424B5 1 d581063_424b5.htm OPTION ONE MORTGAGE ACCEPTANCE CORP Unassociated Document
 
 
 
 
 
$1,456,500,000 (Approximate)
 
OPTION ONE MORTGAGE LOAN TRUST 2006-3
Issuing Entity
   
OPTION ONE MORTGAGE ACCEPTANCE CORPORATION
Depositor
 
OPTION ONE MORTGAGE CORPORATION
Originator, Sponsor and Servicer
 

ASSET-BACKED CERTIFICATES, SERIES 2006-3
 

Consider carefully the risk factors beginning on page S-14 in this prospectus supplement and on page 4 in the prospectus. The certificates represent obligations of the trust only and do not represent an interest in or obligation of Option One Mortgage Acceptance Corporation, Option One Mortgage Corporation 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 Class A and Mezzanine Certificates
 
·  
Represent ownership interests in a trust consisting primarily 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 or Freddie Mac loan limits
 
·  
Will accrue interest at a rate equal to one-month LIBOR plus a specified margin, subject to certain limitations described in this prospectus supplement.
 
·  
Will be entitled to monthly distributions beginning in November 2006.
 
Credit Enhancement
 
·  
Subordination as described in this prospectus supplement under “Description of the Certificates—Credit Enhancement.”
 
·  
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.”
 
·  
A primary mortgage insurance policy as described in this prospectus supplement under “Description of the Certificates—The Mortgage Insurance Policy.”
 
The Certificates will also have the benefit of an interest rate swap agreement as described in this prospectus supplement under “Description of the Certificates—Interest Rate Swap Agreement, the Swap Provider and the Supplemental Interest Trust.”
 
Class
Original Certificate Principal Balance
Pass-Through
Rate(1)(2)
Price to Public
Underwriting Discount
Proceeds to the Depositor(3)
Class I-A-1
$539,019,000
Variable
100.0000%
0.2000%
99.8000%
Class II-A-1
$278,254,000
Variable
100.0000%
0.2500%
99.7500%
Class II-A-2
$163,427,000
Variable
100.0000%
0.2500%
99.7500%
Class II-A-3
$121,682,000
Variable
100.0000%
0.2500%
99.7500%
Class II-A-4
60,868,000
Variable
100.0000%
0.2500%
99.7500%
Class M-1
76,500,000
Variable
100.0000%
0.2500%
99.7500%
Class M-2
73,500,000
Variable
100.0000%
0.2500%
99.7500%
Class M-3
25,500,000
Variable
100.0000%
0.2500%
99.7500%
Class M-4
27,000,000
Variable
100.0000%
0.2500%
99.7500%
Class M-5
$  24,750,000
Variable
100.0000%
0.2500%
99.7500%
Class M-6
18,000,000
Variable
100.0000%
0.2500%
99.7500%
Class M-7
18,750,000
Variable
100.0000%
0.2500%
99.7500%
Class M-8
12,000,000
Variable
100.0000%
0.2500%
99.7500%
Class M-9
17,250,000
Variable
100.0000%
0.2500%
99.7500%
___________________
(1) Determined as provided herein.
(2) Subject to increase after the optional termination date and subject to certain limitations described herein.
(3) Before deducting expenses estimated to be $800,000.

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 Class A and Mezzanine Certificates will be made in book-entry form through the facilities of The Depository Trust Company and upon request, through Clearstream Banking Luxembourg and the Euroclear Bank SA/NV on or about October 27, 2006.
 
 
 
 RBS GREENWICH CAPITAL
 BANC OF AMERICA SECURITIES LLC
(Joint Lead Managers and Joint Book-Runners)
 
 BARCLAYS CAPITAL 
 HSBC
 JPMORGAN
 LEHMAN BROTHERS
H&R BLOCK FINANCIAL ADVISORS INC.
(Co-Managers)
 
October 19, 2006
 





TABLE OF CONTENTS
 
PROSPECTUS SUPPLEMENT

SUMMARY OF TERMS
RISK FACTORS
AFFILIATIONS AND RELATED TRANSACTIONS
THE MORTGAGE POOL
STATIC POOL INFORMATION
THE ISSUING ENTITY
THE DEPOSITOR
THE ORIGINATOR AND SPONSOR
THE SELLERS
THE SERVICER
THE TRUSTEE
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
INDEX OF DEFINED TERMS
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 severally 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 severally 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 presents a brief description of 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 Class A and Mezzanine Certificates, read carefully this entire document and the accompanying prospectus. Annex I, Annex II and Annex III are each incorporated by reference in this prospectus supplement.
 
·  
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, Option One Mortgage Loan Trust 2006-3 will issue twenty 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 primarily of a pool of fixed-rate and adjustable-rate 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 Class A and Mezzanine 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 Bank SA/NV (in Europe) in minimum denominations of $25,000.
 
Other Certificates
 
The trust will issue six additional classes of certificates. These certificates will be designated as the Class M-10 Certificates, the Class M-11 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 accompanying prospectus. Any information about the other certificates presented in this prospectus supplement is presented only to provide a better understanding of the Offered Certificates.
 
The Class M-10 Certificates and the Class M-11 Certificates are subordinate to the Offered Certificates. The Class M-10 Certificates have an initial certificate principal balance of $18,750,000. The Class M-11 Certificates have an initial certificate principal balance of $15,000,000. The Class M-10 and Class M-11 Certificates will be sold by the Depositor to the Underwriters on the closing date.

The Class C Certificates will have an initial certificate principal balance of approximately $9,749,900 which is approximately equal to the initial overcollateralization required by the pooling agreement. The Class C Certificates initially evidence an interest of approximately 0.65% in the trust. The Class C Certificates will be delivered to the Sponsor, or its designee, as partial consideration for the sale of 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 all prepayment premiums or charges received in respect of the mortgage loans. The Class P Certificates will be delivered to the Sponsor, or its designee, as partial consideration for the sale of the mortgage loans.
 
The Class R Certificates and Class R-X Certificates will not have original certificate principal balances and are the classes of certificates representing the residual interests in the related REMICS. The Class R Certificates and the Class R-X Certificates will be delivered to the sponsor, or its designee, as partial consideration for the sale of the mortgage loans.
 
We refer you to “Description of the Certificates— General,” “—Book-Entry Certificates” and “The Mortgage Pool” in this prospectus supplement for additional information.
 
Closing Date
 
On or about October 27, 2006.
 
Cut-off Date
 
October 1, 2006.
 
Subsequent Cut-off Date
 
For mortgage loans to be purchased by the Trustee on behalf of the trust after the Closing Date, the later of the first day of the month in which such purchase will take place and the origination date of such mortgage loan.
 
Issuing Entity
 
Option One Mortgage Loan Trust 2006-3. The issuing entity will be established under a pooling agreement among Option One Mortgage Acceptance Corporation, as depositor, Option One Mortgage Corporation, as servicer and Wells Fargo Bank, N.A., as trustee. The issuing entity is also referred to as the trust in this prospectus supplement.
 
Depositor
 
Option One Mortgage Acceptance Corporation, a Delaware corporation and a direct or indirect wholly-owned subsidiary of Option One Mortgage Corporation. We refer you to “The Depositor” in this prospectus supplement for additional information.
 
Originator, Sponsor and Servicer
 
Option One Mortgage Corporation, a California corporation. We refer you to “The Originator and Sponsor” and “The Servicer” in this prospectus supplement and “Servicing of the Mortgage Loans - The Servicer” in the prospectus for additional information.
 
Seller
 
Any or all of (i) Option One Mortgage Corporation, a California corporation, (ii) Option One Mortgage Capital Corporation, a Delaware corporation, or (iii) Option One Owner Trust 2001-1A, Option One Owner Trust 2001-1B, Option One Owner Trust 2001-2, Option One Owner Trust 2002-3, Option One Owner Trust 2003-4, Option One Owner Trust 2003-5, Option One Owner Trust 2005-6, Option One Owner Trust 2005-7, Option One Owner Trust 2005-8 and/or Option One Owner Trust 2005-9, each a Delaware statutory trust that previously acquired mortgage loans directly or indirectly from the depositor.  We refer you to “The Sellers” in this prospectus supplement for additional information.
 
Trustee and Custodian
 
Wells Fargo Bank, N.A., a national banking association. We refer you to “The Trustee” in this prospectus supplement for additional information.
 
NIMS Insurer
 
One or more insurance companies (together, the “NIMS Insurer”) may issue a financial guaranty insurance policy covering certain payments to be made on net interest margin securities to be issued by a separate trust and secured by all or a portion of the Class C Certificates and the Class P Certificates. In such event, the NIMS Insurer will be able to exercise rights which could adversely impact the certificateholders.
 
We refer you to “Risk Factors—Rights of NIMS Insurer” in this prospectus supplement for additional information.
 
PMI Insurer
 
Mortgage Guaranty Insurance Corporation, a Wisconsin stock insurance corporation. We refer you to “Description of the Certificates—The Mortgage Insurance Policy” 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
 
Class A Certificates and Mezzanine Certificates (other than the Class M-10 Certificates and the Class M-11 Certificates).
 
·  
Non-Offered Certificates
 
Class M-10 Certificates, Class M-11 Certificates, Class C Certificates, Class P Certificates, Class R Certificates and Class R-X 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 receive their distributions from Loan Group I. The Group I Certificates are sometimes 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 receive their distributions from Loan Group II. The Group II Certificates are sometimes collectively referred to as Certificate Group II.
 
·  
Class A 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, Class M-9 Certificates, Class M-10 Certificates and Class M-11 Certificates.
 
·  
Subordinate Certificates
 
Mezzanine Certificates and Class C Certificates.
 
·  
Residual Certificates
 
Class R Certificates and Class R-X Certificates.
 
Mortgage Loans
 
On the Closing Date the trust will acquire a pool of first and second lien fixed-rate and adjustable-rate mortgage loans that 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 principal balance guidelines 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 or Freddie Mac principal balance guidelines.
 
Loan Group I will consist of approximately 2,680 initial fixed-rate and adjustable-rate mortgage loans having an aggregate outstanding principal balance as of the Cut-off Date of approximately $463,373,714 (the “Initial Group I Mortgage Loans”), additional fixed-rate and adjustable-rate mortgage loans that have principal balances that conform to Fannie Mae and Freddie Mac loan limits at origination included in Loan Group I on the Closing Date (the “Additional Group I Mortgage Loans ”) and any subsequent fixed-rate and adjustable-rate mortgage loans that have principal balances that conform to Fannie Mae and Freddie Mac loan limits at origination included in Loan Group I after the Closing Date (the “Subsequent Group I Mortgage Loans”; and together with the Initial Group I Mortgage Loans and the Additional Group I Mortgage Loans, the “Group I Mortgage Loans”).
 
Loan Group II will consist of approximately 2,395 initial fixed-rate and adjustable-rate mortgage loans having an aggregate outstanding principal balance as of the Cut-off Date of approximately $536,626,311 (the “Initial Group II Mortgage Loans”), additional first and second lien, fixed-rate and adjustable-rate mortgage loans that have principal balances that may or may not conform to Fannie Mae or Freddie Mac loan limits at origination included in Loan Group II on the Closing Date (the “Additional Group II Mortgage Loans”; together with the Additional Group I Mortgage Loans, the “Additional Mortgage Loans”; and together with the Initial Mortgage Loans, the “Closing Date Mortgage Loans”) and any subsequent first and second lien, fixed-rate and adjustable-rate mortgage loans that have principal balances that may or may not conform to Fannie Mae or Freddie Mac loan limits at origination included in Loan Group II after the Closing Date (the “Subsequent Group II Mortgage Loans”; together with the Initial Group II Mortgage Loans and the Additional Group II Mortgage Loans, the “Group II Mortgage Loans”; and together with the Group I Mortgage Loans, the “Mortgage Loans”).
 
The aggregate principal balance of the Closing Date Mortgage Loans is expected to equal approximately $1,100,000,000. (the “Closing Date Mortgage Loans”).
 
The statistical information in this prospectus supplement reflects the characteristics of the Initial Mortgage Loans included in the mortgage pool 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 Initial 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 Closing Date Mortgage Loans may therefore vary somewhat from the statistical information for the Initial Mortgage Loans presented in this prospectus supplement. Any statistic presented on a weighted average basis or any statistic based on the aggregate principal balance of the mortgage loans is subject to a variance of plus or minus 5%.
 
The Initial 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):
 
Mortgage Loans with Prepayment Charges:
70.02%
Fixed-Rate Mortgage Loans:
1.10%
60 Month Interest Only Mortgage Loans:
2.96%
Second lien Mortgage Loans:
1.10%
Range of Remaining Term to Stated Maturities:
175 - 360 months
Weighted Average Remaining Term to Stated Maturity:
358 months
Range of Original Principal Balances:
$15,052 - $733,500
Average Original Principal Balance:
$173,037
Range of Outstanding Principal Balances:
$15,032 - $732,882
Average Outstanding Principal Balance:
$172,901
Range of Current Mortgage Rates:
5.700% - 12.950%
Weighted Average Current Mortgage Rate:
8.891%
Weighted Average Gross Margin of the Adjustable-Rate Mortgage Loans:
6.177%
Weighted Average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans:
14.843%
Weighted Average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans:
8.860%
Weighted Average Initial Periodic Rate Adjustment Cap of the Adjustable-Rate Mortgage Loans:
2.987%
Weighted Average Subsequent Periodic Rate Adjustment Cap of the Adjustable-Rate Mortgage Loans:
1.001%
Weighted Average Time Until Next Adjustment Date of the Adjustable-Rate Mortgage Loans:
25 months
Balloon Loans:
40.10%
Geographic Concentrations in Excess of 5%:
 
California
Florida
New York
Massachusetts
Texas
13.51%
12.75%
7.75%
7.18%
6.62%

The Initial 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):
 
Mortgage Loans with Prepayment Charges:
74.05%
Fixed-Rate Mortgage Loans:
6.51%
60 Month Interest Only Mortgage Loans:
18.17%
Second lien Mortgage Loans:
6.54%
Range of Remaining Term to Stated Maturities:
179 - 360 months
Weighted Average Remaining Term to Stated Maturity:
358 months
Range of Original Principal Balances:
$15,040 - $2,171,000
Average Original Principal Balance:
$224,224
Range of Outstanding Principal Balances:
$15,020 - $2,166,816
Average Outstanding Principal Balance:
$224,061
Range of Current Mortgage Rates:
5.700% - 14.850%
Weighted Average Current Mortgage Rate:
8.643%
Weighted Average Gross Margin of the Adjustable-Rate Mortgage Loans:
6.122%
Weighted Average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans:
14.372%
Weighted Average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans:
8.351%
Weighted Average Initial Periodic Rate Adjustment Cap of the Adjustable-Rate Mortgage Loans:
2.979%
Weighted Average Subsequent Periodic Rate Adjustment Cap of the Adjustable-Rate Mortgage Loans:
1.001%
Weighted Average Time Until Next Adjustment Date of the Adjustable-Rate Mortgage Loans:
25 months
Balloon Loans:
36.12%
Geographic Concentrations in Excess of 5%:
 
California
Florida
Texas
New York
Massachusetts
31.51%
9.48%
8.97%
8.36%
5.64%

Distribution Dates
 
The Trustee will make distributions on the certificates on the 25th day of each calendar month beginning in November 2006 (each, a “Distribution Date”) (i) to the holder of record of the certificates as of the business day preceding such date of distribution, in the case of the Class A and Mezzanine Certificates if held in book-entry form, or (ii) to the holder of record of the certificates as of the last business day of the month immediately preceding the month in which the distribution occurs, in the case of the Class A and Mezzanine Certificates if 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 Class A and Mezzanine Certificates will be the Distribution Date in February 2037. The final scheduled Distribution Date for the Class A and Mezzanine Certificates is one month following the maturity date for the latest maturing Mortgage Loan. The actual final Distribution Date for the Class A Certificates and Mezzanine Certificates may be earlier or later, and could be substantially earlier, than the final scheduled Distribution Date.
 
Distributions on the Certificates
 
Interest Distributions
 
The pass-through rates for the Class A and Mezzanine Certificates will be calculated at the per annum rate of one-month LIBOR plus the related percentage as set forth below, subject to the limitations set forth in this prospectus supplement.
 
Class
(1)
(2)
I-A-1
0.140%
0.280%
II-A-1
0.040%
0.080%
II-A-2
0.100%
0.200%
II-A-3
0.140%
0.280%
II-A-4
0.220%
0.440%
M-1
0.230%
0.345%
M-2
0.290%
0.435%
M-3
0.340%
0.510%
M-4
0.400%
0.600%
M-5
0.420%
0.630%
M-6
0.470%
0.705%
M-7
0.850%
1.275%
M-8
1.000%
1.500%
M-9
2.100%
3.150%
M-10
2.500%
3.750%
M-11
2.500%
3.750%
__________
(1) For the accrual period for each Distribution Date up to and including the Optional Termination Date, as defined in this prospectus supplement under “The Pooling Agreement—Termination.”
(2) For each other accrual period.
 
 
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 Class A and Mezzanine 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 Class A and Mezzanine Certificates on the basis of the actual number of days in the accrual period, based on a 360-day year.
 
The Class A and Mezzanine Certificates will accrue interest on their certificate principal balance 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.
 
Principal Distributions
 
Principal will be distributed to holders of the Class A and Mezzanine Certificates on each Distribution Date in the amounts described herein under “Description of the Certificates—Allocation of Available Funds.”
 
Distribution Priorities
 
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 herein.
 
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 to the extent described herein.
 
Mezzanine 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 Group I and Group II Certificates described above will be distributed as follows:
 
Interest Distributions
to distribute interest on the Mezzanine Certificates, but only in the order of priority, amounts and to the extent described herein; and
 
Principal Distributions
to distribute principal on the Mezzanine Certificates, but only in the order of priority, amounts and to the extent described herein.
 
We refer you to “Description of the Certificates” 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.
 
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 Class A and Mezzanine Certificates and affecting the weighted average lives of such certificates. The Stepdown Date is the earlier to occur of (1) the first Distribution Date after the Distribution Date on which the aggregate certificate principal balance of the Class A Certificates has been reduced to zero and (2) the later of (x) the Distribution Date occurring in November 2009 and (y) the first Distribution Date on which the subordination available to the Class A 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” and “—Definitions” in this prospectus supplement for additional information.
 
Fees and Expenses
 
Before distributions are made on the certificates, the following fees and expenses will be payable: (i) the Servicer will be paid a monthly fee equal to one-twelfth of 0.30% multiplied by the aggregate principal balance of the Mortgage Loans as of the first day of the related due period for the first 10 due periods, 0.40% multiplied by the aggregate principal balance of the Mortgage Loans as of the first day of the related due period for the 11th through the 30th due periods and 0.65% multiplied by the aggregate principal balance of the Mortgage Loans as of the first day of the related due period for all due periods thereafter, (ii) the Trustee will be paid a monthly fee equal to one-twelfth of 0.0030% multiplied by the aggregate principal balance of the Mortgage Loans as of the first day of the related due period and (iii) the PMI Insurer will be paid a monthly fee equal to one-twelfth of 1.00% multiplied by the aggregate principal balance of the PMI Mortgage Loans (as defined herein) as of the first day of the related due period. The servicing fee will be payable from amounts on deposit in the collection account and the trustee fee and the PMI Insurer Fee will be payable from amounts on deposit in the distribution account.
 
The Swap Provider is generally entitled to a monthly payment calculated as one-twelfth of the Strike Rate on the Swap Notional 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 Swap Notional 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 shall 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 or recoveries on the Mortgage Loans. Advances are intended to maintain a regular flow of scheduled interest and principal distributions on the certificates and are not intended to guarantee or insure against losses.
 
We refer you to “The Pooling Agreement—Advances” in this prospectus supplement and “Description of the Certificates—Advances” in the prospectus for additional information.
 
Interest Coverage Accounts
 
On the Closing Date, the Depositor may pay to the Trustee for deposit in one or more interest coverage accounts, amounts specified in the pooling agreement. Funds on deposit in the interest coverage accounts, if any, will be applied by the Trustee to cover shortfalls in the amount of interest generated by the Mortgage Loans.
 
We refer you to “Description of the Certificates —Interest Coverage Account” in this prospectus supplement for additional information.
 
Pre-Funding Accounts
 
On or before January 23, 2007, the Depositor may sell and the Trustee will be obligated to purchase, on behalf of the trust, Subsequent Group I Mortgage Loans and Subsequent Group II Mortgage Loans to be included in the mortgage pool.
 
On the Closing Date, the Depositor will pay to the Trustee (i) an amount equal to approximately $185,349,481, which will be held by the Trustee in a pre-funding account (the “Group I Pre-Funding Account”) and (ii) an amount equal to approximately $214,650,519, which will be held by the Trustee in a pre-funding account (the “Group II Pre-Funding Account”; together with the Group I Pre-Funding Account, the “Pre-Funding Accounts”). The amount on deposit in the Pre-Funding Accounts will be reduced by the amount thereof used to purchase Subsequent Mortgage Loans for the related Loan Group during the period from the Closing Date up to and including January 23, 2007. Any amounts remaining in the Pre-Funding Accounts after January 23, 2007 will be distributed as principal on the next Distribution Date to the holders of the related Class A Certificates.
 
We refer you to “The Mortgage Pool—Conveyance of Additional Mortgage Loans and Subsequent Mortgage Loans and the Pre-Funding Accounts” and “Description of the Certificates—Mandatory Principal Distributions on Class A Certificates” in this prospectus supplement for additional information.
 
Optional Termination
 
The Servicer may purchase all of the Mortgage Loans and any REO Properties in both Loan Groups and retire the certificates when the current principal balance of the Mortgage Loans in both Loan Groups, in the aggregate, is equal to or less than 10% of the sum of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the aggregate amount on deposit in the Pre-Funding Accounts on the Closing Date. If the Servicer elects not to exercise its option, the NIMS Insurer may exercise that option.
 
We refer you to “The Pooling Agreement— Termination” and “Description of the Certificates —Pass-Through Rates” in this prospectus supplement and “The Pooling Agreement —Termination; Retirement of Certificates” in the prospectus for additional information.
 
Repurchase or Substitution of Mortgage Loans For Breaches of Representations and Warranties
 
The sponsor and Option One Mortgage Capital Corporation will make certain representations and warranties with respect to each mortgage loan as of the closing date. Upon discovery of a breach of such representations and warranties that materially and adversely affects the interests of the certificateholders, either Option One Mortgage Capital Corporation or the sponsor will be obligated to cure such breach, or otherwise repurchase or replace such mortgage loan.
 
We refer you to “The Pooling 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 Class A Certificates.
 
The rights of the holders of Mezzanine Certificates with higher numerical class designations to receive distributions will be subordinated to the rights of the holders of the Mezzanine Certificates with lower numerical class designations. The rights of the holders of 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 —Credit Enhancement” in this prospectus supplement for additional information.
 
2.  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 Class A and Mezzanine 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.
 
3.  Overcollateralization
 
As of the Closing Date, the sum of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the original pre-funded amounts will exceed the aggregate certificate principal balance of the Class A, Mezzanine and Class P Certificates on the Closing Date by approximately $9,749,900, which is equal to the initial certificate principal balance of the Class C Certificates. Such amount represents approximately 0.65% of the sum of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the original pre-funded amounts, and is the initial amount of overcollateralization 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.
 
4.  Primary Mortgage Insurance
 
Approximately 16.89% of the Initial Group I Mortgage Loans and approximately 10.98% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date), will be covered by a primary mortgage insurance policy issued by the PMI Insurer. However, such policy will provide only limited protection against losses on defaulted Mortgage Loans covered by the policy.

We refer you to “Description of the Certificates—The Mortgage Insurance Policy” in this prospectus supplement for additional information.
 
5.  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,” then realized losses on the Mortgage Loans will be allocated to reduce the certificate principal balance of each class of Mezzanine Certificates, in reverse numerical order until the certificate principal balance of each such class has been reduced to zero. The pooling agreement does not permit the allocation of realized losses on the Mortgage Loans to the Class A Certificates or the Class P Certificates; however investors in the Class A Certificates should realize that under certain loss scenarios there may not be enough interest and principal on the Mortgage Loans to distribute to the Class A Certificates all interest and principal amounts to which such certificates are then entitled.
 
Once realized losses are allocated to the Mezzanine Certificates such realized losses will not be reinstated thereafter (except to the extent of Subsequent Recoveries) and will not bear interest. However, the amount of any realized losses allocated to the Mezzanine Certificates may be distributed to the holders of those certificates according to the priorities set forth under “Description of the Certificates—Overcollateralization Provisions” and “Description of the Certificates—Interest Rate Swap Agreement, the Swap Provider and the Supplemental Interest Trust” in this prospectus supplement.
 
We refer you to “Description of the Certificates—Allocation of Losses; Subordination” in this prospectus supplement for additional information.
 
Interest Rate Swap Agreement
 
Wells Fargo Bank, N.A., as supplemental interest trust trustee (the “Supplemental Interest Trust Trustee”), will enter into an interest rate swap agreement (the “Interest Rate Swap Agreement”), with a swap provider. The Supplemental Interest Trust Trustee will appoint Wells Fargo Bank, N.A. as swap administrator (the “Swap Administrator”) pursuant to the swap administration agreement to receive and distribute funds with regard to the Interest Rate Swap Agreement on behalf of the supplemental interest trust, whether payable by or to the swap provider pursuant to the Interest Rate Swap Agreement. On or before each Distribution Date commencing with the Distribution Date in December 2006 and ending with the Distribution Date in August 2012, the Supplemental Interest Trust Trustee will be obligated to make a fixed payment to the swap provider, and the swap provider will be obligated to make a floating payment to the Supplemental Interest Trust Trustee, in each case as set forth in the Interest Rate Swap Agreement and as described in this prospectus supplement. To the extent that the fixed payment exceeds the floating payment in respect of any Distribution Date, amounts otherwise available to the certificateholders will be applied to make a net payment to the Swap Administrator for payment to the swap provider. To the extent that the floating payment exceeds the fixed payment in respect of any Distribution Date, the swap provider will make a net swap payment to the Swap Administrator, from which the Swap Administrator, pursuant to the swap administration agreement, will remit certain amounts to the trust for distribution to holders of the Class A and Mezzanine Certificates as described in this prospectus supplement.
 
Upon early termination of the Interest Rate Swap Agreement, the Supplemental Interest Trust Trustee or the swap provider may be liable to make a swap termination payment to the other party, regardless of which party has 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 Swap Administrator is required to make a swap termination payment to the swap provider, the trust will be required to make a payment to the Swap Administrator in the same amount (to the extent not paid by the Swap Administrator from any upfront payment received pursuant to any replacement interest rate swap agreement that may be entered into by the Supplemental Interest Trust Trustee). Such amount generally will be paid by the trust on the related Distribution Date and on any subsequent Distribution Dates until paid in full, prior to any distribution to the holders of the Class A and Mezzanine Certificates. In the case of swap termination payments resulting from an event of default or certain termination events with respect to the swap provider as described in this prospectus supplement, however, the trust’s payment to the Swap Administrator will be subordinated to all distributions to the holders of the Class A and Mezzanine Certificates.
 
Except as described in the preceding sentence, amounts payable by the trust will be deducted from available funds before distributions to certificateholders.
 
We refer you to “Description of the Certificates—Interest Rate Swap Agreement, the Swap Provider and the Supplemental Interest Trust” in this prospectus supplement.
 
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
Aa1
AA+
M-2
Aa2
AA
M-3
Aa3
AA-
M-4
A1
A+
M-5
A2
A
M-6
A3
A-
M-7
Baa1
BBB+
M-8
Baa1
BBB
M-9
Baa2
BBB-
 
A security rating is not a recommendation to buy, sell or hold securities. 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 “Rating” 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 Interest Rate Swap Agreement, the Swap Account, the Supplemental Interest Trust, the Interest Coverage Accounts, the Pre-funding Accounts, if any, the Net WAC Rate Carryover Reserve Account, any subsequent mortgage loan interest 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 in the prospectus for additional information.
 
Considerations for Benefit Plan Investors
 
After the expiration of the Funding Period, it is expected that the Class A and Mezzanine Certificates (other than the Class M-10 and Class M-11 Certificates) may be purchased by a pension or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended, or Section 4975 of the Internal Revenue Code of 1986, as amended, so long as certain conditions are met. Prior to the termination of the Supplemental Interest Trust, plans or persons using assets of a plan may purchase the Class A and Mezzanine Certificates (other than the Class M-10 and Class M-11 Certificates) if the purchase and holding of such certificates meets the requirements of an investor-based class exemption issued by the Department of Labor. No plan or person using assets of a plan may purchase any Certificates until after expiration of the Funding Period. 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 prohibited transaction under applicable law.
 
We refer you to “Considerations for Benefit Plan Investors” in this prospectus supplement and in the prospectus for additional information.
 
Legal Investment
 
The Class A and Mezzanine Certificates will not be “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 “Legal Investment Matters” 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 Class A and Mezzanine 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, those Mortgage Loans are more likely to prepay than if prevailing rates remain above the mortgage rates on those 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 the mortgage pool may increase the difficulty in analyzing possible prepayment rates.
 
·  
Approximately 70.02% of the Initial Group I Mortgage Loans and approximately 74.05% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date) require the mortgagor to pay a 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.
 
·  
Either Option One Mortgage Capital Corporation or the Sponsor may be required to repurchase Mortgage Loans from the trust in the event certain breaches of representations and warranties occur and have not been cured. In addition, the NIMS Insurer, if any, or the Servicer, may purchase or repurchase Mortgage Loans that become 90 days or more delinquent, subject to certain limitations and conditions described in this prospectus supplement and the pooling agreement. In addition, the Servicer may agree to exercise such option as directed by a third party which would benefit from the removal of such delinquent mortgage loans. Investors should note that the removal of any delinquent mortgage loan by the Servicer from the trust may affect the loss and delinquency tests which determine the level of the overcollateralization target amount. The reduction in an overcollateralization target amount in such a fashion may adversely affect the ratings and/or the market value of the Class A and Mezzanine Certificates. Any such third party will not have any obligation to take into account the consequences to investors. These purchases will have the same effect on the holders of the Class A and Mezzanine Certificates as a prepayment of those Mortgage Loans.
 
·  
The Servicer (or if the Servicer elects not to exercise its option, the NIMS Insurer, if any) may purchase all of the Mortgage Loans when the aggregate principal balance of the Mortgage Loans in both Loan Groups is equal to or less than 10% of the sum of the aggregate principal balance of the Closing Date Mortgage Loans in both Loan Groups as of the Cut-off Date and amounts on deposit in the Pre-Funding Accounts on the Closing 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 and overcollateralization and amounts received under the Interest Rate Swap Agreement, each as described herein and the availability of the PMI Policy (which will provide limited coverage on some of the Mortgage Loans), liquidations of defaulted Mortgage Loans, whether or not realized losses are allocated to the Mezzanine Certificates upon such liquidations, will result in an earlier return of principal to the Class A and Mezzanine Certificates and will influence the yields on such certificates in a manner similar to the manner in which principal prepayments on the Mortgage Loans will influence the yields on those certificates.
 
·  
The overcollateralization provisions are intended to result in an accelerated rate of principal distributions to holders of the Class A and Mezzanine Certificates then entitled to principal distributions at any time that the overcollateralization provided by the mortgage pool falls below the required level. In addition, if the Group I and Group II Certificates are entitled to distributions of principal at any time that overcollateralization is required to be restored to the required level, then the amounts available for such purpose will be allocated between the Group I Certificates and the Group II Certificates on a pro rata basis based on the amount of principal actually received on the Mortgage Loans in the related Loan Group for the related Distribution Date. 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.
 
Rights of the NIMS Insurer
 
Pursuant to the terms of the pooling agreement, unless there exists a continuance of any failure by the NIMS Insurer, if any, to make a required payment under the policy insuring the net interest margin securities (such event, a “NIMS Insurer Default”), such NIMS Insurer will be entitled to exercise, among others, the following rights of the holders of the Class A and Mezzanine Certificates, without the consent of such holders, and the holders of the Class A and Mezzanine Certificates may exercise such rights only with the prior written consent of such NIMS Insurer: (i) the right to provide notices of Servicer defaults and the right to direct the Trustee to terminate the rights and obligations of the Servicer under the pooling agreement in the event of a default by the Servicer; (ii) the right to remove the Trustee or any co-trustee or custodian pursuant to the pooling agreement; and (iii) the right to direct the Trustee to make investigations and take actions pursuant to the pooling agreement. In addition, unless a NIMS Insurer Default exists, such NIMS Insurer’s consent will be required prior to, among other things, (i) the removal or replacement of the Servicer, any successor servicer or the Trustee, (ii) the appointment or termination of any subservicer or co-trustee or (iii) any amendment to the pooling agreement.
 
Investors in the Class A and Mezzanine Certificates should note that:
 
·  
any insurance policy issued by the NIMS Insurer, if any, will not cover, and will not benefit in any manner whatsoever, the Class A and Mezzanine Certificates;
 
·  
the rights to be granted to the NIMS Insurer, if any, are extensive;
 
·  
the interests of the NIMS Insurer, if any, may be inconsistent with, and adverse to the interests of the holders of the Class A and Mezzanine Certificates and the NIMS Insurer, if any, has no obligation or duty to consider the interests of the Class A and Mezzanine Certificates in connection with the exercise or nonexercise of such NIMS Insurer’s rights;
 
·  
such NIMS Insurer’s exercise of the rights and consents set forth above may negatively affect the Class A and Mezzanine Certificates and the existence of such NIMS Insurer’s rights, whether or not exercised, may adversely affect the liquidity of the Class A and Mezzanine Certificates relative to other asset-backed certificates backed by comparable mortgage loans and with comparable payment priorities and ratings; and
 
·  
there may be more than one series of notes insured by the NIMS Insurer and the NIMS Insurer will have the rights set forth herein so long as any such series of notes remain outstanding.
 
Conflicts of Interest between the Servicer and the Trust
 
The Servicer will initially, directly or indirectly, own all or a portion of the Class C Certificates, the Class P Certificates and the Residual Certificates. The timing of mortgage loan foreclosures and sales of the related mortgaged properties may affect the weighted average lives and yields of the Class A and Mezzanine Certificates.
 
Investors should consider that the timing of such foreclosures or sales may not be in the best interests of all certificateholders and that no formal policies or guidelines have been established to resolve or minimize such a conflict of interest.
 
Terrorist Attacks and Military Action Could Adversely Affect the Yield on the Certificates
 
The terrorist attacks in the United States on September 11, 2001 suggest that there is an increased likelihood of future terrorist activity in the United States. In addition, current political and military tensions 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 standard set forth in the pooling agreement, the Servicer may defer, reduce or forgive payments and delay foreclosure proceedings in respect of Mortgage Loans to borrowers affected in some way by past and possible future events.
 
In addition, the current deployment of United States military personnel in the Middle East and the activation of a substantial number of United States military reservists and members of the National Guard may significantly increase the proportion of Mortgage Loans whose mortgage rates are reduced by the application of the Servicemembers Civil Relief Act (the “Relief Act”). See “Certain Legal Aspects of Mortgage Loans— Servicemembers Civil Relief Act” in the prospectus. Certain shortfalls in interest collection arising from the application of the Relief Act or any state law providing for similar relief will not be covered by the servicer or any subservicer.
 
Delinquency Status of the Mortgage Loans
 
None of the Initial Group I Mortgage Loans and none of the Initial Group II Mortgage Loans (by aggregate principal balance of the Initial Group II Mortgage Loans as of the Cut-off Date) are 30-59 days delinquent as of September 30, 2006. However, with respect to approximately 78.55% of the Initial Group I Mortgage Loans and approximately 74.39% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the cut-off date), the first payment on the Mortgage Loans is due on or after September 1, 2006 and such Mortgage Loans could not have been 30-59 days delinquent as of September 30, 2006. A mortgage loan is considered to be delinquent when a payment due on any due date remains unpaid as of the close of business on the next scheduled due date. As of the result of the inclusion of delinquent mortgage loans, the mortgage pool may bear more risk than a pool of mortgage loans without any delinquencies but with otherwise comparable characteristics. It is possible that a delinquent mortgage loan will not ever become current or if it does become current, that the mortgagor may become delinquent again. Investors should also note that certain of the Mortgage Loans will have a first payment date occurring after the Cut-off Date and, therefore, such Mortgage Loans could not have been delinquent in any monthly payment as of the Cut-off Date.
 
Investors should also see the tables titled “Historical Delinquency of the Mortgage Loans”, “Historical Delinquency of the Initial Group I Mortgage Loans” and “Historical Delinquency of the Initial Group II Mortgage Loans.”
 
Second Lien Loan Risk
 
Approximately 1.10% of the Initial Group I Mortgage Loans and approximately 6.54% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date) are secured by second liens on the related mortgaged properties. The proceeds from any liquidation, insurance or condemnation proceedings will be available to satisfy the outstanding balance of such Mortgage Loans only to the extent that the claims of the related senior mortgages have been satisfied in full, including any related foreclosure costs. In circumstances when it has been determined to be uneconomical to foreclose on the mortgaged property, the 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 original 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. See “Risk Factors” in the prospectus.
 
Interest Only Mortgage Loans
 
Approximately 2.96% of the Initial Group I Mortgage Loans and approximately 18.17% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date), require the borrowers to make monthly payments only of accrued interest for the first 60 months following origination. After such interest-only period, the borrower’s monthly payment will be recalculated to cover both interest and principal so that the Mortgage Loan will amortize fully prior to its final payment date. Interest only loans are relatively new to the non-prime mortgage sector. As a result, the long-term performance characteristics of these loans are largely unknown. 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 60 months 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 Class A and Mezzanine Certificates that are purchased at a discount. Investors should consider the fact that interest-only mortgage loans reduce the monthly payment required by borrowers during the interest-only period and consequently the monthly housing expense used to qualify borrowers. As a result, the interest-only mortgage loans may allow some borrowers to qualify for a mortgage loan who would not otherwise qualify for a fully amortizing mortgage loan or may allow them to qualify for a larger mortgage loan than otherwise would be the case.
 
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 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 Class A and Mezzanine Certificates
 
The credit enhancement features described in this prospectus supplement are intended to enhance the likelihood that holders of the Class A Certificates, and to a limited extent, the holders of the Mezzanine 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 distribute to 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.
 
A decline in real estate values or in economic conditions generally could increase the rates of delinquencies, foreclosures and losses on the Mortgage Loans to a level that is significantly higher than those experienced currently. This in turn will reduce the yield on your certificates, particularly if the credit enhancement described in this prospectus supplement, is not enough to protect your certificates from these losses.
 
Although loan-level primary mortgage insurance coverage has been acquired on behalf of the trust from the PMI Insurer with respect to approximately 16.89% of the Initial Group I Mortgage Loans and approximately 10.98% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date), such coverage will provide only limited protection against losses on defaulted Mortgage Loans covered by the policy. Following the addition of the Additional Mortgage Loans and the Subsequent Mortgage Loans, each Loan Group will contain a percentage of Mortgage Loans covered by the PMI Policy as set forth under “The Mortgage Pool—Conveyance of Additional Mortgage Loans, Subsequent Mortgage Loans and the Pre-Funding Accounts.” Unlike a financial guaranty policy, coverage under the mortgage insurance policy is subject to certain limitations and exclusions including, for example, losses resulting from fraud. As a result, coverage may be denied or limited on some Mortgage Loans. In addition, since the amount of coverage depends on the loan-to-value ratio at the inception of the policy, a decline in the value of a mortgaged property will not result in increased coverage, and the trust may still suffer a loss on a covered Mortgage Loan. The PMI Insurer also may affect the timing and conduct of foreclosure proceedings and other servicing decisions regarding defaulted Mortgage Loans covered by the policy.
 
The PMI Policy will cover accrued interest on the related mortgage loan only to the date a claim is filed and not to the date the claim is paid. A claim is not required to be paid until 60 days after the PMI Insurer receives a fully completed claim. Although the Servicer will be obligated to make advances during that period (to the extent the advances are determined to be recoverable), reimbursement of those advances upon payment of the claim will reduce the amount of the recovery available for distribution to certificateholders. The PMI Policy may be terminated for failure to pay premiums or if the PMI Insurer is no longer qualified under state law to write the insurance provided by the PMI Policy.
 
Interest Generated by the Mortgage Loans May Be Insufficient to Maintain Overcollateralization
 
The weighted average of the mortgage rates on the Mortgage Loans (net of certain fees and expenses, including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment, other than a Swap Termination Payment resulting from a Swap Provider Trigger Event) is expected to be higher than the weighted average of the pass-through rates on the Class A and Mezzanine Certificates. The Mortgage Loans are expected to generate more interest than is needed to distribute interest owed on the Class A and Mezzanine Certificates and to pay certain fees and expenses of the trust (including the Net Swap Payment, if any, or any Swap Termination Payment owed to the Swap Provider other than any Swap Termination Payment resulting from a Swap Provider Trigger Event). 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 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 or in part, 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 Class A and Mezzanine 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 Class A and Mezzanine Certificates. In addition, the first adjustment of the mortgage rates for approximately 88.79% of the adjustable-rate Initial Group I Mortgage Loans and approximately 91.03% of the adjustable-rate Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate Initial Mortgage Loans in the related Loan Group as of the Cut-off Date) will occur two years after the date of origination; the first adjustment of the mortgage rates for approximately 3.32% of the adjustable-rate Initial Group I Mortgage Loans and approximately 2.03% of the adjustable-rate Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate Initial Mortgage Loans in the related Loan Group as of the Cut-off Date) will occur three years after the date of origination; the first adjustment of the mortgage rates for approximately 7.86% of the adjustable-rate Initial Group I Mortgage Loans and approximately 6.91% of the adjustable-rate Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate Initial Mortgage Loans in the related Loan Group as of the Cut-off Date) will occur five years after the date of origination and the first adjustment of the mortgage rates for approximately 0.02% of the adjustable-rate Initial Group I Mortgage Loans and approximately 0.03% of the adjustable-rate Initial Group II Mortgage Loans (by aggregate principal balance of the adjustable-rate Initial Mortgage Loans in the related Loan Group as of the Cut-off Date) will occur fifteen years after the date of origination. As a result, the pass-through rates on the Class A and Mezzanine 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, this would require that more of the interest generated by the Mortgage Loans be applied to cover interest on the Class A and Mezzanine Certificates.
 
·  
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 amount of excess interest generated by the Mortgage Loans will be less than would otherwise be the case.
 
Effect of Mortgage Rates on the Pass-Through Rates
 
The Class A and Mezzanine Certificates accrue interest at pass-through rates based on a one-month LIBOR index plus a specified margin, but such pass-through rates are subject to a limit. The limit on the pass-through rates on the Class A and Mezzanine Certificates is based on the weighted average of the mortgage rates on the Mortgage Loans net of certain fees and expenses of the trust (including the Net Swap Payment, if any, or any Swap Termination Payment owed to the Swap Provider other than a Swap Termination Payment due to a Swap Provider Trigger Event). As a result of the limit on the pass-through rates on the Class A and Mezzanine 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.
 
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 will have the first adjustment to their mortgage rates generally two years, three years, five years or fifteen years after the origination thereof. The fixed-rate Mortgage Loans have mortgage rates that will not adjust.
 
A variety of factors could limit the pass-through rates and adversely affect the yields to maturity on the Class A and Mezzanine Certificates. Some of these factors are described below.
 
·  
The pass-through rates for the Class A and Mezzanine Certificates may 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, the adjustable-rate Mortgage Loans will have the first adjustment to their mortgage rates generally two years, three years, five years or fifteen years following their origination. Consequently, the limit on the pass-through rates on the Class A and Mezzanine 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 Class A and Mezzanine Certificates are more likely to be limited. Furthermore, any reductions of the mortgage rates on the Rate Reduction Mortgage Loans (as defined herein), will cause a reduction of the weighted average of the mortgage rates on the Mortgage Loans and could cause the pass-through rates on the Class A and Mezzanine Certificates to be limited.
 
·  
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 Class A and Mezzanine 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 Class A and Mezzanine Certificates may both decline or increase during the same period, but that the pass-through rates on the Class A and Mezzanine Certificates may decline more slowly or increase more rapidly.
 
If the pass-through rate on any class of Class A and Mezzanine Certificates is limited for any Distribution Date, the resulting basis risk shortfalls may be recovered by the holders of such class of certificates on such Distribution Date or future Distribution Dates, to the extent that on such Distribution Dates there are available funds remaining after certain other distributions on the Class A and Mezzanine Certificates and the payment of certain fees and expenses of the trust (including the Net Swap Payment, if any, or any Swap Termination Payment owed to the Swap Provider other than a Swap Termination Payment due to a Swap Provider Trigger Event).
 
Amounts used to pay such shortfalls on the Class A and Mezzanine Certificates may be supplemented by the Interest Rate Swap Agreement to the extent the floating payment by the Swap Provider exceeds the fixed payment by the Trust on any Distribution Date and such amount is available in the priority described in this prospectus supplement. However, the amount received from the Swap Provider under the Interest Rate Swap Agreement may be insufficient to pay the holders of the applicable certificates the full amount of interest which they would have received absent the limitations of the rate cap.
 
Risks Associated with the Mezzanine Certificates
 
The weighted average lives of, and the yields to maturity on the Mezzanine Certificates will be progressively more sensitive, in increasing order of their distribution priorities, 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 pool 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 overcollateralization following distributions of principal on the related Distribution Date, 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 certificates than would otherwise be the case. Once a realized loss is allocated to a Mezzanine Certificate, no principal or interest will be distributable with respect to such written down amount. However, the amount of any realized losses allocated to the Mezzanine 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, the Swap Provider and the Supplemental Interest Trust” in this prospectus supplement.
 
Unless the aggregate certificate principal balance of the Class A Certificates has been reduced to zero, the Mezzanine Certificates will not be entitled to any principal distributions until at least November 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 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, the holders of such certificates have a greater risk of suffering a loss on their investments. Furthermore, 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 pool.
 
In addition, the multiple class structure of the Mezzanine Certificates causes the yields of such classes to be particularly sensitive to changes in the rates of prepayment of the Mortgage Loans. Because distributions of principal will be made to the holders of such certificates according to the priorities described in this prospectus supplement, the 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, the Class C Certificates 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 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 prepayments, but only up to the amount of the Servicer’s servicing fee and Prepayment Interest Excess (as defined in the pooling agreement) for the related period. The Servicer is not required to off-set prepayment interest shortfalls from any interest income or ancillary income otherwise payable to the Servicer. In addition, certain 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.
 
On any Distribution Date, any shortfalls resulting from the application of the Relief Act or any state law providing for similar relief and any prepayment interest shortfalls to the extent not covered by compensating interest paid by the Servicer will be allocated, first, to the interest accrued on the Class C Certificates, and thereafter, to the Monthly Interest Distributable Amounts with respect to the Class A and Mezzanine 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 Class A and Mezzanine Certificates will not be entitled to reimbursement for any such interest shortfalls. If these shortfalls are allocated to the Class A and Mezzanine Certificates, the amount of interest paid to those certificates will be reduced, adversely affecting the yield on your investment.
 
Reimbursement of Advances by the Servicer Could Delay Distributions on the Certificates
 
Under the pooling agreement, 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 or recoveries on the Mortgage Loans. The Servicer may make such advances from amounts held for future distribution. In addition, the Servicer may withdraw from the collection account funds that were not included in available funds for the preceding Distribution Date to reimburse itself for advances previously made. Any such amounts withdrawn by the Servicer in reimbursement of advances previously made are generally required to be replaced by the Servicer on or before the next Distribution Date, subject to subsequent withdrawal. To the extent that the Servicer is unable to replace any amounts withdrawn in reimbursement of advances previously made, there could be a delay in distributions on the Class A and Mezzanine Certificates. Furthermore, the Servicer’s right to reimburse itself for advances previously made from funds held for future distribution could lead to amounts required to be restored to the collection account by the Servicer that are higher, and potentially substantially higher, than one month’s advance obligation.
 
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
 
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% or below. Approximately 39.99% of the Initial Group I Mortgage Loans and approximately 40.92% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date) had loan-to-value ratios (or combined original loan-to-value ratios, in the case of second lien Initial Group II Mortgage Loans) in excess of 80.00%, but no more than 100.00%, at origination. Additionally, the Servicer’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 or the actual value of such mortgaged properties. See “The Mortgage Pool - General” and “The Originator and Sponsor —Underwriting Standards” herein.
 
Balloon Loan Risk
 
Balloon loans pose a risk because a mortgagor must make a large lump sum payment of principal at the end of the loan term. If the mortgagor is unable to pay the lump sum or refinance such amount, you may suffer a loss. Approximately 40.10% of the Initial Group I Mortgage Loans and approximately 36.12% of the Initial Group II Mortgage Loans (in each case, by aggregate principal balance of the related Loan Group as of the Cut-off Date) are balloon loans.
 
Simultaneous Second Lien Risk
 
With respect to approximately 10.82% of the Initial Group I Mortgage Loans and approximately 19.34% of the Initial Group II Mortgage Loans, at the time of origination of the 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 Mortgage Loans is approximately 79.96% with respect to such Initial Group I Mortgage Loans and approximately 79.99% with respect to such Initial Group II Mortgage Loans, and the weighted average original combined loan-to-value ratio of such Mortgage Loans (including the second lien) is approximately 99.80% with respect to such Initial Group I Mortgage Loans and approximately 99.95% with respect to such Initial Group II Mortgage Loans. With respect to Mortgage Loans that have second lien mortgage loans encumbering the same Mortgaged Property, foreclosure frequency may be increased relative to Mortgage Loans that do not have subordinate financing behind them since mortgagors have less equity in the mortgaged property. In addition, the Servicer may declare a default on the second lien loan even though the first lien loan is current which would constitute a default on the first lien loan. In addition to the Mortgage Loans discussed above that have simultaneous subordinate financing provided by the Originator, with respect to certain other Mortgage Loans, at the time of origination of the first lien Mortgage Loan, the related Mortgaged Property was also encumbered by a second lien mortgage to a mortgagee other than the Originator. Investors should also note that any mortgagor may obtain subordinate 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 charts presented under “Summary of Terms—Mortgage Loans” list 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 based on their location:
 
·  
Economic conditions in states with high concentrations of Mortgage Loans which may or may not affect real property values may affect the ability of mortgagors to repay their mortgage loans on time.
 
·  
Declines in the residential real estate markets in the states with high concentrations of Mortgage Loans may reduce the values of properties located in those states, which would result in an increase in the loan-to-value ratios.
 
·  
Any increase in the market value of properties located in the states with high concentrations of Mortgage Loans would reduce the loan-to-value ratios and could, therefore, make alternative sources of financing available to the mortgagors at lower interest rates, which could result in an increased rate of prepayment of the Mortgage Loans.
 
Violation of Various Federal and State Laws May Result in Losses on the Mortgage Loans
 
Applicable state laws generally regulate interest rates and other charges, require certain disclosure, and require licensing of the Originator. In addition, other state laws, public policy and general principles of equity relating to the protection of consumers, unfair and deceptive practices and debt collection practices may apply to the origination, servicing and collection of the Mortgage Loans.
 
The Mortgage Loans are also subject to federal laws, including:
 
·  
the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to the mortgagors regarding the terms of the mortgage loans;
 
·  
the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and
 
·  
the Fair Credit Reporting Act, which regulates the use and reporting of information related to the mortgagor’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, 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 Sponsor will represent that as of the Closing Date or the Subsequent Transfer Date, as applicable, each Mortgage Loan originated by it is in compliance with applicable federal and state laws and regulations. In the event of a breach of such representation, either Option One Mortgage Capital Corporation or the Sponsor 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.
 
High Cost Loans
 
The Sponsor will represent that none of the Mortgage Loans are “High Cost Loans” within the meaning of the federal Truth-in-Lending Act as amended by the Home Ownership and Equity Protection Act of 1994 (the “Homeownership Act”) or any state law, ordinance or regulation similar to the Homeownership Act. See “Certain Legal Aspects of the Mortgage Loans—Anti-Deficiency Legislation and Other Limitations on Lenders; Federal Laws Limiting Collections on Mortgage Loans” in the prospectus.
 
In addition to the Homeownership Act, 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 Sponsor will be required to purchase such Mortgage Loan from the Trust.
 
The Sponsor will represent that none of the Mortgage Loans originated in Georgia are subject to the Georgia Fair Lending Act effective from October 1, 2002 to March 6, 2003.
 
The Certificates are Obligations of the Trust Only
 
The certificates will not represent an interest in or obligation of the Depositor, the Servicer, the Originator, the Sponsor, the Sellers, the Trustee or any of their respective affiliates. Neither the certificates nor the underlying Mortgage Loans will be guaranteed or insured by any governmental agency or instrumentality, or by the Depositor, the Servicer, the Trustee or any of their respective affiliates. Proceeds of the assets included in the trust will be the sole source of distributions on the Class A and Mezzanine Certificates, and there will be no recourse to the Depositor, the Servicer, the Originator, the Sponsor, the Sellers, the Trustee or any other entity in the event that such proceeds are insufficient or otherwise unavailable to make all distributions provided for under the Class A and Mezzanine 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 payment owed by the Swap Provider on a Distribution Date exceeds the fixed payment 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) exceeds the Strike Rate. 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. The combination of a rapid rate of prepayment and low prevailing interest rates could adversely affect the yields on the Class A and Mezzanine Certificates. In addition, any termination payment payable to the Swap Provider (other than a Swap 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, other than a Swap Termination Payment resulting from a Swap Provider Trigger Event that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, prior to distributions to Certificateholders. This feature may result in losses on the Certificates. Due to the priority of the applications of the Available Funds, the Mezzanine 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 Class A Certificates and one or more classes of Mezzanine Certificates may suffer a loss as a result of such payment.
 
To the extent that distributions on the Class A and Mezzanine 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. The credit ratings of the Swap Provider as of the date of this prospectus supplement will likely be lower than the ratings assigned to the Class A Certificates. See “Description of the Certificates—The Swap Provider” in this prospectus supplement.
 
Lack of Liquidity
 
Each of Greenwich Capital Markets, Inc., Banc of America Securities LLC, Barclays Capital Inc., HSBC Securities (USA) Inc., J.P. Morgan Securities Inc. and Lehman Brothers Inc. intends to make a secondary market in the classes of Offered Certificates actually purchased by it, but none of them has any 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. H&R Block Financial Advisors, Inc. does not intend to make a secondary market in any class of the Offered Certificates. 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
 
The Mortgage Loans in the trust were originated or acquired in accordance with the Option One Underwriting Guidelines described herein without regard to whether such Mortgage Loans would be acceptable for purchase by Fannie Mae or Freddie Mac. As a result, delinquencies and liquidation proceedings are more likely with these Mortgage Loans than with mortgage loans that are originated in a more traditional manner. As a result of the use of such underwriting standards, in the event the Mortgage Loans do become delinquent or subject to liquidation, you may face delays in receiving payment and losses if the credit enhancements are insufficient to cover the delays and losses.
 
There May Be Variations in Additional Mortgage Loans and Subsequent Mortgage Loans from the Initial Mortgage Loans
 
Each Additional Mortgage Loan and Subsequent Mortgage Loan generally will satisfy the eligibility criteria described in this prospectus supplement at the time of its sale to the trust. The characteristics of the Additional Mortgage Loans and the Subsequent Mortgage Loans, however, may vary from the specific characteristics reflected in the statistical information relating to the Initial Mortgage Loans presented in this prospectus supplement, although the extent of such variance is not expected to be material.
 
Mandatory Prepayment
 
To the extent that the amount on deposit in either Pre-Funding Account has not been fully applied to the purchase of Subsequent Mortgage Loans on or before January 23, 2007, the holders of the related Class A Certificates will receive on the Distribution Date in January 23, 2007 the amounts in the related Pre-Funding Account after giving effect to any purchase of Subsequent Mortgage Loans. Although no assurance can be given, the Depositor intends that the principal amount of Subsequent Mortgage Loans sold to the Trustee will require the application of substantially all amounts on deposit in the Pre-Funding Accounts and that there will be no material principal distribution to the holders of any Class A Certificates on such Distribution Date resulting from unused pre-funding amounts.
 
Reduction or Withdrawal of Ratings
 
Each rating agency rating the Class A and Mezzanine Certificates may change or withdraw its initial ratings at any time in the future if, in its judgment, circumstances warrant a change. A reduction in the claims paying ability of the PMI Insurer may result in a reduction in the ratings of the Class A and Mezzanine Certificates. No person is obligated to maintain the ratings at their initial levels. If a rating agency reduces or withdraws its rating on one or more classes of the Class A and Mezzanine Certificates, the liquidity and market value of the affected certificates is likely to be reduced.
 
Suitability of the Class A and Mezzanine Certificates as Investments
 
The Class A and Mezzanine 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 Class A and Mezzanine 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.
 
Additional rights of the holder of the Class C Certificates
 
Pursuant to the pooling agreement, in the event of a default and removal of the Servicer, the majority holder of the Class C Certificates (other than Option One Mortgage Corporation) or, if such Class C Certificates have been resecuritized, the party specified in the operative documents related to such resecuritization (either such party, the “Residual Holder”) will have the right, at its sole discretion, to direct the Trustee to appoint a qualified successor servicer who will act as successor in all respects to the Servicer. In addition, the Residual Holder may have the right to direct the Servicer to transfer the servicing of certain mortgage loans delinquent 120 days or more to a special servicer appointed by the Residual Holder as described in the pooling agreement. In either case, the successor servicer or special servicer will be obligated to comply with the terms of the pooling agreement. Any special servicer appointed by the Residual Holder will be entitled to the Servicing Fee for the Mortgage Loans serviced by it and any excess fees due to such special servicer will be paid by the Residual Holder.
 
Investors in the Class A and Mezzanine Certificates should note that:
 
·  
such right to be granted to the Residual Holder may be inconsistent with, and adverse to the interests of the holders of the Class A and Mezzanine Certificates and the Residual Holder has no obligation or duty to consider the interests of the Class A and Mezzanine Certificates in connection with the exercise or nonexercise of such Residual Holder’s rights;
 
·  
the Residual Holder’s exercise of such right may negatively affect the Class A and Mezzanine Certificates and the existence of the Residual Holder’s right, whether or not exercised, may adversely affect the liquidity of the Class A and Mezzanine Certificates relative to other asset-backed certificates backed by comparable mortgage loans and with comparable distribution priorities and ratings; and
 
·  
the performance of the Class A and Mezzanine Certificates may differ from that of other securitizations of the Sponsor due to the exercise of these rights by the Residual Holder.
 
Litigation concerning Option One Mortgage Corporation 
 
In July 2004, Option One Mortgage Corporation was named as defendant and served with a class action complaint filed by Larry and Brandi Freitag, as plaintiffs, in the Third Judicial Circuit Court in Madison County, Illinois. The complaint alleges breach of contract, or in the alternative unjust enrichment, and violation of the Illinois Consumer Fraud and Deceptive Business Practices Act. Specifically, the plaintiffs allege that Option One Mortgage Corporation improperly retained an extra day of per diem interest on residential mortgage loans by charging per diem interest up to and including the date of payoff. The class is defined as all persons in the United States who paid interest on or after the day of payoff and who did not receive a refund from Option One Mortgage Corporation of the interest charged on or after the day of payoff. This action is one of several actions filed earlier against other lenders by the same attorneys on a similar basis in the same court. In one such action, the court granted the defendant's motion to dismiss the plaintiff's claims of defendant's violation of the Illinois Consumer Fraud and Deceptive Business Practices Act. Plaintiffs have agreed to settle their individual claims; plaintiffs’ counsel has a motion pending to continue prosecution of the class action. Plaintiff’s counsel filed a motion to substitute Larry and Pamela Smith as plaintiffs, which was granted. Option One Mortgage Corporation filed a motion to compel arbitration. In a similar action before the same judge in the Third Judicial Circuit Court in Madison County, Illinois, the Court rules in favor of the defendants on the underlying per diem interest claim.
 
On January 31, 2006, the Circuit Court of Cook County, Illinois County Department, Chancery Division, certified a nationwide class action against Option One Mortgage Corporation on a complaint brought by Erin and Earl Austria, in which the Austria’s allege that Option One impermissibly assessed them a reconveyance fee and authorized the assessment of a title indemnity fee on certain mortgage loans that have been paid-in-full. The Court has granted Option One’s motion for an interlocutory appeal of the order of class certification.
 
On February 28, 2006, Option One Mortgage Corporation was named as a defendant and served with a class action complaint filed by Jeffrey Wright, et al., as plaintiffs, in the United States District Court for the Central District of California, Southern Division. The complaint alleges that Option One Mortgage Corporation’s affiliate H&R Block Mortgage Corporation failed to pay overtime wages to its loan officers in accordance with the Fair Labor Standards Act and that such alleged failure constitutes an unfair business practice under California’s Business and Professions Code. Option One Mortgage Corporation is named as a defendant under the theory that it and H&R Block Mortgage operate as a single employer. On May 1, 2006, the Court granted Option One and H&R Block Mortgage’s motion to transfer the action to the District Court in Boston, Massachusetts. Option One and H&R Block Mortgage intend to file a motion to compel arbitration after the case has been formally transferred to the Massachusetts District Court.
 
On July 28, 2006, Option One Mortgage Corporation was named as a defendant and served with a class action complaint filed by Chadwick Thompson, individually and on behalf of all persons similarly situated who worked for the defendants in California, in the United States District Court for the Southern District of California. The complaint alleges that Option One Mortgage Corporation’s affiliate H&R Block Mortgage Corporation failed to properly classify and pay loan officers for overtime worked in violation of the Fair Labor Standards Act, California law, and California’s Unfair Competition Law. The complaint further alleges that Option One and H&R Block Mortgage failed to provide meal and rest periods and seeks restitution and waiting time penalties. Option One filed an answer on August 17, 2006 denying the allegations in the Complaint.
 
AFFILIATIONS AND RELATED TRANSACTIONS
 
The depositor is a direct wholly-owned subsidiary of Option One Mortgage Capital Corporation. Option One Mortgage Capital Corporation is a direct wholly-owned subsidiary of the sponsor. H&R Block Financial Advisors, Inc., one of the co-managers, is a direct wholly-owned subsidiary of H&R Block, Inc. and an affiliate of Option One Mortgage Corporation.
 
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 Issuing Entity and (b) any of the Servicer, the Trustee or the Originator.
 
Wells Fargo Bank serves or may have served within the past two years as loan file custodian for various mortgage loans owned by the Sponsor or an affiliate of the Sponsor and anticipates that one or more of those mortgage loans may be included in the Trust. The terms of any custodial agreement under which those services are provided by Wells Fargo Bank are customary for the mortgage-backed securitization industry and provide for the delivery, receipt, review and safekeeping of mortgage loan files.
 
The Underwriters provide warehouse financing to the Sponsor that may be secured by some or all of the Mortgage Loans. The Underwriters will release any and all of its liens on or security interests in the Mortgage Loans prior to the Closing Date.

THE MORTGAGE POOL
 
The information set forth in the following paragraphs has been provided by the Originator.
 
The statistical information presented in this prospectus supplement relates to the Initial Mortgage Loans and related mortgaged properties in each Loan Group as of the Cut-off Date, as adjusted for scheduled principal payments due on or before the Cut-off Date whether or not received. Additional Mortgage Loans will 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 Initial Mortgage Loans as described herein. Prior to the issuance of the Class A and Mezzanine Certificates, Mortgage Loans may be removed from one or both Loan Groups 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 herein with respect to the Initial Mortgage Loans will be representative of the characteristics of the mortgage pool as it will be constituted at the time the Class A and Mezzanine Certificates are issued, although the range of mortgage rates and maturities and certain other characteristics of the Initial Mortgage Loans may vary. Any statistic presented on a weighted average basis or any statistic based the aggregate principal balance of the Initial Mortgage Loans is subject to a variance of plus or minus 5%.
 
If any material pool characteristic of the Initial Mortgage Loans on the Closing Date differs by more than 5% or more from the description of the Initial 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 Initial Mortgage Loans in the related Loan Group as of the Cut-off Date (the “Cut-off Date Principal Balance”) and do not include the Additional Mortgage Loans or the Subsequent Mortgage Loans. Additional Mortgage Loans and Subsequent Mortgage Loans will be selected using the same criteria used to select the Initial Mortgage Loans, and the same representations and warranties will be made with respect to the Additional Mortgage Loans and Subsequent Mortgage Loans. 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. The “Pool Balance” as of any date is equal to the aggregate of the Principal Balances of the Mortgage Loans in both Loan Groups.
 
General
 
Option One Mortgage Loan Trust 2006-3 (the “Trust”) will consist of a pool of first and second lien adjustable-rate and fixed-rate, fully-amortizing and balloon payment, residential mortgage loans (the “Mortgage Loans” or the “Mortgage Pool”) which will in turn consist of two groups of first and second lien adjustable-rate and fixed-rate, fully-amortizing and balloon payment Mortgage Loans (the “Group I Mortgage Loans” and the “Group II Mortgage Loans”).
 
The Group I Mortgage Loans will include initial mortgage loans described in this prospectus supplement (the “Initial Group I Mortgage Loans”), additional mortgage loans delivered on the Closing Date (the “Additional Group I Mortgage Loans”) and subsequent mortgage loans delivered after the Closing Date (the “Subsequent Group I Mortgage Loans”). The Group II Mortgage Loans will include initial mortgage loans described in this prospectus supplement (the “Initial Group II Mortgage Loans”; and together with the Initial Group I Mortgage Loans, the “Initial Mortgage Loans”) additional mortgage loans delivered on the Closing Date (the “Additional Group II Mortgage Loans”; together with the Additional Group I Mortgage Loans, the “Additional Mortgage Loans”; and together with the Initial Mortgage Loans, the “Closing Date Mortgage Loans”) and subsequent mortgage loans delivered after the Closing Date (the “Subsequent Group II Mortgage Loans”; together with the Subsequent Group I Mortgage Loans, the “Subsequent Mortgage Loans”).
 
The aggregate principal balance of the Closing Date Mortgage Loans is expected to equal approximately $1,100,000,000.
 
The Initial Group I Mortgage Loans have original terms to maturity ranging from 180 months to 360 months and a Cut-off Date Principal Balance of approximately $463,373,714. Subsequent to the Closing Date, the Trust will purchase, to the extent available, approximately $185,349,481 in Subsequent Group I Mortgage Loans. The Initial Group II Mortgage Loans have original terms to maturity ranging from 180 months to 360 months and a Cut-off Date Principal Balance of approximately $536,626,311. Subsequent to the Closing Date, the Trust will purchase, to the extent available, approximately $214,650,519 in Subsequent Group II Mortgage Loans.
 
All of the adjustable-rate Mortgage Loans will be secured by either first or second mortgages or deeds of trust or other similar security instruments (each, a “Mortgage”) and all of the fixed-rate Mortgage Loans will be secured by either first or second Mortgages. The Mortgages create first or second liens on one- to four-family residential properties consisting of attached or detached one- to four-family dwelling units, individual condominium units, planned unit developments and manufactured housing (each, a “Mortgaged Property”). The Initial Group I Mortgage Loans consist of approximately 2,680 Mortgage Loans, of which approximately 98.90% are secured by first Mortgages and 1.10% are secured by second Mortgages. The Initial Group II Mortgage Loans consist of approximately 2,395 Mortgage Loans, of which approximately 93.46% are secured by first Mortgages and approximately 6.54% are secured by second Mortgages.
 
The Depositor will purchase the Initial Group I Mortgage Loans and the Initial Group II Mortgage Loans (together, the “Initial Mortgage Loans”) from the Sellers pursuant to the Mortgage Loan Purchase Agreement (the “Mortgage Loan Purchase Agreement”), among the Sellers and the Depositor. Pursuant to the Pooling and Servicing Agreement, dated as of October 1, 2006 (the “Pooling Agreement”), among the Depositor, the Servicer and the Trustee, the Depositor will cause the Mortgage Loans to be assigned to the Trustee for the benefit of the Certificateholders. See “The Pooling Agreement” herein.
 
The Additional Mortgage Loans, originated prior to the Closing Date will be included in the assets of the Trust on the Closing Date. Subsequent Group I Mortgage Loans and Subsequent Group II Mortgage Loans are intended to be purchased by the Trustee, on behalf of the Trust, from the Depositor from time to time on or before January 23, 2007 from funds on deposit in the Group I Pre-Funding Account and the Group II Pre-Funding Account, respectively. The Pooling Agreement will provide that each Subsequent Mortgage Loan must conform to certain specified characteristics and, following the conveyance of the Subsequent Mortgage Loans, the Mortgage Pool must conform to certain specified characteristics as described below under “—Conveyance of Additional Mortgage Loans, Subsequent Mortgage Loans and the Pre-Funding Accounts.”
 
Under the Mortgage Loan Purchase Agreement, the Sponsor and Option One Mortgage Capital Corporation will make certain representations and warranties to the Depositor (which will be assigned to the Trustee) relating to, among other things, the due execution and enforceability of the Mortgage Loan Purchase Agreement and certain characteristics of the Mortgage Loans. Subject to certain limitations, either Option One Mortgage Capital Corporation or the Sponsor will be obligated to repurchase or substitute a similar mortgage loan for any Mortgage Loan as to which there exists deficient documentation or an uncured breach of any such representation or warranty, if such breach of any such representation or warranty materially and adversely affects the Certificateholders’ interests in such Mortgage Loan. The Depositor will make no representations or warranties with respect to the Mortgage Loans and will have no obligation to repurchase or substitute Mortgage Loans with deficient documentation or that are otherwise defective. The Sellers are selling the Mortgage Loans without recourse and will have no obligations with respect to the Certificates in their capacity as Sellers.
 
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 98.90% of the Initial Group I Mortgage Loans are adjustable-rate Mortgage Loans (the “Initial Adjustable-Rate Group I Mortgage Loans”) and approximately 1.10% of the Initial Group I Mortgage Loans are fixed-rate Mortgage Loans (the “Initial Fixed-Rate Group I Mortgage Loans”). Approximately 93.49% of the Initial Group II Mortgage Loans are adjustable-rate Mortgage Loans (the “Initial Adjustable-Rate Group II Mortgage Loans”) and approximately 6.51% of the Initial Group II Mortgage Loans are fixed-rate Mortgage Loans (the “Initial Fixed-Rate Group II Mortgage Loans”).
 
Each of the fixed-rate Mortgage Loans has a Mortgage Rate that is fixed for the life of such Mortgage Loan.
 
Each adjustable-rate Mortgage Loan accrues interest at a Mortgage Rate that is adjustable. Generally, the adjustable-rate Mortgage Loans provide for semi-annual adjustment to 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 the first adjustment for the Initial Adjustable-Rate Group I Mortgage Loans will occur after an initial period of two years, in the case of approximately 88.79% of the Initial Adjustable-Rate Group I Mortgage Loans; three years, in the case of approximately 3.32% of the Initial Adjustable-Rate Group I Mortgage Loans; five years, in the case of approximately 7.86% of the Initial Adjustable-Rate Group I Mortgage Loans or fifteen years, in the case of approximately 0.02% of the Initial Adjustable-Rate Group I Mortgage Loans; and that the first adjustment for the Initial Adjustable-Rate Group II Mortgage Loans will occur after an initial period of two years, in the case of approximately 91.03% of the Initial Adjustable-Rate Group II Mortgage Loans; three years, in the case of approximately 2.03% of the Initial Adjustable-Rate Group II Mortgage Loans; five years, in the case of approximately 6.91% of the Initial Adjustable-Rate Group II Mortgage Loans or fifteen years, in the case of approximately 0.03% of the Initial Adjustable-Rate Group II Mortgage Loans (any adjustable-rate Mortgage Loan having such a delayed first adjustment feature, 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 (as defined below) and a fixed percentage amount (the “Gross Margin”). The Mortgage Rate on each Initial Adjustable-Rate Mortgage Loan will not increase or decrease by more than a stated percentage (1.000% per annum 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 (1.000% per annum to 1.500% per annum, as specified in the related mortgage note) on any Adjustment Date thereafter (the “Subsequent Periodic Rate Cap”). The Initial Adjustable-Rate Group I Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.987% per annum and a weighted average Subsequent Periodic Rate Cap of approximately 1.001% per annum, and the Initial Adjustable-Rate Group II Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.979% per annum and a weighted average Subsequent Periodic Rate Cap of approximately 1.001% per annum. 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 Mortgage Loan over its remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Rates, the Mortgage Rate on each such 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.
 
Approximately 2.96% of the Initial Group I Mortgage Loans and approximately 18.17% of the Initial Group II Mortgage Loans (by aggregate principal balance of the Initial Mortgage Loans as of the Cut-off Date) (the “Interest Only Mortgage Loans”) provide that for a period of 60 months 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 70.02% of the Initial Group I Mortgage Loans and approximately 74.05% of the Initial Group II Mortgage Loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on certain prepayments. Generally, each such Mortgage Loan having a prepayment charge provision will provide for payment of a prepayment charge on certain partial prepayments and all prepayments in full made within a stated number of months that is between 0 and 36 months from the date of origination of such Mortgage Loan. The amount of the prepayment charge is provided in the related mortgage note and is generally equal to six months’ interest on the amount prepaid in excess of 20% of the original principal balance of the related Mortgage Loan in any twelve-month period. The holders of the Class P Certificates will be entitled to all 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. Investors should conduct their own analysis of the effect, if any, that the prepayment charges, and decisions by the Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982 (the “Parity Act”), which regulates the ability of the Originator to impose prepayment charges, was amended, and as a result, the Originator will be required to comply with state and local laws in originating mortgage loans with prepayment charge provisions after July 1, 2003. The Depositor makes no representations as to the effect that the prepayment charges, decisions by the Servicer with respect to the waiver thereof and the recent amendment of the Parity Act, may have on the prepayment performance of the Mortgage Loans. See “Certain Legal Aspects of Mortgage Loans-Enforceability of Certain Provisions-Prepayment Penalties” in the prospectus.
 
The Index. With respect to the adjustable-rate Mortgage Loans, the “Index” 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 in the Western Edition of The Wall Street Journal (“Six-Month LIBOR”). If the Index becomes unpublished or is otherwise unavailable, the Servicer will select an alternative index which is based upon comparable information.
 
Initial Group I Mortgage Loans Statistics
 
The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Initial Group I Mortgage Loans as of the Cut-off Date.
 
Approximately 39.99% of the Initial Group I Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. Approximately 1.97% of the Initial Group I Mortgage Loans had a loan-to-value ratio at origination in excess of 90.00% and the weighted average loan-to-value ratio of the Initial Group I Mortgage Loans at origination was approximately 79.43%. There can be no assurance that the loan-to-value ratio 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 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.
 
All of the Initial Group I Mortgage Loans have a Due Date of the first day of the month (the “Due Date”).
 
The weighted average remaining term to maturity of the Initial Group I Mortgage Loans is approximately 358 months as of the Cut-off Date. None of the Initial Group I Mortgage Loans had a first Due Date prior to February 2006 or after November 2006 or will have a remaining term to maturity of less than 175 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Initial Group I Mortgage Loan is October 2036.
 
The average Principal Balance of the Initial Group I Mortgage Loans at origination was approximately $173,037. The average Principal Balance of the Initial Group I Mortgage Loans as of the Cut-off Date was approximately $172,901. No Initial Group I Mortgage Loan had a Principal Balance as of the Cut-off Date of greater than approximately $732,882 or less than approximately $15,032.
 
The Initial Group I Mortgage Loans had Mortgage Rates as of the Cut-off Date of not less than 5.700% per annum and not more than 12.950% per annum and the weighted average Mortgage Rate was approximately 8.891% per annum. As of the Cut-off Date, the Initial Adjustable-Rate Group I Mortgage Loans had Gross Margins ranging from 2.700% to 7.950%, Minimum Mortgage Rates ranging from 5.500% per annum to 12.950% per annum and Maximum Mortgage Rates ranging from 9.200% per annum to 18.950% per annum. As of the Cut-off Date, the Initial Adjustable-Rate Group I Mortgage Loans had a weighted average Gross Margin of approximately 6.177% per annum, a weighted average Minimum Mortgage Rate of approximately 8.860% per annum and a weighted average Maximum Mortgage Rate of approximately 14.843% per annum. The latest next Adjustment Date following the Cut-off Date on any Initial Adjustable-Rate Group I Mortgage Loan occurs in August 2021, and the weighted average time until the next Adjustment Date for the Initial Adjustable-Rate Group I Mortgage Loans following the Cut-off Date is approximately 25 months.
 
The Initial 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 Initial Group I Mortgage Loans(1)
 

Principal Balance ($)
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
0.01 - 50,000.00
   
187
 
$
4,943,382.45
   
1.07
%
 
10.636
%
 
354
   
96.03
%
 
602
 
50,000.01 - 100,000.00
   
563
   
43,228,325.32
   
9.33
   
10.322
   
358
   
79.13
   
594
 
100,000.01 - 150,000.00
   
622
   
77,329,517.79
   
16.69
   
9.455
   
358
   
79.69
   
598
 
150,000.01 - 200,000.00
   
415
   
72,704,271.56
   
15.69
   
9.125
   
358
   
78.33
   
599
 
200,000.01 - 250,000.00
   
298
   
66,539,738.25
   
14.36
   
8.750
   
358
   
79.12
   
600
 
250,000.01 - 300,000.00
   
233
   
63,671,416.97
   
13.74
   
8.377
   
358
   
79.54
   
606
 
300,000.01 - 350,000.00
   
156
   
50,756,210.55
   
10.95
   
8.274
   
358
   
79.13
   
602
 
350,000.01 - 400,000.00
   
131
   
49,167,663.04
   
10.61
   
8.141
   
358
   
79.11
   
612
 
400,000.01 - 450,000.00
   
41
   
17,256,205.94
   
3.72
   
8.145
   
358
   
81.17
   
611
 
450,000.01 - 500,000.00
   
16
   
7,655,430.78
   
1.65
   
7.998
   
359
   
80.01
   
623
 
500,000.01 - 550,000.00
   
11
   
5,748,114.79
   
1.24
   
8.218
   
358
   
77.23
   
630
 
550,000.01 - 600,000.00
   
3
   
1,684,270.08
   
0.36
   
9.268
   
358
   
86.65
   
628
 
600,000.01 - 650,000.00
   
2
   
1,239,762.29
   
0.27
   
9.567
   
359
   
79.03
   
566
 
700,000.01 - 750,000.00
   
2
   
1,449,403.82
   
0.31
   
9.805
   
358
   
81.96
   
585
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
_________________
(1) The average Cut-off Date Principal Balance of the Initial Group I Mortgage Loans was approximately $172,901.
 
 
Credit Scores for the Initial Group I Mortgage Loans(1)
 
Credit Score
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
500 - 524
   
122
 
$
21,482,210.48
   
4.64
%
 
10.220
%
 
357
   
74.37
%
 
513
 
525 - 549
   
134
   
23,720,681.13
   
5.12
   
10.071
   
357
   
77.27
   
537
 
550 - 574
   
410
   
69,963,875.75
   
15.10
   
9.256
   
358
   
77.82
   
565
 
575 - 599
   
782
   
118,292,772.59
   
25.53
   
8.891
   
358
   
79.64
   
587
 
600 - 624
   
508
   
91,818,859.27
   
19.82
   
8.620
   
358
   
80.56
   
611
 
625 - 649
   
400
   
74,275,829.55
   
16.03
   
8.516
   
358
   
80.17
   
636
 
650 - 674
   
176
   
35,055,606.53
   
7.57
   
8.334
   
358
   
80.25
   
661
 
675 - 699
   
65
   
13,467,691.64
   
2.91
   
8.243
   
358
   
82.56
   
684
 
700+
   
55
   
11,792,580.65
   
2.54
   
8.366
   
358
   
83.10
   
733
 
None
   
28
   
3,503,606.04
   
0.76
   
10.344
   
358
   
72.53
   
0
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
_________________
(1) The weighted average credit score of the Initial Group I Mortgage Loans that had credit scores was approximately 602.
 
 
Original Terms to Maturity of the Initial Group I Mortgage Loans(1)
 
Original Term (months)
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
180
   
2
 
$
75,027.40
   
0.02
%
 
9.943
%
 
178
   
83.35
%
 
637
 
240
   
3
   
98,314.35
   
0.02
   
11.380
   
237
   
100.00
   
630
 
360
   
2,675
   
463,200,371.88
   
99.96
   
8.890
   
358
   
79.43
   
602
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
___________________
(1) The weighted average original term to maturity of the Initial Group I Mortgage Loans was approximately 360 months.
 
 
Remaining Terms to Maturity of the Initial Group I Mortgage Loans(1)
 
Remaining Term (months)
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
121-180
   
2
 
$
75,027.40
   
0.02
%
 
9.943
%
 
178
   
83.35
%
 
637
 
181-240
   
3
   
98,314.35
   
0.02
   
11.380
   
237
   
100.00
   
630
 
301-360
   
2,675
   
463,200,371.88
   
99.96
   
8.890
   
358
   
79.43
   
602
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
___________________
(1) The weighted average remaining term to maturity of the Initial Group I Mortgage Loans was approximately 358 months.
 
 
Property Types of the Initial Group I Mortgage Loans

Property Type
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
2-4 Units Attached
   
36
 
$
12,177,263.51
   
2.63
%
 
8.444
%
 
358
   
76.96
%
 
627
 
2-4 Units Detached
   
147
   
40,504,586.06
   
8.74
   
8.962
   
358
   
79.24
   
615
 
Condo Low-Rise Attached
   
78
   
13,247,890.62
   
2.86
   
9.057
   
358
   
81.24
   
620
 
Condo Low-Rise Detached
   
2
   
544,299.19
   
0.12
   
7.215
   
355
   
72.15
   
634
 
Condotel Attached
   
1
   
377,859.98
   
0.08
   
7.100
   
359
   
80.00
   
745
 
PUD Attached(1)
   
38
   
7,261,710.65
   
1.57
   
8.911
   
358
   
80.20
   
599
 
PUD Detached(1)
   
192
   
34,814,651.23
   
7.51
   
8.715
   
358
   
79.66
   
596
 
Single Family Attached
   
94
   
15,707,163.59
   
3.39
   
9.034
   
358
   
79.48
   
599
 
Single Family Detached
   
2,092
   
338,738,288.80
   
73.10
   
8.908
   
358
   
79.44
   
600
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
___________________
(1) PUD refers to a home or “unit” in a Planned Unit Development.

 
Occupancy Status of the Initial Group I Mortgage Loans(1)
 
Occupancy Status
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
Non-owner
   
302
 
$
53,549,098.94
   
11.56
%
 
9.522
%
 
358
   
83.04
%
 
638
 
Primary
   
2,324
   
397,731,758.72
   
85.83
   
8.807
   
358
   
78.94
   
597
 
Second Home
   
54
   
12,092,855.97
   
2.61
   
8.866
   
358
   
79.79
   
628
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
 

 
Purpose of the Initial Group I Mortgage Loans
 
Purpose
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
Cash Out Refinance
   
1,599
 
$
329,558,478.41
   
71.12
%
 
8.729
%
 
358
   
78.20
%
 
601
 
Purchase
   
815
   
88,060,643.85
   
19.00
   
9.425
   
358
   
83.60
   
612
 
Rate/Term Refinance
   
266
   
45,754,591.37
   
9.87
   
9.028
   
358
   
80.27
   
598
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
 

 
 
Combined Original Loan-to-Value Ratios of the Initial Group I Mortgage Loans(1)(2)
 
Combined Original Loan-to-Value Ratio (%)
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
0.01 - 49.99
   
47
 
$
7,793,209.92
   
1.68
%
 
8.769
%
 
357
   
39.59
%
 
589
 
50.00 - 54.99
   
30
   
5,781,617.02
   
1.25
   
9.053
   
358
   
52.37
   
599
 
55.00 - 59.99
   
50
   
8,605,536.36
   
1.86
   
8.477
   
358
   
57.73
   
598
 
60.00 - 64.99
   
92
   
17,581,124.70
   
3.79
   
8.552
   
358
   
62.60
   
598
 
65.00 - 69.99
   
139
   
28,980,401.16
   
6.25
   
8.780
   
358
   
66.84
   
594
 
70.00 - 74.99
   
161
   
34,958,009.64
   
7.54
   
8.662
   
358
   
72.00
   
594
 
75.00 - 79.99
   
270
   
53,618,978.46
   
11.57
   
8.806
   
358
   
76.93
   
592
 
80.00
   
802
   
120,730,973.17
   
26.05
   
9.005
   
358
   
80.00
   
602
 
80.01 - 84.99
   
86
   
20,286,875.72
   
4.38
   
8.203
   
358
   
83.39
   
601
 
85.00 - 89.99
   
309
   
63,944,321.30
   
13.80
   
8.795
   
359
   
85.92
   
604
 
90.00 - 94.99
   
486
   
92,720,439.92
   
20.01
   
9.117
   
358
   
90.03
   
615
 
95.00 - 99.99
   
21
   
1,995,703.91
   
0.43
   
9.977
   
355
   
95.33
   
607
 
100.00
   
187
   
6,376,522.35
   
1.38
   
10.235
   
356
   
100.00
   
620
 
Total
   
2,680
 
$
463,373,713.63
   
100.00
%
 
8.891
%
 
358
   
79.43
%
 
602
 
___________________
(1)  The weighted average combined original loan-to-value ratio of the Initial Group I Mortgage Loans as of the Cut-off Date was approximately 79.43%.
(2)   For a description of the determination of loan-to-value ratio by the Originator see “The Originator and Sponsor” in this prospectus supplement.
 

Geographic Distribution of the Mortgaged Properties related to the Initial Group I Mortgage Loans(1)
 
Location
 
Number of Initial Mortgage Loans
 
Aggregate Principal Balance
 
Percentage of Aggregate Principal Balance of Mortgage Loans
 
Weighted Average Mortgage Rate
 
Weighted Average Stated Remaining Term (months)
 
Weighted Average Combined Original LTV
 
Weighted Average FICO
 
Alabama
   
24
 
$
2,307,722.92
   
0.50
%
 
10.108
%
 
358
   
84.19
%
 
588
 
Alaska
   
2
   
362,997.94
   
0.08
   
7.842
   
359
   
71.75
   
606
 
Arizona
   
56
   
11,682,610.31
   
2.52
   
8.681
   
358
   
79.02
   
602
 
Arkansas
   
10
   
958,447.82
   
0.21
   
10.113
   
358
   
86.93
   
601
 
California
   
209
   
62,607,462.23
   
13.51
   
7.923
   
358
   
76.79
   
612
 
Colorado
   
38
   
6,591,766.52
   
1.42
   
8.691
   
358
   
81.62
   
600
 
Connecticut
   
47
   
9,675,739.39
   
2.09
   
8.711
   
358
   
80.44
   
606
 
Delaware
   
5
   
722,788.99
   
0.16
   
8.686
   
359
   
84.52
   
599
 
District of Columbia
   
8
   
1,808,521.15
   
0.39
   
9.261
   
358
   
70.89
   
597
 
Florida
   
306
   
59,064,487.50
   
12.75
   
8.903
   
358
   
78.92
   
601
 
Georgia
   
94
   
12,302,422.58
   
2.65
   
9.655
   
358
   
82.09
   
604
 
Hawaii
   
12
   
3,888,155.98
   
0.84
   
8.591
   
358
   
78.63
   
633
 
Idaho
   
10
   
1,334,130.63
   
0.29
   
9.120
   
359
   
80.38
   
580
 
Illinois
   
96
   
16,239,160.96
   
3.50
   
9.361
   
358
   
80.14
   
602
 
Indiana
   
38
   
3,762,605.85
   
0.81
   
9.989
   
358
   
82.42
   
592
 
Iowa
   
14
   
1,280,767.57
   
0.28
   
10.055
   
358
   
83.26
   
607
 
Kansas
   
5
   
445,777.68
   
0.10
   
9.863
   
335
   
79.25
   
600
 
Kentucky
   
36
   
3,492,433.17
   
0.75
   
9.481
   
358
   
83.09
   
598
 
Louisiana
   
17
   
2,189,983.29
   
0.47
   
10.041
   
358
   
82.75
   
607
 
Maine
   
24
   
3,356,995.03
   
0.72
   
9.294
   
358
   
83.54
   
605
 
Maryland
   
66
   
13,897,846.27
   
3.00
   
8.589
   
358
   
77.48
   
605
 
Massachusetts
   
127
   
33,284,084.98
   
7.18
   
8.623
   
358
   
79.19
   
600
 
Michigan
   
120
   
14,860,450.52
   
3.21
   
9.466
   
358
   
83.47
   
592
 
Minnesota
   
45
   
7,276,835.96
   
1.57
   
8.662
   
357
   
81.62
   
612
 
Mississippi
   
6
   
488,530.66
   
0.11
   
10.146
   
358
   
85.03
   
580
 
Missouri
   
46
   
4,793,462.33
   
1.03
   
9.806
   
358
   
84.14
   
593
 
Montana
   
6
   
885,925.82
   
0.19
   
9.121
   
358
   
85.39
   
594
 
Nevada
   
30
   
6,926,999.01
   
1.49
   
8.299
   
358
   
80.54
   
600
 
New Hampshire
   
23
   
4,273,256.73
   
0.92
   
8.815
   
358
   
78.21
   
600
 
New Jersey
   
84
   
22,266,491.99
   
4.81
   
8.682
   
358
   
77.03
   
604
 
New York
   
135
   
35,918,821.81
   
7.75
   
8.630
   
358
   
74.68
   
605
 
North Carolina
   
66
   
9,259,130.57
   
2.00
   
9.523
   
358
   
82.73
   
606
 
North Dakota
   
2
   
141,514.49
   
0.03
   
10.579
   
358
   
79.33
   
585
 
Ohio
   
94
   
9,889,830.60
   
2.13
   
9.763
   
358
   
81.95
   
604
 
Oklahoma
   
13
   
1,150,395.45
   
0.25
   
9.436
   
358
   
84.77
   
581
 
Oregon
   
23
   
4,763,793.96
   
1.03
   
8.404
   
358
   
80.79
   
606
 
Pennsylvania
   
77
   
10,040,736.66
   
2.17
   
9.401
   
358
   
80.78
   
591
 
Rhode Island
   
29
   
6,319,473.76
   
1.36
   
8.552
   
358
   
81.23
   
624
 
South Carolina
   
31
   
4,060,202.93
   
0.88
   
9.244
   
357
   
79.04
   
603
 
South Dakota
   
3
   
273,842.53
   
0.06
   
9.293
   
359
   
85.97
   
576
 
Tennessee
   
35
   
2,698,991.34
   
0.58
   
9.707
   
358
   
85.18
   
596
 
Texas
   
366
   
30,686,445.65
   
6.62
   
9.770
   
358
   
80.99
   
593
 
Utah
   
13
   
2,064,594.93
   
0.45
   
8.568
   
359
   
86.07
   
630
 
Vermont
   
11
   
1,552,554.01
   
0.34
   
9.643
   
358
   
80.95
   
609
 
Virginia
   
69
   
10,782,375.11
   
2.33
   
9.442
   
358
   
81.23
   
592
 
Washington
   
57
   
12,411,485.58
   
2.68
   
8.577
   
358
   
81.14
   
592