424B5 1 d679954_424b5.htm FORM 424B5 Unassociated Document
Prospectus Supplement dated May 30, 2007 (to Prospectus dated May 25, 2007)
 
 
$307,002,000
(Approximate)
 
Alliance Bancorp
Servicer and Sponsor
 
Alliance Securities Corp.
Depositor
 
Alliance Bancorp Trust 2007-OA1
Issuing Entity
Mortgage Backed Pass-Through Certificates, Series 2007-OA1

 
You should consider carefully the risk factors beginning on page S-10 in this prospectus supplement.
 
 
The Issuing Entity
 
The issuing entity will be a trust consisting of a pool of adjustable-rate, first-lien, one-to-four family residential mortgage loans which may be subject to negative amortization.
 
The issuing entity will issue fifteen classes of certificates, twelve of which are offered under this prospectus supplement.
 
 
Credit Enhancement
 
The offered certificates will have credit enhancement in the form of excess interest, overcollateralization and subordination of certain classes of certificates.
 
The price to investors will vary from time to time and will be determined at the time of sale. The proceeds to the depositor from the offering of the offered certificates will be approximately 99.14% of the aggregate certificate principal balance of the offered certificates, less expenses estimated to be approximately $550,000.
 
 
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or passed upon the adequacy of this prospectus supplement. 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.
 


 
Barclays Capital Inc.
The date of this Prospectus Supplement is May 30, 2007.
 
 
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”), the 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 issuing entity of a prospectus pursuant to Article 3 of the Prospectus Directive.
 
For the purposes of this provision, the expression “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
 
The 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 FSMA) received by it in connection with the issue or sale of the certificates in circumstances in which Section 21(1) of the FSMA does not apply to the issuing entity; and
 
(b)
it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the certificates in, from or otherwise involving the United Kingdom.
 



Important notice about information presented in this prospectus supplement and the accompanying prospectus
 
You should rely 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 provide progressively more detail:
 
 
the accompanying base 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.
 
The Depositor’s principal offices are located at 1000 Marina Boulevard, Suite 100, Brisbane, California 94005 and its phone number is (650) 952-1000.
 
Table of Contents

Prospectus Supplement

SUMMARY OF PROSPECTUS SUPPLEMENT
RISK FACTORS
THE MORTGAGE POOL
STATIC POOL INFORMATION
THE ISSUING ENTITY
THE DEPOSITOR
THE SPONSOR AND THE SERVICER
PERMITTED INVESTMENTS
YIELD ON THE CERTIFICATES
DESCRIPTION OF THE CERTIFICATES
POOLING AND SERVICING AGREEMENT
SERVICING OF MORTGAGE LOANS
FEDERAL INCOME TAX CONSEQUENCES
STATE AND OTHER TAX CONSEQUENCES
METHOD OF DISTRIBUTION
SECONDARY MARKET
LEGAL OPINIONS
LEGAL PROCEEDINGS
AFFILIATIONS, RELATIONSHIPS AND RELATED TRANSACTIONS
RATINGS
LEGAL INVESTMENT
ERISA CONSIDERATIONS
AVAILABLE INFORMATION
PERIODIC REPORTS
INCORPORATION OF INFORMATION BY REFERENCE
GLOSSARY
ANNEX I
ANNEX II
 


 
 
SUMMARY OF PROSPECTUS SUPPLEMENT
 
The following summary is a very broad overview of the offered certificates 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, read carefully this entire prospectus supplement and the accompanying prospectus. A glossary is included at the end of this prospectus supplement. Capitalized terms used but not defined in the glossary at the end of this prospectus supplement have the meanings assigned to them in the glossary at the end of the prospectus.
 
Issuing Entity
Alliance Bancorp Trust 2007-OA1.
Title of Series
Alliance Securities Corp., Mortgage Backed Pass-Through Certificates, Series 2007-OA1.
Cut-off Date
May 1, 2007.
Closing Date
May 30, 2007.
Mortgage Loans
The mortgage loans will be adjustable-rate, first-lien, one-to-four family residential mortgage loans which may be subject to negative amortization.
Depositor
Alliance Securities Corp., an affiliate of Alliance Bancorp.
Sponsor
Alliance Bancorp.
Servicer
Alliance Bancorp.
Subservicer and Backup Servicer
 
GMAC Mortgage, LLC.
Securities Administrator
Wells Fargo Bank, N.A.
Master Servicer
Wells Fargo Bank, N.A.
Trustee
Deutsche Bank National Trust Company.
Custodian
Deutsche Bank National Trust Company.
Distribution Date
Distributions on the offered certificates will be made on the 25th day of each month or, if the 25th day is not a business day, on the next business day, beginning in June 2007.
Offered Certificates
The classes of offered certificates and their pass-through rates and certificate principal balances are set forth in the table below.




Offered Certificates
Class
Pass-Through
Rate
 
Initial Certificate
Principal Balance
Initial Rating
(S&P/Moody’s)
Designation
Class A Certificates:
A-1
Adjustable Rate
$
152,894,000
AAA/Aaa
Super Senior/Adjustable Rate
A-2
Adjustable Rate
$
63,706,000
AAA/Aaa
Mezzanine Senior /Adjustable Rate
A-3
Adjustable Rate
$
38,224,000
AAA/Aaa
Junior Senior/ Adjustable Rate
Total Class A Certificates:
$
254,824,000
   
Class M Certificates:
M-1
Adjustable Rate
$
19,307,000
AA+/Aaa
Mezzanine/Adjustable Rate
M-2
Adjustable Rate
$
11,170,000
AA/Aa1
Mezzanine/Adjustable Rate
M-3
Adjustable Rate
$
3,191,000
AA-/Aa1
Mezzanine/Adjustable Rate
M-4
Adjustable Rate
$
5,106,000
A+/Aa2
Mezzanine/Adjustable Rate
M-5
Adjustable Rate
$
3,032,000
A/Aa3
Mezzanine/Adjustable Rate
M-6
Adjustable Rate
$
2,074,000
A-/A1
Mezzanine/Adjustable Rate
M-7
Adjustable Rate
$
3,032,000
BBB+/A2
Mezzanine/Adjustable Rate
M-8
Adjustable Rate
$
2,074,000
BBB/A3
Mezzanine/Adjustable Rate
M-9
Adjustable Rate
$
3,192,000
BBB-/Baa1
Mezzanine/Adjustable Rate
Total Class M Certificates:
$
52,178,000
   
Total offered certificates:
$
307,002,000
   


Other Information:
 
Class A Certificates and Class M Certificates:
 
The pass-through rate on the Class A Certificates and Class M Certificates will be equal to the lesser of:
 
(1)
one-month LIBOR plus the related certificate margin set forth below; and
 
(2)
a per annum rate equal to the available funds cap rate as described in this prospectus supplement.
 
Certificate Margin
 
Class
 
(1)
 
(2)
A-1
 
0.240%
 
0.480%
A-2
 
0.280%
 
0.560%
A-3
 
0.410%
 
0.820%
M-1
 
0.550%
 
0.825%
M-2
 
0.650%
 
0.975%
M-3
 
1.000%
 
1.500%
M-4
 
1.150%
 
1.725%
M-5
 
1.500%
 
2.250%
M-6
 
1.500%
 
2.250%
M-7
 
1.500%
 
2.250%
M-8
 
1.500%
 
2.250%
M-9
 
1.500%
 
2.250%
______
(1)
Initially.
(2)
On and after the step-up date as described in this prospectus supplement.
 
The Issuing Entity
 
The certificates will be issued by Alliance Bancorp Trust 2007-OA1, a New York common law trust, pursuant to a pooling and servicing agreement dated as of May 1, 2007 among the depositor, the securities administrator, the master servicer, the servicer, the back-up servicer and the trustee. On the closing date, the depositor will deposit the mortgage loans into the issuing entity. Alliance Bancorp Trust 2007-OA1 will issue fifteen classes of certificates, twelve of which are offered by this prospectus supplement.
 
The certificates represent in the aggregate the entire beneficial ownership interest in the issuing entity. Distributions of interest and/or principal on the offered certificates will be made only from payments received from the issuing entity as described below.
 
The Class CE, Class R-X, and Class R Certificates are not offered by this prospectus supplement and will initially be retained by the sponsor or one of its affiliates.
 
See “Description of the Certificates” in this prospectus supplement.
 
The Mortgage Loans
 
The trust will initially contain approximately 777 adjustable-rate, first-lien, one-to-four family residential mortgage loans, which may be subject to negative amortization, secured by first liens on one- to four-family residential real properties. The mortgage loans have an aggregate principal balance of approximately $319,128,991 as of the cut-off date.
 
All of the mortgage loans have an initial fixed-rate period of one month. The index for substantially all of the mortgage loans will be One-Year MTA, which is the 12-month moving average yield on United States Treasury Securities adjusted to a constant maturity of one year.
 
While the interest rate on all of the mortgage loans will adjust monthly (after an initial fixed-rate period), the minimum monthly payment on each such mortgage loan generally will only adjust annually while the mortgage loans will generally not begin to adjust for a period between one and five years. On each annual payment adjustment date, the minimum monthly payment generally will not increase or decrease by more than 7.5%. As a result, the interest due with respect to a mortgage loan for any given month may, under certain circumstances, exceed the monthly payment for that month. In that case, payment of the excess of interest due over the monthly payment will be deferred and that excess will be added to the principal balance of that mortgage loan in the form of negative amortization. See “The Mortgage Pool” in this prospectus supplement.
 
The interest rate on each mortgage loan will be adjusted monthly, after an initial fixed-rate period, to equal the related index plus a fixed percentage set forth in or computed in accordance with the related mortgage note subject to rounding and to certain other limitations, including a maximum lifetime mortgage rate, as more fully described under “The Mortgage Pool” in this prospectus supplement and Schedule A, which is attached to and is part of this prospectus supplement. The related index is as described under “The Mortgage Pool—Index on the Mortgage Loans” in this prospectus supplement.
 
The following table summarizes the approximate characteristics of all of the mortgage loans as of the cut-off date:
 
Range of current mortgage rates (approximate):
7.625% to 10.250%
Weighted average current mortgage rate (approximate):
8.898%
Weighted average remaining term to stated maturity (approximate):
357 months
Range of outstanding principal balances (approximate):
$52,000 to $1,511,568
Average outstanding principal balance (approximate):
$410,719
Range of original loan-to-value ratios (approximate):
31.21% to 95.00%
Weighted average of original loan-to-value ratios (approximate):
78.51%
 
For additional information regarding the mortgage loans, see “The Mortgage Pool” in this prospectus supplement.
 
Removal and Substitution of a Mortgage Loan
 
The trustee will acknowledge the sale, transfer and assignment of the trust fund to it by the depositor and receipt of, subject to further review and any exceptions, the mortgage loans. If the trustee has actual knowledge that any mortgage loan is defective on its face due to a breach of the representations and warranties with respect to that loan made in the transaction agreements, the trustee shall promptly notify the sponsor of such defect. The sponsor must then correct or cure any such defect within 90 days from the date of notice from the trustee of the defect and if the sponsor fails to correct or cure such defect within such period and such defect materially and adversely affects the interests of the certificateholders in the related mortgage loan, the sponsor will, in accordance with the terms of the pooling and servicing agreement, within 90 days of the date of notice, either repurchase such mortgage loan or provide the trustee with a substitute mortgage loan (if within two years of the closing date); provided that, if such defect would cause the mortgage loan to be other than a “qualified mortgage” as defined in Section 860G(a)(3) of the Internal Revenue Code, any such cure, repurchase or substitution must occur within 90 days from the date such breach was discovered.
 
The Class A Certificates and Class M Certificates
 
Priority of Distributions. In general, on any distribution date, funds constituting the interest funds and available for distribution from payments and other amounts received on the mortgage loans after the payment of certain fees and expenses will be distributed in the following order:
 
Interest Distributions
 
first, to pay current interest and any previously unpaid interest, concurrently and pro rata, on the Class A Certificates; and
 
second, to pay current interest, sequentially, on the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates, in that order of priority.
 
On each distribution date, interest accrued on each class of interest bearing certificates will be reduced by such class’ share of (i) net deferred interest on the mortgage loans for that distribution date, (ii) prepayment interest shortfalls on the mortgage loans not covered by compensating interest paid by the subservicer servicer or the master servicer and (iii) interest shortfalls on the mortgage loans as a result of the application of the Servicemembers Civil Relief Act or similar state or local laws.
 
Principal Distributions
 
Amounts constituting the principal distribution amount will be used to pay principal on these certificates (including the payment of amounts to maintain or restore overcollateralization), but only in the order of priority and in the amounts described in this prospectus supplement.
 
Net Monthly Excess Cashflow Distributions
 
Amounts available after distributions of interest and principal as described above will be the net monthly excess cashflow and will be used for various purposes, including maintaining the required level of overcollateralization and making distributions for reimbursement of losses and certain unpaid interest shortfalls.
 
See “Description of the Certificates” in this prospectus supplement for additional information.
 
Net Deferred Interest
 
For any distribution date, the amount of the net deferred interest that will be allocated to the classes of the Class A Certificates and Class M Certificates will equal the excess, if any, of:
 
·
the interest deferred on the mortgage loans from the previous due date to the due date related to that distribution date over
 
·
the amount of principal collections and subsequent recoveries received on the mortgage loans during the prepayment period and due period related to that distribution date. This amount is referred to as the “net deferred interest”.
 
For any distribution date, net deferred interest on the mortgage loans will be allocated to each class of offered certificates in an amount equal to the excess, if any, of:
 
·
the amount of interest accrued on the class of certificates at its pass-through rate during the accrual period related to that distribution date, over
 
·
the amount of current interest that would have accrued had the pass-through rate for that class of certificates equaled the adjusted cap rate for that distribution date.
 
The net deferred interest allocated to a class of certificates will be added as principal to the outstanding certificate principal balance of such class of certificates.
 
See “Description of the Certificates—Allocation of Net Deferred Interest” in this prospectus supplement for additional information.
 
Credit Enhancement
 
The credit enhancement provided for the benefit of the holders of the offered certificates consists of excess spread, overcollateralization and the subordination provided to the more senior classes of certificates by the more subordinate classes of certificates as described under “Description of the Certificates—Allocation of Losses; Subordination” in this prospectus supplement.
 
As of the closing date, the aggregate principal balance of the mortgage loans will exceed the aggregate certificate principal balance of the offered certificates in an amount equal to approximately 3.80% of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
See “Description of the Certificates— Overcollateralization Provisions,” “—Subordination” and “—Allocation of Losses” in this prospectus supplement.
 
Advances
 
The subservicer will make cash advances with respect to delinquent payments of scheduled minimum payments on the mortgage loans, in general, to the extent that the subservicer reasonably believes that such cash advances can be repaid from future payments on the related mortgage loans. If the subservicer fails to make any required advances, the servicer will be obligated to do so, as described in this prospectus supplement. These cash advances are only intended to maintain a regular flow of scheduled interest and principal payments on the certificates and are not intended to guarantee or insure against losses.
 
Master Servicing Fee and Servicing Fee
 
The master servicer will be entitled to any interest or other income earned on funds held in the certificate account. Additionally the master servicer will be entitled to a master servicing fee payable at a rate of 0.0125% per annum. The master servicer will pay the securities administrator, the custodian and the trustee from its fee.
 
With respect to each mortgage loan, the servicer shall be entitled to accrued interest at the servicing fee rate with respect to the mortgage loan on the same principal balance on which interest on the mortgage loan accrues for the calendar month. The servicing fee consists of servicing and other related compensation payable to the servicer. On each mortgage loan, the servicing fee rate is equal to 0.375% per annum. Such fee shall be payable monthly. The servicer will pay the subservicer fee from its fee.
 
Optional Termination
 
At its option, the servicer may purchase all of the mortgage loans, together with any properties in respect thereof acquired on behalf of the issuing entity, and thereby effect termination and early retirement of the certificates on any distribution date that the aggregate stated principal balance of the mortgage loans remaining in the trust has been reduced to less than or equal to 10% of the aggregate stated principal balance of the mortgage loans as of the cut-off date. If the servicer does not exercise its option to purchase the mortgage loans, the master servicer may purchase all of the mortgage loans, together with any properties in respect thereof acquired on behalf of the issuing entity, and thereby effect termination and early retirement of the certificates on any distribution date that the aggregate stated principal balance of the mortgage loans, remaining in the trust has been reduced to less than or equal to 1% of the aggregate stated principal balance of the mortgage loans as of the cut-off date.
 
In addition, if the servicer does not exercise its option to purchase the mortgage loans, the pass-through rate on the Class A Certificates and Class M Certificates will increase as provided in this prospectus supplement.
 
See “Pooling and Servicing Agreement— Termination” in this prospectus supplement.
 
Federal Income Tax Consequences
 
Elections will be made to treat the trust (other than the available funds shortfall reserve fund) as comprising two or more real estate mortgage investment conduits for federal income tax purposes.
 
See “Federal Income Tax Consequences” in this prospectus supplement.
 
Ratings
 
When issued, the offered certificates will receive the ratings set forth on page S-5 of this prospectus supplement. The ratings on the offered certificates address the likelihood that holders of the offered certificates will receive all distributions on the underlying mortgage loans to which they are entitled. However, the ratings do not address the possibility that certificateholders might suffer a lower than anticipated yield.
 
A security rating is not a recommendation to buy, sell or hold a security and is subject to change or withdrawal at any time by the assigning rating agency. The ratings also do not address the rate of principal prepayments on the mortgage loans. In particular, the rate of prepayments, if different than originally anticipated, could adversely affect the yield realized by holders of the offered certificates.
 
See “Ratings” in this prospectus supplement.
 
Legal Investment
 
The Class A-1, Class A-2, Class A-3, Class M-1, Class M-2, Class M-3, Class M-4 and Class M-5 Certificates will constitute “mortgage related securities” for purposes of SMMEA.
 
The Class M-6, Class M-7, Class M-8 and Class M-9 Certificates will not constitute “mortgage related securities” for purposes of SMMEA.
 
See “Legal Investment” in this prospectus supplement.
 
ERISA Considerations
 
It is expected that the offered certificates may be purchased by, or with the assets of, employee benefit plans subject to ERISA or plans or arrangements subject to Section 4975 of the Internal Revenue Code, each of which is also referred to in this prospectus supplement as a Plan. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates.
 
See “ERISA Considerations” in this prospectus supplement. 
 
 

 
RISK FACTORS
 
You should carefully consider, among other things, the following factors in connection with the purchase of the offered certificates:
 
The Sponsor and Servicer and its Parent Have Breached Certain Covenants Under Their Respective Financing Arrangements
 
Recent conditions in the mortgage market have adversely affected the finances of the sponsor. During the fourth quarter of 2006, the sponsor experienced a decline of value of the mortgage loans that it was holding in its portfolio for sale. In addition, the sponsor experienced an increase in delinquencies with respect to mortgage loans with early payment default provisions that it had sold in whole loan transactions which resulted in an increase in repurchase requests.
 
During the first five months of 2007, mortgage loans that were being held in the sponsor’s portfolio for sale suffered additional price deterioration, and the losses incurred from their subsequent sale resulted in a reduction of the operating cash of the sponsor. At the same time, the sponsor’s warehouse lenders requested that the sponsor pay down the outstanding balance of the related warehouse lines of credit in connection with certain seasoned mortgage loans. Moreover, the sponsor had to repurchase an unexpectedly high number of mortgage loans due to repurchase requests resulting from early payment defaults on mortgage loans which were sold in previous whole loan transactions. These factors put a strain on the sponsor’s liquidity starting in February of 2007.
 
Between February 1, 2007 and May 15, 2007, to help the sponsor overcome its liquidity issues, certain members of the board of directors loaned approximately $62 million dollars to ARH Mortgage, Inc. the parent company of Alliance Bancorp, Inc. (formerly known as United Financial Mortgage Corp.) and Alliance Mortgage Investments, Inc. (“AMI”), the parent company of the sponsor. The funds were used to make capital contributions to its subsidiaries to honor the repurchase requests and pay down certain warehouse lines of credit as well as to pay other operating expenses.
 
On or before May 11, 2007, the sponsor and its affiliates obtained various waiver letters for or forbearances related to defaults and events of default with respect to certain breaches of covenants under several of the sponsor’s and its affiliates’ warehouse lines of credit. The earliest of these waivers or forbearances will expire on May 31, 2007 or an earlier date under certain forbearance agreements if certain trigger events specified in such agreements occur. With respect to the lenders, the sponsor is required to fulfill various obligations by May 31, 2007. The sponsor is confident that such obligations will be fulfilled within the required time frame. However, there can be no assurance that the sponsor or its affiliate will be able to do so. If the sponsor or its affiliate is unable to do so, an event of default will occur enabling the related lender to exercise its rights under the related warehouse line of credit, including the termination thereof. The sponsor is also in breach of various other covenants with respect to its warehouse lines of credit which it believes not to be material. However, the related lender could use these breaches to exercise its rights under the related warehouse line of credit, including the termination thereof. Any default on a warehouse line may trigger cross-default provisions with respect to other warehouse lines and covenants of other debt agreements of the sponsor.
 
The failure of the sponsor to fulfill its obligations under its warehouse lines on a timely basis or to receive a claim of a breach of a covenant as described in the preceding paragraph will adversely affect its ability to retain sufficient liquidity to repurchase assets from the issuing entity in respect of any breaches of representations and warranties and to maintain its current business practices. In the event the sponsor is unable to repurchase such mortgage loans, those mortgage loans will remain in the trust, notwithstanding the breaches. As a result, delinquencies and losses on the mortgage loans may be greater, and the yield on your certificates lower, than would otherwise be the case. In addition, the sponsor may not be able to perform its responsibilities as servicer. See “Failure Of Servicer To Perform May Adversely Affect Distributions On Certificates” below.
 
Please see the risk factors “Bankruptcy of the Sponsor May Affect the Closing of this Transaction,” "Bankruptcy of the Depositor or the Sponsor May Delay or Reduce Collections on the Mortgage Loans" and "Bankruptcy Of Other Parties May Adversely Affect Distributions On Certificates" below, for a description of additional risks associated with the failure of the sponsor to fulfill its obligations under its warehouse lines on a timely basis or to receive a claim of a breach of a covenant as described in the second preceding paragraph.
 
The Offered Certificates May Have Limited Liquidity, So You May Be Unable to Sell Your Securities or May Be Forced to Sell Them at a Discount From Their Fair Market Value
 
There can be no assurance that a secondary market for the offered certificates will develop or, if one does develop, that it will provide holders of the offered certificates with liquidity of investment or that it will continue for the life of the offered certificates. As a result, any resale prices that may be available for any offered certificate in any market that may develop may be at a discount from the initial offering price or the fair market value thereof. The offered certificates will not be listed on any securities exchange.
 
Negative Amortization of the Mortgage Loans Will Affect the Yield on and Weighted Average Lives of the Offered Certificates.
 
The interest rates on all of the mortgage loans adjust monthly after an initial fixed rate period of one month, but their minimum monthly payments adjust less frequently, subject to maximum interest rates, payments caps and other limitations. The initial interest rates on most of the mortgage loans are lower than the sum of the index applicable at origination and the related gross margin. During a period of rising interest rates, particularly prior to the first payment adjustment date, the amount of interest accruing on the principal balance of the mortgage loans may exceed the amount of the minimum monthly payment. As a result, a portion of the accrued interest on any mortgage loan may not be paid. That portion of accrued interest will become deferred interest that will be added to the principal balance of the related mortgage loan. In addition, the initial fixed interest rate may be very low, resulting in significant negative amortization during such initial period.
 
In addition, the amount by which a monthly payment may be adjusted on an annual payment adjustment date is limited and may not be sufficient to amortize fully the unpaid principal balance of a mortgage loan over its remaining term to maturity. If the interest rates on the mortgage loans decrease prior to an adjustment in the monthly payment, a larger portion of the monthly payment will be applied to the unpaid principal balance of the mortgage loan, which may cause the classes of certificates to amortize more quickly. Conversely, if the interest rates on the mortgage loans increase prior to an adjustment in the monthly payment, a smaller portion of the monthly payment will be applied to the unpaid principal balance of the mortgage loan, which may cause the classes of certificates to amortize more slowly. Further, if a mortgage loan accrues Deferred Interest during a due period, it will reduce the amount of interest available to be distributed as cash on the classes of certificates on the related distribution date. If the unpaid principal balance of a negative amortization loan exceeds the original balance of the mortgage loan by the amount specified in the related mortgage note, the monthly payment due on that negative amortization loan will be recast without regard to the payment cap in order to provide for the outstanding balance of the mortgage loan to be paid in full at its maturity. In addition, on the fifth payment adjustment date or tenth payment adjustment date of a mortgage loan, as applicable, and every fifth payment adjustment date thereafter and the last payment adjustment date prior to the mortgage loan’s maturity, the monthly payment due on that mortgage loan will be recast without regard to the related payment cap in order to provide for the outstanding balance of the mortgage loan to be paid in full at its maturity by the payment of equal monthly installments. These features may affect the rate at which principal on these mortgage loans is paid and may create a greater risk of default if the borrowers are unable to pay the monthly payments on the related increased principal balances.
 
The amount of deferred interest, if any, with respect to mortgage loans for a given month will reduce the amount of interest collected on these mortgage loans that is available for distributions of interest on the offered certificates. The resulting reduction in interest collections on the mortgage loans will be offset, in part or in whole, by applying principal payments received on the mortgage loans to interest distributions on those offered certificates. For any distribution date, the remaining deferred interest, or net deferred interest, on the mortgage loans may reduce the amount payable to the offered certificates as described in this prospectus supplement. The net deferred interest will be allocated to the offered certificates as described in this prospectus supplement. Allocations of net deferred interest could, as a result, affect the weighted average life of a class of certificates. Only the amount by which the payments of scheduled and unscheduled principal received on the mortgage loans exceeds the amount of deferred interest on the mortgage loans will be distributed as a principal distribution on the offered certificates. We cannot predict the extent to which deferred interest will accrue on the mortgage loans, and therefore cannot predict the extent of the effect of the allocation of net deferred interest on the offered certificates.
 
The Credit Enhancement Is Limited, and the Potential Inadequacy of the Credit Enhancement May Cause Losses or Shortfalls to Be Incurred on the Offered Certificates
 
The credit enhancement features described in this prospectus supplement are intended to enhance the likelihood that holders of the Class A Certificates, and to a limited extent, the holders of the Class M Certificates, will receive regular payments of interest and principal. However, there is no assurance that the applicable credit enhancement will adequately cover any shortfalls in cash available to pay the certificates as a result of delinquencies or defaults on the mortgage loans. On the closing date, the initial amount of overcollateralization will approximately equal the initial overcollateralization target amount of approximately 3.80% of the aggregate stated principal balance of the mortgage loans as of the cut-off date as described in this prospectus supplement.
 
If delinquencies or defaults occur on the mortgage loans, neither the subservicer nor any other entity will advance scheduled minimum monthly payments of interest and principal on delinquent or defaulted mortgage loans if, in the good faith judgment of the subservicer, these advances would not be ultimately recovered from the proceeds of the mortgage loan.
 
If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, you may suffer losses. Losses on the mortgage loans, to the extent not covered by net monthly excess cashflow or overcollateralization, will be allocated to the Class M-9, Class M-8, Class M-7, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2, Class M-1, Class A-3 and Class A-2 Certificates, in that order, in each case, until the certificate principal balance thereof has been reduced to zero. However, any realized loss allocated to a Class A-2, Class A-3 or Class M Certificate may be reimbursed to that class from net monthly excess cashflow, as provided in this prospectus supplement. 
 
The pooling and servicing agreement does not permit the allocation of realized losses to the Class A-1 Certificates. Investors in these securities should note that although realized losses will not be allocated to their securities, under certain loss scenarios there will not be enough principal and interest on the mortgage loans to pay their securities all interest and principal amounts to which they are then entitled.
 
The ratings of the offered certificates by the rating agencies may be lowered following the initial issuance thereof as a result of losses on the mortgage loans in excess of the levels contemplated by the rating agencies at the time of their initial rating analysis. None of the depositor, the securities administrator, the master servicer, the servicer, the subservicer, the trustee or any of their respective affiliates will have any obligation to replace or supplement any credit enhancement, or to take any other action to maintain the ratings of the offered certificates.
 
Interest Generated by the Mortgage Loans May Be Insufficient to Create or Maintain Overcollateralization
 
The amount of interest generated by the mortgage loans (net of fees and expenses) may be higher than the amount of interest required to be paid to the Class A Certificates and Class M Certificates. Any such excess interest will be used to increase or maintain the current level of overcollateralization. We cannot assure you, however, that enough excess interest will be available to cover losses, certain interest shortfalls and available funds shortfalls or to restore or maintain the required level of overcollateralization. The factors described below will affect the amount of excess interest that the mortgage loans will generate:
 
    Every time a mortgage loan is prepaid in full, excess interest may be reduced because the mortgage loan will no longer be outstanding and generating interest or, in the case of a partial prepayment, will be generating less interest.
 
    Every time a mortgage loan is liquidated, excess interest may be reduced because such mortgage loan will no longer be outstanding and generating interest.
 
    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 on such date to make required distributions on the offered certificates.
 
    If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher interest rates than on the mortgage loans with relatively lower interest rates, the amount of excess interest generated by the mortgage loans will be less than would otherwise be the case.
 
The Difference Between the Interest Rates on the Class A Certificates and Class M Certificates and the Mortgage Loans May Result in Available Funds Shortfall Amounts with Respect to Such Certificates
 
The pass-through rate with respect to the Class A Certificates and Class M Certificates adjusts each month and is based upon the lesser of (1) the value of an index (one-month LIBOR) plus the related certificate margin and (2) the available funds cap rate. However, the mortgage rate of substantially all of the mortgage loans is based upon one-year MTA plus the related gross margin, and adjusts monthly, commencing after an initial fixed rate period. These indices may respond differently to economic and market factors, and there is not necessarily any correlation between them. Moreover, the adjustable rate mortgage loans are subject to maximum mortgage rates and minimum mortgage rates. To the extent that the related pass-through rate is limited to the available funds cap rate, available funds shortfall amounts may occur. See “Description of the Certificates — Interest Payments on the Certificates” in this prospectus supplement.
 
Some or all of this shortfall in respect of the Class A Certificates and Class M Certificates will be funded to the extent of the available net monthly excess cashflow. Net monthly excess cashflow may be used, subject to the priorities described in this prospectus supplement to cover available funds shortfall amounts on the Class A Certificates and Class M Certificates. However, there can be no assurance that available net monthly excess cashflow will be sufficient to cover these shortfalls, particularly because in a situation where the pass-through rate on a class of Class A Certificates and Class M Certificates is limited to the available funds cap rate, there will be little or no net monthly excess cashflow.
 
Some of the First Lien Mortgage Loans Have Second Liens in Place Which Have Not Been Transferred to the Issuing Entity
 
With respect to approximately 47.37% of the mortgage loans as of the cut-off date, a second lien mortgage loan is also in place which has not been transferred to the issuing entity. The weighted average loan-to-value ratio at origination of the first lien on these mortgage loans is approximately 78.51% and the weighted average combined loan-to-value ratio at origination of these mortgage loans (including the second lien) is approximately 83.37%. With respect to these mortgage loans, foreclosure frequency may be increased relative to mortgage loans that were originated without a simultaneous second lien because the mortgagors on such mortgage loans have less equity in the mortgaged property. Investors should also note that any mortgagor may obtain secondary financing at any time subsequent to the date of origination of their mortgage loan from the seller or from any other lender.
 
Credit Scores Mentioned in this Prospectus Supplement Are Not an Indicator of Future Performance of Borrowers
 
Investors should be aware that credit scores are based on past payment history of the borrower. Investors should not rely on credit scores as an indicator of future borrower performance. The credit score is a statistical ranking of likely future credit performance developed by Fair, Isaac & Company and the three national credit repositories-Equifax, Trans Union and First American (formerly Experian, which was formerly TRW). The credit scores available from the three national credit repositories are calculated by the assignment of weightings to the most predictive data collected by the credit repositories and range from the 300’s to the 900’s. Although the credit scores are based solely on the information at the particular credit repository, such credit scores have been calibrated to indicate the same level of credit risk regardless of which credit repository is used. The credit scores are used by the originator along with, among other considerations, mortgage payment history, seasoning on bankruptcy and/or foreclosure, and are not a substitute for the originator’s judgment.
 
Statutory and Judicial Limitations on Foreclosure Procedures May Delay Recovery in Respect of the Mortgaged Properties and, in Some Instances, Limit the Amount That May Be Recovered by the Foreclosing Lender, Resulting in Losses on the Mortgage Loans that Might Cause Losses or Shortfalls to Be Incurred on the Offered Certificates
 
Foreclosure procedures vary from state to state. Two primary methods of foreclosing a mortgage instrument are judicial foreclosure, involving court proceedings, and non-judicial foreclosure pursuant to a power of sale granted in the mortgage instrument. A foreclosure action is subject to most of the delays and expenses of other lawsuits if defenses are raised or counterclaims are asserted. Delays may also result from difficulties in locating necessary defendants. Non-judicial foreclosures may be subject to delays resulting from state laws mandating the recording of notice of default and notice of sale and, in some states, notice to any party having an interest of record in the real property, including junior lienholders. Some states have adopted “anti-deficiency” statutes that limit the ability of a lender to collect the full amount owed on a loan if the property sells at foreclosure for less than the full amount owed. In addition, United States courts have traditionally imposed general equitable principles to limit the remedies available to lenders in foreclosure actions that are perceived by the court as harsh or unfair. The effect of these statutes and judicial principles may be to delay and/or reduce distributions in respect of the offered certificates. See “Legal Aspects of Mortgage Loans—Foreclosure on Mortgages” in the prospectus.
 
The Value of the Mortgage Loans May Be Affected by, Among Other Things, a Decline in Real Estate Values and Changes in the Borrowers’ Financial Condition, Which May Cause Losses or Shortfalls to be Incurred on the Offered Certificates
 
No assurance can be given that values of the mortgaged properties have remained or will remain at their levels as of the dates of origination of the related mortgage loans. If the residential real estate market should experience an overall decline in property values so that the outstanding balances of the mortgage loans, and any secondary financing on the mortgaged properties, become equal to or greater than the value of the mortgaged properties, the actual rates of delinquencies, foreclosures and losses could be higher than those now generally experienced in the mortgage lending industry. A decline in property values is more likely to result in losses on mortgage loans with high loan-to-value ratios. Such losses will be allocated to the Class A-2, Class A-3 and Class M Certificates to the extent not covered by credit enhancement.
 
The Mortgage Loans Were Underwritten to Non-Conforming Underwriting Standards, Which May Result in Losses or Shortfalls on the Offered Certificates
 
The mortgage loans were underwritten generally in accordance with underwriting standards which are primarily intended to provide for single family “non-conforming” mortgage loans. A “non-conforming” mortgage loan means a mortgage loan which is ineligible for purchase by Fannie Mae or Freddie Mac due to either credit characteristics of the related mortgagor or documentation standards in connection with the underwriting of the related mortgage loan that do not meet the Fannie Mae or Freddie Mac underwriting guidelines for “A” credit mortgagors. These credit characteristics include mortgagors whose creditworthiness and repayment ability do not satisfy such Fannie Mae or Freddie Mac underwriting guidelines and mortgagors who may have a record of credit write-offs, outstanding judgments, prior bankruptcies and other credit items that do not satisfy such Fannie Mae or Freddie Mac underwriting guidelines. These documentation standards may include mortgagors who provide limited or no documentation in connection with the underwriting of the related mortgage loan. Accordingly, mortgage loans underwritten under the sponsor’s non-conforming credit underwriting standards are likely to experience rates of delinquency, foreclosure and loss that are higher, and may be substantially higher, than mortgage loans originated in accordance with the Fannie Mae or Freddie Mac underwriting guidelines. Any resulting losses, to the extent not covered by credit enhancement, may affect the yield to maturity of the offered certificates.
 
The Mortgage Loans Are Concentrated in the State of California, Which May Result in Losses with Respect to these Mortgage Loans
 
Investors should note that some geographic regions of the United States from time to time will experience weaker regional economic conditions and housing markets, and, consequently, will experience higher rates of loss and delinquency than will be experienced on mortgage loans generally. For example, a region’s economic condition and housing market may be directly, or indirectly, adversely affected by natural disasters such as earthquakes, hurricanes, floods and eruptions, civil disturbances such as riots, and by other disruptions such as ongoing power outages, terrorist actions or acts of war. The economic impact of any of these types of events may also be felt in areas beyond the region immediately affected by the disaster or disturbance. Approximately 74.55% of the mortgage loans (by aggregate outstanding principal balance of the mortgage loans as of the cut-off date) are in the state of California. The concentration of the mortgage loans in the state of California may present risk considerations in addition to those generally present for similar mortgage-backed securities without this concentration. Any risks associated with mortgage loan concentration may affect the yield to maturity of the offered certificates to the extent losses caused by these risks which are not covered by credit enhancement are allocated to the offered certificates.
 
The Rate and Timing of Prepayments Will Affect Your Yield
 
Borrowers may prepay their mortgage loans in whole or in part at any time. We cannot predict the rate at which borrowers will repay their mortgage loans. A prepayment of a mortgage loan generally will result in a prepayment on the certificates.
 
    If you purchase your certificates at a discount and principal is repaid slower than you anticipate, then your yield may be lower than you anticipate.
 
    If you purchase your certificates at a premium and principal is repaid faster than you anticipate, then your yield may be lower than you anticipate.
 
    The rate of prepayments on the mortgage loans will be sensitive to prevailing interest rates. Generally, if interest rates decline, mortgage loan prepayments may increase due to the availability of other mortgage loans at lower interest rates. Conversely, if prevailing interest rates rise significantly, the prepayments on mortgage loans may decrease.
 
    Approximately 97.47% of the mortgage loans (by aggregate outstanding principal balance of the mortgage loans as of the cut-off date), require the mortgagor to pay a charge in certain instances if the mortgagor prepays the mortgage loan during a stated period, which may be from six months to three years after the mortgage loan was originated. A prepayment charge may or may not discourage a mortgagor from prepaying the mortgage loan during the applicable period.
 
    The sponsor may be required to purchase mortgage loans from the issuing entity in the event certain breaches of representations and warranties occur and have not been cured. These purchases will have the same effect on the holders of the offered certificates as a prepayment of the mortgage loans.
 
    The overcollateralization provisions, whenever overcollateralization is at a level below the required level, are intended to result in an accelerated rate of principal distributions to holders of the classes of Class A Certificates and Class M Certificates then entitled to distributions of principal. An earlier return of principal to the holders of the offered certificates as a result of the overcollateralization provisions will influence the yield on the offered certificates in a manner similar to the manner in which principal prepayments on the mortgage loans will influence the yield on the offered certificates.
 
    Because principal distributions are paid to certain classes of offered certificates before other such classes, holders of classes of offered certificates having a later priority of payment bear a greater risk of losses than holders of classes having earlier priorities for distribution of principal.
 
See “Yield on the Certificates” in this prospectus supplement for a description of factors that may influence the rate and timing of prepayments on the mortgage loans and the weighted average lives of the offered certificates.
 
The Mortgage Loans May Have Environmental Risks, Which May Result in Increased Losses with Respect to these Mortgage Loans
 
To the extent the servicer for a mortgage loan acquires title to any related mortgaged property contaminated with or affected by hazardous wastes or hazardous substances, these mortgage loans may incur losses. See “Servicing of Mortgage Loans—Realization Upon or Sale of Defaulted Mortgage Loans” and “Legal Aspects of Mortgage Loans—Environmental Legislation” in the prospectus. To the extent these environmental risks result in losses on the mortgage loans, the yield to maturity of the offered certificates, to the extent not covered by credit enhancement, may be affected.
 
Some Additional Risks are Associated with the Class A-2, Class A-3 and Class M Certificates
 
The weighted average lives of, and the yields to maturity on, the Class M-9, Class M-8, Class M-7, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2, Class M-1, Class A-3 and Class A-2 Certificates will be sensitive, in that order, to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans. If the actual rate and severity of losses on the mortgage loans is higher than those assumed by an investor in such certificates, the actual yield to maturity of such certificates may be lower than the yield anticipated by such holder based on such assumption. The timing of losses on the mortgage loans will also affect an investor’s actual yield to maturity, even if the rate of defaults and severity of losses over the life of the mortgage pool are consistent with an investor’s expectations. In general, the earlier a loss occurs, the greater the effect on an investor’s yield to maturity. Realized losses on the mortgage loans, to the extent they exceed the amount of overcollateralization following distributions of principal on the related distribution date, will reduce the certificate principal balance of each class of Class A-2, Class A-3 and Class M Certificates then outstanding with the lowest payment priority. However, any realized loss allocated to a Class A-2, Class A-3 or Class M Certificate may be reimbursed to that class from excess interest as provided in this prospectus supplement.
 
In addition, the yield on the offered certificates will be sensitive to changes in the rates of prepayment of the mortgage loans. Because distributions of principal will be made to the holders of such certificates according to the priorities described in this prospectus supplement, the yield to maturity on such classes of certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on such classes. The yield to maturity on such classes of certificates will also be extremely sensitive to losses due to defaults on the mortgage loans (and the timing thereof), to the extent such losses are not covered by excess interest, overcollateralization or a class of subordinate certificates with a lower payment priority. Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the offered certificates may be adversely affected by losses even if such classes of certificates do not ultimately bear such loss.
 
Investors in the Class M Certificates should be aware that the Class M Certificates are not expected to receive principal distributions until, at the earliest, the distribution date in June 2010 (unless the certificate balances of all of the Class A Certificates have been reduced to zero prior to the June 2010 distribution date).
 
Prepayment Interest Shortfalls and Relief Act Shortfalls Will Affect Your Yield
 
When a principal prepayment in full is made on a mortgage loan, the mortgagor is charged interest only up to the date of the principal 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, as amended, to any mortgage loan will adversely affect, for an indeterminate period of time, the ability of the subservicer and servicer to collect full amounts of interest on the mortgage loan. This may result in a shortfall in interest collections available for distribution to certificateholders on the next distribution date. The servicer, or the subservicer its behalf, is required to cover a portion of the shortfall in interest collections that are attributable to prepayments, but only up to the amount of the aggregate servicing fee for the related calendar month. In addition, certain shortfalls in interest collections arising from the application of the Relief Act will not be covered by the subservicer, the servicer or the master servicer.
 
On any distribution date, any shortfalls resulting from the application of the Relief Act and any prepayment interest shortfalls to the extent not covered by compensating interest paid by the subservicer or the servicer will be allocated, first, in reduction of amounts otherwise distributable to the holders of the Class CE Certificates, and thereafter, to the monthly interest distributable amounts with respect to the Class A Certificates and Class M 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 offered certificates will not be entitled to reimbursement for any such interest shortfalls. If these shortfalls are allocated to the offered certificates on any distribution date, the amount of interest paid to those certificates will be reduced, adversely affecting the yield on your investment.
 
Violation of Various Federal and State Laws May Result in Losses on the Mortgage Loans
 
Applicable state laws generally regulate interest rates and other charges, require specific disclosure, and require licensing of the sponsor. 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 also are subject to federal laws, including:
 
    the Federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require specific disclosures to the borrowers 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.
 
Depending on the provisions of the applicable law and the specific facts and circumstances involved, violations of these federal or state laws, policies and principles may limit the ability of the issuing entity to collect all or part of the principal of or interest on the mortgage loans, may entitle the borrower to a refund of amounts previously paid and, in addition, could subject the issuing entity to damages and administrative enforcement. See “Legal Aspects of Mortgage Loans—Consumer Compliance Laws and Regulations” in the prospectus.
 
The sponsor will represent that as of the closing date, each mortgage loan at the time it was originated complied in all material respects with applicable local, state and federal laws, including, without limitation, usury, equal credit opportunity, truth-in-lending and disclosure laws. The sponsor will also represent that each mortgage loan is being serviced in all material respects in accordance with applicable local, state and federal laws, including, without limitation, usury, equal credit opportunity and disclosure laws. In the event of a breach of this representation, it will be obligated to cure the breach or repurchase or replace the affected mortgage loan in the manner described in this prospectus supplement.
 
The Ratings on the Offered Certificates Are Not a Recommendation to Buy, Sell or Hold the Offered Certificates and Are Subject to Withdrawal at Any Time, Which May Result in Losses on the Offered Certificates
 
It is a condition to the issuance of the offered certificates that each class of offered certificates be rated no lower than the ratings described on page S-5 of this prospectus supplement. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time. No person is obligated to maintain the rating on any offered certificate, and, accordingly, there can be no assurance that the ratings assigned to any offered certificate on the date on which the offered certificates are initially issued will not be lowered or withdrawn by a rating agency at any time thereafter. In the event any rating is revised or withdrawn, the liquidity or the market value of the offered certificates may be adversely affected. See “Ratings” in this prospectus supplement.
 
The Recording of Mortgages in the Name of MERS May Affect the Yield on the Certificates.
 
The mortgages or assignments of mortgage for some of the mortgage loans have been or may be recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the sponsor and its successors and assigns. Subsequent assignments of those mortgages are registered electronically through the MERS® System. However, if MERS discontinues the MERS® System and it becomes necessary to record an assignment of the mortgage to the trustee, then any related expenses shall be paid by the issuing entity and will reduce the amount available to pay principal of and interest on the subordinate certificates.
 
The recording of mortgages in the name of MERS is a new practice in the mortgage lending industry. Public recording officers and others may have limited, if any, experience with lenders seeking to foreclose mortgages, assignments of which are registered with MERS. Accordingly, delays and additional costs in commencing, prosecuting and completing foreclosure proceedings and conducting foreclosure sales of the mortgaged properties could result. Those delays and additional costs could in turn delay the distribution of liquidation proceeds to certificateholders and increase the amount of losses on the mortgage loans.
 
For additional information regarding MERS and the MERS® System, see “The Mortgage Pool—Mortgage Loan Characteristics” and “Yield on the Certificates—Yield Sensitivity of the Offered Certificates” in this prospectus supplement.
 
Recent Developments in the Residential Mortgage Market May Adversely Affect the Market Value of Your Certificates.
 
Investors should note that the residential mortgage market has recently encountered difficulties which may adversely affect the performance or market value of your certificates.
 
In recent months, delinquencies and losses with respect to residential mortgage loans generally have increased and may continue to increase, particularly in the subprime sector. In addition, in recent months residential property values in many states have declined or remained stable, after extended periods during which those values appreciated. A continued decline or a lack of increase in those values may result in additional increases in delinquencies and losses on residential mortgage loans generally, especially with respect to second homes and investor properties, and with respect to any residential mortgage loans where the aggregate loan amounts (including any subordinate loans) are close to or greater than the related property values. Another factor that may have contributed to, and may in the future result in, higher delinquency rates is the increase in monthly payments on adjustable rate mortgage loans. Any increase in prevailing market interest rates may result in increased payments for borrowers who have adjustable rate mortgage loans. Moreover, with respect to hybrid mortgage loans after their initial fixed rate period, and with respect to mortgage loans with a negative amortization feature which reach their negative amortization cap, borrowers may experience a substantial increase in their monthly payment even without an increase in prevailing market interest rates. In addition, several residential mortgage loan originators who originate subprime loans have recently experienced serious financial difficulties and, in some cases, bankruptcy. Those difficulties have resulted in part from declining markets for their mortgage loans as well as from claims for repurchases of mortgage loans previously sold under provisions that require repurchase in the event of early payment defaults. The inability to repurchase such loans in the event of early payment defaults may also affect the performance of any certificates backed by those loans.
 
The mortgage loans in the trust do not include subprime mortgage loans, and the sponsor and its affiliates originate only a limited number of subprime mortgage loans, all of which are sold to third-parties. Regardless, these general market conditions may affect the performance of the mortgage loans backing your certificates and, even if they do not affect performance, may adversely affect the market value of your certificates.
 
Various federal, state and local regulatory authorities have taken or proposed actions that could hinder the ability of a servicer to foreclose promptly on defaulted mortgage loans. Any such actions may adversely affect the performance of the loans and the yield on and value of the securities.
 
Bankruptcy of the Sponsor May Affect the Closing of this Transaction.
 
In the event that the sponsor files for protection under the United States Bankruptcy Code prior to the closing date, or in the event that the sponsor otherwise becomes a debtor under the United States Bankruptcy Code prior to the closing date, no assurances can be given that the mortgage loans will be sold to the depositor or to the issuing entity on the closing date.
 
Bankruptcy of the Depositor or the Sponsor May Delay or Reduce Collections on the Mortgage Loans.
 
Each of the depositor and the sponsor may be eligible to become a debtor under the United States Bankruptcy Code. If the depositor or the sponsor were to become a debtor under the United States Bankruptcy Code, the bankruptcy court could be asked to determine whether the mortgage loans that support the certificates constitute property of the debtor, or whether they constitute property of the issuing entity. If the bankruptcy court were to determine that the mortgage loans constitute property of the estate of the debtor, there could be delays in payments to certificateholders of collections on the mortgage loans and/or reductions in the amount of the payments paid to certificateholders. The mortgage loans would not constitute property of the estate of the depositor or of the sponsor if the transfer of the mortgage loans from the sponsor to the depositor and from the depositor to the related issuing entity are treated as true sales, rather than pledges, of the mortgage loans.
 
The transactions contemplated by this prospectus supplement will be structured so that, if there were to be a bankruptcy proceeding with respect to the sponsor or the depositor, the transfers will be treated as true sales, and not as pledges. The mortgage loans should accordingly be treated as property of the related issuing entity and not as part of the bankruptcy estate of the depositor or sponsor. In addition, the depositor is operated in a manner that should make it unlikely that it would become the subject of a bankruptcy filing.
 
However, there can be no assurance that a bankruptcy court would not recharacterize the transfers as borrowings of the depositor or the sponsor secured by pledges of the mortgage loans. Any request by the debtor (or any of its creditors) for such a recharacterization of these transfers, if successful, could result in delays in payments of collections on the mortgage loans and/or reductions in the amount of the payments paid to certificateholders, which could result in losses on the certificates. Even if a request to recharacterize the transfers were to be denied, delays in payments on the mortgage loans and resulting delays or losses on the certificates could result.
 
In the event that the sponsor files for bankruptcy protection, the issuing entity’s status as a creditor in respect of repurchase obligations stemming from breaches of representations and warranties with respect to the mortgage loans would be that of an unsecured creditor, which may result in no funds being available to effectuate any such repurchase of defective mortgage loans.
 
Bankruptcy Of Borrowers May Adversely Affect Distributions On Certificates.

The application of federal and state laws, including bankruptcy and debtor relief laws, may interfere with or adversely affect the ability to realize on the properties, enforce deficiency judgments or pursue collection litigation with respect to defaulted loans. As a consequence, borrowers who have defaulted on their loans and sought, or are considering seeking, relief under bankruptcy or debtor relief laws will have substantially less incentive to repay their loans. As a result, these loans will likely experience more severe losses, which may be total losses and could therefore increase the risk that you will suffer losses.
 
Bankruptcy Of Other Parties May Adversely Affect Distributions On Certificates.

The sponsor and the depositor intend to treat the transfer of the loans to the depositor and the issuing entity, respectively, as an absolute transfer and not as a secured lending arrangement. In this event, the loans would not be part of the sponsor’s or the depositor’s bankruptcy estate if a bankruptcy occurred and would not be available to the sponsor’s or depositor’s creditors. If the sponsor or depositor becomes insolvent, it is possible that the bankruptcy trustee or a creditor of the sponsor or of the depositor may attempt to recharacterize the sale of the loans as a borrowing by the sponsor or depositor, secured by a pledge of the loans. This position, if accepted by a court, could prevent timely distributions of amounts due on the certificates and result in a reduction of distributions on the certificates.
 
If a bankruptcy or insolvency of the servicer occurs, the bankruptcy trustee or receiver may have the power to prevent the master servicer from appointing a successor servicer.
 
In addition, federal and state statutory provisions, including the federal bankruptcy laws and state laws affording relief to debtors, may interfere with or affect the ability of the secured lender to realize on its security. See “Legal Aspects of Mortgage Loans” in the Prospectus.
 
Failure Of Servicer To Perform May Adversely Affect Distributions On Certificates.

The amount and timing of distributions on the certificates generally will be dependent on the servicer to perform its servicing obligations in an adequate and timely manner. See “The Servicer” in this prospectus supplement. Bankruptcy, insolvency or any failure by the servicer to perform its servicing obligations may result in the termination of the servicer. That termination with its transfer of daily collection activities will likely increase the rates of delinquencies, defaults and losses on the loans. As a result, shortfalls in the distributions due on your certificates could occur. See “The Sponsor and Servicer and its Parent Have Breached Certain Covenants Under Their Respective Financing Arrangements” above. 
 
A Transfer of Servicing May Result in Increased Losses and Delinquencies on the Mortgage Loans.

On May 25, 2007, subservicing for approximately 9.11% of the mortgage loans were transferred to GMAC Mortgage LLC from a third party servicer. On the closing date, the sponsor will deposit into the certificate account an amount equal to the scheduled interest payments due on June 1, 2007 with respect to three of these mortgage loans.
 
Investors should note, however, that when the servicing of mortgage loans is transferred, there is generally a rise in delinquencies associated with such transfer. Such increase in delinquencies may result in losses, which, to the extent they are not absorbed by credit enhancement, will cause losses or shortfalls to be incurred by the holders of the certificates. In addition, any higher default rate resulting from such transfer may result in an acceleration of prepayments on these mortgage loans.
 
Drug, RICO And Money Laundering Violations Could Lead To Property Forfeitures.

 
Federal law provides that property purchased or improved with assets derived from criminal activity or otherwise tainted, or used in the commission of certain offenses, can be seized and ordered forfeited to the United States of America. The offenses which can trigger such a seizure and forfeiture include, among others, violations of the Racketeer Influenced and Corrupt Organizations Act, the Bank Secrecy Act, the anti-money laundering laws and regulations, including the USA Patriot Act of 2001 and the regulations issued pursuant to that Act, as well as the narcotic drug laws. In many instances, the United States may seize the property even before a conviction occurs.
 
 
In the event of a forfeiture proceeding, a lender may be able to establish its interest in the property by proving that (1) its mortgage was executed and recorded before the commission of the illegal conduct from which the assets used to purchase or improve the property were derived or before the commission of any other crime upon which the forfeiture is based, or (2) the lender, at the time of the execution of the mortgage, did not know or was reasonably without cause to believe that the property was subject to forfeiture. However, there is no assurance that such a defense would be successful.
 
The Certificates Are Obligations Of The Issuing Entity Only.

 
The certificates are obligations of the issuing entity only and will not represent an interest in or obligation of the depositor, the sponsor, the underwriter, the servicer, the subservicer, the trustee, the master servicer, the securities administrator or any of their respective affiliates. Neither the offered certificates nor the underlying mortgage loans will be guaranteed or insured by any governmental agency or instrumentality or by the depositor, the sponsor, the underwriter, the servicer, the subservicer, the trustee, the master servicer, the securities administrator or any of their respective affiliates. Proceeds of the assets included in the issuing entity will be the sole source of payments on the offered certificates, and there will be no recourse to the depositor, the sponsor, the underwriter, the servicer, the subservicer, the trustee, the master servicer, the securities administrator or any other entity in the event that such proceeds are insufficient or otherwise unavailable to make all payments provided for under the offered certificates.
 
Offered Certificates May Not Be Suitable 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.
 
THE MORTGAGE POOL
 
General
 
References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate unpaid principal balance of the mortgage loans as of the Cut-off Date.
 
The mortgage pool will consist of approximately 777 first lien adjustable-rate mortgage loans secured primarily by one- to four-family residences, which are referred to in this prospectus supplement as the mortgage loans. The mortgage loans have an initial aggregate unpaid principal balance as of the Cut-off Date of approximately $319,128,991 after application of scheduled minimum payments due on or before the Cut-off Date whether or not received. The mortgage loans have original terms to maturity of not greater than 30 years.
 
The Sponsor will convey the mortgage loans to the Depositor on the Closing Date pursuant to the Mortgage Loan Purchase Agreement and the Depositor will convey the mortgage loans to the Issuing Entity on the Closing Date pursuant to the Agreement. The Sponsor will make certain representations and warranties with respect to the mortgage loans in the Mortgage Loan Purchase Agreement. These representations and warranties will be assigned by the Depositor to the Trustee for the benefit of the certificateholders. The Sponsor will have certain repurchase or substitution obligations in connection with a breach of any such representation or warranty, as well as in connection with an omission or defect in respect of certain constituent documents required to be delivered with respect to the mortgage loans, if such breach, omission or defect cannot be cured and it materially and adversely affects the interests of the certificateholders. See “Pooling and Servicing Agreement—Assignment of the Mortgage Loans” in this prospectus supplement.
 
The mortgage loans will have been originated or acquired by the Sponsor in accordance with the underwriting criteria described in this prospectus supplement. See “—Underwriting Criteria” below.
 
As of the Cut-off Date, 90.89% of the mortgage loans were subserviced by GMAC Mortgage, LLC. On May 25, 2007, subservicing for approximately 9.11% of the mortgage loans were transferred to GMAC Mortgage LLC from a third party servicer.
 
All of the mortgage loans have scheduled monthly payments due on the related Due Date. Each mortgage loan will contain a customary “due-on-sale” clause.
 
The current and historical delinquency disclosure included in this prospectus supplement regarding the mortgage loans, the representation of the sponsor with respect to the delinquency status of the mortgage loans and the static pool information of the sponsor utilize the MBA Method. In addition, delinquency information included in reports to certificateholders and delinquencies for purposes of the trigger tests described in this prospectus supplement will use the MBA Method. As used in this prospectus supplement, a mortgage loan is considered “30 days delinquent” if the borrower fails to make a scheduled payment prior to the mortgage loan’s first succeeding due date. For example, if a securitization had a closing date occurring in August and a cut-off date of August 1, a mortgage loan with a payment due on July 1 that remained unpaid as of the close of business on July 31 would be described as 30 days delinquent as of the cut-off date in the prospectus supplement. A mortgage loan would be considered “60 days delinquent” with respect to such scheduled payment if such scheduled payment were not made prior to the close of business on the day prior to the mortgage loan’s second succeeding due date. Delinquency information presented in this prospectus supplement as of the Cut-off Date is determined and prepared as of the close of business on the last business day immediately prior to the Cut-off Date
 
Mortgage Rate Adjustment
 
All of the mortgage loans are adjustable-rate mortgage loans. The interest rate borne by each of these mortgage loans will be adjusted monthly, based on One-Year MTA or COFI, also referred to in this prospectus supplement as the Indexes. The rate on each of these mortgage loans will be computed in accordance with the related mortgage note, plus the related gross margin, generally subject to rounding and to certain other limitations, including generally a maximum lifetime mortgage rate and in certain cases a minimum lifetime mortgage rate. As to each mortgage loan, the Servicer will be responsible for calculating and implementing interest rate adjustments.
 
Substantially all of the mortgage loans allow the related mortgagor to choose one of several payment options, which may include an amount less than, equal to or greater than a fully-amortizing monthly payment, referred to as the Minimum Monthly Payment in this prospectus supplement. The Minimum Monthly Payment for each negative amortization mortgage loan will adjust annually subject to the conditions that (i) the Minimum Monthly Payment (with the exception of each fifth payment adjustment date and each fifth anniversary thereafter) will not increase or decrease by an amount that is more than 7.5% of the monthly payment prior to the adjustment, (ii) as of the fifth payment adjustment date and each fifth anniversary thereafter, the Minimum Monthly Payment will be recast without regard to the limitation in clause (i) above and (iii) if the unpaid principal balance exceeds a percentage (either 110% or 115%, depending on the maximum negative amortization for that mortgage loan) of the original principal balance due to Deferred Interest, the Minimum Monthly Payment will be recast without regard to the limitation in clause (i) to amortize fully the then unpaid principal balance of the negative amortization loan over its remaining term to maturity. The final payment on each mortgage loan also is not subject to any limit on the change in the Minimum Monthly Payment. Depending on the amount and timing of increases to the principal balance of a mortgage loan due to negative amortization, the final payment on that mortgage loan may be substantially larger than the immediately preceding Minimum Monthly Payment.
 
Since the mortgage interest rate on each mortgage loan adjusts monthly and the Minimum Monthly Payment adjusts annually, some of which do not begin to adjust until after the fifth year, subject to the limitations described above, and since the Minimum Monthly Payment may not be increased on most adjustment dates by an amount greater than 7.5%, increases in One-Year MTA will cause a larger portion of the monthly payment to be allocated to interest and a smaller portion to principal. In some cases, the interest due on the mortgage loan may exceed the monthly payment. Any such excess will be added to the outstanding principal balance of the mortgage loan in the form of negative amortization. Decreases in One-Year MTA, on the other hand, will cause a larger portion of the monthly payment to be allocated to principal and a smaller portion to interest.
 
Indices on the Mortgage Loans
 
One-Year MTA. Substantially all of the mortgage loans will adjust monthly based on the twelve-month moving average monthly yield on United States Treasury Securities adjusted to a constant maturity of one year, as published by the Federal Reserve Board in the Federal Reserve Statistical Release “Selected Interest Rates (H.15)”, determined by averaging the monthly yields for the most recently available twelve months, also referred to as One-Year MTA. The One-Year MTA figure used for each interest rate adjustment date will be the most recent One-Year MTA figure available as of fifteen days before that date.
 
If One-Year MTA is no longer available, the Servicer will choose a new Index that is based on comparable information. When the Servicer chooses a new Index, it will increase or decrease the gross margin on each mortgage loan by the difference between the average of One-Year MTA for the final three years it was in effect and the average of the replacement index for the most recent three years. The gross margin will be increased by that difference if the average of One-Year MTA is greater than the average of the replacement index, and the gross margin will be decreased by that difference if the average of the replacement index is greater than the average of One-Year MTA. The new gross margin will be rounded up as provided in the related mortgage note.
 
Listed below are some historical values of One-Year MTA since January 1, 2001. The values of One-Year MTA shown are intended only to provide an historical summary of the movements in the One-Year MTA and may not be indicative of future rates. No assurances can be given as to the value of One-Year MTA on any interest rate adjustment date or during the life of any mortgage loan.


   
One-Year MTA
 
Adjustment Date
 
2001
 
2002
 
2003
 
2004
 
2005
 
2006
 
2007
 
January 1
   
6.00
%
 
3.26
%
 
1.94
%
 
1.23
%
 
2.02
%
 
3.62
%
 
4.98
%
February 1
   
5.87
   
3.06
   
1.86
   
1.23
   
2.17
   
3.75
   
5.01
 
March 1
   
5.71
   
2.91
   
1.75
   
1.23
   
2.35
   
3.89
   
5.03
 
April 1
   
5.53
   
2.79
   
1.65
   
1.24
   
2.35
   
4.01
   
5.03
 
May 1
   
5.32
   
2.67
   
1.55
   
1.29
   
2.50
   
4.14
   
5.03
 
June 1
   
5.10
   
2.55
   
1.45
   
1.38
   
2.74
   
4.28
       
July 1
   
4.90
   
2.41
   
1.38
   
1.46
   
2.87
   
4.43
       
August 1
   
4.67
   
2.27
   
1.34
   
1.52
   
3.02
   
4.56
       
September 1
   
4.40
   
2.18
   
1.30
   
1.60
   
3.16
   
4.66
       
October 1
   
4.09
   
2.12
   
1.27
   
1.68
   
3.16
   
4.82
       
November 1
   
3.76
   
2.07
   
1.26
   
1.77
   
3.33
   
4.88
       
December 1
   
3.48
   
2.00
   
1.24
   
1.89
   
3.48
   
4.93
       

COFI. Approximately 0.08% of the mortgage loans will adjust monthly based on weighted average interest rate paid by the Eleventh Federal Home Bank District savings institutions for savings and checking accounts, advances from the FHLB and other sources of funds, also referred to as COFI. The COFI figure used for each interest rate adjustment date will be the most recent COFI figure available as of fifteen days before that date.
 
Additional Information
 
The description in this prospectus supplement of the mortgage loans and the mortgaged properties is based upon the aggregate Stated Principal Balances of the mortgage loans as of the Cut-off Date. However, some of the mortgage loans may not be included in the trust as a result of incomplete documentation or otherwise if the Depositor deems their removal necessary, and may be prepaid at any time.
 
Prepayment Charges
 
Approximately 97.47% of the mortgage loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, these mortgage loans provide for payment of a prepayment charge on partial or full prepayments made within six months to three years or other period as provided in the related mortgage note from the date of origination of the mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note, and the prepayment charge will generally apply if, in any period during the first six months to three years or other period as provided in the related mortgage note from the date of origination of the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the mortgage loan. The amount of the prepayment charge will generally be equal to 6 months’ interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the mortgage loan. The holders of the Certificates will be entitled to prepayment charges received on the mortgage loans. The Servicer or the Subservicer may waive the collection of any otherwise applicable prepayment charge or reduce the amount thereof actually collected, but only if the Servicer or Subservicer does so in compliance with the prepayment charge waiver standards set forth in the Agreement. If the Servicer or the Subservicer waives any prepayment charge other than in accordance with the standards set forth in the Agreement, the Servicer or the Subservicer will be required to pay the amount of the waived prepayment charge. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans.
 
Mortgage Loan Characteristics
 
The statistical information included in this prospectus supplement with respect to the mortgage loans is based on a pool of 777 mortgage loans. References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the Cut-off Date.
 
The original mortgages for some of the mortgage loans have been, or in the future may be, at the sole discretion of the Servicer, recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the Sponsor and its successors and assigns, and subsequent assignments of those mortgages have been, or in the future may be, at the sole discretion of the Servicer, registered electronically through the MERS® System. In some other cases, the original mortgage was recorded in the name of the originator of the mortgage loan, record ownership was later assigned to MERS, solely as nominee for the owner of the mortgage loan, and subsequent assignments of the mortgage were, or in the future may be, at the sole discretion of the Servicer, registered electronically through the MERS® System. For each of these mortgage loans, MERS serves as mortgagee of record on the mortgage solely as a nominee in an administrative capacity on behalf of the trustee, and does not have any interest in the mortgage loan. Some of the mortgage loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see “Yield on the Certificates—Yield Sensitivity of the Offered Certificates” in this prospectus supplement.
 
The mortgage loans had an aggregate principal balance as of the Cut-off Date of approximately $319,128,991, after application of scheduled payments due on or before the Cut-off Date, whether or not received.
 
The average principal balance of the mortgage loans at origination was approximately $406,583. No mortgage loan had a principal balance at origination of less than approximately $52,000 or greater than approximately $1,500,000. The average principal balance of the mortgage loans as of the Cut-off Date was approximately $410,719. No mortgage loan had a principal balance as of the Cut-off Date of less than approximately $52,000 or greater than approximately $1,511,568.
 
As of the Cut-off Date, the mortgage loans had mortgage rates ranging from approximately 7.625% per annum to approximately 10.250% per annum and the weighted average mortgage rate was approximately 8.898% per annum. The weighted average remaining term to stated maturity of the mortgage loans was approximately 357 months as of the Cut-off Date. None of the mortgage loans will have a first Due Date prior to July 1, 2006, or after July 1, 2007, or will have a remaining term to maturity of less than 349 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any mortgage loan is June 1, 2037.
 
As of the Cut-off Date, none of the mortgage loans are 30 days or more delinquent.
 
None of the mortgage loans are buydown mortgage loans.
 
None of the mortgage loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
 
The following table sets forth the historical delinquency experience of the mortgage loans. The historical delinquency information is based on the delinquency of each mortgage loan over a period equal to the lesser of (1) the time since the origination of the mortgage loan, (2) the past twelve months or (3) the period for which information is known or reasonably available to the Depositor. The loans are categorized in the table below based on the longest period of delinquency during the period on which the table is based. None of the loans have been delinquent 60 days or more, during the period on which the table is based.
 
 
Historical Delinquency of the Mortgage Loans Since Origination
 
 
Days Delinquent
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
Never Delinquent
   
745
 
$
306,459,104
   
96.03
%
 
8.897
%
 
3.883
%
 
681
   
78.58
%
 
83.40
%
 
2.11
%
1-30 Days
   
32
   
12,669,888
   
3.97
   
8.919
   
3.898
   
674
   
76.81
   
82.67
   
8.33
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%

Set forth below is a description of certain additional characteristics of the mortgage loans as of the Cut-off Date, except as otherwise indicated. All percentages of the mortgage loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding. References to “Weighted Average Combined LTV” refer to the weighted average combined loan-to-value ratio of the mortgage loans including simultaneous second liens.
 
 
Current Principal Balance
 
Current Principal Balance
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
$50,001 - $100,000
   
8
 
$
680,808
   
0.21
%
 
8.557
%
 
3.515
%
 
718
   
77.88
%
 
79.33
%
 
63.70
%
$100,001 - $150,000
   
21
   
2,781,106
   
0.87
   
8.781
   
3.754
   
692
   
78.16
   
81.56
   
18.21
 
$150,001 - $200,000
   
47
   
8,403,058
   
2.63
   
8.634
   
3.603
   
684
   
76.12
   
76.87
   
8.25
 
$200,001 - $250,000
   
64
   
14,307,662
   
4.48
   
8.805
   
3.792
   
690
   
80.19
   
83.25
   
7.93
 
$250,001 - $300,000
   
75
   
20,606,359
   
6.46
   
8.708
   
3.680
   
684
   
80.96
   
84.35
   
6.66
 
$300,001 - $350,000
   
104
   
33,731,897
   
10.57
   
8.843
   
3.823
   
676
   
79.51
   
82.37
   
4.78
 
$350,001 - $400,000
   
79
   
29,456,345
   
9.23
   
8.844
   
3.823
   
681
   
78.72
   
83.07
   
1.29
 
$400,001 - $450,000
   
93
   
39,600,297
   
12.41
   
8.890
   
3.872
   
681
   
78.80
   
83.22
   
0.00
 
$450,001 - $500,000
   
88
   
42,035,581
   
13.17
   
9.011
   
3.997
   
677
   
79.32
   
84.29
   
3.34
 
$500,001 - $700,000
   
138
   
78,278,197
   
24.53
   
8.931
   
3.915
   
683
   
79.10
   
84.43
   
0.00
 
$700,001 - $900,000
   
45
   
34,062,721
   
10.67
   
9.024
   
4.041
   
675
   
76.82
   
83.77
   
0.00
 
$900,001 - $1,000,000
   
9
   
8,622,202
   
2.70
   
8.856
   
3.836
   
693
   
70.13
   
78.88
   
0.00
 
$1,000,001 - $1,100,000
   
5
   
5,051,191
   
1.58
   
9.026
   
4.011
   
677
   
70.49
   
87.16
   
0.00
 
$1,100,001 >=
   
1
   
1,511,568
   
0.47
   
8.750
   
3.750
   
749
   
68.18
   
68.18
   
0.00
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the current principal balance of the mortgage loans was approximately $410,719.
 
 
Amortization Type
 
Amortization Type
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
Negative Amortizing
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
 
Program Type
 
Program Type
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
Expanded Option Arm
   
83
 
$
37,544,276
   
11.76
%
 
8.937
%
 
3.919
%
 
680
   
78.50
%
 
84.85
%
 
2.35
%
Next Generation Option Arm
   
546
   
219,971,495
   
68.93
   
8.763
   
3.743
   
681
   
78.64
   
83.11
   
2.58
 
No Payment Option Arm
   
39
   
15,449,710
   
4.84
   
9.256
   
4.240
   
683
   
77.88
   
82.81
   
4.36
 
Non Conforming Program
   
3
   
741,896
   
0.23
   
9.435
   
4.410
   
713
   
89.44
   
89.44
   
0.00
 
Non Prime Option Arm
   
100
   
43,189,740
   
13.53
   
9.428
   
4.447
   
678
   
78.11
   
84.05
   
0.00
 
Sterling Option Arm
   
6
   
2,231,876
   
0.70
   
8.568
   
3.538
   
713
   
73.27
   
73.27
   
13.89
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%

 
Original Gross Rate
 
Original Gross Rate (%)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
6.501% - 7.000%
   
1
 
$
751,824
   
0.24
%
 
8.500
%
 
3.500
%
 
729
   
80.00
%
 
90.00
%
 
0.00
%
7.001% - 7.500%
   
1
   
266,803
   
0.08
   
8.250
   
3.237
   
705
   
77.61
   
77.61
   
0.00
 
7.501% - 8.000%
   
37
   
12,663,464
   
3.97
   
8.032
   
2.996
   
717
   
76.90
   
79.77
   
13.38
 
8.001% - 8.500%
   
198
   
73,798,366
   
23.12
   
8.508
   
3.483
   
699
   
78.85
   
80.62
   
3.98
 
8.501% - 9.000%
   
378
   
157,163,457
   
49.25
   
8.904
   
3.889
   
675
   
78.34
   
83.22
   
1.85
 
9.001% - 9.500%
   
156
   
71,427,575
   
22.38
   
9.401
   
4.386
   
670
   
78.78
   
87.17
   
0.00
 
9.501% - 10.000%
   
4
   
1,635,770
   
0.51
   
9.827
   
4.866
   
645
   
80.00
   
87.02
   
0.00
 
10.001% - 10.500%
   
1
   
654,245
   
0.21
   
10.250
   
5.200
   
656
   
80.00
   
80.00
   
0.00
 
11.001% - 11.500%
   
1
   
767,488
   
0.24
   
9.950
   
6.400
   
626
   
75.00
   
75.00
   
0.00
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the weighted average original gross rate of the mortgage loans was approximately 8.776% per annum.
 
 
Current Gross Rate
 
Current Gross Rate (%)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
7.501% - 8.000%
   
24
 
$
7,179,588
   
2.25
%
 
7.893
%
 
2.863
%
 
712
   
76.53
%
 
77.82
%
 
17.35
%
8.001% - 8.500%
   
161
   
58,617,183
   
18.37
   
8.385
   
3.358
   
707
   
79.08
   
81.28
   
4.84
 
8.501% - 9.000%
   
380
   
157,537,141
   
49.36
   
8.835
   
3.820
   
676
   
78.35
   
82.28
   
1.76
 
9.001% - 9.500%
   
200
   
89,909,361
   
28.17
   
9.360
   
4.343
   
673
   
78.50
   
86.92
   
0.75
 
9.501% - 10.000%
   
11
   
5,231,474
   
1.64
   
9.799
   
5.011
   
659
   
79.50
   
86.87
   
0.00
 
10.001% - 10.500%
   
1
   
654,245
   
0.21
   
10.250
   
5.200
   
656
   
80.00
   
80.00
   
0.00
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the weighted average current gross rate of the mortgage loans was approximately 8.898% per annum.
 
 
Gross Margin
 
Gross Margin (%)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
2.501 - 2.750
   
4
 
$
1,505,048
   
0.47
%
 
7.671
%
 
2.641
%
 
682
   
79.51
%
 
79.51
%
 
13.29
%
2.751 - 3.000
   
20
   
5,674,540
   
1.78
   
7.952
   
2.922
   
720
   
75.74
   
77.37
   
18.43
 
3.001 - 3.250
   
35
   
13,034,218
   
4.08
   
8.177
   
3.148
   
722
   
79.19
   
81.92
   
4.02
 
3.251 - 3.500
   
114
   
40,812,482
   
12.79
   
8.438
   
3.406
   
704
   
78.59
   
80.64
   
4.92
 
3.501 - 3.750
   
230
   
93,744,533
   
29.38
   
8.722
   
3.718
   
673
   
78.13
   
80.29
   
1.92
 
3.751 - 4.000
   
155
   
65,358,988
   
20.48
   
8.963
   
3.935
   
681
   
78.89
   
85.24
   
1.97
 
4.001 - 4.250
   
96
   
42,974,752
   
13.47
   
9.215
   
4.207
   
671
   
78.34
   
86.98
   
1.09
 
4.251 - 4.500
   
111
   
50,138,712
   
15.71
   
9.462
   
4.439
   
673
   
78.75
   
86.68
   
0.41
 
4.501 - 4.750
   
6
   
2,993,185
   
0.94
   
9.713
   
4.706
   
661
   
79.73
   
88.38
   
0.00
 
4.751 - 5.000
   
3
   
1,093,156
   
0.34
   
9.875
   
4.805
   
684
   
81.85
   
90.00
   
0.00
 
5.001 - 5.250
   
2
   
1,031,890
   
0.32
   
10.140
   
5.200
   
650
   
80.00
   
83.65
   
0.00
 
6.251 - 6.500
   
1
   
767,488
   
0.24
   
9.950
   
6.400
   
626
   
75.00
   
75.00
   
0.00
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the weighted average gross margin of the mortgage loans was approximately 3.883% per annum.
 
 
Seasoning
 
Seasoning (months)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
0 - 0
   
50
 
$
17,613,800
   
5.52
%
 
8.514
%
 
3.500
%
 
712
   
78.39
%
 
78.55
%
 
2.42
%
1-6
   
684
   
282,565,621
   
88.54
   
8.916
   
3.902
   
679
   
78.56
   
83.68
   
2.08
 
7-12
   
43
   
18,949,571
   
5.94
   
8.973
   
3.960
   
687
   
77.85
   
83.23
   
6.47
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the weighted average seasoning of the mortgage loans was approximately 3 months.
 
 
Months to Next Rate Adjustment
 
Months to Next Rate Adjustment
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
1
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the weighted average months to next rate adjustment of the mortgage loans was approximately 1 month.
 
 
Gross Lifetime Maximum Rate
 
Gross Lifetime Maximum Rate (%)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
9.501 - 10.000
   
129
 
$
55,037,349
   
17.25
%
 
8.991
%
 
3.996
%
 
679
   
78.83
%
 
83.98
%
 
3.89
%
11.501 - 12.000
   
648
   
264,091,642
   
82.75
   
8.878
   
3.860
   
682
   
78.44
   
83.24
   
2.04
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
As of the Cut-off Date, the weighted average gross lifetime maximum rate of the mortgage loans was approximately 11.605% per annum.
 
 
Rate Adjustment Frequency
 
Rate Adjustment Frequency (months)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
1
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
 
Payment Adjustment Frequency
 
Payment Adjustment Frequency (months)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
12
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
 
First Payment Adjustment
 
First Payment
Adjustment (months)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
12 (No Payment for 3 Months)
   
39
 
$
15,449,710
   
4.84
%
 
9.256
%
 
4.240
%
 
683
   
77.88
%
 
82.81
%
 
4.36
%
12
   
636
   
266,927,529
   
83.64
   
8.922
   
3.909
   
680
   
78.43
   
83.78
   
1.80
 
24
   
26
   
10,712,668
   
3.36
   
8.628
   
3.604
   
683
   
79.89
   
81.81
   
2.55
 
36
   
46
   
16,440,469
   
5.15
   
8.566
   
3.544
   
692
   
80.05
   
81.39
   
6.11
 
48
   
13
   
3,711,956
   
1.16
   
8.549
   
3.537
   
697
   
75.38
   
76.44
   
8.98
 
60
   
17
   
5,886,660
   
1.84
   
8.477
   
3.461
   
700
   
78.70
   
78.84
   
7.65
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%

 
Maximum Negative Amortization Limit
 
Maximum Negative Amortization
Limit (%)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
110%
   
595
 
$
251,850,896
   
78.92
%
 
8.982
%
 
3.969
%
 
678
   
78.60
%
 
84.47
%
 
1.75
%
115%
   
182
   
67,278,095
   
21.08
   
8.581
   
3.560
   
692
   
78.15
   
79.28
   
4.66
 
Total:
   
777
 
$
319,128,991
   
100.00
%
 
8.898
%
 
3.883
%
 
681
   
78.51
%
 
83.37
%
 
2.36
%
 
 
Periodic Payment Cap
 
Periodic Payment Cap (%)
 
No. of
Loans
 
Outstanding Principal Balance
 
% of
Total
 
Weighted Average Gross Coupon
 
Weighted Average Gross Margin
 
Non-Zero Weighted Average Credit Score
 
Weighted Average
Original
LTV
 
Weighted Average
Combined
LTV
 
% Full Alt Doc
 
7.50%
   
777