Mezzanine Certificates and Class B Certificates, as described above, may be distributed to the holders of these certificates according to the priorities set forth under “Description of the Certificates— Overcollateralization Provisions” and “Description of the Certificates—Interest Rate Swap Agreement and the Swap Account” in this prospectus supplement.

We refer you to “Description of the Certificates —Allocation of Losses” in this prospectus supplement for additional information.

Interest Rate Swap Agreement

The Trustee (in its capacity as trustee on behalf of the supplemental interest trust created under the pooling agreement), will enter into an Interest Rate Swap Agreement (the “Interest Rate Swap Agreement”) with HSBC Bank USA, National Association, as swap provider (the “Swap Provider”). Under the Interest Rate Swap Agreement, on each Distribution Date, the trust will be obligated to make fixed payments as specified in this prospectus supplement and the Swap Provider will be obligated to make floating payments equal to the product of (x) one-month LIBOR (as determined pursuant to the Interest Rate Swap Agreement), (y) the Base Calculation Amount (as defined herein) for that Distribution Date multiplied by 250, and (z) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the Closing Date to but excluding the first Distribution Date), and the denominator of which is 360. To the extent that the fixed payment exceeds the floating payment on any Distribution Date, amounts otherwise available to certificateholders will be applied to make a net payment to the Swap Provider, and to the extent that the floating payment exceeds the fixed payment on any Distribution Date, the Swap Provider will make a Net Swap Payment for deposit into a segregated trust account established on the Closing Date (the “Swap Account”), as more fully described in this prospectus supplement.

Upon early termination of the Interest Rate Swap Agreement, the trust or the Swap Provider may be liable to make a Swap Termination Payment to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Interest Rate Swap Agreement. In the event that the trust is required to make a Swap Termination Payment, that payment will be paid on the related distribution date, and on any subsequent distribution dates until paid in full, generally prior to any distribution to certificateholders. See “Description of the Certificates—The Interest Rate Swap Agreement and the Swap Account” in this prospectus supplement for additional information.

Net Swap Payments and Swap Termination Payments payable by the trust (other than Swap Termination Payments resulting from a Swap Provider Trigger Event) will be deducted from available funds before distributions to certificateholders and will first be deposited into the Swap Account before payment to the Swap Provider.

Cap Contract

The Floating Rate Certificates and the Fixed Rate Certificates will have the benefit of a cap contract to pay amounts in respect of basis risk shortfalls on such classes of certificates. The cap contract requires the counterparty to make a

 



payment to the extent one-month LIBOR for any interest accrual period exceeds the rate set forth in the related cap contract, up to a maximum one-month LIBOR of 10.500%, multiplied by the lesser of (i) the notional amount set forth in the cap contract and (ii) the aggregate certificate principal balance of the Floating Rate Certificates and the Fixed Rate Certificates and adjusted for the actual number of days in the related accrual period. Cap payments, if any, made by the counterparty will be deposited in the Net WAC Rate Carryover Reserve Account and will be available for distribution in respect of basis risk shortfall amounts on the Floating Rate Certificates and the Fixed Rate Certificates as set forth in this prospectus supplement.

We refer you to “Description of the Certificates—The Cap Contract” in this prospectus supplement for additional information.

Ratings

It is a condition of the issuance of the Offered Certificates that they be assigned the following ratings by Moody’s Investors Service, Inc. (“Moody’s”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”):

 

Moody’s

S&P

I-A-1

Aaa

AAA

II-A-1

Aaa

AAA

II-A-2

Aaa

AAA

II-A-3

Aaa

AAA

II-A-4

Aaa

AAA

M-1

Aa2

AA

M-2

Aa3

AA

M-3

A1

AA-

M-4

A2

A+

M-5

A3

A

M-6

Baa1

A-

M-7

Baa2

BBB+

M-8

Baa3

BBB

M-9

Ba1

BBB-

 

A security rating is not a recommendation to buy, sell or hold securities. The ratings on the Offered Certificates do not constitute statements regarding the likelihood or frequency of prepayments on the Mortgage Loans, the payment of the Net WAC Rate Carryover Amount, the receipt of any payments under the cap contract or the possibility that a holder of an Offered Certificate might realize a lower than anticipated yield. These ratings may be lowered or withdrawn at any time by any of the rating agencies.

We refer you to “Ratings” in this prospectus supplement and in the prospectus for additional information.

 

Tax Status

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 contract, the Interest Rate Swap Agreement, the Swap Account, the Supplemental Interest Trust and any Servicer Prepayment Charge Payment Amounts, as described more fully herein or in the pooling agreement) as real estate mortgage investment conduits for federal income tax purposes.

We refer you to “Federal Income Tax Consequences” in this prospectus supplement and “Material Federal Income Tax Considerations” in the prospectus for additional information.

Considerations for Benefit Plan Investors

 



 

The Offered Certificates may be purchased by a pension or other employee benefit plan or arrangement (each, a “Plan”) subject to the Employee Retirement Income Security Act of 1974, as amended, (“ERISA”) or Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”) so long as certain conditions are met. Prior to termination of the supplemental interest trust, such a plan which meets the requirements of an investor-based class exemption may purchase the Offered Certificates. A fiduciary of an employee benefit plan must determine that the purchase of a certificate is consistent with its fiduciary duties under applicable law and does not result in a nonexempt prohibited transaction under applicable law.

We refer you to “Considerations for Benefit Plan Investors” in this prospectus supplement and “ERISA Considerations” in the prospectus for additional information.

Legal Investment

The Floating Rate Certificates and Fixed Rate Certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984 (“SMMEA”).

We refer you to “Legal Investment Considerations” in this prospectus supplement and in the prospectus for additional information.

 



 

RISK FACTORS

The following information, which you should carefully consider, identifies certain significant sources of risk associated with an investment in the certificates. You should also carefully consider the information set forth under “Risk Factors” in the prospectus.

Unpredictability of Prepayments and Effect on Yields

Mortgagors may prepay their Mortgage Loans in whole or in part at any time. We cannot predict the rate at which mortgagors will repay their Mortgage Loans. A prepayment of a Mortgage Loan generally will result in a prepayment on the certificates.

If you purchase your certificates at a discount and principal is repaid slower than you anticipate, then your yield may be lower than you anticipate.

If you purchase your certificates at a premium and principal is repaid faster than you anticipate, then your yield may be lower than you anticipate.

The rate of prepayments on the Mortgage Loans will be sensitive to prevailing interest rates. Generally, if prevailing interest rates decline significantly below the mortgage rates on the fixed-rate Mortgage Loans, the Mortgage Loans are more likely to prepay than if prevailing rates remain above the mortgage rates on the Mortgage Loans. In addition, if interest rates decline, adjustable-rate mortgage loan prepayments may increase due to the availability of fixed-rate mortgage loans or other adjustable-rate mortgage loans at lower interest rates. Conversely, if prevailing interest rates rise significantly, the prepayments on fixed-rate and adjustable-rate mortgage loans may decrease. Furthermore, adjustable-rate mortgage loans may prepay at different rates and in response to different factors than fixed-rate mortgage loans; the inclusion of both types of mortgage loans in each Loan Group may increase the difficulty in analyzing possible prepayment rates.

Approximately 53.37% of the Group I Mortgage Loans and approximately 57.87% 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 55.92% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date) require the mortgagor to pay a prepayment charge in certain instances if the mortgagor prepays the Mortgage Loan during a stated period, which may be from one year to three years after the Mortgage Loan was originated. A prepayment charge may or may not discourage a mortgagor from prepaying the Mortgage Loan during the applicable period.

The Originator or the Sponsor, as applicable, may be required to purchase Mortgage Loans from the trust in the event certain breaches of representations and warranties occur and have not been cured. In addition, the Servicer has the option to purchase Mortgage Loans that become 90 days or more delinquent. These purchases will have the same effect on the holders of the Floating Rate Certificates and Fixed Rate Certificates as a prepayment of the Mortgage Loans.

The Servicer may purchase all of the Mortgage Loans and any REO properties when the aggregate principal balance of the Mortgage Loans and REO properties is equal to or less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date.

If the rate of default and the amount of losses on the Mortgage Loans is higher than you expect, then your yield may be lower than you expect.

As a result of the absorption of realized losses on the Mortgage Loans by excess interest, overcollateralization and amounts received under the Interest Rate Swap Agreement as described herein, liquidations of defaulted Mortgage Loans, whether or not realized losses are incurred upon such liquidations, will result in an earlier return of the principal of the Floating Rate Certificates and Fixed Rate Certificates and will influence the yield on the Floating Rate Certificates in a manner similar to the manner

 



in which principal prepayments on the Mortgage Loans will influence the yield on the Floating Rate Certificates and Fixed Rate Certificates.

The overcollateralization provisions are intended to result in an accelerated rate of principal distributions to holders of the Senior Certificates and the Mezzanine Certificates then entitled to principal distributions at any time that the overcollateralization provided by the mortgage pool falls below the required level. This, as well as the relative sizes of the Loan Groups, may magnify the prepayment effect on a Certificate Group caused by the relative rates of prepayments and defaults experienced by the Loan Groups.

See “Yield, Prepayment and Maturity Considerations” in this prospectus supplement for a description of factors that may influence the rate and timing of prepayments on the mortgage loans.

Payment Status of the Mortgage Loans

Substantially none of the Mortgage Loans are 30-59 days delinquent as of February 28, 2006. However, with respect to approximately 94.90% of the Group I Mortgage Loans and approximately 94.50% 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 94.67% 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 February 1, 2006 and such Mortgage Loans could not have been 30-59 days delinquent as of February 28, 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 the next scheduled due date. No Mortgage Loan that is 90 days delinquent as of the Closing Date will be included in the Trust.

A failure by any borrower to pay the first monthly payment due to the trust within the applicable cure period will result in the repurchase of any such affected mortgage loan by the Originator if such failure to pay has a material adverse affect on the trust or the value of the Certificates.

Investors should also see the tables titled “Historical Delinquency of the Mortgage Loans”, “Historical Delinquency of the Group I Mortgage Loans” and “Historical Delinquency of the Group II Mortgage Loans.”

Terrorist Attacks and Military Action Could Adversely Affect the Yield on the Floating Rate Certificates and Fixed Rate 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, the 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 and any resulting military response by the United States on the delinquency, default and prepayment experience of the Mortgage Loans. In accordance with the servicing standards set forth in the pooling agreement, the Servicer may defer, reduce or forgive payments and delay foreclosure proceedings in respect of the related 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 Servicemembers Civil Relief Act (the “Relief Act”) or state laws providing for similar relief. See “Material Legal Aspects of the Loans—Servicemembers Civil Relief Act” in the prospectus. Shortfalls in interest collections arising from the application of the Relief Act or any state law providing for similar relief will not be covered by the Servicer or any subservicer.

Second Lien Loan Risk

Approximately 2.60% of the Group I Mortgage Loans and approximately 8.38% 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 5.87% 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. There may not be enough proceeds to pay both the first lien and second lien. If the net proceeds from a mortgaged property available after satisfaction of the first lien fail to provide adequate security for the Mortgage Loan, you will incur a loss on your investment if the available credit enhancement is insufficient to cover the loss.

In circumstances when it has been determined to be uneconomical to foreclose on the mortgaged property, the 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 combined loan-to-value ratios because it is comparatively more likely that the Servicer would determine foreclosure to be uneconomical in the case of such Mortgage Loans. The rate of default of second Mortgage Loans may be greater than that of Mortgage Loans secured by first liens on comparable properties.

Balloon Loan Risk

Approximately 29.54% of the Group I Mortgage Loans and approximately 33.69% 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 31.89% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date) are balloon loans. 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, the Servicer will not be obligated under the pooling agreement to advance such lump sum payment and you may suffer a loss.

Interest Only Mortgage Loans

Approximately 6.68% of the Group I Mortgage Loans and approximately 13.34% 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 10.45% 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 a period of five years 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. 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 a period of five years following origination, the 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 and Fixed Rate Certificates that are purchased at a discount.

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 over a two-year time period. 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 Floating Rate Certificates and Fixed Rate Certificates

The credit enhancement features described in the summary of this prospectus supplement are intended to enhance the likelihood that holders of the Senior Certificates, and to a limited extent, the holders of the Mezzanine Certificates and the Class B Certificates will receive regular distributions of interest and principal. However, we cannot assure you that the applicable credit enhancement will adequately cover any shortfalls in cash available to pay your certificates as a result of delinquencies or defaults on the Mortgage Loans. If delinquencies or defaults occur on the Mortgage Loans, neither the Servicer nor any other entity will advance scheduled monthly payments of interest and principal on delinquent or defaulted Mortgage Loans if such advances are not likely to be recovered.

If substantial losses occur as a result of defaults and delinquent payments on the Mortgage Loans, you may suffer losses.

Interest Generated by the Mortgage Loans May Be Insufficient to Maintain Overcollateralization

The Mortgage Loans are expected to generate more interest than is needed to distribute interest owed on the Floating Rate Certificates and Fixed 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, the available excess interest generated by the Mortgage Loans will be used to maintain overcollateralization. We cannot assure you, however, that enough excess interest will be generated to absorb losses that occur on the Mortgage Loans or maintain the required level of overcollateralization. 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 the Mortgage Loan will no longer be outstanding and generating interest or, in the case of a partial prepayment, will be generating less interest.

If the rates of delinquencies, defaults or losses on the Mortgage Loans turn out to be 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 and Fixed Rate Certificates.

The fixed-rate Mortgage Loans have mortgage rates that are fixed and will not adjust based on any index and the adjustable-rate Mortgage Loans have mortgage rates that adjust based on an index that is different from the index used to determine the pass-through rates on the Floating Rate Certificates and Fixed Rate Certificates. In addition, (i) the first adjustment of the rates for approximately 97.93% of the adjustable-rate Group I Mortgage Loans and approximately 98.65% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date) and approximately 98.34% 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 two years after the date of origination, (ii) the first adjustment of the rates for approximately 1.72% of the adjustable-rate Group I Mortgage Loans and approximately 1.11% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date) and approximately 1.38% 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 three years after the date of origination and (iii) the first adjustment of the rates for approximately 0.35% of the adjustable-rate Group I Mortgage Loans and approximately 0.24% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date) and approximately 0.29% 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 five years after the date of origination. As a result, the pass-through rate on the Floating Rate Certificates and Fixed Rate Certificates may increase relative to the mortgage rates on the Mortgage Loans, or may remain constant as the mortgage rates on the adjustable-rate Mortgage Loans decline. In either case, increases in the pass-through rates on the Floating Rate Certificates and Fixed Rate Certificates would require that more of the interest generated by the Mortgage Loans be applied to cover interest on the Floating Rate Certificates and Fixed Rate Certificates.

If prepayments, defaults and liquidations occur more rapidly on Mortgage Loans with relatively higher mortgage rates than on Mortgage Loans with relatively lower mortgage rates, the amount of excess interest generated by the Mortgage Loans will be less than would otherwise be the case.

Effect of Mortgage Rates on the Floating Rate Certificates and Fixed Rate Certificates

The Floating Rate Certificates accrue interest at pass-through rates based on the one-month LIBOR index plus specified margins and the Fixed Rate Certificates accrue interest at a fixed pass-through rate, but each pass-through rate is subject to a limit. The limit on the pass-through rates for such certificates is based on the weighted average mortgage rates of the Mortgage Loans net of certain fees and expenses of the trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than a Swap Termination Payment due to a Swap Provider Trigger Event).

The adjustable-rate Mortgage Loans have mortgage rates that adjust based on a six-month LIBOR index. The adjustable-rate Mortgage Loans have periodic and maximum limitations on adjustments to their mortgage rates, and substantially all of the adjustable-rate Mortgage Loans will have the first adjustment to their mortgage rates generally two years, three years or five years after the origination thereof. The fixed-rate Mortgage Loans have mortgage rates that will not adjust. As a result of the limit on the pass-through rates on the Floating Rate Certificates and Fixed Rate Certificates, such certificates may accrue less interest than they would accrue if their pass-through rates were based solely on the one-month LIBOR index plus the specified margin (in the case of the Floating Rate Certificates) or on the fixed pass-through rate (in the case of the Fixed Rate Certificates).

A variety of factors could limit the pass-through rates on the Floating Rate Certificates and Fixed Rate Certificates. Some of these factors are described below:

The pass-through rates for the Floating Rate Certificates adjust monthly while the mortgage rates on the adjustable-rate Mortgage Loans adjust less frequently and the mortgage rates on the fixed-rate Mortgage Loans do not adjust. Furthermore, substantially all of the adjustable-rate Mortgage Loans will have the first adjustment to their mortgage rates generally two years, three years or five years following their origination. Consequently, the limit on the pass-through rates on the Floating Rate Certificates and Fixed Rate Certificates may prevent any increases in the pass-through rates on 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 rates on the Floating Rate Certificates and Fixed Rate Certificates are more likely to be limited.

With respect to the Floating Rate Certificates, the index used to determine 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 certain of 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 such Floating Rate Certificates may decline more slowly or increase more rapidly.

 

 



 

If the pass-through rates on the Floating Rate Certificates or Fixed Rate Certificates are limited for any Distribution Date, the resulting basis risk shortfalls may be recovered by the holders of these certificates on such Distribution Date or future Distribution Dates to the extent that on such Distribution Date or future Distribution Dates there are available funds remaining after certain other distributions on the Floating Rate Certificates and Fixed Rate Certificates and the payment of certain fees and expenses of the trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than a Swap Termination Payment due to a Swap Provider Trigger Event).

Risks Associated with the Mezzanine Certificates and the Class B Certificates

The weighted average lives of, and the yields to maturity on, the Mezzanine Certificates, in increasing order of their numerical class designations, and the Class B Certificates, in increasing order of their numerical class designations, will be progressively more sensitive 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 such certificates, the actual yield to maturity of such certificates may be lower than the yield anticipated by such holder based on such assumption. The timing of losses on the Mortgage Loans will also affect an investor’s actual yield to maturity, even if the rate of defaults and severity of losses over the life of the Mortgage Loans are consistent with an investor’s expectations. In general, 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 and overcollateralization following distributions of principal on the related Distribution Date and any Net Swap Payment received under the Interest Rate Swap Agreement, will reduce the certificate principal balance of the class of Class B Certificates then outstanding with the highest numerical class designation and then will reduce the certificate principal balance of the class of Mezzanine Certificates then outstanding with the highest numerical class designation. As a result of such reductions, less interest will accrue on such class of Mezzanine Certificates or Class B Certificates than would otherwise be the case. Once a realized loss is allocated to a Mezzanine Certificate or a Class B Certificate, no principal or interest will be distributable with respect to such written down amount (except in the case of subsequent recoveries). However, the amount of any realized losses allocated to the Mezzanine Certificates and the Class B Certificates may be distributed to the holders of such certificates according to the priorities set forth under “Description of the Certificates—Overcollateralization Provisions” and “Description of the Certificates—Interest Rate Swap Agreement and the Swap Account” in this prospectus supplement.

Unless the aggregate certificate principal balance of the Senior Certificates has been reduced to zero, the Mezzanine Certificates and the Class B Certificates will not be entitled to any principal distributions until at least May 2009 or a later date as provided in this prospectus supplement or during any period in which delinquencies or realized losses on the Mortgage Loans exceed certain levels. As a result, the weighted average lives of the Mezzanine Certificates and the Class B Certificates will be longer than would otherwise 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 and the Class B Certificates, the holders of such certificates have a greater risk of suffering a loss on their investments. Further, because such certificates might not receive any principal if certain delinquency levels occur, it is possible for such certificates to receive no principal distributions even if no losses have occurred on the Mortgage Loans.

In addition, the multiple class structure of the Mezzanine Certificates causes the yield 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 yield to maturity on such classes of 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 yield to maturity on such classes of 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, a portion of the prepayment charges, overcollateralization, Net Swap Payments received under the Interest Rate Swap Agreement or a class of Mezzanine Certificates with a higher numerical class designation. Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the Mezzanine Certificates and the Class B Certificates may be adversely affected by losses even if such classes of certificates do not ultimately bear such loss.

 



 

Prepayment Interest Shortfalls and Relief Act Shortfalls

When a Mortgage Loan is prepaid, the mortgagor is charged interest on the amount prepaid only up to the date on which the prepayment 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. The Servicer is required to cover a portion of the shortfall in interest collections that are attributable to voluntary prepayments in full, but only in an amount up to the Servicer’s servicing fee for the related calendar month. In addition, certain shortfalls in interest collections arising from the application of the Relief Act or any similar state law will not be covered by the Servicer.

On any Distribution Date, any shortfalls resulting from the application of the Relief Act or any similar state law and any Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the Servicer will be allocated, first, to the interest distribution amount with respect to the Class C Certificates, and thereafter, to the Monthly Interest Distributable Amounts with respect to the Floating Rate Certificates and Fixed 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 and Fixed Rate Certificates will not be entitled to reimbursement for any such interest shortfalls. If these shortfalls are allocated to the Floating Rate Certificates or Fixed Rate Certificates the amount of interest distributed to those certificates will be reduced, adversely affecting the yield on your investment.

Delay in Receipt of Liquidation Proceeds; Liquidation Proceeds May Be Less than Principal Balance of Mortgage Loans

Substantial delays could be encountered in connection with the liquidation of delinquent Mortgage Loans. Further, reimbursement of advances made on a Mortgage Loan, liquidation expenses such as legal fees, real estate taxes, hazard insurance and maintenance and preservation expenses may reduce the portion of liquidation proceeds distributable to you. If a mortgaged property fails to provide adequate security for the Mortgage Loan, you will incur a loss on your investment if the credit enhancements are insufficient to cover the loss.

High Loan-to-Value Ratios Increase Risk of Loss

Approximately 36.31% of the Group I Mortgage Loans and approximately 32.61% 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 34.21% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date), at the time of origination had loan-to-value ratios in excess of 80.00%, but no more than 100.00%. Mortgage Loans with higher loan-to-value ratios may present a greater risk of loss than mortgage loans with loan-to-value ratios of 80.00% or below. Additionally, the Originator’s determination of the value of a mortgaged property used in the calculation of the loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such mortgaged properties. As used in this prospectus supplement, the loan-to-value ratio of any second lien Mortgage Loan is calculated based on the sum of the principal balance of such Mortgage Loan and the principal balance of the related senior lien mortgage loan divided by the applicable valuation of the related mortgaged property. See “The Originator” in this prospectus supplement.

Simultaneous Second Lien Risk

With respect to approximately 25.37% of the Group I Mortgage Loans and approximately 54.96% 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 42.12% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date), at the time of origination of such first lien Mortgage Loan, the Originator also originated a second lien mortgage loan which may or may not be included in the trust. The weighted average original loan-to-value ratio of such Group I Mortgage Loans, Group II Mortgage Loans and Mortgage Loans is approximately 82.35%, 80.91% and 81.28%, respectively, and the weighted average original combined loan-to-value ratio of such Group I Mortgage Loans, Group II Mortgage Loans and Mortgage Loans (including the related simultaneous second lien) is approximately 98.08%, 99.22% and 98.92%, respectively. With respect to such Mortgage Loans,

 



foreclosure frequency may be increased relative to Mortgage Loans that were originated without a simultaneous second lien since mortgagors have less equity in the mortgaged property. 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.

Geographic Concentration

The chart presented under “Summary of Terms—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 earthquakes, hurricanes, 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 in general:

Economic conditions in states with high concentrations of Mortgage Loans may affect the ability of mortgagors to repay their loans on time even if such conditions do not affect real property values.

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 loan-to-value ratios.

Any increase in the market value of properties located in the states with high concentrations of Mortgage Loans would reduce loan-to-value ratios and could, therefore, make alternative sources of financing available to mortgagors at lower interest rates, which could result in an increased rate of prepayment of the Mortgage Loans.

Hurricanes May Pose Special Risks

During the late summer of 2005, Hurricane Katrina and Hurricane Rita caused catastrophic damage to areas in the Gulf Coast region of the United States. The Originator or the Sponsor, as applicable, will represent and warrant as of the Closing Date that each mortgaged property is free of material damage and in good repair. In the event of a breach of that representation and warranty that materially and adversely affects the value of such Mortgage Loan, the Originator or the Sponsor, as applicable, will be obligated to repurchase or substitute for the related Mortgage Loan. Any such repurchase would have the effect of increasing the rate of principal distributions on the Floating Rate Certificates and Fixed Rate Certificates. Any damage to a mortgaged property that secures a Mortgage Loan in the trust occurring after the Closing Date as a result of any other casualty event occurring after the Closing Date (including, but not limited to, other hurricanes) will not cause a breach of this representation and warranty.

The full economic impact of Hurricane Katrina and Hurricane Rita is uncertain but may affect the ability of borrowers to make payments on their mortgage loans. We have no way to determine the particular nature of such economic effects, how long any of these effects may last, or how these effects may impact the performance of the Mortgage Loans. Any impact of these events on the performance of the Mortgage Loans may increase the amount of losses borne by the holders of the Floating Rate Certificates and Fixed Rate Certificates or impact the weighted average lives of such certificates.

Violation of Various Federal and State Laws May Result in Losses on the Mortgage Loans

Applicable state laws generally regulate interest rates (where rate exportation is not used) and other charges, require certain disclosures, 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 Servicer 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.

The Originator will represent that as of the Closing Date, each Mortgage Loan originated by the Originator is in compliance with applicable federal, state and local laws and regulations. In the event of a breach of such representation, the Originator or the Sponsor, as applicable, will be obligated to cure such breach or repurchase or replace the affected Mortgage Loan in the manner described under “The Pooling Agreement—Assignment of the Mortgage Loans” in this prospectus supplement.

The mortgage lending and servicing business involves the collection of numerous accounts and compliance with various federal, state and local laws that regulate consumer lending.   Lenders and servicers may be subject from time to time to various types of claims, legal actions (including class action lawsuits), investigations, subpoenas and inquiries in the course of their business.    It is impossible to predict the outcome of any particular actions, investigations or inquiries or the resulting legal and financial liability.  If any such proceeding were determined adversely to the Originator or the Servicer and were to have a material adverse effect on its financial condition, the ability of the Servicer to service the Mortgage Loans in accordance with the pooling agreement, or the ability of the Originator to fulfill its obligation to repurchase or substitute for defective mortgage loans, could be impaired.

High Cost Loans

None of the Mortgage Loans are “High Cost Loans” within the meaning of the Home Ownership and Equity Protection Act of 1994 (the “Homeownership Act”) or any similar applicable state or local law or regulation. See “Material Legal Aspects of the Loans—Homeownership Act and Similar State Laws” 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 Originator’s failure 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 the

 



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.

See “Material Legal Aspects of the Loans—Homeownership Act and Similar State Laws” in the prospectus.

The Floating Rate Certificates and Fixed Rate Certificates Are Obligations of the Trust Only

The Floating Rate Certificates and Fixed Rate Certificates will represent an interest in the Issuing Entity only and will not represent an interest in or obligation of the Depositor, the Servicer, the Originator, the Sponsor, the Trustee, the Underwriters or any of their respective affiliates. None of the Floating Rate Certificates, the Fixed Rate Certificates or the underlying Mortgage Loans will be guaranteed or insured by any governmental agency or instrumentality, or by the Depositor, the Servicer, the Trustee, the Underwriters or any of their respective affiliates. Proceeds of the assets included in the trust and proceeds from the Net WAC Rate Carryover Account will be the sole source of distributions on the Floating Rate Certificates and Fixed Rate Certificates, and there will be no recourse to the Depositor, the Servicer, the Originator, the Sponsor, the Trustee, the Underwriters or any other entity in the event that such proceeds are insufficient or otherwise unavailable to make all distributions provided for under the Floating Rate Certificates and Fixed Rate Certificates.

The Interest Rate Swap Agreement and the Swap Provider

Any amounts received from the Swap Provider under the Interest Rate Swap Agreement will be applied as described in this prospectus supplement to pay interest shortfalls and basis risk shortfalls, maintain overcollateralization and cover losses. However, no amounts will be payable by the Swap Provider unless the floating amount owed by the Swap Provider on a Distribution Date exceeds the fixed amount owed to the Swap Provider on such Distribution Date. This will not occur except in periods when one-month LIBOR (as determined pursuant to the Interest Rate Swap Agreement) generally exceeds the Strike Rate (as defined herein). No assurance can be made that any amounts will be received under the Interest Rate Swap Agreement, or that any such amounts that are received will be sufficient to maintain required overcollateralization or to cover interest shortfalls, basis risk shortfalls and losses on the Mortgage Loans. Any net payment payable to the Swap Provider under the terms of the Interest Rate Swap Agreement will reduce amounts available for distribution to certificateholders, and may reduce the pass-through rates of the certificates. If the rate of prepayments on the Mortgage Loans is faster than anticipated, the schedule on which payments due under the Interest Rate Swap Agreement are calculated may exceed the aggregate principal balance of the Mortgage Loans, thereby increasing the relative proportion of interest collections on the Mortgage Loans that must be applied to make net payments to the Swap Provider. The combination of a rapid rate of prepayment and low prevailing interest rates could adversely affect the yields on the Floating Rate Certificates and Fixed Rate Certificates. In addition, any termination payment payable to the Swap Provider (other than a termination payment resulting from a Swap Provider Trigger Event) in the event of early termination of the Interest Rate Swap Agreement will reduce amounts available for distribution to certificateholders.

Upon early termination of the Interest Rate Swap Agreement, the trust or the Swap Provider may be liable to make a Swap Termination Payment to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Interest Rate Swap Agreement. In the event that the trust is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, generally prior to distributions to certificateholders. This feature may result in losses on the certificates. Due to the priority of the applications of the available funds, the Subordinate Certificates will bear the effects of any shortfalls resulting from a Net Swap Payment or Swap Termination Payment by the trust before such effects are borne by the Senior Certificates and one or more classes of Subordinate Certificates may suffer a loss as a result of such payment.

To the extent that distributions on the Floating Rate Certificates and Fixed Rate Certificates depend in part on payments to be received by the trust under the Interest Rate Swap Agreement, the ability of the Trustee to make such distributions on such certificates will be subject to the credit risk of the Swap Provider to the Interest Rate Swap Agreement. See “Description of the Certificates—The Swap Provider” in this prospectus supplement.

 



 

The Cap Contract is Subject to Counterparty Risk

The assets of the trust include the cap contract, which will require the counterparty thereunder to make certain payments for the benefit of the holders of the Floating Rate Certificates and Fixed Rate Certificates. To the extent that distributions on such certificates depend in part on payments to be received by the Trustee under the cap contract, the ability of the Trustee to make such distributions on such certificates will be subject to the credit risk of the counterparty to the cap contract. Although there is a mechanism in place to facilitate replacement of the cap contract upon the default or credit impairment of the counterparty, there can be no assurance that any such mechanism will result in the ability of the Trustee to obtain suitable replacement cap contract.

Lack of Liquidity

Greenwich Capital Markets, Inc. and Wachovia Capital Markets, LLC (the “Underwriters”) intend to make a secondary market in the Offered Certificates, but have no obligation to do so. There is no assurance that such 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; these fluctuations may be significant and could result in significant losses to you.

The secondary markets for asset-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.

Nature of the Mortgage Loans

Substantially all of the Mortgage Loans in the trust are loans that do not meet the customary credit standards of Fannie Mae or Freddie Mac. As a result, delinquencies and liquidation proceedings are more likely with these Mortgage Loans than with mortgage loans that satisfy such credit standards. In the event the Mortgage Loans do become delinquent or subject to liquidation, you may face delays in receiving distributions and losses if the credit enhancement features of the trust are insufficient to cover the delays and losses.

Reduction or Withdrawal of Ratings

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. No rating agency 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 Floating Rate Certificates and Fixed Rate Certificates as Investments

The Floating Rate Certificates and Fixed Rate Certificates are not suitable investments for any investor that requires a regular or predictable schedule of monthly distributions or distribution on any specific date. The Floating Rate Certificates and Fixed Rate 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.

Transfer of Servicing May Result in Higher Delinquencies and Defaults

Wells Fargo Bank, N.A. will be the Servicer effective July 1, 2006 under the pooling agreement. However, prior to the transfer of servicing to Wells Fargo Bank, N.A. on July 1, 2006, the Originator will service the related Mortgage Loans. The servicing transfer will be completed on or about July 1, 2006 but all transfers of servicing involve the risk of disruption in collections due to data input errors, misapplied or misdirected payments, system incompatibilities and other reasons. As a result, the rate of delinquencies and defaults are likely to increase at least for a period of time. There can be no assurance as to the extent or duration of any disruptions associated with the

 



transfer of servicing or as to the resulting effects on the yield on the Floating Rate Certificates and Fixed Rate Certificates.

AFFILIATIONS AND RELATED TRANSACTIONS

Each of the Sponsor, the Depositor and Greenwich Capital Markets, Inc. is a direct wholly owned direct subsidiary of Greenwich Capital Holdings, Inc. Greenwich Capital Holdings, Inc. is a wholly owned subsidiary of The Royal Bank of Scotland Group plc.

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 Servicer, the Trustee or the Originator.

THE MORTGAGE POOL

The information set forth in the following paragraphs is based on servicing records and representations about the Mortgage Loans that were made by the Originator at the time it sold the Mortgage Loans.

The statistical information presented in this prospectus supplement relates to the Mortgage Loans and related Mortgaged Properties in the aggregate and 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. Additional mortgage loans may be included in the Mortgage Pool at or prior to the issuance of the Certificates unless including such Mortgage Loans would materially alter the characteristics of the Mortgage Loans as described herein. 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, and may be prepaid at any time. The Depositor believes that the information set forth in this prospectus supplement with respect to the Mortgage Loans will be representative of the characteristics of the Mortgage Pool 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 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 aggregate and each Loan Group as of the Cut-off Date (the “Cut-off Date Principal Balance”). The “Principal Balance” of a Mortgage Loan as of any date is equal to the principal balance of such Mortgage Loan at its origination, less the sum of scheduled and unscheduled payments in respect of principal made on such Mortgage Loan, whether received or advanced. The “Pool Balance” as of any date is equal to the aggregate Principal Balances of the Mortgage Loans in the Mortgage Pool.

General

Fremont Home Loan Trust 2006-1 (the “Trust”) will consist of a pool of approximately 4,728 residential mortgage loans (the “Mortgage Loans” or the “Mortgage Pool”) with a Cut-off Date Principal Balance of approximately $1,017,888,247. The Mortgage Loans will be separated into a group of fixed-rate and adjustable-rate, first lien and second lien, fully-amortizing and balloon payment Mortgage Loans with principal balances that conform to Fannie Mae and Freddie Mac loan limits (the “Group I Mortgage Loans”) and a group of fixed-rate and adjustable-rate, first lien and second lien, fully-amortizing and balloon payment Mortgage Loans with principal balances that may or may not conform to Fannie Mae and Freddie Mac loan limits (the “Group II Mortgage Loans”). 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 or Freddie Mac criteria (including published guidelines) for factors other than principal balance. The Group I Mortgage Loans consist of approximately 2,307 Mortgage Loans and have a Cut-off Date Principal Balance of approximately $441,682,871. The Group II Mortgage Loans consist of approximately 2,421 Mortgage Loans and have a Cut-off Date Principal Balance of approximately $576,205,376.

All of the Mortgage Loans will be secured by first or second mortgages or deeds of trust or other similar security instruments (each, a “Mortgage”). The Mortgages create first and second liens on one- to four-family residential properties consisting of one- to four-family dwelling units and individual condominium units (each, a “Mortgaged Property”).

The Mortgage Loans will generally consist of mortgages to subprime borrowers. A description of the underwriting standards used by the originator to originate the Mortgage Loans are set forth under “The Originator” in this prospectus supplement.

The Sponsor previously purchased the Mortgage Loans from the Originator pursuant to a related Master Mortgage Loan Purchase and Interim Servicing Agreement (the “Master Agreements”), between the Sponsor and the Originator. The Depositor will purchase certain Mortgage Loans and acquire the Sponsor’s rights against the Originator under the related Master Agreement from the Sponsor pursuant to the related Assignment and Recognition Agreements, dated the Closing Date (the “Assignment Agreements”), among the Originator, the Sponsor and the Depositor. Pursuant to the Pooling and Servicing Agreement, dated as of April 1, 2006 (the “Pooling Agreement”), among the Depositor, Wells Fargo Bank, N.A. as Servicer (effective July 1, 2006) and the Trustee, the Depositor will cause the Mortgage Loans and the Depositor’s rights under the Master Agreements and the Assignment Agreements to be assigned to the Trustee for the benefit of the Certificateholders. See “The Pooling Agreement” herein and “Operative Agreements” in the prospectus.

Each of the Mortgage Loans was selected from the Sponsor’s portfolio of mortgage loans. The Mortgage Loans were originated by the Originator or acquired by the Originator in the secondary market in the ordinary course of its business and were underwritten or re-underwritten by the Originator in accordance with its respective underwriting standards as described under “The Originator” in this prospectus supplement.

Under the Master Agreements, certain representations and warranties regarding the Mortgage Loans were made by the Originator. Pursuant to the Assignment Agreements, the Sponsor has assigned its rights with respect to each Master Agreement, including remedies with respect to breaches of representations and warranties, to the Depositor (who will further assign such rights to the Trustee on behalf of the Trust) and made certain additional representations and warranties regarding the Mortgage Loans. To the extent set forth under “The Pooling Agreement—Assignment of the Mortgage Loans,” the Trustee will enforce the obligations of the Originator under the related Master Agreement (as assigned to the Trustee pursuant to the related Assignment Agreement) or the Sponsor under the related Assignment Agreement 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 breach or deficiency materially and adversely affects the Certificateholders’ interests in such Mortgage Loan. The Sponsor is selling the Mortgage Loans without recourse and will have no obligation with respect to the Certificates in its capacity as Sponsor, other than in connection with certain limited representations and warranties as described above. The Originator will have no obligation with respect to the Certificates in their capacity as Originator, other than in connection with representations and warranties made by them under the related Master Agreement and assigned to the Trustee as described above.

The Mortgage Loans are subject to the “due-on-sale” provisions included therein and each adjustable-rate mortgage loan provides that the Mortgage Loan is assumable by a creditworthy purchaser of the related Mortgaged Property.

Each Mortgage Loan will accrue interest at the adjustable-rate or fixed-rate calculated as specified under the terms of the related mortgage note (each such rate, a “Mortgage Rate”). Approximately 89.29% of the Group I Mortgage Loans are adjustable-rate mortgage loans (the “Adjustable-Rate Group I Mortgage Loans”), approximately 88.75% of the Group II Mortgage Loans are adjustable-rate mortgage loans (the “Adjustable-Rate

 



Group II Mortgage Loans”)and approximately 88.99% of the Mortgage Loans are adjustable-rate mortgage loans (the “Adjustable-Rate Mortgage Loans”) and approximately 11.01% of the Mortgage Loans are fixed-rate mortgage loans (the “Fixed-Rate Mortgage Loans”).

Each Fixed-Rate mortgage loan has a Mortgage Rate that is fixed for the life of such Mortgage Loan.

Generally, the Adjustable-Rate Mortgage Loans accrue interest at a Mortgage Rate that is adjustable following an initial period of two years, three years or five years following origination. Generally, the Adjustable-Rate Mortgage Loans provide for semi-annual adjustment to the Mortgage Rate thereon and for corresponding adjustments to the monthly payment amount due thereon, in each case on each adjustment date applicable thereto (each such date, an “Adjustment Date”); provided, that (i) the first adjustment of the rates for approximately 97.93% of the Adjustable-Rate Group I Mortgage Loans and approximately 98.65% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date) and approximately 98.34% 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 two years after the date of origination, (ii) the first adjustment of the rates for approximately 1.72% of the Adjustable-Rate Group I Mortgage Loans and approximately 1.11% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date) and approximately 1.38% 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 three years after the date of origination and (iii) the first adjustment of the rates for approximately 0.35% of the Adjustable-Rate Group I Mortgage Loans and approximately 0.24% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date) and approximately 0.29% 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 five years after the date of origination (each such Adjustable-Rate Mortgage Loan, a “Delayed First Adjustment Mortgage Loan”). On each Adjustment Date for each Adjustable-Rate Mortgage Loan, the Mortgage Rate thereon will be adjusted to equal the sum, rounded to the nearest or next highest multiple of 0.125%, of Six-Month LIBOR and a fixed percentage amount (the “Gross Margin”). The Mortgage Rate on any Adjustable-Rate Mortgage Loan will not decrease on the first related Adjustment Date, will not increase by more than a stated percentage (up to 3.000% per annum, as specified in the related mortgage note) on the first related Adjustment Date (the “Initial Periodic Rate Cap”) and will not increase or decrease by more than a stated percentage (up to 1.500% per annum, as specified in the related mortgage note) on any Adjustment Date thereafter (the “Periodic Rate Cap”). The Adjustable-Rate Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.001% per annum and a weighted average Periodic Rate Cap of approximately 1.500% per annum thereafter. Each Mortgage Rate on each Adjustable-Rate Mortgage Loan will not exceed a specified maximum Mortgage Rate over the life of such Mortgage Loan (the “Maximum Mortgage Rate”) or be less than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the “Minimum Mortgage Rate”). 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 the related Adjustable-Rate Mortgage Loan over its remaining term, and pay interest at the Mortgage Rate as so adjusted, unless such Mortgage Loan is an interest only Mortgage Loan which is still in its interest only period or a balloon loan. Due to the application of the Initial Periodic Rate Caps, 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 and the related Gross Margin, rounded as described in this prospectus supplement. None of the Adjustable-Rate Mortgage Loans will permit the related mortgagor to convert the adjustable Mortgage Rate thereon to a fixed Mortgage Rate.

Approximately 6.68% of the Group I Mortgage Loans and approximately 13.34% 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 10.45% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date) (the “Interest Only Mortgage Loans”), provide that for a period of five years after origination, the required monthly payments are limited to accrued interest (each, an “Interest Only Period”). At the end of the Interest Only 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 53.37% of the Group I Mortgage Loans and approximately 57.87% 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 55.92% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date) provide for payment by the mortgagor of a prepayment charge in limited circumstances on certain prepayments. Generally, each such Mortgage Loan provides for payment of a prepayment charge on partial prepayments and prepayments in full made within a stated number of months that is between one and three years from the date of origination of such Mortgage Loan. The amount of the prepayment charge is provided in the related mortgage note and with respect to approximately 85.86% of the Group I Mortgage Loans and approximately 90.03% 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 88.30% of the Mortgage Loans (by aggregate principal balance of the Mortgage Loans as of the Cut-off Date) that have a prepayment charge, the prepayment charge is equal to six months’ interest on any amounts prepaid in excess of 20% of the original Principal Balance of the related Mortgage Loan in any 12 month period. The holders of the Class P Certificates will be entitled to prepayment charges received on the Mortgage Loans, and such amounts will not be available for distribution on the other classes of Certificates. Under certain circumstances, as described in the Pooling Agreement, the Servicer may waive the payment of any otherwise applicable prepayment charge.

In addition, approximately 28.11% of the Group I Mortgage Loans and approximately 33.20% 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 30.99% of the Mortgage Loans (by aggregate Principal Balance as of the Cut-off Date) are adjustable-rate Mortgage Loans and are intended to have the monthly payment amortize the Principal Balance thereof over a term of 40 years from origination with a required balloon payment after 30 years of origination. A possible interpretation of those Mortgage Loans is that the monthly payments are to be reset after the first Adjustment Date so that the monthly payment will amortize the Principal Balance of the Mortgage Loans over a term of 30 years from origination. The Servicer will service these Mortgage Loans based on a 40 year amortization term that will result in the borrower being required to make a balloon payment 30 years after the origination date. In the event any such Mortgage Loan is considered to provide for a 30 year amortization term, the Originator will repurchase the related Mortgage Loan. Because the assumptions set forth in this prospectus supplement have assumed that those Mortgage Loans amortize over a term of 40 years from origination, if the Originator repurchases any of the related Mortgage Loans from the Trust, the weighted average lives of the certificates may be shortened.

The Index. The index with respect to the adjustable-rate Mortgage Loans is the average of interbank offered rates for six-month U.S. dollar deposits in the London market based on quotations of major banks, and most recently available as of a day specified in the related note as published by the Western Edition of The Wall Street Journal (“Six-Month LIBOR” or the “Index”). If the Index becomes unpublished or is otherwise unavailable, the Servicer will select an alternative index which is based upon comparable information.

Mortgage Loan Statistics

The following statistical information, unless otherwise specified, is based upon percentages of the aggregate Cut-off Date Principal Balance of the Mortgage Loans.

Approximately 34.21% of the Mortgage Loans had loan-to-value ratios (or combined loan-to-value ratios in the case of second lien Mortgage Loans) at origination in excess of 80.00%. No Mortgage Loan had a loan-to-value ratio (or combined loan-to-value ratios in the case of second lien Mortgage Loans) at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Mortgage Loans at origination was approximately 81.25%. There can be no assurance that the loan-to-value ratio (or combined loan-to-value ratios in the case of second lien Mortgage Loans) of any Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator’s determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios or combined loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. See “Risk Factors—High Loan-to-Value Ratios Increase Risk of Loss.”

All of the Mortgage Loans have a scheduled payment due each month (the “Due Date”) on the first day of the month. The remainder of the Mortgage Loans have Due Dates throughout each month.

 



 

The weighted average remaining term to maturity of the Mortgage Loans was approximately 357 months as of the Cut-off Date. None of the Mortgage Loans had a first Due Date prior to October 2005 or after April 2006, or has a remaining term to maturity of less than 58 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Mortgage Loan is March 2036.

The average Principal Balance of the Mortgage Loans at origination was approximately $215,419. The average Cut-off Date Principal Balance of the Mortgage Loans was approximately $215,289. No Mortgage Loan had a Cut-off Date Principal Balance of greater than approximately $1,249,025 or less than approximately $4,940.

As of the Cut-off Date, the Mortgage Loans had Mortgage Rates of not less than 5.200% per annum and not more than 13.650% per annum and the weighted average Mortgage Rate of the Mortgage Loans was approximately 8.449% per annum. As of the Cut-off Date, the Adjustable-Rate Mortgage Loans had Gross Margins ranging from 2.788% per annum to 6.990% per annum, Minimum Mortgage Rates ranging from 4.988% per annum to 12.700% per annum and Maximum Mortgage Rates ranging from 11.200% per annum to 18.950% per annum. As of the Cut-off Date, the weighted average Gross Margin of the Adjustable-Rate Mortgage Loans was approximately 5.855% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 8.297% per annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 14.315% per annum. The latest next Adjustment Date following the Cut-off Date on any Adjustable-Rate Mortgage Loan occurs in March 2011 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Mortgage Loans is approximately 22 months.

The Mortgage Loans are expected to have the following characteristics as of the Cut-off Date (the sum in any column may not equal the total indicated due to rounding).

 

 

 

Cut-off Date Principal Balances of the Mortgage Loans(1)

Principal Balance ($)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

4,940 -     25,000

 

    164

 

$

            2,553,050.87

 

    0.25

%

25,001 -     50,000

 

    348

 

 

          12,975,007.76

 

    1.27

 

50,001 -     75,000

 

    350

 

 

          21,848,404.74

 

    2.15

 

75,001 -   100,000

 

    392

 

 

          34,260,330.12

 

    3.37

 

100,001 -   125,000

 

    394

 

 

          44,403,853.27

 

    4.36

 

125,001 -   150,000

 

    391

 

 

          53,886,437.68

 

    5.29

 

150,001 -   175,000

 

    328

 

 

          53,153,391.21

 

    5.22

 

175,001 -   200,000

 

    328

 

 

          61,747,101.88

 

    6.07

 

200,001 -   225,000

 

    262

 

 

          55,698,560.80

 

    5.47

 

225,001 -   250,000

 

    197

 

 

          46,997,098.44

 

    4.62

 

250,001 -   275,000

 

    190

 

 

          49,835,020.87

 

    4.90

 

275,001 -   300,000

 

    197

 

 

          56,817,262.05

 

    5.58

 

300,001 -   350,000

 

    317

 

 

       103,279,749.91

 

   10.15

 

350,001 -   400,000

 

    248

 

 

          92,526,771.64

 

    9.09

 

400,001 -   450,000

 

    170

 

 

          72,527,218.73

 

    7.13

 

450,001 -   500,000

 

    143

 

 

          68,128,228.50

 

    6.69

 

500,001 -   600,000

 

    188

 

 

       102,972,025.96

 

   10.12

 

600,001 -   700,000

 

      75

 

 

          48,617,553.43

 

    4.78

 

700,001 -   800,000

 

      41

 

 

          30,310,278.87

 

    2.98

 

800,001 -   900,000

 

        1

 

 

               828,626.81

 

    0.08

 

1,000,001-1,100,000

 

        2

 

 

            2,134,370.78

 

    0.21

 

1,100,001-1,200,000

 

        1

 

 

            1,138,877.66

 

    0.11

 

1,200,001-1,249,025

 

        1

 

 

            1,249,024.87

 

    0.12

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The average Cut-off Date Principal Balance of the Mortgage Loans was approximately $215,289.

 

 

Credit Scores for the Mortgage Loans(1)

Credit Score

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

500-  500

 

      10

 

$

            2,188,063.43

 

    0.21

%

501-  525

 

    309

 

 

          66,427,171.35

 

    6.53

 

526-  550

 

    327

 

 

          70,061,174.98

 

    6.88

 

551-  575

 

    459

 

 

          96,665,410.39

 

    9.50

 

576-  600

 

    634

 

 

       127,630,772.04

 

   12.54

 

601-  625

 

    902

 

 

       181,246,191.18

 

   17.81

 

626-  650

 

    873

 

 

       185,111,492.45

 

   18.19

 

651-  675

 

    550

 

 

       125,652,305.87

 

   12.34

 

676-  700

 

    321

 

 

          80,909,596.02

 

    7.95

 

701-  725

 

    176

 

 

          41,023,868.29

 

    4.03

 

726-  750

 

      84

 

 

          21,487,412.27

 

    2.11

 

751-  775

 

      61

 

 

          14,648,882.88

 

    1.44

 

776-  800

 

      16

 

 

            3,134,681.79

 

    0.31

 

801-  814

 

        6

 

 

            1,701,223.91

 

    0.17

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The weighted average credit score of the Mortgage Loans that had credit scores was approximately 619.

 

 



 

Original Terms to Maturity of the Mortgage Loans(1)

Original Term (months)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

60

 

      10

 

$

               117,925.53

 

    0.01

%

120

 

      71

 

 

            1,104,811.01

 

    0.11

 

180

 

      92

 

 

            2,052,110.08

 

    0.20

 

240

 

      10

 

 

               713,193.26

 

    0.07

 

300

 

        1

 

 

               391,354.32

 

    0.04

 

360

 

 4,544

 

 

      1,013,508,852.65

 

   99.57

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The weighted average original term to maturity of the Mortgage Loans was approximately 359 months.

 

 

Remaining Terms to Maturity of the Mortgage Loans(1)

Remaining Term (months)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

58-   60

 

      10

 

$

               117,925.53

 

    0.01

%

109-  120

 

      71

 

 

            1,104,811.01

 

    0.11

 

169-  180

 

      92

 

 

            2,052,110.08

 

    0.20

 

229-  240

 

      10

 

 

               713,193.26

 

    0.07

 

289-  300

 

        1

 

 

               391,354.32

 

    0.04

 

349-  354

 

      37

 

 

            8,613,818.07

 

    0.85

 

355-  355

 

      39

 

 

            8,420,244.57

 

    0.83

 

356-  356

 

    143

 

 

          37,173,336.08

 

    3.65

 

357-  357

 

    596

 

 

       152,527,586.62

 

   14.98

 

358-  358

 

 3,387

 

 

       730,794,129.91

 

   71.80

 

359-  359

 

    342

 

 

          75,979,737.40

 

    7.46

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The weighted average remaining term to maturity of the Mortgage Loans was approximately 357 months.

 

 



 

Property Types of the Mortgage Loans

Property Type

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Single Family

 

 3,862

 

$

       815,774,070.88

 

   80.14

%

2 Units

 

    451

 

 

       119,428,086.43

 

   11.73

 

Condominium

 

    359

 

 

          64,060,851.39

 

    6.29

 

3 Units

 

      43

 

 

          14,315,634.73

 

    1.41

 

4 Units

 

      13

 

 

            4,309,603.42

 

    0.42

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

PUD refers to a home or “unit” in a Planned Unit Development.

 

Occupancy Status of the Mortgage Loans(1)

Occupancy Status

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Primary

 

 4,315

 

$

       941,720,922.90

 

   92.52

%

Non-owner

 

    379

 

 

          66,663,116.08

 

    6.55

 

Second Home

 

      34

 

 

            9,504,207.87

 

    0.93

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

Occupancy as represented by the mortgagor at the time of origination.

 

Purpose of the Mortgage Loans

Purpose

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Cash Out Refinance

 

 2,091

 

$

       494,950,447.95

 

   48.63

%

Purchase

 

 2,439

 

 

       468,740,349.43

 

   46.05

 

Home Improvement

 

    158

 

 

          44,759,167.59

 

    4.40

 

Rate/Term Refinance

 

      40

 

 

            9,438,281.88

 

    0.93

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

 

Original Loan-to-Value Ratios of the Mortgage Loans(1)(2)

Original Loan-to-Value Ratio (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Less than or equal to 50.00

 

      94

 

$

          14,318,001.39

 

    1.41

%

50.01  - 55.00

 

      42

 

 

            7,975,685.05

 

    0.78

 

55.01  - 60.00

 

      73

 

 

          15,312,556.73

 

    1.50

 

60.01  - 65.00

 

    143

 

 

          32,131,008.51

 

    3.16

 

65.01  - 70.00

 

    170

 

 

          37,647,387.68

 

    3.70

 

70.01  - 75.00

 

    266

 

 

          64,526,506.74

 

    6.34

 

75.01  - 80.00

 

 1,821

 

 

       497,719,062.90

 

   48.90

 

80.01  - 85.00

 

    330

 

 

          82,606,118.73

 

    8.12

 

85.01  - 90.00

 

    704

 

 

       179,651,806.32

 

   17.65

 

90.01  - 95.00

 

    177

 

 

          18,810,116.79

 

    1.85

 

95.01  -100.00

 

    908

 

 

          67,189,996.01

 

    6.60

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The weighted average original loan-to-value ratio of the Mortgage Loans as of the Cut-off Date was approximately 81.25%.

(2)

For a description of the determination of loan-to-value ratio by the Originator see “The Originator” in this prospectus supplement.

 

 

 



 

Geographic Distribution of the Mortgaged Properties related to the Mortgage Loans(1)

Location

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Alaska

 

        1

 

$

               113,329.85

 

    0.01

%

Arizona

 

    102

 

 

          18,549,358.88

 

    1.82

 

Arkansas

 

        3

 

 

               525,538.73

 

    0.05

 

California

 

    829

 

 

       251,615,320.98

 

   24.72

 

Colorado

 

      66

 

 

          10,437,119.63

 

    1.03

 

Connecticut

 

    109

 

 

          21,647,587.47

 

    2.13

 

Delaware

 

      12

 

 

            2,301,713.22

 

    0.23

 

District of Columbia

 

      33

 

 

            7,502,740.58

 

    0.74

 

Florida

 

    747

 

 

       140,502,348.72

 

   13.80

 

Georgia

 

    212

 

 

          30,731,184.49

 

    3.02

 

Hawaii

 

      54

 

 

          18,563,215.25

 

    1.82

 

Idaho

 

      21

 

 

            2,402,093.69

 

    0.24

 

Illinois

 

    284

 

 

          45,904,381.80

 

    4.51

 

Indiana

 

      17

 

 

            1,458,756.93

 

    0.14

 

Iowa

 

        3

 

 

               263,926.67

 

    0.03

 

Kansas

 

        6

 

 

               429,796.20

 

    0.04

 

Kentucky

 

      12

 

 

            1,854,017.12

 

    0.18

 

Maine

 

        5

 

 

               728,742.54

 

    0.07

 

Maryland

 

    343

 

 

          72,115,841.07

 

    7.08

 

Massachusetts

 

    163

 

 

          39,259,745.05

 

    3.86

 

Michigan

 

      82

 

 

            8,517,808.71

 

    0.84

 

Minnesota

 

      39

 

 

            5,644,433.96

 

    0.55

 

Missouri

 

      32

 

 

            3,577,315.44

 

    0.35

 

Nebraska

 

        1

 

 

               81,961.33

 

    0.01

 

Nevada

 

      68

 

 

          12,467,787.88

 

    1.22

 

New Hampshire

 

      13

 

 

            2,423,067.39

 

    0.24

 

New Jersey

 

    330

 

 

          79,552,359.42

 

    7.82

 

New Mexico

 

      16

 

 

            2,190,321.87

 

    0.22

 

New York

 

    417

 

 

       127,738,492.90

 

   12.55

 

North Carolina

 

      75

 

 

            7,381,149.88

 

    0.73

 

Ohio

 

      50

 

 

            4,870,764.98

 

    0.48

 

Oklahoma

 

        2

 

 

               74,438.38

 

    0.01

 

Oregon

 

      18

 

 

            2,524,047.11

 

    0.25

 

Pennsylvania

 

    101

 

 

          14,444,513.48

 

    1.42

 

Rhode Island

 

      19

 

 

            3,553,419.55

 

    0.35

 

South Carolina

 

      24

 

 

            2,127,865.22

 

    0.21

 

Tennessee

 

      28

 

 

            2,931,995.69

 

    0.29

 

Texas

 

    107

 

 

          12,861,023.87

 

    1.26

 

Utah

 

      15

 

 

            3,590,253.35

 

    0.35

 

Vermont

 

        4

 

 

               547,448.70

 

    0.05

 

Virginia

 

    159

 

 

          36,412,776.30

 

    3.58

 

Washington

 

      41

 

 

            9,422,294.66

 

    0.93

 

West Virginia

 

      10

 

 

            1,553,076.61

 

    0.15

 

Wisconsin

 

      55

 

 

            6,492,871.30

 

    0.64

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The greatest ZIP Code geographic concentration of Mortgage Loans was approximately 0.38% in the 11234 ZIP Code.

 

 

 



 

Documentation Levels of the Mortgage Loans(1)

Documentation Level

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Full Documentation

 

 2,833

 

$

       547,908,801.06

 

   53.83

%

Stated Documentation

 

 1,847

 

 

       456,892,471.18

 

   44.89

 

Easy Documentation

 

      48

 

 

          13,086,974.61

 

    1.29

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

For a description of each Documentation Level, see “The Originator” in this prospectus supplement.

 

Current Mortgage Rates of the Mortgage Loans(1)

Current Mortgage Rate (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

5.200  - 6.000

 

      18

 

$

            6,219,862.52

 

    0.61

%

6.001  - 7.000

 

    283

 

 

          92,199,847.36

 

    9.06

 

7.001  - 8.000

 

 1,063

 

 

       312,021,642.17

 

   30.65

 

8.001  - 9.000

 

 1,377

 

 

       362,919,495.93

 

   35.65

 

9.001  -10.000

 

    900

 

 

       153,748,772.38

 

   15.10

 

10.001  -11.000

 

    485

 

 

          51,369,733.88

 

    5.05

 

11.001  -12.000

 

    426

 

 

          30,273,264.06

 

    2.97

 

12.001  -13.000

 

    170

 

 

            9,044,106.83

 

    0.89

 

13.001  -13.650

 

        6

 

 

               91,521.72

 

    0.01

 

Total

 

 4,728

 

$

      1,017,888,246.85

 

 100.00

%

___________________

 

(1)

The weighted average current Mortgage Rate of the Mortgage Loans as of the Cut-off Date was approximately 8.449% per annum.

 

Gross Margins of the Adjustable-Rate Mortgage Loans(1)

Gross Margin (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

2.788  - 3.000

 

        2

 

$

               223,597.27

 

    0.02

%

3.001  - 4.000

 

      22

 

 

            7,338,926.85

 

    0.81

 

4.001  - 5.000

 

    458

 

 

       145,789,248.92

 

   16.10

 

5.001  - 6.000

 

 1,220

 

 

       344,607,099.32

 

   38.05

 

6.001  - 6.990

 

 1,803

 

 

       407,812,363.44

 

   45.02

 

Total

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

___________________

 

(1)

The weighted average Gross Margin of the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 5.855% per annum.

 

 

 



 

Month of Next Rate Adjustment for the Adjustable-Rate Mortgage Loans(1)

Month of Next Rate Adjustment

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

September 2007

 

        1

 

$

               383,973.00

 

    0.04

%

October 2007

 

      32

 

 

            7,688,221.20

 

    0.85

 

November 2007

 

      36

 

 

            8,027,942.06

 

    0.89

 

December 2007

 

    131

 

 

          34,321,622.00

 

    3.79

 

January 2008

 

    544

 

 

       140,696,622.19

 

   15.53

 

February 2008

 

 2,458

 

 

       634,242,477.69

 

   70.02

 

March 2008

 

    242

 

 

          65,332,597.40

 

    7.21

 

November 2008

 

        1

 

 

               49,941.28

 

    0.01

 

December 2008

 

        4

 

 

            1,030,795.70

 

    0.11

 

January 2009

 

        9

 

 

            2,212,861.28

 

    0.24

 

February 2009

 

      31

 

 

            8,248,753.25

 

    0.91

 

March 2009

 

        5

 

 

               926,000.00

 

    0.10

 

January 2011

 

        2

 

 

               587,984.89

 

    0.06

 

February 2011

 

        8

 

 

            1,939,043.86

 

    0.21

 

March 2011

 

        1

 

 

               82,400.00

 

    0.01

 

Total

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

___________________

 

(1)

The weighted average time until the next Adjustment Date for the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 22 months.

 

Maximum Mortgage Rates of the Adjustable-Rate Mortgage Loans(1)

Maximum Mortgage Rate (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

11.200  -12.000

 

      13

 

$

            4,096,456.72

 

    0.45

%

12.001  -13.000

 

    251

 

 

          82,305,738.72

 

    9.09

 

13.001  -14.000

 

    995

 

 

       295,002,398.14

 

   32.57

 

14.001  -15.000

 

 1,310

 

 

       348,495,595.71

 

   38.48

 

15.001  -16.000

 

    669

 

 

       134,867,783.50

 

   14.89

 

16.001  -17.000

 

    172

 

 

          26,587,492.92

 

    2.94

 

17.001  -18.000

 

      73

 

 

          10,908,835.30

 

    1.20

 

18.001  -18.950

 

      22

 

 

            3,506,934.79

 

    0.39

 

Total

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

___________________

 

(1)

The weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 14.315% per annum.

 

Minimum Mortgage Rates of the Adjustable-Rate Mortgage Loans(1)

Minimum Mortgage Rate (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

4.988  - 5.000

 

        1

 

$

               563,708.72

 

    0.06

%

5.001  - 6.000

 

      24

 

 

            8,470,878.92

 

    0.94

 

6.001  - 7.000

 

    257

 

 

          84,434,885.69

 

    9.32

 

7.001  - 8.000

 

    989

 

 

       291,975,581.27

 

   32.24

 

8.001  - 9.000

 

 1,301

 

 

       345,218,952.67

 

   38.11

 

9.001  -10.000

 

    667

 

 

       134,301,413.07

 

   14.83

 

10.001  -11.000

 

    171

 

 

          26,390,045.37

 

    2.91

 

11.001  -12.000

 

      74

 

 

          10,958,776.58

 

    1.21

 

12.001  -12.700

 

      21

 

 

            3,456,993.51

 

    0.38

 

Total

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

___________________

 

(1)

The weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 8.297% per annum.

 

 



 

Initial Periodic Rate Caps of the Adjustable-Rate Mortgage Loans(1)

Initial Periodic Rate Cap (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

1.500

 

        1

 

$

               66,190.89

 

    0.01

%

2.000

 

 3,500

 

 

       904,808,996.77

 

   99.89

 

3.000

 

        4

 

 

               896,048.14

 

    0.10

 

Total

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

___________________

 

(1)

Relates solely to initial rate adjustments.

 

Subsequent Periodic Rate Caps of the Adjustable-Rate Mortgage Loans(1)

Periodic Rate Cap (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

1.500

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

Total

 

 3,505

 

$

       905,771,235.80

 

 100.00

%

___________________

 

(1)

Relates to all rate adjustments subsequent to initial rate adjustments.

 

 

Historical Delinquency of the Mortgage Loans Since Origination

Historical Delinquency

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

30 – 59 Days (times):

 

 

 

 

 

 

 

 

0

 

       4,707

 

$

      1,013,469,410.51

 

                99.57

%

1

 

   21

 

 

            4,418,836.34

 

      0.43

 

Total

 

4,728

 

$

      1,017,888,246.85

 

  100.00

%

60 – 89 Days (times):

 

 

 

 

 

 

 

 

0

 

4,728

 

$

      1,017,888,246.85

 

  100.00

%

Total

 

4,728

 

$

      1,017,888,246.85

 

  100.00

%

90 Days or more (times):

 

 

 

 

 

 

 

 

0

 

4,728

 

$

      1,017,888,246.85

 

  100.00

%

Total

 

4,728

 

$

      1,017,888,246.85

 

  100.00

%

 

 

Group I Mortgage Loan Statistics

The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Group I Mortgage Loans as of the Cut-off Date.

Approximately 36.31% of the Group I Mortgage Loans had loan-to-value ratios (or combined loan-to-value ratios in the case of second lien Group I Mortgage Loans) at origination in excess of 80.00%. No Group I Mortgage Loan had a loan-to-value ratio (or combined loan-to-value ratio in the case of second lien Group I Mortgage Loans) at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Group I Mortgage Loans at origination was approximately 79.22%. There can be no assurance that the loan-to-value ratio or combined loan-to-value ratio of any Group I Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio or combined loan-to-value ratio. Additionally, the Originator’s determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios or combined loan-to-value ratios of the Group I Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. See “Risk Factors—High Loan-to-Value Ratios Increase Risk of Loss.”

All of the Group I Mortgage Loans have a Due Date on the first day of the month.

The weighted average remaining term to maturity of the Group I Mortgage Loans was approximately 357 months as of the Cut-off Date. None of the Group I Mortgage Loans had a first Due Date prior to November 2005 or after April 2006, or has a remaining term to maturity of less than 58 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Group I Mortgage Loan is March 2036.

The average Principal Balance of the Group I Mortgage Loans at origination was approximately $191,568. The average Cut-off Date Principal Balance of the Group I Mortgage Loans was approximately $191,453. No Group I Mortgage Loan had a Cut-off Date Principal Balance of greater than approximately $749,391 or less than approximately $5,477.

As of the Cut-off Date, the Group I Mortgage Loans had Mortgage Rates of not less than 5.200% per annum and not more than 13.650% per annum and the weighted average Mortgage Rate of the Group I Mortgage Loans was approximately 8.473% per annum. As of the Cut-off Date, the Adjustable-Rate Group I Mortgage Loans had Gross Margins ranging from 2.788% per annum to 6.990% per annum, Minimum Mortgage Rates ranging from 5.043% per annum to 12.700% per annum and Maximum Mortgage Rates ranging from 11.200% per annum to 18.950% per annum. As of the Cut-off Date, the weighted average Gross Margin of the Adjustable-Rate Group I Mortgage Loans was approximately 5.944% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was approximately 8.436% per annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was approximately 14.452% per annum. The latest next Adjustment Date following the Cut-off Date on any Adjustable-Rate Group I Mortgage Loan occurs in February 2011 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Group I Mortgage Loans is approximately 22 months.

The Group I Mortgage Loans are expected to have the following characteristics as of the Cut-off Date (the sum in any column may not equal the total indicated due to rounding):

 



 

Cut-off Date Principal Balances of the Group I Mortgage Loans(1)

Principal Balance ($)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

5,477 -     25,000

 

      73

 

$

            1,148,493.94

 

    0.26

%

25,001 -     50,000

 

    170

 

 

            6,328,418.95

 

    1.43

 

50,001 -     75,000

 

    101

 

 

            6,299,430.28

 

    1.43

 

75,001 -   100,000

 

    159

 

 

          13,977,802.55

 

    3.16

 

100,001 -   125,000

 

    199

 

 

          22,412,982.63

 

    5.07

 

125,001 -   150,000

 

    221

 

 

          30,536,620.22

 

    6.91

 

150,001 -   175,000

 

    212

 

 

          34,364,918.28

 

    7.78

 

175,001 -   200,000

 

    222

 

 

          41,764,418.30

 

    9.46

 

200,001 -   225,000

 

    173

 

 

          36,741,600.71

 

    8.32

 

225,001 -   250,000

 

    137

 

 

          32,695,645.32

 

    7.40

 

250,001 -   275,000

 

    118

 

 

          30,910,911.31

 

    7.00

 

275,001 -   300,000

 

    113

 

 

          32,628,354.56

 

    7.39

 

300,001 -   350,000

 

    197

 

 

          63,984,523.86

 

   14.49

 

350,001 -   400,000

 

    124

 

 

          46,268,206.49

 

   10.48

 

400,001 -   450,000

 

      43

 

 

          17,992,811.88

 

    4.07

 

450,001 -   500,000

 

      16

 

 

            7,638,295.47

 

    1.73

 

500,001 -   600,000

 

      26

 

 

          13,815,850.03

 

    3.13

 

600,001 -   700,000

 

        1

 

 

               674,803.83

 

    0.15

 

700,001 -   749,391

 

        2

 

 

            1,498,782.54

 

    0.34

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

The average Cut-off Date Principal Balance of the Group I Mortgage Loans was approximately $191,453.

 

 

Credit Scores for the Group I Mortgage Loans(1)

Credit Score

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

500-  500

 

        8

 

$

            1,110,566.30

 

    0.25

%

501-  525

 

    210

 

 

          42,022,319.66

 

    9.51

 

526-  550

 

    228

 

 

          45,346,074.55

 

   10.27

 

551-  575

 

    293

 

 

          59,240,686.47

 

   13.41

 

576-  600

 

    324

 

 

          59,742,596.82

 

   13.53

 

601-  625

 

    448

 

 

          82,303,610.67

 

   18.63

 

626-  650

 

    366

 

 

          68,060,494.06

 

   15.41

 

651-  675

 

    232

 

 

          43,593,713.04

 

    9.87

 

676-  700

 

    109

 

 

          23,147,582.07

 

    5.24

 

701-  725

 

      45

 

 

            8,091,299.72

 

    1.83

 

726-  750

 

      17

 

 

            3,232,032.34

 

    0.73

 

751-  775

 

      17

 

 

            3,799,087.59

 

    0.86

 

776-  800

 

        8

 

 

            1,708,167.03

 

    0.39

 

801-  814

 

        2

 

 

               284,640.83

 

    0.06

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

The weighted average credit score of the Group I Mortgage Loans that had credit scores was approximately 603.

 

 



 

Original Terms to Maturity of the Group I Mortgage Loans(1)

Original Term (months)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

60

 

        3

 

$

               18,870.72

 

    0.00

%

120

 

      32

 

 

               344,665.98

 

    0.08

 

180

 

      37

 

 

               849,933.08

 

    0.19

 

240

 

        7

 

 

               593,280.20

 

    0.13

 

300

 

        1

 

 

               391,354.32

 

    0.09

 

360

 

 2,227

 

 

       439,484,766.85

 

   99.50

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

The weighted average original term to maturity of the Group I Mortgage Loans was approximately 359 months.

 

 

Remaining Terms to Maturity of the Group I Mortgage Loans(1)

Remaining Term (months)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

58-   60

 

        3

 

$

               18,870.72

 

    0.00

%

109-  120

 

      32

 

 

               344,665.98

 

    0.08

 

169-  180

 

      37

 

 

               849,933.08

 

    0.19

 

229-  240

 

        7

 

 

               593,280.20

 

    0.13

 

289-  300

 

        1

 

 

               391,354.32

 

    0.09

 

349-  354

 

      14

 

 

            2,922,696.19

 

    0.66

 

355-  355

 

      21

 

 

            3,558,702.47

 

    0.81

 

356-  356

 

      73

 

 

          16,051,532.66

 

    3.63

 

357-  357

 

    311

 

 

          65,639,743.89

 

   14.86

 

358-  358

 

 1,637

 

 

       318,738,577.24

 

   72.16

 

359-  359

 

    171

 

 

          32,573,514.40

 

    7.37

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

The weighted average remaining term to maturity of the Group I Mortgage Loans was approximately 357 months.

 

 



 

Property Types of the Group I Mortgage Loans

Property Type

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Single Family

 

 1,884

 

$

       346,077,492.27

 

   78.35

%

2 Units

 

    208

 

 

          53,324,651.97

 

   12.07

 

Condominium

 

    177

 

 

          28,935,388.70

 

    6.55

 

3 Units

 

      29

 

 

            9,719,094.99

 

    2.20

 

4 Units

 

        9

 

 

            3,626,243.22

 

    0.82

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

PUD refers to a home or “unit” in a Planned Unit Development.

 

Occupancy Status of the Group I Mortgage Loans(1)

Occupancy Status

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Primary

 

 2,062

 

$

       389,139,111.15

 

   88.10

%

Non-owner

 

    220

 

 

          46,225,643.49

 

   10.47

 

Second Home

 

      25

 

 

            6,318,116.51

 

    1.43

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

Occupancy as represented by the mortgagor at the time of origination.

 

Purpose of the Group I Mortgage Loans

Purpose

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Cash Out Refinance

 

 1,544

 

$

       328,568,300.16

 

   74.39

%

Purchase

 

    628

 

 

          82,559,814.05

 

   18.69

 

Home Improvement

 

    107

 

 

          25,314,826.76

 

    5.73

 

Rate/Term Refinance

 

      28

 

 

            5,239,930.18

 

    1.19

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

 

Original Loan-to-Value Ratios of the Group I Mortgage Loans(1)(2)

Original Loan-to-Value Ratio (%)

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Less than or equal to 50.00

 

      73

 

$

          11,970,445.05

 

    2.71

%

50.01  - 55.00

 

      32

 

 

            6,422,090.06

 

    1.45

 

55.01  - 60.00

 

      59

 

 

          12,861,793.83

 

    2.91

 

60.01  - 65.00

 

    109

 

 

          23,062,433.63

 

    5.22

 

65.01  - 70.00

 

    114

 

 

          24,419,704.03

 

    5.53

 

70.01  - 75.00

 

    190

 

 

          42,532,614.62

 

    9.63

 

75.01  - 80.00

 

    754

 

 

       160,044,919.73

 

   36.24

 

80.01  - 85.00

 

    215

 

 

          47,995,651.46

 

   10.87

 

85.01  - 90.00

 

    400

 

 

          88,266,169.90

 

   19.98

 

90.01  - 95.00

 

      82

 

 

            9,571,171.35

 

    2.17

 

95.01  -100.00

 

    279

 

 

          14,535,877.49

 

    3.29

 

Total

 

 2,307

 

$

       441,682,871.15

 

 100.00

%

___________________

 

(1)

The weighted average original loan-to-value ratio of the Group I Mortgage Loans as of the Cut-off Date was approximately 79.22%.

   

(2)

For a description of the determination of loan-to-value ratio by the Originator see “The Originator” in this prospectus supplement.

 

 

 



 

Geographic Distribution of the Mortgaged Properties related to the Group I Mortgage Loans(1)

Location

 

Number of Mortgage Loans

 

Principal Balance Outstanding as of the

Cut-off Date

 

% of Aggregate Principal Balance Outstanding as of the Cut-off Date

Alaska

 

        1

 

$

               113,329.85

 

    0.03

%

Arizona

 

      59

 

 

          10,643,395.61

 

    2.41

 

Arkansas

 

        1

 

 

               99,945.94

 

    0.02

 

California

 

    279

 

 

          74,300,443.91

 

   16.82

 

Colorado

 

      34

 

 

            4,162,237.97

 

    0.94

 

Connecticut

 

      82

 

 

          13,740,063.40

 

    3.11

 

Delaware

 

        9

 

 

            1,428,440.64

 

    0.32

 

District of Columbia

 

      24

 

 

            4,659,307.46

 

    1.05

 

Florida

 

    318

 

 

          56,788,280.18

 

   12.86

 

Georgia

 

    123

 

 

          14,298,204.02

 

    3.24

 

Hawaii

 

      36

 

 

          11,827,560.01

 

    2.68

 

Idaho

 

      13

 

 

            1,541,722.78

 

    0.35

 

Illinois

 

    192

 

 

          28,961,475.71

 

    6.56

 

Indiana

 

        7

 

 

               706,757.73

 

    0.16

 

Iowa

 

        1

 

 

               142,999.00

 

    0.03

 

Kentucky

 

        7

 

 

               932,340.14

 

    0.21

 

Maine

 

        4

 

 

               505,822.41

 

    0.11

 

Maryland

 

    214

 

 

          40,108,942.12

 

    9.08

 

Massachusetts

 

      95

 

 

          22,453,324.27

 

    5.08

 

Michigan

 

      28

 

 

            3,320,209.81

 

    0.75

 

Minnesota

 

      24

 

 

            3,783,748.58

 

    0.86

 

Missouri

 

      11

 

 

            1,065,205.45

 

    0.24

 

Nebraska