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J.P. Morgan Alternative Loan Trust 2006-A5 · FWP · J.P. Morgan Alternative Loan Trust 2006-A5 · On 9/13/06

Filed On 9/13/06, 5:54pm ET   ·   Accession Number 1162318-6-1202   ·   SEC File 333-130192-20

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  As Of                Filer                Filing    For/On/As Docs:Size              Issuer               Agent

 9/14/06  JP Morgan Alternative Lo..2006-A5 FWP         9/13/06    1:715K JP Morgan Alternative Lo..2006-A5 Nelson McKee/FA

Free Writing Prospectus   —   Rule 163/433
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: FWP         Free Writing Prospectus                             HTML    347K 


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  JPALT 2006-A5 Summary Term Sheet Group 2 v18  

New Issue Marketing Materials

$ [420,474,616]

J.P. Morgan Alternative Loan Trust, 2006-A5 Pool 2 Certificates

Issuing Entity

J.P. Morgan Acceptance Corporation I

Depositor

U.S. Bank National Association

Master Servicer

J.P. Morgan Acquisition Corp.

Sponsor and Seller

J.P. Morgan Securities Inc.

Underwriter


The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer or any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling 212-834-2499 (collect call) or by emailing Thomas Panagis at thomas.m.panagis@jpmorgan.com.

This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. This communication shall not constitute an offer to sell or the solicitation of an offer to buy, nor shall there be any sale of the securities referenced in this communication in any state or other jurisdiction in which such offer, solicitation or sale would be unlawful, prior to registration or qualification under the securities laws of any such state or other jurisdiction.

This free writing prospectus is being delivered to you solely to provide you with information about the offering of the asset-backed securities referred to in this free writing prospectus and to solicit an indication of your interest in purchasing such securities, when, as and if issued.

The information contained in this communication is subject to change, completion or amendment from time to time. You should consult your own counsel, accountant and other advisors as to the legal, tax, business, financial and related aspects of a purchase of these securities.

The attached information may contain certain tables and other statistical analyses (the "Computational Materials") that have been prepared in reliance upon information furnished by the issuer, the preparation of which used numerous assumptions which may or may not be reflected herein. As such, no assurance can be given as to the appropriateness of the Computational Materials for any particular context; or as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the final underlying assets and the preliminary underlying assets used in preparing the Computational Materials. Neither JPMorgan nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments or losses on any of the underlying assets or the payments or yield on the securities.

THIS INFORMATION IS FURNISHED TO YOU SOLELY BY JPMORGAN AND NOT BY THE ISSUER OR ANY OF ITS AFFILIATES (OTHER THAN JPMORGAN). JPMORGAN IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE OFFERING TO WHICH THIS COMMUNICATION RELATES.

Copyright 2005 JPMorgan Chase & Co. All rights reserved. J.P. Morgan Securities Inc. (JPMSI), member NYSE and SIPC. JPMorgan is the marketing name used by the specific legal entity or entities named in the attached materials. Clients should contact analysts and execute transactions through a JPMorgan Chase & Co. subsidiary or affiliate in their home jurisdiction unless governing law permits otherwise.

[jpalt2006a5summarytermshe002.jpg] 

MBS Trading Desk (212) 834-2499


JPALT 2006-A5 Preliminary Term Sheet

September 13, 2006


Contact List





North American ABS – Home Equity

 

Rating Agency Contacts

Origination:

Matthew Wong

212-834-5709

 

Standard & Poor’s

  
 

Carla Schriver

212-834-5257

  

Peter McGinnis

212-438-7329

       
    

Moody’s

  

MBS Trading  / Structuring

Greg Boester

212-834-2499

  

Jason (Shuisheng) Shi

212-553-1709

 

Eric Norquist

212-834-2499

    




 
  
  
  
  





Please Direct All Banking Related Questions to


Matt Wong

Carla Schriver


Bond Summary

$[420,474,616]

(Approximate, Subject to +/- 5% Variance)

J.P. Morgan Alternative Loan Trust

Mortgage Pass-Through Certificates, Series 2006-A5




Class


Approximate

Size ($)


Initial

Coupon(2)

Est.WAL (yrs.)

To Call

 (3)

Pmt. Window (Mths.)

To Call

Approx.

Initial

C/E (%) (4)

Approx.

Targeted

C/E (%)(4)(5)

Expected

Ratings

Moody’s/S&P(4)

2-A-1

$97,000,000.00

[  ]

3.18

1 - 80

[11.17]

[11.50]

Aaa / AAA

2-A-2

$6,160,000.00

[  ]

3.18

1 - 80

[11.17]

[11.50]

Aaa / AAA

2-A-3

$115,904,000.00

[  ]

1.00

1 - 23

[11.17]

[11.50]

Aaa / AAA

2-A-4

$86,260,000.00

[  ]

3.00

23 - 61

[11.17]

[11.50]

Aaa / AAA

2-A-5

$9,865,000.00

[  ]

5.86

61 - 81

[11.17]

[11.50]

Aaa / AAA

2-A-6

$34,678,000.00

[  ]

6.88

81 - 83

[11.17]

[11.50]

Aaa / AAA

2-A-7

$27,412,000.00

[  ]

6.19

37 - 83

[11.17]

[11.50]

Aaa / AAA

2-A-8

$23,018,000.00

[  ]

3.10

1 - 83

[5.75]

[11.50]

Aa1 / AAA

2-M-1

$8,495,000.00

[  ]

5.13

37 - 83

[3.75]

[7.50]

Aa2 / AA

2-M-2

$6,796,000.00

[  ]

5.13

37 - 83

[2.15]

[4.30]

A2 / A

2-B-1

$2,761,000.00

6.50

5.09

37 - 82

[1.50]

[3.00]

Baa2 / BBB

2-B-2

$2,125,616.89

6.50

4.76

37 - 78

[1.00]

[2.00]

Baa3 / BBB-

 

Non-Offered Certificates

   

2-CE

4,244,622.96

N/A

N/A

N/A

N/A

N/A

N/A

(1)

The classes listed hereby and described in this preliminary term sheet are the classes of certificates of J.P. Morgan Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-A5  that relate to a pool of mortgage loans that will be designated as “Pool 2.” No other classes of certificates related to the J.P. Morgan Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-A5 are described in this preliminary term sheet.

(2)

The coupon on all classes of certificates will be fixed (subject to a cap equal to the weighted average of the net interest rates on the mortgage loans). Coupons will be set at pricing to achieve par prices on each of the Certificates, subject to a maximum coupon rate of [6.50]%. On or after the Distribution Date in October 2013, the coupon on the Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, Class 2- A-8, Pool 2 Mezzanine, and Pool 2 Subordinate Certificates will equal the Net WAC Rate minus 0.25%.  

(3)

Weighted average life calculated at the pricing speed assuming that the optional call is exercised at the earliest possible date.

(4)

Ratings and credit enhancement levels subject to change upon final confirmation from Moody’s and S&P. Credit enhancement levels include the overcollateralization amount. The Senior Certificates, other than the Class 2-A-8 Certificates, benefit from additional credit support from the Class 2-A-8 Certificates.  

(5)

Targeted credit enhancement level on any Distribution Date after the Step-Down Date on which a Trigger Event is not in effect.



Please see “Summary of Terms” herein for definitions of all capitalized terms used herein but not otherwise defined.





Structure

Overview

Pool 2 Senior Certificates

Interest will accrue on the Class 2-A-3 Certificates at a fixed rate, subject to a cap equal to the Pool 2 Net WAC Rate, on a 30/360 basis with 0 days delay.  On or after the distribution date in October 2013 the interest rate will be equal to the Pool 2 Net WAC Rate minus 0.25%.  

Interest will accrue on the Class 2-A-1, Class 2-A-2, Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, and Class 2-A-8 Certificates at a fixed rate, subject to the Pool 2 Net WAC Rate on a 30/360 basis with 24 days delay.  On or after the distribution date in October 2013 the interest rate on the Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, and Class 2-A-8 Certificates will be equal to the Pool 2 Net WAC Rate minus 0.25% .   

The Pool 2 Senior Certificates will be entitled to all principal payments on each Distribution Date prior to the Step-Down Date or on which a Trigger Event is in effect, until these certificates have been paid in full.

For any Distribution Date on or after the Step-Down Date on which a Trigger Event is not in effect, the Pool 2 Senior Certificates will be entitled to receive principal based on their collective target credit enhancement level.

Realized losses allocable to the Senior Certificates, other than the Class 2-A-8 Certificates (the “Super Senior Certificates”) will be allocated to the Class 2-A-8 Certificates (the “Senior Support Certificates”) until the class principal amount of the Senior Support Certificates has been reduced to zero.

Mezzanine and Subordinate Certificates

The Class 2-M-1 and Class 2-M-2 Certificates (the “Pool 2 Mezzanine Certificates”) will have a higher priority than the Class 2-B-1 and Class 2-B-2 Certificates (the “Pool 2 Subordinate Certificates”).  Among the Pool 2 Mezzanine Certificates, the Class 2-M-2 Certificates will be subordinate to the Class 2-M-1 Certificates. Among the Pool 2 Subordinate Certificates, the Class 2-B-2 Certificates will be subordinate to the Class 2-B-1 Certificates.

Interest will accrue on the Pool 2 Mezzanine and Pool 2 Subordinate Certificates at a fixed rate, subject to a cap equal to the Pool 2 Net WAC Rate, on a 30/360 basis with 24 days delay.  On or after the distribution date in October 2013 the interest rate will be equal to the Pool 2 Net WAC Rate minus 0.25%.  

On each Distribution Date prior to the Step-Down Date or on which a Trigger Event is in effect, the Pool 2 Mezzanine and Pool 2 Subordinate Certificates will receive principal only in the event that the Pool 2 Senior Certificates have been paid in full on or prior to such date.

For any Distribution Date on or after the Step-Down Date on which a Trigger Event is not in effect, the Pool 2 Mezzanine and Pool 2 Subordinate Certificates will receive principal sequentially to their target credit enhancement level on the basis of their class distribution amount as calculated for the related Distribution Date.



Subordination of Class M and B Certificates

Priority of Payment

The initial enhancement percentages take into account the initial overcollaterization (“O/C”) amount of approximately [1.00]% of the Cut-off Date balance of the pool 2 mortgage loans.

On or after the Step-Down Date (provided a Trigger Event is not in effect) the O/C amount will step-down to [2.00]% of the then current balance of the pool 2 mortgage loans, subject to an O/C floor of [0.50]% of the Cut-off Date balance of the pool 2 mortgage loans.


Loss Allocation

Any realized losses will the allocated in the following order, a) to the Class CE Certificates by a reduction of amounts otherwise payable to such Certificates, b) to reduce the O/C amount, c) to the Pool 2 Mezzanine and Pool 2 Subordinate Certificates in reverse order of seniority and d_ to the Class 2-A-8 Certificates


Pool 2 Senior Certificates(1)

 [11.17]% C/E Super Senior

[5.75]% C/E Senior Support

Class 2-M-1

[3.75]% C/E

Class 2-M-2

[2.15]% C/E

Class 2-B-1

[1.50]% C/E

Class 2-B-2

[1.00]% C/E

 

Overcollateralization

Initial O/C Amount: [1.00] % of the Cut-off Date balance of the mortgage loans.

Target O/C Amount: (a) On or after the Step-Down Date, provided a Trigger Event is not in effect, [2.00] % of the current mortgage loan balance, subject to a floor of [0.50] % of the mortgage loan balance as of the Cut-off Date.

Excess Spread

Any excess spread will cover interest shortfalls and cumulative losses before being distributed to the holders of the Class CE Certificates.

(1) Pool 2 Senior Certificates share preferential right to receive interest over the Pool 2 Mezzanine and Pool 2 Subordinate Certificates

Trigger Event

A Trigger Event is in effect with respect to any Distribution Date on or after the Step-Down Date if either (i) the percentage obtained by dividing (x) the principal balance of the pool 2 mortgage loans that are 60 days or more delinquent or REO or in bankruptcy or in foreclosure as of the last day of the prior calendar month by (y) the principal balance of the pool 2 mortgage loans as of the last day of the prior calendar month, is greater than [ 40.00 ]% of the senior enhancement percentage for the related Distribution Date or if (ii) the cumulative realized losses on the pool 2 mortgage loans exceeds the percentage set forth in the following table:

Range of Distribution Dates

Percentage

October 2009 – September 2010

[ 0.45 ]%*

October 2010 – September 2011

[ 0.80]%*

October 2011 – September 2012

[ 1.15 ]%*

October 2012 and thereafter

[ 1.30 ]%

*

The percentages indicated are the percentages applicable for the first Distribution Date in the corresponding range of Distribution Dates. The percentage for each succeeding Distribution Date in the range increases incrementally by 1/12th of the positive difference between the percentage applicable to the first Distribution Date in that range and the first Distribution Date in the succeeding range.


Priority of Distributions

Distributions of Interest

On each Distribution Date, the Pool 2 Interest Remittance Amount for such Distribution Date will be distributed in the order of priority described below:

1.

To the Pool 2 Senior Certificates, the related Interest Distribution Amount;

2.

To the Pool 2 Senior Certificates, the related unpaid Interest Shortfall, if any;

3.

To the Class 2-M-1 Certificates, the Interest Distribution Amount allocable to such certificates;

4.

To the Class 2-M-2 Certificates, the Interest Distribution Amount allocable to such certificates;

5.

To the Class 2-B-1 Certificates, the Interest Distribution Amount allocable to such certificates;

6.

To the Class 2-B-2 Certificates, the Interest Distribution Amount allocable to such certificates;

Any Pool 2 Interest Remittance Amounts remaining undistributed following these distributions will be distributed as Net Monthly Excess Cashflow for such Distribution Date in accordance with the priorities set forth below.  On any Distribution Date, any Net Interest Shortfalls for Pool 2 will first reduce Net Monthly Excess Cashflow and then will be allocated among the Pool 2 Senior Certificates, the Pool 2 Mezzanine Certificates and the Pool 2 Subordinate Certificates in reduction of the respective Interest Distribution Amounts on a pro rata basis based on the respective Interest Distribution Amounts for such Distribution Date without giving effect to Net Interest Shortfalls.


Distributions of Principal


1. On each Distribution Date prior to the Step-Down Date or on which a Trigger Event is in effect, the Pool 2 Principal Distribution Amount for such Distribution Date will be distributed sequentially in the order of priority described below:

a.         To the  Pool 2 Senior Certificates, concurrently as follows:

i.          approximately [94.2497695461]% sequentially as follows:

A.       To the Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, and Class 2-A-7, an amount up to $1,000 on each Distribution Date, in the following order of priority:

I.          to the Class 2-A-7 Certificates, up to the Class 2-A-7 Priority Amount, until the Class Principal Amount thereof has been reduced to zero;

II.        to the Class 2-A-3, Class 2-A-4, Class 2-A-5, and Class 2-A-6 Certificates sequentially, in that order, until the Class Principal Amount of each such Class has been reduced to zero;

III.      to the Class 2-A-7 Certificates until the Class Principal Amount thereof has been reduced to zero;

B.        To the Class 2-A-1 and Class 2-A-2 Certificates sequentially, as follows:

I.          To the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, an amount up to $1,475,000, on each Distribution Date, provided that the aggregate amount paid pursuant to this clause shall not exceed $17,700,000;

II.        On or after the distribution date in October 2007, to the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, an amount up to $1,415,000, on each Distribution Date, provided that the aggregate amount paid pursuant to this clause shall not exceed $16,980,000;

III.      On or after the distribution date in October 2008, to the Class 2-A-1 and Class A-2 Certificates, pro-rata, an amount up to $1,345,000, on each Distribution Date, provided that the aggregate amount paid pursuant to this clause shall not exceed $16,140,000;

IV.      On or after the distribution date in October 2009, to the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, an amount up to $1,280,000, on each Distribution Date, provided that the aggregate amount paid pursuant to this clause shall not exceed $15,360,000;

V.        On or after the distribution date in October 2010, to the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, an amount up to $1,215,000, on each Distribution Date, provided that the aggregate amount paid pursuant to this clause shall not exceed $14,580,000

VI.       On or after the distribution date in October 2011, to the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, an amount up to $1,120,000 on each Distribution Date, provided that the aggregate amount paid pursuant to this clause shall not exceed $22,400,000;

C.        To the Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, and Class 2-A-7, Certificates, in the following order of priority:

I.          to the Class 2-A-7 Certificates, up to the Class 2-A-7 Priority Amount, until the Class Principal Amount thereof has been reduced to zero;

II.        to the Class 2-A-3, Class 2-A-4, Class 2-A-5, and Class 2-A-6 Certificates sequentially, in that order, until the Class Principal Amount of each such Class has been reduced to zero;

III.      to the Class 2-A-7 Certificates until the Class Principal Amount thereof has been reduced to zero;

D.       to the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, until retired;

ii.         approximately [5.7502304539]% to the Class 2-A-8 Certificates until retired

b.        To the Class 2-M-1 Certificates, until the Class Principal Amount thereof has been reduced to zero;

c.         To the Class 2-M-2 Certificates, until the Class Principal Amount thereof has been reduced to zero;

d.        To the Class 2-B-1 Certificates, until the Class Principal Amount thereof has been reduced to zero; and

e.         To the Class 2-B-2 Certificates, until the Class Principal Amount thereof has been reduced to zero.

 

2. On each Distribution Date, on or after the Step-Down Date and on which a Trigger Event is not in effect, the Pool 2  Principal Distribution Amount for such Distribution Date will be distributed sequentially in the order of priority described below:

a.         To the Pool 2 Senior Certificates, the Pool 2 Senior Principal Distribution Amount, concurrently as follows:

i.          approximately [94.2497695461]% sequentially as follows:

A.       To the Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, and Class 2-A-7, an amount up to $1,000 on each Distribution Date, in the following order of priority;

I.          to the Class 2-A-7 Certificates, up to the Class 2-A-7 Priority Amount, until the Class Principal Amount thereof has been reduced to zero;

II.        to the Class 2-A-3, Class 2-A-4, Class 2-A-5, and Class 2-A-6 Certificates sequentially, in that order, until the Class Principal Amount of each such Class has been reduced to zero;

III.      to the Class 2-A-7 Certificates until retired;

B.        To the Class 2-A-1 and Class 2-A-2 Certificates in the same manner as described in clause (1)(a)(i)(B)(I) through (1)(a)(i)(B)(VI) above;

C.        To the Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, and Class 2-A-7, Certificates, in the following order of priority:

I.          to the Class 2-A-7 Certificates, up to the Class 2-A-7 Priority Amount, until the Class Principal Amount thereof has been reduced to zero;

II.        to the Class 2-A-3, Class 2-A-4, Class 2-A-5, and Class 2-A-6 Certificates sequentially, in that order, until the Class Principal Amount of each such Class has been reduced to zero;

III.      to the Class 2-A-7 Certificates until retired;

D.       to the Class 2-A-1 and Class 2-A-2 Certificates, pro-rata, until retired;

ii.         approximately [5.7502304539]% to the Class 2-A-8 Certificates until retired

b.        To the Class 2-M-1 Certificates, the related Subordinate Class Principal Distribution Amount for such Distribution Date, until the Class Principal Amount thereof has been reduced to zero;

c.         To the Class 2-M-2 Certificates, the related Subordinate Class Principal Distribution Amount for such Distribution Date, until the Class Principal Amount thereof has been reduced to zero;

d.        To the Class 2-B-1 Certificates, the related Subordinate Class Principal Distribution Amount for such Distribution Date, until the Class Principal Amount thereof has been reduced to zero; and

e.         To the Class 2-B-2 Certificates, the related Subordinate Class Principal Distribution Amount for such Distribution Date, until the Class Principal Amount thereof has been reduced to zero.

Any Pool 2 Principal Distribution Amount remaining undistributed following these distributions will be distributed as Net Monthly Excess Cashflow in accordance with the priority set forth below.


Overcollateralization Provisions

On each Distribution Date, the Net Monthly Excess Cashflow, if any, will be applied on such Distribution Date as an accelerated payment of principal on the class or classes of Certificates then entitled to receive distributions in respect of principal, but only to the extent necessary to maintain the Overcollateralization Amount at the Overcollateralization Target Amount.

With respect to any Distribution Date, any Net Monthly Excess Cashflow will be paid as follows:

1.

To the class or classes of Certificates then entitled to receive distributions in respect of principal, in an amount equal to any Overcollateralization Increase Amount, payable to such holders as part of the Pool 2 Principal Distribution Amount in accordance with the priorities described above;

2.

To the Pool 2 Senior Certificates, pro rata, in an amount equal to the Unpaid Realized Loss Amount allocable to each such class;

3.

To the Class 2-M-1 Certificates, the unpaid Interest Shortfall allocable to such class;

4.

To the Class 2-M-1 Certificates, the Unpaid Realized Loss Amount allocable to such class;

5.

To the Class 2-M-2 Certificates, the unpaid Interest Shortfall allocable to such class;

6.

To the Class 2-M-2 Certificates, the Unpaid Realized Loss Amount allocable to such class;

7.

To the Class 2-B-1 Certificates, the unpaid Interest Shortfall allocable to such class;

8.

To the Class 2-B-1 Certificates, the Unpaid Realized Loss Amount allocable to such class;

9.

To the Class 2-B-2 Certificates, the unpaid Interest Shortfall allocable to such class;

10.

To the Class 2-B-2 Certificates, the Unpaid Realized Loss Amount allocable to such class;

11.

concurrently, to the holders of the  Senior Certificates, pro rata, such class’ previously allocated and not reimbursed share of Net Interest Shortfalls, if any;

12.

To the Class 2-M-1 Certificates, such class’ previously allocated and not reimbursed share of Net Interest Shortfalls, if any;

13.

To the Class 2-M-2 Certificates, such class’ previously allocated and not reimbursed share of Net Interest Shortfalls, if any;

14.

To the Class 2-B-1 Certificates, such class’ previously allocated and not reimbursed share of Net Interest Shortfalls, if any;

15.

To the Class 2-B-2 Certificates, such class’ previously allocated and not reimbursed share of Net Interest Shortfalls, if any;

16.

To the Pool 2 Senior Certificates, pro-rata based on need, any Net WAC Shortfall Carryover Amounts, as applicable, for such Certificates for such Distribution Date;

17.

To the Pool 2 Mezzanine and Pool 2 Subordinate Certificates, in the order of seniority, any Net WAC Shortfall Carryover Amounts for such Certificates for such Distribution Date;

18.

To the Securities Administrator, the Custodian or the Trustee in respect of any unreimbursed expenses and indemnifications owing thereto; and

19.

To the Class CE Certificates.



 


Deal Summary

Issuing Entity

J.P. Morgan Alternative Loan Trust, 2006-A5

 Pool 2 Offered Certificates

Class 2-A-1, Class 2-A-2, Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, and Class 2-A-8, Class 2-M-1, Class 2-M-2, Class 2-B-1, and Class 2-B-2 Certificates are the “Pool 2 Offered Certificates”.  In addition to the Offered Certificates, the trust fund will issue a class of private classes of certificates, the Class CE Certificates.

Pool 2 Senior Certificates or Pool 2 Class A Certificates:  Class 2-A-1, Class 2-A-2, Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, and  Class 2-A-8

Pool 2 Mezzanine Certificates :  Class 2-M-1 and Class 2-M-2.

Pool 2 Subordinate Certificates :  Class 2-B-1 and Class 2-B-2.

NAS Certificates:  Class 2-A-7

Lead Underwriter

J.P. Morgan Securities, Inc.

Seller

J.P. Morgan Mortgage Acquisition Corp.

Depositor

J.P. Morgan Acceptance Corporation I

Trustee

HSBC Bank USA

Master Servicer

U.S. Bank National Association  (the “Master Servicer”)

Servicers

JPMorgan Chase Bank, Countrywide Home Loans Servicing LP, and certain other servicers will act as a servicer of a portion of the mortgage loans.

Custodian

JPMorgan Chase Bank, N.A.

Cut-off Date

September 1, 2006.

Settlement Date

September 29, 2006.

Optional Clean-Up Call

The Clean-Up Call option may be exercised on the first Distribution Date on which the current balance of the pool 2 mortgage loans reaches 10% of its Cut-off Date balance and on each Distribution Date thereafter.

Pricing Prepayment Speed (PPC)

100% “PPC” assumes, for each mortgage loan in a mortgage pool, a per annum rate of prepayment of 10.0 CPB% of the then outstanding principal balance such mortgage loan in the first month of the life of such mortgage loan, following which the annual prepayment rate increases by 15%/11 each month until the 12th month of the life of such mortgage loan, and remains constant at 25% CPB per annum in the 12th month of the life of such mortgage loan and in each month thereafter.



Summary of Terms  

Current Principal Balance

For any Distribution Date and Mortgage Loan, the stated principal balance of such Mortgage Loan as of the last day of the related Due Period.

Class 2-A-7 Priority Amount

With respect to the Class 2-A-7 Certificates and any Distribution Date and clause 1.a.i.A.I or 2.a.i.A.I in "Distributions of Principal", the product of (a) the Class 2-A-7 Priority Percentage, (b) the Class 2-A-7 Shift Percentage and (c) either (i) on any Distribution Date prior to the Step-Down Date or on which a Trigger Event is in effect, the lesser of (1) the Pool 2 Principal Distribution Amount remaining for such Distribution Date pursuant to and immediately prior to the application of clause 1.a.i.A in "Distributions of Principal" and (2) $1,000, or (ii) on any Distribution Date on and after the Step-Down Date and on which a Trigger Event is not in effect, the lesser of (1) the Pool 2 Senior Principal Distribution Amount remaining for such Distribution Date pursuant to and immediately prior to the application of clause 2.a.i.A  in "Distributions of Principal" and (2) $1,000.

 

With respect to the Class 2-A-7 Certificates and any Distribution Date and clause 1.a.i.C.I or 2.a.i.C.I in "Distributions of Principal", the product of (a) the Class 2-A-7 Priority Percentage, (b) the Class 2-A-7 Shift Percentage and (c) either (i) on any Distribution Date prior to the Step-Down Date or on which a Trigger Event is in effect, the Pool 2 Principal Distribution Amount remaining for such Distribution Date pursuant to and immediately prior to the application of clause 1.a.i.C in "Description of the Certificates—Distributions of Principal", or (ii) on any Distribution Date on and after the Step-Down Date and on which a Trigger Event is not in effect, the Pool 2 Senior Principal Distribution Amount remaining for such Distribution Date pursuant to and immediately prior to the application of clause 2.a.i.C in "Distributions of Principal".

Class 2-A-7 Priority Percentage

With respect to any Distribution Date, the aggregate Class Principal Amount of

the Class 2-A-7 Certificates divided by the aggregate Class Principal Amount of the

Senior Certificates, other than the Class 2-A-1, Class 2-A-2 and Class 2-A-8 Certificates,

in each case immediately prior to any distributions on that Distribution Date.

Class 2-A-7 Shift Percentage

Distribution Date

NAS Shift (1) (%)

October  2006 – September 2009

0

October 2009 – September 2011

45

October 2011 – September 2012

80

October 2012 – September 2013

100

October 2013 and thereafter

300

(1) Percentage of pro rata principal distribution amount due to the NAS Certificates.

Distribution Date

25th day of each month (or the next business day if the 25th is not a business day), commencing in October 2006.

Due Period

With respect to a Mortgage Loan and any Distribution Date, the period beginning on the second day of the calendar month preceding the month in which such Distribution Date occurs and ending on the first day of the calendar month in which such Distribution Date occurs.

Fixed Rate Certificates

The Pool 2 Senior Certificates, the Pool 2 Mezzanine Certificates, and the Pool 2 Subordinate Certificates.

Fixed Rate

For any Class of Fixed Rate Certificates, the related Initial Coupon Rate as set forth on the table on page 2.

Interest Distribution Amount

With respect to each class of Pool 2 Offered Certificates entitled to interest and any Distribution Date, the amount of interest accrued during the related accrual period at the related certificate interest rate on the related class principal amount for such Distribution Date as reduced by such class’ share of Net Interest Shortfalls.

Interest Shortfall


With respect to any class of Pool 2 Offered Certificates entitled to interest and any Distribution Date, the amount by which (i) the Interest Distribution Amount for such class on all prior Distribution Dates exceeds (ii) amounts distributed in respect thereof to such class on prior Distribution Dates.

Mortgage Loan

The conventional, adjustable rate mortgage loans secured by first liens on the Mortgaged Properties included of the Issuing Entity as of the Closing Date.

Net Interest Shortfalls

With respect to any Distribution Date and Pool 2, an amount equal to the sum of a) any Net Prepayment Interest Shortfalls for Pool 2 for such Distribution Date, and b) Relief Act Reductions.

Net Monthly Excess Cashflow

For any Distribution Date is equal to the sum of (a) any Overcollateralization Release Amount and (b) the excess of (x) the available distribution amount for Pool 2 for such Distribution Date over (y) the sum for such Distribution Date of (A) the Interest Distribution Amounts for the Certificates, (B) the Interest Shortfall for the Pool 2 Senior Certificates and (C) the Pool 2  Principal Remittance Amount.

Net Prepayment Interest Shortfall

With respect to Pool 2 and any Distribution Date, the amount by which a prepayment interest shortfall for the related prepayment period exceeds the amount that the Master Servicer is obligated to remit pursuant to the Pooling and Servicing Agreement and/or each Servicer is obligated to remit pursuant to the applicable Purchase and Servicing Agreement, to cover such shortfall for such due period.

Net WAC Shortfall Carryover Amount

With respect to any Class of Fixed Rate Certificates and any Distribution Date, an amount equal to the sum of (i) in the case of (a) the Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, Class 2-A-8,  Pool 2 Mezzanine, and Pool 2 Subordinate Certificates, for any Distribution Date on or after October 2013, zero, or (b) any other case, the excess of (x) the amount of interest such class of Fixed Rate Certificates would have accrued on such Distribution Date had its certificate rate been equal to the Fixed Rate for such Class of Certificates, over (y) the amount of interest such class of certificates actually accrued for such Distribution Date at the Pool 2 Net WAC Rate and (ii) the unpaid portion of any related Net WAC Shortfall Carryover Amounts from the prior Distribution Date together with interest accrued on such unpaid portion for the most recently ended Accrual Period at the Fixed Rate for such class of Fixed Rated Certificates for the related Accrual Period.

Overcollateralization Amount

For any Distribution Date with respect to Pool 2, the amount, if any, by which (x) the aggregate Current Principal Balance of the Pool 2 Mortgage Loans exceeds (y) the sum of the aggregate class principal amount of the Pool 2 Certificates (other than the Class 2-CE Certificates) as of such Distribution Date (assuming that 100% of the Pool 2 Principal Remittance Amount is applied as a principal payment on such Distribution Date). Initially, the Overcollateralization Amount will be approximately [1.00] % of the aggregate stated principal balance of the Pool 2 Mortgage Loans as of the Cut-off Date, or approximately [$4,244,622].

Overcollateralization Deficiency Amount

With respect to any Distribution Date, the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralization Amount on such Distribution Date (after giving effect to distributions in respect of the Pool 2 Principal Remittance Amount on such Distribution Date).

Overcollateralization Floor

With respect to any Distribution Date, an amount equal to the product of (i) 0.50% and (ii) the aggregate stated principal balance of the Pool 2 Mortgage Loans as of the Cut-off Date.

Overcollateralization Increase Amount

For any Distribution Date is the lesser of (x) the Net Monthly Excess Cashflow for such Distribution Date and (y) the Overcollateralization Deficiency Amount for such Distribution Date.

Overcollateralization Release Amount

With respect to any Distribution Date, the lesser of (x) the  Pool 2 Principal Remittance Amount for such Distribution Date and (y) the excess, if any, of (1) the Overcollateralization Amount for such Distribution Date over (2) the Overcollateralization Target Amount for such Distribution Date.

Overcollateralization Target Amount

With respect to any Distribution Date (1) prior to the Step-Down Date, approximately [1.00]% of the aggregate stated principal balance of the Pool 2 Mortgage Loans as of the Cut-off Date, or (2) on or after the Step-Down Date, (A) if a Trigger Event is not in effect, the greater of (x) [2.00]% of the aggregate Current Principal Balance of the Pool 2 Mortgage Loans and (y) the Overcollateralization Floor, and (B) if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date.

Pool 2 Basic Principal Distribution Amount

With respect to any Distribution Date, the excess of (i) the Principal Remittance Amount for such Distribution Date over (ii) the Overcollateralization Release Amount, if any, for such Distribution Date.

Pool 2 Interest Remittance Amount

With respect to any Distribution Date, that portion of the available distribution amount for such Distribution Date attributable to interest received or advanced with respect to the pool 2 mortgage loans and compensating interest paid by the Servicer or Master Servicer with respect to the mortgage loans.

Pool 2 Mezzanine Certificates

Class 2-M-1 and Class 2-M-2.

Pool 2 Net WAC Rate

For any Distribution Date, the weighted average of the net mortgage rates of the Pool 2 Mortgage Loans as of the first day of the calendar month immediately preceding the calendar month of such Distribution Date, weighted on the basis of their stated principal balances as of that date.

Pool 2 Principal Distribution Amount

With respect to any Distribution Date, the sum of (i) the Pool 2 Basic Principal Distribution Amount  for such Distribution Date and (ii) the Overcollateralization Increase Amount for such Distribution Date.

 Pool 2 Principal Remittance Amount

With respect to any Distribution Date, the portion of the available distribution amount equal to the sum of (i) all scheduled payments of principal collected or advanced on the  Pool 2 Mortgage Loans by the Servicer or Master Servicer that were due during the related Due Period, (ii) the principal portion of each full and partial principal prepayment made by a borrower on a  Pool 2 Mortgage Loan during the related Prepayment Period; (iii) each other unscheduled collection, including insurance proceeds and net liquidation proceeds representing or allocable to recoveries of principal of the Pool 2 Mortgage Loans received during the related prepayment period, including any subsequent recoveries on the Pool 2 Mortgage Loans, and (iv) the principal portion of the purchase price of each Pool 2 Mortgage Loan purchased due to a defect in documentation or a material breach of a representation and warranty with respect to such mortgage loan, (v) in connection with any optional purchase of the  Mortgage Loans, the principal portion of the purchase price, up to the principal portion of the par value.

Pool 2 Senior Certificates

Class 2-A-1, Class 2-A-2, Class 2-A-3, Class 2-A-4, Class 2-A-5, Class 2-A-6, Class 2-A-7, and Class 2-A-8

Pool 2 Senior Enhancement Percentage

For any Distribution Date is the percentage obtained by dividing (x) the sum of (i) the aggregate Class Principal Amount of the  Pool 2 Mezzanine and  Pool 2 Subordinate Certificates (after giving effect to the distribution of the Pool 2 Principal Distribution Amount on such Distribution Date) and (ii) the Overcollateralized Amount (after giving effect to the distribution of the Principal Distribution Amount on such Distribution Date) by (y) the aggregate Stated Principal Balance of the Pool 2 Mortgage Loans as of the last day of the related Due Period.

Pool 2 Senior Principal Distribution Amount

For any applicable Distribution Date, an amount equal to the excess of (x) the aggregate class principal amount of the Pool 2 Senior Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 88.50% and (2) the aggregate Current Principal Balance of the Pool 2 Mortgage Loans and (B) the aggregate Current Principal Balance of the Pool 2 Mortgage Loans minus the Overcollateralization Floor.

Pool 2 Subordinate Certificates

Class 2-B-1 and Class 2-B-2.

Realized Loss

With respect to a liquidated mortgage loan, the amount by which the remaining unpaid principal balance of such 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. With respect to a mortgage loan subject to a deficient valuation, the excess of the principal balance of such mortgage loan over the principal amount as reduced in connection with the proceedings resulting in a deficient valuation. With respect to a mortgage loan subject to a debt service reduction, the present value of all monthly debt service reductions, discounted monthly at the applicable mortgage rate.

Relief Act Reductions

The amount of interest that would otherwise have been received with respect to any Mortgage Loan which was subject to a reduction in the amount of interest collectible as a result of application of the Servicemembers Civil Relief Act or any similar state law.

Step-Down Date

The earlier to occur of (1) the Distribution Date on which the aggregate class principal amount of the Pool 2 Senior Certificates has been reduced to zero and (2) the later to occur of (x) the Distribution Date occurring October 2009 and (y) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to [11.50] % (as calculated prior to the distribution of Pool 2 Principal Distribution Amount on the Pool 2 Mezzanine and Pool 2 Subordinate Certificates).

Structuring Assumptions

The following assumptions, unless otherwise specified: (i) scheduled payments on all  Mortgage Loans are received on the first day of each month beginning October 1, 2006, (ii) any principal prepayments on the  Mortgage Loans are received on the last day of each month beginning in September 2006 and include 30 days of interest thereon, (iii) there are no defaults or delinquencies on the  Mortgage Loans, (iv) optional termination of the Trust Fund does not occur, (v) prepayments are computed after giving effect to scheduled payments received on the following day, (vi) the Mortgage Loans prepay at the indicated constant percentages of PPC, (vii) the date of issuance for the Certificates is September [29], 2006, (viii) cash distributions are received by the Certificateholders on the 25th day of each month, (ix) there are no Net Interest Shortfalls on any Distribution Date, (x) 6-Month LIBOR is constant at [5.420]%, (xi) 1 Year LIBOR is constant at [5.400]% and (xii) 1 Year CMT is constant at [5.014]%.

Subordinate Class Principal Distribution Amount

With respect to any class of  Pool 2 Subordinate Certificates or  Pool 2 Mezzanine Certificates  and Distribution Date, an amount equal to the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Pool 2 Senior Certificates (after taking into account the payment of the Pool 2 Senior Principal Distribution Amount on such Distribution Date), (2) the aggregate class principal amount of all classes of Pool 2 Mezzanine Certificates or Pool 2 Subordinate Certificates senior in right of payment to such class (after taking into account the payment of the related Subordinate Class Principal Distribution Amount of each of such classes), and (3) the related Subordinate Class Principal Distribution Amount immediately prior to such Distribution Date) over (y) the lesser of (A) the product of (1) 100% minus the related Targeted C/E Percentage and (2) the aggregate Current Principal Balance of the Pool 2 Mortgage Loans and (B) the aggregate Current Principal Balance of the Pool 2 Mortgage Loans minus the Overcollateralization Floor.

Targeted C/E Percentage

For each Class of Certificates, the percentage as set forth in the table on page [2].

Unpaid Realized Loss Amount

For any class of Pool 2 Senior, Pool 2 Mezzanine or Pool 2 Subordinate Certificates, the portion of the aggregate allocated Realized Loss amount previously allocated to that class remaining unpaid from prior Distribution Dates.



Sensitivity Analysis

Weighted Average Lives and Principal Payment Windows at Various Prepayment Speeds (to call)(1)

Prepayment Speed

25%

50%

100%

125%

150%

200%

Class 2-A-1 / 2-A-2

      

WAL (yrs)

3.19

3.18

3.18

3.19

3.06

2.47

Principal Window (months)

1 - 80

1 - 80

1 - 80

1 - 77

1 - 62

1 - 44

Class 2-A-3

      

WAL (yrs)

5.80

2.57

1.00

0.79

0.66

0.50

Principal Window (months)

1 - 83

1 - 71

1 - 23

1 - 17

1 - 14

1 - 11

Class 2-A-4

      

WAL (yrs)

7.85

6.83

3.00

2.09

1.66

1.18

Principal Window (months)

83 - 118

71 - 89

23 - 61

17 - 35

14 - 27

11 - 19

Class 2-A-5

      

WAL (yrs)

9.85

8.61

5.86

3.15

2.33

1.59

Principal Window (months)

118 - 119

89 - 117

61 - 81

35 - 41

27 - 29

19 - 20

Class 2-A-6

      

WAL (yrs)

9.91

9.82

6.88

5.08

2.89

1.84

Principal Window (months)

119 - 119

117 - 118

81 - 83

41 - 77

29 - 47

20 - 25

Class 2-A-7

      

WAL (yrs)

7.57

7.10

6.19

5.75

4.68

2.31

Principal Window (months)

37 - 118

37 - 118

37 - 83

38 - 77

39 - 62

25 - 31

Class 2-A-8

      

WAL (yrs)

6.17

4.86

3.10

2.56

2.08

1.48

Principal Window (months)

1 - 119

1 - 118

1 - 83

1 - 77

1 - 62

1 - 44

Class 2-M-1

      

WAL (yrs)

8.23

7.49

5.13

4.43

3.86

3.48

Principal Window (months)

82 - 119

65 - 118

37 - 83

38 - 77

38 - 62

40 - 44

Class 2-M-2

      

WAL (yrs)

8.23

7.48

5.13

4.40

3.82

3.34

Principal Window (months)

82 - 119

65 - 118

37 - 83

37 - 77

37 - 62

38 - 44

Class 2-B-1

      

WAL (yrs)

8.22

7.02

5.09

4.20

3.63

3.17

Principal Window (months)

82 - 118

65 - 109

37 - 82

37 - 72

37 - 58

38 - 41

Class 2-B-2

      

WAL (yrs)

7.92

6.74

4.76

3.86

3.36

3.10

Principal Window (months)

82 - 118

65 - 84

37 - 78

37 - 61

37 - 49

37 - 38


(1) Based on the Structuring Assumptions assuming that the optional call is exercised at the earliest possible date.




Weighted Average Lives and Principal Payment Windows at Various Prepayment Speeds (to maturity)(1)

Prepayment Speed

25%

50%

100%

125%

150%

200%

Class 2-A-1 / 2-A-2

      

WAL (yrs)

3.19

3.18

3.18

3.19

3.23

2.88

Principal Window (months)

1 - 80

1 - 80

1 - 80

1 - 80

1 - 83

1 - 83

Class 2-A-3

      

WAL (yrs)

5.80

2.57

1.00

0.79

0.66

0.50

Principal Window (months)

1 - 83

1 - 71

1 - 23

1 - 17

1 - 14

1 - 11

Class 2-A-4

      

WAL (yrs)

7.85

6.83

3.00

2.09

1.66

1.18

Principal Window (months)

83 - 118

71 - 89

23 - 61

17 - 35

14 - 27

11 - 19

Class 2-A-5

      

WAL (yrs)

9.85

8.61

5.86

3.15

2.33

1.59

Principal Window (months)

118 - 119

89 - 117

61 - 81

35 - 41

27 - 29

19 - 20

Class 2-A-6

      

WAL (yrs)

9.93

9.88

7.79

5.57

2.89

1.84

Principal Window (months)

119 - 120

117 - 120

81 - 119

41 - 119

29 - 47

20 - 25

Class 2-A-7

      

WAL (yrs)

7.57

7.10

6.47

6.28

5.77

2.31

Principal Window (months)

37 - 118

37 - 118

37 - 118

38 - 118

39 - 114

25 - 31

Class 2-A-8

      

WAL (yrs)

6.17

4.87

3.20

2.65

2.21

1.59

Principal Window (months)

1 - 120

1 - 120

1 - 119

1 - 119

1 - 114

1 - 83

Class 2-M-1

      

WAL (yrs)

8.23

7.50

5.17

4.52

4.06

3.61

Principal Window (months)

82 - 119

65 - 119

37 - 94

38 - 83

38 - 82

40 - 58

Class 2-M-2

      

WAL (yrs)

8.23

7.48

5.13

4.45

3.89

3.38

Principal Window (months)

82 - 119

65 - 118

37 - 84

37 - 82

37 - 73

38 - 51

Class 2-B-1

      

WAL (yrs)

8.22

7.02

5.09

4.20

3.63

3.17

Principal Window (months)

82 - 118

65 - 109

37 - 82

37 - 72

37 - 58

38 - 41

Class 2-B-2

      

WAL (yrs)

7.92

6.74

4.76

3.86

3.36

3.10

Principal Window (months)

82 - 118

65 - 84

37 - 78

37 - 61

37 - 49

37 - 38


(1)

Based on the Structuring Assumptions.



Excess Interest (1) (2)


Distribution Date

Excess Interset

25-Oct-06

1.34%

25-Nov-06

1.13%

25-Dec-06

1.13%

25-Jan-07

1.13%

25-Feb-07

1.13%

25-Mar-07

1.13%

25-Apr-07

1.13%

25-May-07

1.12%

25-Jun-07

1.12%

25-Jul-07

1.12%

25-Aug-07

1.12%

25-Sep-07

1.11%

25-Oct-07

1.11%

25-Nov-07

1.11%

25-Dec-07

1.11%

25-Jan-08

1.10%

25-Feb-08

1.10%

25-Mar-08

1.10%

25-Apr-08

1.09%

25-May-08

1.09%

25-Jun-08

1.09%

25-Jul-08

1.08%

25-Aug-08

1.08%

25-Sep-08

1.08%

25-Oct-08

1.08%

25-Nov-08

1.09%

25-Dec-08

1.09%

25-Jan-09

1.09%

25-Feb-09

1.09%

25-Mar-09

1.09%

25-Apr-09

1.10%

25-May-09

1.10%

25-Jun-09

1.10%

25-Jul-09

1.10%

25-Aug-09

1.10%

25-Sep-09

1.10%

25-Oct-09

1.11%

25-Nov-09

1.09%

25-Dec-09

1.09%

25-Jan-10

1.09%

25-Feb-10

1.09%

25-Mar-10

1.09%

25-Apr-10

1.09%

25-May-10

1.09%

25-Jun-10

1.09%

25-Jul-10

1.09%

25-Aug-10

1.08%

25-Sep-10

1.08%

25-Oct-10

1.08%

25-Nov-10

1.08%

25-Dec-10

1.08%

25-Jan-11

1.08%

25-Feb-11

1.07%

25-Mar-11

1.07%

25-Apr-11

1.07%

25-May-11

1.07%

25-Jun-11

1.06%

25-Jul-11

1.06%

25-Aug-11

1.06%

25-Sep-11

1.06%

25-Oct-11

1.05%

25-Nov-11

1.05%

25-Dec-11

1.05%

25-Jan-12

1.06%

25-Feb-12

1.06%

25-Mar-12

1.06%

25-Apr-12

1.06%

25-May-12

1.06%

25-Jun-12

1.07%

25-Jul-12

1.07%

25-Aug-12

1.07%

25-Sep-12

1.07%

25-Oct-12

1.07%

25-Nov-12

1.07%

25-Dec-12

1.07%

25-Jan-13

1.07%

25-Feb-13

1.08%

25-Mar-13

1.08%

25-Apr-13

1.08%

25-May-13

1.08%

25-Jun-13

1.08%

25-Jul-13

1.10%

25-Aug-13

1.18%




1.

Based on the following assumptions: a) the Structuring Assumptions, b) the 10% cleanup call is exercised at the earliest possible date, and c) the  Pool 2 Mortgage Loans prepay at a speed of 100% PPC.

2.

Excess Interest for any Distribution Date is equal to (x) the product of (a) 12 and (b) interest remaining after payment of current interest, divided by (B) the aggregate principal balance of the  Certificates prior to any distributions of principal on such Distribution Date.




Total Mortgage Loan Statistics


All Collateral Statistics set forth in the tables below and in the proceeding pages are approximate and subject to change based on final collateral

Original Principal Balance-Pool 2

Range of Original Principal Balance ($)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

0.01 - 100,000.00


27

$2,176,146.36

0.51%

7.122466

722.6

66.41

68.71

2.319

12.122

95

100,000.01 - 200,000.00


130

19,682,119.09

4.63

7.144529

719.3

78.29

78.29

2.304

12.145

93

200,000.01 - 300,000.00


77

18,791,606.69

4.42

7.078568

727.9

74.15

74.15

2.277

12.093

92

300,000.01 - 400,000.00


61

21,022,764.55

4.95

6.999305

730.4

74.79

75.11

2.327

12.014

99

400,000.01 - 500,000.00


181

83,247,340.27

19.60

7.089609

716.7

73.38

73.55

2.267

12.095

95

500,000.01 - 600,000.00


134

73,400,900.01

17.28

7.091317

708.9

75.05

75.05

2.261

12.098

97

600,000.01 - 700,000.00


74

47,240,002.96

11.12

7.094512

726.7

73.52

73.91

2.250

12.095

94

700,000.01 - 800,000.00


34

25,420,034.63

5.99

7.046502

723.5

71.68

71.68

2.242

12.047

101

800,000.01 - 900,000.00


25

21,738,490.42

5.12

6.893088

726.9

73.64

75.22

2.260

11.893

98

900,000.01 - 1,000,000.00


25

24,467,863.82

5.76

7.001024

720.7

64.63

64.63

2.269

12.001

99

1,000,000.01 - 1,100,000.00


10

10,698,750.00

2.52

7.287796

716.2

68.80

68.80

2.250

12.288

90

1,100,000.01 - 1,200,000.00


7

8,141,700.00

1.92

6.872901

730.1

66.63

66.63

2.320

11.873

103

1,200,000.01 - 1,300,000.00


6

7,620,000.00

1.79

6.828740

759.6

71.54

71.54

2.290

11.829

101

1,300,000.01 - 1,400,000.00


11

14,924,043.41

3.51

7.103533

720.1

71.71

71.71

2.410

12.104

96

1,400,000.01 - 1,500,000.00


12

17,772,393.97

4.18

6.701243

746.2

68.92

70.64

2.291

11.701

103

1,500,000.01 - 2,000,000.00


6

10,863,737.78

2.56

7.174367

731.1

66.10

66.10

2.417

12.174

95

2,000,000.01 - 2,500,000.00


3

6,847,075.00

1.61

7.242078

716.1

56.55

60.54

2.251

12.242

94

2,500,000.01 - 3,000,000.00


4

10,664,270.89

2.51

7.204561

685.9

62.11

62.11

2.254

12.205

91

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the average Original Principal Balance of the Mortgage Loans in Pool 2 is expected to be approximately $514,034. 

Cut-off Date Stated Principal Balance(1)-Pool 2

Range of
Cut-Off Date Stated Principal Balances ($)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

0.01 - 100,000.00


27

$2,176,146.36

0.51%

7.122466

722.6

66.41

68.71

2.319

12.122

95

100,000.01 - 200,000.00


130

19,682,119.09

4.63

7.144529

719.3

78.29

78.29

2.304

12.145

93

200,000.01 - 300,000.00


78

19,054,566.69

4.49

7.079209

728.5

74.23

74.23

2.277

12.094

93

300,000.01 - 400,000.00


61

21,159,804.55

4.98

7.011934

730.7

74.13

74.45

2.326

12.027

99

400,000.01 - 500,000.00


182

83,745,597.27

19.72

7.088332

716.8

73.40

73.58

2.267

12.094

95

500,000.01 - 600,000.00


133

72,902,643.01

17.16

7.092795

708.7

75.03

75.03

2.261

12.100

97

600,000.01 - 700,000.00


73

46,840,002.96

11.03

7.088914

726.3

73.78

74.17

2.250

12.089

94

700,000.01 - 800,000.00


34

25,420,034.63

5.99

7.046502

723.5

71.68

71.68

2.242

12.047

101

800,000.01 - 900,000.00


25

21,738,490.42

5.12

6.893088

726.9

73.64

75.22

2.260

11.893

98

900,000.01 - 1,000,000.00


25

24,467,863.82

5.76

7.001024

720.7

64.63

64.63

2.269

12.001

99

1,000,000.01 - 1,100,000.00


10

10,698,750.00

2.52

7.287796

716.2

68.80

68.80

2.250

12.288

90

1,100,000.01 - 1,200,000.00


7

8,141,700.00

1.92

6.872901

730.1

66.63

66.63

2.320

11.873

103

1,200,000.01 - 1,300,000.00


6

7,620,000.00

1.79

6.828740

759.6

71.54

71.54

2.290

11.829

101

1,300,000.01 - 1,400,000.00


11

14,924,043.41

3.51

7.103533

720.1

71.71

71.71

2.410

12.104

96

1,400,000.01 - 1,500,000.00


12

17,772,393.97

4.18

6.701243

746.2

68.92

70.64

2.291

11.701

103

1,500,000.01 - 2,000,000.00


6

10,863,737.78

2.56

7.174367

731.1

66.10

66.10

2.417

12.174

95

2,000,000.01 - 2,500,000.00


3

6,847,075.00

1.61

7.242078

716.1

56.55

60.54

2.251

12.242

94

2,500,000.01 - 3,000,000.00


4

10,664,270.89

2.51

7.204561

685.9

62.11

62.11

2.254

12.205

91

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in Pool 2 is expected to be approximately $513,566. 

Current Rate-Pool 2

Range of Current Rate (%)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

5.001 - 5.500


1

$455,999.00

0.11%

5.500000

809.0

80.00

80.00

2.250

10.500

118

5.501 - 6.000


7

3,779,040.00

0.89

5.847580

721.2

74.67

74.67

2.250

10.848

107

6.001 - 6.500


89

43,116,053.65

10.15

6.401402

726.7

73.48

73.48

2.266

11.409

106

6.501 - 7.000


390

206,552,847.69

48.63

6.843594

724.7

71.67

72.20

2.263

11.847

100

7.001 - 7.500


188

103,138,967.42

24.28

7.291892

717.9

70.81

71.07

2.286

12.292

91

7.501 - 8.000


118

56,947,196.34

13.41

7.756897

710.4

73.50

73.50

2.284

12.766

85

8.001 - 8.500


23

7,743,339.20

1.82

8.174296

714.0

77.87

77.87

2.385

13.174

87

8.501 - 9.000


9

2,656,617.75

0.63

8.830223

687.7

83.27

83.27

2.824

13.830

106

9.001 - 9.500


2

329,178.80

0.08

9.375000

655.2

84.07

84.07

2.750

14.375

118

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the weighted average Current Mortgage Rate of the Mortgage Loans in Pool 2 is expected to be approximately 7.058%. 

Original Term (Months)-Pool 2

Original Term (Months)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

360


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Remaining Term to Maturity(1)-Pool 2

Range of
Remaining Term (Months)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

351 - 355


16

$6,351,983.11

1.50%

6.671913

737.6

75.21

75.21

2.262

11.765

93

356 - 360


811

418,367,256.74

98.50

7.064238

720.6

72.08

72.40

2.278

12.067

96

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the weighted average Remaining Term to Maturity of the Mortgage Loans in Pool 2 is expected to be approximately 359. 

Age-Pool 2

Age (months)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

0


90

$57,385,628.00

13.51%

7.065871

720.8

71.92

72.18

2.271

12.066

100

1


273

165,608,862.84

38.99

7.152577

717.3

71.48

72.16

2.280

12.153

96

2


387

164,848,509.43

38.81

6.987237

724.7

72.53

72.53

2.279

11.990

97

3


48

23,113,612.42

5.44

6.917412

725.0

73.48

73.86

2.285

11.938

88

4


13

7,410,644.05

1.74

7.248289

688.5

72.12

72.12

2.250

12.248

80

5


7

3,690,640.76

0.87

6.530186

749.6

72.32

72.32

2.271

11.530

98

6


5

1,340,964.70

0.32

7.037145

736.6

82.84

82.84

2.250

12.274

87

7


2

495,673.28

0.12

6.817144

756.4

70.37

70.37

2.250

11.817

77

8


1

275,763.18

0.06

6.625000

654.0

80.00

80.00

2.250

12.625

112

9


1

548,941.19

0.13

6.625000

684.0

78.01

78.01

2.250

11.625

75

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Credit Score(1)-Pool 2

Range of
Credit Score

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Not Available


1

$1,348,893.41

0.32%

7.000000

N/A

75.00

75.00

2.500

12.000

83

<= 600


2

560,999.00

0.13

8.049909

595.4

75.90

75.90

2.250

13.050

91

601 - 620


3

1,860,000.00

0.44

7.653226

619.4

66.30

66.30

2.250

12.653

106

621 - 640


28

17,054,621.87

4.02

7.322188

630.9

69.16

69.16

2.250

12.322

95

641 - 660


57

27,408,211.60

6.45

7.060617

652.5

70.37

70.37

2.296

12.071

101

661 - 680


99

53,620,996.49

12.63

7.164705

671.6

70.99

70.99

2.283

12.165

94

681 - 700


109

49,506,972.52

11.66

7.042811

690.7

74.22

74.32

2.271

12.043

97

701 - 720


125

63,688,243.37

15.00

7.082364

710.1

75.35

75.35

2.270

12.090

98

721 - 740


101

52,277,152.38

12.31

6.992692

730.3

71.79

72.32

2.265

11.993

96

741 - 760


101

51,022,799.39

12.01

6.999518

751.4

72.55

72.55

2.278

12.015

96

761 - 780


104

56,182,464.11

13.23

6.975577

770.5

71.83

72.63

2.279

11.976

98

781 - 800


71

37,322,396.92

8.79

7.038521

788.6

70.34

71.25

2.306

12.039

93

801 - 820


26

12,865,488.79

3.03

6.998085

808.9

66.91

68.89

2.268

11.998

92

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

As of the Cut-off Date, the weighted average non-zero Credit Score of the Mortgage Loans in Pool 2 is expected to be approximately 721. See "Description of the Mortgage Pools - The Mortgage Loans" herein. 

Original Loan-To-Value Ratios(1)-Pool 2

Range of
Original Loan-To-Value Ratios (%)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

10.01 - 20.00


2

$170,292.24

0.04%

7.296845

759.1

14.48

14.48

2.250

12.297

104

20.01 - 30.00


9

2,605,990.77

0.61

6.977137

706.0

26.87

26.87

2.173

11.977

96

30.01 - 40.00


13

9,635,219.94

2.27

6.984670

736.4

35.23

35.23

2.268

11.985

103

40.01 - 50.00


26

15,374,795.08

3.62

7.129931

713.7

45.93

45.93

2.333

12.130

89

50.01 - 60.00


45

31,959,837.21

7.52

7.013489

719.9

56.66

56.66

2.269

12.013

94

60.01 - 70.00


132

84,655,944.20

19.93

7.166340

718.2

67.81

67.81

2.290

12.166

93

70.01 - 75.00


121

73,031,459.51

17.20

6.983595

717.2

73.91

73.91

2.263

11.984

98

75.01 - 80.00


424

188,624,216.31

44.41

7.006942

723.3

79.35

79.54

2.273

12.015

98

80.01 - 85.00


5

2,127,218.00

0.50

7.213874

699.3

84.71

84.71

2.331

12.214

105

85.01 - 90.00


31

10,338,846.67

2.43

7.648847

709.3

89.09

89.75

2.344

12.649

88

90.01 - 95.00


15

4,230,519.92

1.00

7.357922

755.9

81.46

92.97

2.293

12.358

88

95.01 - 100.00


4

1,964,900.00

0.46

6.821185

766.4

77.00

100.00

2.250

11.821

94

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the weighted average Original Loan-to-Value Ratio of the Mortgage Loans in Pool 2 is expected to be approximately 72.45%. 

Original Effective LTV(1)-Pool 2

Range of
Original Effective Loan-To-Value Ratios (%)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

10.01 - 20.00


2

$170,292.24

0.04%

7.296845

759.1

14.48

14.48

2.250

12.297

104

20.01 - 30.00


9

2,605,990.77

0.61

6.977137

706.0

26.87

26.87

2.173

11.977

96

30.01 - 40.00


13

9,635,219.94

2.27

6.984670

736.4

35.23

35.23

2.268

11.985

103

40.01 - 50.00


27

15,474,695.08

3.64

7.127672

713.6

45.96

46.28

2.333

12.128

89

50.01 - 60.00


45

31,959,837.21

7.52

7.013489

719.9

56.66

56.66

2.269

12.013

94

60.01 - 70.00


139

91,620,869.20

21.57

7.149331

722.0

67.79

69.23

2.278

12.149

92

70.01 - 75.00


121

73,031,459.51

17.20

6.983595

717.2

73.91

73.91

2.263

11.984

98

75.01 - 80.00


422

185,405,041.31

43.65

7.007302

722.8

79.58

79.58

2.278

12.016

98

80.01 - 85.00


5

2,127,218.00

0.50

7.213874

699.3

84.71

84.71

2.331

12.214

105

85.01 - 90.00


30

9,999,096.67

2.35

7.672252

706.7

89.74

89.74

2.347

12.672

88

90.01 - 95.00


13

2,094,519.92

0.49

7.835426

732.4

94.66

94.66

2.337

12.835

94

95.01 - 100.00


1

595,000.00

0.14

6.625000

711.0

100.00

100.00

2.250

11.625

118

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the weighted average Original Effective Loan-to-Value of the Mortgage Loans in Pool 2 is expected to be approximately 72.12%. 

 

Occupancy Type(1)-Pool 2

Occupancy Type

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Primary


649

$350,640,945.70

82.56%

7.000153

718.0

72.08

72.34

2.278

12.005

97

Secondary


80

39,543,927.34

9.31

7.225085

734.1

72.26

72.48

2.260

12.225

94

Investment


98

34,534,366.81

8.13

7.458581

734.6

72.38

73.47

2.299

12.459

92

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)Based upon representations of the related borrowers at the time of origination. 

Property Type-Pool 2

Property Type

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Single Family


424

$237,362,041.48

55.89%

7.033014

717.2

71.58

71.89

2.275

12.038

97

PUD


189

99,962,447.44

23.54

6.963350

722.7

73.64

74.08

2.288

11.968

97

Condominium


121

47,398,416.22

11.16

7.167364

724.1

74.62

75.01

2.258

12.167

96

2-4 Family


40

17,912,833.37

4.22

7.140666

731.3

73.37

73.37

2.339

12.141

100

Condotel


48

16,434,751.34

3.87

7.584747

740.3

71.28

71.28

2.250

12.585

82

Co-op


5

5,648,750.00

1.33

7.098418

731.0

45.57

45.57

2.308

12.098

96

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Loan Purpose-Pool 2

Loan Purpose

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Purchase


487

$230,644,486.73

54.31%

7.064924

731.2

76.19

76.58

2.282

12.071

95

Cash-out


240

130,684,413.31

30.77

7.105856

706.0

66.78

66.78

2.274

12.108

97

Rate / Term Refi


97

61,564,991.66

14.50

6.938458

713.5

68.15

68.89

2.272

11.938

98

Construction to Perm


3

1,825,348.15

0.43

6.875000

748.5

75.14

75.14

2.250

11.875

83

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Loan Documentation-Pool 2

Loan Documentation

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Full


223

$108,132,132.68

25.46%

6.914473

722.7

72.48

73.43

2.270

11.917

93

Reduced


120

75,130,586.77

17.69

6.913149

714.3

72.63

72.63

2.266

11.931

119

Asset Verification


104

63,969,380.93

15.06

7.407214

710.9

68.55

68.69

2.301

12.407

83

Full Asset/Stated Income


124

59,805,326.52

14.08

6.783618

730.5

75.17

75.17

2.256

11.784

105

No Documentation


79

36,187,245.09

8.52

7.499456

711.6

70.09

70.09

2.250

12.499

82

Simply Signature


54

31,042,806.05

7.31

7.044309

743.3

73.72

73.72

2.272

12.044

83

No Ratio


29

15,397,110.97

3.63

7.472598

710.8

73.50

73.50

2.271

12.473

82

Stated Documentation


38

12,051,474.21

2.84

7.306609

708.7

74.41

74.41

2.524

12.307

92

Alternative


22

10,041,566.40

2.36

6.773466

714.8

73.44

75.98

2.250

11.773

107

Preferred


18

6,670,265.18

1.57

6.739005

756.2

68.17

68.17

2.250

11.739

107

No Income/No Assets Verifier


8

2,520,862.77

0.59

7.680845

716.2

77.68

77.68

2.458

12.681

119

Full Asset/No Income


4

2,220,832.82

0.52

6.801815

790.1

49.43

49.43

2.250

11.802

83

Stated Income/Stated Asset


1

566,000.00

0.13

6.875000

672.0

74.97

74.97

2.250

11.875

119

Streamlined


1

525,500.00

0.12

6.875000

725.0

52.55

52.55

2.250

11.875

81

No Income Verifier


2

458,149.46

0.11

6.805566

752.1

77.71

77.71

2.413

11.806

80

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Lien-Pool 2

Lien position

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

First


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Geographic Distribution of Mortgaged Properties(1)-Pool 2

State

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Kentucky


1

$78,275.00

0.02%

7.125000

626.0

94.99

94.99

2.250

12.125

81

Rhode Island


1

172,000.00

0.04

7.125000

752.0

80.00

80.00

2.250

12.125

117

Delaware


1

179,765.09

0.04

6.750000

761.0

80.00

80.00

2.250

11.750

82

Wyoming


1

255,500.00

0.06

6.625000

694.0

80.00

80.00

2.250

11.625

118

Vermont


1

417,000.00

0.10

6.750000

672.0

79.81

79.81

2.250

11.750

117

Louisiana


3

450,991.98

0.11

6.938519

704.2

78.04

78.04

2.250

11.939

82

Tennessee


3

616,900.00

0.15

7.308133

730.0

82.17

82.17

2.322

12.308

98

Alabama


3

634,532.03

0.15

6.905056

704.4

79.69

79.69

2.250

11.905

107

Nebraska


1

900,000.00

0.21

7.750000

694.0

70.59

70.59

2.250

12.750

82

District of Columbia


2

958,400.00

0.23

7.428214

664.1

70.55

70.55

2.250

12.428

81

Oklahoma


3

1,049,463.95

0.25

6.830191

698.1

70.05

70.05

2.250

11.830

114

Wisconsin


2

1,067,700.00

0.25

6.965416

670.7

57.28

57.28

2.681

11.965

115

Arkansas


7

1,162,918.28

0.27

7.225833

719.7

82.05

82.05

2.466

12.226

92

Missouri


5

1,170,535.00

0.28

7.225221

729.8

76.73

76.73

2.250

12.225

83

New Hampshire


3

1,315,300.00

0.31

6.892258

732.8

80.00

80.00

2.539

11.892

113

Idaho


4

1,470,520.00

0.35

6.889272

735.1

63.17

63.17

2.299

11.889

117

Ohio


7

1,773,379.71

0.42

7.089069

679.4

70.03

70.03

2.250

12.089

94

South Carolina


10

2,208,209.68

0.52

7.145845

704.0

75.70

75.70

2.250

12.146

85

New Mexico


4

2,768,000.00

0.65

6.974422

753.9

75.97

79.15

2.171

11.974

101

Minnesota


7

2,811,540.00

0.66

6.887480

752.0

75.86

75.86

2.250

11.887

87

Pennsylvania


10

3,615,466.42

0.85

7.546488

701.3

82.67

82.67

2.348

12.634

92

Oregon


8

3,624,088.18

0.85

6.943582

723.2

73.53

73.53

2.250

11.944

91

Michigan


19

3,661,606.84

0.86

7.166227

726.8

73.21

73.21

2.268

12.166

84

Hawaii


7

3,990,688.20

0.94

7.000282

704.3

68.07

68.07

2.250

12.000

90

Colorado


16

4,753,934.20

1.12

6.979522

724.1

75.60

78.69

2.250

11.980

95

Utah


8

5,457,397.18

1.28

7.248386

717.9

75.21

75.21

2.301

12.248

83

Texas


13

5,538,655.82

1.30

6.940901

715.8

74.26

75.16

2.383

11.941

87

Connecticut


13

6,039,419.57

1.42

7.226224

690.1

74.46

74.46

2.273

12.226

95

Illinois


20

6,967,340.77

1.64

7.100456

711.0

77.66

77.66

2.258

12.100

94

Georgia


25

8,111,140.00

1.91

6.978435

717.2

76.08

76.08

2.262

11.978

87

Massachusetts


11

8,138,421.48

1.92

7.234760

750.1

69.49

71.72

2.250

12.235

98

North Carolina


18

8,917,077.69

2.10

7.007617

736.8

75.72

79.14

2.250

12.008

86

Washington


25

11,174,551.01

2.63

6.999348

738.9

76.18

79.07

2.334

11.999

96

Virginia


21

11,887,618.45

2.80

6.863051

724.0

74.78

74.78

2.263

11.863

98

Maryland


29

14,300,796.31

3.37

6.852146

715.4

72.44

72.44

2.287

11.886

93

New Jersey


25

16,090,454.05

3.79

7.055095

726.3

72.03

73.73

2.242

12.055

87

Arizona


35

16,145,847.29

3.80

7.139584

730.8

72.96

72.96

2.240

12.140

96

Nevada


39

17,568,728.46

4.14

7.355517

733.7

71.78

71.78

2.270

12.356

89

New York


40

24,757,172.24

5.83

6.964738

734.8

64.60

64.60

2.280

11.965

96

Florida


113

62,359,942.13

14.68

7.332025

714.3

70.12

70.12

2.291

12.332

88

California


263

160,157,962.84

37.71

6.944228

718.2

72.18

72.18

2.276

11.949

104

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut off Date, no more than approximately 2.54% of the Pool 2 Mortgage Loans will be secured by Mortgaged Properties in any one postal zip code area. 

Original Prepayment Penalty Term-Pool 2

Original Prepayment Penalty Term (Years)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

0-


724

370,396,846.67

87.21

7.083271

723.8

72.05

72.42

2.277

12.085

93

1-


63

$36,716,409.95

8.64%

6.819252

707.7

72.64

72.64

2.256

11.819

118

3-


27

10,817,309.53

2.55

7.214165

690.2

76.01

76.01

2.400

12.316

112

5-


13

6,788,673.70

1.60

6.744830

683.7

66.93

66.93

2.250

11.745

119

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Prepayment Penalty Remaining Term-Pool 2

Range of Prepayment Penalty Remaining Term (Months)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

less than 1


724

$370,396,846.67

87.21%

7.083271

723.8

72.05

72.42

2.277

12.085

93

6 - 10


15

6,463,042.95

1.52

6.693784

694.1

68.15

68.15

2.263

11.694

111

11 - 15


48

30,253,367.00

7.12

6.846056

710.5

73.60

73.60

2.254

11.846

119

26 - 30


2

593,363.18

0.14

6.424280

702.2

80.00

80.00

2.250

12.424

113

31 - 35


22

7,887,696.35

1.86

7.402271

695.7

76.97

76.97

2.455

12.467

110

36 - 40


3

2,336,250.00

0.55

6.779695

668.7

71.74

71.74

2.250

11.780

120

56 - 60


13

6,788,673.70

1.60

6.744830

683.7

66.93

66.93

2.250

11.745

119

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Seller-Pool 2

Seller

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

American Home


199

$92,266,035.49

21.72%

6.717249

733.8

75.24

75.24

2.265

11.717

104

Chase Mortgage


342

181,845,328.43

42.82

7.320376

720.6

71.09

71.09

2.285

12.320

83

Countrywide Home Loans


172

102,177,514.73

24.06

6.873143

708.7

71.92

71.92

2.264

11.884

118

CTX


2

675,750.00

0.16

6.962680

711.8

75.00

75.00

2.250

11.963

83

GreenPoint Mortgage


26

8,165,664.52

1.92

7.693366

720.8

76.97

76.97

2.762

12.693

90

PHH Mortgage


85

39,101,769.01

9.21

7.000180

723.3

68.94

72.44

2.206

12.000

86

Weichert


1

487,177.67

0.11

6.875000

754.0

80.00

80.00

2.750

12.875

81

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Primary Servicer-Pool 2

Primary Servicer

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Chase Home Finance


549

$278,886,694.30

65.66%

7.11%

725.5

72.51

72.51

2.285

12.113

90

Countrywide Home Loans


172

102,177,514.73

24.06

6.873143

708.7

71.92

71.92

2.264

11.884

118

GreenPoint Mortgage


21

4,553,261.81

1.07

8.468462

695.6

80.28

80.28

2.771

13.468

97

PHH


85

39,101,769.01

9.21

7.00018

723.3

68.94

72.44

2.206

12

86

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

PMI Coverage-Pool 2

PMI Coverage

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

None


778

$409,903,405.26

96.51%

7.039247

721.3

71.47

71.81

2.276

12.043

96

12


5

2,127,218.00

0.50

7.213874

699.3

84.71

84.71

2.331

12.214

105

25


30

9,999,096.67

2.35

7.672252

706.7

89.74

89.74

2.347

12.672

88

30


7

1,373,939.77

0.32

7.731132

732.7

94.56

94.56

2.383

12.731

101

35


7

1,315,580.15

0.31

7.396904

722.4

97.18

97.18

2.250

12.397

97

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

PMI Company-Pool 2

PMI Company

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

CMAC


1

$704,968.00

0.17%

6.375000

771.0

85.00

85.00

2.250

11.375

119

GE


12

3,947,503.28

0.93

7.573849

714.6

90.54

90.54

2.338

12.574

88

MGIC


5

1,890,589.25

0.45

7.588665

708.8

90.00

90.00

2.250

12.589

82

NO


778

409,903,405.26

96.51

7.039247

721.3

71.47

71.81

2.276

12.043

96

PMI


5

1,215,068.77

0.29

8.664825

700.0

90.01

90.01

2.989

13.665

112

RDN


5

1,639,482.32

0.39

7.757065

668.0

87.05

87.05

2.298

12.757

82

RMIC


4

1,015,635.43

0.24

7.413833

711.8

90.53

90.53

2.250

12.414

82

TGIC


3

1,299,502.00

0.31

7.190811

717.2

95.25

95.25

2.250

12.191

104

UGI


14

3,103,085.54

0.73

7.590909

710.9

90.23

90.23

2.250

12.591

95

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Interest Only (y/n)-Pool 2

Interest Only

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

Interest-Only


740

$377,580,480.44

88.90%

7.051020%

722.2

72.42

72.79

2.270

12.054

97

Non-IO


87

47,138,759.41

11.10

7.117252

710.1

69.72

69.72

2.343

12.128

93

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

IO term (orig)-Pool 2

Interest-only Term (orig) (months)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

0……………………………………………….

87

$47,138,759.41

11.10%

7.117252%

710.1

69.72

69.72

2.343

12.128

93

84……………………………………………..

28

10,436,759.77

2.46

7.083170

730.0

71.80

75.27

2.157

12.083

81

120…………………………………………….

712

367,143,720.67

86.44

7.050106

722.0

72.44

72.72

2.273

12.053

97

Total:…………………………………………..

827

$424,719,239.85

100.00%

7.058371%

720.9

72.12

72.45

2.278

12.062

96

 

IO term remaining-Pool 2

Interest-only Remaining Term (months)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

0


87

$47,138,759.41

11.10%

7.117252%

710.1

69.72

69.72

2.343

12.128

93

75


1

548,941.19

0.13

6.625000

684.0

78.01

78.01

2.250

11.625

75

77


2

495,673.28

0.12

6.817144

756.4

70.37

70.37

2.250

11.817

77

78


4

1,023,364.70

0.24

7.281435

734.2

83.72

83.72

2.250

12.281

78

79


2

234,156.23

0.06

7.785622

709.8

83.76

83.76

2.250

12.786

79

80


2

548,104.00

0.13

8.656127

632.4

84.05

84.05

2.250

13.656

80

81


6

2,984,674.32

0.70

6.974598

748.5

65.80

68.75

2.176

11.975

81

82


9

1,861,050.00

0.44

6.876676

736.3

73.73

73.73

2.163

11.877

82

83


2

2,740,796.05

0.65

7.032891

729.9

68.13

78.11

2.037

12.033

83

112


1

275,763.18

0.06

6.625000

654.0

80.00

80.00

2.250

12.625

112

114


1

317,600.00

0.07

6.250000

744.0

80.00

80.00

2.250

12.250

114

115


4

3,299,370.27

0.78

6.347287

749.8

70.66

70.66

2.250

11.347

100

116


9

6,065,516.59

1.43

7.152414

687.6

70.93

70.93

2.250

12.152

80

117


36

17,638,065.90

4.15

6.937200

719.5

74.60

74.60

2.265

11.937

90

118


340

145,495,591.81

34.26

6.987874

727.4

73.00

73.00

2.277

11.991

98

119


247

148,130,544.92

34.88

7.146037

717.5

71.61

72.19

2.279

12.146

96

120


74

45,921,268.00

10.81

7.026266

723.0

72.76

73.08

2.250

12.026

101

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Margin(1)-Pool 2

Margin (%)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

2.000


9

$7,177,875.00

1.69%

6.913151

719.3

59.29

64.32

2.000

11.913

87

2.250


764

379,442,956.08

89.34

7.027122

720.3

72.77

73.03

2.250

12.030

97

2.500


16

25,529,952.12

6.01

7.325149

730.8

63.99

63.99

2.500

12.325

83

2.750


31

10,571,603.65

2.49

7.489846

719.3

75.00

75.00

2.750

12.536

94

3.140


1

390,303.00

0.09

8.265000

793.0

90.00

90.00

3.140

13.265

82

3.250


4

970,550.00

0.23

7.018501

760.2

80.00

80.00

3.250

12.019

105

3.375


2

636,000.00

0.15

8.780071

667.6

87.14

87.14

3.375

13.780

119

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the weighted average Margin of the Mortgage Loans in Pool 2 is expected to be approximately 2.278%. 

Maximum Mortgage Rate(1)-Pool 2

Range of
Maximum Mortgage Rate (%)

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

10.251 - 10.500


1

$455,999.00

0.11%

5.500000

809.0

80.00

80.00

2.250

10.500

118

10.501 - 10.750


2

2,038,000.00

0.48

5.750000

758.6

72.79

72.79

2.250

10.750

106

10.751 - 11.000


5

1,741,040.00

0.41

5.961804

677.4

76.87

76.87

2.250

10.962

108

11.001 - 11.250


20

9,646,804.37

2.27

6.190439

736.1

77.45

77.45

2.250

11.190

107

11.251 - 11.500


68

33,151,649.28

7.81

6.464241

723.8

72.26

72.26

2.271

11.464

106

11.501 - 11.750


131

67,408,999.89

15.87

6.705925

719.7

73.56

73.56

2.253

11.706

107

11.751 - 12.000


257

138,380,906.95

32.58

6.910981

727.1

70.71

71.50

2.267

11.911

96

12.001 - 12.250


105

52,171,617.18

12.28

7.169440

721.8

71.49

72.02

2.276

12.176

94

12.251 - 12.500


84

51,284,950.24

12.08

7.410009

714.2

70.17

70.17

2.297

12.410

88

12.501 - 12.750


84

40,043,362.45

9.43

7.694170

715.0

73.58

73.58

2.293

12.701

85

12.751 - 13.000


35

17,154,774.74

4.04

7.864013

700.0

73.41

73.41

2.277

12.892

86

13.001 - 13.250


17

6,750,711.49

1.59

8.147363

709.5

76.72

76.72

2.321

13.147

87

13.251 - 13.500


6

992,627.71

0.23

8.357467

744.4

85.74

85.74

2.818

13.357

91

13.501 - 13.750


5

1,473,273.98

0.35

8.333040

687.6

82.56

82.56

2.781

13.681

114

13.751 - 14.000


5

1,695,343.77

0.40

8.898299

694.5

82.90

82.90

2.688

13.898

103

14.251 - 14.500


2

329,178.80

0.08

9.375000

655.2

84.07

84.07

2.750

14.375

118

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

(1)As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Mortgage Loans in Pool 2 is expected to be approximately 12.062%. 

Index-Pool 2

Index

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

CMT_1YR


4

$1,979,427.13

0.47%

6.989863

711.3

66.19

66.19

2.750

12.236

107

LIBOR_1YR


758

401,785,571.04

94.60

7.050453

721.1

72.23

72.48

2.271

12.052

97

LIBOR_6MO


65

20,954,241.68

4.93

7.216655

718.3

70.73

72.45

2.364

12.245

88

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

Months To Roll-Pool 2

Months To Roll

Number of Loans

Scheduled Balance

Percent Scheduled Balance

Weighted Average Gross Coupon (%)

Weighted Average FICO Score (Non-zero)

Weighted Average Effective LTV (%)

Weighted Average Original LTV (%)

Weighted Average Margin (%)

Weighted Average Max Rate (%)

Weighted Average Months to Next Rate Adjustment

112


1

$275,763.18

0.06%

6.625000

654.0

80.00

80.00

2.250

12.625

112

114


1

317,600.00

0.07

6.250000

744.0

80.00

80.00

2.250

12.250

114

115


2

1,949,970.27

0.46

5.980758

750.2

72.69

72.69

2.250

10.981

115

117


11

4,697,751.31

1.11

6.725382

728.2

68.72

68.72

2.250

11.725

117

118


156

70,778,453.55

16.66

6.819303

728.8

73.94

73.94

2.261

11.827

118

119


93

59,431,169.00

13.99

6.940609

709.7

71.79

71.79

2.278

11.941

119

120


36

24,806,208.00

5.84

6.803569

708.1

72.86

72.86

2.269

11.804

120

75


1

548,941.19

0.13

6.625000

684.0

78.01

78.01

2.250

11.625

75

77


2

495,673.28

0.12

6.817144

756.4

70.37

70.37

2.250

11.817

77

78


4

1,023,364.70

0.24

7.281435

734.2

83.72

83.72

2.250

12.281

78

79


5

1,740,670.49

0.41

7.145679

749.0

71.90

71.90

2.295

12.146

79

80


13

7,410,644.05

1.74

7.248289

688.5

72.12

72.12

2.250

12.248

80

81


37

18,415,861.11

4.34

6.966398

724.2

74.69

75.17

2.293

11.993

81

82


231

94,070,055.88

22.15

7.113591

721.6

71.47

71.47

2.293

12.114

82

83


180

106,177,693.84

25.00

7.271222

721.7

71.31

72.37

2.282

12.271

83

84


54

32,579,420.00

7.67

7.265590

730.4

71.21

71.67

2.272

12.266

84

Total


827

$424,719,239.85

100.00%

7.058371

720.9

72.12

72.45

2.278

12.062

96

 

[jpalt2006a5summarytermshe004.jpg]


Dates Referenced Herein   and   Documents Incorporated By Reference

This FWP Filing   Date   Other Filings
9/1/06
Filed On9/13/06FWP
Filed As Of9/14/06
9/29/06424B5
10/1/06
 
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