424B5 1 d601900_424b5.htm CITIGROUP MORTGAGE LOAN TRUST INC Unassociated Document
Prospectus Supplement dated December 8, 2006 (To Prospectus dated December 13, 2006)
 
$491,684,000 (Approximate)
 
Citigroup Mortgage Loan Trust 2006-HE3
Issuing Entity
 
Asset-Backed Pass-Through Certificates, Series 2006-HE3
 
Citigroup Mortgage Loan Trust Inc.
Depositor
 
Citigroup Global Markets Realty Corp.
Sponsor
 
Wells Fargo Bank, N.A.
JPMorgan Chase Bank, National Association
Ocwen Loan Servicing, LLC
Countrywide Home Loans Servicing LP
Servicers
 
Citibank, N.A.
Trust Administrator
 

You should consider carefully the risk factors beginning on page S-13 in this prospectus supplement and page 5 in the prospectus.
 
This prospectus supplement may be used to offer and sell the offered certificates only if accompanied by the prospectus.
 
The certificates represent obligations of the issuing entity only and do not represent an interest in or obligation of the depositor, the servicers or the sponsor, or any of their affiliates. This prospectus supplement may be used to offer and sell the certificates only if accompanied by the prospectus. 

 
Offered Certificates         The trust created for the Series 2006-HE3 certificates will hold a pool of one- to four-family residential first lien and second lien, fixed-rate and adjustable-rate mortgage loans. The mortgage loans will be segregated into two groups, one consisting of mortgage loans with principal balances at origination that conform to Fannie Mae loan limits and one consisting of mortgage loans with principal balances at origination that may or may not conform to Fannie Mae loan limits. The trust will issue thirteen classes of offered certificates. You can find a list of these classes, together with their initial certificate principal balances and pass-through rates, on page S-5 of this prospectus supplement. Credit enhancement for the offered certificates will be provided in the form of excess interest, subordination, overcollateralization and a primary mortgage insurance policy. The offered certificates will also have the benefit of certain payments made pursuant to a cap contract. The offered certificates will be entitled to monthly distributions beginning in January 2007.
 
Underwriting                      Citigroup Global Markets Inc., as underwriter, will offer to the public the offered certificates at varying prices to be determined at the time of sale. The proceeds to the depositor from the sale of the offered certificates, before deducting expenses, will be approximately 99.90% of the aggregate initial certificate principal balance of the offered certificates.
 
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the offered certificates or determined that this prospectus supplement or the prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
 
The Attorney General of the State of New York has not passed on or endorsed the merits of this offering. Any representation to the contrary is unlawful.
 
Citigroup
 




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

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

 
Table of Contents
 
Prospectus Supplement

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




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



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




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

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

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

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

 



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

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

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

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

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

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

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

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


 
 

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


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



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



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


Percent of Initial Certificate Principal Balance Outstanding
 
 
Class M-5
Class M-6
Distribution Date
I
II
III
IV
V
I
II
III
IV
V
Initial Percentage
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
December 25, 2007
100
100
100
100
100
100
100
100
100
100
December 25, 2008
100
100
100
100
100
100
100
100
100
100
December 25, 2009
100
100
100
86
15
100
100
100
29
15
December 25, 2010
100
100
44
16
5
100
100
44
16
0
December 25, 2011
100
83
30
9
0
100
83
30
9
0
December 25, 2012
100
70
21
0
0
100
70
21
0
0
December 25, 2013
100
58
14
0
0
100
58
14
0
0
December 25, 2014
100
48
10
0
0
100
48
10
0
0
December 25, 2015
100
40
7
0
0
100
40
4
0
0
December 25, 2016
100
34
0
0
0
100
34
0
0
0
December 25, 2017
100
28
0
0
0
100
28