FWP

Filed Pursuant to Rule 433(a)

Registration Statement Nos. 333-129972 and

333-129972-01

Computational Materials

$1,097,800,000

(Approximate)

Accredited Mortgage Loan Trust 2006-2

Asset-Backed Notes

LOGO

Accredited Home Lenders, Inc.

(Sponsor and Servicer)

 

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IMPORTANT NOTICE REGARDING THE CONDITIONS

FOR THIS OFFERING OF ASSET-BACKED SECURITIES

The asset-backed securities referred to in these materials are being offered when, as and if issued. In particular, you are advised that asset-backed securities, and the asset pools backing them, are subject to modification or revision (including, among other things, the possibility that one or more classes of securities may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. As a result, you may commit to purchase securities that have characteristics that may change, and you are advised that all or a portion of the securities may not be issued that have the characteristics described in these materials. Our obligation to sell securities to you is conditioned on the securities and the underlying transaction having the characteristics described in these materials. If we determine that condition is not satisfied in any material respect, we will notify you, and neither the issuing entity nor the underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.

STATEMENT REGARDING THIS FREE WRITING PROSPECTUS

The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the issuing entity and this offering. You may get these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, the depositor or any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-866-718-1649.

The registration statement referred to above (including the prospectus) is incorporated in this free writing prospectus by reference and may be accessed by clicking on the following hyperlink: http://www.sec.gov/Archives/edgar/data/1017017/000119312505123596/ds3a.htm

IMPORTANT NOTICE RELATING TO AUTOMATICALLY GENERATED EMAIL

DISCLAIMERS

Any legends, disclaimers or other notices that may appear at the bottom of the email communication to which this material is attached are not applicable to these materials and should be disregarded. Such legends, disclaimers or other notices have been automatically generated as a result of these materials having been sent via Bloomberg or another email system.

 

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$1,097,800,000

(Approximate)(1)(4)

Accredited Mortgage Loan Trust 2006-2

Asset-Backed Notes

Overview of the Notes

 

Notes

   Approximate Note
Principal Balance(1)(4)
   Credit Enhancement
(Initial / Fully Funded)
   Interest Rate    Estimated WAL
(yrs) (Call / Mat)(2)
  

Principal Payment
Window

(Call / Mat)(2)(3)

  

Expected

S&P/Moody’s

Ratings

A-1

   439,618,000    15.05 /17.30    LIBOR + [ ]%    0.95 / 0.95    07/06 - 04/08 / 07/06 - 04/08    [AAA]/Aaa

A-2

   124,820,000    15.05 /17.30    LIBOR + [ ]%    2.00 / 2.00    04/08 - 09/08 / 04/08 - 09/08    [AAA]/Aaa

A-3

   227,438,000    15.05 /17.30    LIBOR + [ ]%    3.25 / 3.25    09/08 - 06/11 / 09/08 - 06/11    [AAA]/Aaa

A-4

   142,574,000    15.05 /17.30    LIBOR + [ ]%    6.50 / 7.91    06/11 - 07/13 / 06/11 - 09/22    [AAA]/Aaa

M-1

   32,450,000    12.10 /14.35    LIBOR + [ ]%    4.85 / 5.37    11/09 - 07/13 / 11/09 - 07/19    [AA+]/Aa1

M-2

   29,150,000    9.45 /11.70    LIBOR + [ ]%    4.82 / 5.31    10/09 - 07/13 / 10/09 - 12/18    [AA]/Aa2

M-3

   18,700,000    7.75 / 10.00    LIBOR + [ ]%    4.80 / 5.27    09/09 - 07/13 / 09/09 - 04/18    [AA-]/Aa3

M-4

   15,950,000    6.30 / 8.55    LIBOR + [ ]%    4.78 / 5.23    09/09 - 07/13 / 09/09 - 10/17    [A+]/A1

M-5

   15,950,000    4.85 / 7.10    LIBOR + [ ]%    4.77 / 5.19    08/09 - 07/13 / 08/09 - 04/17    [A]/A2

M-6

   13,750,000    3.60 / 5.85    LIBOR + [ ]%    4.76 / 5.13    08/09 - 07/13 / 08/09 - 09/16    [A-]/A3

M-7

   12,100,000    2.50 / 4.75    LIBOR + [ ]%    4.76 / 5.08    08/09 - 07/13 / 08/09 - 02/16    [BBB+]/Baa1

M-8

   8,250,000    1.75 / 4.00    LIBOR + [ ]%    4.75 / 5.01    07/09 - 07/13 / 07/09 - 06/15    [BBB]/Baa2

M-9

   17,050,000    0.20 / 2.45    LIBOR + [ ]%    4.74 / 4.87    07/09 - 07/13 / 07/09 - 12/14    [BBB-]/Baa3

(1) The principal balances of the notes are calculated using the scheduled principal balances of the initial mortgage loan pool as of the Cut-off Date plus the Pre-funded Amount.
(2) Assuming payment based on the prepayment pricing speeds outlined in “Key Terms - Pricing Prepayment Assumption” and to Optional Clean-up Call.
(3) The Last Scheduled Payment Date for the notes is the Payment Date in July 2036.
(4) The initial principal balance of the notes will be subject to an upward or downward variance of no more than approximately 5%.

Selected Mortgage Pool Data (5)

 

     Adjustable     Fixed     Aggregate  

Scheduled Principal Balance ($):

   $ 409,532,720     $ 426,186,401     $ 835,719,121  

Number of Mortgage Loans:

     2,051       2,715       4,766  

Average Scheduled Principal Balance ($):

   $ 199,675     $ 156,975     $ 175,350  

Weighted Average Gross Coupon (%):

     8.230 %     7.445 %     7.829 %

Weighted Average Net Coupon (%): (6)

     7.730 %     6.945 %     7.329 %

Weighted Average FICO Score:

     624       638       631  

Weighted Average Original LTV Ratio (%) (7):

     79.16 %     74.50 %     76.78 %

Weighted Average Stated Remaining Term (mos.):

     358       344       351  

Weighted Average Seasoning (mos.):

     2       2       2  

Weighted Average Months to Roll: (8)

     28       N/A       28  

Weighted Average Gross Margin (%): (8)

     5.373 %     N/A       5.373 %

Weighted Average Initial Rate Cap (%): (8)

     1.497 %     N/A       1.497 %

Weighted Average Periodic Rate Cap (%): (8)

     1.497 %     N/A       1.497 %

Weighted Average Gross Maximum Lifetime Rate (%): (8)

     15.229 %     N/A       15.229 %

(5) All percentages calculated herein are percentages of scheduled principal balance of the initial mortgage loan pool, as of the Cut-off Date, unless otherwise noted.
(6) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less the servicing fee.
(7) LTV in this table and hereafter will be defined as LTV for first lien loans and CLTV for second lien loans.
(8) Calculated based on the aggregate scheduled principal balance of the initial adjustable rate mortgage loans, as of the Cut-off Date.

Time Table

 

Closing Date:    On or about June 29, 2006
Cut-off Date:    For each Mortgage Loan, generally the later of (i) the close of business on June 1, 2006, and (ii) the date of origination of such Mortgage Loan, or such other date as specified in the related subsequent transfer instrument.
Pricing Date:    Week of June 5, 2006
First Payment Date:    July 25, 2006
Final Stated Maturity Date:    Payment Date in July 2036

 

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Key Terms

 

Offered Notes:    Class A Notes and Class M Notes
Class A Notes:    Class A-1, A-2, A-3 and A-4 Notes
Class M Notes:    Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes
Issuing Entity:    Accredited Mortgage Loan Trust 2006-2. The Issuing Entity will be expected to be a Delaware statutory trust and wholly owned by the Seller.
Servicer:    Accredited Home Lenders, Inc.
Depositor:    Accredited Mortgage Loan REIT Trust, a Maryland real estate investment trust
Lead Manager:    Goldman Sachs
Co-Managers:    Credit Suisse, Bear Sterns, Merrill Lynch, UBS
Indenture Trustee:    Deutsche Bank National Trust Company
Owner Trustee:    U.S. Bank Trust National Association
Swap Provider:    TBD
Servicing Fee:    50.0 bps
Trustee Fee:    0.03 bps
Payment Date:    25th day of the month, or if the 25th day of the month is not a business day, the next business day.
Record Date:    For any Payment Date, the last business day immediately preceding the related Payment Date.
Delay Days:    0 day delay
Prepayment Period:   

For any Payment Date, the period commencing on the 16th day of the month preceding the month in which the Payment Date occurs (or in the case of the first Payment Date, the Cut-off Date) and ending on the 15th day of the month in which such Payment Date occurs.
Due Period:    For any Payment Date, the period commencing on the 2nd business day of the month preceding the month in which the Payment Date occurs and ending on the 1st day of the month in which such Payment Date occurs.
Day Count:    Actual/360 basis.
Interest Accrual Period:   

For any Payment Date, the period commencing on the prior Payment Date (or in the case of the first Payment Date, from the Closing Date) and ending on the day preceding such Payment Date.

Pricing Prepayment

Assumption:

  

Adjustable-rate Mortgage Loans are assumed to prepay at 5% CPR in month 1 of the life of the loan, building linearly to 30% CPR in month 12, 60% CPR from month 25 to 27, and 35% CPR in month 28 and thereafter.

Fixed-rate Mortgage Loans are assumed to prepay at 5% CPR in month 1 of the life of the loan, building linearly to 24% CPR over 12 months, and remaining at 24% CPR thereafter.

Initial Mortgage Loans:   

On the Closing Date, the assets of the trust will include a pool of 4,766 subprime, fixed and adjustable rate, first and second lien residential mortgage loans with an aggregate scheduled principal balance of approximately $835,719,121 (the “Initial Mortgage Loans”)

 

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Pre-Funding Account:    The Depositor will deposit up to approximately $100,164,280,879 (the “Pre-funding Amount”), into an account (the “Pre-funding Account”). Funds on deposit in the Pre-funding Account will be used from time to time to acquire “Subsequent Mortgage Loans” during the Pre-funding Period. It is expected that the composition and characteristics of the Subsequent Mortgage Loans will be similar to those of the Initial Mortgage Loans in all material respects.
   The “Pre-funding Period” commences on the Closing Date and ends on the earlier of (i) the date on which the amount on deposit in the Pre-funding Account is less than $100,000 and (ii) September 29, 2006.
   To the extent that the Issuing Entity does not fully use amounts on deposit in the Pre-funding Account to purchase Subsequent Mortgage Loans by the end of the Pre-funding Period, the Issuing Entity will apply the remaining amounts as a prepayment of principal to the related Notes on the Payment Date immediately following the end of the Pre-funding Period. Although no assurance is possible, it is not anticipated that a material amount of principal will be prepaid on the Notes from amounts in the Pre-funding Account.
Delinquency Advances:    The Servicer will advance principal and interest, subject to recoverability.
Compensating Interest:    For any Payment Date, the Servicer will fund an amount equal to the lesser of (i) the aggregate of the prepayment interest shortfalls on the mortgage loans for the related Payment Date resulting from principal prepayments in full during the related Prepayment Period and (ii) its aggregate Servicing Fee with respect to the related Due Period.
Optional Clean-up Call:    The transaction has a 10% optional clean-up call, based upon the note principal balance (after applying the current period’s distributions) divided by the original note principal balance.
Denomination:    $25,000 and integral multiples of $1,000 in excess thereof. Minimum investment amount must be $100,000.
Registration:    Book-entry through DTC, Euroclear and Clearstream.
SMMEA Eligibility:    The notes are not expected to be SMMEA eligible.
ERISA Eligibility:    The notes are expected to be ERISA eligible.
Tax Treatment:    Debt for federal income tax purposes.
Credit Enhancement:   

1.      Excess spread, after taking into account certain payments received or paid by the Issuing Entity pursuant to the interest rate swap agreement

  

2.      Prepayment penalties

  

3.      Overcollateralization

  

4.      Subordination, if applicable

 

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Interest Distributions on the Notes

On each Payment Date, Available Funds will be allocated in the following priority:

 

(i) from Available Funds, to the Swap Provider all net swap payments and swap termination payments (other than a Defaulted Swap Termination Payment) owed to the Swap Provider pursuant to the swap agreement;

 

(ii) from the Distributable Interest Amount, to the Class A-1, A-2, A-3 and A-4 Notes, concurrently, their Accrued Note Interest and any unpaid Accrued Note Interest from prior Payment Dates allocated based on their entitlement to those amounts; and

 

(iii) from any remaining Distributable Interest Amount, to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, their Accrued Note Interest.

Definitions Related to Interest Distributions

Accrued Note Interest. For any Payment Date and each class of notes, the amount of interest accrued during the related Interest Accrual Period on the related Class Note Balance immediately prior to such Payment Date at the related Interest Rate, as reduced by any net prepayment interest shortfalls and any shortfalls resulting from the application of the Servicemembers Civil Relief Act provided, however that in the case of any Class M Note, such amount shall be reduced by the amount described in clause (a) in the definition of Deferred Interest allocated to such class.

Available Funds. For any Payment Date, the sum of the following amounts: (i) all scheduled collections of principal and interest on the mortgage loans due and received by the Servicer during the related Due Period, (ii) all partial prepayments other than pay-aheads of principal and other amounts collected on account of principal, including net REO proceeds, net liquidation proceeds and insurance proceeds, if any, collected by the Servicer during the previous calendar month, (iii) all principal prepayments in full collected by the Servicer during the related Prepayment Period, (iv) all Delinquency Advances made with respect to payments due to be received on the mortgage loans during the related Due Period and Compensating Interest paid, by the Servicer, (v) any other amounts required to be placed in the collection account by the Servicer pursuant to the sale and servicing agreement, (vi) any net swap payment received from the Swap Provider, (vii) the proceeds from repurchases of mortgage loans, (viii) with respect to the Payment Date immediately following the end of the Pre-Funding Period, any remaining funds in the Pre-Funding Account, and (ix) all proceeds received with respect to any Optional Clean-up Call; net of certain amounts such as servicing fees and reimbursement to the Servicer for advances.

Available Funds Cap. For any Payment Date and any class of notes, a per annum rate equal to the quotient of (i) the product of (a) the Distributable Interest Amount for such Payment Date multiplied by (b) the quotient of (I) 360 divided by (II) the actual number of days in the Interest Accrual Period, divided by (ii) the aggregate Adjusted Class Note Balance of all classes of notes on the first day of the Interest Accrual Period (after taking into account payments of principal on such day).

Basis Risk Carry Forward Amount. For any Payment Date, and any class of notes, the sum of: (i) the excess, if any, of interest that would otherwise be due on such class of notes at such notes’ applicable Interest Rate (without regard to the Available Funds Cap) over interest due on such class of notes at a rate equal to the Available Funds Cap, (ii) any Basis Risk Carry Forward Amount for such class remaining unpaid from prior Payment Dates and (iii) interest on the amount in clause (ii) at such notes’ applicable Interest Rate (without regard to the Available Funds Cap).

Defaulted Swap Termination Payment. Any termination payment required to be made by the Issuing Entity to the Swap Provider pursuant to the swap agreement as a result of (a) a default with respect to which the Swap Provider is the defaulting party, (b) a termination event (other than illegality or tax event) with respect to which the Swap Provider is the sole affected party, (c) a termination resulting from a downgrade event with respect to the Swap Provider, or (d) a termination resulting from the failure of the swap provider to provide certain information required by Regulation A/B.

Distributable Interest Amount. For any Payment Date, the Interest Remittance Amount, plus (a) any swap receipts and minus (b) any swap outflows.

Interest Rate. For each class of notes, the lesser of (i) one-month LIBOR plus the related margin (subject to the Step-Up Coupon provisions below), and (ii) the Available Funds Cap.

Interest Remittance Amount. For any Payment Date, the portion of Available Funds attributable to interest received or advanced on the mortgage loans less the Servicing Fee to the extent not retained by the Servicer and certain indemnification liabilities of the Issuing Entity to the Indenture Trustee and the Owner Trustee.

 

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Retained Swap Termination Payment. In the event that the Issuing Entity receives a swap termination payment, and a successor Swap Provider cannot be obtained, then the Indenture Trustee will be required to deposit the swap termination payment into a reserve account. On each subsequent Payment Date (so long as funds are available in such reserve account), the Indenture Trustee will be required to withdraw from such reserve account and deposit into the Payment Account an amount equal to the amount of any net swap payment due the Issuing Entity (calculated in accordance with the terms of the original interest rate swap agreement) and treat such amount as a net swap payment for purposes of determining the distributions from the Payment Account. The remaining amount in the reserve account will remain in that account and not treated as a swap termination payment for purposes of determining the payments from the Payment Account until the date on which the last payment on the swap is expected to be received, at which time the amount then on deposit therein will be transferred to the Payment Account and treated as part of Available Funds.

Step-Up Coupons. For each class of notes, the coupon margin will increase after the Optional Clean-Up Call is first exercisable, should the call not be exercised. The margin for the Class A Notes will increase to 2 times the margin at issuance and the margin for the Class M Notes will increase to 1.5 times the margin at issuance.

Unpaid Interest Shortfall Amount. With respect to each class of Notes, is equal to any unpaid Accrued Note Interest from prior Payment Dates, with interest accrued thereon at the related Interest Rate.

Principal Distributions on the Notes

On each Payment Date (A) prior to the Step-Down Date or (B) on which a Trigger Event is in effect, principal distributions will be allocated from the remaining Available Funds after payment of amounts described under “Interest Distributions on the Notes” up to the Principal Distribution Amount as follows:

 

(i) to the Class A-1, Class A-2, Class A-3 and Class A-4 Notes, sequentially and in that order, the Principal Distribution Amount, until their respective Class Note Balances have been reduced to zero; and

 

(ii) to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, until their respective Adjusted Class Note Balances have been reduced to zero.

On each Payment Date (A) on or after the Step-Down Date and (B) on which a Trigger Event is not in effect, principal distributions will be allocated from the remaining Available Funds after payment of amounts described under “Interest Distributions on the Notes” up to the Principal Distribution Amount as follows:

 

(i) to the Class A-1, Class A-2, Class A-3 and Class A-4 Notes, sequentially and in that order, up to the amount required to achieve the Targeted Credit Enhancement Percentage for the Class A Notes in the aggregate; and

 

(ii) to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, until the credit enhancement supporting each class is equal to the related Targeted Credit Enhancement Percentage for such Payment Date.

Definitions Related to Principal Distributions

Adjusted Class Note Balance. For any class of notes and any payment date, the Class Note Balance of that class minus any Principal Deficiency Amount allocated for such class, in each case, immediately prior to that payment date.

Basic Principal Distribution Amount. On any Payment Date, the excess of (i) the Principal Remittance Amount over (ii) the Excess Subordinated Amount, if any.

Credit Enhancement Percentage. For any class of notes on any Payment Date, the percentage obtained by dividing (x) the aggregate Adjusted Class Note Balance of the class or classes subordinate thereto (including any Overcollateralization Amount, and taking into account distributions of the Principal Distribution Amount for such Payment Date) by (y) the aggregate scheduled principal balance of the mortgage loans as of the last day of the related Due Period.

Target Credit Enhancement Percentage

 

Class   On and after Step-Down Date
A   34.60%
M-1   28.70%
M-2   23.40%
M-3   20.00%
M-4   17.10%
M-5   14.20%
M-6   11.70%
M-7   9.50%
M-8   8.00%
M-9   4.90%

 

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Extra Principal Distribution Amount. For any Payment Date, the lesser of (i) the sum of (a) the excess of (x) the Distributable Interest Amount for such Payment Date over (y) the sum of interest payable on the notes on such Payment Date and (b) the amount of any prepayment penalties collected during the related Prepayment Period and (ii) the Overcollateralization Deficiency for such Payment Date.

Excess Subordinated Amount. For any Payment Date, the lesser of (x) the Principal Remittance Amount for such Payment Date and (y) the excess, if any of (i) the Overcollateralization Amount over (ii) the Target Overcollateralization Amount for such Payment Date.

Overcollateralization Amount. For any Payment Date, the amount, if any, by which (x) the aggregate scheduled principal balance of the mortgage loans and amounts in the Pre-Funding Account as of the end of the related Due Period exceeds (y) the aggregate Adjusted Class Note Balance of the notes, after giving effect to payments on such Payment Date.

Overcollateralization Deficiency. For any Payment Date, the amount, if any, by which (x) the Target Overcollateralization Amount for such Payment Date exceeds (y) the Overcollateralization Amount for such Payment Date, calculated for this purpose after giving effect to the reduction on such Payment Date of the Adjusted Class Note Balances as of the notes resulting from the payment of the Principal Remittance Amount on such Payment Date.

Principal Distribution Amount. On any Payment Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount.

Principal Remittance Amount. On any Payment Date, the sum of

 

  (i) all scheduled collections of principal due and received by the Servicer during the related Due Period or advanced by the Servicer for the related servicer remittance date,

 

  (ii) the principal portion of all full prepayments received during the related Prepayment Period,

 

  (iii) the principal portion of all partial prepayments, including net REO proceeds, net liquidation proceeds and net insurance proceeds received during the prior month,

 

  (iv) the principal portion of the repurchase price for any repurchased mortgage loans,

 

  (v) the principal portion of substitution adjustments received in connection with the substitution of a mortgage loan as of such Payment Date,

 

  (vi) the principal portion of the proceeds received if the Optional Clean-Up Call is exercised or if the Trust is terminated,

 

  (vii) subsequent recoveries received (net of reimbursable expenses) on the mortgage loans, and

 

  (viii) on the Payment Date after the end of the Pre-Funding Period, any remaining amounts in the Pre-Funding Account.

Senior Credit Enhancement Percentage. The Credit Enhancement Percentage for the Class A Notes.

Step-Down Date. The earlier of (A) the date on which the aggregate Class Note Balance of the Class A Notes have been reduced to zero and (B) the later to occur of:

(x) the Payment Date occurring in July 2009; and

(y) the first Payment Date on which the Senior Credit Enhancement Percentage (calculated for this purpose after giving effect to payments or other recoveries on the mortgage loans during the related Due Period, but before giving effect to payments on any of the notes on such Payment Date) for the Class A Notes is greater than or equal to 34.60%.

Target Overcollateralization Amount. For any Payment Date, (a) prior to the Step-Down Date, approximately 2.45% of the aggregate scheduled principal balance of the mortgage loans as of the Cut-off Date and the Pre-Funding Amount on the Closing Date and (b) on or after the Step-Down Date, so long as a Trigger Event is not in effect, approximately 4.90% of the aggregate scheduled principal balance of the mortgage loans and the Pre-Funding Amount as of the last day of the related Due Period, subject to a floor equal to 0.50% of the aggregate scheduled principal balance of the initial mortgage loans as of the Cut-off Date and the Pre-Funding Amount on the Closing Date. If a Trigger Event is in effect, then the Target Overcollateralization Amount will equal the Target Overcollateralization Amount as of the prior Payment Date.

 

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Allocation of Net Monthly Excess Cashflow

For any Payment Date, any Available Funds remaining after making all payments of accrued interest and principal as described above will be deemed “Net Monthly Excess Cashflow” and paid as follows:

 

  (i) to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, any Principal Deficiency Amount allocated for each such class;

 

  (ii) to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, their Unpaid Interest Shortfall Amount;

 

  (iii) concurrently, any Basis Risk Carry Forward Amount to each class of Class A Notes, pro rata based on each class’ respective Basis Risk Carry Forward Amount, together with any net prepayment interest shortfalls and any shortfalls resulting from the application of the Relief Act allocated to such class of notes pursuant to the definition of “Accrued Note Interest”;

 

  (iv) to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, any Basis Risk Carry Forward Amount for such classes, together with any net prepayment interest shortfalls and any shortfalls resulting from the application of the Relief Act allocated to such class of notes pursuant to the definition of “Accrued Note Interest”;

 

  (v) to the Class M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 and M-9 Notes, sequentially and in that order, any Deferred Interest in respect of any Principal Deficiency Amount allocated to such classes;

 

  (vi) to the Swap Provider, any Defaulted Swap Termination Payment; and

 

  (vii) to the trust certificates, any remaining amounts.

All realized losses on the mortgage loans will be allocated on each Payment Date first to excess cash flow, second to prepayment penalties, and third, in reduction of the overcollateralization amount. Realized losses will not be allocated to the notes, however if excess cash flow and overcollateralization are insufficient to absorb realized losses a Principal Deficiency Amount will be created with respect to the Class M Notes, applied in reverse order of seniority.

Deferred Interest. For any class of Class M notes and any Payment Date, the sum of (a) the aggregate amount of interest accrued at the related Interest Rate during the related Interest Accrual Period on the portion of the Principal Deficiency Amount allocated to that class, (b) any amounts described in clause (a) for such class for prior Payment Dates that remain unpaid, and (c) interest accrued at the related Interest Rate for the Interest Accrual Period related to such Payment Date on the amount in clause (b).

Principal Deficiency Amount. For any Payment Date, the excess, if any, of the aggregate Class Note Balance of the notes, immediately prior to such Payment Date over the aggregate scheduled principal balance of the mortgage loans and the Pre-Funding Amount as of the first day of the related Due Period. The total Principal Deficiency Amount will be allocated among the Class M Notes in reverse order of seniority.

Unpaid Interest Shortfall Amount. With respect to each class of Class M Notes, is equal to any unpaid Accrued Note Interest from prior Payment Dates, with interest accrued thereon at the related Interest Rate.

 

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Trigger Events

A Trigger Event is in effect on any Payment Date if (i) on that Payment Date the 60+ day delinquency rolling average equals or exceeds [44.35]% of the Senior Credit Enhancement Percentage (the 60+ day delinquency rolling average will equal the rolling 3 month average percentage of mortgage loans that are 60 or more days delinquent including mortgage loans in foreclosure and all REO property) or (ii) during such period, the aggregate amount of realized losses incurred (less any subsequent recoveries) since the Cut-off Date through the last day of the related Prepayment Period divided by the aggregate scheduled principal balance of the initial mortgage loans as of the Cut-off Date and the Pre-Funding Amount on the Closing Date (the “Cumulative Realized Loss Percentage”) exceeds the amounts set forth below:

 

Payment Dates

  

Cumulative Realized Loss Percentage

July 2008 to June 2009

  

1.10% for the first month, plus an additional 1/12th of 1.45% for each

month thereafter

July 2009 to June 2010

  

2.55% for the first month, plus an additional 1/12th of 1.55% for each

month thereafter

July 2010 to June 2011

  

4.10% for the first month, plus an additional 1/12th of 1.45% for each

month thereafter

July 2011 to June 2012

  

5.55% for the first month, plus an additional 1/12th of 0.45% for each

month thereafter

July 2012 and thereafter

  

6.00%

 

-10-


Swap Agreement

On the Closing Date, the Indenture Trustee will enter into a Swap Agreement with an initial notional amount of approximately $[1,083,500,000] that will amortize approximately in accordance with the schedule shown below. Under the Swap Agreement, the Issuing Entity shall be obligated to pay an amount equal to a per annum rate of [5.25]% (on an actual/360 basis) on the swap notional amount to the Swap Provider and the Issuing Entity will be entitled to receive a per annum rate equal to One-Month LIBOR (on an actual/360 basis) on the swap notional amount from the Swap Provider, on each Payment Date, accrued during the swap accrual period, until the swap is retired. Only the net amount of the two obligations above will be paid by the appropriate party.

 

Period

  

Approximate

Notional Balance ($)

   Period   

Approximate

Notional Balance ($)

1

   1,083,500,000    31    357,762,834

2

   1,070,439,306    32    343,432,071

3

   1,054,472,324    33    329,648,185

4

   1,036,099,909    34    316,389,317

5

   1,015,214,077    35    303,634,745

6

   992,181,274    36    291,370,654

7

   966,782,699    37    279,570,660

8

   939,406,941    38    279,570,660

9

   910,027,768    39    273,992,353

10

   878,390,020    40    264,160,561

11

   845,748,420    41    254,698,091

12

   814,028,450    42    245,593,130

13

   784,292,354    43    236,828,617

14

   756,238,897    44    228,391,182

15

   729,157,852    45    220,268,021

16

   703,015,040    46    212,446,855

17

   677,777,505    47    204,915,949

18

   653,413,459    48    197,664,101

19

   629,892,252    49    190,680,322

20

   607,177,518    50    183,954,219

21

   585,220,357    51    177,475,819

22

   563,837,654    52    171,235,554

23

   539,914,843    53    165,224,269

24

   502,389,584    54    159,433,213

25

   468,004,525    55    153,853,840

26

   438,703,688    56    148,478,023

27

   421,037,749    57    143,297,954

28

   404,273,852    58    138,306,140

29

   388,157,353    59    133,495,026

30

   372,663,311    60    128,851,023
      61 onwards    0

 

-11-


Available Funds Cap Schedule (1)(2)

 

PERIOD

   CAP RATE
(%)
   PERIOD    CAP RATE
(%)

1

   23.0284    43    19.3525

2

   21.6579    44    19.2563

3

   21.6227    45    20.1343

4

   21.8172    46    19.1199

5

   21.5276    47    19.6867

6

   21.7040    48    19.3165

7

   21.3937    49    19.5370

8

   21.3100    50    19.1282

9

   21.9863    51    19.0347

10

   21.1121    52    19.2606

11

   21.2349    53    19.0442

12

   20.8770    54    19.3035

13

   21.0119    55    18.8940

14

   20.6776    56    18.8032

15

   20.5810    57    19.7325

16

   20.7269    58    18.6300

17

   20.3900    59    18.9873

18

   20.5353    60    18.6000

19

   20.1965    61    9.8967

20

   20.0982    62    9.5569

21

   20.5113    63    9.5371

22

   19.9958    64    9.8353

23

   20.3861    65    9.5027

24

   19.8375    66    9.7989

25

   19.8284    67    9.4628

26

   19.3514    68    9.4428

27

   19.2570    69    10.0735

28

   19.4857    70    9.4050

29

   19.3650    71    9.7030

30

   19.5341    72    9.3706

31

   19.1555    73    9.6629

32

   19.0475    74    9.3317

33

   19.8145    75    9.3130

34

   18.9193    76    9.6048

35

   19.5628    77    9.2804

36

   19.2126    78    9.5703

37

   19.3975    79    9.2427

38

   19.1005    80    9.2238

39

   19.1819    81    10.1918

40

   19.4511    82    9.1877

41

   19.5019    83    9.4777

42

   19.7519    84    9.1537
      85    9.4440

(1) Assumes One-Month LIBOR and Six-Month LIBOR remain constant at 20.00%.
(2) Schedule shown to Call.

 

-12-


Available Excess Spread (1)(2)

 

PERIOD

   EXCESS
SPREAD (%)
   PERIOD    EXCESS
SPREAD (%)

1

   2.8457    43    2.9282

2

   2.0008    44    2.9159

3

   2.0554    45    3.4379

4

   2.2907    46    2.8936

5

   2.1598    47    3.0663

6

   2.3946    48    2.8762

7

   2.2714    49    3.0419

8

   2.3331    50    2.8518

9

   2.9237    51    2.8392

10

   2.4440    52    3.0075

11

   2.5987    53    2.8233

12

   2.4285    54    2.9903

13

   2.6155    55    2.7993

14

   2.4413    56    2.7864

15

   2.4405    57    3.3113

16

   2.6162    58    2.7591

17

   2.4343    59    2.6743

18

   2.6077    60    2.4776

19

   2.4262    61    2.5262

20

   2.4252    62    2.3265

21

   2.7828    63    2.3109

22

   2.4761    64    2.4847

23

   3.1510    65    2.2977

24

   3.0030    66    2.4682

25

   3.1392    67    2.2727

26

   2.7481    68    2.2568

27

   2.7088    69    2.6167

28

   2.9450    70    2.2358

29

   2.9092    71    2.4148

30

   3.0847    72    2.2174

31

   2.9053    73    2.3900

32

   2.9014    74    2.1900

33

   3.4261    75    2.1793

34

   2.8931    76    2.3524

35

   3.0585    77    2.1590

36

   2.8555    78    2.3329

37

   3.0267    79    2.1363

38

   2.7765    80    2.1239

39

   2.7774    81    2.6723

40

   2.9551    82    2.1018

41

   2.9229    83    2.2806

42

   3.1143    84    2.0851
      85    2.2645

(1) Assumes One-Month LIBOR and Six-Month LIBOR are equal to their respective forward curves and prepayments equal to 100% of the Prepayment Assumption.
(2) Schedule shown to Call.

 

-13-


Breakeven CDR Table*

The tables below describe the Constant Default Rate (“CDR”), and the related cumulative loss on the Mortgage Loans when the referenced Class begins to incur a principal deficiency. Calculations are run to maturity at forward LIBOR. Other assumptions incorporated include the following: (1) 100% of the Prepayment Assumption, (2) 40% loss severity, (3) 6-month lag from default to loss, (4) triggers fail (i.e., no stepdown), and (5) 1-month and 6-month LIBOR are equal to their respective forward curves.

 

    

CDR

Break %

   Cumulative
Loss %

Class M-1

   20.05    17.34

Class M-2

   16.31    15.03

Class M-3

   14.13    13.55

Class M-4

   12.38    12.27

Class M-5

   10.74    10.99

Class M-6

   9.37    9.85

Class M-7

   8.18    8.82

Class M-8

   7.39    8.10

Class M-9

   6.07    6.84

 

-14-


Sensitivity Analysis - To Maturity

 

Percent of Pricing Prepayment Assumption

   50%    75%    100%    125%    150%

Class A-1

              

Average Life (yrs)

   1.60    1.18    0.95    0.80    0.70

Principal Payment Window (Mths)

   1 - 38    1 - 26    1 - 22    1 - 18    1 - 15

Expected Final Maturity

   08/25/2009    08/25/2008    04/25/2008    12/25/2007    09/25/2007

Class A-2

              

Average Life (yrs)

   3.77    2.56    2.00    1.70    1.43

Principal Payment Window (Mths)

   38 - 53    26 - 36    22 - 27    18 - 23    15 - 20

Expected Final Maturity

   11/25/2010    06/25/2009    09/25/2008    05/25/2008    02/25/2008

Class A-3

              

Average Life (yrs)

   6.78    4.55    3.25    2.31    1.97

Principal Payment Window (Mths)

   53 - 121    36 - 81    27 - 60    23 - 35    20 - 29

Expected Final Maturity

   07/25/2016    03/25/2013    06/25/2011    05/25/2009    11/25/2008

Class A-4

              

Average Life (yrs)

   15.31    10.63    7.91    6.06    4.00

Principal Payment Window (Mths)

   121 - 326    81 - 254    60 - 195    35 - 155    29 - 126

Expected Final Maturity

   08/25/2033    08/25/2027    09/25/2022    05/25/2019    12/25/2016

 

-15-


Sensitivity Analysis - To Maturity

 

Percent of Pricing Prepayment Assumption

   50%    75%    100%    125%    150%

Class M-1

              

Average Life (yrs)

   10.17    6.94    5.37    4.82    5.21

Principal Payment Window (Mths)

   54 - 284    37 - 207    41 - 157    46 - 123    55 - 100

Expected Final Maturity

   02/25/2030    09/25/2023    07/25/2019    09/25/2016    10/25/2014

Class M-2

              

Average Life (yrs)

   10.14    6.92    5.31    4.64    4.63

Principal Payment Window (Mths)

   54 - 275    37 - 198    40 - 150    43 - 117    49 - 95

Expected Final Maturity

   05/25/2029    12/25/2022    12/25/2018    03/25/2016    05/25/2014

Class M-3

              

Average Life (yrs)

   10.11    6.89    5.27    4.53    4.35

Principal Payment Window (Mths)

   54 - 264    37 - 188    39 - 142    42 - 111    46 - 90

Expected Final Maturity

   06/25/2028    02/25/2022    04/25/2018    09/25/2015    12/25/2013

Class M-4

              

Average Life (yrs)

   10.07    6.86    5.23    4.45    4.19

Principal Payment Window (Mths)

   54 - 255    37 - 181    39 - 136    41 - 107    44 - 86

Expected Final Maturity

   09/25/2027    07/25/2021    10/25/2017    05/25/2015    08/25/2013

Class M-5

              

Average Life (yrs)

   10.02    6.82    5.19    4.39    4.06

Principal Payment Window (Mths)

   54 - 246    37 - 174    38 - 130    40 - 102    42 - 82

Expected Final Maturity

   12/25/2026    12/25/2020    04/25/2017    12/25/2014    04/25/2013

Class M-6

              

Average Life (yrs)

   9.95    6.77    5.13    4.32    3.95

Principal Payment Window (Mths)

   54 - 235    37 - 166    38 - 123    39 - 96    41 - 78

Expected Final Maturity

   01/25/2026    04/25/2020    09/25/2016    06/25/2014    12/25/2012

Class M-7

              

Average Life (yrs)

   9.86    6.70    5.08    4.25    3.85

Principal Payment Window (Mths)

   54 - 223    37 - 156    38 - 116    39 - 91    40 - 73

Expected Final Maturity

   01/25/2025    06/25/2019    02/25/2016    01/25/2014    07/25/2012

Class M-8

              

Average Life (yrs)

   9.76    6.62    5.01    4.18    3.78

Principal Payment Window (Mths)

   54 - 210    37 - 146    37 - 108    38 - 85    39 - 68

Expected Final Maturity

   12/25/2023    08/25/2018    06/25/2015    07/25/2013    02/25/2012

Class M-9

              

Average Life (yrs)

   9.52    6.44    4.87    4.06    3.64

Principal Payment Window (Mths)

   54 - 199    37 - 138    37 - 102    38 - 80    38 - 64

Expected Final Maturity

   01/25/2023    12/25/2017    12/25/2014    02/25/2013    10/25/2011

 

-16-


Sensitivity Analysis - To Call

 

Percent of Pricing Prepayment Assumption

   50%    75%    100%    125%    150%

Class A-1

              

Average Life (yrs)

   1.60    1.18    0.95    0.80    0.70

Principal Payment Window (Mths)

   1 - 38    1 - 26    1 - 22    1 - 18    1 - 15

Expected Final Maturity

   08/25/2009    08/25/2008    04/25/2008    12/25/2007    09/25/2007

Class A-2

              

Average Life (yrs)

   3.77    2.56    2.00    1.70    1.43

Principal Payment Window (Mths)

   38 - 53    26 - 36    22 - 27    18 - 23    15 - 20

Expected Final Maturity

   11/25/2010    06/25/2009    09/25/2008    05/25/2008    02/25/2008

Class A-3

              

Average Life (yrs)

   6.78    4.55    3.25    2.31    1.97

Principal Payment Window (Mths)

   53 - 121    36 - 81    27 - 60    23 - 35    20 - 29

Expected Final Maturity

   07/25/2016    03/25/2013    06/25/2011    05/25/2009    11/25/2008

Class A-4

              

Average Life (yrs)

   12.98    8.79    6.50    4.93    3.18

Principal Payment Window (Mths)

   121 - 169    81 - 115    60 - 85    35 - 66    29 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

 

-17-


Sensitivity Analysis - To Call

 

Percent of Pricing Prepayment Assumption

   50%    75%    100%    125%    150%

Class M-1

              

Average Life (yrs)

   9.30    6.27    4.85    4.41    4.41

Principal Payment Window (Mths)

   54 - 169    37 - 115    41 - 85    46 - 66    53 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-2

              

Average Life (yrs)

   9.30    6.27    4.82    4.25    4.30

Principal Payment Window (Mths)

   54 - 169    37 - 115    40 - 85    43 - 66    49 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-3

              

Average Life (yrs)

   9.30    6.27    4.80    4.15    4.04

Principal Payment Window (Mths)

   54 - 169    37 - 115    39 - 85    42 - 66    46 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-4

              

Average Life (yrs)

   9.30    6.27    4.78    4.10    3.90

Principal Payment Window (Mths)

   54 - 169    37 - 115    39 - 85    41 - 66    44 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-5

              

Average Life (yrs)

   9.30    6.27    4.77    4.06    3.79

Principal Payment Window (Mths)

   54 - 169    37 - 115    38 - 85    40 - 66    42 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-6

              

Average Life (yrs)

   9.30    6.27    4.76    4.02    3.70

Principal Payment Window (Mths)

   54 - 169    37 - 115    38 - 85    39 - 66    41 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-7

              

Average Life (yrs)

   9.30    6.27    4.76    4.00    3.64

Principal Payment Window (Mths)

   54 - 169    37 - 115    38 - 85    39 - 66    40 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-8

              

Average Life (yrs)

   9.30    6.27    4.75    3.98    3.60

Principal Payment Window (Mths)

   54 - 169    37 - 115    37 - 85    38 - 66    39 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

Class M-9

              

Average Life (yrs)

   9.30    6.27    4.74    3.96    3.55

Principal Payment Window (Mths)

   54 - 169    37 - 115    37 - 85    38 - 66    38 - 53

Expected Final Maturity

   07/25/2020    01/25/2016    07/25/2013    12/25/2011    11/25/2010

 

-18-


The Mortgage Loans(1)

 

Scheduled Principal Balance:    $ 835,719,121  
Number of Mortgage Loans:      4,766  
Average Scheduled Principal Balance:    $ 175,350  
Weighted Average Gross Coupon:      7.829 %
Weighted Average Net Coupon: (2)      7.329 %
Weighted Average FICO Score:      631  
Weighted Average Original LTV Ratio: (3)      76.78 %
Weighted Average Stated Remaining Term (months):      351  
Weighted Average Seasoning (months):      2  
Weighted Average Months to Roll: (4)      28  
Weighted Average Gross Margin: (4)      5.373 %
Weighted Average Initial Rate Cap: (4)      1.497 %
Weighted Average Periodic Rate Cap: (4)      1.497 %
Weighted Average Gross Maximum Lifetime Rate: (4)      15.229 %

(1) All percentages calculated herein are percentages of scheduled principal balance of the initial mortgage loan pool, as of the Cut-off Date, unless otherwise noted.
(2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less the servicing fee.
(3) LTV in this table and hereafter will be defined as LTV for first lien loans and CLTV for second lien loans.
(4) Calculated based on the aggregate scheduled principal balance of the adjustable rate Mortgage Loans, as of the Cut-off Date.

Distribution by Current Principal Balance

 

Current Principal Balance

   Number of
Loans
  

Principal

Balance

   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
    Pct. Full
Doc
    Pct. Owner
Occupied
 

$25,000 & Below

   34    $ 721,039    0.09 %   11.306 %   635    $ 21,207    97.08 %   61.31 %   96.95 %

$25,001 - $50,000

   137      5,667,515    0.68     10.034     628      41,369    76.24     74.91     90.15  

$50,001 - $75,000

   510      33,613,197    4.02     8.749     610      65,908    71.39     80.44     88.40  

$75,001 - $100,000

   733      64,680,518    7.74     8.503     611      88,241    75.66     82.76     92.75  

$100,001 - $125,000

   520      58,543,128    7.01     8.290     613      112,583    76.68     81.66     92.62  

$125,001 - $150,000

   542      74,679,707    8.94     7.966     614      137,785    76.88     82.61     96.27  

$150,001 - $175,000

   461      74,923,232    8.97     7.752     617      162,523    76.31     81.82     95.46  

$175,001 - $200,000

   395      74,253,742    8.89     7.739     625      187,984    76.85     75.99     95.98  

$200,001 - $225,000

   307      65,201,202    7.80     7.651     627      212,382    76.29     73.57     95.44  

$225,001 - $250,000

   231      55,080,376    6.59     7.634     631      238,443    77.66     67.91     98.68  

$250,001 - $275,000

   153      40,141,710    4.80     7.517     637      262,364    79.27     67.76     96.75  

$275,001 - $300,000

   149      43,017,389    5.15     7.539     639      288,707    75.86     61.83     96.03  

$300,001 - $325,000

   111      34,854,252    4.17     7.771     634      314,002    78.05     60.26     96.42  

$325,001 - $350,000

   101      34,263,832    4.10     7.790     636      339,246    77.04     47.72     96.08  

$350,001 - $375,000

   56      20,233,717    2.42     7.655     657      361,316    77.38     46.39     100.00  

$375,001 - $400,000

   58      22,554,524    2.70     7.622     650      388,871    79.90     58.45     94.69  

$400,001 - $425,000

   46      19,040,206    2.28     7.415     636      413,918    76.42     52.01     97.80  

$425,001 - $450,000

   57      25,011,035    2.99     7.474     646      438,790    76.46     47.36     100.00  

$450,001 - $475,000

   34      15,810,289    1.89     7.304     659      465,008    78.50     67.79     97.06  

$475,001 - $500,000

   42      20,522,822    2.46     7.503     651      488,639    77.72     47.76     95.19  

$500,001 - $750,000

   89      52,905,690    6.33     7.388     684      594,446    77.29     29.75     96.51  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

 

-19-


Distribution by Current Mortgage Rate

 

Current Mortgage Rate

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
    Pct. Full
Doc
    Pct. Owner
Occupied
 

5.000 - 5.999%

   146    $ 33,462,426    4.00 %   5.876 %   711    $ 229,195    64.45 %   76.00 %   99.39 %

6.000 - 6.999%

   970      212,617,179    25.44     6.672     666      219,193    73.53     70.31     96.43  

7.000 - 7.999%

   1,462      270,434,921    32.36     7.625     628      184,976    77.43     69.58     96.40  

8.000 - 8.999%

   1,340      222,621,717    26.64     8.570     607      166,136    78.62     65.30     95.46  

9.000 - 9.999%

   563      73,445,259    8.79     9.526     585      130,453    80.17     68.35     90.08  

10.000 - 10.999%

   147      14,294,737    1.71     10.531     594      97,243    83.84     59.16     88.13  

11.000 - 11.999%

   68      4,692,208    0.56     11.709     618      69,003    93.85     32.52     98.60  

12.000% & Above

   70      4,150,675    0.50     12.800     632      59,295    98.61     22.80     95.07  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by FICO Score

 

Fico Score

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
    Pct. Full
Doc
    Pct. Owner
Occupied
 

800 & Above

   14    $ 2,645,183    0.32 %   6.636 %   805    $ 188,942    63.31 %   76.13 %   100.00 %

775 - 799

   53      11,276,297    1.35     6.834     786      212,760    67.13     65.49     92.07  

750 - 774

   77      17,599,153    2.11     6.756     761      228,560    72.89     71.02     94.60  

725 - 749

   135      30,379,306    3.64     7.043     736      225,032    74.96     51.10     96.42  

700 - 724

   254      53,798,984    6.44     7.021     712      211,807    76.03     46.33     91.98  

675 - 699

   373      82,637,420    9.89     7.248     686      221,548    77.79     49.18     93.46  

650 - 674

   589      116,943,784    13.99     7.532     661      198,546    77.74     56.39     94.87  

625 - 649

   801      138,000,560    16.51     7.900     637      172,285    78.82     62.31     95.66  

600 - 624

   674      106,194,680    12.71     7.980     613      157,559    76.99     72.68     94.23  

575 - 599

   642      103,897,893    12.43     8.191     587      161,835    78.08     77.67     96.51  

550 - 574

   654      97,831,418    11.71     8.443     562      149,589    77.90     86.03     98.26  

525 - 549

   293      43,207,591    5.17     8.532     536      147,466    71.17     97.91     98.34  

500 - 524

   206      31,182,236    3.73     8.783     517      151,370    70.82     96.86     99.84  

N/A

   1      124,616    0.01     8.500     N/A      124,616    22.32     100.00     100.00  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Lien Position

 

Lien Position

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
    Pct. Full
Doc
    Pct. Owner
Occupied
 

First Lien

   4,541    $ 822,273,942    98.39 %   7.772 %   631    $ 181,078    76.43 %   68.77 %   95.54 %

Second Lien

   225      13,445,180    1.61     11.338     647      59,756    98.11     30.41     98.53  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Original LTV

 

Original LTV

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
    Pct. Full
Doc
    Pct. Owner
Occupied
 

15.00% & Below

   4    $ 260,256    0.03 %   7.946 %   659    $ 65,064    11.58 %   100.00 %   44.35 %

15.01 - 20.00%

   12      844,260    0.10     7.321     640      70,355    16.79     65.23     100.00  

20.01 - 25.00%

   19      1,877,661    0.22     7.530     626      98,824    23.14     79.13     59.28  

25.01 - 30.00%

   17      1,517,523    0.18     7.235     609      89,266    27.97     52.72     94.67  

30.01 - 35.00%

   50      6,608,422    0.79     6.856     659      132,168    32.96     62.77     91.24  

35.01 - 40.00%

   40      4,357,441    0.52     7.055     658      108,936    37.20     73.12     93.83  

40.01 - 45.00%

   82      11,771,180    1.41     7.168     622      143,551    42.93     66.60     97.26  

45.01 - 50.00%

   85      12,692,486    1.52     7.206     638      149,323    48.06     78.33     92.41  

50.01 - 55.00%

   128      19,911,424    2.38     7.080     625      155,558    52.80     73.31     96.63  

55.01 - 60.00%

   166      26,173,190    3.13     7.429     617      157,670    57.64     66.72     95.06  

60.01 - 65.00%

   214      35,064,804    4.20     7.423     624      163,854    63.05     73.38     93.83  

65.01 - 70.00%

   300      47,559,356    5.69     7.611     609      158,531    68.23     72.50     91.97  

70.01 - 75.00%

   446      80,096,667    9.58     7.666     624      179,589    73.53     65.91     94.79  

75.01 - 80.00%

   1,691      347,915,786    41.63     7.879     646      205,746    79.59     54.68     95.06  

80.01 - 85.00%

   501      88,284,530    10.56     7.811     612      176,217    83.82     89.96     95.20  

85.01 - 90.00%

   796      138,043,372    16.52     8.048     618      173,421    89.13     88.98     99.98  

90.01 - 95.00%

   18      864,088    0.10     11.615     645      48,005    94.98     20.09     92.77  

95.01 - 100.00%

   197      11,876,676    1.42     11.310     646      60,288    99.96     30.61     99.05  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

 

-20-


Distribution by Documentation

 

Documentation

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

Full

   3,564    $ 569,583,879    68.15 %   7.762 %   619    $ 159,816    77.00 %   100.00 %   97.06 %

Stated

   888      192,454,988    23.03     8.080     662      216,729    75.16     0.00     91.31  

Alt

   314      73,680,254    8.82     7.699     642      234,650    79.32     0.00     95.37  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Purpose

 

Purpose

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

Cashout Refi

   3,480    $ 600,518,828    71.86 %   7.732 %   620    $ 172,563    75.59 %   74.43 %   95.44 %

Purchase

   1,123      206,620,824    24.72     8.162     662      183,990    80.41     49.16     95.93  

Rate/term Refi

   163      28,579,469    3.42     7.483     640      175,334    75.55     73.64     96.22  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Occupancy

 

Occupancy

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

Owner Occupied

   4,498    $ 798,841,645    95.59 %   7.809 %   630    $ 177,599    76.97 %   69.21 %   100.00 %

Investor Property

   231      30,163,611    3.61     8.368     653      130,578    74.87     42.51     0.00  

Second Home

   37      6,713,865    0.80     7.797     650      181,456    62.87     58.35     0.00  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Property Type

 

Property Type

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

Single Family

   3,749    $ 619,700,770    74.15 %   7.840 %   627    $ 165,298    76.51 %   69.47 %   95.55 %

PUD

   469      103,692,329    12.41     7.697     636      221,092    77.47     66.86     96.68  

Condo

   286      47,057,597    5.63     7.890     645      164,537    77.51     64.28     87.87  

2 Family

   142      35,380,053    4.23     7.889     646      249,155    77.82     47.62     100.00  

3-4 Family

   70      21,769,720    2.60     7.973     664      310,996    76.89     74.77     100.00  

Townhouse

   43      7,274,168    0.87     7.538     634      169,167    78.41     78.48     98.29  

Modular Home

   7      844,484    0.10     9.084     620      120,641    89.10     76.18     100.00  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by State

 

State

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

CA

   476    $ 128,341,624    15.36 %   7.262 %   654    $ 269,625    71.54 %   53.95 %   96.02 %

FL

   757      127,311,948    15.23     7.705     624      168,180    75.41     67.50     93.15  

IL

   269      49,291,636    5.90     8.244     636      183,240    80.21     58.24     96.42  

TX

   380      42,799,781    5.12     7.950     614      112,631    77.51     72.51     96.94  

AZ

   225      41,042,902    4.91     7.610     619      182,413    75.81     79.22     95.94  

MD

   191      40,710,362    4.87     8.010     605      213,143    77.43     80.31     97.24  

WA

   183      36,520,222    4.37     7.610     636      199,564    79.05     80.33     93.32  

MA

   139      36,289,794    4.34     7.978     642      261,078    77.35     60.02     98.03  

NJ

   121      33,449,051    4.00     7.852     638      276,438    75.38     54.87     94.59  

GA

   193      27,521,341    3.29     8.492     620      142,598    80.27     68.20     95.58  

Other

   1,832      272,440,460    32.60     8.007     629      148,712    78.64     73.86     95.96  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

 

-21-


Distribution by Remaining Months to Maturity

 

Remaining Months To Maturity

  Number of
Loans
  Principal
Balance
  Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
  Avg.
Principal
Balance
  Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

1 - 140

  25   $ 2,026,652   0.24 %   7.184 %   657   $ 81,066   70.36 %   81.40 %   100.00 %

161 - 180

  330     25,115,722   3.01     9.416     643     76,108   81.28     56.18     95.47  

221 - 240

  85     8,803,899   1.05     7.645     633     103,575   70.54     78.06     95.18  

281 - 300

  17     1,948,039   0.23     7.311     631     114,591   70.34     82.55     100.00  

341 - 360

  4,309     797,824,810   95.47     7.784     630     185,153   76.74     68.35     95.57  
                                                 

Total:

  4,766   $ 835,719,121   100.00 %   7.829 %   631   $ 175,350   76.78 %   68.15 %   95.59 %

Distribution by Amortization Type

 

Amortization Type

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

2 YR ARM

   596    $ 106,208,405    12.71 %   8.432 %   614    $ 178,202    78.04 %   62.04 %   92.15 %

2 YR ARM Balloon 40/30

   401      93,734,207    11.22     8.153     619      233,751    79.77     63.13     97.06  

2 YR ARM IO

   78      25,009,653    2.99     7.562     678      320,637    78.95     27.78     100.00  

3 YR ARM

   533      83,282,390    9.97     8.533     616      156,252    79.37     60.58     93.03  

3 YR ARM Balloon 40/30

   322      68,097,209    8.15     8.208     612      211,482    80.19     66.02     95.48  

3 YR ARM IO

   87      26,369,396    3.16     7.443     684      303,097    78.06     31.85     100.00  

5 YR ARM

   21      4,125,253    0.49     8.074     624      196,441    80.48     64.64     100.00  

5 YR ARM Balloon 40/30

   11      2,404,022    0.29     8.368     584      218,547    78.85     88.20     100.00  

5 YR ARM IO

   1      142,000    0.02     7.375     618      142,000    81.94     100.00     100.00  

6 month ARM

   1      160,186    0.02     6.199     678      160,186    90.00     100.00     100.00  

Fixed

   1,998      302,763,752    36.23     7.386     636      151,533    72.89     78.07     95.49  

Fixed Balloon 30/15

   211      12,929,041    1.55     11.320     648      61,275    98.36     29.70     97.32  

Fixed Balloon 40/30

   402      82,745,791    9.90     7.298     628      205,835    76.40     84.08     96.90  

Fixed IO

   104      27,747,817    3.32     6.723     675      266,806    75.20     68.09     98.77  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Initial Periodic Cap

 

Initial Periodic Cap

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

1.00%

   15    $ 2,663,590    0.32 %   8.107 %   620    $ 177,573    81.44 %   49.81 %   95.99 %

1.50%

   2,036      406,869,130    48.68     8.230     624      199,837    79.14     58.89     95.12  

Fixed Rate

   2,715      426,186,401    51.00     7.445     638      156,975    74.50     77.12     96.03  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Periodic Cap

 

Periodic Cap

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

1.00%

   15    $ 2,663,590    0.32 %   8.107 %   620    $ 177,573    81.44 %   49.81 %   95.99 %

1.50%

   2,036      406,869,130    48.68     8.230     624      199,837    79.14     58.89     95.12  

Fixed Rate

   2,715      426,186,401    51.00     7.445     638      156,975    74.50     77.12     96.03  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

 

-22-


Distribution by Next Rate Adjustment Date

 

Next Rate Adjustment Date

  Number of
Loans
  Principal
Balance
  Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
  Avg.
Principal
Balance
  Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

April 2007

  1   $ 126,037   0.02 %   7.200 %   601   $ 126,037   99.61 %   100.00 %   100.00 %

April 2008

  160     33,004,551   3.95     8.248     622     206,278   78.82     56.84     96.29  

April 2009

  279     50,715,523   6.07     8.229     622     181,776   79.38     60.60     96.15  

April 2011

  6     1,354,521   0.16     7.214     664     225,753   82.05     45.63     100.00  

August 2008

  1     44,093   0.01     8.679     634     44,093   85.00     100.00     100.00  

December 2007

  19     3,832,503   0.46     8.264     632     201,711   81.15     48.03     98.23  

December 2008

  2     252,015   0.03     8.804     527     126,008   77.83     100.00     100.00  

December 2010

  2     199,539   0.02     8.276     604     99,770   81.38     100.00     100.00  

February 2008

  50     9,718,882   1.16     8.413     609     194,378   78.98     62.90     100.00  

February 2009

  11     2,576,081   0.31     8.617     618     234,189   83.45     49.30     88.23  

February 2011

  3     852,633   0.10     8.300     630     284,211   82.48     100.00     100.00  

January 2008

  29     7,963,864   0.95     8.542     637     274,616   80.77     38.76     97.98  

January 2009

  1     63,576   0.01     9.500     582     63,576   75.00     0.00     100.00  

June 2007

  1     137,167   0.02     7.500     521     137,167   65.00     100.00     100.00  

June 2008

  168     37,564,354   4.49     8.249     629     223,597   79.13     52.56     97.97  

June 2009

  176     38,198,191   4.57     8.180     630     217,035   79.71     51.82     93.56  

June 2011

  5     848,800   0.10     8.439     573     169,760   75.73     63.48     100.00  

March 2008

  480     98,426,974   11.78     8.196     620     205,056   78.47     64.64     93.16  

March 2009

  271     52,271,638   6.25     8.351     620     192,884   79.49     61.54     95.54  

March 2011

  13     2,715,934   0.32     8.591     583     208,918   78.29     83.08     100.00  

May 2008

  162     33,433,456   4.00     8.105     628     206,379   78.87     53.37     93.59  

May 2009

  201     33,597,562   4.02     8.148     632     167,152   79.12     58.08     94.53  

May 2011

  4     699,848   0.08     7.824     629     174,962   83.73     66.25     100.00  

November 2007

  4     700,382   0.08     7.714     627     175,096   84.17     100.00     100.00  

November 2008

  1     74,407   0.01     10.150     533     74,407   84.89     100.00     100.00  

Fixed Rate

  2,715     426,186,401   51.00     7.445     638     156,975   74.50     77.12     96.03  

September 2006

  1     160,186   0.02     6.199     678     160,186   90.00     100.00     100.00  
                                                 

Total:

  4,766   $ 835,719,121   100.00 %   7.829 %   631   $ 175,350   76.78 %   68.15 %   95.59 %

Distribution by Life Maximum Rate

 

Life Maximum Rate

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

Fixed Rate

   2,715    $ 426,186,401    51.00 %   7.445 %   638    $ 156,975    74.50 %   77.12 %   96.03 %

12.00 - 12.49%

   1      160,186    0.02     6.199     678      160,186    90.00     100.00     100.00  

12.50 - 12.99%

   4      974,550    0.12     5.983     717      243,638    65.20     100.00     100.00  

13.00 - 13.49%

   17      4,502,987    0.54     6.311     709      264,882    76.57     52.10     100.00  

13.50 - 13.99%

   142      37,068,651    4.44     6.871     668      261,047    77.34     45.31     98.60  

14.00 - 14.49%

   178      42,227,484    5.05     7.301     644      237,233    78.98     67.07     96.39  

14.50 - 14.99%

   464      103,032,851    12.33     7.813     636      222,054    78.99     59.08     96.48  

15.00 - 15.49%

   306      64,069,334    7.67     8.272     623      209,377    79.41     58.42     97.00  

15.50 - 15.99%

   518      96,310,954    11.52     8.769     605      185,928    79.44     57.28     94.28  

16.00% & Above

   421      61,185,723    7.32     9.684     586      145,334    80.34     63.50     88.76  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

Distribution by Margin

 

Margin

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

Fixed Rate

   2,715    $ 426,186,401    51.00 %   7.445 %   638    $ 156,975    74.50 %   77.12 %   96.03 %

0.00 - 4.99%

   730      169,665,407    20.30     7.557     645      232,418    78.45     55.07     96.45  

5.00 - 5.49%

   283      56,493,921    6.76     8.362     623      199,625    79.46     58.94     95.51  

5.50 - 5.99%

   337      63,092,912    7.55     8.636     608      187,219    79.91     62.16     94.76  

6.00 - 6.49%

   234      40,629,013    4.86     8.508     613      173,628    78.98     64.25     95.00  

6.50 - 6.99%

   212      37,077,557    4.44     8.951     604      174,894    79.98     60.93     88.53  

7.00% & Above

   255      42,573,910    5.09     9.236     591      166,957    79.90     61.70     95.71  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

 

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Distribution by Prepayment Penalty Term

 

Prepayment Penalty Term

   Number of
Loans
   Principal
Balance
   Pct. Of Pool
By Principal
Balance
    Weighted Avg.
Gross Coupon
    Weighted Avg.
Current FICO
   Avg.
Principal
Balance
   Weighted Avg.
Original LTV
   

Pct.

Full
Doc

   

Pct.

Owner
Occupied

 

0

   1,145    $ 196,569,468    23.52 %   8.256 %   626    $ 171,676    77.66 %   62.44 %   96.38 %

6

   63      13,374,260    1.60     7.841     631      212,290    79.87     62.08     94.72  

12

   165      35,516,228    4.25     8.013     643      215,250    77.79     51.85     93.40  

18

   24      6,329,015    0.76     7.102     671      263,709    78.76     61.45     100.00  

24

   374      67,715,542    8.10     8.214     623      181,058    78.41     61.93     94.94  

30

   18      3,500,391    0.42     7.572     636      194,466    80.59     96.37     93.24  

36

   1,449      264,261,083    31.62     7.821     633      182,375    76.76     64.51     94.52  

42

   10      1,764,739    0.21     7.454     641      176,474    76.08     78.19     94.27  

48

   15      2,835,135    0.34     8.033     631      189,009    78.25     83.56     100.00  

54

   2      429,115    0.05     7.947     633      214,557    87.61     100.00     100.00  

60

   1,501      243,424,144    29.13     7.383     632      162,175    75.19     80.63     96.52  
                                                      

Total:

   4,766    $ 835,719,121    100.00 %   7.829 %   631    $ 175,350    76.78 %   68.15 %   95.59 %

 

-24-