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As Of Filer Filing For·On·As Docs:Size Issuer Agent 9/02/08 Structured Asset Securities Corp 424B5 1:7.2M Vintage/FA Lehman Mortgage Trust 2008-6 |
Document/Exhibit Description Pages Size 1: 424B5 Prospectus HTML 4.01M
Lehman
Brothers Holdings Inc.
|
Aurora
Loan Services LLC
|
Sponsor
and Seller
|
Master
Servicer
|
Lehman
Mortgage Trust 2008-6
|
Structured
Asset Securities Corporation
|
Issuing
Entity
|
Depositor
|
Consider
carefully the risk factors beginning on page S-13 of this prospectus
supplement and on page 6 of the prospectus.
For
a list of capitalized terms used in this prospectus supplement
and the
prospectus, see the glossary of defined terms beginning on page
S-83 in this
prospectus supplement and the index of principal terms on page
192 in the
prospectus.
The
certificates will represent interests in the issuing entity only
and will
not represent interests in or obligations of the sponsor, the depositor,
the master servicer, the trustee or any of their affiliates or
any other
party.
This
prospectus supplement may be used to offer and sell the certificates
only
if accompanied by the prospectus.
|
The
trust will provide for the issuance of:
●
Multiple
classes of senior certificates, including a single class of interest-only
securities.
●
Classes
of subordinate certificates and specified additional classes of
certificates.
The
certificates represent ownership interests in a trust fund that
consists
primarily of two pools of mortgage loans: one pool consisting of
conventional, first lien, fixed rate, fully amortizing, residential
mortgage loans and a second pool consisting of conventional, first
lien,
hybrid adjustable rate, fully amortizing, residential mortgage
loans.
The
classes of certificates offered by this prospectus supplement are
listed,
together with their initial class principal amounts (or class notional
amounts) and interest rates, under “The Offered Certificates” on page S-1
of this prospectus supplement. This prospectus supplement and the
accompanying prospectus relate only to the offering of the certificates
listed in the table on page S-1 and not to the other classes of
certificates that will be issued by the trust fund as described
in this
prospectus supplement.
Principal
and interest on the offered certificates will be paid monthly.
The first
distribution date will be September 25, 2008. Credit enhancement
for the
offered certificates includes subordination, loss allocation and,
for
certain of the offered certificates, cross-collateralization features.
Amounts payable under an interest rate cap agreement provided by
Lehman
Brothers Special Financing, Inc. will be applied to pay certain
basis risk
shortfalls on the Class 2-A1
Certificates.
|
Page
|
|
The
Offered Certificates
|
S-1
|
Summary
of Terms
|
S-3
|
Aggregate
Mortgage Loan Summary
|
S-5
|
Pool
1 Mortgage Loan Summary
|
S-6
|
Pool
2 Mortgage Loan Summary
|
S-7
|
Risk
Factors
|
S-13
|
Glossary
|
S-32
|
Description
of the Certificates
|
S-32
|
General
|
S-32
|
Book-Entry
Registration
|
S-32
|
Priority
of Distributions
|
S-33
|
Distributions
of Interest
|
S-35
|
The
Interest Rate Cap Agreement
|
S-36
|
The
Cap Counterparty
|
S-37
|
Distributions
of Principal
|
S-37
|
Cross-collateralization
|
S-37
|
Allocation
of Realized Losses
|
S-38
|
Optional
Purchase of the Mortgage Loans
|
S-39
|
Fees
and Expenses of the Trust Fund
|
S-40
|
Description
of the Mortgage Loans
|
S-41
|
The
Mortgage Loans
|
S-41
|
Hybrid
Mortgage Loans
|
S-42
|
The
Indices
|
S-43
|
Pool
1 Mortgage Loans
|
S-43
|
Pool
2 Mortgage Loans
|
S-43
|
Static
Pool Information
|
S-43
|
Affiliations
and Relationships
|
S-44
|
Origination
of the Mortgage Loans and Underwriting Guidelines
|
S-44
|
Lehman
Brothers Bank, FSB
|
S-45
|
Additional
Information
|
S-51
|
The
Sponsor
|
S-52
|
The
Depositor
|
S-52
|
The
Master Servicer
|
S-52
|
The
Servicers
|
S-52
|
General
|
S-52
|
Aurora
Loan Services LLC
|
S-52
|
Administration
of the Trust Fund
|
S-52
|
Servicing
and Administrative Responsibilities
|
S-52
|
Trust
Accounts
|
S-55
|
Example
of Distributions
|
S-55
|
Mortgage
Loan Servicing
|
S-57
|
General
|
S-57
|
Servicing
Accounts and the Collection Account
|
S-57
|
Servicing
Compensation and Payment of Expenses
|
S-58
|
Waiver
or Modification of Mortgage Loan Terms
|
S-58
|
Prepayment
Interest Shortfalls
|
S-59
|
Advances
|
S-59
|
Primary
Mortgage Insurance
|
S-59
|
Collection
of Taxes, Assessments and Similar Items
|
S-59
|
Insurance
Coverage
|
S-60
|
Evidence
as to Compliance
|
S-60
|
Master
Servicer Default; Servicer Default
|
S-60
|
Amendment
of the Servicing Agreement
|
S-61
|
Custody
of the Mortgage Files
|
S-61
|
Special
Servicer for Distressed Mortgage Loans
|
S-61
|
Pledge
of Servicing Rights
|
S-61
|
Actions
by the Sponsor and its Affiliates
|
S-62
|
Trust
Agreement
|
S-62
|
General
|
S-62
|
The
Issuing Entity
|
S-62
|
The
Trustee
|
S-63
|
Assignment
of Mortgage Assets
|
S-64
|
Representations
and Warranties
|
S-65
|
Certain
Matters Under the Trust Agreement
|
S-66
|
Reports
to Certificateholders
|
S-70
|
Voting
Rights
|
S-72
|
Reserve
Account
|
S-72
|
Yield,
Prepayment and Weighted Average Life
|
S-72
|
General
|
S-72
|
Subordination
of the Offered Subordinate Certificates
|
S-76
|
Weighted
Average Life
|
S-77
|
Material
Federal Income Tax Considerations
|
S-78
|
General
|
S-78
|
Additional
Considerations for the Class 2-A1 Certificates
|
S-78
|
Legal
Investment Considerations
|
S-80
|
ERISA
Considerations
|
S-80
|
Use
of Proceeds
|
S-81
|
Underwriting
|
S-81
|
Legal
Matters
|
S-82
|
Ratings
|
S-82
|
Glossary
of Defined Terms
|
S-83
|
Annex
A: Certain Characteristics of the Mortgage Loans
|
S-A-1
|
Annex
B: Principal Amount Decrement
|
|
Tables
|
S-B-1
|
Annex
C: Assumed Mortgage Loan
|
|
S-C-1
|
Mortgage
|
Initial Class
Principal
or Class
Notional
|
Initial
Interest
|
Summary Interest
|
Initial Certificate Ratings(9)
|
|||||||||||||||||||||
Class
|
Pool(s)
|
Amount(1)
|
Rate(2)
|
Rate Formula
|
Type
|
S&P
|
Fitch
|
DBRS
|
|||||||||||||||||
1-A1
|
1
|
$
|
66,199,000
|
6.56815
|
%
|
Weighted
Average Rate(4)
|
|
Super
Senior, Sequential
|
AAA
|
AAA
|
AAA
|
||||||||||||||
1-A2
|
1
|
$
|
6,621,000
|
6.56815
|
%
|
Weighted
Average Rate(4)
|
|
Senior
Support, Sequential
|
N/A
|
AAA
|
AAA
|
||||||||||||||
2-A1
|
2
|
$
|
41,099,000
|
5.99188
|
%
|
One-Month
LIBOR + 3.52%(5)
|
|
Super
Senior, Sequential
|
AAA
|
AAA
|
AAA
|
||||||||||||||
2-A2
|
2
|
$
|
10,275,000
|
6.38062
|
%
|
Weighted
Average Rate(6)
|
|
Senior
Mezzanine, Sequential
|
AAA
|
AAA
|
AAA
|
||||||||||||||
2-A3
|
2
|
$
|
5,138,000
|
6.38062
|
%
|
Weighted
Average Rate(6)
|
|
Senior
Support, Sequential
|
N/A
|
AAA
|
AAA
|
||||||||||||||
2-AIO
|
2
|
$
|
41,099,000
|
(3)
|
0.38874
|
%
|
Weighted
Average Rate(7)
|
|
Senior,
Interest-Only
|
AAA
|
AAA
|
AAA
|
|||||||||||||
B1
|
1,
2
|
$
|
6,614,000
|
6.48621
|
%
|
Weighted
Average Rate(8)
|
|
Subordinate
|
N/A
|
AA
|
AA
|
||||||||||||||
B2
|
1,
2
|
$
|
2,792,000
|
6.48621
|
%
|
Weighted
Average Rate(8)
|
|
Subordinate
|
N/A
|
A
|
A
|
||||||||||||||
B3
|
1,
2
|
$
|
1,764,000
|
6.48621
|
%
|
Weighted
Average Rate(8)
|
|
Subordinate
|
N/A
|
BBB
|
BBB
|
(3) |
Initial
notional amount. These classes of certificates are interest-only
certificates; they will not be entitled to payments of principal
and will
accrue interest on their notional amounts as described in this prospectus
supplement.
|
(4) |
The
weighted average rate applicable to this formula will be based on
the
weighted average of the net mortgage rates applicable to pool
1.
|
(5) |
On
or prior to the distribution date in February 2013, the Class 2-A1
Certificates will accrue interest at a rate equal to one-month LIBOR
plus
3.52% per annum, subject to a cap equal to the lesser of (1) 11.80%
per
annum and (2) the weighted average of the net mortgage rates applicable
to
pool 2. Beginning with the distribution date in March 2013, the Class
2-A1
Certificates will accrue interest at the weighted average of the
net
mortgage rates applicable to pool
2.
|
(6) |
The
weighted average rate applicable to this formula will be based on
the
weighted average of the net mortgage rates applicable to pool
2.
|
(7) |
The
Class 2-AIO Certificates are interest-only certificates. With respect
to
any distribution date on or prior to the distribution date in February
2013, the Class 2-AIO Certificates will accrue interest on a notional
amount based on the class principal amount of the Class 2-A1 Certificates
immediately prior to such distribution date, at a rate equal to the
excess, if any, of (i) the weighted average of the net mortgage rates
applicable to pool 2, over (ii) the interest rate on the Class 2-A1
Certificates for such distribution date. After
the distribution date in February 2013, the Class 2-AIO Certificates
will
no longer be entitled to distributions of any
kind.
|
(8) |
The
weighted average rate applicable to this formula will be based on
the
weighted average of the net mortgage rates applicable to pools 1
and 2,
weighted on the basis of the pool subordinate amounts
thereof.
|
(9) |
The
designation “N/A” means that the specified rating agency will not rate the
certificates of that class.
|
Class
|
Record
Date(1)
|
Delay /
Accrual
Period(2)
|
Interest
Accrual
Convention
|
Final Scheduled
Distribution
Date(3)
|
Expected Final
Distribution
Date(4)
|
Minimum
Denominations
|
Incremental
Denominations
|
CUSIP Number
|
|||||||||||||||||
1-A1
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
4/25/2038
|
|
|
3/25/2021
|
$
|
25,000
|
|
$1
|
52525F
AA1
|
|||||||
1-A2
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
4/25/2038
|
|
|
10/25/2021
|
$
|
25,000
|
|
$1
|
52525F
AB9
|
|||||||
2-A1
|
DD
|
|
|
0
Day
|
|
|
30/360
|
|
|
7/25/2047
|
|
|
8/25/2021
|
$
|
25,000
|
|
$
|
52525F
AC7
|
|||||||
2-A2
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
7/25/2047
|
|
|
8/25/2021
|
$
|
25,000
|
|
$1
|
52525F
AD5
|
|||||||
2-A3
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
7/25/2047
|
|
|
10/25/2021
|
$
|
25,000
|
|
$1
|
52525F
AE3
|
|||||||
2-AIO
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
2/25/2013
|
|
|
2/25/2013
|
$
|
1,000,000
|
|
$1
|
52525F
AF0
|
|||||||
B1
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
7/25/2047
|
|
|
10/25/2021
|
$
|
100,000
|
|
$1
|
52525F
AH6
|
|||||||
B2
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
7/25/2047
|
|
|
10/25/2021
|
$
|
100,000
|
|
$1
|
52525F
AJ2
|
|||||||
B3
|
CM
|
|
|
24
Day
|
|
|
30/360
|
|
|
7/25/2047
|
|
|
10/25/2021
|
$
|
100,000
|
|
$1
|
52525F
AK9
|
(1) |
CM
= For any distribution date, the close of business on the last business
day of the calendar month preceding the month of the related distribution
date. DD = For any distribution date, the close of business on the
business day immediately before that distribution
date.
|
(2) |
24
Day = For any distribution date, the interest accrual period will
be the
calendar month preceding that distribution date, based on a 30-day
month.
0 Day = For any distribution date, the interest accrual period from
and
including the 25th day of the immediately preceding month to and
including
the 24th day of the current month, based on a 30-day
month.
|
(4) |
The
expected final distribution date, based upon (i) 15% of the CPR prepayment
assumption, (ii) the modeling assumptions used in this prospectus
supplement, each as described under “Yield, Prepayment and Weighted
Average Life—Weighted Average Life,” and (iii) assuming the option to
purchase the mortgage loans is exercised by the master servicer at
the
earliest possible distribution date as described in this prospectus
supplement under “Description of the Certificates—Optional Purchase of the
Mortgage Loans.” The actual final distribution date for each class of
offered certificates may be earlier or later, and could be substantially
later, than the applicable expected final distribution date listed
above.
|
·
|
This
summary highlights selected information from this document and does
not
contain all of the information that you need to consider in making
your
investment decision. To understand all of the terms of the offering
of the
certificates, it is necessary that you read carefully this entire
document
and the accompanying
prospectus.
|
·
|
While
this summary contains an overview of certain calculations, cash flow
priorities and other information to aid your understanding, you should
read carefully the full description of these calculations, cash flow
priorities and other information in this prospectus supplement and
the
accompanying prospectus before making any investment
decision.
|
·
|
Some
of the information that follows consists of forward-looking statements
relating to future economic performance or projections and other
financial
items. Forward-looking statements are subject to a variety of risks
and
uncertainties, such as general economic and business conditions and
regulatory initiatives and compliance, many of which are beyond the
control of the parties participating in this transaction. Accordingly,
what actually happens may be very different from the projections
included
herein.
|
· |
Whenever
we refer to a percentage of some or all of the mortgage loans in
the trust
fund or in a mortgage pool, that percentage has been calculated on
the
basis of the total scheduled principal balance of those mortgage
loans as
of August 1, 2008 in the trust fund or in a mortgage pool, as the
context
requires, unless we specify otherwise. We explain in this prospectus
supplement under “Glossary of Defined Terms” how the scheduled principal
balance of a mortgage loan is determined. Whenever we refer in this
summary of terms or in the risk factors section of this prospectus
supplement to the total principal balance of any mortgage loans,
we mean
the total of their scheduled principal balances, unless we specify
otherwise.
|
Range
or Total
|
Weighted
Average
|
Total
Percentage
|
||
Number
of Mortgage Loans
|
209
|
-
|
-
|
|
Rate
Type:
|
||||
Hybrid
Adjustable Rate
|
$64,218,286
|
-
|
43.70%
|
|
Fixed
Rate
|
$82,750,143
|
-
|
56.30%
|
|
Total
Scheduled Principal Balance
|
$146,968,430
|
-
|
-
|
|
Scheduled
Principal Balances
|
$135,364
to $1,999,542
|
$703,198*
|
-
|
|
Mortgage
Rates
|
5.250%
to 9.800%
|
6.747%
|
-
|
|
Original
Terms to Maturity (in months)
|
180
to 480
|
358
|
-
|
|
Remaining
Terms to Maturity (in months)
|
166
to 466
|
350
|
-
|
|
Original
Loan-to-Value Ratios
|
28.57%
to 100.00%
|
72.98%
|
-
|
|
Number
of Interest-Only Mortgage Loans
|
111
|
-
|
53.35%
|
|
Geographic
Distribution in Excess of 10.00%
of
the Total Scheduled Principal Balance:
|
||||
California
|
69
|
-
|
30.05%
|
|
Number
of Mortgage Loans in the Maximum
Single
Zip Code Concentration
|
85262
(ZIP Code)
|
-
|
1.88%
|
|
Credit
Scores
|
680
to 812
|
750
|
-
|
|
Number
of Mortgage Loans with Prepayment
Penalties
at Origination
|
25
|
-
|
10.77%
|
|
Gross
Margins(1)
|
2.250%
to 2.750%
|
2.255%
|
-
|
|
Maximum
Mortgage Rates(1)
|
10.250%
to 15.800%
|
11.947%
|
-
|
|
Minimum
Mortgage Rates(1)
|
2.250%
to 2.750%
|
2.255%
|
-
|
|
Months
to Next Mortgage Rate Adjustment(1)
|
21
to 115
|
55
|
-
|
|
Initial
Caps(1)
|
5.000%
to 6.000%
|
5.292%
|
-
|
|
Periodic
Caps(1)
|
1.000%
to 2.000%
|
1.921%
|
-
|
|
Index
|
||||
None
|
124
|
-
|
56.30%
|
|
Six-Month
LIBOR
|
37
|
-
|
16.24%
|
|
One-Year
LIBOR
|
48
|
-
|
27.46%
|
|
Original
Interest-Only Term
|
||||
None
|
98
|
-
|
46.65%
|
|
10-Years
|
111
|
-
|
53.35%
|
Range
or Total
|
Weighted
Average
|
Total
Percentage
|
||
Number
of Mortgage Loans
|
124
|
-
|
-
|
|
Total
Scheduled Principal Balance
|
$82,750,143
|
-
|
-
|
|
Scheduled
Principal Balances
|
$136,403
to $1,999,542
|
$667,339*
|
-
|
|
Mortgage
Rates
|
5.875%
to 7.875%
|
6.818%
|
-
|
|
Original
Terms to Maturity (in months)
|
180
to 360
|
356
|
-
|
|
Remaining
Terms to Maturity (in months)
|
166
to 355
|
348
|
-
|
|
Original
Loan-to-Value Ratios
|
28.57%
to 91.67%
|
72.90%
|
-
|
|
Number
of Interest-Only Mortgage Loans
|
40
|
-
|
29.04%
|
|
Geographic
Distribution in Excess of 10.00%
of
the Total Scheduled Principal Balance:
|
||||
California
|
53
|
-
|
38.01%
|
|
Number
of Mortgage Loans in the Maximum
Single
Zip Code Concentration
|
07458
(ZIP Code)
|
-
|
2.42%
|
|
Credit
Scores
|
680
to 808
|
752
|
-
|
|
Number
of Mortgage Loans with Prepayment
Penalties
at Origination
|
4
|
-
|
3.16%
|
|
Original
Interest-Only Term
|
||||
None
|
84
|
-
|
70.96%
|
|
10-Years
|
40
|
-
|
29.04%
|
Range
or Total
|
Weighted
Average
|
Total
Percentage
|
||
Number
of Mortgage Loans
|
85
|
-
|
-
|
|
Total
Scheduled Principal Balance
|
$64,218,286
|
-
|
-
|
|
Scheduled
Principal Balances
|
$135,364
to $1,888,294
|
$755,509*
|
-
|
|
Mortgage
Rates
|
5.250%
to 9.800%
|
6.655%
|
-
|
|
Original
Terms to Maturity (in months)
|
360
to 480
|
361
|
-
|
|
Remaining
Terms to Maturity (in months)
|
321
to 466
|
353
|
-
|
|
Original
Loan-to-Value Ratios
|
42.00%
to 100.00%
|
73.08%
|
-
|
|
Number
of Interest-Only Mortgage Loans
|
71
|
-
|
84.67%
|
|
Geographic
Distribution in Excess of 10.00%
of
the Total Scheduled Principal Balance:
|
||||
California
|
16
|
-
|
19.80%
|
|
Colorado
|
13
|
-
|
16.19%
|
|
Number
of Mortgage Loans in the Maximum
Single
Zip Code Concentration
|
85262
(ZIP Code)
|
-
|
4.31%
|
|
Credit
Scores
|
680
to 812
|
748
|
-
|
|
Number
of Mortgage Loans with Prepayment
Penalties
at Origination
|
21
|
-
|
20.57%
|
|
Gross
Margins
|
2.250%
to 2.750%
|
2.255%
|
-
|
|
Maximum
Mortgage Rates
|
10.250%
to 15.800%
|
11.947%
|
-
|
|
Minimum
Mortgage Rates
|
2.250%
to 2.750%
|
2.255%
|
-
|
|
Months
to Next Mortgage Rate Adjustment
|
21
to 115
|
55
|
-
|
|
Initial
Caps
|
5.000%
to 6.000%
|
5.292%
|
-
|
|
Periodic
Caps
|
1.000%
to 2.000%
|
1.921%
|
-
|
|
Index
|
||||
Six-Month
LIBOR
|
37
|
-
|
37.17%
|
|
One-Year
LIBOR
|
48
|
-
|
62.83%
|
|
Original
Interest-Only Term
|
||||
None
|
14
|
-
|
15.33%
|
|
10-Years
|
71
|
-
|
84.67%
|
|
·
|
until
the distribution date in September 2015, the subordinate certificates
will
not generally receive any principal prepayments unless the senior
certificates are paid down to zero, provided,
however,
the subordinate certificates may receive principal prepayments if,
to the
extent described in this prospectus supplement, credit enhancement
on the
senior certificates doubles and certain other tests are satisfied;
and
|
·
|
after
that time, subject to certain performance triggers, the subordinate
certificates will receive increasing portions of principal prepayments
over time.
|
Recent
Developments in the Residential
Mortgage Market May Adversely Affect the Yields of the Offered Certificates |
Recently,
the residential mortgage market in the United States has experienced
a
variety of difficulties and changed economic conditions that may
adversely
affect the performance and market value of your certificates.
Delinquencies and losses with respect to residential mortgage loans
generally have increased, in many cases substantially, over the past
twelve to eighteen months, and may continue to increase, particularly
in
the non-prime sector. In addition, housing prices and appraisal values
in
many states have declined, in many cases substantially, over the
past
twelve to eighteen months, after extended periods of significant
appreciation. A continued decline or an extended flattening of those
values may result in additional increases in delinquencies and losses
on
residential mortgage loans generally, particularly with respect to
loans
secured by second homes and investor properties and with respect
to any
residential mortgage loans whose aggregate loan amounts (including
any
subordinate liens) are close to or greater than the related property
values. Approximately 1.99% and 6.27% of the pool 1 and pool 2 mortgage
loans, respectively, are second homes or investor properties.
Approximately 4.84% and 13.42% of the pool 1 and pool 2 mortgage
loans,
respectively, have an original loan-to-value ratio of greater than
80%.
Another
factor that may in the future contribute to higher delinquency rates
is
the potential increase in monthly payments on hybrid mortgage loans
(i.e.
mortgage loans that for an initial period accrue interest at fixed
rates
and thereafter, at adjustable rates). Borrowers with hybrid mortgage
loans
may be exposed to increased monthly payments if the related mortgage
interest rate adjusts upward from the initial fixed rate in effect
during
the initial period of the mortgage loan to the rate computed in accordance
with the applicable index and margin. This increase in borrowers’ monthly
payments, together with any increase in prevailing market interest
rates,
after the initial fixed rate period may result in significantly increased
monthly payments for borrowers with hybrid mortgage
loans.
|
See
“Risk Factors—Prepayment Premiums May Affect a Borrowers Ability to Sell a
Mortgaged Property or Refinance a Mortgage Loan, and May Affect the
Yields
on Your Securities” and “—Changes in U.S. Economic Conditions May
Adversely Affect the Performance of Mortgage Loans, Particularly
Adjustable Rate Loans of Various Types” in the
prospectus.
|
|
Borrowers
seeking to avoid these increased monthly payments by refinancing
their
mortgage loans are, as of the date of this prospectus supplement,
unlikely
to find available replacement loans at comparably low interest rates.
Any
decline to date, or any continued decline, in housing prices may
also
leave borrowers with insufficient equity in their homes to permit
them to
refinance, and in addition, approximately 3.16% and 20.57% of the
pool 1
and pool 2 mortgage loans, respectively, have prepayment premiums
that add
to the cost of refinancing. Furthermore, borrowers who intend to
sell
their homes on or before the expiration of the fixed rate periods
on their
hybrid mortgage loans may find that they cannot sell their properties
for
an amount equal to or greater than the unpaid principal balance of
their
loans. These events, alone or in combination, may contribute to higher
delinquency rates.
The
increased levels of delinquencies and defaults, as well as a deterioration
in general real estate market conditions, have also resulted generally
in
loan originators being required to repurchase an increasingly greater
number of mortgages loans pursuant to early payment default and
representation and warranty provisions in their loan sale agreements.
This
has led to deterioration in the financial performance of many loan
originators. In some cases, such deterioration has caused certain
loan
originators to cease operations. Any such deterioration could adversely
affect the ability of a loan originator to repurchase or substitute
for
mortgage loans as to which a material breach of representation or
warranty
exists or to service mortgage loans. The inability of an originator
to
repurchase or substitute for defective mortgage loans would likely
cause
the related mortgage loans in the trust fund to experience higher
rates of
delinquencies, defaults and losses. As a result, shortfalls in the
distributions due on the certificates could occur. Even in cases
where a
loan originator has the economic ability to repurchase loans, the
increasing volume of repurchase claims has resulted in longer periods
between when a repurchase claim is presented and when it is resolved,
and
a greater proportion of claims being refused or contested by
originators.
|
The
mortgage loans held by the trust fund do not include subprime mortgage
loans; however, many originators that underwrite “jumbo” or Alt-A mortgage
loans also underwrite subprime mortgage loans and consequently have
exposure to the subprime mortgage market. In addition, some sources
have
reported that default rates on Alt-A loans have recently increased
above
the rates experienced on subprime loans. Some sources have also reported
that prepayment rates on Alt-A loans have decreased below historical
levels, which could exacerbate the adverse effect of increased default
rates on pools of Alt-A loans such as the mortgage loans held by
the trust
fund.
|
|
A
number of state regulatory authorities have recently taken action
against
certain loan originators and servicers for alleged violations of
state
laws. Certain of those actions prohibit those servicers from pursuing
foreclosure actions, and in the future one or more additional states
could
seek similar limitations on the ability of mortgage loan servicers
to take
actions (such as pursuing foreclosures) that may be essential to
service
and preserve the value of the mortgage loans on behalf of the trust
fund.
Any such limitations that applied to a servicer of the mortgage loans
could adversely affect the trust fund’s ability to realize on the related
mortgage loans.
You
should consider that the general market conditions discussed above
may
affect the performance of the mortgage loans and may adversely affect
the
yield on and value of the certificates.
|
|
See
“Risk Factors—Financial Difficulties and Developments of Certain
Originators” below and “Mortgage Loans Originated According to Non-Agency
Underwriting Guidelines May Have Higher Expected Delinquencies” in the
prospectus. See also “Description of the Mortgage Loans” in this
prospectus supplement for a description of the characteristics of
the
mortgage loans and “Origination of the Mortgage Loans and Underwriting
Guidelines” for a general description of the underwriting guidelines
applied in originating the mortgage loans.
|
|
Implementation
of More Conservative
Underwriting Criteria May Hinder Refinancing and Increase Risk of Loss |
In
the past twelve to eighteen months, in response to increased delinquencies
and losses with respect to mortgage loans, many mortgage loan originators
have implemented more conservative underwriting criteria for loans,
in
particular, for “Alt-A” mortgage loans. This has likely resulted in
reduced availability of financing alternatives for mortgagors seeking
to
refinance their mortgage loans. The reduced availability of refinancing
options for a mortgagor may result in higher rates of delinquencies
and
losses on the mortgage loans, particularly mortgagors with hybrid
mortgage
loans or interest only mortgage loans that experience significant
increases in their monthly payments following the adjustment date
or the
end of the interest only period,
respectively.
|
Financial
Difficulties of and
Developments Regarding Originators and Servicers |
Recently,
many originators and servicers of mortgage loans have experienced
serious
financial difficulties and, in some cases, have entered bankruptcy
proceedings. These difficulties have resulted in part from declining
markets for their mortgage loans and claims for repurchases against
them
of mortgage loans previously sold under provisions that require repurchase
in the event of early payment defaults or for material breaches of
representations and warranties made on mortgage loans originated
by them,
such as fraud claims. These difficulties have been compounded by
a general
decline in the willingness of banks and other financial institutions
to
extend credit to originators and servicers and the resulting disappearance
of available credit and liquidity lines to such originators and servicers.
Higher delinquencies and defaults may also be contributing to these
difficulties by reducing the value of mortgage loan portfolios, requiring
originators to take mark to market or sale-related losses. An environment
inclusive of declining real estate values may decrease the number
of
borrowers seeking or able to refinance their mortgage loans, resulting
in
a decrease in overall originations. In addition, the costs of servicing
and advancing on increasingly delinquent mortgage loan portfolios
may be
rising without a corresponding increase in servicing compensation.
These
factors, among others, may have the overall effect of increasing
costs and
expenses of originators and servicers while at the same time decreasing
servicing cash flow and loan origination revenues. Financial and
operational difficulties may have a negative effect on the ability
of the
servicers to pursue collection on mortgage loans that are experiencing
increased delinquencies and defaults and to maximize recoveries on
the
sale of the underlying properties following foreclosure. In some
cases,
servicers may become overwhelmed by the number of defaulted loans
in their
servicing portfolios and may be unable or unwilling to pursue collections
or other remedies, or commence foreclosure proceedings on defaulted
mortgage loans.
|
The
servicers are generally required to make advances in respect of delinquent
payments on mortgage loans as long as the servicers deem the advances
recoverable. There can be no assurance as to the current or continuing
financial condition of the servicers or their ability to access markets
for financing such advances. If a servicer is experiencing financial
difficulties, it may not be able to perform these advancing obligations.
Even if the servicers are able to advance amounts in respect of delinquent
mortgage loans, their obligations to make such advances may be limited
to
the extent that they do not expect to recover such advances due to
the
deteriorating credit of the delinquent mortgage loans. See
“Risk Factors—Originators and Servicers May Be Subject to Litigation,
Governmental Proceedings or Adverse Economic Conditions” and “—The
Servicers’ Collections Procedures May Affect the Timing of Collections on
the Mortgage Loans” in the prospectus.
|
|
As
described in this prospectus supplement, the originators of the mortgage
loans are generally required to repurchase or substitute for such
mortgage
loans for certain breaches of representations and warranties made
by them
with respect to the related mortgage loans. The inability to repurchase
or
substitute for such defective loans would likely cause the mortgage
loans
to experience higher rates of delinquencies, defaults and
losses.
The
yield on your certificates may be adversely affected if such events
impact
the originators or the servicers of the mortgage loans in the trust
fund.
|
|
On
August 6, 2007, American Home Mortgage Corp., which originated
approximately 1.63% of the mortgage loans, and certain other affiliates
each filed voluntary petitions for relief under Chapter 11 of title
11 of
the United States Code in the United States Bankruptcy Court for
the
District of Delaware. According to a press release issued by the
Federal
Deposit Insurance Corporation (“FDIC”), on July 11, 2008, IndyMac Bank,
F.S.B., which originated approximately 0.49% of the mortgage loans,
was
closed by the Office of Thrift Supervision and the FDIC was named
conservator. The FDIC then transferred substantially all of the assets
of
IndyMac Bank, F.S.B. to IndyMac Federal Bank, FSB, which the FDIC
operates
as conservator, and such successor entity will be servicing approximately
0.49% of the mortgage loans, and will provide customary mortgage
loan
representations and warranties with respect to the mortgage loans
originated by IndyMac Bank, F.S.B.
|
The
sponsor will provide customary mortgage loan representations and
warranties with respect to all of the mortgage loans originated by
American Home Mortgage Corp. and will only be responsible for repurchase
or substitution obligations in the event of a material breach of
any such
representation or warranty. See “Mortgage Loan Servicing—Representations
and Warranties” for more information regarding the repurchase of mortgage
loans originated by certain companies for breaches of representations
and
warranties.
|
||
Servicers’
Ability to Modify the Terms of
Defaulted Mortgage Loans is Uncertain; Effect of Modifications, or of Failure to Modify, May Be Adverse |
The
servicers will be responsible for servicing each mortgage loan in
the
trust fund regardless of whether the mortgage loan is performing
or has
become delinquent or is otherwise in default. As a result, as
delinquencies or defaults occur, the servicers will be required to
utilize
an increasing amount of resources to work with borrowers to maximize
collections on the mortgage loans. This may include contacting borrowers
repeatedly to collect payments, modifying the terms of mortgage loans
that
are in default or whose default is reasonably foreseeable, or undertaking
foreclosure proceedings. At each step in the process of trying to
bring a
defaulted mortgage loan current or in maximizing proceeds to the
trust
fund, the servicers will be required to invest time and resources
not
otherwise required when collecting payments on performing mortgage
loans.
If there is a large amount of delinquencies or defaults, the final
resolution of individual delinquent or defaulted mortgage loans may
be
delayed. In addition, if the servicers determine that the terms of
one or
more mortgage loans should be modified, the servicers
may:
|
|
·
|
have
difficulty contacting all of the borrowers who are at risk in a timely
fashion, or at all, to work out an acceptable modification or other
arrangement;
|
|
·
|
if
there are a large amount of modifications, have difficulty reaching
the
result that best maximizes proceeds to the trust fund with respect
to each
individual mortgage loan;
|
|
·
|
make
modifications that are designed to maximize collections for the trust
fund
in the aggregate but may adversely affect a particular class of
certificates; and
|
|
·
|
use
the discretion permitted under the servicing agreements to effect
loan
modifications, short sales and other strategies to try to maximize
collections to the trust fund.
|
The
servicers’ decisions as to whether to modify the terms of defaulted
mortgage loans may be affected by concern about potential liability
to
investors.
Investors
should consider the importance of the servicers’ role in maximizing
collections for the trust fund and the impediments the servicers
may
encounter when servicing a substantial number of delinquent or defaulted
mortgage loans. See
“—Financial Difficulties of and Developments Regarding Originators
and
Services” above. In
some cases, failure by the servicers to timely modify the terms of
a
defaulted mortgage loan may reduce amounts available for distribution
to
certificateholders in respect of that mortgage loan.
If
the terms of a mortgage loan are modified, changes in the terms of
the
mortgage loan may include the capitalization of past due payments,
lowering of the interest rate, extension of the maturity date, the
forgiveness of past due principal and/or interest payments, or other
modifications, any of which will reduce or delay payment of the amount
owed to the trust fund by the related borrower or delay the receipt
of
payments from the borrower.
On
July 30, 2008, President Bush signed the Housing and Economic Recovery
Act
of 2008, which among other things, articulates a new fiduciary duty
standard that applies to all servicers of “pooled” residential mortgage
loans. The Truth in Lending Act is amended by the Housing and Economic
Recovery Act of 2008 to provide that, absent a provision to the contrary
in the applicable securitization agreement, a securitization servicer
has
a duty to maximize recoveries on a pool of securitized mortgage loans
for
the benefit of all investors and not “any individual party or group of
parties.” A servicer will be deemed to be acting “in the best interests of
all such investors and parties” if the servicer implements a modification
or workout plan for a securitized residential mortgage loan if the
loan
meets the following criteria: (1) a payment default on the mortgage
loan
has occurred or is reasonably foreseeable; (2) the borrower occupies
the
related mortgaged property; and (3) the “anticipated recovery on the
principal outstanding obligation of the mortgage under the modification
or
workout plan exceeds, on a net present value basis, the anticipated
recovery on the principal outstanding obligation of the mortgage
through
foreclosure.” Investors should consider that the Housing and Economic
Recovery Act of 2008 may cause the servicers of the mortgage loans
in the
trust fund to increase their modification activity in such a manner
that
may be beneficial to the trust fund in the aggregate, but may be
adverse
to certain investors, particularly investors in the subordinate
certificates.
|
In
addition, there are additional government and private-industry driven
proposals which, if enacted, may also impact the way in which loan
modifications are carried out in the future.
Investors
should consider that any of the various possible modifications of
the
terms of a mortgage loan that is in default or as to which default
is
reasonably foreseeable may, even if beneficial to the trust fund
in the
aggregate, affect some certificateholders adversely. In determining
whether a particular loan modification should be made, the servicers
will
not consider the interests of individual classes of
certificates.
|
|
Lehman
Brothers and its Affiliates Have
Many Mortgage-Related Interests |
The
sponsor, the underwriter and their affiliates (collectively, “Lehman”) may
from time to time have economic interests in the performance of
residential mortgage loans or mortgage-backed securities (“MBS”) that may
include holding, buying or selling residual interests in securitized
pools
of loans, various classes of MBS that differ in entitlement to cash
flow
and allocation of losses, interests in the form of derivatives such
as
credit default swaps, or long or short positions with respect to
MBS or
indices that track the performance of certain MBS. Lehman’s interests in
any of its various capacities may not be aligned with the interests
of
certificateholders.
|
Market
Disruption may Adversely Affect
the Value and Liquidity of the Offered Certificates |
There
is currently a very limited secondary market for the offered certificates.
If a secondary market does develop for a class of certificates, market
prices may be below or substantially below the principal amounts
of such
certificates. In addition, if a secondary market does develop, it
might
not continue or it might not be sufficiently liquid to allow you
to resell
any of your certificates. Consequently, you may not be able to sell
your
certificates readily or at prices that will enable you to realize
your
desired yield. In addition, the lack of a secondary market may make
it
difficult to determine the fair value of your certificates even if
you do
not intend to sell. The market values of the offered certificates
are
likely to fluctuate. In particular, other market forces affecting
mortgage-backed securities, similar to the offered certificates,
have
caused and are likely to continue to cause, depressed values for
mortgage-backed securities. For example, several investors in
mortgage-backed securities, including structured investment vehicles,
have, due to their own financial condition, sold significant amounts
of
such securities into the market at a loss. Fluctuating investor confidence
in the mortgage industry — most recently evidenced by the drop in stock
value of Fannie Mae and Freddie Mac — also will continue to contribute to
an illiquid market for mortgage-backed securities, generally. In
addition,
the potential for rating agencies to downgrade ratings on securities,
particularly those offered certificates rated in the highest rating
category, may affect the liquidity and value of the offered
certificates.
Any of these fluctuations may be significant and could result in
significant losses to you.
|
The
secondary markets for mortgage-backed securities have experienced
periods
of illiquidity and can be expected to do so in the future. Illiquidity
can
have a severely adverse effect on the prices of securities that are
especially sensitive to prepayment, credit, or interest rate
risk.
|
|
See
also “Risk Factors—Limited Ability to Resell Securities” in the
prospectus.
|
|
Delay
in Receipt of Liquidation Proceeds;
Liquidation Proceeds May be Less Than Mortgage Balance. |
Substantial
delays could be encountered in connection with the liquidation of
delinquent mortgage loans. Further, reimbursement of advances made
by the
servicers and liquidation expenses such as legal fees, real estate
taxes
and maintenance and preservation expenses may reduce the portion
of
liquidation proceeds payable to certificateholders. If a mortgaged
property fails to provide adequate security for the related mortgage
loan,
you could incur a loss on your investment if the applicable credit
enhancement is insufficient to cover the loss.
|
Risks
Related to Potential Inadequacy
of Credit Enhancement and Other Support |
The
certificates are not insured by any financial guaranty insurance
policy or
by any governmental agency. The features of subordination, loss allocation
and cross-collateralization, all as described in this prospectus
supplement, are intended to enhance the likelihood that holders of
more
senior classes will receive regular payments of interest and principal,
but are limited in nature and may be insufficient to cover all losses
on
the mortgage loans.
|
Except
as described below, the principal portion of any loss (other than
any
“excess” losses described in this prospectus supplement) experienced on a
mortgage loan will be applied to reduce the principal amount of the
class
of subordinate certificates with the lowest priority, until the principal
amount of that class has been reduced to zero. If subordination is
insufficient to absorb losses, then certificateholders of the related
classes with higher priority will likely incur losses and may never
receive all of their principal
payments.
|
For
example, losses in pools 1 and 2 will first be allocated in reduction
of
the class principal amount of the Class B6 Certificates until it
is
reduced to zero, and then in reduction of the class principal amount
of
the Class B5 Certificates until it is reduced to zero, and likewise
in
reduction of the class principal amounts of the Class B4, Class B3,
Class
B2 and Class B1 Certificates, sequentially, in that order, until
the class
principal amount of each such class has been reduced to zero. If
applicable subordination is insufficient to absorb such losses, then
senior certificateholders of the related mortgage pool will likely
incur
losses and will not receive all of their principal
payments.
|
|
After
the total class principal amount of the subordinate certificates
has been
reduced to zero, losses on the mortgage loans will reduce the principal
amounts of the senior certificates; provided,
that
(i) certain losses relating to the Class 1-A1 Certificates will be
reallocated to the Class 1-A2 Certificates until the class principal
amount of the Class 1-A2 Certificates has been reduced to zero, and
(ii)
certain losses relating to the Class 2-A1 and Class 2-A2 Certificates
will
be reallocated to the Class 2-A3 Certificates until the class principal
amount of the Class 2-A3 Certificates has been reduced to zero, and
thereafter certain losses relating to the Class 2-A1 Certificates
will be
reallocated to the Class 2-A2 Certificates until the class principal
amount of the Class 2-A2 Certificates has been reduced to zero.
|
|
Because
the subordinate certificates represent interests in pools 1 and 2,
the
principal amounts of these classes could be reduced to zero as a
result of
a disproportionately high amount of losses on the mortgage loans
in either
of pools 1 or 2. As a result, losses in one such mortgage pool will
reduce
the loss protection provided by the subordinate certificates to all
of the
senior certificates.
|
|
See
“Description of the Certificates—Priority of Distributions,”
“—Cross-collateralization” and “—Allocation of Realized Losses” in this
prospectus supplement.
|
Risks
Related to Unpredictability and
Effect of Prepayments |
The
rate of prepayments on the mortgage loans will be sensitive to prevailing
interest rates. Generally, if prevailing interest rates decline,
mortgage
loan prepayments may increase due to the availability of refinancing
at
lower interest rates. If prevailing interest rates rise, prepayments
on
the mortgage loans may decrease.
|
Borrowers
may prepay their mortgage loans in whole or in part at any time;
however,
approximately 10.77% of the mortgage loans require the payment of
a
prepayment premium amount in connection with any voluntary prepayments
in
full, and certain voluntary prepayments in part, made during periods
ranging from one to three years after origination. These prepayment
premium amounts may discourage borrowers from prepaying their mortgage
loans during the applicable period. Generally, prepayment premium
amounts
received by the trust fund with respect to the mortgage loans will
be
distributable to certificates which are not offered hereby. Prepayment
premium amounts will not be available for distribution to any
certificateholders of the offered certificates.
|
|
A
prepayment of a mortgage loan will usually result in a payment of
principal on the certificates, and, depending on the type of certificate
and the price investors paid for that certificate, may affect the
yield on
that certificate.
|
|
If
you purchase certificates at a discount and principal prepayments
on the
related mortgage loans are received at a rate slower than you anticipate,
then your yield may be lower than you anticipate.
|
|
If
you purchase certificates at a premium, especially any interest-only
certificates, and principal prepayments on the related mortgage loans
are
received at a rate faster than you anticipate, then your yield may
be
lower than you anticipate.
|
|
Prepayments
on the related mortgage loans, as applicable, including liquidations,
purchases and insurance payments, could result in the failure of
investors
in the offered certificates to fully recover their initial investments.
Prepayments on the related mortgage loans may occur as a result of
solicitations of the borrowers by mortgage loan providers, including
the
seller and its affiliates, as described under “Yield, Prepayment and
Weighted Average Life” in this prospectus
supplement.
|
On
July 30, 2008, President Bush signed the Housing and Economic Recovery
Act
of 2008, which among other things, enacted the HOPE for Homeowners
Act of
2008. The HOPE for Homeowners Act provides for federally-guaranteed
refinancing of residential mortgage loans for qualified borrowers
who
cannot afford their current payments. This FHA program, which will
expire
on September 30, 2011, will rely on voluntary participation by servicers
acting on behalf of securitization trusts, including the servicers
on
behalf of the trust fund. A loan will be an “eligible mortgage” under this
FHA program if: the loan was originated on or before January 1, 2008;
the
borrower occupies the related mortgaged property as his or her principal
residence; and the borrower had a mortgage debt to income ratio greater
than 31%. Eligible borrowers may own no more than one residence.
Although
it is uncertain as of the date of this prospectus supplement what
effect,
if any, the HOPE for Homeowners Act will have on the mortgage loans
in the
trust fund, particularly since the program relies on the voluntary
participation of the servicers, it is possible that some of the mortgage
loans in the trust fund may be refinanced under this program, which
may
lead to an increase in prepayments on the mortgage loans.
|
|
See
“Yield, Prepayment and Weighted Average Life” in this prospectus
supplement for a description of the factors that may influence the
rate
and timing of prepayments on the mortgage loans.
|
|
Risks
Related to Mortgage Loans with
Interest-Only Payments |
Approximately
53.35% of the mortgage loans provide for monthly payments of interest
at
the related mortgage interest rate, but no payment of principal,
for a
period of ten years following the origination of the mortgage loan.
Following the applicable interest-only period, the monthly payment
with
respect to each of these mortgage loans will be increased to an amount
sufficient to amortize the principal balance of that mortgage loan
over
the remaining term and to pay interest at the mortgage interest rate.
See
“Risk Factors— Implementation of More Conservative Underwriting Criteria
May Hinder Refinancing and Increase Risk of Loss” above. The presence of
these mortgage loans in the trust fund will, absent other considerations,
result in longer weighted average lives of the related certificates
than
would have been the case had these loans not been included in the
trust
fund. Moreover, if you purchase a certificate at a discount, you
should
consider that the extension of weighted average lives could result
in a
lower yield than would be the case if these mortgage loans provided
for
payment of principal and interest on every payment date. In addition,
a
borrower may view the absence of any obligation to make a payment
of
principal during the applicable interest-only period of the term
of a
mortgage loan as a disincentive to
prepayment.
|
If
a recalculated monthly payment as described above is substantially
higher
than a borrower’s previous interest only monthly payment, that loan may be
subject to an increased risk of delinquency and loss.
|
||
See
“Yield, Prepayment and Weighted Average Life— General” in this prospectus
supplement and “Risk Factors— Risks Related to Mortgage Loans with
Interest-Only Payments” and “—Changes in U.S. Economic Conditions May
Adversely Affect the Performance of Mortgage Loans, Particularly
Adjustable Rate Loans of Various Types” in the
prospectus.
|
||
Special
Risks for Certain Classes of
Certificates |
The
interest-only certificates have yields to maturity (or early
termination) – the yield you will receive if you hold a certificate
until it has been paid in full – that are highly sensitive to prepayments
on the related mortgage loans.
|
|
If
you purchase any of the interest-only certificates, you should consider
the risk that you may receive a lower than expected yield under the
following circumstances:
|
||
·
|
in
the case of the Class 2-AIO Certificates, a faster than expected
rate of
prepayments on the mortgage loans in pool 2.
|
|
After
the distribution date occurring in February 2013, the Class 2-AIO
Certificates will no longer be entitled to distributions of any
kind.
|
||
Prepayments
on the related mortgage loans, as applicable, including liquidations,
purchases and insurance payments, could result in the failure of
investors
in the interest-only certificates to fully recover their initial
investments. Prepayments on the related mortgage loans may occur
as a
result of solicitations of the borrowers by mortgage loan providers,
including the seller and its affiliates, the master servicer, as
described
under “Yield, Prepayment and Weighted Average Life” in this prospectus
supplement.
|
||
Exercise
by the master servicer of its right to purchase the mortgage loans,
as
described under “Description of the Certificates—Optional Purchase of the
Mortgage Loans,” will adversely affect the yields on the interest-only
certificates.
|
See
“Yield, Prepayment, and Weighted Average Life” in this prospectus
supplement for a description of factors that may affect the sensitivity
of
these certificates’ yield to maturity.
|
|
Mortgage
Loan Interest Rates May Limit
Interest Rates on the Offered Certificates |
As
described in this prospectus supplement, the senior certificates
(other
than the Class 2-A1 and Class 2-AIO Certificates) will accrue interest
at
a rate based on the weighted average of the net mortgage rates applicable
to the related mortgage pool and the subordinate certificates will
accrue
interest at a rate based on the weighted average of the net mortgage
rates
applicable to each pool, weighted on the basis of the pool subordinate
amount. The Class 2-A1 Certificates will accrue interest at an interest
rate that adjusts monthly based on the one-month LIBOR index plus
or minus
a specified margin up to and including the distribution date in February
2013, and thereafter will accrue interest based on the weighted average
of
the net mortgage rates applicable to pool 2.
Except
with respect to hybrid mortgage loans during their respective fixed
rate
periods, the interest rates on approximately 43.70% of the mortgage
loans
(all of which are in pool 2) will be calculated on the basis of the
related index plus the applicable margin, as described in this prospectus
supplement. As a result, declines in the indices on which the interest
rates on the mortgage loans in pool 2 are based will result, over
time, in
lower yields on the related classes of certificates. Furthermore,
any
increase in the indices in pool 2 on which the interest rates are
based
may result in prepayments on the related mortgage loans and payments
of
principal on the related offered certificates then entitled to principal.
In addition, prepayments on mortgage loans in any mortgage pool with
higher interest rates will reduce the weighted average of the interest
rates on the mortgage loans in such mortgage pool and, consequently,
reduce the interest rate of the related classes of
certificates.
The
interest rate for the Class 2-A1 Certificates adjusts monthly based
on the
one-month LIBOR index up to and including the distribution date in
February 2013, while for all of the mortgage loans in pool 2, the
interest
rates adjust either semi-annually or annually based on the six-month
LIBOR
or one-year LIBOR loan index, respectively; however, beginning with
the
distribution date in March 2013, the interest rate for the Class
2-A1
Certificates will be based on the weighted average of the net mortgage
rates applicable to pool 2. The interest rate on the Class 2-A1
Certificates up to and including the distribution date in February
2013 is
limited by a cap equal to lesser of (1) the weighted average of the
net
mortgage rates applicable to pool 2 and (2) 11.80% per annum.
Consequently, such limitation on the interest rate on these certificates
may prevent increases in the interest rates for extended periods
in a
rising interest rate environment.
|
The
mortgage loans that have adjustable interest rates will initially
accrue
interest at a fixed rate, and will have the first adjustment to their
interest rates approximately five or ten years after origination,
and
thereafter will accrue interest based on either the six-month LIBOR
index
or the one-year LIBOR index, may also have periodic maximum and minimum
limitations on adjustments to their interest rates. Approximately
56.30%
of the mortgage loans will have fixed interest rates. These factors
may
prevent the loan rate on a mortgage loan from increasing, despite
prevailing market interest rates, and the yield on your certificates
may
be adversely affected.
If
the interest rates on the Class 2-A1 Certificates are limited for
any
distribution date, the resulting basis risk shortfalls may be recovered
by
the holders of those certificates on future distribution dates, but
only
if payments are received from the interest rate cap counterparty
under the
interest rate cap agreement in an amount sufficient to cover these
shortfalls. We cannot assure you that any amounts will be received
under
the interest rate cap agreement, or that any such amounts that are
received will be sufficient to pay certain interest shortfalls on
the
Class 2-A1 Certificates.
See
“Description of the Mortgage Loans” and “Description of the
Certificates—The Interest Rate Cap Agreement” in this prospectus
supplement.
|
|
Default
Risk on High Balance Mortgage
Loans |
The
principal balance of approximately 30 of the mortgage loans (representing
approximately 28.77% of the mortgage loans) were in excess of $1,000,000
as of the cut-off date. You should consider the risk that the loss
and
delinquency experience on these high balance loans may have a
disproportionate effect on the respective mortgage pool as a
whole.
|
Risks
Related to Mortgage Loans
Originated under Certain Loan Documentation Programs |
Approximately
16.01% of the Mortgage Loans were originated under “stated documentation”
programs, pursuant to which there was no verification of the borrowers’
assets. If a significant amount of mortgage loans are originated
under
these programs, it may increase the risk that the borrowers may not
have
sufficient income or assets or may have overstated their income and
assets
and will be unable to make their monthly mortgage loan payments.
You
should consider the risk that mortgage loans originated under these
programs may be subject to increased delinquencies and
defaults.
|
See
“Risk Factors—Aspects of the Mortgage Loan Origination Process May Result
in Higher Expected Delinquencies” in the prospectus for further
information on risks relating to the origination
process.
|
|
Risks
Related to Higher Than Expected
Delinquencies of the Mortgage Loans |
The
mortgage loans were originated or acquired by the originators in
accordance, generally, with underwriting guidelines of the type described
in this prospectus supplement. In general, these guidelines do not
meet
every criterion of Fannie Mae’s or Freddie Mac’s guidelines, so the
mortgage loans may experience rates of delinquency, foreclosure and
bankruptcy that are higher than those experienced by mortgage loans
underwritten in strict accordance with Fannie Mae or Freddie Mac
standards.
|
Changes
in the values of mortgaged properties related to the mortgage loans
may
have a greater effect on the delinquency, foreclosure, bankruptcy
and loss
experience of the mortgage loans in the trust fund than on mortgage
loans
originated under Fannie Mac’s or Freddie Mac’s guidelines. We cannot
assure you that the values of the mortgaged properties have remained
or
will remain at levels in effect on the dates of origination of the
related
mortgage loans.
|
|
See
“Description of the Mortgage Loans” in this prospectus supplement for a
description of the characteristics of the mortgage loans in a mortgage
pool and “Origination of the Mortgage Loans and Underwriting Guidelines”
in this prospectus supplement for a general description of the
underwriting guidelines used in originating the mortgage
loans.
|
|
Delinquencies
Due to Servicing
Transfer |
Mortgage
loans serviced by the servicers may be transferred in the future
to other
servicers in accordance with the provisions of the trust agreement
and the
servicing agreements as a result of, among other things, (1) the
occurrence of unremedied events of default in servicer performance
under
the related servicing agreement or (2) the exercise by Lehman Brothers
Holdings Inc. of its right (a) to terminate certain servicers without
cause or (b) with respect to those mortgage loans serviced by Aurora
Loan
Services LLC, to cause the transfer of servicing of certain mortgage
loans
which are delinquent ninety or more days to a special
servicer.
|
Mortgage
loans subject to servicing transfers may experience increased delays
in
payments until all of the borrowers are informed of the transfer
and the
servicing mortgage files and records and all other relevant data
has been
obtained by the new servicer.
|
|
See
“The Servicers”
and “Mortgage Loan Servicing” in this prospectus supplement and “Risk
Factors—Delinquencies Due to Servicing Transfer” in the
prospectus.
|
|
Risks
Related to Geographic
Concentration of Mortgage Loans |
Approximately
30.05% of the mortgage loans are secured by properties located in
California. The rate of delinquencies, defaults and losses on the
mortgage
loans may be higher than if fewer of the mortgage loans were concentrated
in California because certain conditions in California will have
a
disproportionate impact on the related mortgage loans in general.
For
example, mortgaged properties located in California may be more
susceptible to certain types of hazards, such as earthquakes, floods,
wildfires and other natural disasters.
|
In
addition, approximately 4.54% of the mortgage loans are secured by
properties located in Florida. Tropical storm Fay recently caused
extensive damage in certain parts of Florida. Of such mortgage loans
located in Florida, approximately one mortgage loan (which is
approximately 0.97% of the mortgage loans in pool 2) is secured by
a
property located in the counties designated as individual assistance
or
public assistance areas by the Federal Emergency Management Agency.
The
rate of delinquencies, defaults and losses on those mortgage loans
may be
higher than if fewer of the mortgage loans were concentrated in such
areas. Neither the depositor nor the master servicer has performed
a
physical inspection of any of the mortgaged properties in the affected
areas.
|
|
See
“Yield, Prepayment and Weighted Average Life” in this prospectus
supplement and “Risk Factors—Geographic Concentration of the Mortgage
Loans” in the prospectus. For additional information regarding the
geographic concentration of the mortgage loans to be included in each
mortgage pool, see the geographic distribution tables under in Annex
A to
this prospectus supplement.
|
Violation
of Various Federal, State and
Local Laws May Result in Losses on the Mortgage Loans |
Violations
of certain federal, state or local laws and regulations relating
to the
protection of consumers, unfair and deceptive practices and debt
collection practices may limit the ability of the servicers to collect
all
or part of the principal of or interest on the related mortgage loans
and,
in addition, could subject the trust fund to damages and administrative
enforcement.
|
The
seller will represent in the sale and assignment agreement that each
mortgage loan was originated in compliance with applicable federal,
state
and local laws and regulations. In the event of a breach of this
representation, the seller will be obligated to cure the breach or
repurchase or replace the affected mortgage loan in the manner described
under “The Trust Agreement—Representations and Warranties” in this
prospectus supplement.
|
|
See
“Risk Factors—Violations of Various Federal, State and Local Laws May
Result in Losses on the Mortgage Loans” in the
prospectus.
|
|
Governmental
Action May Affect
Foreclosures |
In
addition to the limitations on foreclosure described in the prospectus,
current and proposed legislative or regulatory initiatives by federal,
state or local legislative bodies or administrative agencies, if
enacted
or enforced, could delay foreclosure, provide new defenses to foreclosure
or otherwise impair the ability of a servicer to foreclose on a defaulted
loan. Various jurisdictions have already adopted or are currently
considering such actions, and we cannot predict the nature or extent
of
limitations on foreclosure that may be enacted. Any such governmental
actions that interfere with the foreclosure process could affect
yields on
the offered certificates, particularly the subordinate certificates.
In
addition, there have been several government and private industry-driven
proposals and programs that may impact the timing and the processing
of
foreclosures in the future.
|
Recently,
as part of the Housing and Economic Recovery Act of 2008, President
Bush
signed the Foreclosure Prevention Act of 2008 into law. Among other
things, it provides assistance to communities hit hard by foreclosures,
it
funds additional counseling of borrowers prior to foreclosure (which
may
extend the foreclosure process), and it extends the stay of foreclosure
or
repossession proceedings of a servicemember of the
military.
|
Additional
proposed federal legislation would, if enacted, permit borrowers
in
bankruptcy to restructure mortgage loans secured by their primary
residences. Bankruptcy courts could, if this legislation is enacted,
reduce the amount of the principal balance of a mortgage loan that
is
secured by a lien on the mortgaged property, reduce the interest
rate,
extend the term to maturity or otherwise modify the terms of a bankrupt
borrower’s mortgage loan.
|
|
Other
legislative or regulatory actions could include limitations on upward
adjustment of mortgage loan interest rates, insulation of the servicers
from liability for modification of loans without regard to the terms
of
the servicing agreement, and other actions that may have the effect
of
reducing cash flow to certificateholders.
|
|
See
“Legal Aspects of Loans—Foreclosure on Mortgages” in the
prospectus.
|
·
|
any
Realized Loss (or Excess Loss) allocated to the Class 1-A1 Certificates
will instead be allocated to the Class 1-A2 Certificates until the
Class
Principal Amount thereof has been reduced to zero;
and
|
·
|
any
Realized Loss (or Excess Loss) allocated to the Class 2-A1 and Class
2-A2
Certificates will instead be allocated to the Class 2-A3 Certificates
until the Class Principal Amount thereof has been reduced to zero;
thereafter, any such losses allocated to the Class 2-A1 Certificates
will
instead be allocated to the Class 2-A2 Certificates until the Class
Principal Amount thereof has been reduced to
zero.
|
Fee Payable to:
|
Frequency
of
Payment:
|
Amount of Fee:
|
How and When
Fee Is Payable:
|
|||
Servicers
|
monthly
|
For
each Mortgage Loan, (i) a monthly fee paid to the related Servicer
out of
interest collections received from the related Mortgage Loan calculated
as
the product of (a) the outstanding principal balance of each Mortgage
Loan
and (b) generally 0.250% per annum and (ii) all investment earnings
on
amounts on deposit in the related Servicing Account.
|
Withdrawn
from each Servicing Account in respect of each Mortgage Loan serviced
by
the related Servicer, before payment of any amounts to
Certificateholders.
|
|||
Master
Servicer
|
monthly
|
All
investment earnings on amounts on deposit in the Collection
Account.
|
Retained
by the Master Servicer.
|
|||
Trustee
|
monthly
|
A
fee equal to 0.0175% per annum on the Scheduled Principal Balance
of each
Mortgage Loan, together with all investment earnings on amounts on
deposit
in the Certificate Account.
|
Retained
by the Trustee.
|
|||
Lender-Paid
Primary Mortgage Insurance Providers
|
monthly
|
For
any Mortgage Loan covered by a lender-paid primary mortgage insurance
policy, the product of the Scheduled Principal Balance of the related
Mortgage Loan and the related lender-paid primary mortgage insurance
fee
rate.
The
lender-paid primary mortgage insurance fee rates with respect to
the
Mortgage Loans with lender-paid primary mortgage insurance range
from
0.030% to 0.770% annually (with a non-zero weighted average as of
the
cut-off date of approximately 0.378% annually for all such Mortgage
Loans).
|
Payable
out of funds on deposit in the Servicing Account before payment of
any
amounts to the Certificates.
|
·
|
The
Depositor, Structured Asset Securities Corporation, is a wholly owned,
direct subsidiary of Lehman Commercial Paper Inc., which is a
wholly-owned, direct subsidiary of Lehman Brothers Inc., which is
a wholly
owned, direct subsidiary of the Sponsor, Lehman Brothers Holdings
Inc.
|
·
|
Aurora,
which acts as the Master Servicer and is also the Servicer, is a
wholly-owned, direct subsidiary of Lehman Brothers Bank, FSB, which
is a
wholly-owned, direct subsidiary of Lehman Brothers Bancorp Inc.,
which is
a wholly owned, direct subsidiary of the
Sponsor.
|
CORRESPONDENT
|
WHOLESALE
|
RETAIL
|
TOTAL
|
|
2005
|
38.8
|
12.7
|
0.4
|
51.9
|
2006
|
25.7
|
10.8
|
0.4
|
36.8
|
2007
|
19.2
|
9.4
|
0.6
|
29.1
|
1H
2008
|
0.3
|
0.3
|
0.2
|
0.9
|
Party:
|
Responsibilities:
|
|
Servicers
|
Performing
the servicing functions with respect to the Mortgage Loans and the
Mortgaged Properties in accordance with the provisions of the Servicing
Agreements, including, but not limited to:
|
|
·
collecting
monthly remittances of principal and interest on the Mortgage Loans
from
the related borrowers, depositing such amounts in the related Servicing
Account, and delivering all amounts on deposit in the related Servicing
Account to the Master Servicer for deposit in the Collection Account
on
the Servicer Remittance Date;
|
||
·
collecting
amounts in respect of taxes and insurance from the related borrowers,
depositing such amounts in the related escrow account, and paying
such
amounts to the related taxing authorities and insurance providers,
as
applicable;
|
||
·
making
Advances with respect to delinquent payments of principal and interest
on
the Mortgage Loans;
|
||
·
paying,
as servicing advances, customary costs and expenses incurred in the
performance by each Servicer of its servicing obligations, including,
but
not limited to, the cost of (a) the preservation, restoration and
protection of the Mortgaged Property, (b) taxes, assessments and
other
charges which are or may become a lien upon the Mortgaged Property
or (c)
fire and hazard insurance coverage to the extent not paid by the
borrower;
|
||
·
providing
monthly loan-level reports to the Master Servicer;
|
||
·
maintaining
certain insurance policies relating to the Mortgage Loans;
and
|
||
· initiating
foreclosure proceedings.
|
||
See
“The Servicers” above and “Mortgage Loan Servicing”
below.
|
||
Master
Servicer
|
Performing
the master servicing functions in accordance with the provisions
of the
Trust Agreement and the Servicing Agreements, including but not limited
to:
|
|
·
monitoring
the Servicers’ performance and enforcing each Servicer’s obligations under
the related Servicing Agreement;
|
||
·
collecting
monthly remittances from each Servicer for deposit in the Collection
Account on the Servicer Remittance Date and delivering all amounts
on
deposit in the Collection Account to the Trustee for deposit in the
Certificate Account on the Master Servicer Remittance
Date;
|
||
·
gathering
the monthly loan-level reports delivered by each Servicer and providing
a
comprehensive loan-level report to the Trustee with respect to the
Mortgage Loans;
|
Party:
|
Responsibilities:
|
|
·
upon
the termination of a Servicer, appointing a successor servicer, and
until
a successor servicer is appointed, acting as successor servicer;
and
|
||
·
upon
the failure of a Servicer to make Advances with respect to a Mortgage
Loan, making those Advances to the extent provided in the Trust
Agreement.
|
||
See
“The Master Servicer” above and “Mortgage Loan Servicing”
below.
|
||
Trustee
|
Performing
the trustee functions in accordance with the provisions of the Trust
Agreement, including but not limited to:
|
|
·
distributing
all amounts on deposit in the Certificate Account in accordance with
the
priorities described under “Descriptions of the Certificates—Distributions
of Interest,” “—Distributions of Prepayment Principal Amounts” and
“—Distributions of Principal” on each Distribution
Date;
|
||
·
depositing
any amounts received from the Cap Counterparty into the Cap Agreement
Account;
|
||
·
distributing
amounts on deposit in the Cap Agreement Account as described under
“Description of the Certificates—The Interest Rate Cap Agreement” on each
applicable Distribution Date;
|
||
· preparing
and distributing annual investor reports, upon request, summarizing
aggregate distributions to Certificateholders necessary to enable
Certificateholders to prepare their tax returns;
|
||
·
preparing
and distributing investor reports, including the monthly distribution
date
statement to Certificateholders based solely on information received
from
the Master Servicer;
|
||
· preparing
and filing annual federal and (if required) state tax returns on
behalf of
the Trust Fund; and
|
||
·
preparing
and filing certain periodic reports with the Commission on behalf
of the
Trust Fund with respect to the Certificates.
|
||
·
enforcing
the obligations of the Master Servicer under the Trust Agreement;
and
|
||
·
acting
as successor master servicer in the event the Master Servicer resigns
or
is removed by the Trustee unless a successor master servicer is
appointed.
|
||
See
“Trust Agreement—The Trustee” and “—Reports to Certificateholders”
below.
|
||
Custodians
|
Performing
the custodial functions in accordance with the provisions of the
related
Custodial Agreements, including but not limited
to:
|
Party:
|
Responsibilities:
|
|
· holding
and maintaining the Mortgage Loan documents related to the Mortgage
Loans
in a fire-resistant facility intended for the safekeeping of mortgage
loan
files on behalf of the Trustee.
|
||
See
“Mortgage Loan Servicing—Custody of the Mortgage Files”
below.
|
Trust
Account:
|
Responsible
Party:
|
Application
of any Investment Earnings:
|
||
Servicing
Accounts
|
Servicers
|
Any
investment earnings will be retained by the related Servicer and
will not
be available for distribution to Certificateholders.
|
||
Collection
Account
|
Master
Servicer
|
Any
investment earnings will be paid as compensation to the Master Servicer
as
described under “Fees and Expenses of the Trust Fund,” and will not be
available for distribution to Certificateholders.
|
||
Certificate
Account
|
Trustee
|
Any
investment earnings will be paid as compensation to the Trustee as
described under “Fees and Expenses of the Trust Fund,” and will not be
available for distribution to Certificateholders.
|
||
Cap
Agreement Account
|
Trustee
|
Funds
in the Cap Agreement Account will not be
invested.
|
September
2 through
October
1
|
Collection
Period:
|
Payments
due during the related Collection Period (September 2 through October
1)
from borrowers will be deposited in each Servicer’s Servicing Account as
received and will include scheduled principal payments due during
the
related Collection Period and interest accrued on the ending scheduled
balance from the prior Collection Period.
|
|
September
1 through
September
30
|
Prepayment
Period for prepayments in full (other than Aurora) and partial prepayments
received from Mortgage Loans:
|
Partial
principal prepayments received by any Servicer and principal prepayments
in full received by any Servicer (other than Aurora) during the related
Prepayment Period (September 1 through September 30) will be deposited
into such Servicer’s Servicing Account for remittance to the Master
Servicer on the Servicer Remittance Date (October
20th).
|
|
September
17 through
October
16
|
Prepayment
Period for Aurora prepayments in full received from Mortgage
Loans:
|
Prepayments
in full received by Aurora during the related Prepayment Period (September
17th through October 16th) will be deposited into such Servicer’s
Servicing Account for remittance to the Master Servicer on the related
Servicer Remittance Date (October 20th).
|
|
September
30
|
Record
Date:
|
Distributions
will be made to Certificateholders of record for all Classes as of
the
close of business on the last Business Day of the month immediately
before
the month in which the Distribution Date occurs.
|
|
October
20
|
Servicer
Remittance Date:
|
The
Servicers will remit collections and recoveries in respect of the
Mortgage
Loans to the Master Servicer for deposit into the Collection Account
on or
prior to the 18th day of each month (or, if the 18th day is not a
Business
Day, the next succeeding Business Day), as specified in the Servicing
Agreements.
|
|
October
24
|
Master
Servicer Remittance Date:
|
One
Business Day immediately before the Distribution Date, the Master
Servicer
will remit to the Trustee amounts on deposit in the Collection Account
for
deposit into the Certificate Account, including any Advances made
by the
Servicers or the Master Servicer for that Distribution
Date.
|
October
27
|
Distribution
Date:
|
On
the 25th day of each month (or if the 25th day is not a Business
Day, the
next Business Day), the Trustee will make distributions to
Certificateholders from amounts on deposit in the Certificate
Account.
|
·
|
any
failure by the Master Servicer to furnish to the Trustee the Mortgage
Loan
data sufficient to prepare the reports described under “Reports to
Certificateholders” below that continues unremedied for two Business Days
after the giving of written notice of the failure to the Master Servicer
by the Trustee, or to the Master Servicer and the Trustee by the
holders
of Certificates evidencing not less than 25% of the Class Principal
Amount
(or Class Notional Amount or Percentage Interest) of each class of
Certificates affected thereby;
|
·
|
any
failure of the Master Servicer to remit to the Trustee any payment
required to be made to the Trustee for the benefit of Certificateholders
under the Trust Agreement, including any Advance, on the date specified
in
the Trust Agreement, which failure continues unremedied for a period
of
one Business Day after the date upon which notice of such failure
has been
given to the Master Servicer by the
Trustee;
|
·
|
any
failure by the Master Servicer to observe or perform in any material
respect any of its covenants or agreements in the Trust Agreement
that
continues unremedied for the number of days specified in the Trust
Agreement, or if any representation or warranty of the Master Servicer
will prove to be incorrect as of the time made in any respect that
materially and adversely affects the interests of the Certificateholders,
and the circumstance or condition in respect of which such representation
or warranty was incorrect will not have been eliminated or cured
within
the number of days specified in the Trust Agreement, in either case
after
the giving of written notice of the failure to the Master Servicer
by the
Trustee, or to the Master Servicer and the Trustee by the holders
of
Certificates evidencing not less than 50% of the Class Principal
Amount
(or Class Notional Amount or Percentage Interest) of each class of
Certificates affected thereby;
|
·
|
certain
events in insolvency, readjustment of debt, marshalling of assets
and
liabilities or similar proceedings and certain actions by the Master
Servicer indicating its insolvency, reorganization or inability to
pay its
obligations, or any Rating Agency reducing or withdrawing or threatening
to reduce or withdraw the rating of the Certificates because of the
financial condition or loan servicing capability of the Master
Servicer;
|
·
|
a
sale or pledge of any of the rights of the Master Servicer under
the Trust
Agreement or an assignment or a delegation of the rights or duties
of the
Master Servicer under the Trust Agreement will have occurred in any
manner
which is not permitted under the Trust Agreement and is without the
prior
written consent of the Trustee and Certificateholders evidencing
not less
than 50% of the Class Principal Amount (or Class Notional Amount
or
Percentage Interest) of each class of Certificates affected thereby;
or
|
·
|
if
the Master Servicer has notice or knows that any Servicer at any
time is
not either a Fannie Mae- or Freddie Mac-approved seller/servicer,
and the
Master Servicer has not terminated the rights and obligations of
such
Servicer under the related Servicing Agreement and replaced such
Servicer
with a Fannie Mae- or Freddie Mac-approved servicer within 60 days
of the
date the Master Servicer receives that notice or acquires such
knowledge.
|
(2) |
to
conform to the provisions of the prospectus supplement and prospectus,
to
correct any defective provisions or to supplement any
provision;
|
(3) |
to
add any other provisions with respect to matters or questions arising
under the Trust Agreement; or
|
(1) |
the
aggregate amount of the distributions to be made on that Distribution
Date
to each class of Certificates (other than any Class of Interest-Only
Certificates or Class P Certificates), allocable to principal on
the
Mortgage Loans, including any Subsequent Recovery, Liquidation Proceeds
and Insurance Proceeds, stating separately the amount attributable
to
scheduled and unscheduled principal payments in each Mortgage
Pool;
|
(2) |
the
aggregate amount of the distribution to be made on that Distribution
Date
to each class of Certificates allocable to
interest;
|
(4) |
the
aggregate amount of, (A) any Advances required to be made as of the
end of
the month immediately preceding the month in which the Distribution
Date
occurs by or on behalf of the Servicers (or the Master Servicer),
(B) the aggregate amount of such Advances actually made and
(C) the amount, if any, by which (A) above exceeds
(B) above;
|
(5) |
by
Mortgage Pool and in the aggregate, the aggregate outstanding principal
balance of the related Mortgage Loans for that Distribution Date,
after
giving effect to payments allocated to principal reported under clause
(1)
above;
|
(6) |
the
Class Principal Amount (or Class Notional Amount) of
each Class of Certificates, to the extent applicable, as of that
Distribution Date after giving effect to payments allocated to principal
reported under clause (1) above, separately identifying any reduction
of
any of the foregoing Certificate Principal Amounts due to Realized
Losses;
|
(7) |
by
Mortgage Pool and in the aggregate, the amount of any Realized Losses
incurred with respect to the related Mortgage Loans (x) in the applicable
Prepayment Period and (y) in the aggregate since the Cut-off
Date;
|
(8) |
by
Mortgage Pool and in the aggregate, the amount of the Master Servicing
Fees and Servicing Fees paid during the Due Period to which that
distribution relates;
|
(9) |
by
Mortgage Pool and in the aggregate, the number and aggregate outstanding
principal balance of the related Mortgage Loans, as reported to the
Trustee by the Master Servicer, (a) remaining outstanding,
(b) delinquent 30 to 59 days, (c) delinquent 60 to 89 days,
(d) delinquent 90 or more days, (e) as to which foreclosure
proceedings have been commenced, all as of the close of business
on the
last Business Day of the calendar month immediately before the month
in
which that Distribution Date occurs, (f) in bankruptcy, (g) that
are REO Properties, (h) that are Charged-off Loans and (i) that
are Released Mortgage Loans (the information in this item (9) will
be
calculated using the MBA delinquency
method);
|
(10) |
by
Mortgage Pool and in the aggregate, the deemed principal balance
of each
REO Property as of the close of business on the last Business Day
of the
calendar month immediately preceding the month in which that Distribution
Date occurs;
|
(11) |
with
respect to any Mortgage Loan that became a REO Property during the
preceding calendar month, the principal balance of such Mortgage
Loan and
the number of such Mortgage Loans by Mortgage Pool and in the aggregate,
as of the close of business on the last Business Day of the calendar
month
immediately preceding the month in which that Distribution Date
occurs;
|
(12) |
with
respect to substitution of Mortgage Loans in the preceding calendar
month,
the Scheduled Principal Balance of each Deleted Loan, and of each
Qualifying Substitute Mortgage
Loan;
|
(13) |
the
aggregate outstanding Interest Shortfalls and Net Prepayment Interest
Shortfalls, if any, for each Class of Certificates, after giving
effect to
distributions made on that Distribution
Date;
|
(14) |
the
Interest Rate applicable to that Distribution Date with respect to
each
Class of Certificates;
|
(15) |
if
applicable, the amount of any shortfall (i.e., the difference between
the
aggregate amounts of principal and interest which Certificateholders
would
have received if there were sufficient available amounts in the
Certificate Account and the amounts actually
distributed);
|
(16) |
the
amount of any Prepayment Premium Amounts or any other prepayment
penalties
collected by the Servicers and paid to the Class P Certificates;
|
(17) |
the
number of Mortgage Loans subject to a modification of terms and the
amount
of interest and principal forgiven in connection with a loan modification;
|
(18) |
the
aggregate outstanding Basis Risk Shortfalls and unpaid Basis Risk
Shortfalls, if any, for the Class 2-A1 Certificates, after giving
effect
to distributions made on such Distribution Date;
|
Percentage
of CPR
|
|||||||||||
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
||||||
Yield*
|
16.226%
|
8.931%
|
1.090%
|
(7.148)%
|
(15.822)%
|
(25.452)%
|
·
|
a
representation from the transferee of the ERISA-Restricted Offered
Certificate, acceptable to and in form and substance satisfactory
to the
Trustee, that the transferee is not a Plan, or a person acting on
behalf
of a Plan or using a Plan’s assets to effect the
transfer;
|
·
|
if
the purchaser is an insurance company, a representation that the
purchaser
is an insurance company which is purchasing the ERISA-Restricted
Offered
Certificate with funds contained in an “insurance company general account”
(as defined in Section V(e) of PTCE 95-60) and that the purchase
and
holding of the ERISA-Restricted Offered Certificate are covered under
Sections I and III of PTCE 95-60;
or
|
·
|
an
opinion of counsel satisfactory to the certificate registrar that
the
purchase and holding of the ERISA-Restricted Offered Certificate
by a
Plan, or any person acting on behalf of a Plan or using a Plan’s assets,
will not result in non-exempt prohibited transactions under Title
I of
ERISA and/or Section 4975 of the Code and will not subject the Trustee,
the certificate registrar, the Master Servicer or the Depositor to
any
obligation in addition to those undertaken in the Trust
Agreement.
|
AB
Servicing Criteria
|
The
minimum servicing criteria established in Item 1122(d) of Regulation
AB.
|
Accrual
Period
|
For
each Class of Certificates other than the Class 2-A1 Certificates,
the
calendar month immediately preceding the month in which the related
Distribution Date occurs. For the Class 2-A1 Certificates, the period
beginning on the Distribution Date in the calendar month preceding
the
month in which the related Distribution Date occurs (or, in the case
of
the first Distribution Date, beginning on August 25, 2008) and ending
on
the day immediately preceding the related Distribution Date, provided
that each such Accrual Period will be treated as containing 30
days.
|
Accrued
Certificate Interest
|
For
each interest-bearing Class of Certificates and any Distribution
Date, the
amount of interest accrued during the related Accrual Period on the
related Class Principal Amount or Class Notional Amount for that
Distribution Date at the applicable Interest Rate, as reduced by
such
Class’s share of (1) the interest portion of any related Excess Losses
for
such Distribution Date, allocable as described herein, and (2) with
respect to any related Mortgage Loan as to which there has been a
reduction in the amount of interest collectible as a result of application
of the Relief Act, the amount of any such reduction, allocated as
described herein.
|
Act
|
The
Securities Act of 1933, as amended.
|
Adjustment
Date
|
With
regard to the Hybrid Mortgage Loans, each date on which the related
Mortgage Rate is adjusted in accordance with the terms of the related
mortgage note.
|
Advance
|
An
advance of funds which the Servicers are generally obligated to make
with
respect to delinquent payments of principal and interest on the Mortgage
Loans, based on an interest rate adjusted to the related Mortgage
Rate
less the Servicing Fee Rate.
|
Apportioned
Principal Balance
|
The
Class Principal Amount of any Class of Subordinate Certificates for
any
Distribution Date immediately prior to that Distribution Date multiplied
by a fraction, the numerator of which is the applicable Pool Subordinate
Amount for that date and the denominator of which is the sum of the
Pool
Subordinate Amounts for such date.
|
Aurora
|
Aurora
Loan Services LLC.
|
Available
Distribution Amount
|
For
each Mortgage Pool on each Distribution Date, as more fully described
in
the Trust Agreement, the sum of the following for each Mortgage Loan
in
that Mortgage Pool:
|
Certificate
Principal Amount
|
For
any Certificate (other than a Class 2-AIO and Class P Certificate)
as of
any Distribution Date, its Certificate Principal Amount as of the
Closing
Date as reduced by all amounts previously distributed on that Certificate
in respect of principal and the principal portion of any Realized
Losses
previously allocated to that Certificate. The Certificate Principal
Amount
for each Class of Subordinate Certificates may also be reduced by
such
Class’s allocable portion of the related Subordinate Certificate Writedown
Amount. On any Distribution Date on which a Subsequent Recovery related
to
a Mortgage Pool is distributed, the Certificate Principal Amount
of any
Class of Certificates then outstanding related to that Mortgage Pool
for
which any Realized Loss or any related Subordinate Certificate Writedown
Amount has been applied will be increased, in order of seniority,
by an
amount (to be applied pro
rata
to
all Certificates of such Class) equal to the lesser of (i) the amount
the
Class of Certificates has been reduced by any Realized Losses or
any
Subordinate Certificate Writedown Amount which has not been previously
increased by any Subsequent Recovery and (ii) the total amount of
any
Subsequent Recovery distributed on such date to Certificateholders,
after
application (for this purpose) to more senior Classes of related
Certificates.
|
Certificateholder
|
Any
person acquiring a beneficial ownership interest in any
Certificate.
|
Certificates
|
The
Senior Certificates, the Subordinate Certificates, the Class P
Certificates and the Class LT-R Certificates.
|
Class
|
All
Certificates bearing the same class designation.
|
Class
Notional Amount
|
For
each Class of Interest-Only Certificates, as follows:
|
· The
Class Notional Amount of the Class 2-AIO Certificates for any Distribution
Date up to and including the Distribution Date in February 2013 will
be
equal to the Class Principal Amount of the Class 2-A1 Certificates.
After
the Distribution Date in February 2013, the Class Notional Amount
of the
Class 2-AIO Certificates will be equal to zero. The initial Class
Notional
Amount of the Class 2-AIO Certificates is approximately
$41,099,000.
|
|
Class
Percentage
|
For
any Class of Subordinate Certificates and any Distribution Date,
the
percentage obtained by dividing the Class Principal Amount of such
Class
immediately prior to that Distribution Date by the sum of the aggregate
Class Principal Amount of all Classes of the Senior Certificates
and the
aggregate Class Principal Amount of all Classes of Subordinate
Certificates immediately prior to that date.
|
Class
Principal Amount
|
For
any Class of Certificates (other than the Interest-Only Certificates),
the
aggregate of the Certificate Principal Amounts of all certificates
of that
Class.
|
Clearstream
Luxembourg
|
Clearstream
Banking Luxembourg.
|
Clearstream
Luxembourg Participants
|
Participating
organizations that utilize the services of Clearstream
Luxembourg.
|
Closing
Date
|
On
or about August 29, 2008.
|
Code
|
The
Internal Revenue Code of 1986, as amended.
|
Collection
Account
|
A
collection account maintained by the Master Servicer established
in the
name of the Master Servicer and for the benefit of the
Certificateholders.
|
Corporate
Trust Office
|
For
purposes of presentment and surrender of the Offered Certificates
for
exchange or for the final distribution thereon, the Trustee’s corporate
trust office is located at Sixth Street and Marquette Avenue, Minneapolis,
Minnesota 55479 Attention: Corporate Trust Services, LMT 2008-6, for
all other purposes, 9062 Old Annapolis Road, Columbia, Maryland 21045,
Attention: Client Manager, LMT 2008-6 or such other address that
the
Trustee may designate from time to time by notice to the
Certificateholders, the Depositor and the Master Servicer.
|
Countrywide
|
Countrywide
Home Loans Servicing LP, or any successor thereto.
|
CPR
|
The
prepayment assumption used in this prospectus supplement for the
Mortgage
Loans, as described under “Yield, Prepayment and Weighted Average
Life—Weighted Average Life.”
|
Credit
Scores
|
Statistical
credit scores obtained by many mortgage lenders in connection with
the
loan application to help assess a borrower’s credit worthiness. Credit
Scores are generated by models developed by a third party and are
made
available to lenders through three national credit bureaus. The models
were derived by analyzing data on consumers in order to establish
patterns
which are believed to be indicative of the borrower’s probability of
default. The Credit Score is based on a borrower’s historical credit data,
including, among other things, payment history, delinquencies on
accounts,
levels of outstanding indebtedness, length of credit history, types
of
credit, and bankruptcy experience. Credit Scores range from approximately
250 to approximately 900, with higher scores indicating an individual
with
a more favorable credit history compared to an individual with a
lower
score. However, a Credit Score purports only to be a measurement
of the
relative degree of risk a borrower represents to a lender, i.e.,
that a
borrower with a higher score is statistically expected to be less
likely
to default in payment than a borrower with a lower score. In addition,
it
should be noted that Credit Scores were developed to indicate a level
of
default probability over a two-year period, which does not correspond
to
the life of a mortgage loan. Furthermore, Credit Scores were not
developed
specifically for use in connection with origination of mortgage loans,
but
for consumer loans in general. Therefore, a Credit Score does not
take
into consideration the effect of mortgage loan characteristics on
the
probability of repayment by the borrower. The Credit Scores set forth
in
the tables in Annex A were obtained at either the time of origination
of
the related Mortgage Loan or more recently. Neither the Depositor
nor any
of the Originators makes any representations or warranties as to
the
actual performance of any Mortgage Loan or that a particular Credit
Score
should be relied upon as a basis for an expectation that the borrower
will
repay the Mortgage Loan according to its
terms.
|
Credit
Support Depletion Date
|
The
Distribution Date on which the Class Principal Amounts of the Subordinate
Certificates have each been reduced to zero.
|
Credit
Support Percentage
|
For
any Class of Subordinate Certificates and any Distribution Date,
the sum
of the Class Percentages of each related Class of lower priority
(without
giving effect to distributions on such date).
|
Custodial
Agreements
|
The
custodial agreements, each between the Trustee and a
Custodian.
|
Custodians
|
On
the Closing Date, LaSalle Bank National Association and U.S. Bank
National
Association, each in their capacity as a custodian, or any successor
thereto.
|
Cut-off
Date
|
|
Cut-off
Date Balance
|
The
Scheduled Principal Balances of all the Mortgage Loans as of the
Cut-off
Date.
|
DBRS
|
DBRS,
Inc.
|
Debt
Service Reduction
|
Any
reduction, in a bankruptcy proceeding, of the amount of the Scheduled
Payment on a Mortgage Loan other than as a result of a Deficient
Valuation.
|
Deficient
Valuation
|
In
the event of a bankruptcy of a borrower, the reduction by a bankruptcy
court of the secured debt owed a lender to the value of the related
Mortgage Property.
|
Definitive
Certificate
|
A
physical certificate representing any
Certificate.
|
Depositor
|
Structured
Asset Securities Corporation.
|
Distribution
Date
|
The
25th
day of each month or, if the 25th
day is not a Business Day, on the next succeeding Business Day, beginning
in September 2008.
|
DTC
|
The
Depository Trust Company.
|
Due
Period
|
For
each Distribution Date, the period beginning on the second day of
the
month preceding the month in which such Distribution Date occurs
and
ending on the first day of the month in which such Distribution Date
occurs.
|
ERISA
|
The
Employee Retirement Income Security Act of 1974, as amended.
|
ERISA
Restricted Offered Certificate
|
Any
Offered Certificate, other than the Class 1-A1 and Class 2-A1
Certificates, and any Class 1-A1 or Class 2-A1 Certificate which
does not
have a rating of at least AA- or its equivalent or above at the time
of
its acquisition by a Plan.
|
Euroclear
|
The
Euroclear System.
|
Euroclear
Participants
|
Participating
organizations that utilize the services of Euroclear.
|
Event
of Default
|
Any
event of default under the Trust Agreement.
|
Excess
Losses
|
The
principal portion of Special Hazard Losses, Bankruptcy Losses (other
than
Debt Service Reductions) and Fraud Losses on the Mortgage Loans that
exceed the Special Hazard Loss Limit, Bankruptcy Loss Limit, and
Fraud
Loss Limit, respectively.
|
Exemption
|
The
individual exemption issued to Lehman Brothers Inc. (PTCE 91-14 as
most
recently amended and restated by PTCE 2007-5).
|
Fannie
Mae
|
The
Federal National Mortgage Association, a federally chartered and
privately
owned corporation organized and existing under the Federal National
Mortgage Association Charter Act, or any successor thereto.
|
Fitch
|
Fitch
Ratings.
|
Forgiven
Amount
|
Any
amount of principal or delinquent interest that the related Mortgagor
is
no longer required to pay as a result of any modification by a Servicer
of
the terms of the related Mortgage
Note.
|
Fraud
Loss Limit
|
Initially,
approximately $4,409,052.
|
Fraud
Losses
|
Losses
sustained on a Liquidated Mortgage Loan by reason of a default arising
from fraud, dishonesty or misrepresentation.
|
Freddie
Mac
|
The
Federal Home Loan Mortgage Corporation, a corporate instrumentality
of the
United States created and existing under Title III of the Emergency
Home
Finance Act of 1970, as amended, or any successor thereto.
|
Global
Securities
|
The
globally offered Certificates.
|
Gross
Margin
|
The
interest rate margin specified in the related mortgage note.
|
Hybrid
Mortgage Loans
|
Mortgage
Loans included in Pool 2 for which the related mortgage note provides
for
adjustment of the applicable Mortgage Rate, as described under
“Description of the Mortgage Loans— Hybrid Mortgage Loans” and “—The
Indices.”
|
Index
|
The
index applicable to any Hybrid Mortgage Loan, based on Six-Month
LIBOR or
One-Year LIBOR, as applicable.
|
IndyMac
|
IndyMac
Federal Bank, FSB (as successor in interest to IndyMac Bank, F.S.B.),
or
any successor thereto.
|
Initial
Cap
|
For
any Hybrid Mortgage Loan, a fixed percentage specified in the related
mortgage note beyond which the related Mortgage Rate generally will
not
increase or decrease on the first Adjustment Date.
|
Insurance
Proceeds
|
All
proceeds (net of unreimbursed payments of property taxes, insurance
premiums and similar items incurred, and unreimbursed advances or
servicing advances made by the Servicers or the Master Servicer (or
the
Trustee, as successor master servicer), if any) of applicable insurance
policies, to the extent such proceeds are not applied to the restoration
of the Mortgaged Property or released to the borrower.
|
Interest
Rate
|
For
each Class of Offered Certificates, the applicable annual rate specified
in the table on page S-1 hereof.
|
Interest
Shortfall
|
Accrued
Certificate Interest not distributed on the Distribution Date related
to
the Accrual Period in which it accrued, other than due to any Net
Prepayment Interest Shortfalls.
|
Interest
Rate Cap Agreement
|
An
interest rate cap agreement entered into on the Closing Date by the
Trustee, on behalf of the Trust, with the Interest Rate Cap Counterparty,
for the benefit of the Class 2-A1 Certificates.
|
Interest
Rate Cap Counterparty
|
Lehman
Brothers Special Financing Inc.
|
Interest-Only
Certificates
|
The
Class 2-AIO Certificates.
|
Issuing
Entity
|
Lehman
Mortgage Trust 2008-6, a common law trust formed under the laws of
the
State of New York.
|
LBH
|
Lehman
Brothers Holdings Inc.
|
Lehman
Bank
|
Lehman
Brothers Bank, FSB.
|
Lehman
Bank Underwriting Guidelines
|
The
Underwriting Guidelines established by Lehman Bank and applied by
Aurora.
|
Lehman
Brothers
|
Lehman
Brothers Inc.
|
Lehman
Originated Mortgage Loans
|
Mortgage
Loans originated by Lehman Bank or an affiliate thereof and subsequently
assigned to LBH.
|
LIBOR
|
The
London Interbank Offered Rate. Generally, references to “LIBOR” in this
prospectus will refer to One-Month LIBOR.
|
LIBOR
Business Day
|
Any
day on which banks in London and New York are open for conducting
transactions in foreign currency and exchange.
|
LIBOR
Determination Date
|
The
second LIBOR Business Day preceding the commencement of each Accrual
Period (other than the first Accrual Period).
|
Liquidated
Mortgage Loan
|
In
general, a defaulted Mortgage Loan as to which the Mortgage Loan
or
related REO Property has been disposed of and all amounts expected
to be
recovered in respect of that Mortgage Loan have been received by
the
Master Servicer or the applicable Servicer on behalf of the Trust
Fund.
|
Liquidation
Proceeds
|
All
amounts (net of unreimbursed expenses incurred in connection with
liquidation or foreclosure, unreimbursed advances or servicing advances,
if any) received and retained in connection with the liquidation
of
defaulted Mortgage Loans, by foreclosure or otherwise, together with
any
net proceeds received on a monthly basis with respect to any properties
acquired on behalf of the Certificateholders by foreclosure or deed
in
lieu of foreclosure.
|
Loan-to-value
Ratio
|
For
any Mortgage Loan at any time, the ratio of the principal balance
of such
Mortgage Loan at the date of determination to (a) in the case of
a
purchase, the lesser of the sale price of the Mortgage Property and
its
appraised value at the time of sale or (b) in the case of a refinancing
or
modification, the appraisal value of the Mortgaged Property at the
time of
the refinancing or modification.
|
Master
Servicer
|
Aurora,
or any successor thereto.
|
Master
Servicer Remittance Date
|
One
Business Day immediately preceding the related Distribution
Date.
|
Maximum
Rate
|
For
any Hybrid Mortgage Loan, the per annum rate specified in the related
mortgage note which the related Mortgage Rate will never
exceed.
|
Minimum
Rate
|
For
any Hybrid Mortgage Loan, the per annum rate specified in the related
mortgage note which the related Mortgage Rate will never be less
than.
|
Mortgage
Assets
|
The
Mortgage Loans.
|
Mortgage
Loans
|
The
conventional, hybrid adjustable rate and fixed rate, fully amortizing,
first lien residential mortgage loans included in the Trust Fund
as of the
Closing Date.
|
Mortgage
Pool
|
Either
of Pool 1 or Pool 2.
|
Mortgage
Rate
|
For
any Mortgage Loan, its applicable interest rate as determined in
the
related mortgage note as reduced by any application of the Relief
Act.
|
Mortgaged
Property
|
The
real property securing a Mortgage Loan.
|
Net
Funds Cap
|
For
any Distribution Date on or prior to the Distribution Date in February
2013, a cap equal to the weighted average of the Net Mortgage Rates
applicable to Pool 2, calculated on the basis of a 360-day year and
30-days for applicable calculation period.
|
Net
Mortgage Rate
|
For
any Mortgage Loan, the Mortgage Rate less the sum of the Servicing
Fee
Rate and any mortgage insurance premium, as applicable
thereto.
|
Net
Prepayment Interest Shortfalls
|
Any
Prepayment Interest Shortfalls not funded by a Servicer.
|
Notional
Amount
|
For
each Interest-Only Certificate as of any Distribution Date, that
Certificate’s Percentage Interest of the Class Notional Amount of the
related Class for that date.
|
Offered
Certificates
|
The
Senior Certificates and the Offered Subordinate Certificates.
|
Offered
Subordinate Certificates
|
The
Class B1, Class B2 and Class B3 Certificates.
|
OID
|
Original
issue discount.
|
One-Month
LIBOR
|
The
average of the interbank offered rates for one-month U.S. dollar
deposits
in the London market.
|
One-Year
LIBOR
|
The
average of the interbank offered rates for one-year U.S. dollar deposits
in the London market.
|
One-Year
LIBOR Mortgage Loans
|
Mortgage
Loans providing for annual adjustment of the related Mortgage Rate
based
on One-Year LIBOR.
|
Original
Credit Support Percentage
|
For
any Class of Subordinate Certificates, the related Credit Support
Percentage for such Class on the Closing Date.
|
Original
Pool Subordinate Amount
|
For
any specified Mortgage Pool, the related Pool Subordinate Amount
as of the
Closing Date.
|
Originators
|
Lehman
Bank and various other entities originating the Mortgage
Loans.
|
Participant
|
Participating
organizations that utilize the services of DTC, including securities
brokers and dealers, banks and trust companies and clearing corporations
and certain other organizations.
|
Percentage
Interest
|
For
any Offered Certificate, a fraction, expressed as a percentage, the
numerator of which is that Certificate’s Certificate Principal Amount or
Class Notional Amount and the denominator of which is the applicable
Class
Principal Amount or Class Notional Amount.
|
Periodic
Cap
|
For
any Hybrid Mortgage Loan, the fixed percentage specified in the related
mortgage note above and below which the related Mortgage Rate will
not be
adjusted on any Adjustment Date, except for the first Adjustment
Date.
|
Plan
|
Any
employee benefit plan or other retirement arrangement that is subject
to
Section 406 of ERISA or to Section 4975 of the Code.
|
Pool
1
|
As
defined under “Description of the Mortgage Loans.”
|
Pool
2
|
As
defined under “Description of the Mortgage Loans.”
|
Pool
Balance
|
For
any Mortgage Pool for any Distribution Date, the aggregate of the
Scheduled Principal Balances of the Mortgage Loans included in such
Mortgage Pool for that Distribution
Date.
|
Pool
Subordinate Amount
|
For
any Mortgage Pool and any Distribution Date, the excess of the Pool
Balance for the immediately preceding Distribution Date for that
Mortgage
Pool over the total Certificate Principal Amount of the related Senior
Certificates immediately prior to that Distribution Date.
|
Prepayment
Interest Excess
|
For
any Mortgage Loan, any excess of any interest received on that Mortgage
Loan over one month’s interest at the Net Mortgage Rate.
|
Prepayment
Interest Shortfall
|
The
amount by which one month’s interest at the Net Mortgage Rate on a
Mortgage Loan as to which a voluntary prepayment has been made exceeds
the
amount of interest actually received in connection with such
prepayment.
|
Prepayment
Period
|
For
each Distribution Date for Mortgage Loans serviced by a Servicer
(other
than Aurora), for a partial prepayment or a prepayment in full, the
calendar month preceding the month in which such Distribution Date
occurs.
For each Distribution Date for Mortgage Loans serviced by Aurora,
for a
prepayment in full, the period commencing on the seventeenth (17th)
day of
the month preceding the month in which such Distribution Date occurs
and
ending on the sixteenth (16th) day of the month in which such Distribution
Date occurs; and for a prepayment in part, the calendar month preceding
the month in which such Distribution Date occurs.
|
Prepayment
Premium Amount
|
A
prepayment premium amount payable by the borrower in connection with
certain full or partial prepayments of principal on a Mortgage Loan
during
the related Prepayment Premium Period.
|
Prepayment
Premium Period
|
The
period of time specified in the related mortgage note during which
the
related Mortgage Loan provides for payment of a Prepayment Premium
Amount
in connection with certain voluntary, full or partial prepayments
of that
Mortgage Loan.
|
Principal
Distribution Amount
|
For
each Mortgage Pool on any Distribution Date, the sum of (x) the related
Senior Principal Distribution Amount and (y) the related Subordinate
Principal Distribution Amount.
|
Principal
Prepayments
|
Payments
allocable to principal on the related Mortgage Loans (other than
Liquidation Proceeds and Insurance Proceeds) to the extent received
in
advance of their scheduled due dates and applied to reduce the principal
balances of those Mortgage
Loans.
|
PTCE
95-60
|
Prohibited
Transaction Class Exemption 95-60.
|
PTCE
|
A
Prohibited Transaction Class Exemption granted by the U.S. Department
of
Labor.
|
Rating
Agencies
|
Each
of DBRS, Fitch and S&P.
|
Realized
Loss
|
Either
(a) with respect to a Liquidated Mortgage Loan, the amount by which
the
remaining unpaid principal balance of that Mortgage Loan plus all
accrued
and unpaid interest thereon and any related expenses exceeds the
amount of
Liquidation Proceeds applied to the principal balance of that Mortgage
Loan, or (b) the amount of any Deficient Valuation. In determining
whether
a Realized Loss is a loss of principal or of interest, Liquidation
Proceeds and other recoveries on a Mortgage Loan will be applied
first to
outstanding expenses incurred with respect to such Mortgage Loan,
then to
accrued, unpaid interest, and finally to principal. To the extent
provided
in the Trust Agreement, Realized Losses may be increased by the principal
portion of any Forgiven Amounts.
|
Record
Date
|
For
each Distribution Date and each Class of Certificates (other than
the
Class 2-A1 Certificates), the last Business Day of the month immediately
preceding the month in which the Distribution Date occurs. For each
Distribution Date and the Class 2-A1 Certificates, the Business Day
immediately preceding the related Distribution Date.
|
Regulation
AB
|
Subpart
229.1100 – Asset Backed Securities (Regulation AB), 17 C.F.R.
§§229.1100-229.1123, as it may be amended from time to time, and subject
to such clarification and interpretation as have been provided
by
the Commission in the adopting release (Asset-Backed Securities,
Securities Act Release No. 33-8518, 70 Fed. Reg. 1,506, 1,531 (Jan.
7,
2005)) or by the staff of the Commission, or as may be provided by
the
Commission or its staff from time to time.
|
Relevant
Depositary
|
Citibank,
N.A., as depositary for Clearstream Luxembourg, and JPMorgan Chase
Bank,
N.A. as depositary for Euroclear, individually.
|
Relief
Act
|
The
Servicemembers Civil Relief Act, as amended, and similar state or
local
laws.
|
Relief
Act Reduction
|
Any
reduction of the applicable Mortgage Rate by application of the Relief
Act.
|
Residual
Certificates
|
The
Class LT-R and Class R
Certificates.
|
S&P
|
Standard
& Poor’s Rating Services, a division of The McGraw-Hill Companies,
Inc.
|
Sale
Agreement
|
Any
transfer agreement pursuant to which LBH or Lehman Bank purchased
Mortgage
Loans directly from the Transferors.
|
Sale
and Assignment Agreement
|
The
mortgage loan sale and assignment agreement dated as of August 1,
2008,
between LBH and the Depositor.
|
Sale
Date
|
The
applicable date a Mortgage Loan was purchased by LBH or Lehman Bank
pursuant to the related Sale Agreement.
|
Scheduled
Payment
|
The
monthly scheduled payment of interest and principal specified in
the
related mortgage note for the Mortgage Loan.
|
Scheduled
Principal Amount
|
For
any Distribution Date and specified Mortgage Pool, the amount described
in
clause (1) of the definition of Senior Principal Distribution Amount
for
that Mortgage Pool.
|
Scheduled
Principal Balance
|
For
any Mortgage Loan as of any date of determination, an amount generally
equal to its outstanding principal balance as of the applicable Cut-off
Date after giving effect to Scheduled Payments due on or before such
date,
whether or not received, as reduced by (1) the principal portion
of all
Scheduled Payments due on or before the due date in the Due Period
immediately preceding such date of determination, whether or not
received
and (2) all amounts allocable to unscheduled principal payments received
on or before the last day of the Prepayment Period immediately preceding
such date of determination. The Scheduled Principal Balance of a
Liquidated Mortgage Loan will be equal to zero.
|
Seller
|
LBH.
|
Senior
Certificates
|
Any
Class of Certificates with an “A” in its Class designation.
|
Senior
Percentage
|
For
each Mortgage Pool and any Distribution Date, the percentage equivalent of
a fraction, the numerator of which is the aggregate of the Class
Principal
Amounts of each Class of Senior Certificates related to such Mortgage
Pool
immediately prior to that date, to the extent that such Classes are
outstanding on such date, and the denominator of which is the related
Pool
Balance as of the beginning of the Due
Period.
|
Senior
Prepayment Percentage
|
For
each Mortgage Pool and any Distribution Date occurring during the
seven
years beginning on the first Distribution Date, 100%. Thereafter,
the
Senior Prepayment Percentage for each Mortgage Pool will, except
as
described below, be subject to gradual reduction as described in
the
following paragraph. The Senior Prepayment Percentage for each Mortgage
Pool for any Distribution Date occurring on or after the seventh
anniversary of the first Distribution Date will be as
follows:
|
· for
any Distribution Date in the first year thereafter, the related Senior
Percentage plus 70% of the related Subordinate Percentage for that
Distribution Date;
|
|
· for
any Distribution Date in the second year thereafter, the related
Senior
Percentage plus 60% of the related Subordinate Percentage for that
Distribution Date;
|
|
· for
any Distribution Date in the third year thereafter, the related Senior
Percentage plus 40% of the related Subordinate Percentage for that
Distribution Date;
|
|
· for
any Distribution Date in the fourth year thereafter, the related
Senior
Percentage plus 20% of the related Subordinate Percentage for that
Distribution Date; and
|
|
· for
any subsequent Distribution Date, the related Senior Percentage for
that
Distribution Date;
|
|
provided,
however,
if on any Distribution Date the Senior Percentage for Pool 1 or Pool
2
exceeds the initial Senior Percentage for that Mortgage Pool, the
Senior
Prepayment Percentage for Pool 1 and Pool 2 for that Distribution
Date
will once again equal 100%; provided,
further,
that notwithstanding the foregoing, (i) if on any Distribution Date
occurring prior to the third anniversary of the first Distribution
Date
the Two Times Test is satisfied, the Senior Prepayment Percentage
for each
Mortgage Pool will equal the related Senior Percentage for that date
plus
50% of the Subordinate Percentage for that date and (ii) if on any
Distribution Date occurring on or after the third anniversary of
the first
Distribution Date the Two Times Test is satisfied, the Senior Prepayment
Percentage for each Mortgage Pool will equal the related Senior Percentage
for that date.
|
Notwithstanding
the foregoing, no decrease in the Senior Prepayment Percentage for
any of
Pool 1 or Pool 2 calculated without regard to clauses (i) and (ii)
in the
preceding paragraph will be effective if, as of that Distribution
Date as
to which any such decrease applies, (1) the average outstanding principal
balance on that Distribution Date and for the preceding five Distribution
Dates of all Mortgage Loans in such Mortgage Pools that were delinquent
60
days or more (including for this purpose any Mortgage Loans in foreclosure
or bankruptcy and Mortgage Loans with respect to which the related
Mortgaged Property has been acquired by the Trust Fund and any Mortgage
Loans modified within 12 months prior to such Distribution Date)
is
greater than or equal to 50% of the aggregate Pool Subordinate Amounts
of
such Mortgage Pools immediately prior to such Distribution Date or
(2)
cumulative Realized Losses (including the interest portion of any
Forgiven
Amounts) with respect to the Mortgage Loans in such Mortgage Pools
exceed
(a) with respect to any distribution Date prior to the third anniversary
of the first Distribution Date, 20% of the aggregate Original Pool
Subordinate Amounts relating to such Mortgage Pools, (b) with respect
to
any Distribution Date on or after the third anniversary but prior
to the
eighth anniversary of the first Distribution Date, 30% of the aggregate
Original Pool Subordinate Amounts relating to such Mortgage Pools,
(c)
with respect to any Distribution Date on or after the eighth anniversary
but prior to the ninth anniversary of the first Distribution Date,
35% of
the aggregate Original Pool Subordinate Amounts relating to such
Mortgage
Pools, (d) with respect to any Distribution Date on or after the
ninth
anniversary but prior to the tenth anniversary of the first Distribution
Date, 40% of the aggregate Original Pool Subordinate Amounts relating
to
such Mortgage Pools, (e) with respect to any Distribution Date on
or after
the tenth anniversary but prior to the eleventh anniversary of the
first
Distribution Date, 45% of the aggregate Original Pool Subordinate
Amounts
relating to such Mortgage Pools and (f) with respect to any Distribution
Date on or after the eleventh anniversary of the first Distribution
Date,
50% of the aggregate Original Pool Subordinate Amounts relating to
such
Mortgage Pools.
|
|
After
the Class Principal Amount of each Class of Senior Certificates for
a
Mortgage Pool has been reduced to zero, the Senior Prepayment Percentage
for such Mortgage Pool will be zero.
|
|
Senior
Principal Distribution Amount
|
For
each Mortgage Pool and each Distribution Date is equal to the sum
of:
|
Mortgage
Loan in that Mortgage Pool due during the Due Period;
(2)
the product of (a) the related Senior Prepayment Percentage and (b)
each
of the following amounts: (i) the principal portion of each full
and
partial principal prepayment made by a borrower on a Mortgage Loan
in that
Mortgage Pool during the related Prepayment Period, (ii) each other
unscheduled collection, including any Subsequent Recovery, Insurance
Proceeds and net Liquidation Proceeds (other than with respect to
any
Mortgage Loan in that Mortgage Pool that was finally liquidated during
the
related Prepayment Period), representing or allocable to recoveries
of
principal of related Mortgage Loans received during the related Prepayment
Period and (iii) the principal portion of all proceeds of the purchase
(or, in the case of a permitted substitution, amounts representing
a
principal adjustment) of any Mortgage Loan in that Mortgage Pool
actually
received by the Trustee with respect to the related Prepayment
Period;
|
|
(3)
with respect to unscheduled recoveries allocable to principal of
any
Mortgage Loan in that Mortgage Pool that was finally liquidated during
the
related Prepayment Period, the lesser of (a) the related net Liquidation
Proceeds allocable to principal and (b) the product of the related
Senior
Prepayment Percentage for that date and the remaining Scheduled Principal
Balance of such related Mortgage Loan at the time of liquidation;
and
|
|
(4)
any amounts described in clauses (1) through (3) for any previous
Distribution Date that remain unpaid.
|
|
Servicers
|
Each
of Aurora, Countrywide and IndyMac.
|
Servicer
Remittance Date
|
The
18th
day of each month (or if such 18th
day is not a Business Day, the next succeeding Business Day).
|
Servicing
Account
|
Each
custodial account maintained by a Servicer established in trust for
the
Trustee and for the benefit of the Certificateholders.
|
Servicing
Agreements
|
With
respect to Aurora, the servicing agreement dated as of August 1,
2008,
among the Seller, the Master Servicer and such Servicer, and acknowledged
by the Trustee and to which the Trustee is a third party beneficiary.
With
respect to Countrywide, the related reconstituted servicing agreement
dated as of August 1, 2008, between the Seller, such Servicer and
Countrywide Home Loans, Inc., and acknowledged by the Master Servicer
and
the Trustee and to which the Trustee and the Master Servicer are
third
party beneficiaries.
With respect to IndyMac, the related reconstituted servicing agreement
dated as of August 1, 2008, between the Seller and such Servicer,
and
acknowledged by the Master Servicer and the Trustee and to which
the
Trustee and the Master Servicer are third party
beneficiaries.
|
Servicing
Fee
|
For
each Mortgage Loan, a monthly fee paid to the applicable Servicer
out of
interest collections received from the related Mortgage Loan calculated
at
the applicable Servicing Fee Rate on the outstanding Principal Balance
of
each Mortgage Loan.
|
Servicing
Fee Rate
|
The
applicable annual rate with respect to each Servicer set forth under
“Fees
and Expenses of the Trust Fund.”
|
Six-Month
LIBOR
|
The
average of the interbank offered rates for six-month U.S. dollar
deposits
in the London market, calculated as provided in the related mortgage
note.
|
Six-Month
LIBOR Mortgage Loans
|
Mortgage
Loans providing for semi-annual adjustment of the related Mortgage
Rate
based on Six-Month LIBOR.
|
SMMEA
|
The
Secondary Mortgage Market Enhancement Act of 1984, as
amended.
|
Special
Hazard Loss Limit
|
Initially,
approximately $3,999,085.
|
Special
Hazard Losses
|
In
general terms, Realized Losses arising out of certain direct physical
loss
or damage to Mortgaged Properties that are not covered by a standard
hazard insurance policy, but excluding, among other things, faulty
design
or workmanship and normal wear and tear.
|
Sponsor
|
Lehman
Brothers Holdings Inc.
|
Subordinate
Certificates
|
The
Class B1, Class B2, Class B3, Class B4, Class B5 and Class B6
Certificates.
|
Subordinate
Certificate Writedown Amount
|
The
amount, if any, by which the aggregate Class Principal Amount of
the
Subordinate Certificates and the aggregate Class Principal Amount
of the
Senior Certificates on any Distribution Date (after giving effect
to
distributions of principal and allocation of Realized Losses on that
date)
exceeds the total Scheduled Principal Balance of the Mortgage Loans
in the
related Mortgage Pool for such Distribution
Date.
|
(3)
with respect to unscheduled recoveries allocable to principal of
any
Mortgage Loan in that Mortgage Pool that was finally liquidated during
the
related Prepayment Period, the related net Liquidation Proceeds allocable
to principal to the extent not distributed pursuant to subsection
(3) of
the definition of Senior Principal Distribution Amount for that Mortgage
Pool; and
|
|
(4)
any amounts described in clauses (1) through (3) for any previous
Distribution Date that remain unpaid.
|
|
Subsequent
Recovery
|
Any
amount recovered by a Servicer or the Master Servicer with respect
to a
Liquidated Mortgage Loan with respect to which a Realized Loss has
been
incurred after liquidation and disposition of such Mortgage
Loan.
|
Tax
Counsel
|
McKee
Nelson LLP.
|
Transferor
|
Any
of the various entities from which LBH or Lehman Bank purchased Mortgage
Loans pursuant to the Sale Agreements.
|
Transferred
Mortgage Loans
|
The
Mortgage Loans purchased by LBH or Lehman Bank from the Transferor
under
the Sale Agreements.
|
Trust
Accounts
|
The
Certificate Account, the Collection Account and the Servicing
Accounts.
|
Trust
Agreement
|
The
trust agreement dated as of August 1, 2008, among the Depositor,
the
Master Servicer and the Trustee.
|
Trust
Fund
|
The
trust fund created pursuant to the Trust Agreement, consisting primarily
of those assets set forth in the second paragraph under the heading
“Description of the Certificates—General.”
|
Trustee
|
Wells
Fargo, in its capacity as trustee under the Trust Agreement, or any
successor thereto.
|
Two
Times Test
|
On
any Distribution Date, the satisfaction of all of the following
conditions:
· the
aggregate Subordinate Percentage is at least two times the aggregate
Subordinate Percentage as of the Closing Date;
· the
average outstanding principal balance on that Distribution Date and
for
the preceding five Distribution Dates of all Mortgage Loans in such
Mortgage Pools that were delinquent 60 days or more (including for
this
purpose any Mortgage Loans in foreclosure or bankruptcy and Mortgage
Loans
with respect to which the related Mortgaged Property has been acquired
by
the Trust Fund and any Mortgage Loans modified within 12 months prior
to
such Distribution Date) is greater than or equal to 50% of the aggregate
Pool Subordinate Amounts of such Mortgage Pools immediately prior
to such
Distribution Date; and
|
· with
respect to any Distribution Date on or after the third anniversary
of the
first Distribution Date, cumulative Realized Losses (including the
interest portion of any Forgiven Amounts) with respect to the Mortgage
Loans in such Mortgage Pools do not exceed (a) 30% of the aggregate
Original Pool Subordinate Amounts relating to such Mortgage Pools,
or with
respect to any Distribution Date prior to the third anniversary of
the
first Distribution Date, 20% of the aggregate Original Pool Subordinate
Amounts relating to such Mortgage Pools.
|
|
Undercollateralized
Class
|
Any
Class of Senior Certificates on any Distribution Date on which the
aggregate Certificate Principal Amount of such Senior Certificates
(after
giving effect to distributions to be made on that Distribution Date)
is
greater than the Pool Balance of the related Mortgage Pool.
|
Underwriter
|
Lehman
Brothers.
|
Underwriting
Agreement
|
Collectively,
the underwriting agreement and the terms agreement between the Depositor
and the Underwriter.
|
Unpaid
Basis Risk Shortfalls
|
For
any Distribution Date on or prior to the Distribution Date in February
2013 and any Class 2-A1 Certificates, the aggregate of all Basis
Risk
Shortfalls with respect to such Class remaining unpaid from previous
Distribution Dates, plus interest accrued thereon at the applicable
Certificate Interest Rate (calculated without giving effect to the
applicable Net Funds Cap).
|
Unscheduled
Principal Amount
|
For
any Distribution Date and specified Mortgage Pool, the amount described
in
clauses (2) and (3) of the definition of Senior Principal Distribution
Amount for that Mortgage Pool.
|
Wells
Fargo
|
Wells
Fargo Bank, N.A., and its successors or
assigns.
|
Range
of Original
Loan-to-Value
Ratios (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
20.001
to 30.000
|
1
|
$
|
1,989,148.72
|
1.35
|
%
|
|||||
40.001
to 50.000
|
8
|
8,178,935.45
|
5.57
|
|||||||
50.001
to 60.000
|
9
|
7,846,585.57
|
5.34
|
|||||||
60.001
to 70.000
|
27
|
24,719,947.20
|
16.82
|
|||||||
70.001
to 80.000
|
139
|
91,610,131.36
|
62.33
|
|||||||
80.001
to 90.000
|
20
|
10,349,202.18
|
7.04
|
|||||||
90.001
to 100.000
|
5
|
2,274,479.80
|
1.55
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of
Mortgage
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
5.001
to 5.500
|
3
|
$
|
2,240,682.00
|
1.52
|
%
|
|||||
5.501
to 6.000
|
18
|
12,500,843.59
|
8.51
|
|||||||
6.001
to 6.500
|
51
|
38,417,438.65
|
26.14
|
|||||||
6.501
to 7.000
|
87
|
59,971,675.45
|
40.81
|
|||||||
7.001
to 7.500
|
34
|
24,215,325.44
|
16.48
|
|||||||
7.501
to 8.000
|
11
|
6,630,209.20
|
4.51
|
|||||||
8.001
to 8.500
|
2
|
1,437,600.00
|
0.98
|
|||||||
8.501
to 9.000
|
2
|
994,339.80
|
0.68
|
|||||||
9.501
to 10.000
|
1
|
560,316.15
|
0.38
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of Original Terms to
Maturity
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
180
|
2
|
$
|
1,722,576.76
|
1.17
|
%
|
|||||
360
|
206
|
144,652,909.53
|
98.42
|
|||||||
480
|
1
|
592,943.99
|
0.40
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of Remaining Terms to
Maturity
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
157
to 168
|
1
|
$
|
759,812.77
|
0.52
|
%
|
|||||
169
to 180
|
1
|
962,763.99
|
0.66
|
|||||||
313
to 324
|
1
|
431,899.52
|
0.29
|
|||||||
337
to 348
|
41
|
25,389,484.00
|
17.28
|
|||||||
349
to 360
|
164
|
118,831,526.01
|
80.86
|
|||||||
361
to 466
|
1
|
592,943.99
|
0.40
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Geographic
Distribution
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Arizona
|
9
|
$
|
6,940,211.69
|
4.72
|
%
|
|||||
California
|
69
|
44,169,623.05
|
30.05
|
|||||||
Colorado
|
21
|
14,462,701.14
|
9.84
|
|||||||
Connecticut
|
3
|
3,299,044.89
|
2.24
|
|||||||
District
Of Columbia
|
2
|
1,384,783.97
|
0.94
|
|||||||
Florida
|
11
|
6,672,614.20
|
4.54
|
|||||||
Georgia
|
4
|
2,104,852.52
|
1.43
|
|||||||
Hawaii
|
1
|
999,718.75
|
0.68
|
|||||||
Illinois
|
6
|
2,448,501.70
|
1.67
|
|||||||
Indiana
|
1
|
580,000.00
|
0.39
|
|||||||
Kentucky
|
1
|
537,760.88
|
0.37
|
|||||||
Maryland
|
13
|
10,010,966.92
|
6.81
|
|||||||
Massachusetts
|
9
|
6,103,637.99
|
4.15
|
|||||||
Michigan
|
2
|
1,902,509.44
|
1.29
|
|||||||
Minnesota
|
1
|
645,322.54
|
0.44
|
|||||||
Nevada
|
2
|
862,277.13
|
0.59
|
|||||||
New
Hampshire
|
1
|
136,403.55
|
0.09
|
|||||||
New
Jersey
|
4
|
4,433,753.97
|
3.02
|
|||||||
New
Mexico
|
2
|
1,147,336.52
|
0.78
|
|||||||
New
York
|
4
|
4,340,499.00
|
2.95
|
|||||||
North
Carolina
|
2
|
2,664,494.83
|
1.81
|
|||||||
Ohio
|
2
|
1,116,073.02
|
0.76
|
|||||||
Oregon
|
3
|
2,161,049.95
|
1.47
|
|||||||
South
Carolina
|
3
|
2,380,971.86
|
1.62
|
|||||||
Tennessee
|
1
|
605,153.39
|
0.41
|
|||||||
Texas
|
5
|
4,296,440.69
|
2.92
|
|||||||
Utah
|
6
|
4,136,874.60
|
2.81
|
|||||||
Vermont
|
2
|
1,758,894.37
|
1.20
|
|||||||
Virginia
|
10
|
7,838,008.11
|
5.33
|
|||||||
Washington
|
8
|
6,248,591.01
|
4.25
|
|||||||
Wyoming
|
1
|
579,358.60
|
0.39
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of Cut-off Date
Scheduled
Principal Balances ($)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
100,000.01
to 150,000.00
|
3
|
$
|
413,324.67
|
0.28
|
%
|
|||||
150,000.01
to 200,000.00
|
2
|
384,749.26
|
0.26
|
|||||||
200,000.01
to 250,000.00
|
4
|
918,143.79
|
0.62
|
|||||||
250,000.01
to 300,000.00
|
1
|
276,000.00
|
0.19
|
|||||||
300,000.01
to 350,000.00
|
1
|
327,980.58
|
0.22
|
|||||||
350,000.01
to 400,000.00
|
3
|
1,126,333.38
|
0.77
|
|||||||
400,000.01
to 450,000.00
|
12
|
5,202,069.47
|
3.54
|
|||||||
450,000.01
to 500,000.00
|
24
|
11,453,647.83
|
7.79
|
|||||||
500,000.01
to 550,000.00
|
30
|
15,889,053.20
|
10.81
|
|||||||
550,000.01
to 600,000.00
|
24
|
13,896,779.28
|
9.46
|
|||||||
600,000.01
to 650,000.00
|
31
|
19,478,458.24
|
13.25
|
|||||||
650,000.01
to 700,000.00
|
10
|
6,807,570.53
|
4.63
|
|||||||
700,000.01
to 750,000.00
|
7
|
5,028,870.21
|
3.42
|
|||||||
750,000.01
to 800,000.00
|
9
|
6,989,190.97
|
4.76
|
|||||||
800,000.01
to 850,000.00
|
2
|
1,682,589.38
|
1.14
|
|||||||
850,000.01
to 900,000.00
|
6
|
5,209,300.12
|
3.54
|
|||||||
900,000.01
to 950,000.00
|
4
|
3,693,402.88
|
2.51
|
|||||||
950,000.01
to 1,000,000.00
|
6
|
5,911,199.08
|
4.02
|
|||||||
1,000,000.01
to 1,250,000.00
|
10
|
11,190,798.68
|
7.61
|
|||||||
1,250,000.01
to 1,500,000.00
|
13
|
18,430,861.69
|
12.54
|
|||||||
1,500,000.01
to 1,750,000.00
|
3
|
4,841,198.33
|
3.29
|
|||||||
1,750,000.01
to 2,000,000.00
|
4
|
7,816,908.71
|
5.32
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Property
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Single
Family
|
165
|
$
|
114,117,183.83
|
77.65
|
%
|
|||||
Two
Family
|
4
|
2,099,972.05
|
1.43
|
|||||||
Condominum
|
8
|
4,826,483.60
|
3.28
|
|||||||
Planned
Unit Development
|
31
|
24,518,357.95
|
16.68
|
|||||||
Cooperative
|
1
|
1,406,432.85
|
0.96
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Loan
Purpose
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Rate/Term
Refinance
|
84
|
$
|
59,286,776.66
|
40.34
|
%
|
|||||
Purchase
|
76
|
56,113,747.02
|
38.18
|
|||||||
Cash
Out Refinance
|
49
|
31,567,906.60
|
21.48
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Documentation
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Full
Documentation
|
173
|
$
|
123,437,741.98
|
83.99
|
%
|
|||||
Stated
Documentation
|
36
|
23,530,688.30
|
16.01
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Occupancy
Status
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Primary
Home
|
199
|
$
|
141,294,737.75
|
96.14
|
%
|
|||||
Second
Home
|
7
|
3,975,352.73
|
2.70
|
|||||||
Investment
|
3
|
1,698,339.80
|
1.16
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Prepayment
Penalty Term (years)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
184
|
$
|
131,143,873.16
|
89.23
|
%
|
|||||
1.000
|
8
|
4,710,990.60
|
3.21
|
|||||||
3.000
|
17
|
11,113,566.52
|
7.56
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of
Maximum
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Not
applicable
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
10.001
to 10.500
|
3
|
2,240,682.00
|
1.52
|
|||||||
10.501
to 11.000
|
13
|
9,934,797.97
|
6.76
|
|||||||
11.001
to 11.500
|
22
|
18,225,646.69
|
12.40
|
|||||||
11.501
to 12.000
|
14
|
9,889,824.38
|
6.73
|
|||||||
12.001
to 12.500
|
8
|
6,584,478.07
|
4.48
|
|||||||
12.501
to 13.000
|
9
|
7,244,192.46
|
4.93
|
|||||||
13.001
to 13.500
|
7
|
5,183,141.12
|
3.53
|
|||||||
13.501
to 14.000
|
4
|
1,923,268.07
|
1.31
|
|||||||
14.001
to 14.500
|
2
|
1,437,600.00
|
0.98
|
|||||||
14.501
to 15.000
|
2
|
994,339.80
|
0.68
|
|||||||
15.501
to 16.000
|
1
|
560,316.15
|
0.38
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of
Minimum
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Not
applicable
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
2.001
to 2.500
|
84
|
63,625,342.72
|
43.29
|
|||||||
2.501
to 3.000
|
1
|
592,943.99
|
0.40
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of Gross Margins (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Not
applicable
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
2.001
to 2.500
|
84
|
63,625,342.72
|
43.29
|
|||||||
2.501
to 3.000
|
1
|
592,943.99
|
0.40
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Next
Rate
Adjustment
Date
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Not
applicable
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
May
2010
|
1
|
431,899.52
|
0.29
|
|||||||
December
2011
|
2
|
959,236.51
|
0.65
|
|||||||
January
2012
|
2
|
940,000.00
|
0.64
|
|||||||
February
2012
|
1
|
880,000.00
|
0.60
|
|||||||
May
2012
|
1
|
528,398.94
|
0.36
|
|||||||
June
2012
|
2
|
1,369,143.99
|
0.93
|
|||||||
July
2012
|
3
|
1,378,277.13
|
0.94
|
|||||||
August
2012
|
5
|
2,384,909.04
|
1.62
|
|||||||
September
2012
|
1
|
191,940.00
|
0.13
|
|||||||
October
2012
|
1
|
545,903.44
|
0.37
|
|||||||
November
2012
|
9
|
7,150,432.36
|
4.87
|
|||||||
December
2012
|
7
|
4,615,082.73
|
3.14
|
|||||||
January
2013
|
17
|
11,828,036.00
|
8.05
|
|||||||
February
2013
|
21
|
20,093,875.05
|
13.67
|
|||||||
March
2013
|
5
|
5,291,200.62
|
3.60
|
|||||||
April
2013
|
2
|
1,595,000.00
|
1.09
|
|||||||
May
2013
|
1
|
526,682.00
|
0.36
|
|||||||
June
2017
|
1
|
370,000.00
|
0.25
|
|||||||
August
2017
|
1
|
695,549.39
|
0.47
|
|||||||
January
2018
|
1
|
1,294,109.11
|
0.88
|
|||||||
March
2018
|
1
|
1,148,610.88
|
0.78
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Initial
Caps (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Not
applicable
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
5.000
|
57
|
45,435,670.51
|
30.92
|
|||||||
6.000
|
28
|
18,782,616.20
|
12.78
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Periodic
Caps (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Not
applicable
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
1.000
|
9
|
5,084,216.85
|
3.46
|
|||||||
2.000
|
76
|
59,134,069.86
|
40.24
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Loan
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
5/6
ARM (6 MO LIBOR)
|
34
|
$
|
21,507,174.55
|
14.63
|
%
|
|||||
10/6
ARM (6 MO LIBOR)
|
3
|
2,359,658.50
|
1.61
|
|||||||
Fixed
Rate
|
124
|
82,750,143.57
|
56.30
|
|||||||
10/1
ARM (1 YR LIBOR)
|
1
|
1,148,610.88
|
0.78
|
|||||||
5/1
ARM (1 YR LIBOR)
|
47
|
39,202,842.78
|
26.67
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Index
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Fixed
Rate
|
124
|
$
|
82,750,143.57
|
56.30
|
%
|
|||||
1
Year LIBOR
|
48
|
40,351,453.66
|
27.46
|
|||||||
6
Month LIBOR
|
37
|
23,866,833.05
|
16.24
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Original
Interest-Only
Term
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
0
|
98
|
$
|
68,560,357.43
|
46.65
|
%
|
|||||
120
|
111
|
78,408,072.85
|
53.35
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Credit
Scores
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
680
to 699
|
23
|
$
|
14,024,702.95
|
9.54
|
%
|
|||||
700
to 719
|
32
|
19,735,195.79
|
13.43
|
|||||||
720
to 739
|
30
|
20,921,496.74
|
14.24
|
|||||||
740
to 759
|
40
|
29,266,843.90
|
19.91
|
|||||||
760
to 779
|
35
|
27,143,528.77
|
18.47
|
|||||||
780
to 799
|
40
|
29,275,367.73
|
19.92
|
|||||||
800
to 819
|
9
|
6,601,294.40
|
4.49
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Delinquency
Status (Days)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
0
to
29
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
|||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Number
of Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
196
|
$
|
137,272,204.17
|
93.40
|
%
|
|||||
1
|
11
|
8,608,936.15
|
5.86
|
|||||||
2
|
2
|
1,087,289.96
|
0.74
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Number
of Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
|||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Number
of Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
|||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Originator
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
American
Home Mortgage Corporation
|
4
|
$
|
2,390,154.07
|
1.63
|
%
|
|||||
Lehman
Brothers Bank, FSB
|
191
|
135,938,828.17
|
92.50
|
|||||||
Countrywide
Home Loans Servicing LP
|
1
|
592,943.99
|
0.40
|
|||||||
Flagstar
Bank, FSB
|
10
|
5,782,298.50
|
3.93
|
|||||||
IndyMac
Bank, F.S.B.
|
1
|
725,000.00
|
0.49
|
|||||||
Residential
Pacific Mortgage
|
1
|
779,392.78
|
0.53
|
|||||||
VirtualBank
|
1
|
759,812.77
|
0.52
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Servicer
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Aurora
Loan Services LLC
|
207
|
$
|
145,650,486.29
|
99.10
|
%
|
|||||
Countrywide
Home Loans Servicing LP
|
1
|
592,943.99
|
0.40
|
|||||||
IndyMac
Federal Bank, FSB
|
1
|
725,000.00
|
0.49
|
|||||||
Total
|
209
|
$
|
146,968,430.28
|
100.00
|
%
|
Range
of Original
Loan-to-Value
Ratios (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
20.001
to 30.000
|
1
|
$
|
1,989,148.72
|
2.40
|
%
|
|||||
40.001
to 50.000
|
3
|
2,891,245.62
|
3.49
|
|||||||
50.001
to 60.000
|
5
|
4,470,285.57
|
5.40
|
|||||||
60.001
to 70.000
|
13
|
10,826,589.13
|
13.08
|
|||||||
70.001
to 80.000
|
94
|
58,564,840.19
|
70.77
|
|||||||
80.001
to 90.000
|
7
|
3,788,034.34
|
4.58
|
|||||||
90.001
to 100.000
|
1
|
220,000.00
|
0.27
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Range
of
Mortgage
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
5.501
to 6.000
|
3
|
$
|
1,897,183.35
|
2.29
|
%
|
|||||
6.001
to 6.500
|
25
|
17,157,613.04
|
20.73
|
|||||||
6.501
to 7.000
|
69
|
45,769,803.47
|
55.31
|
|||||||
7.001
to 7.500
|
23
|
15,481,885.17
|
18.71
|
|||||||
7.501
to 8.000
|
4
|
2,443,658.54
|
2.95
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Range
of
Original
Terms to
Maturity
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
180
|
2
|
$
|
1,722,576.76
|
2.08
|
%
|
|||||
360
|
122
|
81,027,566.81
|
97.92
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Range
of Remaining
Terms
to Maturity (months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
157
to 168
|
1
|
$
|
759,812.77
|
0.92
|
%
|
|||||
169
to 180
|
1
|
962,763.99
|
1.16
|
|||||||
337
to 348
|
24
|
16,476,912.99
|
19.91
|
|||||||
349
to 360
|
98
|
64,550,653.82
|
78.01
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Geographic
Area
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Arizona
|
2
|
$
|
1,127,198.32
|
1.36
|
%
|
|||||
California
|
53
|
31,457,198.93
|
38.01
|
|||||||
Colorado
|
8
|
4,063,372.71
|
4.91
|
|||||||
Connecticut
|
3
|
3,299,044.89
|
3.99
|
|||||||
District
Of Columbia
|
1
|
759,812.77
|
0.92
|
|||||||
Florida
|
4
|
2,342,834.30
|
2.83
|
|||||||
Georgia
|
2
|
1,024,428.20
|
1.24
|
|||||||
Illinois
|
2
|
736,556.49
|
0.89
|
|||||||
Kentucky
|
1
|
537,760.88
|
0.65
|
|||||||
Maryland
|
8
|
5,597,980.37
|
6.76
|
|||||||
Massachusetts
|
5
|
3,514,667.16
|
4.25
|
|||||||
Michigan
|
1
|
618,819.40
|
0.75
|
|||||||
Minnesota
|
1
|
645,322.54
|
0.78
|
|||||||
New
Hampshire
|
1
|
136,403.55
|
0.16
|
|||||||
New
Jersey
|
4
|
4,433,753.97
|
5.36
|
|||||||
New
Mexico
|
2
|
1,147,336.52
|
1.39
|
|||||||
New
York
|
2
|
2,366,432.85
|
2.86
|
|||||||
Ohio
|
2
|
1,116,073.02
|
1.35
|
|||||||
Oregon
|
1
|
495,049.95
|
0.60
|
|||||||
South
Carolina
|
2
|
1,835,068.42
|
2.22
|
|||||||
Tennessee
|
1
|
605,153.39
|
0.73
|
|||||||
Texas
|
4
|
2,850,326.10
|
3.44
|
|||||||
Utah
|
3
|
2,209,874.60
|
2.67
|
|||||||
Vermont
|
1
|
1,151,394.37
|
1.39
|
|||||||
Virginia
|
4
|
4,024,150.26
|
4.86
|
|||||||
Washington
|
5
|
4,074,771.01
|
4.92
|
|||||||
Wyoming
|
1
|
579,358.60
|
0.70
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Range
of
Scheduled
Principal Balances ($)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
100,000.01
to 150,000.00
|
2
|
$
|
277,960.04
|
0.34
|
%
|
|||||
200,000.01
to 250,000.00
|
3
|
681,181.04
|
0.82
|
|||||||
250,000.01
to 300,000.00
|
1
|
276,000.00
|
0.33
|
|||||||
350,000.01
to 400,000.00
|
1
|
360,422.28
|
0.44
|
|||||||
400,000.01
to 450,000.00
|
7
|
3,060,156.31
|
3.70
|
|||||||
450,000.01
to 500,000.00
|
18
|
8,600,234.89
|
10.39
|
|||||||
500,000.01
to 550,000.00
|
19
|
10,044,371.76
|
12.14
|
|||||||
550,000.01
to 600,000.00
|
14
|
8,049,494.82
|
9.73
|
|||||||
600,000.01
to 650,000.00
|
22
|
13,823,957.63
|
16.71
|
|||||||
650,000.01
to 700,000.00
|
7
|
4,740,482.98
|
5.73
|
|||||||
700,000.01
to 750,000.00
|
3
|
2,157,270.21
|
2.61
|
|||||||
750,000.01
to 800,000.00
|
5
|
3,882,531.09
|
4.69
|
|||||||
800,000.01
to 850,000.00
|
2
|
1,682,589.38
|
2.03
|
|||||||
850,000.01
to 900,000.00
|
2
|
1,737,498.11
|
2.10
|
|||||||
900,000.01
to 950,000.00
|
3
|
2,761,650.44
|
3.34
|
|||||||
950,000.01
to 1,000,000.00
|
4
|
3,911,480.33
|
4.73
|
|||||||
1,000,000.01
to 1,250,000.00
|
3
|
3,509,358.61
|
4.24
|
|||||||
1,250,000.01
to 1,500,000.00
|
5
|
7,264,889.77
|
8.78
|
|||||||
1,750,000.01
to 2,000,000.00
|
3
|
5,928,613.88
|
7.16
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Property
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Single
Family
|
100
|
$
|
65,379,420.80
|
79.01
|
%
|
|||||
Two
Family
|
1
|
784,346.64
|
0.95
|
|||||||
Planned
Unit Development
|
18
|
13,341,048.13
|
16.12
|
|||||||
Condominium
|
4
|
1,838,895.15
|
2.22
|
|||||||
Cooperative
|
1
|
1,406,432.85
|
1.70
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Loan
Purpose
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Purchase
|
54
|
$
|
40,110,503.57
|
48.47
|
%
|
|||||
Rate/Term
Refinance
|
45
|
25,993,085.28
|
31.41
|
|||||||
Cash
Out Refinance
|
25
|
16,646,554.72
|
20.12
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Loan
Documentation
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Full
Documentation
|
104
|
$
|
69,742,230.53
|
84.28
|
%
|
|||||
Stated
Documentation
|
20
|
13,007,913.04
|
15.72
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Occupancy
Status
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Primary
Home
|
120
|
$
|
81,103,976.82
|
98.01
|
%
|
|||||
Secondary
Home
|
4
|
1,646,166.75
|
1.99
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Prepayment
Penalty (Years)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
120
|
$
|
80,135,464.42
|
96.84
|
%
|
|||||
1.000
|
2
|
1,141,181.04
|
1.38
|
|||||||
3.000
|
2
|
1,473,498.11
|
1.78
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Loan
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Fixed
Rate
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
|||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Interest
Only Term (months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
0
|
84
|
$
|
58,717,641.69
|
70.96
|
%
|
|||||
120
|
40
|
24,032,501.88
|
29.04
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Credit
Scores
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
680
to 699
|
17
|
$
|
8,747,049.09
|
10.57
|
%
|
|||||
700
to 719
|
18
|
10,544,437.87
|
12.74
|
|||||||
720
to 739
|
15
|
11,498,943.13
|
13.90
|
|||||||
740
to 759
|
18
|
12,765,435.55
|
15.43
|
|||||||
760
to 779
|
21
|
14,110,828.01
|
17.05
|
|||||||
780
to 799
|
29
|
20,415,635.79
|
24.67
|
|||||||
800
to 819
|
6
|
4,667,814.13
|
5.64
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Days
Delinquent
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
0
to
29 days
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
|||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
30-59
Day Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
115
|
$
|
74,953,153.97
|
90.58
|
%
|
|||||
1
|
8
|
7,169,699.64
|
8.66
|
|||||||
2
|
1
|
627,289.96
|
0.76
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
60-89
Day Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
|||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
90
and Above Day Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
|||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Originator
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
American
Home Mortgage Corporation
|
4
|
$
|
2,390,154.07
|
2.89
|
%
|
|||||
Lehman
Brothers Bank, FSB
|
116
|
77,397,702.30
|
93.53
|
|||||||
Flagstar
Bank, FSB
|
1
|
698,081.65
|
0.84
|
|||||||
IndyMac
Bank, F.S.B.
|
1
|
725,000.00
|
0.88
|
|||||||
Residential
Pacific Mortgage
|
1
|
779,392.78
|
0.94
|
|||||||
VirtualBank
|
1
|
759,812.77
|
0.92
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Servicer
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Aurora
Loan Services LLC
|
123
|
$
|
82,025,143.57
|
99.12
|
%
|
|||||
IndyMac
Federal Bank, FSB
|
1
|
725,000.00
|
0.88
|
|||||||
Total
|
124
|
$
|
82,750,143.57
|
100.00
|
%
|
Range
of Original
Loan-to-Value
Ratios (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
40.001
to 50.000
|
5
|
$
|
5,287,689.83
|
8.23
|
%
|
|||||
50.001
to 60.000
|
4
|
3,376,300.00
|
5.26
|
|||||||
60.001
to 70.000
|
14
|
13,893,358.07
|
21.63
|
|||||||
70.001
to 80.000
|
45
|
33,045,291.17
|
51.46
|
|||||||
80.001
to 90.000
|
13
|
6,561,167.84
|
10.22
|
|||||||
90.001
to 100.000
|
4
|
2,054,479.80
|
3.20
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of
Mortgage
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
5.001
to 5.500
|
3
|
$
|
2,240,682.00
|
3.49
|
%
|
|||||
5.501
to 6.000
|
15
|
10,603,660.24
|
16.51
|
|||||||
6.001
to 6.500
|
26
|
21,259,825.61
|
33.11
|
|||||||
6.501
to 7.000
|
18
|
14,201,871.98
|
22.11
|
|||||||
7.001
to 7.500
|
11
|
8,733,440.27
|
13.60
|
|||||||
7.501
to 8.000
|
7
|
4,186,550.66
|
6.52
|
|||||||
8.001
to 8.500
|
2
|
1,437,600.00
|
2.24
|
|||||||
8.501
to 9.000
|
2
|
994,339.80
|
1.55
|
|||||||
9.501
to 10.000
|
1
|
560,316.15
|
0.87
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of Original Terms to
Maturity
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
360
|
84
|
$
|
63,625,342.72
|
99.08
|
%
|
|||||
480
|
1
|
592,943.99
|
0.92
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of Remaining Terms to
Maturity
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
313
to 324
|
1
|
$
|
431,899.52
|
0.67
|
%
|
|||||
337
to 348
|
17
|
8,912,571.01
|
13.88
|
|||||||
349
to 360
|
66
|
54,280,872.19
|
84.53
|
|||||||
361
to 466
|
1
|
592,943.99
|
0.92
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Geographic
Distribution
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Arizona
|
7
|
$
|
5,813,013.37
|
9.05
|
%
|
|||||
California
|
16
|
12,712,424.12
|
19.80
|
|||||||
Colorado
|
13
|
10,399,328.43
|
16.19
|
|||||||
District
Of Columbia
|
1
|
624,971.20
|
0.97
|
|||||||
Florida
|
7
|
4,329,779.90
|
6.74
|
|||||||
Georgia
|
2
|
1,080,424.32
|
1.68
|
|||||||
Hawaii
|
1
|
999,718.75
|
1.56
|
|||||||
Illinois
|
4
|
1,711,945.21
|
2.67
|
|||||||
Indiana
|
1
|
580,000.00
|
0.90
|
|||||||
Maryland
|
5
|
4,412,986.55
|
6.87
|
|||||||
Massachusetts
|
4
|
2,588,970.83
|
4.03
|
|||||||
Michigan
|
1
|
1,283,690.04
|
2.00
|
|||||||
Nevada
|
2
|
862,277.13
|
1.34
|
|||||||
New
York
|
2
|
1,974,066.15
|
3.07
|
|||||||
North
Carolina
|
2
|
2,664,494.83
|
4.15
|
|||||||
Oregon
|
2
|
1,666,000.00
|
2.59
|
|||||||
South
Carolina
|
1
|
545,903.44
|
0.85
|
|||||||
Texas
|
1
|
1,446,114.59
|
2.25
|
|||||||
Utah
|
3
|
1,927,000.00
|
3.00
|
|||||||
Vermont
|
1
|
607,500.00
|
0.95
|
|||||||
Virginia
|
6
|
3,813,857.85
|
5.94
|
|||||||
Washington
|
3
|
2,173,820.00
|
3.39
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of Cut-off Date
Scheduled
Principal Balances ($)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
100,000.01
to 150,000.00
|
1
|
$
|
135,364.63
|
0.21
|
%
|
|||||
150,000.01
to 200,000.00
|
2
|
384,749.26
|
0.60
|
|||||||
200,000.01
to 250,000.00
|
1
|
236,962.75
|
0.37
|
|||||||
300,000.01
to 350,000.00
|
1
|
327,980.58
|
0.51
|
|||||||
350,000.01
to 400,000.00
|
2
|
765,911.10
|
1.19
|
|||||||
400,000.01
to 450,000.00
|
5
|
2,141,913.16
|
3.34
|
|||||||
450,000.01
to 500,000.00
|
6
|
2,853,412.94
|
4.44
|
|||||||
500,000.01
to 550,000.00
|
11
|
5,844,681.44
|
9.10
|
|||||||
550,000.01
to 600,000.00
|
10
|
5,847,284.46
|
9.11
|
|||||||
600,000.01
to 650,000.00
|
9
|
5,654,500.61
|
8.81
|
|||||||
650,000.01
to 700,000.00
|
3
|
2,067,087.55
|
3.22
|
|||||||
700,000.01
to 750,000.00
|
4
|
2,871,600.00
|
4.47
|
|||||||
750,000.01
to 800,000.00
|
4
|
3,106,659.88
|
4.84
|
|||||||
850,000.01
to 900,000.00
|
4
|
3,471,802.01
|
5.41
|
|||||||
900,000.01
to 950,000.00
|
1
|
931,752.44
|
1.45
|
|||||||
950,000.01
to 1,000,000.00
|
2
|
1,999,718.75
|
3.11
|
|||||||
1,000,000.01
to 1,250,000.00
|
7
|
7,681,440.07
|
11.96
|
|||||||
1,250,000.01
to 1,500,000.00
|
8
|
11,165,971.92
|
17.39
|
|||||||
1,500,000.01
to 1,750,000.00
|
3
|
4,841,198.33
|
7.54
|
|||||||
1,750,000.01
to 2,000,000.00
|
1
|
1,888,294.83
|
2.94
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Property
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Single
Family
|
65
|
$
|
48,737,763.03
|
75.89
|
%
|
|||||
Two
Family
|
3
|
1,315,625.41
|
2.05
|
|||||||
Condominium
|
4
|
2,987,588.45
|
4.65
|
|||||||
Planned
Unit Development
|
13
|
11,177,309.82
|
17.41
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Loan
Purpose
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Rate/Term
Refinance
|
39
|
$
|
33,293,691.38
|
51.84
|
%
|
|||||
Purchase
|
22
|
16,003,243.45
|
24.92
|
|||||||
Cash
Out Refinance
|
24
|
14,921,351.88
|
23.24
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Documentation
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Full
Documentation
|
69
|
$
|
53,695,511.45
|
83.61
|
%
|
|||||
Stated
Documentation
|
16
|
10,522,775.26
|
16.39
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Occupancy
Status
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Primary
Home
|
79
|
$
|
60,190,760.93
|
93.73
|
%
|
|||||
Second
Home
|
3
|
2,329,185.98
|
3.63
|
|||||||
Investment
|
3
|
1,698,339.80
|
2.64
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Prepayment
Penalty Term (years)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
64
|
$
|
51,008,408.74
|
79.43
|
%
|
|||||
1.000
|
6
|
3,569,809.56
|
5.56
|
|||||||
3.000
|
15
|
9,640,068.41
|
15.01
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of
Maximum
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
10.001
to 10.500
|
3
|
$
|
2,240,682.00
|
3.49
|
%
|
|||||
10.501
to 11.000
|
13
|
9,934,797.97
|
15.47
|
|||||||
11.001
to 11.500
|
22
|
18,225,646.69
|
28.38
|
|||||||
11.501
to 12.000
|
14
|
9,889,824.38
|
15.40
|
|||||||
12.001
to 12.500
|
8
|
6,584,478.07
|
10.25
|
|||||||
12.501
to 13.000
|
9
|
7,244,192.46
|
11.28
|
|||||||
13.001
to 13.500
|
7
|
5,183,141.12
|
8.07
|
|||||||
13.501
to 14.000
|
4
|
1,923,268.07
|
2.99
|
|||||||
14.001
to 14.500
|
2
|
1,437,600.00
|
2.24
|
|||||||
14.501
to 15.000
|
2
|
994,339.80
|
1.55
|
|||||||
15.501
to 16.000
|
1
|
560,316.15
|
0.87
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of
Minimum
Rates (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
2.001
to 2.500
|
84
|
$
|
63,625,342.72
|
99.08
|
%
|
|||||
2.501
to 3.000
|
1
|
592,943.99
|
0.92
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Range
of Gross Margins (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
2.001
to 2.500
|
84
|
$
|
63,625,342.72
|
99.08
|
%
|
|||||
2.501
to 3.000
|
1
|
592,943.99
|
0.92
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Next
Rate
Adjustment
Date
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
May
2010
|
1
|
$
|
431,899.52
|
0.67
|
%
|
|||||
December
2011
|
2
|
959,236.51
|
1.49
|
|||||||
January
2012
|
2
|
940,000.00
|
1.46
|
|||||||
February
2012
|
1
|
880,000.00
|
1.37
|
|||||||
May
2012
|
1
|
528,398.94
|
0.82
|
|||||||
June
2012
|
2
|
1,369,143.99
|
2.13
|
|||||||
July
2012
|
3
|
1,378,277.13
|
2.15
|
|||||||
August
2012
|
5
|
2,384,909.04
|
3.71
|
|||||||
September
2012
|
1
|
191,940.00
|
0.30
|
|||||||
October
2012
|
1
|
545,903.44
|
0.85
|
|||||||
November
2012
|
9
|
7,150,432.36
|
11.13
|
|||||||
December
2012
|
7
|
4,615,082.73
|
7.19
|
|||||||
January
2013
|
17
|
11,828,036.00
|
18.42
|
|||||||
February
2013
|
21
|
20,093,875.05
|
31.29
|
|||||||
March
2013
|
5
|
5,291,200.62
|
8.24
|
|||||||
April
2013
|
2
|
1,595,000.00
|
2.48
|
|||||||
May
2013
|
1
|
526,682.00
|
0.82
|
|||||||
June
2017
|
1
|
370,000.00
|
0.58
|
|||||||
August
2017
|
1
|
695,549.39
|
1.08
|
|||||||
January
2018
|
1
|
1,294,109.11
|
2.02
|
|||||||
March
2018
|
1
|
1,148,610.88
|
1.79
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Initial
Caps (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
5.000
|
57
|
$
|
45,435,670.51
|
70.75
|
%
|
|||||
6.000
|
28
|
18,782,616.20
|
29.25
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Periodic
Caps (%)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
1.000
|
9
|
$
|
5,084,216.85
|
7.92
|
%
|
|||||
2.000
|
76
|
59,134,069.86
|
92.08
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Loan
Type
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
5/6
ARM (6 MO LIBOR)
|
34
|
$
|
21,507,174.55
|
33.49
|
%
|
|||||
10/6
ARM (6 MO LIBOR)
|
3
|
2,359,658.50
|
3.67
|
|||||||
10/1
ARM (1 YR LIBOR)
|
1
|
1,148,610.88
|
1.79
|
|||||||
5/1
ARM (1 YR LIBOR)
|
47
|
39,202,842.78
|
61.05
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Index
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
1
Year LIBOR
|
48
|
$
|
40,351,453.66
|
62.83
|
%
|
|||||
6
Month LIBOR
|
37
|
23,866,833.05
|
37.17
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Original
Interest-Only
Term
(months)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
0
|
14
|
$
|
9,842,715.74
|
15.33
|
%
|
|||||
120
|
71
|
54,375,570.97
|
84.67
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Credit
Scores
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
680
to 699
|
6
|
$
|
5,277,653.86
|
8.22
|
%
|
|||||
700
to 719
|
14
|
9,190,757.92
|
14.31
|
|||||||
720
to 739
|
15
|
9,422,553.61
|
14.67
|
|||||||
740
to 759
|
22
|
16,501,408.35
|
25.70
|
|||||||
760
to 779
|
14
|
13,032,700.76
|
20.29
|
|||||||
780
to 799
|
11
|
8,859,731.94
|
13.80
|
|||||||
800
to 819
|
3
|
1,933,480.27
|
3.01
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Delinquency
Status (Days)
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
0
to
29
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
|||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Number
of Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
81
|
$
|
62,319,050.20
|
97.04
|
%
|
|||||
1
|
3
|
1,439,236.51
|
2.24
|
|||||||
2
|
1
|
460,000.00
|
0.72
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Number
of Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
|||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Number
of Delinquencies*
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
None
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
|||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Originator
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Lehman
Brothers Bank, FSB
|
75
|
$
|
58,541,125.87
|
91.16
|
%
|
|||||
Countrywide
Home Loans Servicing LP
|
1
|
592,943.99
|
0.92
|
|||||||
Flagstar
Bank, FSB
|
9
|
5,084,216.85
|
7.92
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Servicer
|
Number
of
Mortgage
Loans
|
Total
Scheduled
Principal
Balance
|
Percentage
of
Mortgage
Loans by
Total
Scheduled
Principal
Balance
|
|||||||
Aurora
Loan Services LLC
|
84
|
$
|
63,625,342.72
|
99.08
|
%
|
|||||
Countrywide
Home Loans Servicing LP
|
1
|
592,943.99
|
0.92
|
|||||||
Total
|
85
|
$
|
64,218,286.71
|
100.00
|
%
|
Class
1-A1 Certificates
|
|||||||||||||||||||
Date
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
|||||||||||||
Initial
Percentage
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2009
|
93
|
87
|
80
|
74
|
68
|
62
|
|||||||||||||
August
2010
|
86
|
75
|
64
|
54
|
44
|
35
|
|||||||||||||
August
2011
|
80
|
64
|
50
|
38
|
28
|
19
|
|||||||||||||
August
2012
|
73
|
54
|
38
|
27
|
18
|
10
|
|||||||||||||
August
2013
|
68
|
46
|
30
|
19
|
11
|
4
|
|||||||||||||
August
2014
|
62
|
38
|
23
|
13
|
5
|
0
|
|||||||||||||
August
2015
|
57
|
32
|
18
|
8
|
1
|
0
|
|||||||||||||
August
2016
|
52
|
27
|
14
|
4
|
0
|
0
|
|||||||||||||
August
2017
|
48
|
23
|
10
|
1
|
0
|
0
|
|||||||||||||
August
2018
|
43
|
19
|
6
|
0
|
0
|
0
|
|||||||||||||
August
2019
|
39
|
15
|
3
|
0
|
0
|
0
|
|||||||||||||
August
2020
|
35
|
12
|
1
|
0
|
0
|
0
|
|||||||||||||
August
2021
|
31
|
9
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2022
|
28
|
7
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2023
|
25
|
4
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2024
|
22
|
2
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2025
|
18
|
1
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2026
|
16
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2027
|
13
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2028
|
10
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2029
|
8
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2030
|
5
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2031
|
3
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2032
|
1
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2033
|
0
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
Weighted
Average Life in Years
|
9.67
|
5.68
|
3.90
|
2.91
|
2.26
|
1.81
|
Class
1-A2 Certificates
|
|||||||||||||||||||
Date
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
|||||||||||||
Initial
Percentage
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2009
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2010
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2011
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2012
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2013
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2014
|
100
|
100
|
100
|
100
|
100
|
98
|
|||||||||||||
August
2015
|
100
|
100
|
100
|
100
|
100
|
67
|
|||||||||||||
August
2016
|
100
|
100
|
100
|
100
|
84
|
46
|
|||||||||||||
August
2017
|
100
|
100
|
100
|
100
|
62
|
32
|
|||||||||||||
August
2018
|
100
|
100
|
100
|
89
|
45
|
22
|
|||||||||||||
August
2019
|
100
|
100
|
100
|
69
|
33
|
15
|
|||||||||||||
August
2020
|
100
|
100
|
100
|
54
|
24
|
10
|
|||||||||||||
August
2021
|
100
|
100
|
91
|
41
|
17
|
7
|
|||||||||||||
August
2022
|
100
|
100
|
75
|
32
|
13
|
5
|
|||||||||||||
August
2023
|
100
|
100
|
61
|
25
|
9
|
3
|
|||||||||||||
August
2024
|
100
|
100
|
50
|
19
|
7
|
2
|
|||||||||||||
August
2025
|
100
|
100
|
40
|
14
|
5
|
1
|
|||||||||||||
August
2026
|
100
|
91
|
32
|
11
|
3
|
1
|
|||||||||||||
August
2027
|
100
|
77
|
26
|
8
|
2
|
1
|
|||||||||||||
August
2028
|
100
|
64
|
20
|
6
|
2
|
*
|
|||||||||||||
August
2029
|
100
|
53
|
16
|
4
|
1
|
*
|
|||||||||||||
August
2030
|
100
|
43
|
12
|
3
|
1
|
*
|
|||||||||||||
August
2031
|
100
|
35
|
9
|
2
|
1
|
*
|
|||||||||||||
August
2032
|
100
|
27
|
7
|
2
|
*
|
*
|
|||||||||||||
August
2033
|
85
|
21
|
5
|
1
|
*
|
*
|
|||||||||||||
August
2034
|
64
|
15
|
3
|
1
|
*
|
*
|
|||||||||||||
August
2035
|
44
|
9
|
2
|
*
|
*
|
*
|
|||||||||||||
August
2036
|
24
|
5
|
1
|
*
|
*
|
*
|
|||||||||||||
August
2037
|
6
|
1
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2038
|
0
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
Weighted
Average Life in Years
|
26.75
|
21.95
|
17.05
|
13.36
|
10.64
|
8.62
|
Class
2-A1 and Class 2-A2 Certificates
|
|||||||||||||||||||
Date
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
|||||||||||||
Initial
Percentage
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2009
|
94
|
87
|
81
|
75
|
69
|
62
|
|||||||||||||
August
2010
|
87
|
76
|
65
|
55
|
45
|
36
|
|||||||||||||
August
2011
|
82
|
66
|
51
|
39
|
29
|
20
|
|||||||||||||
August
2012
|
76
|
57
|
40
|
28
|
19
|
11
|
|||||||||||||
August
2013
|
71
|
48
|
32
|
21
|
12
|
5
|
|||||||||||||
August
2014
|
66
|
41
|
25
|
14
|
6
|
*
|
|||||||||||||
August
2015
|
61
|
35
|
20
|
10
|
2
|
0
|
|||||||||||||
August
2016
|
57
|
30
|
15
|
6
|
0
|
0
|
|||||||||||||
August
2017
|
53
|
26
|
11
|
2
|
0
|
0
|
|||||||||||||
August
2018
|
48
|
22
|
8
|
0
|
0
|
0
|
|||||||||||||
August
2019
|
44
|
18
|
5
|
0
|
0
|
0
|
|||||||||||||
August
2020
|
39
|
14
|
2
|
0
|
0
|
0
|
|||||||||||||
August
2021
|
35
|
11
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2022
|
31
|
8
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2023
|
27
|
6
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2024
|
24
|
3
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2025
|
21
|
1
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2026
|
17
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2027
|
14
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2028
|
11
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2029
|
9
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2030
|
6
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2031
|
3
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2032
|
1
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
August
2033
|
0
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
Weighted
Average Life in Years
|
10.30
|
6.00
|
4.07
|
3.00
|
2.32
|
1.85
|
Class
2-A3 Certificates
|
|||||||||||||||||||
Date
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
|||||||||||||
Initial
Percentage
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2009
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2010
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2011
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2012
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2013
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2014
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2015
|
100
|
100
|
100
|
100
|
100
|
72
|
|||||||||||||
August
2016
|
100
|
100
|
100
|
100
|
91
|
50
|
|||||||||||||
August
2017
|
100
|
100
|
100
|
100
|
68
|
35
|
|||||||||||||
August
2018
|
100
|
100
|
100
|
97
|
50
|
24
|
|||||||||||||
August
2019
|
100
|
100
|
100
|
76
|
36
|
16
|
|||||||||||||
August
2020
|
100
|
100
|
100
|
58
|
26
|
11
|
|||||||||||||
August
2021
|
100
|
100
|
99
|
45
|
19
|
7
|
|||||||||||||
August
2022
|
100
|
100
|
81
|
35
|
14
|
5
|
|||||||||||||
August
2023
|
100
|
100
|
66
|
27
|
10
|
3
|
|||||||||||||
August
2024
|
100
|
100
|
53
|
20
|
7
|
2
|
|||||||||||||
August
2025
|
100
|
100
|
43
|
15
|
5
|
1
|
|||||||||||||
August
2026
|
100
|
97
|
34
|
12
|
4
|
1
|
|||||||||||||
August
2027
|
100
|
81
|
27
|
9
|
2
|
1
|
|||||||||||||
August
2028
|
100
|
68
|
22
|
6
|
2
|
*
|
|||||||||||||
August
2029
|
100
|
56
|
17
|
5
|
1
|
*
|
|||||||||||||
August
2030
|
100
|
45
|
13
|
3
|
1
|
*
|
|||||||||||||
August
2031
|
100
|
36
|
10
|
2
|
1
|
*
|
|||||||||||||
August
2032
|
100
|
28
|
7
|
2
|
*
|
*
|
|||||||||||||
August
2033
|
88
|
21
|
5
|
1
|
*
|
*
|
|||||||||||||
August
2034
|
66
|
15
|
3
|
1
|
*
|
*
|
|||||||||||||
August
2035
|
45
|
10
|
2
|
*
|
*
|
*
|
|||||||||||||
August
2036
|
26
|
5
|
1
|
*
|
*
|
*
|
|||||||||||||
August
2037
|
8
|
2
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2038
|
1
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2039
|
1
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2040
|
1
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2041
|
1
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2042
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2043
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2044
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2045
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2046
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2047
|
0
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
Weighted
Average Life in Years
|
26.90
|
22.19
|
17.36
|
13.67
|
10.90
|
8.81
|
Class
B1, Class B2 and Class B3 Certificates
|
|||||||||||||||||||
Date
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
|||||||||||||
Initial
Percentage
|
100
|
100
|
100
|
100
|
100
|
100
|
|||||||||||||
August
2009
|
99
|
99
|
99
|
99
|
99
|
99
|
|||||||||||||
August
2010
|
99
|
99
|
99
|
99
|
99
|
99
|
|||||||||||||
August
2011
|
98
|
98
|
98
|
98
|
90
|
82
|
|||||||||||||
August
2012
|
98
|
98
|
98
|
81
|
67
|
57
|
|||||||||||||
August
2013
|
97
|
97
|
87
|
64
|
50
|
40
|
|||||||||||||
August
2014
|
96
|
96
|
73
|
51
|
37
|
28
|
|||||||||||||
August
2015
|
95
|
91
|
62
|
40
|
28
|
19
|
|||||||||||||
August
2016
|
93
|
81
|
52
|
32
|
21
|
13
|
|||||||||||||
August
2017
|
90
|
72
|
44
|
25
|
15
|
9
|
|||||||||||||
August
2018
|
85
|
64
|
36
|
20
|
11
|
6
|
|||||||||||||
August
2019
|
80
|
56
|
30
|
15
|
8
|
4
|
|||||||||||||
August
2020
|
73
|
48
|
25
|
12
|
6
|
3
|
|||||||||||||
August
2021
|
67
|
42
|
20
|
9
|
4
|
2
|
|||||||||||||
August
2022
|
61
|
36
|
17
|
7
|
3
|
1
|
|||||||||||||
August
2023
|
56
|
31
|
14
|
5
|
2
|
1
|
|||||||||||||
August
2024
|
51
|
27
|
11
|
4
|
2
|
1
|
|||||||||||||
August
2025
|
46
|
23
|
9
|
3
|
1
|
*
|
|||||||||||||
August
2026
|
41
|
20
|
7
|
2
|
1
|
*
|
|||||||||||||
August
2027
|
37
|
17
|
6
|
2
|
1
|
*
|
|||||||||||||
August
2028
|
32
|
14
|
4
|
1
|
*
|
*
|
|||||||||||||
August
2029
|
28
|
11
|
3
|
1
|
*
|
*
|
|||||||||||||
August
2030
|
24
|
9
|
3
|
1
|
*
|
*
|
|||||||||||||
August
2031
|
20
|
7
|
2
|
1
|
*
|
*
|
|||||||||||||
August
2032
|
17
|
6
|
1
|
*
|
*
|
*
|
|||||||||||||
August
2033
|
13
|
4
|
1
|
*
|
*
|
*
|
|||||||||||||
August
2034
|
10
|
3
|
1
|
*
|
*
|
*
|
|||||||||||||
August
2035
|
7
|
2
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2036
|
4
|
1
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2037
|
1
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2038
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2039
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2040
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2041
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2042
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2043
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2044
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2045
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2046
|
*
|
*
|
*
|
*
|
*
|
*
|
|||||||||||||
August
2047
|
0
|
0
|
0
|
0
|
0
|
0
|
|||||||||||||
Weighted
Average Life in Years
|
16.71
|
13.08
|
9.55
|
7.28
|
5.99
|
5.16
|
Loan
Type(1)
|
Principal
Balance
($)
|
Current
Gross
Mortgage
Rate
(%)
|
Current
Net
Mortgage
Rate
(%)(2)
|
Original
Term to Maturity
(months)
|
Remaining
Term
to
Maturity
(months)
|
Original
Interest- Only Term
(months)(3)
|
Index(5)
|
Gross
Margin
(%)
|
Minimum
Rate
(%)
|
Initial
Periodic
Cap
(%)
|
Subsequent
Periodic
Cap
(%)
|
Maximum
Interest
Rate
(%)
|
Months
to Next Rate
Adjustment
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
431,899.52
|
5.750
|
5.500
|
360
|
321
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
11.750
|
21
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
604,000.00
|
6.500
|
6.250
|
360
|
340
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
725,000.00
|
6.375
|
6.125
|
360
|
339
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate(4)
|
857,498.11
|
6.875
|
6.625
|
360
|
345
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,406,432.85
|
6.125
|
5.875
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
523,806.39
|
6.250
|
6.000
|
360
|
345
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
370,000.00
|
6.500
|
6.250
|
360
|
346
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.500
|
106
|
|||||||||||||||||||||||||||
Fixed
Rate
|
759,812.77
|
5.875
|
5.625
|
180
|
166
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate(4)
|
592,943.99
|
6.250
|
5.735
|
480
|
466
|
N/A
|
1YR
LIBOR
|
2.750
|
2.750
|
5.000
|
2.000
|
11.250
|
46
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
779,392.78
|
6.375
|
6.125
|
360
|
345
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
431,839.80
|
8.900
|
8.260
|
360
|
347
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
14.900
|
47
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
695,549.39
|
7.350
|
6.750
|
360
|
348
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.350
|
108
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
605,805.00
|
7.275
|
6.555
|
360
|
348
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.275
|
48
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
418,500.00
|
6.900
|
6.290
|
360
|
348
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.900
|
48
|
|||||||||||||||||||||||||||
Adjustable
Rate(4)
|
395,911.10
|
7.375
|
7.125
|
360
|
348
|
N/A
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.375
|
48
|
|||||||||||||||||||||||||||
Fixed
Rate
|
470,356.16
|
7.625
|
7.375
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
430,437.33
|
7.375
|
6.895
|
360
|
347
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.375
|
47
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
520,000.00
|
7.000
|
6.750
|
360
|
348
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
480,311.54
|
6.850
|
6.570
|
360
|
348
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.850
|
48
|
|||||||||||||||||||||||||||
Fixed
Rate(4)
|
221,181.04
|
6.625
|
6.375
|
360
|
350
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
962,763.99
|
6.500
|
6.250
|
180
|
169
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
360,422.28
|
7.375
|
7.125
|
360
|
350
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
445,204.16
|
6.750
|
6.500
|
360
|
348
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
430,994.39
|
6.250
|
6.000
|
360
|
346
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
495,992.26
|
7.125
|
6.875
|
360
|
348
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
191,940.00
|
6.375
|
6.125
|
360
|
349
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
49
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
880,000.00
|
7.375
|
7.125
|
360
|
338
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
439,288.93
|
6.000
|
5.750
|
360
|
346
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
475,865.14
|
6.250
|
6.000
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
595,000.00
|
7.000
|
6.750
|
360
|
349
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
1,999,542.63
|
7.125
|
6.875
|
360
|
345
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
605,153.39
|
6.875
|
6.625
|
360
|
349
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
545,903.44
|
7.625
|
7.375
|
360
|
350
|
N/A
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.625
|
50
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
240,000.00
|
7.125
|
6.875
|
360
|
350
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
650,000.00
|
7.750
|
7.500
|
360
|
351
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.750
|
51
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
560,316.15
|
9.800
|
8.780
|
360
|
351
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
15.800
|
51
|
|||||||||||||||||||||||||||
Fixed
Rate
|
627,289.96
|
6.500
|
6.250
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
495,049.95
|
6.750
|
6.500
|
360
|
349
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,067,500.00
|
7.750
|
7.500
|
360
|
351
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.750
|
51
|
Loan
Type(1)
|
Principal
Balance
($)
|
Current
Gross
Mortgage
Rate
(%)
|
Current
Net
Mortgage
Rate
(%)(2)
|
Original
Term to Maturity
(months)
|
Remaining
Term
to
Maturity
(months)
|
Original
Interest- Only Term
(months)(3)
|
Index(5)
|
Gross
Margin
(%)
|
Minimum
Rate
(%)
|
Initial
Periodic
Cap
(%)
|
Subsequent
Periodic
Cap
(%)
|
Maximum
Interest
Rate
(%)
|
Months
to Next Rate
Adjustment
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
600,000.00
|
6.500
|
6.250
|
360
|
351
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.500
|
51
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
867,802.01
|
7.625
|
7.375
|
360
|
351
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.625
|
51
|
|||||||||||||||||||||||||||
Adjustable
Rate(4)
|
625,865.57
|
7.250
|
7.000
|
360
|
351
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.250
|
51
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,413,750.00
|
6.500
|
6.250
|
360
|
351
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.500
|
51
|
|||||||||||||||||||||||||||
Fixed
Rate
|
645,060.59
|
7.125
|
6.875
|
360
|
351
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
472,860.93
|
6.750
|
6.500
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
610,655.72
|
7.000
|
6.750
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
647,910.00
|
7.250
|
7.000
|
360
|
351
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
733,600.00
|
8.375
|
8.125
|
360
|
352
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
14.375
|
52
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
141,556.49
|
7.375
|
7.125
|
360
|
346
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
773,198.63
|
6.250
|
6.000
|
360
|
351
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.250
|
51
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
458,535.00
|
6.500
|
6.250
|
360
|
352
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
468,000.00
|
7.000
|
6.750
|
360
|
348
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
599,655.53
|
7.250
|
7.000
|
360
|
351
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
520,000.00
|
7.000
|
6.750
|
360
|
352
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
931,752.44
|
6.375
|
6.125
|
360
|
352
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
52
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
592,000.00
|
7.625
|
7.375
|
360
|
351
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.625
|
51
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
562,500.00
|
8.875
|
8.625
|
360
|
352
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
14.875
|
52
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
236,962.75
|
5.750
|
5.500
|
360
|
352
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
11.750
|
52
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)(4)
|
920,000.00
|
7.875
|
7.625
|
360
|
352
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
510,504.44
|
6.625
|
6.375
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
601,112.20
|
6.625
|
6.375
|
360
|
352
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
640,267.54
|
7.000
|
6.750
|
360
|
352
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.000
|
52
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
699,800.00
|
7.375
|
7.125
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.375
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
650,000.00
|
5.625
|
5.375
|
360
|
352
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.625
|
52
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
429,236.51
|
6.375
|
6.125
|
360
|
340
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.375
|
40
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
530,000.00
|
6.000
|
5.750
|
360
|
340
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.000
|
40
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
480,000.00
|
6.125
|
5.875
|
360
|
341
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.125
|
41
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
460,000.00
|
6.000
|
5.750
|
360
|
341
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.000
|
41
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
880,000.00
|
6.375
|
6.125
|
360
|
342
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.375
|
42
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
528,398.94
|
6.375
|
6.125
|
360
|
345
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.375
|
45
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
484,381.40
|
5.875
|
5.625
|
360
|
348
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
10.875
|
48
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
776,200.00
|
6.375
|
6.125
|
360
|
346
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.375
|
46
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
516,000.00
|
6.875
|
6.625
|
360
|
347
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
5.000
|
1.000
|
11.875
|
47
|
|||||||||||||||||||||||||||
Fixed
Rate
|
698,081.65
|
6.000
|
5.750
|
360
|
344
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
276,000.00
|
7.250
|
7.000
|
360
|
347
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
327,980.58
|
7.875
|
7.625
|
360
|
353
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.875
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
1,283,690.04
|
6.500
|
6.250
|
360
|
353
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.500
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
650,000.00
|
6.500
|
6.250
|
360
|
352
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Loan
Type(1)
|
Principal
Balance
($)
|
Current
Gross
Mortgage
Rate
(%)
|
Current
Net
Mortgage
Rate
(%)(2)
|
Original
Term to Maturity
(months)
|
Remaining
Term
to
Maturity
(months)
|
Original
Interest- Only Term
(months)(3)
|
Index(5)
|
Gross
Margin
(%)
|
Minimum
Rate
(%)
|
Initial
Periodic
Cap
(%)
|
Subsequent
Periodic
Cap
(%)
|
Maximum
Interest
Rate
(%)
|
Months
to Next Rate
Adjustment
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
220,000.00
|
6.750
|
6.500
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate(4)
|
192,809.26
|
6.750
|
6.500
|
360
|
353
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.750
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
1,294,109.11
|
7.250
|
7.000
|
360
|
353
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.250
|
113
|
|||||||||||||||||||||||||||
Fixed
Rate
|
645,322.54
|
6.625
|
6.375
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
560,426.81
|
6.875
|
6.625
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)(4)
|
616,000.00
|
6.750
|
6.500
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
607,500.00
|
6.875
|
6.625
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.875
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
624,633.58
|
7.250
|
7.000
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.250
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
515,000.00
|
6.500
|
6.250
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.500
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
860,000.00
|
6.750
|
6.500
|
360
|
352
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.750
|
52
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
649,900.00
|
6.750
|
6.500
|
360
|
352
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
581,870.12
|
6.625
|
6.375
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
480,900.00
|
7.000
|
6.750
|
360
|
353
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.000
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
480,000.00
|
7.375
|
7.125
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
605,994.47
|
6.750
|
6.500
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
771,261.25
|
6.250
|
6.000
|
360
|
353
|
N/A
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.250
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
475,799.67
|
7.750
|
7.500
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,000,000.00
|
5.875
|
5.625
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.875
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate
|
544,559.04
|
6.625
|
6.375
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
432,841.72
|
7.000
|
6.750
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
573,000.00
|
6.625
|
6.375
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.625
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
704,000.00
|
8.125
|
7.875
|
360
|
354
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
14.125
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
577,600.00
|
7.000
|
6.750
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
761,378.90
|
6.875
|
6.625
|
360
|
350
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
476,708.46
|
6.875
|
6.625
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
797,600.00
|
7.125
|
6.875
|
360
|
348
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
135,364.63
|
7.750
|
7.500
|
360
|
354
|
N/A
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.750
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
643,500.00
|
7.500
|
7.250
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,433,211.34
|
6.750
|
6.500
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
516,409.63
|
6.375
|
6.125
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,400,000.00
|
6.375
|
6.125
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate
|
515,441.54
|
6.750
|
6.500
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
625,457.72
|
6.375
|
6.125
|
360
|
354
|
N/A
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.375
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
993,713.74
|
6.625
|
6.375
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
536,472.72
|
7.125
|
6.875
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
696,591.07
|
7.125
|
6.875
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,989,148.72
|
7.375
|
7.125
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,238,716.90
|
6.750
|
6.500
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
599,524.32
|
6.375
|
6.125
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
53
|
Loan
Type(1)
|
Principal
Balance
($)
|
Current
Gross
Mortgage
Rate
(%)
|
Current
Net
Mortgage
Rate
(%)(2)
|
Original
Term to Maturity
(months)
|
Remaining
Term
to
Maturity
(months)
|
Original
Interest- Only Term
(months)(3)
|
Index(5)
|
Gross
Margin
(%)
|
Minimum
Rate
(%)
|
Initial
Periodic
Cap
(%)
|
Subsequent
Periodic
Cap
(%)
|
Maximum
Interest
Rate
(%)
|
Months
to Next Rate
Adjustment
|
|||||||||||||||||||||||||||
Fixed
Rate
|
577,502.71
|
7.750
|
7.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
934,313.92
|
7.000
|
6.750
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
525,900.53
|
6.750
|
6.500
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
840,065.82
|
7.000
|
6.750
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
432,059.85
|
6.500
|
6.250
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
452,653.67
|
6.875
|
6.625
|
360
|
349
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,200,000.00
|
5.875
|
5.625
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.875
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
645,542.75
|
6.875
|
6.625
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
786,000.00
|
6.375
|
6.125
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
579,900.00
|
6.750
|
6.500
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
506,764.54
|
6.625
|
6.375
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
616,199.69
|
6.750
|
6.500
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
674,341.16
|
6.875
|
6.625
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
640,378.39
|
6.875
|
6.625
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
579,358.60
|
7.125
|
6.875
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,459,928.61
|
6.875
|
6.625
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.875
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
646,076.25
|
7.125
|
6.875
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
560,000.00
|
7.000
|
6.750
|
360
|
353
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
554,380.23
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,368,748.65
|
5.875
|
5.625
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.875
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
719,898.32
|
6.500
|
6.250
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
728,000.00
|
7.250
|
7.000
|
360
|
354
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.250
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
622,194.89
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate(4)
|
1,671,198.33
|
6.750
|
6.500
|
360
|
354
|
N/A
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.750
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
960,000.00
|
6.500
|
6.250
|
360
|
355
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
660,000.00
|
6.250
|
6.000
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
663,419.35
|
6.875
|
6.625
|
360
|
352
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
429,896.17
|
7.125
|
6.875
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
485,852.85
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
508,938.82
|
6.250
|
6.000
|
360
|
347
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
480,000.00
|
6.625
|
6.375
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate
|
1,033,329.19
|
7.250
|
7.000
|
360
|
354
|
N/A
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
13.250
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
568,424.34
|
6.375
|
6.125
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
534,480.27
|
6.375
|
6.125
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate
|
842,523.56
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,489,867.75
|
6.500
|
6.250
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
671,738.16
|
6.625
|
6.375
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.625
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate
|
558,240.02
|
6.875
|
6.625
|
360
|
353
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,491,949.07
|
6.625
|
6.375
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Loan
Type(1)
|
Principal
Balance
($)
|
Current
Gross
Mortgage
Rate
(%)
|
Current
Net
Mortgage
Rate
(%)(2)
|
Original
Term to Maturity
(months)
|
Remaining
Term
to
Maturity
(months)
|
Original
Interest- Only Term
(months)(3)
|
Index(5)
|
Gross
Margin
(%)
|
Minimum
Rate
(%)
|
Initial
Periodic
Cap
(%)
|
Subsequent
Periodic
Cap
(%)
|
Maximum
Interest
Rate
(%)
|
Months
to Next Rate
Adjustment
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
539,884.17
|
7.500
|
7.250
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
542,144.57
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
545,999.79
|
6.625
|
6.375
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.625
|
53
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
657,847.21
|
6.875
|
6.625
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
634,500.00
|
6.625
|
6.375
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
536,989.43
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,154,000.00
|
6.375
|
6.125
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
461,509.55
|
6.625
|
6.375
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
784,346.64
|
7.375
|
7.125
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
712,371.89
|
7.000
|
6.750
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
536,958.96
|
6.375
|
6.125
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)(4)
|
706,000.00
|
5.250
|
5.000
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.250
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
449,871.09
|
6.875
|
6.625
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
489,500.00
|
6.875
|
6.625
|
360
|
355
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
515,000.00
|
6.375
|
6.125
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
494,673.78
|
6.375
|
6.125
|
360
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
690,202.54
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
995,002.60
|
6.375
|
6.125
|
360
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
548,965.05
|
6.500
|
6.250
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
545,328.26
|
7.250
|
7.000
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
539,000.00
|
5.750
|
5.500
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.750
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
618,819.40
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
484,544.03
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,499,630.92
|
5.875
|
5.625
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.875
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
601,752.81
|
6.625
|
6.375
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,446,114.59
|
6.375
|
6.125
|
360
|
355
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.375
|
55
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
999,718.75
|
6.750
|
6.500
|
360
|
353
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.750
|
53
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
864,000.00
|
6.625
|
6.375
|
360
|
355
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.625
|
55
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,148,610.88
|
6.250
|
6.000
|
360
|
355
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.250
|
115
|
|||||||||||||||||||||||||||
Fixed
Rate
|
527,542.79
|
7.375
|
7.125
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
907,336.52
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,151,394.37
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,888,294.83
|
6.250
|
6.000
|
360
|
355
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.250
|
55
|
|||||||||||||||||||||||||||
Fixed
Rate
|
482,333.44
|
6.500
|
6.250
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
537,760.88
|
7.000
|
6.750
|
360
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,070,000.00
|
6.625
|
6.375
|
360
|
354
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.625
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate Interest Only(3)
|
600,000.00
|
6.250
|
6.000
|
360
|
354
|
120
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
646,594.58
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,600,000.00
|
7.375
|
7.125
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
12.375
|
54
|
Loan
Type(1)
|
Principal
Balance
($)
|
Current
Gross
Mortgage
Rate
(%)
|
Current
Net
Mortgage
Rate
(%)(2)
|
Original
Term to Maturity
(months)
|
Remaining
Term
to
Maturity
(months)
|
Original
Interest- Only Term
(months)(3)
|
Index(5)
|
Gross
Margin
(%)
|
Minimum
Rate
(%)
|
Initial
Periodic
Cap
(%)
|
Subsequent
Periodic
Cap
(%)
|
Maximum
Interest
Rate
(%)
|
Months
to Next Rate
Adjustment
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
467,820.00
|
5.625
|
5.375
|
360
|
355
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.625
|
55
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
580,000.00
|
6.875
|
6.625
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.875
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
136,403.55
|
6.750
|
6.500
|
360
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,119,247.34
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
600,000.00
|
5.875
|
5.625
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.875
|
54
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
624,971.20
|
6.250
|
6.000
|
360
|
355
|
120
|
6MO
LIBOR
|
2.250
|
2.250
|
6.000
|
2.000
|
12.250
|
55
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,443,428.76
|
6.750
|
6.500
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
548,217.00
|
6.000
|
5.750
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.000
|
54
|
|||||||||||||||||||||||||||
Fixed
Rate
|
557,136.46
|
6.875
|
6.625
|
360
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Fixed
Rate
|
1,939,922.53
|
7.000
|
6.750
|
360
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
587,000.00
|
5.750
|
5.500
|
360
|
356
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.750
|
56
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,570,000.00
|
6.625
|
6.375
|
360
|
354
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
11.625
|
54
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
1,008,000.00
|
5.375
|
5.125
|
360
|
356
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.375
|
56
|
|||||||||||||||||||||||||||
Adjustable
Rate Interest Only(3)
|
526,682.00
|
5.375
|
5.125
|
360
|
357
|
120
|
1YR
LIBOR
|
2.250
|
2.250
|
5.000
|
2.000
|
10.375
|
57
|
(1) |
Each
of the assumed Adjustable Rate Mortgage Loans provides for a semi-annual
or annual adjustment of the related Mortgage Rate based on the 6-Month
LIBOR Index or the 1-Year LIBOR
Index.
|
(2) |
The
Current Net Mortgage Rate equals the Current Gross Mortgage Rate
less the
applicable Servicing Fee Rate and lender-paid mortgage
insurance.
|
(3) |
These
assumed Mortgage Loans will not receive monthly payments of principal
for
the first ten years following origination. Thereafter, monthly payments
of
principal will be made in equal amounts to amortize the principal
balance
of such Mortgage Loans over the remaining months to maturity. N/A
indicates that the mortgage loan does not have an interest-only term.
|
(4) |
Indicates
a Mortgage Loan that has a Prepayment Premium. The Class P Certificates
will be entitled to receive Prepayment Premiums paid by borrowers
upon
full or partial prepayment of the Mortgage
Loans.
|
(5) |
Each
of the Mortgage Loans with a Mortgage Rate based on the 6-Month LIBOR
Index adjusts on a semi-annual basis and each of the Mortgage Loans
with a
Mortgage Rate based on the 1-Year LIBOR Index adjusts on an annual
basis.
“N/A” indicates a mortgage loan with a fixed rate.
|
·
|
will
be established to hold assets transferred to it by Structured Asset
Securities Corporation, including:
|
·
|
mortgage
loans, including closed-end and/or revolving home equity loans or
specified balances thereof, including loans secured by one- to four-
family residential properties, manufactured housing, shares in cooperative
corporations, multifamily properties, mixed use residential and commercial
properties, and participation interests in mortgage
loans;
|
·
|
home
improvement installment sales contracts and installment loan agreements
which may be unsecured, secured by mortgages primarily on one- to
four-family residential properties, or secured by purchase money
security
interests in the related home
improvements;
|
·
|
will
evidence beneficial ownership of, or be secured by, the assets
in the
related issuing entity and will be paid only from the issuing entity
assets described in the related prospectus supplement;
and
|
·
|
mortgage
loans, including closed-end and/or revolving home equity loans or
specified balances thereof, including loans secured by one- to four-
family residential properties, manufactured housing, shares in cooperative
corporations, multifamily properties, mixed use residential and commercial
properties, and participation
interests in mortgage loans;
|
·
|
home
improvement installment sales contracts and installment loan agreements
which may be unsecured, secured by mortgages primarily on one- to
four-family residential properties, or secured by purchase money
security
interests in the related home
improvements;
|
Page
|
|
Introduction
|
2
|
Risk
Factors
|
6
|
Description
of the Securities
|
40
|
General
|
40
|
Distributions
on the Securities
|
41
|
Optional
Termination
|
43
|
Optional
Redemption of Securities
|
44
|
Optional
Purchase of Securities
|
44
|
Other
Purchases
|
44
|
Exchangeable
Securities
|
44
|
Book-Entry
Registration
|
46
|
The
Trust Funds
|
47
|
General
|
47
|
The
Mortgage Loans
|
48
|
Home
Improvement Loans
|
56
|
Multifamily
and Mixed Use Mortgage Loans
|
57
|
Private
Mortgage-Backed Securities
|
59
|
Ginnie
Mae Certificates
|
62
|
Fannie
Mae Certificates
|
63
|
Freddie
Mac Certificates
|
65
|
Pre-Funding
Arrangements
|
67
|
Revolving
Period Arrangements
|
67
|
Collection
Account, Securities Administration Account and Distribution
Account
|
68
|
Other
Funds or Accounts
|
68
|
Loan
Underwriting Procedures and Standards
|
69
|
Underwriting
Standards
|
69
|
Loss
Experience
|
69
|
Representations
and Warranties
|
70
|
Substitution
of Primary Assets
|
72
|
The
Sponsor
|
72
|
General
|
72
|
Securitization
Activities of the Sponsor
|
74
|
The
Depositor
|
75
|
Aurora
Loan Services LLC
|
76
|
General
|
76
|
Master
Servicing
|
76
|
Servicing
|
77
|
Servicing
of Loans
|
91
|
General
|
91
|
The
Master Servicer
|
92
|
The
Servicers
|
92
|
Collection
Procedures; Escrow Accounts
|
93
|
Deposits
to and Withdrawals from the Collection Account
|
93
|
Servicing
Accounts
|
95
|
Buy-Down
Loans, GPM Loans and Other Subsidized Loans
|
96
|
Advances
and Other Payments, and Limitations Thereon
|
97
|
Maintenance
of Insurance Policies and Other Servicing Procedures
|
98
|
Presentation
of Claims; Realization Upon Defaulted Loans
|
101
|
Enforcement
of Due-On-Sale Clauses
|
102
|
Certain
Rights Related to Foreclosure
|
102
|
Servicing
Compensation and Payment of Expenses
|
102
|
Evidence
as to Compliance
|
103
|
Certain
Matters Regarding the Master Servicer
|
104
|
Credit
Support
|
105
|
General
|
105
|
Subordinate
Securities; Subordination Reserve Fund
|
106
|
Allocation
of Losses
|
106
|
Cross-Support
Features
|
107
|
Overcollateralization
|
107
|
Excess
Interest
|
107
|
Insurance
|
107
|
Letter
of Credit
|
108
|
Financial
Guaranty Insurance Policy
|
108
|
Reserve
Funds
|
108
|
Derivative
Instruments
|
109
|
Description
of Mortgage and Other Insurance
|
109
|
Mortgage
Insurance on the Loans
|
109
|
Hazard
Insurance on the Loans
|
115
|
Bankruptcy
Bond
|
116
|
Repurchase
Bond
|
117
|
Derivatives
|
117
|
The
Agreements
|
119
|
Issuance
of Securities
|
119
|
Assignment
of Primary Assets
|
120
|
Repurchase
and Substitution of Non-Conforming Loans
|
122
|
Reports
to Securityholders
|
123
|
Investment
of Funds
|
125
|
Event
of Default; Rights Upon Event of Default
|
126
|
The
Trustee
|
128
|
Duties
of the Trustee
|
128
|
Resignation
of Trustee
|
129
|
Distribution
Account
|
129
|
The
Securities Administrator
|
129
|
Duties
of the Securities Administrator
|
129
|
Resignation
of Securities Administrator
|
130
|
Securities
Administration Account
|
130
|
Expense
Reserve Fund
|
131
|
Page
|
|
Amendment
of Agreement
|
131
|
Voting
Rights
|
131
|
REMIC
Administrator
|
131
|
Administration
Agreement
|
132
|
Periodic
Reports
|
132
|
Termination
|
132
|
Legal
Aspects of Loans
|
133
|
Mortgages
|
133
|
Junior
Mortgages; Rights of Senior Mortgages
|
134
|
Cooperative
Loans
|
135
|
Foreclosure
on Mortgages
|
137
|
Realizing
Upon Cooperative Loan Security
|
138
|
Rights
of Redemption
|
139
|
Anti-Deficiency
Legislation and Other Limitations on Lenders
|
139
|
Servicemembers
Civil Relief Act
|
141
|
Environmental
Considerations
|
142
|
Due-on-Sale
Clauses in Mortgage Loans
|
143
|
Enforceability
of Prepayment Charges, Late Payment Fees and Debt-Acceleration
Clauses
|
144
|
Equitable
Limitations on Remedies
|
144
|
Applicability
of Usury Laws
|
144
|
Multifamily
and Mixed Use Loans
|
145
|
Leases
and Rents
|
146
|
Default
Interest and Limitations on Prepayment
|
146
|
Secondary
Financing; Due-on-Encumbrance Provisions
|
146
|
Certain
Laws and Regulations
|
147
|
Americans
with Disabilities Act
|
147
|
Personal
Property
|
147
|
Adjustable
Interest Rate Loans
|
147
|
Manufactured
Home Loans
|
148
|
The
Home Improvement Loans
|
150
|
Installment
Contracts
|
151
|
Yield,
Prepayment and Maturity Considerations
|
152
|
Payment
Delays
|
152
|
Principal
Prepayments
|
152
|
Timing
of Reduction of Principal Amount
|
152
|
Interest
or Principal Weighted Securities
|
152
|
Certain
Derivative Instruments
|
153
|
Final
Scheduled Distribution Date
|
153
|
Prepayments
and Weighted Average Life
|
153
|
Other
Factors Affecting Weighted Average Life
|
154
|
Material
Federal Income Tax Considerations
|
156
|
Types
of Securities
|
157
|
Taxation
of Securities Treated as Debt Instruments
|
159
|
Exchangeable
Securities
|
164
|
REMIC
Residual Certificates
|
167
|
Grantor
Trust Certificates
|
174
|
Partner
Certificates
|
176
|
Special
Tax Attributes
|
178
|
Backup
Withholding
|
180
|
Reportable
Transactions
|
180
|
State
and Local Tax Considerations
|
181
|
ERISA
Considerations
|
181
|
General
|
181
|
The
Underwriter Exemption
|
182
|
Additional
Considerations for Securities which are Notes
|
186
|
Additional
Fiduciary Considerations
|
186
|
Legal
Investment Considerations
|
187
|
Accounting
Considerations
|
188
|
Legal
Matters
|
188
|
Use
of Proceeds
|
188
|
Plan
of Distribution
|
188
|
Static
Pool Information
|
189
|
Additional
Information
|
190
|
Incorporation
of Certain Documents by Reference
|
190
|
Reports
to Securityholders
|
191
|
Index
of Principal Terms
|
192
|
Annex
A Book-Entry Procedures
|
A-1
|
Annex
B Global Clearance, Settlement and Tax Documentation
Procedures
|
B-1
|
Mortgage
Loans Originated According to Non-Agency Underwriting Guidelines
May Have
Higher Expected Delinquencies
|
If
specified in the related prospectus supplement, the mortgage loans
may
have been originated according to underwriting guidelines that do
not
comply with Fannie Mae or Freddie Mac guidelines. These types of
mortgage
loans are sometimes referred to as “subprime,” “non-prime” or
“non-conforming” mortgage loans. Whereas “prime” loans are typically made
to borrowers who have a strong credit history and can demonstrate
a
capacity to repay their loans, subprime loans are typically made
to
borrowers who are perceived as deficient in either or both of these
respects. The borrowers may have imperfect credit histories, ranging
from
minor delinquencies to bankruptcy, or relatively high ratios of monthly
mortgage payments to income or relatively high ratios of total monthly
credit payments to income. While lenders consider a borrower’s credit
history when determining whether a loan is other than prime, they
also
consider the mortgage loan characteristics, such as loan-to-value
ratio,
or attributes of the property that may cause the loan to carry elevated
credit risk.
|
Compared
with prime loans, subprime loans typically have higher loan-to-value
ratios, reflecting the greater difficulty that subprime borrowers
have in
making down payments and the propensity of these borrowers to extract
equity during refinancing. Historically, subprime borrowers pay higher
rates of interest, go into delinquency more often, and have their
properties foreclosed at a higher rate than either prime borrowers
or
borrowers of mortgage loans originated in accordance with Fannie
Mae or
Freddie Mac guidelines. A significant portion of the mortgage loans
in the
trust fund may have been classified in these relatively low (i.e.,
relatively higher risk) credit categories.
|
|
Rising
unemployment, higher interest rates, or a decline in housing prices
generally or in certain regions of the United States may have a greater
effect on the delinquency, foreclosure, bankruptcy and loss experience
of
subprime mortgage loans and other mortgage loans of relatively low
credit
quality than on mortgage loans originated under stricter guidelines.
We
cannot assure you that the values of the mortgaged properties have
remained or will remain at levels in effect on the dates of origination
of
the related mortgage loans. These risks are magnified with respect
to
adjustable payment mortgage loans, interest-only mortgage loans,
loans
with balloon payments and loans which provide for negative amortization.
See “—Changes in U.S. Economic Conditions May Adversely Affect the
Performance of Mortgage Loans, Particularly Adjustable Payment Loans
of
Various Types” for a discussion of risks
|
related
to economic conditions generally and adjustable payment mortgage
loans.
|
|
Consequently,
mortgage loans originated according to underwriting guidelines that
are
not as strict as Fannie Mae or Freddie Mac guidelines may be likely
to
experience rates of delinquency, foreclosure and bankruptcy that
are
higher, and that may be substantially higher, than those experienced
by
mortgage loans underwritten in accordance with higher standards.
|
|
“Alt-A”
Mortgage Loans:
If specified in the related prospectus supplement, the trust
fund may
include mortgage loans originated according to “Alternative-A”
or “Alt-A”
underwriting guidelines. Although Alt-A loans are typically made
to
borrowers who have a strong credit history and can demonstrate a
capacity
to repay their loans, Alt-A mortgage loans may have some or all of
the
characteristics and risks of subprime mortgage loans described above.
In
particular, Alt-A mortgage loans (1) are often originated under
underwriting guidelines with more limited and reduced (or no)
documentation requirements, (2) have higher loan-to-value ratios
than
prime loans, (3) are more likely to be secured by properties not
primarily
occupied by the related borrower than prime loans and (4) often have
prepayment premiums. You should consider the risks discussed above
if the
trust fund contains Alt-A mortgage loans.
|
|
See
“Loan Underwriting Procedures and Standards” in this prospectus and see
the prospectus supplement for a description of the characteristics
of the
related mortgage loans and for a general description of the underwriting
guidelines applied in originating the related mortgage
loans.
|
|
Aspects
of the Mortgage Loan Origination Process May Result in Higher Expected
Delinquencies
|
Various
factors in the process of originating the mortgage loans in the trust
fund
may have the effect of increasing delinquencies and defaults on the
mortgage loans. These factors may include any or all of the
following:
|
Appraisal
quality:
During the mortgage loan underwriting process, appraisals are generally
obtained on each prospective mortgaged property. The quality of these
appraisals may vary widely in accuracy and consistency. Because in
most
cases the appraiser is selected by the mortgage loan broker or lender,
the
appraiser may feel pressure from that broker or lender to provide
an
appraisal in the amount necessary to enable the originator to make
the
loan, whether or not the value of the property justifies such an
appraised
value. Inaccurate or inflated appraisals may result in an increase
in the
number and severity of losses on the mortgage loans.
|
|
Stated
income underwriting guidelines:
Most underwriting guidelines applied in the origination of mortgage
loans
have several different levels of documentation requirements applicable
to
prospective borrowers. There has recently been an increasing number
of
mortgage loans originated under “stated income”
|
programs,
which permit an applicant to qualify for a mortgage loan based upon
monthly income as stated on the mortgage loan application, if the
applicant meets certain criteria. Typically no verification of monthly
income is required under stated income programs, which increases
the risk
that these borrowers have overstated their income and may not have
sufficient income to make their monthly mortgage loan payments. You
should
consider the risk that a higher number of mortgage loans originated
under
stated income programs may result in increased delinquencies and
defaults
on the mortgage loans in the trust fund.
|
|
Underwriting
guideline exceptions:
Although mortgage originators generally underwrite mortgage loans
in
accordance with their pre-determined loan underwriting guidelines,
from
time to time and in the ordinary course of business, originators
will make
exceptions to these guidelines. Loans originated with exceptions
may
result in a higher number of delinquencies and loss severities than
loans
originated in strict compliance with the designated underwriting
guidelines.
|
|
Non-owner
occupied properties:
Mortgage Loans secured by properties acquired by investors for the
purposes of rental income or capital appreciation, or properties
acquired
as second homes, tend to have higher severities of default than properties
that are regularly occupied by the related borrowers. In a default,
real
property investors who do not reside in the mortgaged property may
be more
likely to abandon the related mortgaged property, increasing the
severity
of the default.
|
|
Broker
and correspondent origination versus retail
origination:
Mortgage loans that have been originated on behalf of the originators
by
unaffiliated brokers or correspondents rather than directly by the
originators themselves may experience a higher rate of delinquencies
and
defaults. In particular, a substantial number of subprime mortgage
loans
are originated by brokers rather than directly by the related originators.
|
|
Fraud:
Fraud committed in the origination process may increase delinquencies
and
defaults on the mortgage loans. For example, a borrower may present
fraudulent documentation to a lender during the mortgage loan underwriting
process, which may enable the borrower to qualify for a higher balance
or
lower interest rate mortgage loan than the borrower would otherwise
qualify for. In addition, increasingly frequent incidences of identity
theft involving borrowers, particularly in the case of mortgage loans
originated by brokers and under streamlined origination programs,
may
result in an increased number of fraudulent mortgage loans that are
not
secured by a mortgaged property. To the extent that the trust fund
includes any mortgage loans originated electronically over the Internet,
these originations are more likely to be fraudulent. You should consider
the potential effect of fraud by borrowers, brokers and other third
parties on the yield on your
securities.
|
Self-employed
borrowers:
Self-employed borrowers may be more likely to default on their mortgage
loans than salaried or commissioned borrowers and generally have
less
predictable income. In addition, many self-employed borrowers are
small
business owners who may be personally liable for their business debt.
Consequently, you should consider that a higher number of self-employed
borrowers may result in increased defaults on the mortgage loans
in the
trust fund.
|
|
First
time borrowers:
First time home buyers are often younger, have shorter credit histories,
are more highly leveraged and have less experience with undertaking
mortgage debt and maintaining a residential property than other borrowers.
The presence of loans with first time buyers in the mortgage pool
may
increase the number of defaults on the mortgage loans.
|
|
Although
the aspects of the mortgage loan origination process described above
may
be indicative of the performance of the mortgage loans, information
regarding these factors may not be available for the mortgage loans
in the
trust fund, unless specified in the prospectus supplement.
|
|
See
“Loan Underwriting Procedures and Standards” in this prospectus and see
the prospectus supplement for a description of the characteristics
of the
related mortgage loans and for a general description of the underwriting
guidelines applied in originating the related mortgage
loans.
|
|
Changes
in U.S. Economic Conditions May Adversely Affect the Performance
of
Mortgage Loans, Particularly Adjustable Payment Loans of Various
Types
|
Recently,
an increasingly large proportion of residential mortgage loans originated
in the United States have been adjustable payment mortgage loans,
including loans that have interest-only or negative amortization
features.
Mortgage loans that are referred to generally as adjustable payment
or
adjustable rate mortgage loans may include any of the following types
of
loans:
|
·
mortgage
loans whose interest rate adjusts on the basis of a variable index
plus a
margin, with the initial adjustment typically occurring six months
after
origination of the related mortgage loan and adjustments occurring
every
six months thereafter; these loans may or may not have a low introductory
interest rate;
·
“hybrid”
mortgage loans, whose interest rate is fixed for the initial period
specified in the related mortgage note, and thereafter adjusts
periodically based on the related index;
·
“interest-only”
mortgage loans, which provide for payment of interest at the related
mortgage interest rate, but no payment of principal, for the period
specified in the related mortgage note; thereafter, the monthly payment
is
increased to an amount sufficient to amortize the principal balance
of
|
the
mortgage loan over the remaining term and to pay interest at the
applicable mortgage interest rate;
·
“negative
amortization” mortgage loans, which may have a low introductory interest
rate, and thereafter have a mortgage interest rate which adjusts
periodically based on the related index; however, the borrower is
only
required to make a minimum monthly payment which may not be sufficient
to
pay the monthly interest accrued, resulting in an increase to the
principal balance of the mortgage loan by the amount of unpaid interest;
and
·
“option
ARMs,” which combine several of the features described above and permit
the borrower to elect whether to make a monthly payment sufficient
to pay
accrued interest and amortize the principal balance, make an interest-only
payment or make a minimum payment that may be insufficient to pay
accrued
interest (with the unpaid interest added to the principal balance
of the
loan).
|
|
If
specified in the related prospectus supplement, the trust fund may
include
significant concentrations of these types of adjustable payment mortgage
loans, which present special default and prepayment risks.
|
|
The
primary attraction to borrowers of these adjustable payment mortgage
loan
products is that initial monthly mortgage loan payments can be
significantly lower than fixed rate or level pay mortgage loans under
which the borrower pays both principal and interest at an interest
rate
fixed for the life of the mortgage loan. As a result, many borrowers
are
able to incur substantially greater mortgage debt using one of these
adjustable payment mortgage loan products than if they used a standard
amortizing fixed rate mortgage loan.
|
|
In
addition, a substantial number of these adjustable payment mortgage
loans
have been originated in regions of the United States that have
seen
substantial residential housing price appreciation over the past
few
years, such as California and Florida and major metropolitan areas
in
other states. Many borrowers in these markets have used adjustable
payment
mortgage loan products to purchase homes that are comparatively
larger or
more expensive than they would otherwise have purchased with a
fixed rate
mortgage loan with relatively higher monthly payments. These borrowers
may
have taken out these mortgage loan products in the expectation
that either
(1) their income will rise by the time their fixed rate period
or
interest-only period expires, thus enabling them to make the higher
monthly payments, or (2) in an appreciating real estate market,
they will
be able to sell their property for a higher price or will be able
to
refinance the mortgage loan before the expiration of the fixed
rate or
interest-only period.
|
Borrowers
with adjustable payment mortgage loans will likely be exposed to
increased
monthly payments (1) when the mortgage interest rate adjusts upward
from a
low introductory rate to the rate computed in accordance with the
applicable index and margin, (2) if interest rates rise significantly,
(3)
in the case of interest-only mortgage loans, from the large increases
in
monthly payments when the interest-only terms expire and the monthly
payments on these loans are recalculated to amortize the outstanding
principal balance over the remaining term or (4) in the case of loans
with
negative amortization features, from the large increases in monthly
payments when the payments are recalculated to amortize the outstanding
principal balance.
|
|
When
evaluating a mortgage loan application from a prospective borrower
for an
adjustable payment or interest-only mortgage loan, many mortgage
originators determine the amount of loan that borrower can afford
based on
the borrower’s initial scheduled monthly payments, or the scheduled
monthly payments on the first mortgage interest rate reset date,
rather
than based on the adjusted monthly payments as of future mortgage
interest
reset dates (in the case of adjustable rate mortgage loans) or the
principal amortization date (in the case of interest-only mortgage
loans).
Unless otherwise specified in the related prospectus supplement,
mortgage
loan characteristics and debt-to-income ratios set forth in the prospectus
supplement will reflect the scheduled mortgage loan payments due
or being
made as of the “cut-off date,” and will not reflect the mortgage loan
payment resets that will occur during the life of the mortgage loan.
These
origination practices may increase the sensitivity of mortgage loan
performance and defaults to changes in U.S. economic
conditions.
|
|
As
the fixed interest rates on hybrid mortgage loans expire and convert
to
adjustable rates, borrowers may find that the new minimum monthly
payments
are considerably higher, and they may not be able to make those payments.
Furthermore, in recent years, mortgage interest rates have been at
historically low levels. Although short-term interest rates have
increased
from their lowest levels, long-term interest rates have remained
low. If
mortgage interest rates rise, borrowers will experience increased
monthly
payments on their adjustable rate mortgage loans.
|
|
In
addition, without regard to changes in interest rates, the monthly
payments on mortgage loans with interest-only or negative amortization
features will increase substantially when the principal must be repaid.
|
|
Any
of these factors, or a combination of these factors, could cause
mortgage
loan defaults to increase substantially.
|
|
Borrowers
who intend to avoid increased monthly payments by refinancing their
mortgage loans may find that lenders may not in the future be willing
or
able to offer these adjustable payment mortgage loan products, or
to offer
these products at relatively
|
low
interest rates. A decline in housing prices generally or in certain
regions of the United States could also leave borrowers with insufficient
equity in their homes to permit them to refinance. In addition, if
the
recent rapid increase in house prices ceases or housing prices decline,
borrowers who intend to sell their properties on or before the expiration
of the fixed rate periods or interest-only periods on their mortgage
loans
may find that they cannot sell their properties for an amount equal
to or
greater than the unpaid principal balance of their loans, especially
in
the case of negative amortization mortgage loans. These events could
cause
borrowers to default on their mortgage loans.
|
|
Rising
unemployment and slow wage growth in certain regions of the United
States
or generally could also impact the ability of many borrowers with
adjustable payment mortgage loans to make the higher monthly payments
resulting from the expiration of fixed rate periods or interest-only
periods, or from increases in interest rates. If borrowers become
unemployed in a slowing economy, or if they find that expected increases
in personal income have not occurred, they may be unable to make
the
higher monthly mortgage payments.
|
|
It
is likely that borrowers with adjustable payment mortgage loans will
over
the next several years be required to spend a larger proportion of
their
income to service their mortgage debt. This increase could, in the
absence
of strong wage growth, come at the expense of other expenditures
by these
borrowers, particularly consumer spending. It is possible that a
decline
in consumer spending could cause the U.S. economy to slow or decline,
which could give rise to increased unemployment and falling property
values. These factors would negatively impact the ability of many
borrowers to meet their increased monthly mortgage payments as described
above. As a consequence, defaults on adjustable payment mortgage
loans may
increase significantly.
|
|
Any
of the factors described above, alone or in combination, could adversely
affect the yield on your securities. Depending upon the type of security
purchased and the price paid, the adverse yield effect could be
substantial.
|
|
These
risks are magnified with respect to mortgage loans made on the basis
of
relatively low credit standards. See “—Mortgage Loans Originated According
to Non-Agency Underwriting Guidelines May Have Higher Expected
Delinquencies” for a discussion of risks related to mortgage loans that
are sometimes referred to as “subprime,” “non-conforming” or “alt-A,” or
are otherwise originated in accordance with credit standards that
do not
conform to those of Fannie Mae or Freddie Mac.
|
Several
types of adjustable payment mortgage loans discussed above, in particular
“option ARMs” and interest-only mortgage loans, have only been originated
in any significant numbers in relatively recent years. Consequently,
there
is no material statistical information showing payment and default
trends
under a variety of macroeconomic conditions. In particular, it is
unclear
how these mortgage loan products will perform in a declining housing
market or under other negative macroeconomic conditions.
|
|
See
“—Risks Related to Mortgage Loans with Interest-Only Payments” and “—Risks
Related to Mortgage Loans that Provide for Negative Amortization” for
further discussion of mortgage loans with interest-only or negative
amortization features, respectively.
|
|
Prepayment
Premiums May Affect a Borrowers Ability to Sell a Mortgaged Property
or
Refinance a Mortgage Loan, and May Affect the Yields on Your
Securities
|
Many
residential mortgage loans, particularly adjustable rate mortgage
loans,
negative amortization mortgage loans and subprime mortgage loans,
require
the payment of a prepayment premium in connection with voluntary
prepayments of the mortgage loan made during the period specified
in the
related mortgage note. These prepayment premiums may discourage borrowers
from refinancing their mortgage loans, and in many cases, may discourage
borrowers from selling the related mortgage property, during the
applicable period. Borrowers who wish to refinance their properties
to
take advantage of lower interest rates, or who want to sell their
mortgaged property, may not be able to afford the prepayment premium
and
may be more likely to default. You should consider the effect of
these
prepayment premiums on borrowers and the resulting effect on the
yields of
your securities.
|
The
Subprime and Alt-A Mortgage Loan
Markets
have Experienced Increasing
Levels
of Delinquencies and Defaults; the
Rate
of Defaults May Be Higher Where
Other
Risk Factors Are Present
|
Over
the past twelve to eighteen months, the rate of payment delinquencies
and
defaults by borrowers under subprime and “Alt-A” mortgage loans has
increased significantly. Delinquencies and defaults may continue
at these
relatively high rates for some period of time, or may increase further.
You should consider the heightened risk associated with purchasing
offered
certificates backed by pools of subprime or Alt-A mortgage loans,
and that
your investment in those certificates may perform worse than you
anticipate.
|
See
“Mortgage Loans Originated According to Non-Agency Underwriting Guidelines
May have Higher Expected Delinquencies” above.
|
This
risk is compounded if subprime or Alt-A borrowers have financed
their
homes with adjustable rate mortgage loans or other alternative
mortgage
loan products that in many cases have allowed them to purchase
homes that
they might otherwise have been unable to afford. As described under
“Changes in U.S. Economic Conditions May Adversely Affect the Performance
of Mortgage Loans, Particularly Adjustable Payment Loans of Various
Types”
above, many of these products feature relatively low monthly payments
during an initial period that increase (in some cases significantly)
over
the loan term.
|
|
In
addition, as discussed under “Prepayment Premiums May Affect a Borrowers
Ability to Sell a Mortgaged Property or Refinance a Mortgage Loan,
and May
Affect the Yields on Your Securities” above, many subprime and Alt-A loans
also include prepayment premiums, which may have the effect of
preventing
a borrower from selling the related mortgage property or refinancing
into
a more affordable mortgage loan.
|
|
In
addition, a borrower whose home has declined in value since origination
of
the mortgage loan may be left with insufficient equity in the home,
and
may be unable to afford to refinance.
|
|
Where
two or more of these factors are combined, the rate of delinquencies
and
defaults in a pool of mortgage loans may be significantly higher
than
anticipated.
|
|
Information
Regarding Historical Performance of Mortgage Loans May Not Be Indicative
of the Performance of the Loans in the Trust Fund
|
A
variety of factors may affect the performance of any pool of mortgage
loans during any particular period of time. In addition, differing
loan
characteristics or external factors may cause the performance of
the
mortgage loans included in the trust fund to differ from the performance
of other loans of a similar type. When examining data regarding the
historical performance of pools of mortgage loans, prospective investors
should consider, among other things:
|
·
differences
in loan type;
·
the
relative seasoning of the pools;
·
differences
in interest rates, credit quality and any of various other material
pool
characteristics, both at formation of a pool and over time;
·
the
extent to which the loans in a pool have prepayment premiums;
·
whether
the loans were originated by different lenders, and the extent to
which
the underwriting guidelines differed; and
·
whether
the loans were serviced by different servicers.
|
|
In
particular, prospective investors should consider that, both in the
case
of comparable pools of mortgage loans and of the mortgage loans in
the
trust fund, historical loan performance during a period of rising
home
values may differ significantly
|
from
the future performance of similar loans during a period of stable
or
declining home values.
|
|
Risks
Related to Mortgage Loans with Interest-Only
Payments
|
If
specified in the related prospectus supplement, some of the mortgage
loans
to be included in the trust fund may provide for payment of interest
at
the related mortgage interest rate, but no payment of principal,
for the
period following origination specified in the related prospectus
supplement. Following the applicable interest-only period, the monthly
payment with respect to each of these mortgage loans will be increased
to
an amount sufficient to amortize the principal balance of the mortgage
loan over the remaining term and to pay interest at the applicable
mortgage interest rate.
|
If
applicable, the presence of these mortgage loans in the trust fund
will,
absent other considerations, result in longer weighted average lives
of
the related securities than would have been the case had these loans
not
been included in the trust fund. In addition, borrowers may view
the
absence of any obligation to make a payment of principal during the
interest-only period following origination specified in the related
prospectus supplement as a disincentive to prepayment. Conversely,
however, borrowers may be more likely to refinance their mortgage
loans
when the related interest-only period expires, resulting in increased
prepayments.
After
a borrower’s monthly payment has been increased to include principal
amortization, and assuming the borrower does not refinance the related
mortgage loan, delinquency or default may be more likely.
|
|
See
also “—Changes in U.S. Economic Conditions May Adversely Affect the
Performance of Mortgage Loans, Particularly Adjustable Payment Loans
of
Various Types” for a discussion of risks related to interest-only mortgage
loans and economic conditions.
|
|
Risks
Related to Mortgage Loans
that
Provide for Negative Amortization
|
If
specified in the related prospectus supplement, the trust fund may
include
mortgage loans that provide for so-called “negative amortization.”
Negative amortization mortgage loans generally provide the borrower
with a
low initial introductory interest rate. Thereafter, the mortgage
interest
rate is calculated at the index specified in the related mortgage
note
plus the applicable margin. However, the borrower is only required
to make
(or may elect to make) for the period specified in the related mortgage
note a minimum monthly payment on the mortgage loan that may be sufficient
to amortize the principal balance of the mortgage loan over the remaining
term but not to pay all accrued interest, or may be insufficient
to pay
accrued interest and not amortize the principal balance at all.
|
At
the end of this initial period, and periodically thereafter, the
borrower’s minimum monthly payment is adjusted to reflect the prevailing
interest rate, consisting of the current applicable index
|
plus
the applicable margin, plus a principal amount sufficient to amortize
the
mortgage loan over the remaining applicable term. Typically, the
borrower’s monthly payment will not be increased or decreased by more than
a periodic cap and is subject to a maximum interest rate, as specified
in
the related mortgage note. Nevertheless, although each year’s recalculated
monthly payment will be based on the prevailing rate of the applicable
index at the time of the annual payment adjustment date, this index
may
continue to adjust up or down throughout the course of the year.
|
|
During
a period of rising interest rates, as well as before the annual adjustment
to the minimum monthly payment made by the borrower, the amount of
interest accruing on the principal balance of the related mortgage
loan
may exceed the amount of the scheduled monthly payment. As a result,
a
portion of the accrued interest on the related mortgage loan may
become
deferred interest that will be added to its principal balance and
will
also bear interest at the applicable interest rate.
|
|
In
addition, the amount by which a monthly payment may be adjusted on
an
annual payment adjustment date is generally limited and may not be
sufficient to amortize fully the unpaid principal balance of a negative
amortization mortgage loan over its remaining term to maturity.
|
|
Generally,
under the circumstances and at the intervals provided in the related
mortgage note, the monthly payment due on a negative amortization
mortgage
loan will be “recast” without regard to the related payment cap in order
to provide for payment of the outstanding balance of the mortgage
loan
over its remaining term.
|
|
In
summary, then, as interest rates increase (or, in some cases, even
if
market interest rates remain stable), the principal balance of a
negative
amortization mortgage loan will increase over time, thereby increasing
the
monthly payments to be paid by the borrower when principal must be
repaid,
making refinancing more difficult and increasing the potential adverse
effect of macroeconomic trends. See “—Changes in U.S. Economic Conditions
May Adversely Affect the Performance of Mortgage Loans, Particularly
Adjustable Payment Loans of Various Types” above.
|
|
In
addition, any deferral of interest on negative amortization mortgage
loans
will result in a reduction of the amount of interest available to
be
distributed as interest to the securities. If specified in the related
prospectus supplement, the reduction in interest collections may
be
offset, in part, by applying certain prepayments received on the
mortgage
loans to interest payments on the securities. In that case, the excess
of
any deferred interest on the mortgage loans over the prepayments
received
on the mortgage loans, or net deferred interest, will be allocated
among
the classes of securities in an amount equal to the excess of the
interest
accrued on each such class at its applicable interest rate over the
amount
of interest that would have accrued if the applicable interest rate
for
each class had been equal to a rate
|
adjusted
for net deferred interest on the related mortgage loans, as described
in
the related prospectus supplement. Any such allocation of net deferred
interest could, as a result, affect the weighted average maturity
of the
affected class of securities.
|
|
Early
or Multiple Payment Defaults
May
Be Indicative of Higher
Rates of
Delinquencies and Losses in the Future
|
As
specified in the related prospectus supplement, a certain number
of
mortgage loans included in the trust fund may be delinquent as of
the
applicable cut-off date or may have been delinquent in payment in
the last
twelve months on one or more due dates.
|
Prior
delinquencies and, in particular, first or early payment defaults,
may be
an indication of underwriting errors in assessing the financial means
and/or credit history of the borrower or of an adverse change in
the
financial status of the borrower. These mortgage loans are likely
to
experience rates of delinquency, foreclosure and bankruptcy that
are
higher, and that may be substantially higher, than those experienced
by
mortgage loans whose borrowers have more favorable payment
histories.
|
|
Mortgage
Loans with High Original Loan-to-Value Ratios May Present a Greater
Risk
of Loss
|
As
specified in the related prospectus supplement, some of the mortgage
loans
included in the trust fund may have original loan-to-value ratios
of
greater than 80%. Mortgage loans with high loan-to-value ratios,
particularly those in excess of 100%, may be more likely to experience
default and foreclosure than mortgage loans with low original
loan-to-value ratios.
|
Moreover,
mortgage loans with high original loan-to-value ratios are more likely
to
be subject to a judicial reduction of the loan amount in bankruptcy
or
other proceedings than mortgage loans with lower original loan-to-value
ratios. If a court relieves a borrower’s obligation to repay amounts
otherwise due on a mortgage loan, none of the servicers or the master
servicer will be required to advance funds in respect of relieved
amounts,
and any related loss may reduce the amount available to be paid to
securityholders. In such event, holders of subordinate classes of
securities may suffer losses.
In
addition, investors should consider that as property values have
decreased
generally throughout the United States over the past twelve to
eighteen
months, many of the effective loan to value ratios on the mortgage
loans
in the trust fund may have increased, which may increase the risk
that
such mortgage loans may experience default or
foreclosure.
|
|
Special
Default Risk of Second Lien
Mortgage Loans
|
If
the related prospectus supplement specifies that the trust fund includes
mortgage loans that are secured by second liens on the related mortgaged
properties, these second lien mortgage loans will be subordinate
to the
rights of the mortgagee under the related first mortgages. Generally,
the
holder of a second lien
|
mortgage
loan will be subject to a loss of its mortgage if the holder of the
first
mortgage is successful in foreclosure of its mortgage, because no
second
liens or encumbrances survive such a foreclosure. In addition, due
to the
priority of the first mortgage, the holder of the second lien mortgage
may
not be able to control the timing, method or procedure of any foreclosure
action relating to the mortgaged property. Furthermore, any liquidation,
insurance or condemnation proceeds received on the second lien mortgage
will be available to satisfy the outstanding balance of the mortgage
loan
only to the extent that the claim of the related first mortgage has
been
satisfied in full, including any foreclosure costs. Accordingly,
if
liquidation proceeds are insufficient to satisfy the mortgage loan
secured
by the second lien and all prior liens in the aggregate, and if the
credit
enhancement provided by any excess interest and overcollateralization
(if
applicable) has been exhausted or is otherwise unavailable to cover
the
loss, securityholders will bear the risk of delay in payments while
any
deficiency judgment against the borrower is sought and the risk of
loss if
the deficiency judgment is not pursued, cannot be obtained or is
not
realized for any other reason.
|
|
Risks
Related to Simultaneous Second Liens and Other Borrower
Debt
|
At
the time of origination of any first lien mortgage loans in the trust
fund, the originators or other lenders may also have made second
lien
loans to the same borrowers that will not be included in the trust
fund.
In addition, other borrowers whose first lien loans are included
in the
trust fund may have obtained secondary mortgage financing following
origination of the first lien loans. In addition, borrowers may increase
their aggregate indebtedness substantially by assuming consumer debt
of
various types. Consequently, investors should consider that borrowers
who
have less equity in their homes, or who have substantial mortgage
and
consumer indebtedness, may be more likely to default and may be more
likely to submit to foreclosure proceedings.
|
In
addition, the nature of any second lien may influence the prepayment
characteristics of the first lien included in the trust fund. Borrowers
may be more likely to refinance and prepay the first lien when any
secondary mortgage financing becomes due in full, and consequently
investors should be aware that the rate of prepayment of the first
lien
mortgage loans in the trust fund may be affected by any associated
second
lien loans.
|
|
Geographic
Concentration of Mortgage
Loans
|
The
mortgage loans to be included in the trust fund may be concentrated
in one
or more states, as specified in the related prospectus supplement.
The
rate of delinquencies, defaults and losses on the mortgage loans
may be
higher than if fewer of the mortgage loans were concentrated in those
states because the following conditions will have a disproportionate
impact on the mortgage loans in general:
|
·
Weak
economic conditions in those states, which may or may not affect
real
property values, may affect the ability of
|
borrowers
to repay their loans on time.
|
|
·
Declines
in the residential real estate market in those states may reduce
the
values of properties located in those states, which would result
in an
increase in the loan-to-value ratios of the related mortgage
loans.
|
·
Properties
in California, Florida and the Gulf of Mexico coast, in particular,
may be
more susceptible than homes located in other parts of the country
to
certain types of uninsurable hazards, such as hurricanes, as well
as
earthquakes, floods, wildfires, mudslides and other natural
disasters.
|
|
·
Predatory
lending laws or other laws which tend to restrict the availability
of
credit in certain cities, counties or states may limit a borrower’s
refinancing options and increase the chances of default and
foreclosure.
|
|
Natural
disasters affect regions of the United States from time to time,
and may
result in increased losses on mortgage loans in those regions, or
in
insurance payments that will constitute prepayments of principal
of those
mortgage loans.
|
|
For
additional information regarding the geographic concentration of
the
mortgage loans to be included in the trust fund, see the geographic
distribution table or tables in the prospectus supplement.
|
|
Balloon
Loans
|
If
specified in the related prospectus supplement, the mortgage loans
to be
included in the trust fund may include balloon loans. Balloon loans
pose a
special payment risk because the borrower must pay a large lump sum
payment of principal at the end of the loan term. If the borrower
is
unable to pay the lump sum or refinance such amount, you may suffer
a loss
if the collateral for the loan is insufficient and the other forms
of
credit enhancement are insufficient or unavailable to cover the
loss.
|
If
specified in the related prospectus supplement, a certain percentage
of
the mortgage loans included in the trust fund may have a principal
balance
as of the cut-off date in excess of $1,000,000. You should consider
the
risk that the loss and delinquency experience on these high balance
loans
may have a disproportionate effect on the trust fund as a whole.
|
|
If
specified in the related prospectus supplement, mortgage loans in
the
trust fund may be secured by liens on multifamily properties and
mixed
residential/commercial properties. Mixed use loans and multifamily
loans
may have a greater likelihood of delinquency and foreclosure, and
therefore a greater likelihood of loss, than mortgage loans secured
by
single-family residential properties. The ability of a borrower to
repay a
single-family loan typically depends primarily on the borrower’s household
|
income
rather than on the capacity of the property to produce income, and
(other
than in geographic areas where employment is dependent upon a particular
employer or industry) the borrower’s income tends not to reflect directly
the value of their property. A decline in the income of a borrower
on a
loan secured by a single family property may therefore adversely
affect
the performance of the loan, but may not affect the liquidation value
of
that property.
In contrast, the ability of a borrower to repay a loan secured by
an
income-producing property typically depends primarily on the successful
operation and management of that property rather than on any independent
income or assets of the borrower and thus, in general, the value
of the
income-producing property also is directly related to the net operating
income derived from that property. In some cases, the borrower may
have no
material assets other than the mortgaged property. Consequently,
if the
net operating income of the property is reduced (for example, if
rental or
occupancy rates decline, competition increases or real estate tax
rates or
other operating expenses increase), the borrower’s ability to repay the
loan may be impaired, and the liquidation value of the related property
also may be adversely affected. In addition, in some cases the loans
will
have been made on a nonrecourse basis, so that in the event of default
by
the borrower, the only source of repayment will be the proceeds of
liquidation of the related property.
|
|
There
are various risks associated with multifamily and mixed use loans.
In
general, factors such as location, changing demographics or traffic
patterns, increases in operating expenses, competitive factors and
economic conditions generally, may affect the value of a commercial
or
mixed use property. Factors such as the management skill, experience
and
financial resources of the operator (which may be other than the
borrower), national and regional economic conditions and other factors
may
affect the ability of borrowers to make payments when due. Hospitals,
nursing homes and other health care properties may receive a substantial
portion of their revenues from government programs, which are subject
to
statutory and regulatory changes and funding limitations. In addition,
you
should consider the following risks:
|
|
Multifamily
Loans.
The performance of a multifamily loan and the value of the related
mortgaged property may be affected by factors such as local and regional
economic conditions, the physical condition of the property, the
types of
services and amenities provided, the tenant population (for example,
predominantly students or elderly persons, or workers in a particular
industry), availability of alternative rental properties, changes
in the
surrounding neighborhood, management, the level of mortgage interest
rates, dependence upon government rent subsidies, any applicable
rent
control laws and state and local regulations.
|
|
The
risk that a mortgaged property may be, or become, contaminated with
hazardous materials is greater with respect to mixed use loans than
with
respect to residential mortgage loans. See “— Environmental Risks”
below.
|
Although
the various risks discussed in this prospectus and the accompanying
prospectus supplement are generally described separately, prospective
investors in any class of securities should consider the potential
effects
on those securities of the interplay of multiple risk factors. Where
more
than one significant risk factor
is present, the risk of loss to an investor may be significantly
increased.
|
For
example, a particular mortgage loan pool may include loans that not
only
have relatively high loan-to-value ratios but also provide for negative
amortization, or were originated concurrently with second lien loans
not
included in the trust fund. Many of these loans may also have been
originated in regions that are experiencing home price depreciation.
An
investor in subordinated securities may be particularly exposed to
such a
potential combination of risks.
|
|
There
are many other circumstances in which layering of multiple risks
with
respect to an asset pool and the related securities may magnify the
effect
of those risks. In considering the potential effects of layered risks,
prospective investors should carefully review the descriptions of
the
pooled assets and the securities offered in the accompanying prospectus
supplement.
|
|
Credit
scoring models are intended to provide a means for evaluating information
about a prospective borrower. Credit scores are obtained from credit
reports provided by various credit reporting organizations, each
of which
may employ differing computer models and methodologies. A credit
score is
designed to assess a borrower’s credit history at a single point in time,
using objective information currently on file for the borrower at
a
particular credit reporting organization. Information utilized to
create a
credit score may include, among other things, payment history,
delinquencies on accounts, levels of outstanding indebtedness, length
of
credit history, types of credit, and bankruptcy experience. However,
a
credit score purports only to be a measurement of the relative degree
of
risk a borrower represents to a lender. A borrower with a higher
credit
score is statistically expected to be less likely to default in payment
than a borrower with a lower credit score.
|
|
In
addition, credit scores were developed to indicate a level of default
probability over a two-year period, which does not correspond to
the life
of a mortgage loan. Furthermore, credit scores were not developed
specifically for use in connection with mortgage loans, but for consumer
loans in general, and assess only the borrower’s past credit history.
Therefore, a credit score does not take into consideration differences
between mortgage loans and consumer loans generally, or the specific
characteristics of the related mortgage loan, such as the loan-to-value
ratio, the collateral for the mortgage loan, or the debt-to-income
ratio.
We cannot assure you that the credit scores of the borrowers will
be an
accurate predictor of the likelihood of repayment of the
related
|
mortgage
loans or that any borrower’s credit score would not be lower if obtained
as of the date of the related prospectus supplement.
|
|
Real
property pledged as security for a mortgage loan may be subject to
certain
environmental risks. Under the laws of certain states, contamination
of a
property may give rise to a lien on the property
to assure the costs of cleanup. In several states, such a lien has
priority over the lien of an existing mortgage against the related
property. In addition, under the laws of some states and under the
federal
Comprehensive Environmental Response, Compensation and Liability
Act of
1980 (“CERCLA”), a lender may be liable, as an “owner” or “operator,” for
the costs of addressing releases or threatened releases of hazardous
substances that require remedy at a property, if agents or employees
of
the lender have become sufficiently involved in the operations of
the
borrower, regardless of whether or not the environmental damage or
threat
was caused by a prior owner. A lender also risks such liability on
foreclosure of the mortgage. Any such lien arising with respect to
a
mortgaged property would adversely affect the value of that mortgaged
property and could make impracticable the foreclosure on that mortgaged
property in the event of a default by the related borrower. In addition,
some environmental laws impose liability for releases of asbestos
into the
air. Third parties may seek recovery from owners or operators of
real
property for personal injury associated with exposure to
asbestos.
|
Mortgage
Loan Interest Rates May
Limit Interest Rates on the
Variable Rate Securities
|
The
securities generally will have either fixed or variable interest
rates.
However, as specified in the related prospectus supplement, the interest
rates on your securities may be subject to certain limitations, generally
based on the weighted average interest rates of the mortgage loans
in the
trust fund or as otherwise described in the related prospectus supplement,
net of certain allocable fees and expenses of the trust fund and
any
payments owed on derivative instruments. The mortgage loans to be
included
in the trust fund will have interest rates that either are fixed
or adjust
based on a variable index, as described in the related prospectus
supplement.
|
Any
adjustable rate mortgage loans in the trust fund may also have periodic
maximum and minimum limitations on adjustments to their interest
rates,
and may have the first adjustment to their interest rates a number
of
years after their first payment dates. In addition, adjustable rate
mortgage loans generally have lifetime maximum interest rates. As
a
result, your variable rate securities may accrue less interest than
they
would accrue if their interest rates were solely based on the specified
index plus the specified margin.
|
|
A
variety of factors could limit the interest rates and adversely affect
the
yields to maturity on the variable rate securities. Some of these
factors
are described below.
|
·
The
interest rates for your securities may adjust monthly based on the
one-month LIBOR index or another index, while the interest rates
on the
mortgage loans to be included in the trust fund may either adjust
less
frequently, adjust based on a different index or not adjust at all.
Consequently, the limits on the interest rates on these securities
may
prevent increases in the interest rates for extended periods in a
rising
interest rate environment.
|
|
·
The
interest rates on adjustable rate mortgage loans may respond to economic
and market factors that differ from those that affect the one-month
LIBOR
index or the index applicable to your variable rate securities. It
is
possible that the interest rates on any adjustable rate mortgage
loans may
decline while the interest rates on the related securities are stable
or
rising. It is also possible that the interest rates on any adjustable
rate
mortgage loans and the interest rates on the related securities may
both
decline or increase during the same period, but that the interest
rates on
your securities may decline or may increase more slowly or
rapidly.
|
|
·
To
the extent that fixed rate or adjustable rate mortgage loans are
subject
to default or prepayment, the interest rates on the related securities
may
be reduced as a result of the net funds cap limitations described
in the
related prospectus supplement.
|
|
See
“Yield, Prepayment and Maturity Considerations” in this prospectus and see
the prospectus supplement for a description of the interest rates
applicable to your securities and for a general description of the
interest rates of the related mortgage loans.
|
|
If
specified in the related prospectus supplement, the features of
subordination and loss allocation, excess interest, overcollateralization
and limited cross-collateralization, together with any primary mortgage
insurance and financial guaranty insurance policies, are intended
to
enhance the likelihood that holders of more senior classes of securities
will receive regular payments of interest and principal, but are
limited
in nature and may be insufficient to cover all losses on the related
mortgage loans.
|
|
Subordination
and Allocation of Losses.
If
the applicable subordination is insufficient to absorb losses, then
securityholders will likely incur losses and may never receive all
of
their principal payments. You should consider that
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|
·
if
you buy a subordinate security and losses on the related mortgage
loans
exceed the total principal amount of any securities subordinate to
your
securities (if any), plus, if applicable to the trust fund and as
specified in the related prospectus supplement, any excess interest
and
any overcollateralization that has been created, the principal
|
amount
of your securities will be reduced proportionately with the principal
amounts of the other securities of your class by the amount of that
excess; and
|
|
·
if
specified in the related prospectus supplement, after the total principal
amount of the subordinate securities has been reduced zero, losses
on the
mortgage loans may reduce the principal amounts (or notional amounts)
of
the senior securities.
|
|
Losses
on the related mortgage loans will reduce the loss protection provided
by
the subordinate securities to the senior securities and will increase
the
likelihood that the senior securities will not receive all of their
expected principal payments.
|
|
If
the securities have the benefit of overcollateralization and excess
interest, and if overcollateralization is maintained at the required
amount and the related mortgage loans generate interest in excess
of the
amount needed to pay interest and principal on your securities, the
fees
and expenses of the trust fund and any payments owed to a derivatives
counterparty, then excess interest may be used to pay you and the
other
securityholders of the related securities the amount of any reduction
in
the aggregate principal balance of the mortgage loans caused by
application of losses. These payments will generally be made in order
of
seniority. We cannot assure you, however, that any excess interest
will be
generated and, in any event, unless otherwise specified in the related
prospectus supplement, no interest will be paid to you on the amount
by
which the principal amount of your securities was reduced because
of the
application of losses.
|
|
See
“Credit Support” in this prospectus and see the descriptions of credit
enhancement, subordination and application of realized losses in
the
prospectus supplement.
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|
Excess
Interest and Overcollateralization.
If
the securities have the benefit of excess interest and
overcollateralization, as specified in the related prospectus supplement,
then in order to create and maintain overcollateralization, it will
be
necessary that the mortgage loans generate more interest than is
needed to
pay interest on the related securities, as well as any fees and expenses
of the trust fund and any payments owed to a derivative counterparty.
If
the securities have the benefit of excess interest and/or
overcollateralization, we expect that the mortgage loans will generate
more interest than is needed to pay those amounts, at least during
certain
periods, because the weighted average of the interest rates on the
mortgage loans is expected to be higher than the weighted average
of the
interest rates on the related securities plus the weighted average
aggregate expense rate. Any remaining interest generated by the mortgage
loans will be used to absorb losses on the mortgage loans and to
maintain
overcollateralization. In addition, on the closing date, the total
scheduled principal balance of the mortgage loans may exceed the
total
principal amount of the securities. This excess is referred to as
“overcollateralization” and will be available to absorb losses. We cannot
assure you, however, that the mortgage loans will
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generate
enough excess interest to maintain this overcollateralization level
as set
by the applicable rating agencies. In addition, there may be no amounts
available from any interest rate derivative agreement described in
the
related prospectus supplement to cover shortfalls. The following
factors
will affect the amount of excess interest that the related mortgage
loans
will generate:
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|
·
Prepayments.
Every time a mortgage loan is prepaid in whole or in part, total
excess
interest after the date of prepayment will be reduced because that
mortgage loan will no longer be outstanding and generating interest
or, in
the case of a partial prepayment, will be generating less interest.
The
effect of this reduction on your securities will be influenced by
the
amount of prepaid loans and the characteristics of the prepaid loans.
Prepayment of a disproportionately high number of high interest rate
mortgage loans would have a greater negative effect on future excess
interest.
|
|
·
Defaults,
Delinquencies and Liquidations.
If
the rates of delinquencies, defaults or losses on the mortgage loans
turn
out to be higher than expected, excess interest available for
overcollateralization or to absorb losses will be reduced. Every
time a
mortgage loan is liquidated or charged off, excess interest will
be
reduced because that mortgage loan will no longer be outstanding
and
generating interest.
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|
See
“Credit Support” in this prospectus and see the descriptions of excess
interest and overcollateralization in the prospectus
supplement.
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|
Limited
Cross-Collateralization.
The trust fund may contain two or more separate mortgage pools, as
specified in the related prospectus supplement. Principal payments
on the
senior securities will depend, for the most part, on collections
on the
mortgage loans in the related pool. However, as specified in the
related
prospectus supplement, the senior securities may have the benefit
of
credit enhancement in the form of subordination from one or more
of the
other pools. That means that even if the rate of losses on mortgage
loans
in the pool related to your class of senior securities is low, losses
in
an unrelated pool may reduce the loss protection for your
securities.
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|
Interest
Rate Derivative Agreements.
If specified in the related prospectus supplement, any amounts received
under any interest rate cap or swap agreement will generally be applied
as
described in the related prospectus supplement to pay interest shortfalls
and, if applicable, to maintain overcollateralization and cover losses.
However, we cannot assure you that any amounts will be received under
that
interest rate derivative agreement, or that any such amounts that
are
received will be sufficient to maintain any required overcollateralization
or to cover interest shortfalls and losses on the mortgage
loans.
|
See
“Credit Support” in this prospectus and see the description of any
interest rate cap agreement or swap agreement, as applicable, in
the
prospectus supplement.
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|
Primary
Mortgage Insurance.
If specified in the related prospectus supplement, some of the first
lien
mortgage loans which have original loan-to-value ratios greater than
80%
may be covered by existing borrower-paid primary mortgage insurance
policies. The existing borrower-paid primary mortgage insurance policies
will generally have the effect of reducing the original loan-to-value
ratios of those covered mortgage loans to 60%.
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|
In
addition, if specified in the related prospectus supplement, one
or more
loan-level primary mortgage insurance policies may be acquired on
behalf
of the trust fund from primary mortgage insurance providers, providing
the
initial insurance coverage specified in the related prospectus supplement
for those first lien mortgage loans with original loan-to-value ratios
greater than 80%.
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|
These
loan-level primary mortgage insurance policies will generally have
the
effect of reducing the original loan-to-value ratios of those covered
mortgage loans to approximately 60%. However, these policies will
only
cover first lien mortgage loans and will be subject to various other
limitations and exclusions. In addition, borrower-paid primary mortgage
insurance may be subject to cancellation by the related borrower.
As a
result, coverage may be rescinded or denied on some mortgage loans.
Primary mortgage insurance providers will generally curtail the insured
payments on a foreclosed mortgage loan if the related servicer does
not
foreclose that mortgage loan within a limited time period determined
by
the insurance provider. In addition, because the amount of coverage
under
these policies depends on the loan-to-value ratio of the related
mortgaged
property at the inception of these policies, a decline in the value
of the
related mortgaged property will not result in increased coverage,
and the
trust fund may still suffer a loss on a covered mortgage loan.
Accordingly, these primary mortgage insurance policies will provide
only
limited protection against losses on the mortgage loans.
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|
See
“Credit Support—Insurance” and “Description of Mortgage and Other
Insurance—Mortgage Insurance on the Loans” in this prospectus and see the
descriptions of any primary mortgage insurance policies in the prospectus
supplement.
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|
Effect
of Creditworthiness of Primary
Mortgage Insurers on Ratings
of Securities
|
If
the related prospectus supplement specifies that one or more loan-level
primary mortgage insurance policies have been acquired on behalf
of the
trust fund from one or more primary mortgage insurance providers,
then the
ratings assigned to your securities by the applicable rating agencies
will
be based in part on the financial strength ratings assigned to the
insurer
or insurers providing the primary mortgage insurance coverage described
above. However, these financial strength ratings assigned to the
|
insurer
or insurers could be qualified, reduced or withdrawn at any time.
In
addition, you should consider that a credit rating does not assure
you
that the insurer or insurers will not default on their
obligations.
|
|
Any
qualification, reduction or withdrawal of the financial strength
ratings
assigned to the insurer or insurers could result in reduction of
the
ratings assigned to your securities, which could in turn affect the
liquidity and market value of your securities.
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|
See
“Credit Support—Insurance” and “Description of Mortgage and Other
Insurance—Mortgage Insurance on the Loans” in this prospectus and see the
descriptions of any primary mortgage insurance providers in the prospectus
supplement.
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|
Risks
Related to any Interest Rate
Swap Agreement
|
If
the related prospectus supplement specifies that the trust fund or
related
supplemental interest trust includes one or more interest rate swap
agreements, then any net swap payment payable to the swap counterparty
under the terms of those interest rate swap agreements will reduce
amounts
available for payment to securityholders, and may reduce payments
of
interest on the securities. If the rate of prepayments on the mortgage
loans is faster than anticipated, the scheduled notional amounts
on which
payments due under the interest rate swap agreements are calculated
may
exceed the total principal balance of the mortgage loans, thereby
increasing the relative proportion of interest collections on the
mortgage
loans that must be applied to make swap payments to the swap counterparty
and, under certain circumstances, requiring application of principal
received on the mortgage loans to make net swap payments to the swap
counterparty. Therefore, a rapid rate of prepayments during periods
in
which the trust fund makes net payments to a swap counterparty could
adversely affect the yields on the securities.
|
Effect
of Creditworthiness of Swap
Counterparty on Ratings
of Securities
|
If
the related prospectus supplement specifies that the trust fund includes
one or more interest rate swap agreements, in the event that the
trust
fund, after application of all interest and principal received on
the
related mortgage loans, cannot make the required swap payments to
the swap
counterparty, a swap termination payment as described in the related
prospectus supplement may be owed to the swap counterparty. Any
termination payment payable to the swap counterparty in the event
of early
termination of any interest rate swap agreement will likely reduce
amounts
available for payment to securityholders.
|
If
the related prospectus supplement specifies that the trust fund includes
one or more interest rate swap agreements, the ratings on your securities
will be dependent in part upon the credit ratings of the swap counterparty
or its credit support provider. If a credit rating of the swap
counterparty or its credit support provider is qualified, reduced
or
withdrawn, or if the swap counterparty or its credit support provider
defaults on its obligations, and a substitute counterparty or credit
support provider is not obtained in
|
accordance
with the terms of the interest rate swap agreement, the ratings of
your
securities may be qualified, reduced or withdrawn. In such event,
the
value and marketability of those securities will be adversely
affected.
|
|
See
the descriptions of any interest rate swap agreement and the swap
counterparty in the prospectus supplement.
|
|
Special
Risks for Certain Classes of Securities
|
The
related prospectus supplement may specify that certain classes of
securities are interest-only or principal-only securities. These
securities will have yields to maturity (or early termination)—the yield
you will receive if you hold a security until it has been paid in
full—that are highly sensitive to prepayments on the related mortgage
loans.
|
If
you purchase any of these classes of securities, you should consider
the
risk that you may receive a lower than expected yield under the following
circumstances:
|
|
·
in
the case of any interest-only securities, a faster than expected
rate of
prepayments on the mortgage loans in the trust fund; and
|
|
·
in
the case of any principal-only securities, a slower than expected
rate of
prepayments on the mortgage loans in the trust fund.
|
|
Prepayments
on the mortgage loans, including liquidations, purchases and insurance
payments, could result in the failure of investors in any interest-only
securities to fully recover their initial investments. Prepayments
on the
mortgage loans may occur as a result of solicitations of the borrowers
by
mortgage loan providers, including the seller and its affiliates
and any
master servicer or servicer.
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|
Exercise
by a party that has a right to purchase the mortgage loans, as described
in the related prospectus supplement, will adversely affect the yields
on
any interest-only securities.
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|
If
specified in the related prospectus supplement, the trust fund may
include
other publicly- or privately-offered securities, representing beneficial
ownership interests in separate trust funds. As described in the
prospectus supplement, these underlying securities may be senior
securities or subordinate securities, and may not have the benefit
of
credit enhancement.
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|
Losses
on the underlying securities will not be transferred to, allocated
to or
shared by any other underlying trust fund. Each allocation of a realized
loss to a class of underlying securities will reduce both the amount
of
interest that will accrue on that class and the amount of principal
that
will be distributable on that class. Therefore, the aggregate amount
of
payments on your securities, the yield to maturity of your securities
and
the rate of payments of
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principal
on your securities may be affected by the rate and the timing of
realized
losses on the assets of the trust funds represented by the underlying
securities. To the extent that the amount of realized losses experienced
on the assets of the trust funds represented by the underlying securities
reduces distributions in respect of the underlying securities, the
yield
on your securities may be lower than anticipated.
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|
Certain
parties may have the option to purchase the mortgage loans and other
property in the related underlying trust funds once the underlying
mortgage loans decline to a fixed percentage of the initial principal
balance. As specified in the prospectus supplement, some or all of
the
underlying securities (by principal balance) may be issued from underlying
trust funds that have paid down or are approaching the level necessary
to
exercise of these optional termination rights. In the event that
any such
party exercises its right to purchase the related mortgage loans,
the
related underlying securities will be retired. This retirement of
underlying securities will have the same effect as a prepayment of
all of
the related mortgage loans in the related underlying trust
fund.
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|
Military
Action and Terrorist Attacks
|
The
effects that military action by U.S. forces in Iraq, Afghanistan
or other
regions, terrorist attacks in the United States or other incidents
and
related military action may have on the performance of the mortgage
loans
in the trust fund or on the values of mortgaged properties cannot
be
determined at this time. Investors should consider the possible effects
on
delinquency, default and prepayment experience of the related mortgage
loans. Federal agencies and non-government lenders may defer, reduce
or
forgive payments and delay foreclosure proceedings in respect of
loans to
borrowers affected in some way by possible future events. In addition,
the
activation of additional U.S. military reservists or members of the
National Guard may significantly increase the proportion of mortgage
loans
whose mortgage rates are reduced by application of the Servicemembers
Civil Relief Act or similar state or local laws. The amount of interest
available for payment to securityholders will be reduced by any reductions
in the amount of interest collectible as a result of application
of the
Servicemembers Civil Relief Act or similar state or local laws and
no
servicer, master servicer nor any other party will be required to
fund any
interest shortfall caused by any such reduction.
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Unpredictability
and Effect of Prepayments
|
The
rate of prepayments on the mortgage loans will be sensitive to prevailing
interest rates. Generally, if prevailing interest rates decline,
mortgage
loan prepayments may increase due to the availability of refinancing
at
lower interest rates. If prevailing interest rates rise, prepayments
on
the mortgage loans may decrease.
|
Borrowers
may prepay their mortgage loans in whole or in part at any time;
however,
some or all of the mortgage loans to be included in the trust fund
may
require the payment of a
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prepayment
premium in connection with any voluntary prepayments in full, and
certain
voluntary prepayments in part, made during the periods specified
in the
related prospectus supplement. These prepayment premiums may discourage
borrowers from prepaying their mortgage loans during the applicable
period.
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|
Prepayments
on the mortgage loans may occur as a result of solicitations of the
borrowers by mortgage loan originators, including the seller and
its
affiliates, the servicer or servicers, as applicable, and any master
servicer. In addition, the availability of newer mortgage products
with
more flexible payment terms or that require lower monthly payments,
such
as “option ARMs,” may result in an increase in the number of borrowers who
prepay their mortgage loans to take advantage of new
products.
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|
The
timing of prepayments of principal may also be affected by liquidations
of
or insurance payments on the mortgage loans. In addition, Lehman
Brothers
Holdings Inc., as a seller of the mortgage loans to the depositor,
or the
party from which Lehman Brothers Holdings Inc. acquired a particular
mortgage loan, or such other seller as specified in the related prospectus
supplement, may be required to purchase mortgage loans from the trust
fund
in the event that certain breaches of representations and warranties
made
with respect to the mortgage loans are not cured. These purchases
will
have the same effect on securityholders as prepayments of mortgage
loans.
|
|
A
prepayment of a mortgage loan will usually result in a payment of
principal on the securities:
|
|
·
If
you purchase securities at a discount, especially any principal-only
securities, and principal prepayments on the related mortgage loans
are
received at a rate slower than you anticipate, then your yield may
be
lower than you anticipate.
·
If
you purchase securities at a premium, especially any interest-only
securities, and principal prepayments on the related mortgage loans
are
received at a rate faster than you anticipate, then your yield may
be
lower than you anticipate.
|
|
The
prepayment experience of the mortgage loans to be included in the
trust
fund may differ significantly from that of other first and second
lien
residential mortgage loans.
|
|
See
“Yield, Prepayment and Maturity Considerations” in this prospectus and
prospectus supplement for a description of factors that may influence
the
rate and timing of prepayments on the mortgage loans.
|
|
Delay
in Receipt of Liquidation Proceeds; Liquidation Proceeds May Be Less
than
Mortgage Balance
|
Substantial
delays could be encountered in connection with the liquidation of
delinquent mortgage loans. Further, reimbursement of advances made
by a
servicer and liquidation expenses such as
|
legal
fees, real estate taxes and maintenance and preservation expenses
may
reduce the portion of liquidation proceeds payable to securityholders.
If
a mortgaged property fails to provide adequate security for the related
mortgage loan, you could incur a loss on your investment if the applicable
credit enhancement is insufficient to cover the loss.
|
|
Originators
and Servicers May Be Subject to
Litigation, Governmental Proceedings or Adverse Economic
Conditions
|
The
mortgage lending and servicing business involves the collection of
numerous accounts and compliance with various federal, state and
local
laws that regulate consumer lending. Lenders and servicers may be
subject
from time to time to various types of claims, legal actions (including
class action lawsuits), investigations, subpoenas and inquiries in
the
course of their business. It is impossible to predict the outcome
of any
particular actions, investigations or inquiries or the resulting
legal and
financial liability. In addition, recent adverse economic conditions
in
the residential housing market have resulted in serious financial
difficulties for, and in some cases, bankruptcy of, numerous mortgage
originators and servicers, particularly those involved with subprime
loans.
|
If
any legal or governmental proceeding were determined adversely to
an
originator or servicer of mortgage loans included in a trust fund
and were
to have a material adverse effect on its financial condition, or
if the
servicer or originator experiences serious financial difficulties,
the
ability of the affected servicer to service the mortgage loans in
accordance with the applicable servicing agreement, or the ability
of the
affected originator to fulfill its obligation to repurchase or substitute
for defective mortgage loans, could be impaired.
|
|
In
particular, the yield on your securities may be adversely affected
if such
events impact an originator of mortgage loans in the related trust
fund.
An originator is generally required to repurchase or substitute for
mortgage loans for material breaches of representations and warranties
made by it with respect to the mortgage loans, or if described in
your
prospectus supplement, in the event of early payment defaults. The
inability to repurchase or substitute for such defective loans or
for
early payment defaults would likely cause the mortgage loans to experience
higher rates of delinquencies, defaults and losses.
|
|
Governmental
Action May Affect Foreclosures
|
In
addition to the limitations on foreclosure described in this prospectus,
legislative or regulatory initiatives by federal, state or local
legislative bodies or administrative agencies, if enacted or adopted,
could delay foreclosure, provide new defenses to foreclosure or otherwise
impair the ability of a servicer to foreclose on a defaulted loan.
Various
jurisdictions have considered or are currently considering such actions,
and we cannot predict the nature or extent of limitations on foreclosure
that may be enacted. Any such governmental actions that interfere
with the
foreclosure process could affect yields on
|
offered certificates, particularly subordinate certificates. | |
The
Servicers’ Collections Procedures May
Affect
the Timing of Collections on the
Mortgage
Loans
|
In
order to reduce borrower defaults, the servicer or servicers may
from time
to time use servicing and collections practices that have the effect
of
accelerating or deferring prepayments or borrower defaults of mortgage
loans. The servicers may generally waive, modify or vary any term
of any
mortgage loan, or postpone strict compliance by the borrower with
any term
of any mortgage loan, so long as the mortgage loan is in default
or
default is reasonably foreseeable. For example, qualifying borrowers
might
be permitted to skip a payment or be offered other benefits that
have the
effect of deferring or otherwise altering the timing of the trust
fund’s
receipt of interest or principal payments.
|
See
“Servicing of Loans” in this prospectus.
|
|
Risks
Relating to Defaults or Resignation of
the
Master Servicer or Servicer
|
If
the master servicer or servicer were to default in their obligations
under
the related master servicing or servicing agreement, the trustee
or the
seller may attempt to terminate the defaulting party. However,
certain
aspects of the servicing of mortgage loans are subject to various
interpretations of what actions are “accepted” or “market standard”
practices, and the parties’ determination of what servicing actions are in
the best interest for the securityholders may, at such times, be
in
disagreement between the trustee, the sponsor and the seller on
the one
hand, and the master servicer or servicer, as applicable, on the
other. As
a consequence, if the trustee or the seller attempts to terminate
a
defaulting master servicer or servicer, the master servicer or
servicer
may challenge that termination. While such a dispute is being resolved,
the performance of the servicing function of the master servicer
or
servicer may continue to suffer and may adversely affect the mortgage
loans.
|
If
the master servicer or servicer were to become a debtor in a bankruptcy
proceeding, it could seek to reject its obligations under the relevant
agreements under the bankruptcy laws, thus forcing the trustee
to appoint
a successor servicer or master servicer.
|
|
If
the master servicer or servicer resigns or is in default and the
cost of
servicing the mortgage loans has increased, the trustee may not
be able to
find a successor master servicer or servicer willing to service
the loans
for the master servicing fee or servicing fee specified in the
relevant
governing agreement. These circumstances might cause the trustee
to seek
authority from securityholders to increase the applicable fee to
an amount
necessary to provide acceptable compensation to the then current
master
servicer or servicer or any replacement master servicer or servicer.
If
that approval was not granted by securityholders, under the law
generally
applicable to trusts the trustee could seek approval for such an
increase
from a court if such increase were necessary for the preservation
or
continued administration of the trust. Any increase in the master
servicing fee or servicing fee
|
would reduce amounts available for distribution to securityholders, particularly holders of subordinate securities. | |
Delinquencies
Due to Servicing Transfers
|
Servicing
of mortgage loans may be transferred in the future to other servicers
in
accordance with the provisions of the trust agreement or sale and
collection agreement, as applicable, and the related servicing
agreement
as a result of, among other things, (1) the occurrence of unremedied
events of default in servicer performance under a servicing agreement
or
(2) the exercise by the seller of its right to terminate a servicer
without cause.
|
All
transfers of servicing involve some risk of disruption in collections
due
to data input errors, misapplied or misdirected payments, inadequate
borrower notification, system incompatibilities and other reasons.
As a
result, the affected mortgage loans may experience increased delinquencies
and defaults, at least for a period of time, until all of the borrowers
are informed of the transfer and the related servicing mortgage
files and
records and all the other relevant data has been obtained by the
new
servicer. There can be no assurance as to the extent or duration
of any
disruptions associated with the transfer of servicing or as to
the
resulting effects on the yields on the securities.
|
|
See
“Servicing of Loans” in this prospectus.
|
|
Risks
Relating to Optional or Mandatory
Purchases
of Securities
|
If
specified in the related prospectus supplement, one or more classes
of the
related series of securities may be purchased, in whole or in part,
at the
option of the depositor, the servicer or master servicer, or another
designated person or entity, at specified times and purchase prices,
and
under particular circumstances, or may be subject to mandatory
purchase or
redemption.
|
In
the event that any of those parties exercises its right to purchase
the
related securities, the purchase of the related securities will
have the
same effect as a prepayment of the related mortgage loans in the
trust
fund. If you purchase securities at a premium, especially any
interest-only securities, and the related securities are purchased
as
described above sooner than you anticipate, then your yield may
be lower
than you anticipate. Similarly, if you purchase securities at a
discount,
especially any principal-only securities, and the related securities
are
purchased as described above later than you anticipate (or not
purchased
at all), then your yield may be lower than you anticipate.
|
|
See
“Description of the Securities—Optional Purchase of Securities” and
“—Other Purchases” in this prospectus.
|
|
Risks
Relating to Securities Subject to a
Mandatory
Auction Procedure
|
If
specified in the related prospectus supplement, one or more classes
of the
related series of securities may be subject to a mandatory auction
procedure and may be transferred to third-party investors on a
certain
distribution date. If you purchase
|
securities subject to an auction procedure, your investment in that security will end on the related auction distribution date, except in certain circumstances described below. | |
If
the outstanding principal amount of any class of securities subject
to a
mandatory auction procedure, after application of principal distributions
and realized losses on the related auction distribution date, is
greater
than the amount received in the auction, a swap counterparty, pursuant
to
a market value swap agreement, will be obligated to pay the amount
of that
excess to the auction administrator for distribution to the holders
of the
securities subject to such auction procedure. If all or a portion
of a
class of auction securities is not sold in the auction, the auction
price
for these unsold securities will be deemed to be zero and the swap
counterparty will pay the auction administrator the entire outstanding
principal amount of the unsold securities, after application of
principal
distributions and realized losses on the related auction distribution
date. If the swap counterparty defaults on its obligations under
the swap
agreement, you may receive an amount less than the outstanding
principal
amount of your auction security, after application of principal
distributions and realized losses on the auction distribution date.
In
addition, if the swap counterparty defaults and if not all of a
class of
securities is purchased by third-party investors in the auction,
then your
auction security (or part of your auction security) will not be
transferred, in which case you will not receive any proceeds from
the
auction and you will retain your auction security (or part of your
auction
security).
|
|
See
“Derivatives” in this prospectus.
|
|
Rights
of a NIMS Insurer May Affect
Securities
|
If
specified in the related prospectus supplement, it may be anticipated
that
one or more insurance companies, referred to as the “NIMS Insurer,” may
issue a financial guaranty insurance policy covering certain payments
to
be made on any net interest margin securities to be issued by a
separate
trust or other special purpose entity and to be secured by all
or a
portion of the securities specified in the related prospectus supplement.
If such an insurance policy is issued, the trust agreement and
the
servicing agreements for this transaction will provide that, unless
there
exists a continuance of any failure by the NIMS Insurer to make
a required
payment under the policy insuring the net interest margin securities
or
there exists an insolvency proceeding by or against the NIMS Insurer,
the
NIMS Insurer, if any, will be entitled to exercise, among others,
the
following rights, without the consent of the holders of the securities,
and the holders of the securities may exercise these rights only
with the
prior written consent of the NIMS Insurer: (1) the right to provide
notices of servicer or master servicer defaults and the right to
direct
the trustee and the master servicer to terminate the rights and
obligations of the master servicer and the servicers, respectively,
under
the trust agreement and the servicing agreements in the event of
a default
by any master servicer or servicer, (2) the right to remove the
trustee or
any co-trustee pursuant to the trust agreement and (3) the right
to direct
the trustee to make
|
investigations and take actions pursuant to the trust agreement. In addition, unless the NIMS Insurer defaults or there exists an insolvency proceeding as described above, the NIMS Insurer’s consent will be required prior to, among other things, (1) the waiver of any default by any master servicer, any servicer or the trustee, (2) the appointment of any successor trustee or any co-trustee or (3) any amendment to the trust agreement or any servicing agreement. The NIMS Insurer will also have additional rights under the trust agreement and in each the servicing agreement. | |
Investors
in the related securities should note that any insurance policy
issued by
the NIMS Insurer will not cover, and will not benefit in any manner
whatsoever, those securities. Furthermore, the rights granted to
the NIMS
Insurer, if any, may be extensive and the interests of the NIMS
Insurer
may be inconsistent with, and adverse to, the interests of the
holders of
those securities. The NIMS Insurer has no obligation or duty to
consider
the interests of the holders of the securities in connection with
the
exercise or non-exercise of the NIMS Insurer’s rights.
|
|
The
NIMS Insurer’s exercise of the rights and consents set forth above may
negatively affect the securities and the existence of the NIMS
Insurer’s
rights, whether or not exercised, may adversely affect the liquidity
of
the securities, relative to other asset-backed securities backed
by
comparable mortgage loans and with comparable payment priorities
and
ratings.
|
|
Violation
of Various Federal, State and Local
Laws
May Result in Losses on the
Mortgage
Loans
|
Applicable
state laws generally regulate interest rates and other charges,
require
certain disclosure, and require licensing of brokers and lenders.
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 mortgage loans.
|
Mortgage
loans are also subject to various federal laws,
including:
|
|
·
the
federal Truth-in-Lending Act and Regulation Z promulgated thereunder,
which require certain disclosures to borrowers regarding the terms
of
their mortgage loans;
|
|
·
the
Equal Credit Opportunity Act and Regulation B promulgated thereunder,
which prohibit discrimination on the basis of age, race, color,
sex,
religion, marital status, national origin, receipt of public assistance
or
the exercise of any right under the Consumer Credit Protection
Act, in the
extension of credit; and
|
|
·
the
Fair Credit Reporting Act, which regulates the use and reporting
of
information related to the borrower’s credit
|
experience.
|
|
Violations
of certain provisions of these federal laws may limit the ability
of the
servicers to collect all or part of the principal of or interest
on the
related mortgage loans and in addition could subject the trust
fund to
damages and administrative enforcement.
|
|
The
related seller of the mortgage loans will represent in the mortgage
loan
sale agreement described in the related prospectus supplement that
each
mortgage loan was originated in compliance with applicable federal,
state
and local laws and regulations. In the event of a breach of this
representation, that seller will be obligated to cure the breach
or
repurchase or replace the affected mortgage loan in the manner
described
in the related prospectus supplement and under “The Agreements—Repurchase
and Substitution of Non-Conforming Loans” in this
prospectus.
|
|
Predatory
Lending Laws, High Cost Loans
|
Various
federal, state and local laws have been enacted that are designed
to
discourage predatory lending practices. The federal Home Ownership
and
Equity Protection Act of 1994, commonly known as HOEPA, prohibits
inclusion of certain provisions in mortgage loans that have mortgage
rates
or origination costs in excess of prescribed levels, and requires
that
borrowers be given certain disclosures prior to the origination
of
mortgage loans. Some states have enacted, or may enact, similar
laws or
regulations, which in some cases impose restrictions and requirements
greater than those in HOEPA.
|
In
addition, under the anti-predatory lending laws of some states,
the
origination of certain mortgage loans (including loans that are
not
classified as “high cost” loans under applicable law) must satisfy a net
tangible benefits test with respect to the related borrower. This
test may
be highly subjective and open to interpretation. As a result, a
court may
determine that a mortgage loan does not meet the test even if the
related
originator reasonably believed that the test was
satisfied.
|
|
Failure
to comply with these laws, to the extent applicable to any of the
mortgage
loans, could subject the trust fund, as an assignee of the related
mortgage loans, to monetary penalties and could result in the borrowers
rescinding the affected mortgage loans. Lawsuits have been brought
in
various states making claims against assignees of high cost loans
for
violations of state law. Named defendants in these cases have included
numerous participants within the secondary mortgage market, including
some
securitization trusts.
|
|
The
seller will represent that the trust fund does not include any
mortgage
loans that are subject to HOEPA or that would be classified as
“high cost”
loans under any similar state or local predatory or abusive lending
law.
There may be mortgage loans in the trust fund that are subject
to the
state or local requirement that the loan provide a net tangible
benefit
(however denominated) to the borrower; the seller will represent
that
these mortgage loans are in compliance with applicable requirements.
|
If it is determined that the trust fund includes loans subject to HOEPA or otherwise classified as high cost loans, or which do not comply with applicable net tangible benefit requirements, the seller will be required to repurchase the affected loans and to pay any liabilities incurred by the trust fund due to any violations of these laws. If the loans are found to have been originated in violation of predatory or abusive lending laws and the seller does not repurchase the affected loans and pay any related liabilities, securityholders could incur losses. | |
If
specified in the related prospectus supplement, the mortgage loans
to be
included in the trust fund may include home improvement loans.
Home
improvement loans are also subject to the regulations of the Federal
Trade
Commission and other similar federal and state statutes and holder
in due
course rules described herein, which protect the homeowner from
defective
craftsmanship or incomplete work by a contractor. These laws permit
the
obligor to withhold payment if the work does not meet the quality
and
durability standards agreed to by the homeowner and the contractor.
The
holder in due course rules have the effect of subjecting any assignee
of
the seller in a consumer credit transaction, such as the related
trust
fund with respect to the loans, to all claims and defenses which
the
obligor in the credit sale transaction could assert against the
seller of
the goods.
|
|
Losses
on loans from violation of these lending laws that are not otherwise
covered by the enhancement for a series will be borne by the holders
of
one or more classes of securities for the related
series.
|
|
Bankruptcy
or Insolvency Proceedings Could
|
Each
transfer of a mortgage loan to Lehman Brothers Holdings Inc. (or
to such
other seller specified in the related prospectus supplement), from
the
seller to the depositor and, in connection with the issuance of
any
asset-backed notes, from the depositor to the issuing entity, will
be
intended to be an absolute and unconditional sale of that mortgage
loan
and will be reflected as such in the applicable documents. However,
in the
event of the bankruptcy or insolvency of a prior owner of a mortgage
loan,
a trustee in bankruptcy or a receiver or creditor of the insolvent
party
could attempt to recharacterize the sale of that mortgage loan
by the
insolvent party as a borrowing secured by a pledge of the mortgage
loan.
Such an attempt, even if unsuccessful, could result in delays in
payments
on the securities. If such an attempt were successful, it is possible
that
the affected mortgage loans could be sold in order to liquidate
the assets
of the insolvent entity. In the case of the bankruptcy or insolvency
of
the applicable seller, there can be no assurance that the proceeds
of such
a liquidation would be sufficient to repay the securities in
full.
|
The
underwriter will not be required to assist in resales of the securities,
although it may do so. A secondary market for any
|
class of securities may not develop. If a secondary market does develop, it might not continue or it might not be sufficiently liquid to allow you to resell any of your securities. | |
The
assets of the trust fund are the sole source of payments on the
related
securities. The securities are not the obligations of any other
entity.
None of the sponsor, the seller, the depositor, any underwriter,
the
trustee, any administrator, any master servicer, any servicer or
any of
their affiliates will have any obligation to replace or supplement
the
credit enhancement, or take any other action to maintain the applicable
ratings of the securities. If credit enhancement is not available,
holders
of securities may suffer losses on their investments.
|
|
Ratings
on the Securities Are
Dependent
on Assessments by the
|
The
ratings on the securities depend primarily on an assessment by
the rating
agencies of the mortgage loans and other assets of the trust fund,
any
credit enhancement and the ability of the servicers and the master
servicer to service the loans. The ratings of the securities by
the rating
agencies:
|
·
only
address the likelihood of receipt by holders of securities of
distributions in the amount of scheduled payments on the mortgage
loans;
·
do
not take into consideration any of the tax aspects associated with
the
securities;
·
do
not address the possibility that, as a result of principal prepayments,
the yield on your securities may be lower than anticipated;
·
do
not address the payment of any basis risk shortfalls with respect
to the
securities; and
·
do
not comment as to the market price or suitability of the securities
for a
particular investor.
|
|
Ratings
are not recommendations to buy, sell or hold the securities. A
rating may
be changed or withdrawn at any time by the assigning rating
agency.
|
|
The
securities may not be a suitable investment if you require a regular
or
predictable schedule of payment, or payment on any specific date.
Because
the mortgage loans in the trust fund may include a substantial
proportion
of loans as to which the borrowers have blemished credit histories
(including prior bankruptcy proceedings) or loans whose future
performance
is difficult to predict, such as adjustable payment mortgage loans,
interest-only loans, and for the other factors relating to the
mortgage
loans discussed above, the yields and the aggregate amount and
timing of
distributions on your securities may be
|
subject to substantial variability from period to period and over the lives of the securities. An investment in these types of securities involves significant risks and uncertainties and should only be considered by sophisticated investors who, either alone or with their financial, tax and legal advisors, have carefully analyzed the mortgage loans and the securities and understand the risks. In addition, investors should not purchase classes of securities that are susceptible to special risks, such as subordinate securities, interest-only securities and principal-only securities, unless the investors have the financial ability to absorb a substantial loss on their investment. |
·
|
be
entitled to principal payments from the accreted interest from specified
classes of Accrual Securities (“Accretion Directed Securities”). An
Accretion Directed Security also may receive principal payments from
principal paid on the underlying assets of the trust fund for the
related
series;
|
·
|
provide
for interest otherwise payable on certain securities to be paid as
principal on one or more classes of Accretion Directed Securities,
and the
amount of interest accrued on those accrual securities is instead
added to
the principal balance of these accrual security (“Accrual
Securities”);
|
·
|
be
entitled to a greater percentage of interest on the Loans underlying
or
comprising the Primary Assets for the series than the percentage
of
principal on the Loans to which the Securities are entitled (“Interest
Weighted Securities”);
|
·
|
be
entitled to a greater percentage of principal on the Loans underlying
or
comprising the Primary Assets for the series than the percentage
of
interest on the Loans to which the Securities are entitled (“Principal
Weighted Securities”);
|
·
|
have
components to a class of Securities where each component may have
different principal and/or interest payment characteristics but together
constitute a single class “Component Securities”). Each component of a
class of Component Securities may be identified as falling into one
or
more of the categories in this description of
Securities;
|
·
|
be
entitled to principal (or has a notional principal balance that is
designed to decline) using a predetermined principal balance schedule
(a
“Planned Balance”) specified in the prospectus supplement, derived by
assuming two constant prepayment rates for the Loans backing the
related
Securities (“Planned Amortization Certificates” or
“PACs”);
|
·
|
be
entitled to principal (or has a notional principal balance that is
designed to decline) using a predetermined principal balance schedule
(a
“Targeted Balance”) specified in the prospectus supplement, derived by
assuming a single constant prepayment rate for the Loans backing
the
related Securities (“Targeted Amortization Certificates” or
“TACs”);
|
·
|
be
entitled to principal (or has a notional principal balance that is
designed to decline) using a predetermined principal balance schedule
(a
“Scheduled Balance”) specified in the prospectus supplement, but is not
designated or structured as a PAC or a TAC (“Scheduled
Securities”);
|
·
|
be
subordinate to one or more other classes of Securities in respect
of
receiving distributions of principal and interest, to the extent
and under
the circumstances specified in the prospectus supplement (“Subordinate
Securities”); and/or
|
·
|
have
other entitlements or characteristics described in this prospectus,
or a
combination of certain of the entitlements and characteristics described
above and elsewhere in this
prospectus.
|
·
|
“Asset
Principal Balance” means, for any Loan at the time of determination, its
outstanding principal balance as of the Cut-off Date, reduced by
all
amounts distributed to securityholders (or used to fund the Subordination
Reserve Fund, if any) and reported as allocable to principal payments
on
the Loan.
|
·
|
“Aggregate
Asset Principal Balance” means, at the time of determination, the
aggregate of the Asset Principal Balances of all the Loans in a
trust
fund.
|
·
|
the
aggregate principal balance of the exchangeable securities received
in the
exchange, immediately after the exchange, must equal the aggregate
principal balance, immediately prior to the exchange, of the exchanged
securities (for purposes of this condition, an interest-only class
will
have a principal balance of zero);
|
·
|
the
aggregate amount of interest payable on each Distribution Date with
respect to the exchangeable securities received in the exchange must
equal
the aggregate amount of interest payable on that Distribution Date
with
respect to the exchanged securities;
and
|
·
|
the
class or classes of exchangeable securities must be exchanged in
the
applicable proportions, if any, described in the related prospectus
supplement.
|
·
|
A
class of exchangeable securities with an interest rate that varies
directly with changes in an index and a class of exchangeable securities
with an interest rate that varies indirectly with changes in an index
may
be exchangeable for a class of exchangeable securities with a fixed
interest rate. In this case, the classes with interest rates that
vary
with an index would produce, in the aggregate, an annual interest
amount
equal to that generated by the class with a fixed interest rate.
In
addition, the aggregate principal balance of the two classes with
interest
rates that vary with an index would equal the principal balance of
the
class with the fixed interest rate.
|
·
|
An
interest-only class and a principal only class of exchangeable securities
may be exchangeable, together, for a class that is entitled to both
principal and interest payments. The principal balance of the principal
and interest class would be equal to the principal balance of the
exchangeable principal only class, and the interest rate on the principal
and interest class would be a fixed rate that, when applied to the
principal balance of this class, would generate an annual interest
amount
equal to the annual interest amount of the exchangeable interest-only
class.
|
·
|
Two
classes of principal and interest classes with different fixed interest
rates may be exchangeable, together, for a class that is entitled
to both
principal and interest payments, with a principal balance equal to
the
aggregate principal balance of the two exchanged classes, and a fixed
interest rate that, when applied to the principal balance of the
exchanged
for classes, would generate an annual interest amount equal to the
aggregate amount of annual interest of the two exchanged
classes.
|
·
|
A
class of exchangeable securities that accretes all of its interest
for a
specified period, with the accreted amount added to the principal
balance
of the accreting class, and a class of exchangeable securities that
receives principal payments from these accretions may be exchangeable,
together, for a single class of exchangeable securities that receives
payments of interest continuously from the first distribution date
on
which it receives interest until it is
retired.
|
·
|
A
class of exchangeable securities that is a Scheduled Security, Planned
Amortization Certificate or Targeted Amortization Certificate, and
a class
of exchangeable securities that only receives principal payments
on a
distribution date if scheduled payments have been made on the Scheduled
Security, Planned Amortization Certificate or Targeted Amortization
Certificate, as applicable, may be exchangeable, together, for a
class of
exchangeable securities that receives principal payments without
regard to
the schedule from the first distribution date on which it receives
principal until it is retired.
|
·
|
amounts
due and payable with respect to the Primary Assets as of the cut-off
date
designated in the prospectus supplement (the “Cut-off
Date”);
|
·
|
amounts
held from time to time in the Collection Account, the Securities
Administration Account and the Distribution Account established for
a
series of Securities;
|
·
|
Mortgaged
Properties that secured a Mortgage Loan and that are acquired on
behalf of
the securityholders by foreclosure, deed in lieu of foreclosure or
repossession;
|
·
|
any
Reserve Fund established pursuant to the Agreement for a series of
Securities, if specified in the prospectus
supplement;
|
·
|
any
Servicing Agreements relating to Mortgage Loans in the trust fund,
to the
extent that these agreements are assigned to the
trustee;
|
·
|
any
primary mortgage insurance policies, FHA insurance, or VA guarantee
relating to Mortgage Loans in the trust
fund;
|
·
|
any
pool insurance policy, special hazard insurance policy, bankruptcy
bond or
other credit support relating to the
series;
|
·
|
any
interest rate swap agreement, interest rate cap agreement, currency
swap
or currency option, market value swap or similar derivative
instrument;
|
·
|
investments
held in any fund or account or any guaranteed investment contract
and
income from the reinvestment of these funds, if specified in the
prospectus supplement; and
|
·
|
any
other asset, instrument or agreement relating to the trust fund and
specified in the prospectus
supplement.
|
·
|
mortgage
pass-through certificates representing a fractional, undivided interest
in
Loans or collateralized mortgage obligations secured by Loans (“Private
Mortgage-Backed Securities”);
|
Ø
|
Mortgage
Loans whose interest rate adjusts on the basis of a variable Index
plus a
margin, with the initial adjustment typically occurring less than
a year
after origination of the related mortgage loan and adjustments occurring
periodically thereafter;
|
Ø
|
“hybrid”
Mortgage Loans, whose interest rate is fixed for the initial period
specified in the related mortgage note (typically for a period of
a year
or more after origination), and thereafter adjusts periodically based
on
the related Index;
|
Ø
|
“interest-only”
Mortgage Loans, which provide for payment of interest at the related
mortgage interest rate, but no payment of principal, for the period
specified in the related mortgage note; thereafter, the monthly payment
is
increased to an amount sufficient to amortize the principal balance
of the
Mortgage Loan over the remaining term and to pay interest at the
applicable interest rate borne by such Mortgage Loan (“Mortgage
Rates”);
|
Ø
|
“negative
amortization” Mortgage Loans, which may have a low introductory interest
rate, and thereafter have a mortgage interest rate which adjusts
periodically based on the related Index; however, the borrower is
only
required to make a minimum monthly payment which may not be sufficient
to
pay the monthly interest accrued, resulting in an increase to the
principal balance of the Mortgage Loan by the amount of unpaid interest;
and
|
Ø
|
“option
ARMs,” which combine several of the features described above and permit
the borrower to elect whether to make a monthly payment sufficient
to pay
accrued interest and amortize the principal balance, make an interest-only
payment or make a minimum payment that may be insufficient to pay
accrued
interest (with the unpaid interest added to the principal balance
of the
Mortgage Loan);
|
·
|
“balloon”
Mortgage Loans, which provide for (1) equal monthly scheduled payments
of
principal and interest (a “Scheduled Payment”) that will not reduce the
scheduled principal balance of the Mortgage Loan to zero at its maturity
date and (2) a larger monthly payment due at its maturity date equal
to
the unpaid scheduled principal balance of that Mortgage
Loan;
|
·
|
“GPM
Loans,” which provide for fixed level payments or graduated payments, with
an amortization schedule (1) requiring the mortgagor’s monthly
installments of principal and interest to increase at a predetermined
rate
annually for a predetermined period after which the monthly installments
become fixed for the remainder of the mortgage term, (2) providing
for
deferred payment of a portion of the interest due monthly during
that
period of time; or (3) providing for recoupment of the interest deferred
through negative amortization, whereby the difference between the
scheduled payment of interest on the mortgage note and the amount
of
interest actually accrued is added monthly to the outstanding principal
balance of the mortgage note;
|
·
|
“GEM
Loans,” which are fixed rate, fully amortizing mortgage loans providing
for monthly payments based on a 10- to 30-year amortization schedule,
with
further provisions for scheduled annual payment increases for a number
of
years with the full amount of those increases being applied to principal,
and with further provision for level payments
thereafter;
|
·
|
“Bi-Weekly
Loans,” which are fixed-rate, conventional, fully-amortizing Mortgage
Loans secured by first mortgages on one- to four-family residential
properties that provide for payments of principal and interest by
the
borrower once every two weeks;
|
·
|
Mortgage
Loans with other payment characteristics as described in this prospectus
and the prospectus supplement.
|
·
|
“Cooperative
Loans,” which are evidenced by promissory notes secured by a lien on the
shares issued by private, non-profit, cooperative housing corporations
(“Cooperatives”) and on the related proprietary leases or occupancy
agreements granting exclusive rights to occupy individual housing
units in
a building owned by a Cooperative (“Cooperative
Dwellings”);
|
·
|
“Condominium
Loans,” which are secured by a mortgage on an individual housing unit (a
“Condominium Unit”) in which the owner of the real property (the
“Condominium”) is entitled to the exclusive ownership and possession of
his or her individual Condominium Unit and also owns a proportionate
undivided interest in all parts of the Condominium Building (other
than
the individual Condominium Units) and all areas or facilities, if
any, for
the common use of the Condominium Units, together with the Condominium
Unit’s appurtenant interest in the common elements. Condominium Units
may
also include “Condotels,” which are Condominium Units that are typically
located in a resort or “destination” area that are individually owned,
with amenities designed primarily for short-term use. Generally,
the
related borrower or an independent rental management company engaged
by
the borrower coordinates the rental of the related Condotel for the
periods that the borrower is not
resident;
|
·
|
Mixed
Use or Multifamily Mortgage Loans; or
|
·
|
“Home Equity Loans,” which are closed-end and/or revolving home equity loans or balances thereof secured by mortgages primarily on single family properties that may be subordinated to other mortgages on the same Mortgaged Property. |
·
|
each
first lien Mortgage Loan must have an original term to maturity of
not
less than 10 years and not more than 40 years, and each second lien
Mortgage Loan must have an original term to maturity of not less
than five
years and not more than 30 years;
|
·
|
no
Mortgage Loan may be included that, as of the Cut-off Date, is more
than
59 days delinquent as to payment of principal or interest;
and
|
·
|
no
Mortgage Loan (other than a Cooperative Loan) may be included unless
a
title insurance policy or, in lieu thereof, an attorney’s opinion of
title, and a standard hazard insurance policy (which may be a blanket
policy) is in effect with respect to the Mortgaged Property securing
the
Mortgage Loan.
|
·
|
no
Mortgage Loan may be delinquent for more than 59 days within the
12-month
period ending with the Cut-off
Date;
|
·
|
no
more than two payments may be 59 days or more delinquent during a
three-year period ending on the Cut-off
Date;
|
·
|
Mortgage
Loans with respect to any single borrower may not exceed 5% of the
aggregate principal balance of the Loans comprising the Primary Assets
as
of the Cut-off Date; and
|
·
|
the
debt service coverage ratio for each Mortgage Loan (calculated as
described in the prospectus supplement) will not be less than
1.1:1.
|
·
|
U.S.
Dollar LIBOR (“LIBOR”), which is the average of the London Interbank Offer
Rate, a rate at which banks in London, England lend U.S. dollars
to other
banks in the U.S. dollar wholesale or interbank money markets for
a
specified duration.
|
·
|
EURIBOR
(“EURIBOR”), which is the average of the Euro Interbank Offer Rate, a rate
at which banks offer to lend Euros to other banks in the Euro wholesale
or
interbank money markets for a specified
duration.
|
·
|
GBP
LIBOR (“GBP LIBOR”), which is the average of the British Pounds Sterling
London Interbank Offer Rate, a rate at which banks in London, England
lend
British Pounds Sterling to other banks in the British Pounds Sterling
wholesale or interbank money markets for a specified
duration.
|
·
|
London
Interbank Offer Swap Rate (“LIBORSWAP”), a rate which is the difference
between the negotiated and fixed
rate
of
a swap, with the spread determined by characteristics of market supply
and
creditor worthiness.
|
·
|
SIBOR
(“SIBOR”), which is the average of the Singapore Interbank Offer Rate, a
rate at which banks in Asia lend U.S. dollars to other banks in the
Singapore wholesale or interbank money markets for a specified
duration.
|
·
|
Constant
Maturity Treasury (“CMT”) Indices, which is an
average yield on United States Treasury securities adjusted to a
specified
constant maturity, as by the Federal Reserve
Board.
|
·
|
Treasury
Bill (“T-Bill”) Indices, which is a rate based on the results of auctions
that the U.S. Department of Treasury holds for its Treasury bills,
notes
or bonds or is derived from its daily yield
curve.
|
·
|
Federal
Funds Rate (“Fed Funds Rate”), which is the interest
rate that banks charge each other on overnight loans made between
them, as
determined by the Federal Reserve
Bank.
|
·
|
Prime
Rate (“Prime Rate”) Index, which is an index based on the interest rate
that banks charge to their most credit-worthy customers for short-term
loans. The Prime Rate may differ among financial
institutions.
|
·
|
Monthly
Treasury Average (“MTA”), which is a per annum rate equal to the 12-month
average yields on United States Treasury securities adjusted to a
constant
maturity of one year, as published by the Federal Reserve
Board.
|
·
|
Cost
of Funds Index (“COFI”), which is a weighted average cost of funds for
savings institutions that are member institutions of various federal
banking districts, most commonly by 11th
District members of the Federal Home Loan Bank of San
Francisco.
|
·
|
National
Monthly Median Cost of Funds Index (“National Monthly Median COFI”), which
is the median COFI of all federal banking districts, or the midpoint
value, of institutions’ COFI
ratios.
|
·
|
Cost
of Savings Index (“COSI”), which is a weighted average of the rates of
interest on the deposit accounts of the federally insured depository
institution subsidiaries of Golden West Financial Corporation, which
operates under the name World
Savings.
|
·
|
Certificate
of Deposit Indices (“CODI”), which are indices based on the averages of
the nationally published secondary market interest rates on nationally
traded certificates of deposit, as published by the Federal Reserve
Board.
The certificates of deposit are issued by banks and other financial
institutions and pay a fixed rate of interest for specified
maturities.
|
·
|
National
Average Contract Mortgage Rate (“National
Average Contract Mortgage Rate”),
which is an index based on a weighted average rate of initial mortgage
interest rates paid by home buyers for conventional fixed and adjustable
rate single-family homes reported by a sample of mortgage lenders
for
loans closed for the last five working days of the month. The weightings
are determined by the type, size and location of the lender and is
reported monthly by the Federal Housing Finance
Board.
|
·
|
Federal
Home Loan Bank Index (“FHLB Index”), which is which is the average
interest rate that member banks pay when they borrow money from a
Federal
Home Loan Bank.
|
·
|
the
tenant population — i.e.,
predominantly students or elderly persons, or workers in a particular
industry;
|
·
|
mortgage
pass-through certificates, evidencing an undivided interest in a
pool of
Loans or Agency Certificates; or
|
·
|
the
prospectus supplement for the offering of the related series of
Securities
will describe the plan of distribution for both the Private
Mortgage-Backed Securities and the Securities related to that trust
fund;
|
·
|
the
prospectus relating to the offering of the Private Mortgage-Backed
Securities will be delivered simultaneously with the delivery of
the
prospectus supplement relating to the offering of the related series
of
Securities, and the prospectus supplement for the related series
of
Securities will include disclosure that the prospectus for the
offering of
the Private Mortgage-Backed Securities will be delivered along
with, or is
combined with, the prospectus for the offering of the related series
of
Securities;
|
·
|
the
prospectus supplement for the offering of the related series of
Securities
will identify the issuing entity, depositor, sponsor and each underwriter
for the offering of the that series of Securities as an underwriter
for
the offering of the Private Mortgage-Backed
Securities;
|
·
|
neither
the prospectus relating to the offering of the Private Mortgage-Backed
Securities nor the prospectus supplement for the offering of the
related
series of Securities will disclaim or limit responsibility by the
issuing
entity, sponsor, depositor, trustee or any underwriter for information
regarding the Private Mortgage-Backed Securities; and
|
·
|
if
the offering of the Securities and the Private Mortgage-Backed
Securities
is not made on a firm commitment basis, the issuing entity or the
underwriters for the offering of the Securities will distribute
a
preliminary prospectus for both the offering of the Private
Mortgage-Backed Securities and the offering of the related series
of
Securities, that identifies the issuer of the Private Mortgage-Backed
Securities and the expected amount of the issuer’s Private Mortgage-Backed
Securities that is to be included in the trust fund to any person
who is
expected to receive a confirmation of sale of the related Securities
at
least 48 hours prior to sending such
confirmation.
|
·
|
each
Mortgage Loan secured by a Single Family Property and having a Loan-
to-Value Ratio in excess of 80% at origination may be covered by
a primary
mortgage insurance policy;
|
·
|
each
Loan will have had an original term to stated maturity of not less
than 10
years and not more than 40 years;
|
·
|
no
Loan that was more than 89 days delinquent as to the payment of principal
or interest will have been eligible for inclusion in the assets under
the
related PMBS Agreement;
|
·
|
each
Loan (other than a Cooperative Loan) will be required to be covered
by a
standard hazard insurance policy (which may be a blanket policy);
and
|
·
|
each
Loan (other than a Cooperative Loan or a Loan secured by a Manufactured
Home) will be covered by a title insurance
policy.
|
·
|
the
aggregate approximate principal amount and type of the Agency Certificates
and Private Mortgage-Backed Securities to be included in the trust
fund;
|
·
|
certain
characteristics of the Agency Certificates or Loans that comprise
the
underlying assets for the Private Mortgage-Backed Securities including,
(1) the payment features of Loans (i.e.,
whether they are fixed rate or adjustable rate and whether they provide
for fixed level payments or other payment features), (2) the approximate
aggregate principal balance, if known, of underlying Loans insured
or
guaranteed by a governmental entity, (3) the servicing fee or range
of
servicing fees with respect to the Loans, and (4) the minimum and
maximum
stated maturities of the underlying Loans at
origination;
|
·
|
the
PMBS Issuer, the PMBS Servicer and the PMBS Trustee for the Private
Mortgage-Backed Securities;
|
·
|
certain
characteristics of credit support, if any, such as Reserve Funds,
Insurance Policies, letters of credit or guarantees relating to the
Loans
underlying the Private Mortgage-Backed Securities or to the Private
Mortgage-Backed Securities
themselves;
|
·
|
the
terms on which the underlying Loans for the Private Mortgage-Backed
Securities may, or are required to, be purchased prior to their stated
maturity or the stated maturity of the Private Mortgage-Backed Securities;
and
|
·
|
the
terms on which Loans may be substituted for those originally underlying
the Private Mortgage-Backed
Securities.
|
·
|
fixed-rate
level payment mortgage loans that are not insured or guaranteed by
any
governmental agency (“Conventional
Loans”);
|
·
|
mortgage
loans secured by one-to-four family attached or detached residential
housing, including Cooperative Dwellings (“Single Family Property”) or by
multifamily residential rental property or cooperatively owned multifamily
property consisting of five or more dwelling units (“Multifamily
Properties”).
|
·
|
upon
the discovery of the breach of any representation or warranty made
by the
depositor in respect of a Loan that materially and adversely affects
the
value of that Loan, to repurchase the Loan from the trustee, or deliver
a
Qualified Substitute Mortgage Loan as described under “The Agreements —
Assignment of Primary Assets;”
|
·
|
to
make all initial filings establishing or creating a security interest
over
the Primary Assets and make all filings necessary to maintain the
effectiveness of any original filings necessary under the relevant
UCC (as
defined herein) to perfect the trustee’s security interest in or lien on
the Primary Assets;
|
·
|
to
arrange for replacement interest rate cap contracts, interest rate
swap
agreements, currency swaps, currency options and yield supplement
agreements in the event the applicable derivative instrument is terminated
early;
|
·
|
to
appoint a successor trustee or securities administrator, as applicable,
in
the event either the trustee or the securities administrator resigns,
is
removed or become ineligible to continue serving in such capacity
under
the related Agreement;
|
·
|
to
notify the Rating Agencies and any other relevant parties of the
occurrence of any event of default or other event specified in the
related
Agreements; and
|
·
|
to
provide the trustee, the securities administrator and the master
servicer
with any information it may reasonably require to comply with the
terms of
the Agreements.
|
Type
of Loan
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
||||||||
Alt-A
|
246,903
|
$
|
72,992
|
324,838
|
$
|
101,548
|
||||||
Subprime
|
418,984
|
$
|
58,092
|
479,174
|
$
|
66,158
|
||||||
Government
Insured or Guaranteed(1)
|
171,602
|
$
|
13,198
|
143,326
|
$
|
10,889
|
||||||
Home
Equity Lines of Credit
|
1,967
|
$
|
76
|
1,268
|
$
|
41
|
||||||
Total
Portfolio
|
839,456
|
$
|
144,358
|
948,606
|
$
|
178,637
|
Type
of Loan
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
||||||||
Alt-A
|
381,514
|
$
|
122,531
|
402,434
|
$
|
132,756
|
||||||
Subprime
|
416,485
|
$
|
60,470
|
374,149
|
$
|
56,636
|
||||||
Government
Insured or Guaranteed(1)
|
122,990
|
$
|
9,236
|
116,493
|
$
|
8,686
|
||||||
Home
Equity Lines of Credit
|
1,906
|
$
|
62
|
1,646
|
$
|
54
|
||||||
Total
Portfolio
|
922,895
|
$
|
192,298
|
894,722
|
$
|
198,132
|
(1) |
‘Government
insured or guaranteed’ means mortgage loans that were originated under the
guidelines of the Federal Housing Administration, the Department
of
Veterans’ Affairs or the Rural Housing and Community Development
Service.
|
Type
of Loan
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
|||||||||
Conventional
|
61,309
|
$
|
8,881
|
85,750
|
$
|
15,356
|
|||||||
Conventional
Alt-A
|
261,125
|
$
|
62,067
|
306,113
|
$
|
73,588
|
|||||||
Conventional
Alt-B(5)
|
-
|
-
|
-
|
-
|
|||||||||
Subprime
|
7,443
|
$
|
1,267
|
10,749
|
$
|
1,943
|
|||||||
Government
Insured or Guaranteed(1)
|
9,131
|
$
|
654
|
7,081
|
$
|
497
|
|||||||
Home
Express(2)
|
16,582
|
$
|
1,714
|
10,896
|
$
|
1,070
|
|||||||
SBA
Disaster Loans(3)
|
36,737
|
$
|
629
|
30,812
|
$
|
521
|
|||||||
Scratch
& Dent(4)
(5)
|
-
|
-
|
-
|
-
|
|||||||||
Home
Equity Lines of Credit
|
157
|
$
|
8
|
172
|
$
|
8
|
|||||||
Total
Portfolio
|
392,484
|
$
|
75,220
|
451,573
|
$
|
92,983
|
At
December 31, 2007(5)
|
|||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
Number
of Loans
|
Principal
Balance
(in
millions)
|
|||||||||
Conventional
|
61,237
|
$
|
14,133
|
56,037
|
$
|
13,693
|
|||||||
Conventional
Alt-A
|
266,661
|
$
|
68,815
|
302,182
|
$
|
83,954
|
|||||||
Conventional
Alt-B(5)
|
150,619
|
$
|
27,791
|
134,973
|
$
|
24,762
|
|||||||
Subprime
|
12,724
|
$
|
2,050
|
10,144
|
$
|
1,660
|
|||||||
Government
Insured or Guaranteed(1)
|
336
|
$
|
22
|
258(6
|
)
|
$
|
19(6
|
)
|
|||||
Home
Express(2)
|
-
|
$
|
0
|
-
|
$
|
0
|
|||||||
SBA
Disaster Loans(3)
|
26,208
|
$
|
435
|
24,342
|
$
|
401
|
|||||||
Scratch
& Dent(4)(5)
|
4,646
|
$
|
792
|
11,037
|
$
|
2,265
|
|||||||
Home
Equity Lines of Credit
|
129
|
$
|
7
|
122
|
$
|
6
|
|||||||
Total
Portfolio
|
522,560
|
$
|
114,045
|
539,095
|
$
|
126,760
|
(1) |
‘Government
insured or guaranteed’ means mortgage loans that were originated under the
guidelines of the Federal Housing Administration, the Department
of
Veterans Affairs or the Rural Housing and Community Development
Service.
|
(2) |
‘Home
Express’ means mortgage loans that were originated by Aurora pursuant to
underwriting guidelines that had less restrictive standards for
mortgage
loan applicants than for applicants of conventional mortgage loans.
These
guidelines included reduced documentation requirements (including
the
allowance of stated incomes), a streamlined documentation analysis
(such
as relying solely on credit score of the applicant for credit eligibility)
and elevated loan-to-value ratios. These mortgage loans had primary
mortgage insurance and pool insurance policy coverage, which insured
the
loans to a 50% loan-to-value ratio. As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. All mortgage loans that were
classified prior to January 2007 as “Home Express” mortgage loans are from
and after January 2007 classified as “Conventional Alt-B Mortgage Loans”
or “Scratch & Dent Mortgage
Loans”.
|
(3) |
‘SBA
Disaster Loans’ means those mortgage loans that were originated through
the U.S. Small Business Administration but do not maintain any
Small
Business Administration guaranty. Certain SBA Disaster Loans are
loans
that are not secured by real estate and others that are not secured
by any
other real or personal property.
|
(4) |
‘Scratch
and Dent’ means mortgage loans that contain any one or more defects
resulting from (i) mortgage loans that were not underwritten in
accordance
with the originator's implemented credit guidelines, (ii) deficiencies
in
the mortgage loan’s documentation, (iii) failures by the originator to
adhere to applicable laws and regulations, (iv) irregular payment
history
or (v) borrower defaults.
|
(5) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Mortgage loans within these two
categories were classified, prior to January 2007, within Aurora’s
then-existing mortgage loan categories. Therefore, the number of
mortgage
loans and principal balance of mortgage loans categorized within
a
particular category that existed prior to January 2007 may include
mortgage loans that, from and after January 2007, are now classified
as
“Conventional Alt-B Mortgage Loans” or “Scratch & Dent Mortgage
Loans”.
|
(6) |
At
June 30, 2008 Aurora was the named servicer of an additional
5,846 government
insured or guaranteed mortgage loans, representing an unpaid principal
balance of approximately $434
million,
the servicing responsibilities with respect to which are performed
by a
third-party subservicer engaged by
Aurora.
|
At
December 31, 2005
|
At
December 31, 2006
|
At
December 31, 2007(1)
|
At
June 30,
|
||||||||||
Portfolio
|
Advance
Balance
|
Advance
Balance
|
Advance
Balance
|
Advance
Balance
|
|||||||||
Conventional
|
$
|
17,706,788
|
$
|
31,095,883
|
$
|
30,592,034
|
$
|
64,703,571
|
|||||
Conventional
Alt-A
|
$
|
24,810,189
|
$
|
73,088,541
|
$
|
89,069,819
|
$
|
224,115,504
|
|||||
Conventional
Alt-B(1)
(2)
|
-
|
-
|
$
|
145,403,816
|
$
|
223,699,721
|
|||||||
Express(2)
|
$
|
2,222,664
|
$
|
1,524,941
|
-
|
-
|
|||||||
Government
|
$
|
28,014,484
|
$
|
17,823,996
|
$
|
5,621,995
|
$
|
3,177,807
|
|||||
HELOC
|
$
|
4,639
|
$
|
3,969
|
$
|
210
|
$
|
779
|
|||||
SBA
|
$
|
5,250,499
|
$
|
4,992,823
|
$
|
1,127,875
|
$
|
992,527
|
|||||
Subprime
|
$
|
3,795,379
|
$
|
7,544,466
|
$
|
18,969,688
|
$
|
40,945,227
|
|||||
Scratch
& Dent(1)
(2)
|
-
|
-
|
$
|
11,945,372
|
$
|
41,884,635
|
|||||||
Total
|
$
|
81,804,642
|
$
|
136,074,618
|
$
|
302,730,809
|
$
|
599,519,771
|
(1)
|
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Mortgage loans within these two
categories were classified, prior to January 2007, within Aurora’s
then-existing mortgage loan categories. Therefore, the outstanding
advances with respect to mortgage loans categorized within a particular
category that existed prior to January 2007 may include mortgage
loans
that, from and after January 2007, are now classified as “Conventional
Alt-B Mortgage Loans” or “Scratch & Dent Mortgage
Loans”.
|
(2)
|
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. All mortgage loans that were
classified prior to January 2007 as “Home Express” mortgage loans are from
and after January 2007 classified as “Conventional Alt-B Mortgage Loans”
or “Scratch & Dent Mortgage
Loans”.
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
61,309
|
$
|
8,880.54
|
85,736
|
$
|
15,353.12
|
|||||||||||||
Period
of delinquency
(2)
|
|||||||||||||||||||
30
to 59 days
|
1,462
|
$
|
204.53
|
2.30
|
%
|
3,508
|
$
|
628.01
|
4.09
|
%
|
|||||||||
60
to 89 days
|
466
|
$
|
67.84
|
0.76
|
%
|
1,125
|
$
|
208.45
|
1.36
|
%
|
|||||||||
90
days or more
|
609
|
$
|
81.08
|
0.91
|
%
|
1,077
|
$
|
165.04
|
1.07
|
%
|
|||||||||
Total
delinquent loans(2)
|
2,537
|
$
|
353.45
|
3.98
|
%
|
5,710
|
$
|
1,001.50
|
6.52
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
1,044
|
$
|
153.32
|
1.73
|
%
|
2,425
|
$
|
484.09
|
3.15
|
%
|
|||||||||
Loans
in bankruptcy
|
819
|
$
|
93.12
|
1.05
|
%
|
676
|
$
|
89.36
|
0.58
|
%
|
|||||||||
Total
|
4,400
|
$
|
599.89
|
6.76
|
%
|
8,811
|
$
|
1,574.95
|
10.26
|
%
|
At
December 31, 2007(4)
|
|||||||||||||||||||
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
61,237
|
$
|
14,133.42
|
56,037
|
$
|
13,692.98
|
|||||||||||||
Period
of delinquency
(2)
|
|||||||||||||||||||
30
to 59 days
|
2,512
|
$
|
509.56
|
3.61
|
%
|
1,946
|
$
|
461.53
|
3.37
|
%
|
|||||||||
60
to 89 days
|
1,032
|
$
|
214.26
|
1.52
|
%
|
888
|
$
|
226.98
|
1.66
|
%
|
|||||||||
90
days or more
|
845
|
$
|
183.14
|
1.30
|
%
|
773
|
$
|
201.78
|
1.47
|
%
|
|||||||||
Total
delinquent loans(2)
|
4,389
|
$
|
906.96
|
6.42
|
%
|
3,607
|
$
|
890.29
|
6.50
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
2,349
|
$
|
539.11
|
3.81
|
%
|
3,553
|
$
|
939.83
|
6.86
|
%
|
|||||||||
Loans
in bankruptcy
|
615
|
$
|
88.95
|
0.63
|
%
|
540
|
$
|
103.57
|
0.76
|
%
|
|||||||||
Total
|
7,353
|
$
|
1,535.02
|
10.86
|
%
|
7,700
|
$
|
1,933.70
|
14.12
|
%
|
(1) |
Total
portfolio and delinquency information is for conventional mortgage
loans
only, excluding bankruptcies. The information in this table reflects
the
net results of foreclosures and liquidations that Aurora Loan Services
LLC
as primary servicer has reported and remitted to the applicable
master
servicer.
|
(2) |
The
MBS method for conventional loans is used in calculation of delinquency
percentage. Under the MBS methodology, a loan is considered delinquent
if
any payment is past due one or more days. The period of delinquency
is
based upon the number of days that payments are contractually past
due
(assuming 30-day months).
|
(3) |
Actual
percentages are utilized in generating this table may not correspond
exactly with total percentages but due to
rounding.
|
(4) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Certain mortgage loans within
these two categories were classified, prior to January 2007, as
“Conventional Mortgage Loans”. Therefore, the delinquency and foreclosure
information at or prior to December 31, 2006 with respect to mortgage
loans categorized as "Conventional Mortgage Loans" may include
mortgage
loans that, from and after January 2007, are now classified as
“Conventional Alt-B Mortgage Loans” or “Scratch & Dent Mortgage
Loans”.
|
Loan
Loss Experience
|
||||
(Dollars
in Millions)
(4) (5)
|
||||
Conventional
|
For
the year ended
|
For
the year ended
|
||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
|||||||||
Total
Portfolio(1)
|
48,053
|
$
|
7,494.87
|
72,671
|
$
|
13,149.81
|
|||||||
Net
Losses(2)
(3)
|
471
|
$
|
16.03
|
488
|
$
|
18.17
|
|||||||
Net
Losses as a
Percentage
of Total Portfolio
|
0.21
|
%
|
0.14
|
%
|
For
the year ended
|
For
the quarter ended
|
||||||||||||
At
December 31, 2007(5)
|
|||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
|||||||||
Total
Portfolio(1)
|
56,155
|
$
|
13,186.04
|
52,744
|
$
|
13,098.53
|
|||||||
Net
Losses(2)
(3)
|
496
|
$
|
23.31
|
247
|
$
|
17.46
|
|||||||
Net
Losses as a
Percentage
of Total Portfolio
|
0.18
|
%
|
0.13
|
%
|
(1) |
"Total
Portfolio" is the aggregate principal balance of the securitized
Conventional mortgage loans on the last day of the
period.
|
(2) |
“Net
Losses” means Gross Losses minus Recoveries. “Gross Losses” are actual
losses incurred on liquidated properties for each respective
period. Gross
Losses are calculated after repayment of all principal, foreclosure
costs,
servicing fees, and accrued interest to the date of liquidation.
“Recoveries” are recoveries from liquidation proceeds, deficiency
judgments, and mortgage insurance proceeds. Net Losses may
include gains
on individual loans whereby Aurora, as a servicer, retained
the excess
proceeds from the liquidation of collateral and directed these
excess
proceeds to the securitization
trust.
|
(3) |
Net
Losses includes loans on which the trust experienced foreclosure
loss or
gain. Net Losses are computed on a loan-by-loan basis and are
reported
with respect to the period in which the loan is liquidated.
If additional
costs are incurred or recoveries are received after the end
of the period,
then the amounts are adjusted with respect to the period in
which the
related loan was liquidated. Accordingly, the Net Losses reported
in the
table may change in future periods.
|
(4) |
The
information in this table reflects the net results of foreclosures
and
liquidations that Aurora Loan Services LLC as primary servicer
has
reported and remitted to the applicable master
servicer.
|
(5) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Certain mortgage loans within
these two categories were classified, prior to January 2007,
as
“Conventional Mortgage Loans”. Therefore, the loan loss information at or
prior to December 31, 2006 with respect to mortgage loans categorized
as
"Conventional Mortgage Loans" may include mortgage loans that,
from and
after January 2007, are now classified as “Conventional Alt-B Mortgage
Loans” or “Scratch & Dent Mortgage
Loans”.
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
261,125
|
$
|
62,066.75
|
306,127
|
$
|
73,590.40
|
|||||||||||||
Period
of delinquency
(2)
|
|||||||||||||||||||
30
to 59 days
|
2,789
|
$
|
680.66
|
1.10
|
%
|
6,367
|
$
|
1,575.58
|
2.14
|
%
|
|||||||||
60
to 89 days
|
604
|
$
|
149.13
|
0.24
|
%
|
1,585
|
$
|
386.42
|
0.53
|
%
|
|||||||||
90
days or more
|
363
|
$
|
87.64
|
0.14
|
%
|
1,025
|
$
|
270.41
|
0.37
|
%
|
|||||||||
Total
delinquent loans(2)
|
3,756
|
$
|
917.43
|
1.48
|
%
|
8,977
|
$
|
2,232.41
|
3.03
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
649
|
$
|
174.28
|
0.28
|
%
|
2,633
|
$
|
701.56
|
0.95
|
%
|
|||||||||
Loans
in bankruptcy
|
727
|
$
|
148.20
|
0.24
|
%
|
638
|
$
|
134.70
|
0.18
|
%
|
|||||||||
Total
|
5,132
|
$
|
1,239.91
|
2.00
|
%
|
12,248
|
$
|
3,068.67
|
4.17
|
%
|
At
December 31, 2007(4)
|
|||||||||||||||||||
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
266,661
|
$
|
68,814.52
|
302,182
|
$
|
83,953.85
|
|||||||||||||
Period
of delinquency
(2)
|
|||||||||||||||||||
30
to 59 days
|
7,590
|
$
|
2,037.60
|
2.96
|
%
|
10,448
|
$
|
3,129.80
|
3.73
|
%
|
|||||||||
60
to 89 days
|
3,556
|
$
|
1,021.03
|
1.48
|
%
|
5,579
|
$
|
1,736.74
|
2.07
|
%
|
|||||||||
90
days or more
|
3,007
|
$
|
804.76
|
1.17
|
%
|
5,825
|
$
|
1,660.86
|
1.98
|
%
|
|||||||||
Total
delinquent loans(2)
|
14,153
|
$
|
3,863.39
|
5.61
|
%
|
21,852
|
$
|
6,527.41
|
7.77
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
7,436
|
$
|
2,417.60
|
3.51
|
%
|
20,768
|
$
|
6,978.40
|
8.31
|
%
|
|||||||||
Loans
in bankruptcy
|
1,007
|
$
|
248.56
|
0.36
|
%
|
2,448
|
$
|
704.92
|
0.84
|
%
|
|||||||||
Total
|
22,596
|
$
|
6,529.55
|
9.48
|
%
|
45,068
|
$
|
14,210.72
|
16.93
|
%
|
(1) |
Total
portfolio and delinquency information is for conventional Alt-A
mortgage
loans only, excluding bankruptcies. The information in this table
reflects
the net results of foreclosures and liquidations that Aurora Loan
Services
LLC as primary servicer has reported and remitted to the applicable
master
servicer.
|
(2) |
The
MBS method for conventional loans is used in calculation of delinquency
percentage. Under the MBS methodology, a loan is considered delinquent
if
any payment is past due one or more days. The period of delinquency
is
based upon the number of days that payments are contractually past
due
(assuming 30-day months).
|
(3) |
Actual
percentages are utilized in generating this table may not correspond
exactly with total percentages but due to
rounding.
|
(4) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Certain mortgage loans within
these two categories were classified, prior to January 2007, as
“Conventional Alt-A Mortgage Loans”. Therefore, the delinquency and
foreclosure information at or prior to December 31, 2006 with respect
to
mortgage loans categorized as "Conventional Alt-A Mortgage Loans"
may
include mortgage loans that, from and after January 2007, are now
classified as “Conventional Alt-B Mortgage Loans” or “Scratch & Dent
Mortgage Loans”.
|
Loan
Loss Experience
|
||||
(Dollars
in Millions)
(4) (5)
|
||||
Conventional
Alt-A
|
For
the year ended
|
For
the year ended
|
||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
|||||||||
Total
Portfolio(1)
|
236,824
|
$
|
56,571.95
|
288,457
|
$
|
69,608.14
|
|||||||
Net
Losses(2)
(3)
|
165
|
$
|
14.85
|
400
|
$
|
17.34
|
|||||||
Net
Losses as a
Percentage
of Total Portfolio
|
0.03
|
%
|
0.02
|
%
|
For
the year ended
|
For
the quarter ended
|
||||||||||||
At
December 31, 2007(5)
|
|||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
|||||||||
Total
Portfolio(1)
|
254,393
|
$
|
66,509.18
|
290,324
|
$
|
82,020.50
|
|||||||
Net
Losses(2)
(3)
|
474
|
$
|
23.22
|
476
|
$
|
37.03
|
|||||||
Net
Losses as a
Percentage
of Total Portfolio
|
0.03
|
%
|
0.05
|
%
|
(1) |
"Total
Portfolio" is the aggregate principal balance of the securitized
Conventional Alt-A mortgage loans on the last day of the
period.
|
(2)
|
“Net
Losses” means Gross Losses minus Recoveries. “Gross Losses” are actual
losses incurred on liquidated properties for each respective
period. Gross
Losses are calculated after repayment of all principal, foreclosure
costs,
servicing fees, and accrued interest to the date of liquidation.
“Recoveries” are recoveries from liquidation proceeds, deficiency
judgments, and mortgage insurance proceeds. Net Losses may include
gains
on individual loans whereby Aurora, as a servicer, retained the
excess
proceeds from the liquidation of collateral and directed these
excess
proceeds to the securitization
trust.
|
(3) |
Net
Losses includes loans on which the trust experienced foreclosure
loss or
gain. Net Losses are computed on a loan-by-loan basis and are
reported
with respect to the period in which the loan is liquidated. If
additional
costs are incurred or recoveries are received after the end of
the period,
then the amounts are adjusted with respect to the period in which
the
related loan was liquidated. Accordingly, the Net Losses reported
in the
table may change in future periods.
|
(4)
|
The
information in this table reflects the net results of foreclosures
and
liquidations that Aurora Loan Services LLC as primary servicer
has
reported and remitted to the applicable master servicer.
|
(5) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Certain mortgage loans within
these two categories were classified, prior to January 2007, as
“Conventional Alt-A Mortgage Loans”. Therefore, the loan loss information
at or prior to December 31, 2006 with respect to mortgage loans
categorized as "Conventional Alt-A Mortgage Loans" may include
mortgage
loans that, from and after January 2007, are now classified as
“Conventional Alt-B Mortgage Loans” or “Scratch & Dent Mortgage
Loans”.
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
150,619
|
$
|
27,791.19
|
134,973
|
$
|
24,761.63
|
|||||||||||||
Period
of delinquency
(2)
|
|||||||||||||||||||
30
to 59 days
|
8,848
|
$
|
1,754.86
|
6.31
|
%
|
7,906
|
$
|
1,515.21
|
6.12
|
%
|
|||||||||
60
to 89 days
|
4,814
|
$
|
1,013.61
|
3.65
|
%
|
4,395
|
$
|
891.36
|
3.60
|
%
|
|||||||||
90
days or more
|
7,262
|
$
|
1,190.53
|
4.28
|
%
|
6,999
|
$
|
1,034.89
|
4.18
|
%
|
|||||||||
Total
delinquent loans(2)
|
20,924
|
$
|
3,959.00
|
14.25
|
%
|
19,300
|
$
|
3,441.46
|
13.90
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
11,686
|
$
|
3,195.25
|
11.50
|
%
|
18,268
|
$
|
4,713.62
|
19.04
|
%
|
|||||||||
Loans
in bankruptcy
|
1,400
|
$
|
259.03
|
0.93
|
%
|
2,102
|
$
|
387.11
|
1.56
|
%
|
|||||||||
Total
|
34,010
|
$
|
7,413.28
|
26.67
|
%
|
39,670
|
$
|
8,542.19
|
34.50
|
%
|
(1) |
Total
portfolio and delinquency information is for conventional Alt-B
mortgage
loans only, excluding bankruptcies. The information in this table
reflects
the net results of foreclosures and liquidations that Aurora Loan
Services
LLC as primary servicer has reported and remitted to the applicable
master
servicer. As
of January 2007, Aurora began classifying certain residential mortgage
loans as “Conventional Alt-B Mortgage Loans”. Mortgage loans within this
category were classified, prior to January 2007, within Aurora’s
then-existing mortgage loan
categories.
|
(2) |
The
MBS method for conventional loans is used in calculation of delinquency
percentage. Under the MBS methodology, a loan is considered delinquent
if
any payment is past due one or more days. The period of delinquency
is
based upon the number of days that payments are contractually past
due
(assuming 30-day months).
|
(3) |
Actual
percentages are utilized in generating this table may not correspond
exactly with total percentages but due to rounding.
|
For
the year ended
|
For
the quarter ended
|
||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
|||||||||
Total
Portfolio(1)
|
132,934
|
$
|
25,884.07
|
120,579
|
$
|
23,556.21
|
|||||||
Net
Losses(2)
(3)
|
1,061
|
$
|
54.83
|
972
|
$
|
74.06
|
|||||||
Net
Losses as a
Percentage
of Total Portfolio
|
0.21
|
%
|
0.31
|
%
|
(2) |
“Net
Losses” means Gross Losses minus Recoveries. “Gross Losses” are actual
losses incurred on liquidated properties for each respective
period. Gross
Losses are calculated after repayment of all principal, foreclosure
costs,
servicing fees, and accrued interest to the date of liquidation.
“Recoveries” are recoveries from liquidation proceeds, deficiency
judgments, and mortgage insurance proceeds. Net Losses may include
gains
on individual loans whereby Aurora, as a servicer, retained the
excess
proceeds from the liquidation of collateral and directed these
excess
proceeds to the securitization
trust.
|
(3) |
Net
Losses includes loans on which the trust experienced foreclosure
loss or
gain. Net Losses are computed on a loan-by-loan basis and are
reported
with respect to the period in which the loan is liquidated. If
additional
costs are incurred or recoveries are received after the end of
the period,
then the amounts are adjusted with respect to the period in which
the
related loan was liquidated. Accordingly, the Net Losses reported
in the
table may change in future
periods.
|
(4) |
The
information in this table reflects the net results of foreclosures
and
liquidations that Aurora Loan Services LLC as primary servicer
has
reported and remitted to the applicable master servicer. As
of January 2007, Aurora began classifying certain residential
mortgage
loans as “Conventional Alt-B Mortgage Loans”. Mortgage loans within this
category were classified, prior to January 2007, within Aurora’s
then-existing mortgage loan
categories.
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
7,443
|
$
|
1,267.31
|
10,749
|
$
|
1,943.06
|
|||||||||||||
Period
of delinquency
(3)
|
|||||||||||||||||||
30
to 59 days
|
190
|
$
|
29.20
|
2.30
|
%
|
367
|
$
|
73.62
|
3.79
|
%
|
|||||||||
60
to 89 days
|
70
|
$
|
10.88
|
0.86
|
%
|
162
|
$
|
36.65
|
1.89
|
%
|
|||||||||
90
days or more
|
87
|
$
|
11.74
|
0.93
|
%
|
75
|
$
|
9.68
|
0.50
|
%
|
|||||||||
Total
delinquent loans(3)
|
347
|
$
|
51.81
|
4.09
|
%
|
604
|
$
|
119.95
|
6.17
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
200
|
$
|
28.88
|
2.28
|
%
|
388
|
$
|
79.30
|
4.08
|
%
|
|||||||||
Loans
in bankruptcy
|
186
|
$
|
16.48
|
1.30
|
%
|
146
|
$
|
16.13
|
0.83
|
%
|
|||||||||
Total
|
733
|
$
|
97.17
|
7.67
|
%
|
1,138
|
$
|
215.38
|
11.08
|
%
|
At
December 31, 2007(4)
|
|||||||||||||||||||
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
Number
of Loans
|
Principal
Balance
|
Percent
by Principal Balance(3)
|
||||||||||||||
Total
balance of mortgage loans serviced
|
12,724
|
$
|
2,049.75
|
10,144
|
$
|
1,659.90
|
|||||||||||||
Period
of delinquency
(2)
|
|||||||||||||||||||
30
to 59 days
|
624
|
$
|
109.36
|
5.34
|
%
|
424
|
$
|
75.95
|
4.58
|
%
|
|||||||||
60
to 89 days
|
351
|
$
|
70.58
|
3.44
|
%
|
269
|
$
|
51.28
|
3.09
|
%
|
|||||||||
90
days or more
|
556
|
$
|
64.02
|
3.12
|
%
|
564
|
$
|
63.11
|
3.80
|
%
|
|||||||||
Total
delinquent loans(2)
|
1,531
|
$
|
243.96
|
11.90
|
%
|
1,257
|
$
|
190.33
|
11.47
|
%
|
|||||||||
Loans
in foreclosure (excluding bankruptcies)
|
1,379
|
$
|
343.75
|
16.77
|
%
|
1,775
|
$
|
432.91
|
26.08
|
%
|
|||||||||
Loans
in bankruptcy
|
279
|
$
|
42.85
|
2.09
|
%
|
250
|
$
|
36.65
|
2.21
|
%
|
|||||||||
Total
|
3,189
|
$
|
630.56
|
30.76
|
%
|
3,282
|
$
|
659.89
|
39.75
|
%
|
(1) |
Total
portfolio and delinquency information is for subprime mortgage
loans only,
excluding bankruptcies. The information in this table reflects
the net
results of foreclosures and liquidations that Aurora Loan Services
LLC as
primary servicer has reported and remitted to the applicable master
servicer.
|
(2) |
The
ABS method for subprime loans is used in calculation of delinquency
percentage. Under the ABS methodology, a loan is considered delinquent
if
any payment is past due 30 days or more. The period of delinquency
is
based upon the number of days that payments are contractually past
due
(assuming 30-day months). Consequently, under the ABS methodology,
a loan
due on the first day of a month is not 30 days delinquent until
the first
day of the next month.
|
(3) |
Actual
percentages are utilized in generating this table may not correspond
exactly with total percentages but due to
rounding.
|
(4) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Certain mortgage loans within
these two categories were classified, prior to January 2007, as
“Subprime
Mortgage Loans”. Therefore, the delinquency and foreclosure information at
or prior to December 31, 2006 with respect to mortgage loans categorized
as "Subprime Mortgage Loans" may include mortgage loans that, from
and
after January 2007, are now classified as “Conventional Alt-B Mortgage
Loans” or “Scratch & Dent Mortgage
Loans”.
|
Loan
Loss Experience
|
||||
(Dollars
in Millions)(4)
(5)
|
||||
Subprime
|
For
the year ended
|
For
the year ended
|
||||||||||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
|||||||||
Total
Portfolio(1)
|
6,869
|
$
|
1,196.26
|
8,879
|
$
|
1,589.47
|
|||||||
Net
Losses(2)
(3)
|
77
|
$
|
2.20
|
94
|
$
|
3.09
|
|||||||
Net
Losses as a
Percentage
of Total Portfolio
|
0.18
|
%
|
0.19
|
%
|
For
the year ended
|
For
the quarter ended
|
|||
At
December 31, 2007(5)
|
||||
Type
of Loan
|
Number
of Loans
|
Principal
Balance
|
Number
of Loans
|
Principal
Balance
|
Total
Portfolio(1)
|
11,056
|
$1,848.58
|
8,943
|
$1,553.43
|
Net
Losses(2)
(3)
|
245
|
$12.54
|
191
|
$16.52
|
Net
Losses as a
Percentage
of Total Portfolio
|
0.68%
|
1.06%
|
(2) |
“Net
Losses” means Gross Losses minus Recoveries. “Gross Losses” are actual
losses incurred on liquidated properties for each respective period.
Gross
Losses are calculated after repayment of all principal, foreclosure
costs,
servicing fees, and accrued interest to the date of liquidation.
“Recoveries” are recoveries from liquidation proceeds, deficiency
judgments, and mortgage insurance proceeds. Net Losses may include
gains
on individual loans whereby Aurora, as a servicer, retained the
excess
proceeds from the liquidation of collateral and directed these
excess
proceeds to the securitization
trust.
|
(3) |
Net
Losses includes loans on which the trust experienced foreclosure
loss or
gain. Net Losses are computed on a loan-by-loan basis and are reported
with respect to the period in which the loan is liquidated. If
additional
costs are incurred or recoveries are received after the end of
the period,
then the amounts are adjusted with respect to the period in which
the
related loan was liquidated. Accordingly, the Net Losses reported
in the
table may change in future
periods.
|
(4) |
The
information in this table reflects the net results of foreclosures
and
liquidations that Aurora Loan Services LLC as primary servicer
has
reported and remitted to the applicable master servicer.
|
(5) |
As
of January 2007, Aurora began classifying residential mortgage
loans
within two new servicing categories, “Conventional Alt-B Mortgage Loans”
and “Scratch & Dent Mortgage Loans”. Certain mortgage loans within
these two categories were classified, prior to January 2007, as
“Subprime
Mortgage Loans”. Therefore, the loan loss information at or prior to
December 31, 2006 with respect to mortgage loans categorized as
"Subprime
Mortgage Loans" may include mortgage loans that, from and after
January
2007, are now classified as “Conventional Alt-B Mortgage Loans” or
“Scratch & Dent Mortgage
Loans”.
|
·
|
supervise
the performance by the servicers of their servicing responsibilities
under
their servicing agreements (“Servicing Agreements”) with the master
servicer;
|
·
|
collect
monthly remittances from servicers and make payments to the securities
administrator for deposit into the Securities Administration Account,
if
any, or to the trustee for deposit into the Distribution Account;
and
|
·
|
advance
funds upon the failure of a servicer to make advances as described
below
under “Advances and Other Payments, and Limitations
Thereon.”
|
·
|
withholding
the Master Servicing Fee from any scheduled payment of interest prior
to
the deposit of the payment in the Collection Account for the related
series;
|
·
|
withdrawing
the Master Servicing Fee from the Collection Account after the entire
Scheduled Payment has been deposited in the Collection Account;
or
|
·
|
requesting
that the trustee or the securities administrator pay the Master Servicing
Fee out of amounts in the Distribution Account or the Securities
Administration Account, as
applicable.
|
·
|
withholding
the Servicing Fee from any scheduled payment of interest prior to
the
deposit of the payment in the Servicing Account for the related series;
or
|
·
|
withdrawing
the Servicing Fee from the Servicing Account after the entire Scheduled
Payment has been deposited in the Servicing
Account.
|
·
|
all
payments on account of interest on the Loans after deducting therefrom,
at
the discretion of the master servicer but only to the extent of the
amount
permitted to be withdrawn or withheld from the Collection Account
in
accordance with the related Agreement, the Master Servicing Fee,
if any,
in respect of the Loans;
|
·
|
all
amounts received by the master servicer in connection with the liquidation
of defaulted Loans or property acquired in respect thereof, whether
through foreclosure sale or otherwise, including payments in connection
with the Loans received from the mortgagor, other than amounts required
to
be paid to the mortgagor pursuant to the terms of the applicable
Mortgage
or otherwise pursuant to law (“Liquidation Proceeds”), exclusive of, in
the discretion of the master servicer but only to the extent of the
amount
permitted to be withdrawn from the Collection Account in accordance
with
the related Agreement, the Master Servicing Fee, if any, in respect
of the
related Loan;
|
·
|
all
proceeds received by the master servicer under any title, hazard
or other
insurance policy covering any Loan, other than proceeds to cover
expenses
incurred by or on behalf of the master servicer in connection with
procuring such proceeds, to be applied to the restoration or repair
of the
Mortgaged Property or released to the mortgagor in accordance with
the
mortgage note or applicable law (which will be retained by the master
servicer and not deposited in the Collection
Account);
|
·
|
all
amounts paid by a servicer with respect to a shortfall in interest
on the
Loans due to a principal prepayment;
|
·
|
all
advances of funds which the master servicer, if required pursuant
to the
related
Agreement or by any servicer, if required pursuant to the related
Servicing Agreement
is
generally obligated to make with respect to delinquent payments of
principal and interest (or with respect to interest only, in the
case of
simple interest Mortgage Loans) on the Loans (other than any balloon
payments), with interest payments calculated based on an interest
rate
adjusted to the related Mortgage Rate less the related Master Servicing
Fee or Servicing Fee, as applicable; provided that,
generally the master servicer or servicer, as applicable, will have
no
obligation to make such advances if the master servicer or servicer,
as
applicable, determines that such advances would be nonrecoverable
in
accordance with the applicable Agreement (“Advances”);
and
|
·
|
to
reimburse itself or any servicer for Advances for the related series
made
by it or a servicer pursuant to the related Agreement or Servicing
Agreement, as applicable; the master servicer’s right to reimburse itself
or the servicer is limited to amounts received on or in respect of
particular Loans (including, for this purpose, Liquidation Proceeds
and
amounts representing proceeds of insurance policies covering the
related
Mortgaged Property) which represent late recoveries (net of the applicable
Master Servicing Fee or Servicing Fee) of Scheduled Payments respecting
which any Advance was made;
|
·
|
to
reimburse itself or any servicer for any Advances for the related
series
that the master servicer determines in good faith it will be unable
to
recover from amounts representing late recoveries of Scheduled Payments
respecting which the Advance was made or from Liquidation Proceeds
or the
proceeds of insurance policies;
|
·
|
to
reimburse itself or any servicer from Liquidation Proceeds for liquidation
expenses and for amounts expended by it or a servicer in good faith
in
connection with the restoration of damaged Mortgaged Property and,
to the
extent that Liquidation Proceeds after reimbursement are in excess
of the
outstanding principal balance of the related Loan, together with
accrued
and unpaid interest thereon at the applicable Interest Rate (less
the
applicable Master Servicing Fee Rate or Servicing Fee Rate for the
Mortgage Loan) to the Due Date next succeeding the date of its receipt
of
Liquidation Proceeds, to pay to itself out of the excess the amount
of any
unpaid assumption fees, late payment charges, or other charges on
the
related Loan and to retain any excess remaining thereafter as additional
compensation;
|
·
|
to
reimburse itself or any servicer for expenses incurred by and recoverable
by or reimbursable to it or a servicer pursuant to the related Agreement
or the Servicing Agreement, as
applicable;
|
·
|
to
pay to a Seller, the Sponsor or the depositor, as applicable, with
respect
to each Loan or REO Property acquired in respect thereof that has
been
repurchased pursuant to the related Agreement, all amounts received
thereon and not distributed as of the date on which the related repurchase
price was determined;
|
·
|
to
reimburse itself, any servicer or custodian (or the trustee or securities
administrator, if applicable) for the excess of any unreimbursed
Advances
with respect to a particular Loan over the related Liquidation
Proceeds;
|
·
|
to
make payments to the securities administrator of the related series
for
deposit into the Securities Administration Account, if any, or to
make
payments to the trustee of the related series for deposit into the
Distribution Account, if any, or for remittance to the securityholders
of
the related series in the amounts and in the manner provided for
in the
related Agreement;
|
·
|
to
reimburse any servicer for such amounts as are due thereto under
the
applicable Servicing Agreement and have not been retained by or paid
to
such servicer; and
|
·
|
all
payments on account of interest on the Loans after deducting therefrom,
at
the discretion of the servicer but only to the extent of the amount
permitted to be withdrawn or withheld from the Servicing Account
in
accordance with the Servicing Agreement, the Servicing Fee n respect
of
the Loans;
|
·
|
all
proceeds received by the servicer under any title, hazard or other
insurance policy covering any Loan, other than proceeds to be applied
to
the restoration or repair of the Mortgaged Property or released to
the
mortgagor in accordance with normal servicing procedures (which will
be
retained by the servicer and not made to the master servicer for
deposit
in the Collection Account);
|
·
|
all
condemnation proceeds that are not applied to the restoration or
repair of
the Mortgaged Property or released to the
mortgagor;
|
·
|
any
amounts required to be deposited by the servicer in connection with
the
deductible clause in any blanket hazard insurance
policy;
|
·
|
any
amounts received with respect to or related to any REO Property or
REO
Property disposition proceeds;
|
·
|
any
prepayment premiums required to be collected pursuant to the loan
related
documents and applicable law;
|
·
|
all
Advances for the related series made by the servicer pursuant to
the
related Servicing Agreement; and
|
·
|
any
other amounts required under the applicable Servicing Agreement to
be
deposited by the servicer.
|
·
|
the
trustee, the securities administrator, if any, and the successor
master
servicer will take all actions, consistent with the related Agreement,
as
will be necessary to effectuate any such succession and may make
other
arrangements with respect to the servicing to be conducted under
the
related Agreement which are not inconsistent
herewith.
|
·
|
allocation
of losses on the Primary Assets to certain classes of Securities
before
allocation to other classes;
|
·
|
overcollateralization
of the Primary Assets of a series relative to the total principal
amount
of the Securities of that series;
|
·
|
derivative
instruments such as interest rate caps, interest rate swaps or market
value swaps that are intended to provide credit support;
or
|
·
|
the
conditions (if any) under which the amount payable under the credit
support may be reduced and under which the credit support may be
terminated or replaced; and
|
·
|
its
principal place of business, place of incorporation and the jurisdiction
under which it is chartered or licensed to do
business;
|
·
|
all
rents or other payments collected or received by the insured (other
than
the proceeds of hazard insurance) that are derived from or in any
way
related to the Mortgaged Property;
|
·
|
hazard
insurance proceeds in excess of the amount required to restore the
mortgaged property and which have not been applied to the payment
of the
Mortgage Loan;
|
·
|
fraud
or negligence in origination or servicing of the Mortgage Loans,
including
misrepresentation by the originator, borrower or other persons involved
in
the origination of the Mortgage
Loan;
|
·
|
failure
to construct the Mortgaged Property subject to the Mortgage Loan
in
accordance with specified plans;
|
·
|
advance
or discharge all hazard insurance policy premiums, and as necessary
and
approved in advance by the mortgage insurer, (1) real estate property
taxes, (2) all expenses required to maintain the related Mortgaged
Property in at least as good a condition as existed at the effective
date
of the primary mortgage insurance policy, ordinary wear and tear
excepted,
(3) Mortgaged Property sales expenses, (4) any outstanding liens
(as
defined in the primary mortgage insurance policy) on the Mortgaged
Property and (5) foreclosure costs, including court costs and reasonable
attorneys’ fees;
|
·
|
in
the event of any physical loss or damage to the Mortgaged Property,
restore and repair the Mortgaged Property to at least as good a condition
as existed at the effective date of the primary mortgage insurance
policy,
ordinary wear and tear excepted;
and
|
·
|
tender
to the mortgage insurer good and marketable title to and possession
of the
Mortgaged Property.
|
·
|
no
change may be made in the terms of the Mortgage Loan without the
consent
of the mortgage insurer;
|
·
|
written
notice must be given to the mortgage insurer within 10 days after
the
insured becomes aware that a borrower is delinquent in the payment
of a
sum equal to the aggregate of two Scheduled Payments due under the
Mortgage Loan or that any proceedings affecting the borrower’s interest in
the Mortgaged Property securing the Mortgage Loan have been commenced,
and
thereafter the insured must report monthly to the mortgage insurer
the
status of any Mortgage Loan until the Mortgage Loan is brought current,
the proceedings are terminated or a claim is
filed;
|
·
|
the
mortgage insurer will have the right to purchase the Mortgage Loan,
at any
time subsequent to the 10 days’ notice described above and prior to the
commencement of foreclosure proceedings, at a price equal to the
unpaid
principal amount of the Mortgage Loan plus accrued and unpaid interest
thereon at the applicable Mortgage Rate and reimbursable amounts
expended
by the insured for the real estate taxes and fire and extended coverage
insurance on the Mortgaged Property for a period not exceeding 12
months
and less the sum of any claim previously paid under the policy with
respect to the Mortgage Loan and any due and unpaid premium with
respect
to the policy;
|
·
|
the
insured must commence proceedings at certain times specified in the
policy
and diligently proceed to obtain good and marketable title to and
possession of the mortgaged
property;
|
·
|
the
insured must notify the mortgage insurer of the institution of any
proceedings, provide it with copies of documents relating thereto,
notify
the mortgage insurer of the price amounts specified above at least
15 days
prior to the sale of the Mortgaged Property by foreclosure, and bid
that
amount unless the mortgage insurer specifies a lower or higher amount;
and
|
·
|
the
insured may accept a conveyance of the Mortgaged Property in lieu
of
foreclosure with written approval of the mortgage insurer, provided
the
ability of the insured to assign specified rights to the mortgage
insurer
are not thereby impaired or the specified rights of the mortgage
insurer
are not thereby adversely affected.
|
·
|
the
amount of the unpaid principal balance of the defaulted Mortgage
Loan
immediately prior to the approved sale of the Mortgaged
Property;
|
·
|
the
amount of the accumulated unpaid interest on the Mortgage Loan to
the date
of claim settlement at the contractual rate of interest;
and
|
·
|
a
sale of the Mortgaged Property acquired by the insured because of
a
default by the borrower to which the pool insurer has given prior
approval;
|
·
|
a
foreclosure or trustee’s sale of the Mortgaged Property at a price
exceeding the maximum amount specified by the pool
insurer;
|
·
|
the
acquisition of the Mortgaged Property under the primary mortgage
insurance
policy by the mortgage insurer; or
|
·
|
the
original Mortgage with evidence of recording indicated thereon (except
for
any Mortgage not returned from the public recording office, in which
case
a copy of the Mortgage will be delivered, together with a certificate
that
the original of the Mortgage was delivered to the recording office);
and
|
·
|
direct
obligations of, and obligations fully guaranteed as to timely payment
of
principal and interest by, the United States of America, Freddie
Mac,
Fannie Mae or any agency or instrumentality of the United States
of
America, the obligations of which are backed by the full faith and credit
of the United States of America;
|
·
|
repurchase
obligations pursuant to a written agreement with respect to any security
described in the first clause
above;
|
·
|
securities
bearing interest or sold at a discount issued by any corporation
incorporated under the laws of the United States of America or any
state;
|
·
|
commercial
paper (including both non-interest-bearing discount obligations and
interest-bearing obligations payable on demand or on a specified
date not
more than one year after the date of issuance
thereof);
|
·
|
a
guaranteed investment contract issued by an entity having a credit
rating
acceptable to each Rating Agency;
and
|
·
|
any
other demand, money market or time deposit or obligation, security
or
investment as would not adversely affect the then current rating
by the
Rating Agencies.
|
·
|
any
failure by the master servicer to remit any required payment to the
trustee or the securities administrator, as the case may be, that
continues unremedied for five business days (or any shorter period
as is
specified in the related Agreement) after the giving of written notice
of
the failure to the master servicer by the trustee or the securities
administrator, as the case may be, for the related
series;
|
·
|
any
failure by the master servicer duly to observe or perform in any
material
respect any other of its covenants or agreements in the related Agreement
that continues unremedied for a specified number of days after the
giving
of written notice of the failure to the master servicer by the trustee
or
the securities administrator, as the case may be, or to the master
servicer and the trustee by the holders of Certificates of the related
series evidencing more than 50% of the aggregate voting interests,
as
assigned in the related Agreement, of the Certificates;
and
|
·
|
certain
events in insolvency, readjustment of debt, marshalling of assets
and
liabilities or similar proceedings and certain actions by the master
servicer or servicer indicating its insolvency, reorganization or
inability to pay its obligations.
|
·
|
a
default for a specified number of days in the payment of any interest
or
installment of principal on a Note of that series, to the extent
specified
in the prospectus supplement, or the default in the payment of the
principal of any Note at the Note’s
maturity;
|
·
|
failure
to perform in any material respect any other covenant of the trust
in the
indenture that continues for a specified number of days after notice
is
given in accordance with the procedures described in the prospectus
supplement;
|
·
|
any
failure to observe or perform any covenant or agreement of the trust,
or
any representation or warranty made by the trust in the indenture
or in
any certificate or other writing delivered pursuant or in connection
with
the series having been incorrect in a material respect as of the
time
made, and that breach is not cured within a specified number of days
after
notice is given in accordance with the procedures described in the
prospectus supplement;
|
·
|
the
holders of 100% (or any other percentages specified in the indenture)
of
the then aggregate outstanding amount of the Notes (or certain classes
of
Notes) of the series consent to the
sale;
|
·
|
the
proceeds of the sale or liquidation are sufficient to pay in full
the
principal and accrued interest, due and unpaid, on the outstanding
Notes
of the series at the date of the sale;
or
|
·
|
the
trustee determines that the collateral would not be sufficient on
an
ongoing basis to make all payments on the Notes as the payments would
have
become due if the Notes had not been declared due and payable, and
the
trustee obtains the consent of the holders of a specified percentage
of
the then aggregate outstanding amount of the Notes of the
series.
|
·
|
by
the securityholders of securities evidencing a specified percentage
of the
aggregate voting rights of the securities in the trust fund upon
written
notice to the trustee and to the
depositor.
|
·
|
if
the securities administrator fails to observe or perform in any material
respect any of the covenants or agreements contained in the related
Agreement; or
|
·
|
by
the securityholders of securities evidencing more than a specified
percentage of the aggregate outstanding principal amount of the securities
in the trust fund upon written notice to the securities administrator
and
the depositor.
|
·
|
to
conform to the provisions of the prospectus supplement and prospectus,
to
correct any defective provisions or to supplement any
provision;
|
·
|
reduce
the amount or delay the timing of payments on any Security without
the
consent of the holder of that Security;
or
|
·
|
reduce
the percentage required to consent to the amendment, without the
consent
of securityholders of 100% of each class of Securities affected by
the
amendment.
|
·
|
the
later of (a) the final payment or other liquidation of the last Mortgage
Loan remaining in the trust fund for the related series and (b) the
disposition of all property acquired upon foreclosure or deed in
lieu of
foreclosure in respect of any Mortgage Loan (“REO Property”);
and
|
·
|
the
repurchase, as described below, by the master servicer from the trustee
for the related series of all Mortgage Loans at that time subject
to the
trust agreement and all REO
Property.
|
·
|
with
respect to REO Property, if any, the fair market value of the REO
Property
only to the extent such amount does not exceed the outstanding principal
balance of the related Mortgage Loan plus interest accrued thereon
less
any reasonably anticipated disposition costs,
minus
|
·
|
related
unreimbursed Advances, or in the case of the Mortgage Loans, only
to the
extent not already reflected in the computation of the Aggregate
Asset
Principal Balance of the Mortgage Loans,
minus
|
·
|
accrued
interest at the weighted average Mortgage Rate through the last day
of the
Due Period in which the repurchase
occurs;
|
·
|
100%
of the Aggregate Asset Principal Balance of the Mortgage Loans, plus
accrued interest thereon at the applicable Net Mortgage Rates through
the
last day of the month of the repurchase;
and
|
·
|
the
aggregate fair market value of the Mortgage Loans; plus the fair
market
value of any property acquired in respect of a Mortgage Loan and
remaining
in the trust fund.
|
·
|
are
entitled, during, or up to one year after, the period of the service
member’s military service, to have interest rates reduced and capped at
6%
per annum (and all interest in excess of 6% per annum forgiven) on
obligations (including Mortgage Loans and Manufactured Home Loans)
incurred prior to the commencement of military service for the duration
of
active duty status;
|
·
|
may
be entitled, during, or within 90 days after, the period of the service
member’s military service, to a stay of proceedings on any kind of
foreclosure or repossession action in the case of defaults on the
obligations entered into prior to military service;
and
|
·
|
may
have the maturity of the obligations incurred prior to military service
extended, the payments lowered and the payment schedule readjusted
for a
period of time after the completion of active duty
status.
|
·
|
originated
or assumed during the “window period” under the Garn-St. Germain Act which
ended in all cases not later than October 15, 1982;
and
|
·
|
originated
by lenders other than national banks, federal savings institutions
and
federal credit unions.
|
·
|
“AFR,”
we mean the applicable federal rate, which is an average of then
prevailing yields for U.S. Treasury securities with specified ranges
of
maturities and which is computed and published monthly by the IRS
for use
in various tax calculations;
|
·
|
“U.S.
Person,” we mean (i) a citizen or resident of the United States; (ii) a
corporation (or entity treated as a corporation for tax purposes)
created
or organized in the United States or under the laws of the United
States
or of any state thereof, including, for this purpose, the District
of
Columbia; (iii) a partnership (or entity treated as a partnership
for tax
purposes) organized in the United States or under the laws of the
United
States or of any state thereof, including, for this purpose, the
District
of Columbia (unless provided otherwise by future Treasury regulations);
(iv) an estate whose income is includible in gross income for United
States income tax purposes regardless of its source; or (v) a trust,
if a
court within the United States is able to exercise primary supervision
over the administration of the trust and one or more U.S. Persons
have
authority to control all substantial decisions of the trust.
Notwithstanding the preceding clause, to the extent provided in Treasury
|
·
|
notes
issued by a trust, including a trust for which an election to treat
such
entity as a “real estate investment trust” within the meaning of Section
856(a) of the Code (a “REIT”) has been made;
|
·
|
securities
that comprise an interest in one of the foregoing and an interest
in other
property such as a notional principal contract (“Stapled
Securities”).
|
·
|
the
transferor must perform a reasonable investigation of the financial
status
of the transferee and determine that the transferee has historically
paid
its debts as they come due and find no significant evidence to indicate
that the transferee will not continue to pay its debts as they come
due;
|
·
|
the
transferor must obtain a representation from the transferee to the
effect
that the transferee understands that as the holder of the residual
interest the transferee will recognize taxable income in excess of
cash
flow and that the transferee intends to pay taxes on the income as
those
taxes become due;
|
·
|
the
transferee must represent that it will not cause income from the
residual
interest to be attributable to a foreign permanent establishment
or fixed
base (within the meaning of an applicable income tax treaty) of the
transferee or another U.S. taxpayer;
and
|
·
|
either
(i) the present value (computed based upon a statutory discount rate)
of
the anticipated tax liabilities associated with holding the residual
interest must be no greater than the present value of the sum of
any
consideration given to the transferee to acquire the interest, the
anticipated distributions on the interest and the anticipated tax
savings
associated with holding the interest, or (ii) the transferee must
be a
domestic taxable C corporation that meets certain asset tests and
that
agrees that any subsequent transfer of the interest will satisfy
the same
safe harbor provision and be to a domestic taxable C
corporation.
|
·
|
a
sale or exchange of a security resulting in a loss in excess of (i)
$10
million in any single year or $20 million in any combination of years
in
the case of a security held by a corporation or a partnership with
only
corporate partners or (ii) $2 million in any single year or $4 million
in
any combination of years in the case of a security held by any other
partnership or an S corporation, trust or individual;
|
·
|
a
significant difference between the U.S. federal income tax reporting
for
an item from the transaction and its treatment for book purposes
(generally under U.S. generally accepted accounting principles);
or
|
Defined
Term
|
Page
|
1986
Act
|
159
|
Accretion
Directed Securities
|
40
|
accrual
class
|
160
|
Accrual
Securities
|
40
|
ADA
|
147
|
Adjustable
Rate Mortgages
|
51
|
Advances
|
94
|
AFR
|
156
|
Agency
Certificates
|
48
|
Aggregate
Asset Principal Balance
|
44
|
Agreements
|
119
|
Allowable
Interest Rate
|
184
|
Allowable
Notional Amount
|
184
|
Appraised
Value
|
51
|
ARMs
|
51
|
Asset
Conservation Act
|
142
|
Asset
Group
|
41
|
Asset
Principal Balance
|
44
|
Assistance
Loans
|
48
|
Aurora
|
74
|
Bank
|
73
|
bankruptcy
bond
|
116
|
Bankruptcy
Code
|
106
|
basis
risk shortfalls
|
41
|
Beneficial
Owner
|
46
|
Bi-Weekly
Loans
|
49
|
Book-Entry
Securities
|
41
|
Business
Day
|
129
|
Buydown
|
113
|
Buy-Down
Amounts
|
96
|
Buy-Down
Fund
|
96
|
Buy-Down
Loans
|
96
|
Buy-Down
Period
|
97
|
Cash
Program
|
65
|
CERCLA
|
58
|
Certificates
|
40
|
Clearstream
|
46
|
CMT
|
52
|
Code
|
156
|
CODI
|
53
|
COFI
|
53
|
Collection
Account
|
93
|
Commission
|
190
|
Company
Counsel
|
157
|
Component
Securities
|
40
|
Compound
Value
|
43
|
Condominium
|
50
|
Condominium
Association
|
71
|
Condominium
Building
|
72
|
Condominium
Loans
|
50
|
Condominium
Unit
|
50
|
Condotels
|
50
|
constant
yield election
|
163
|
Conventional
Loans
|
64
|
Cooperative
Dwellings
|
50
|
Cooperative
Loans
|
50
|
Cooperatives
|
50
|
COSI
|
53
|
Covered
Trust
|
105
|
CPR
|
154
|
Cut-off
Date
|
47
|
Debt
Securities
|
159
|
debt-acceleration
|
144
|
Deferred
Interest
|
52
|
Definitive
Securities
|
41
|
Deleted
Loan
|
123
|
Designated
Transaction
|
182
|
Distribution
Account
|
129
|
DOL
|
181
|
DOL
Pre-Funding Period
|
185
|
DOL
Regulations
|
181
|
DTC
|
46
|
Due
Date
|
98
|
EDGAR
|
190
|
Eligible
Investments
|
125
|
Eligible
Reserve Fund Investments
|
125
|
Environmental
Policies
|
100
|
ERISA
|
181
|
Escrow
Accounts
|
93
|
EURIBOR
|
52
|
Euroclear
|
46
|
Exchange
Act
|
191
|
Excluded
Plan
|
186
|
Exemption
|
182
|
Expense
Reserve Fund
|
131
|
EYS
Agreement
|
185
|
Fannie
Mae
|
65
|
Fed
Funds Rate
|
52
|
FHA
|
63
|
FHA
Term Loans
|
49
|
FHA/VA
Claim Proceeds
|
112
|
FHLB
Index
|
53
|
Fitch
|
182
|
Fixed
Rate Securities
|
40
|
Floating
Rate Securities
|
40
|
Foreign
Person
|
156
|
Freddie
Mac
|
67
|
Freddie
Mac Act
|
67
|
Garn-St.
Germain Act
|
143
|
GBP
LIBOR
|
52
|
GEM
Loans
|
49
|
Ginnie
Mae
|
63
|
Defined
Term
|
Page
|
Ginnie
Mae Servicers
|
62
|
GPM
Fund
|
97
|
GPM
Loans
|
49
|
Grantor
Trust
|
159
|
Grantor
Trust Certificates
|
159
|
Guarantor
Program
|
65
|
Guaranty
Agreement
|
62
|
hazardous
substances
|
142
|
Home
Equity Loans
|
50
|
Home
Improvement Loan Schedule
|
122
|
Home
Improvement Loans
|
56
|
Housing
Act
|
63
|
HUD
|
60
|
Index
|
52
|
Insurance
Policies
|
61
|
Insured
Loss
|
110
|
Interest
Only Securities
|
40
|
Interest
Rate
|
41
|
Interest
Weighted Securities
|
40
|
IRS
|
156
|
ISDA
|
118
|
L/C
Bank
|
108
|
L/C
Percentage
|
108
|
lease
|
146
|
Lehman
Brothers
|
72
|
Lehman
Holdings
|
72
|
lessee
|
146
|
Leveraged
|
184
|
LIBOR
|
52
|
LIBORSWAP
|
52
|
Lifetime
Mortgage Rate Cap
|
52
|
Liquidation
Proceeds
|
94
|
Loans
|
48
|
Loan-to-Value
Ratio
|
51
|
Manufactured
Home Loan Schedule
|
121
|
Manufactured
Home Loans
|
48
|
Manufactured
Homes
|
48
|
market
discount bond
|
161
|
Master
Servicing Fee
|
92
|
Maximum
Mortgage Rate Adjustment
|
52
|
Minimum
Mortgage Rate
|
52
|
Minimum
Principal Distribution Amount
|
43
|
Mixed
Use Mortgage Loans
|
57
|
Moody’s
|
182
|
Mortgage
Certificate Schedule
|
120
|
Mortgage
Loan Schedule
|
121
|
Mortgage
Loans
|
48
|
Mortgage
Rates
|
49
|
Mortgaged
Property
|
50
|
MTA
|
53
|
Multi-Class
Series
|
43
|
Multifamily
Mortgage Loans
|
57
|
Multifamily
Properties
|
64
|
National
Average Contract Mortgage Rate
|
53
|
National
Monthly Median COFI
|
53
|
NCUA
|
187
|
Negatively
Amortizing ARMs
|
52
|
No-Bid
|
113
|
non-pro
rata security
|
162
|
Notes
|
40
|
Offered
Securities
|
41
|
OID
|
159
|
OID
Regulations
|
159
|
outside
reserve fund
|
158
|
PAC
Method
|
160
|
PACs
|
40
|
Parties
in Interest
|
181
|
Partner
Certificates
|
159
|
PC
Pool
|
65
|
Percentage
Interest
|
42
|
Planned
Amortization Certificates
|
40
|
Plans
|
181
|
PMBS
Agreement
|
60
|
PMBS
Issuer
|
60
|
PMBS
Servicer
|
60
|
PMBS
Trustee
|
60
|
Policy
Statement
|
187
|
Pre-Funding
Account
|
67
|
Pre-Funding
Arrangement
|
67
|
Primary
Assets
|
48
|
Prime
Rate
|
52
|
Principal
Distribution Amount
|
43
|
Principal
Only Securities
|
40
|
Principal
Weighted Securities
|
40
|
Private
Mortgage-Backed Securities
|
48
|
PTCE
|
183
|
PTE
|
182
|
QPAM
|
184
|
Qualified
Insurer
|
100
|
Qualified
Stated Interest
|
160
|
Qualifying
Substitute Mortgage Loan
|
123
|
Rating
Agency
|
43
|
RCRA
|
142
|
REIT
|
158
|
REMIC
regular certificate
|
157
|
REMIC
residual certificate
|
157
|
REMICs
|
157
|
REO
Property
|
132
|
Residual
Owner
|
157
|
Restricted
Group
|
186
|
Retained
Interest
|
47
|
Revolving
Account
|
67
|
Revolving
Period Arrangement
|
67
|
Revolving
Primary Assets
|
67
|
S&P
|
182
|
sale
and collection agreement
|
119
|
SBJPA
of 1996
|
179
|
Scheduled
Payment
|
49
|
Scheduled
Principal
|
65
|
Scheduled
Securities
|
40
|
Securities
|
40
|
Securities
Act
|
190
|
Defined
Term
|
Page
|
Securities
Administration Account
|
130
|
Security
Owner
|
156
|
Seller
|
121
|
Senior
Securities
|
43
|
Servicemembers
Civil Relief Act
|
139
|
Servicing
Account
|
95
|
Servicing
Agreements
|
92
|
Servicing
Fee
|
92
|
SIBOR
|
52
|
Single
Family Property
|
64
|
SMMEA
|
187
|
SPA
|
154
|
Sponsor
|
72
|
Standard
Certificates
|
174
|
Stapled
Securities
|
157
|
Stripped
Bond Rules
|
174
|
Stripped
Certificates
|
174
|
Subordinate
Securities
|
40
|
Subordinated
Amount
|
106
|
Subordination
Reserve Fund
|
106
|
Subsequent
Primary Assets
|
67
|
Subservicers
|
91
|
Subsidy
Fund
|
97
|
super-premium
class
|
160
|
Swap
|
183
|
Swap
Agreement
|
183
|
TACs
|
40
|
Targeted
Amortization Certificates
|
40
|
T-Bill
|
52
|
Tiered
REMICs
|
179
|
Title
V
|
144
|
Title
VIII
|
147
|
trust
agreement
|
119
|
U.S.
Person
|
156
|
UCC
|
138
|
Underwriters
|
188
|
VA
|
63
|
VA
Loans
|
63
|
withholding
agent
|
164
|
(i)
|
is
signed under penalties of perjury by an authorized representative
of the
financial institution,
|
(ii)
|
states
that the financial institution has received an IRS Form W-8BEN (or
any
successor form) from the certificateholder or that another financial
institution acting on behalf of the certificateholder has received
such
IRS Form W-8BEN (or any successor
form),
|
II.
|
the
holder claims an exemption or reduced rate based on a treaty and
provides
a properly executed IRS Form W-8BEN (or any successor form) to the
Trustee
or the U.S. withholding agent;
|
III.
|
the
holder claims an exemption stating that the income is effectively
connected to a U.S. trade or business and provides a properly executed
IRS
Form W-8ECI (or any successor form) to the Trustee or the U.S. withholding
agent; or
|
IV.
|
the
holder is a nonwithholding partnership and provides a properly executed
IRS Form W-8IMY (or any successor form) with all necessary attachments
to
the Trustee or the U.S. withholding agent. Certain pass through entities
that have entered into agreements with the Internal Revenue Service
(for
example qualified intermediaries) may be subject to different
documentation requirements; it is recommended that such holders consult
with their tax advisors when purchasing the
Certificates.
|
I.
|
provides
a properly executed IRS Form W-8BEN, Form W-8ECI or Form W-8IMY (or
any
successor forms) if that person is not a United States
person;
|
II.
|
provides
a properly executed IRS Form W-9 (or any substitute form) if that
person
is a United States person; or
|
III.
|
is
a corporation, within the meaning of Section 7701(a) of the Internal
Revenue Code of 1986, or otherwise establishes that it is a recipient
exempt from United States backup
withholding.
|
Lehman
Brothers Holdings Inc.
Sponsor
and Seller
|
Structured
Asset Securities Corporation
Depositor
|
Lehman
Mortgage Trust 2008-6
Issuing
Entity
|
Aurora
Loan Services LLC
Master
Servicer
|
This ‘424B5’ Filing | Date | Other Filings | ||
---|---|---|---|---|
9/30/11 | ||||
12/31/10 | ||||
3/15/09 | ||||
9/25/08 | 10-D | |||
Filed on: | 9/2/08 | FWP | ||
8/29/08 | 8-K, FWP | |||
8/28/08 | ||||
8/25/08 | ||||
8/12/08 | ||||
8/1/08 | ||||
7/30/08 | ||||
7/11/08 | ||||
6/30/08 | ||||
2/11/08 | ||||
1/17/08 | ||||
1/4/08 | ||||
1/1/08 | ||||
12/31/07 | FWP | |||
12/21/07 | ||||
11/30/07 | 424B5 | |||
9/1/07 | ||||
8/6/07 | ||||
6/9/07 | ||||
12/31/06 | ||||
11/30/06 | 424B5 | |||
8/1/06 | 424B5 | |||
7/31/06 | 8-K | |||
1/1/06 | ||||
12/31/05 | ||||
1/7/05 | S-3/A | |||
1/1/05 | ||||
10/21/98 | ||||
3/20/98 | S-3 | |||
5/15/97 | ||||
8/20/96 | ||||
4/25/96 | 424B5 | |||
12/31/95 | ||||
6/30/95 | ||||
List all Filings |