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J P Morgan Acceptance Corp I · 424B3 · Jpmac 2006-FRE1 · On 1/20/06

Filed On 1/20/06, 5:12pm ET   ·   Accession Number 1162318-6-53   ·   SEC Files 333-121990, -06

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

 1/20/06  J P Morgan Acceptance Corp I      424B3                  1:2.6M Jpmac 2006-FRE1                   Nelson McKee/FA

Prospectus   —   Rule 424(b)(3)
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Document/Exhibit                   Description                      Pages   Size 

 1: 424B3       Prospectus                                          HTML   1.74M 


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  PROSPECTUS SUPPLEMENT  

The information in this preliminary prospectus supplement is not complete and may be changed.  This preliminary prospectus supplement is not an offer to sell these securities and is not a solicitation of an offer to buy these securities in any state where the offer or sale is not permitted.



SUBJECT TO COMPLETION, DATED JANUARY 18, 2006


Prospectus Supplement dated January [__], 2006 (To Prospectus Dated August 25, 2005)


$952,165,000 (APPROXIMATE)

J.P. MORGAN MORTGAGE ACQUISITION CORP. 2006-FRE1
Issuing Entity

ASSET-BACKED PASS-THROUGH CERTIFICATES, SERIES 2006-FRE1

J.P. MORGAN MORTGAGE ACQUISITION CORP.
Sponsor and Seller

J.P. MORGAN ACCEPTANCE CORPORATION I
Depositor


FREMONT INVESTMENT & LOAN
Originator and Initial Servicer


JPMORGAN CHASE BANK, NATIONAL ASSOCIATION

Servicer

__________________



Consider carefully the risk factors beginning on page S-11 in this prospectus supplement and on page 6 in the prospectus.

The certificates will represent interests in the trust fund or issuing entity only and will not represent an interest in, or an obligation of any other entity, including the depositor or the sponsor.

J.P. Morgan Mortgage Acquisition Corp. 2006-FRE1 will issue:

·

Four classes of senior certificates;

·

Eleven classes of subordinate certificates, two of which are not offered hereby; and

·

Three classes of non-offered certificates.

The classes of certificates offered by this prospectus supplement and the initial class principal amounts thereof and interest rates thereon are listed or described in the table on page S-1 of this prospectus supplement.  This prospectus supplement and the accompanying prospectus relate only to the offering of certificates listed in the table that begins on page S-1 under “Summary—Offered Certificates” and not to the other classes of certificates that will be issued by the trust fund listed under “Summary—Offered Certificates”.

The assets of the trust fund will primarily consist of a pool of first and second lien adjustable rate and fixed rate mortgage loans.  The mortgage loans will be segregated into two groups, one consisting of mortgage loans with principal balances that conform to certain agency principal balance guidelines and one consisting of mortgage loans with principal balances that may or may not conform to such principal balance guidelines.  The mortgage loans will have the additional characteristics described in “Description of the Mortgage Pool” in this prospectus supplement.

Principal and interest on the certificates will be payable monthly, beginning on the distribution date in February 2006, as described in this prospectus supplement.  Credit enhancement for the offered certificates will consist of subordination, overcollateralization, excess interest and an interest rate swap agreement provided by JPMorgan Chase Bank, National Association.

J.P. Morgan Securities Inc., referred to as the underwriter, will offer the offered certificates purchased by it from the depositor from time to time to the public in negotiated transactions or otherwise at varying prices to be determined at the time of sale.  The underwriter has the right to reject any order.  Proceeds to J.P. Morgan Acceptance Corporation I from the sale of the offered certificates before deducting expenses and underwriting fees, will be approximately $[___________].  Expenses are estimated to be $[____________].  The Underwriter’s commission will be any positive difference between the price it pays to the Depositor for the offered certificates and the amount it receives from the sale of such securities to the public.  See “Method of Distribution” in this prospectus supplement.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the certificates or determined if this prospectus supplement or the accompanying prospectus is truthful or complete.  Any representation to the contrary is a criminal offense.

Delivery of the offered certificates will be made on or about January 27, 2006 in book-entry form.


JPMorgan



IMPORTANT NOTICE ABOUT THE INFORMATION PRESENTED IN THIS
PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS

We tell you about the certificates in two separate documents that progressively provide more detail: (1) the accompanying prospectus, which provides general information, some of which may not apply to your certificates, and (2) this prospectus supplement, which describes the specific terms of your certificates and may be different from the information in the prospectus.

If the terms of your certificates and any other information contained herein vary between this prospectus supplement and the accompanying prospectus, you should rely on the information in this prospectus supplement.

We include cross-references in this prospectus supplement and the accompanying prospectus to captions in these materials where you can find further related discussions.  The table of contents for this prospectus supplement and the table of contents included in the accompanying prospectus provide the pages on which these captions are located.

You can find a listing of the pages where capitalized terms used in this prospectus supplement are defined under “Index of Certain Definitions” in this prospectus supplement.

Dealers will deliver a prospectus supplement and prospectus when acting as underwriters of the certificates and with respect to their unsold allotments and subscriptions.  In addition, all dealers selling the certificates will be required to deliver a prospectus supplement and prospectus for ninety days following the date of this prospectus supplement.

WHERE YOU CAN FIND MORE INFORMATION

Federal securities law requires the filing of certain information with the Securities and Exchange Commission (the “SEC”), including annual, quarterly and special reports, proxy statements and other information.  You can read and copy these documents at the public reference facility maintained by the SEC at 100 F Street, N.E., Washington, DC 20549.  You can also copy and inspect such reports, proxy statements and other information at the following regional offices of the SEC:

Woolworth Building
233 Broadway
New York, New York 10279

Chicago Regional Office
Citicorp Center
500 West Madison Street, Suite 1400
Chicago, Illinois 60661

Please call the SEC at 1-800-SEC-0330 for further information on the public reference rooms.  SEC filings are also available to the public on the SEC’s web site at http://www.sec.gov.  The SEC allows us to incorporate by reference the information we file with it, which means that we can disclose important information to you by referring you to those documents.  The information that we incorporate by reference is considered to be part of this prospectus supplement, and later information that we file with the SEC will automatically update and supersede this information.

This prospectus supplement and the accompanying prospectus are part of a registration statement filed by the depositor with the SEC.  You may request a free copy of any of the above filings by writing or calling:

J.P. MORGAN SECURITIES INC.

JPMSI OPERATIONS

10 SOUTH DEARBORN STREET

MAIL CODE IL1-0237

CHICAGO, ILLINOIS 60670

(312) 732-8505

You should rely only on the information provided in this prospectus supplement or the accompanying prospectus or incorporated by reference herein.  We have not authorized anyone else to provide you with different information.  


TABLE OF CONTENTS

PROSPECTUS SUPPLEMENT

SUMMARY

S-1

RISK FACTORS

S-11

DESCRIPTION OF THE MORTGAGE POOL

S-23

General

S-23

The Mortgage Loans

S-23

TABULAR CHARACTERISTICS OF THE MORTGAGE LOANS

S-27

THE DEPOSITOR

S-55

THE SPONSOR

S-56

General

S-56

Securitization Activities of the Sponsor

S-56

STATIC POOL INFORMATION

S-56

THE ORIGINATOR

S-57

General

S-57

Fremont Investment & Loan

S-57

Underwriting Standards

S-57

AFFILIATES AND RELATED TRANSACTIONS

S-61

THE SERVICERS

S-62

Fremont Investment & Loan

S-62

Fremont Investment & Loan’s Delinquency and Foreclosure Experience

S-63

JPMorgan Chase Bank, N.A.

S-67

DESCRIPTION OF THE CERTIFICATES

S-70

General

S-70

Book-Entry Certificates

S-72

Glossary

S-75

Allocation of Available Funds

S-83

Distributions of Interest

S-83

Distributions of Principal

S-85

Credit Enhancement

S-87

Overcollateralization Provisions

S-87

Allocation of Losses; Subordination

S-90

Certificate Interest Rates

S-91

Net WAC Reserve Fund

S-92

The Interest Rate Swap Agreement, the Swap Provider and the Swap Account

S-93

Calculation of Certificate Index

S-96

Example of Distributions

S-97

Reports to Certificateholders

S-98

Final Scheduled Distribution Date

S-99

Optional Clean-Up Call

S-99

FEES AND EXPENSES OF THE TRUST FUND

S-99

THE POOLING AGREEMENT

S-100

General

S-100

Assignment of the Mortgage Loans

S-101

Servicing and Administrative Responsibilities

S-103

Payments on Mortgage Loans; Deposits to Collection Account and

Distribution Account

S-104

Modifications of Mortgage Loan Terms

S-105

Advances

S-105

Servicing and Other Compensation and Payment of Expenses

S-106

Servicer Events of Default

S-107

The Issuing Entity

S-108

The Trustee and the Securities Administrator

S-108

The Trust Oversight Manager

S-111

Voting Rights

S-112

Compliance with Applicable Servicing Criteria and Servicer Attestation

S-112

Amendment

S-112

YIELD, PREPAYMENT AND WEIGHTED AVERAGE LIFE

S-113

Additional Information

S-114

Weighted Average Lives

S-114

Yield Sensitivity of the Subordinate Certificates

S-124

USE OF PROCEEDS

S-124

MATERIAL FEDERAL INCOME TAX CONSEQUENCES

S-124

General

S-124

Tax Treatment of the Offered Certificates

S-124

Additional Considerations with Respect to the Offered Certificates

S-125

Reportable Transactions

S-127

Other Taxes

S-127

ERISA MATTERS

S-127

General

S-127

Application of the Underwriter’s Exemption

S-127

ERISA Considerations with respect to the Interest Rate Swap Agreement

S-128

METHOD OF DISTRIBUTION

S-129

LEGAL MATTERS

S-129

RATINGS

S-130

LEGAL INVESTMENT

S-130

INDEX OF CERTAIN DEFINITIONS

S-131

GLOBAL CLEARANCE, SETTLEMENT AND TAX DOCUMENTATION

PROCEDURES

I-1

INTEREST RATE SWAP SCHEDULE

II-1



TABLE OF CONTENTS


PROSPECTUS


RISK FACTORS

6

THE TRUST FUND

10

General

10

The Loans

12

Modification of Loans

19

Agency Securities

19

Private Mortgage-Backed Securities

26

Representations by Sellers or Originators; Repurchases

28

Substitution of Trust Fund Assets

30

USE OF PROCEEDS

30

THE DEPOSITOR

31

DESCRIPTION OF THE SECURITIES

31

General

31

Distributions on Securities

34

Advances

35

Reports to Securityholders

36

Categories of Classes of Securities

38

Indices Applicable to Floating Rate and Inverse Floating Rate Classes

41

LIBOR

41

COFI

42

Treasury Index

44

Prime Rate

45

Book-Entry Registration of Securities

45

CREDIT ENHANCEMENT

49

General

49

Subordination

49

Letter of Credit

51

Insurance Policies, Surety Bonds and Guaranties

51

Over-Collateralization

52

Spread Account

52

Reserve Accounts

52

Pool Insurance Policies

54

Cross-Collateralization

56

Other Insurance, Surety Bonds, Guaranties, and Letters of Credit

56

Derivative Products

57

YIELD AND PREPAYMENT CONSIDERATIONS

57

THE AGREEMENTS

60

Assignment of the Trust Fund Assets

60

No Recourse to Sellers, Originators, Depositor or Master Servicer

63

Payments on Loans; Deposits to Security Account

63

Pre-Funding Account

65

Sub-Servicing by Sellers

67

Hazard Insurance

67

Realization upon Defaulted Loans

70

Servicing and Other Compensation and Payment of Expenses

71

Evidence as to Compliance

72

Matters Regarding the Master Servicer and the Depositor

72

Events of Default; Rights upon Event of Default

73

Amendment

76

Termination; Optional Termination

77

The Trustee

78

MATERIAL LEGAL ASPECTS OF THE LOANS

78

General

78

Foreclosure/Repossession

80

Environmental Risks

82

Rights of Redemption

84

Anti-deficiency Legislation and Other Limitations on Lenders

84

Due-on-Sale Clauses

85

Enforceability of Prepayment and Late Payment Fees

86

Applicability of Usury Laws

86

The Contracts

87

Installment Contracts

90

Servicemembers Civil Relief Act

90

Junior Mortgages; Rights of Senior Mortgagees

91

Commercial Loans

92

The Title I Program

94

Consumer Protection Laws

98

MATERIAL FEDERAL INCOME TAX CONSEQUENCES

98

General

98

Taxation of Debt Securities

100

Taxation of the REMIC and Its Holders

106

REMIC Expenses; Single Class REMICS

107

Taxation of the REMIC

108

Taxation of Holders of Residual Interest Securities

109

Administrative Matters

114

Tax Status as a Grantor Trust

114

Sale or Exchange

117

Miscellaneous Tax Aspects

118

Tax Treatment of Foreign Investors

118

Tax Characterization of the Trust Fund as a Partnership

119

Tax Consequences to Holders of the Notes

120

Tax Consequences to Holders of the Certificates

122

STATE TAX CONSIDERATIONS

128

ERISA CONSIDERATIONS

128

General

128

Prohibited Transactions

129

Plan Asset Regulation

129

Prohibited Transaction Exemption 83-1

130

The Underwriter’s Exemption

131

Insurance Company Purchasers

135

Consultation with Counsel

135

LEGAL INVESTMENT

136

METHOD OF DISTRIBUTION

138

LEGAL MATTERS

139

FINANCIAL INFORMATION

139

RATING

140

WHERE YOU CAN FIND MORE  INFORMATION

141

INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE

141

GLOSSARY

142




SUMMARY

This summary highlights selected information from this prospectus supplement and does not contain all the information that you need to consider in making your investment decision.  Please read this entire prospectus supplement and the accompanying prospectus carefully for additional information about the offered certificates.

OFFERED CERTIFICATES

The J.P. Morgan Acquisition Corp. 2006-FRE1 Asset-Backed Pass-Through Certificates, Series 2006-FRE1 consist of the classes of certificates listed in the table below.  Only the offered certificates listed in the table below are being offered by this prospectus supplement:

CLASS

INITIAL CLASS PRINCIPAL AMOUNT (1)

CERTIFICATE INTEREST RATE

DESIGNATION

S&P
RATING(6)

FITCH
RATING(6)

MOODY’S
RATING(6)

CUSIP

      

OFFERED CERTIFICATES

     
        

Class A-1

$279,696,000

Floating (2)

Senior

AAA

AAA

Aaa

46626LFX3

Class A-2

$203,526,000

Floating (2)

Senior/Seq

AAA

AAA

Aaa

46626LFK1

Class A-3

$248,661,000

Floating (2)

Senior/Seq

AAA

AAA

Aaa

46626LFL9

Class A-4

$25,395,000

Floating (2)

Senior/Seq

AAA

AAA

Aaa

46626LFM7

Class M-1

$40,496,000

Floating (2)

Subordinate

AA+

AA+

Aa1

46626LFN5

Class M-2

$36,953,000

Floating (2)

Subordinate

AA

AA

Aa2

46626LFP0

Class M-3

$22,273,000

Floating (2)

Subordinate

AA-

AA-

Aa3

46626LFQ8

Class M-4

$20,248,000

Floating (2)

Subordinate

A+

A+

A1

46626LFR6

Class M-5

$17,717,000

Floating (2)

Subordinate

A

A

A2

46626LFS4

Class M-6

$16,198,000

Floating (2)

Subordinate

A-

A-

A3

46626LFT2

Class M-7

$15,692,000

Floating (2)

Subordinate

BBB+

BBB+

Baa1

46626LFU9

Class M-8

$14,174,000

Floating (2)

Subordinate

BBB

BBB

Baa2

46626LFV7

Class M-9

$11,136,000

Floating (2)

Subordinate

BBB-

BBB-

Baa3

46626LFW5

        

NON-OFFERED CERTIFICATES

     
        

Class M-10

$12,149,000

Floating (2)

Subordinate

BB+

BB+

Ba1

46626LFY1

Class M-11

$10,630,000

Floating (2)

Subordinate

BB

BB

Ba2

46626LFZ8

Class C

Notional(3)

N/A

Subordinate

Not Rated

Not Rated

Not Rated

N/A

Class P

$100

N/A(4)

Prepayment Premium Only

Not Rated

Not Rated

Not Rated

N/A

Class R

N/A(5)

N/A

Residual

Not Rated

Not Rated

Not Rated

N/A


      

(1)

These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement.

(2)

The interest rate on this class of certificates may change from distribution date to distribution date based on changes in the level of one-month LIBOR.  The interest rate for any such class is the lesser of one-month LIBOR plus the applicable margin set forth below and a cap as described in this prospectus supplement.  See “Description of the Certificates—Certificate Interest Rates” in this prospectus supplement.  The certificate margins are as follows:

 

On or prior to the Optional Termination Date

After the Optional Termination Date

Class A-1

[___]%

[___]%

Class A-2

[___]%

[___]%

Class A-3

[___]%

[___]%

Class A-4

[___]%

[___]%

Class M-1

[___]%

[___]%

Class M-2

[___]%

[___]%

Class M-3

[___]%

[___]%

Class M-4

[___]%

[___]%

Class M-5

[___]%

[___]%

Class M-6

[___]%

[___]%

Class M-7

[___]%

[___]%

Class M-8

[___]%

[___]%

Class M-9

[___]%

[___]%

Class M-10

[___]%

[___]%

Class M-11

[___]%

[___]%


(3)

The Class C certificates will not have a class principal amount.

(4)

The Class P certificates will not be entitled to distributions in respect of interest.  The Class P Certificates will be entitled to all prepayment premiums or charges received in respect of the mortgage loans.

(5)

The Class R certificates will not have a class principal amount and are the class of certificates representing the residual interest in the trust.

(6)

The ratings are not recommendations to buy, sell or hold these certificates.  A rating may be changed or withdrawn at any time by the assigning rating agency. The ratings do not address the possibility that, as a result of principal prepayments, the yield on your certificates may be lower than anticipated. We refer you to “Ratings” in this prospectus supplement for a more complete discussion of the certificate ratings.

The J.P. Morgan Acquisition Corp. 2006-FRE1 Asset-Backed Pass-Through Certificates, Series 2006-FRE1 will also have the following characteristics:

CLASS

RECORD DATE(1)

DELAY/
ACCRUAL PERIOD(2)

INTEREST ACCRUAL CONVENTION

EXPECTED FINAL DISTRIBUTION DATE (3)

FINAL SCHEDULED DISTRIBUTION DATE (4)

MINIMUM DENOMINATION

INCREMENTAL DENOMINATIONS

Class A-1

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class A-2

DD

0 day

Actual/360

September 2007

January 2026

$100,000

$1

Class A-3

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class A-4

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-1

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-2

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-3

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-4

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-5

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-6

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-7

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-8

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

Class M-9

DD

0 day

Actual/360

June 2012

May 2035

$100,000

$1

        
        

Class M-10

DD

0 day

Actual/360

June 2012

May 2035

$250,000

$1

Class M-11

DD

0 day

Actual/360

June 2012

May 2035

$250,000

$1


(1)

DD = For any distribution date, the close of business on the business day immediately before that distribution date.

(2)

0 day = For any distribution date, the interest accrual period will be the period beginning on the immediately preceding distribution date (or the closing date for the first interest accrual period) through the day prior to the related distribution date

(3)

The expected final distribution date for each class of offered certificates is based upon (i) the applicable prepayment assumption for the mortgage loans, (ii) the modeling assumptions used in this prospectus supplement, as described under “Yield, Prepayment and Weighted Average Life—Weighted Average Lives ” and (iii) assuming the option to purchase the mortgage loans is exercised by the terminating entity at the earliest possible distribution date, as described in this prospectus supplement under ““Description of the Certificates—Optional Clean-Up Call.”

(4)

The final scheduled distribution date for each class of offered certificates, other than the Class A-2 Certificates, is the distribution date in the month following the scheduled maturity date for the latest maturing mortgage loan.  The final scheduled distribution date for the Class A-2 Certificates is calculated assuming a prepayment assumption of 0% and adding one month.


The certificates offered by this prospectus supplement will be issued in book-entry form and in the minimum denominations (or multiples thereof) set forth under “Description of the Certificates — General” in this prospectus supplement.

The certificates represent ownership interests in a trust fund which will consist primarily of two separate groups of mortgage loans, “group 1” and “group 2”.  Group 1 and group 2 together are sometimes referred to in this prospectus supplement as the “aggregate pool”.

Generally, distributions to the Class A-1 Certificates will be solely derived from collections on the group 1 mortgage loans and distributions to the Class A-2, Class A-3 and Class A-4 Certificates will be solely derived from collections on the group 2 mortgage loans.  

Collections from all the mortgage loans will be available to make distributions on the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates.

ISSUING ENTITY

J.P. Morgan Mortgage Acquisition Corp. 2006-FRE1, a common law trust formed under the laws of the State of New York, will issue the certificates.  The issuing entity, also referred to as the trust, will be formed pursuant to a pooling and servicing agreement among the depositor, the servicer, the securities administrator and the trustee.  The certificates solely represent beneficial ownership interests in the trust fund created under the pooling and servicing agreement and not an interest in, or the obligation of, the depositor, the sponsor or any other person.

THE TRUSTEE

U.S. Bank National Association, a national banking association, will act as trustee of the trust fund under the pooling and servicing agreement.  

THE ORIGINATOR

All of the mortgage loans were originated or acquired by Fremont Investment & Loan.

We refer you to “Description of the Mortgage Pool” in this prospectus supplement for more information.

THE SPONSOR AND SELLER

J.P. Morgan Mortgage Acquisition Corp., a Delaware corporation, has previously acquired the mortgage loans from the originator.  On the closing date, J.P. Morgan Mortgage Acquisition Corp., as seller, will sell all of its interest in the mortgage loans to the depositor.

THE DEPOSITOR

On the closing date, J.P. Morgan Acceptance Corporation I, a Delaware corporation, will assign all of its interest in the mortgage loans to the trustee for the benefit of certificateholders.

THE CUSTODIAN

J.P. Morgan Trust Company, National Association, a national banking association, will maintain custody of the mortgage files relating to the mortgage loans on behalf of the trust fund.

THE
SECURITIES ADMINISTRATOR

JPMorgan Chase Bank, National Association, a national banking association, will act as securities administrator under the pooling and servicing agreement.  The securities administrator will be responsible for performing certain calculations relating to distributions on the certificates, making payments on the certificates, acting as certificate registrar and transfer agent for the trust.

THE SERVICER

Prior to the servicing transfer date, which is expected to be March 1, 2006, Fremont Investment & Loan will act as servicer of the mortgage loans pursuant to an assignment of a mortgage loan purchase agreement.  Following the servicing transfer date, JPMorgan Chase Bank, National Association, a national banking association, will act as servicer of the mortgage loans.

We refer you to “The Servicers” and “The Pooling Agreement” in this prospectus supplement for more information.

THE SWAP PROVIDER

JPMorgan Chase Bank, National Association will be the swap provider under the interest rate swap agreement.

We refer you to “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” in this prospectus supplement for more information.

THE TRUST OVERSIGHT MANAGER

Pentalpha Surveillance LLC will act as trust oversight manager.  The trust oversight manager will have the right to make certain recommendations with respect to the trust, but will not have any servicing responsibilities or rights with respect to the assets of the trust.

We refer you to “The Pooling Agreement—The Trust Oversight Manager” in this prospectus supplement for more information.

NIMS INSURER

One or more insurance companies (together, the “NIMS Insurer”) may issue a financial guaranty insurance policy covering certain payments to be made on net interest margin securities to be issued by a separate trust and secured by all or a portion of the Class C Certificates and the Class P Certificates. In such event, the NIMS Insurer will be able to exercise rights which could adversely impact the certificateholders.

We refer you to “Risk Factors—Rights of NIMS Insurer” in this prospectus supplement for more information.

CUT-OFF DATE

Close of business on January 1, 2006.  The cut-off date is the date on and after which the trust fund will be entitled to receive all collections on and proceeds of the mortgage loans.

DISTRIBUTION DATE

The 25th day of each month or, if such day is not a business day, the next business day thereafter, commencing in February 2006.  Distributions on each distribution date will be made to certificateholders of record as of the related record date, except that the final distribution on the certificates will be made only upon presentment and surrender of the certificates at the corporate trust office of the securities administrator.

RECORD DATE

The record date for the offered certificates, for so long as they are held in book-entry form, will be the business day immediately preceding a distribution date, and for any offered certificate that is not held in book-entry form, will be the last business day of the month preceding the month of a distribution date.

DISTRIBUTIONS OF INTEREST

On each distribution date, to the extent funds are available from the related mortgage group or mortgage groups, each class of certificates will be entitled to receive accrued and unpaid interest determined on the basis of the outstanding class principal amount of such class immediately prior to such distribution date, the applicable certificate interest rate and the related accrual period in the order or priority specified under “Description of the Certificates—Distributions of Interest”.  On each distribution date, interest will accrue on each class of certificates at the least of (1) one-month LIBOR plus the related margin, (2) the net WAC rate and (3) the maximum cap rate for that distribution date.  The net WAC rate is a limitation generally based on the weighted average mortgage rates of the mortgage loans during the applicable due period, net of certain allocable fees and expenses of the trust fund and any swap payments owed to the swap counterparty.  The maximum cap rate is a limitation generally based on the weighted average of the maximum rates of the mortgage loans during the applicable due period, net of certain fees and expenses of the trust fund and any swap payments owed to the swap counterparty.

For each distribution date, the accrual period for the offered certificates, Class M-10 and Class M-11 Certificates will be the period from the previous distribution date or, in the case of the first accrual period, the closing date, to the day prior to the current distribution date.  Interest on all classes of certificates for all accrual periods will be calculated and payable on the basis of the actual number of days in the accrual period, based on a 360-day year.

Interest payments will be allocated among certificateholders of a class of certificates on a pro rata basis.

We refer you to “Description of the Certificates — Distributions of Interest” in this prospectus supplement for more information.

DISTRIBUTIONS OF PRINCIPAL

The amount of principal distributable on the certificates on any distribution date will be determined by (1) formulas that allocate principal payments received on the mortgage loans among the different classes of certificates and (2) the amount of funds actually received on the mortgage loans and available to make distributions on the certificates.  Funds actually received on the mortgage loans may consist of scheduled payments and unscheduled payments resulting from prepayments by borrowers, liquidation of defaulted mortgage loans or repurchases of mortgage loans under the circumstances described in this prospectus supplement.

On each distribution date, each class of certificates will receive principal payments in accordance with the priorities set forth in “Description of the Certificates — Distributions of Principal” and based on principal collections from the related mortgage group or mortgage groups for the related due period.

The manner of allocating payments of principal on the mortgage loans among the related certificates will differ, as described in this prospectus supplement, depending upon the occurrence of several different events or triggers:

·

whether a distribution date occurs before, or on or after, the “stepdown date,” which is the later of (1) the distribution date in February 2009 and (2) the first distribution date on which the ratio of (a) the total principal balance of the subordinate certificates plus any overcollateralization amount to (b) the total principal balance of the mortgage loans equals or exceeds the applicable percentage specified in this prospectus supplement;

·

whether a “cumulative loss trigger event” occurs, which is when cumulative losses on the mortgage loans are higher than certain levels specified in this prospectus supplement;

·

whether a “delinquency event” occurs, which is when the rate of delinquencies of the mortgage loans over any three-month period is higher than certain levels set forth in this prospectus supplement; and

·

whether the total principal balance of the senior certificates has been reduced to zero.

We refer you to “Description of the Certificates — Distributions of Principal” in this prospectus supplement and “Description of the Securities – Distributions on Securities” in the prospectus for more information.

FINAL SCHEDULED DISTRIBUTION DATE

The final scheduled distribution date for the offered certificates, other than the Class A-2 Certificates, is the distribution date in May 2035, which is the distribution date in the month following the scheduled maturity date for the latest maturing mortgage loan.  The final scheduled distribution date for the Class A-2 Certificates is the distribution date in January 2026, which is calculated assuming a prepayment assumption of 0% and adding one month.  It is expected that the actual final distribution date for any class of offered certificates may occur earlier than the final scheduled distribution date because of prepayments on the related mortgage loans.

OPTIONAL CLEAN-UP REDEMPTION OF THE CERTIFICATES

On any distribution date on or after the distribution date on which the aggregate outstanding principal balance of the mortgage loans is equal to or less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date, as described herein, the servicer will have the option to purchase all of the mortgage loans thereby causing an early retirement of the certificates.  If the servicer elects not to exercise its option, the majority holder of the Class C Certificates or the NIMS Insurer may have the right to direct the servicer to exercise that option on its behalf.

We refer you to “Description of the Certificates — Optional Clean-Up Call” in this prospectus supplement for more information.

CREDIT ENHANCEMENT

Subordination.  The subordinate classes of certificates will provide credit enhancement for the senior certificates.  In addition, the Class M-1 Certificates will have a payment priority over the Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-2 Certificates will have a payment priority over the Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-3 Certificates will have a payment priority over the Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-4 Certificates will have a payment priority over the Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-5 Certificates will have a payment priority over the Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-6 Certificates will have a payment priority over the Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-7 Certificates will have a payment priority over the Class M-8, Class M-9, Class M-10 and Class M-11 Certificates; the Class M-8 Certificates will have a payment priority over the Class M-9, Class M-10 and Class M-11 Certificates; and the Class M-9 Certificates will have a payment priority over the Class M-10 and Class M-11 Certificates.  

If the mortgage loans in any group experience losses, then, generally, after the exhaustion or any available excess interest and any available net swap payments from the swap provider and after the reduction of the overcollateralized amount to zero, the principal amount of the subordinate class of certificates that is lowest in seniority and still outstanding will be reduced by the amount of those realized losses until the total outstanding principal balance of such class equals zero.

If a loss has been allocated to reduce the class principal amount of your class of certificates, you will receive no payment in respect of that reduction (except to the limited extent of Subsequent Recoveries).  If the subordination of the subordinate certificates is insufficient to absorb losses, then the senior certificates relating to the group incurring the realized losses may never receive all of their principal payments.

Subordination is intended to enhance the likelihood of regular distributions of interest and principal on the more senior certificates and to afford those certificates protection against realized losses on the mortgage loans.

We refer you to “Risk Factors — Potential Inadequacy of Credit Enhancement” and “Description of the Certificates” in this prospectus supplement for more information.

Overcollateralization.  The mortgage loans bear interest each month in an amount that is expected to exceed the amount needed to pay monthly interest on the certificates and to pay the fees and expenses of the trust.  A portion of this excess interest will be applied to pay principal on the offered certificates and the Class M-10 and Class M-11 Certificates until the required level of overcollateralization is reached.  This application will reduce the class principal amounts of the offered certificates faster than the principal balances of the mortgage loans.  As a result, the aggregate principal balance of the mortgage loans is expected to exceed the aggregate class principal amount of the offered, Class M-10, Class M-11 and Class P Certificates.  This feature is referred to as “overcollateralization.”  The required level of overcollateralization may increase or decrease over time.  We cannot assure you that sufficient excess interest will be generated by the mortgage loans to create or maintain the required level of overcollateralization.  

We refer you to “Description of the Certificates – Overcollateralization Provisions” in this prospectus supplement for more information.

Excess Interest.  The mortgage loans bear interest each month that in the aggregate is expected to exceed the amount needed to pay monthly interest on the certificates and to pay the fees and expenses of the trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than any Swap Termination Payment resulting from a Swap Provider Trigger Event).  The excess interest from the mortgage loans each month will be available to absorb realized losses on the mortgage loans and to create or maintain overcollateralization at required levels as described in the pooling agreement.

We refer you to “Description of the Certificates—Allocation of Available Funds” and “—Overcollateralization Provisions” in this prospectus supplement for additional information.

Interest Rate Swap Agreement.  The securities administrator, on behalf of a trust separate from the trust fund, referred to in this prospectus supplement as the supplemental interest trust, is expected to enter into an Interest Rate Swap Agreement with JPMorgan Chase Bank, National Association as swap provider (referred to in this prospectus supplement as the Swap Provider).  Under the Interest Rate Swap Agreement, on each distribution date, the supplemental interest trust will be obligated to make fixed payments as specified in the Interest Rate Swap Agreement based on a schedule and the Swap Provider will be obligated to make floating payments equal to the product of (x) one-month LIBOR (as determined pursuant to the Interest Rate Swap Agreement), (y) the notional amount for that distribution date and (z) a fraction, the numerator of which is the actual number of days elapsed from the previous distribution date to but excluding the current distribution date (or, for the first distribution date, the actual number of days elapsed from the closing date to but excluding the first distribution date), and the denominator of which is 360.  To the extent that the fixed payment exceeds the floating payment on any distribution date, amounts otherwise available to certificateholders will be applied to make a net payment to the Swap Provider, and to the extent that the floating payment exceeds the fixed payment on any distribution date, the Swap Provider will make a Net Swap Payment for deposit into a segregated trust account established on the closing date (referred to in this prospectus supplement as the Swap Account) pursuant to the pooling agreement.

Upon early termination of the Interest Rate Swap Agreement, the supplemental interest trust or the Swap Provider may be liable to make a Swap Termination Payment to the other party (regardless of which party caused the termination).  The Swap Termination Payment will be computed in accordance with the procedures set forth in the Interest Rate Swap Agreement.  In the event that the supplemental interest trust is required to make a Swap Termination Payment, that payment will be paid on the related distribution date, and on any subsequent distribution dates until paid in full, generally prior to any distribution to certificateholders.  

We refer you to “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” in this prospectus supplement for more information.

Net Swap Payments and Swap Termination Payments payable by the supplemental interest trust (other than Swap Termination Payments resulting from a Swap Provider Trigger Event) will be deducted from available funds before distributions to certificateholders and will first be deposited into the Swap Account before payment to the Swap Provider.

Allocation of Losses.  If on any distribution date there is not sufficient excess interest or overcollateralization to absorb realized losses on the mortgage loans as described under “Description of the Certificates—Overcollateralization Provisions” in this prospectus supplement or Net Swap Payments received under the Interest Rate Swap Agreement, then realized losses on the mortgage loans will be allocated to the subordinate certificates as described below.  If realized losses on the mortgage loans are allocated to the subordinate certificates, they will be allocated first, to the Class M-11 Certificates, second, to the Class M-10 Certificates, third, to the Class M-9 Certificates, fourth, to the Class M-8 Certificates, fifth, to the Class M-7 Certificates, sixth, to the Class M-6 Certificates, seventh, to the Class M-5 Certificates, eighth, to the Class M-4 Certificates, ninth, to the Class M-3 Certificates, tenth, to the Class M-2 Certificates and eleventh, to the Class M-1 Certificates.  The pooling agreement does not permit the allocation of realized losses on the mortgage loans to the Class A or Class P Certificates; however, investors in the Senior Certificates should realize that under certain loss scenarios there will not be enough principal and interest on the mortgage loans on a distribution date to pay the Senior Certificates all interest and principal amounts to which those certificates are then entitled.

Realized losses allocated to the subordinate certificates will cause a permanent reduction to their class principal amounts (except for any reinstatement in respect of Subsequent Recoveries).  However, the amount of any realized losses allocated to the subordinate certificates may be paid to the holders of these certificates according to the priorities set forth under “Description of the Certificates—Overcollateralization Provisions” and “Description of the Certificates —The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” in this prospectus supplement.

We refer you to “Description of the Certificates —Allocation of Losses; Subordination” in this prospectus supplement for more information.

THE MORTGAGE LOANS

Statistical Information.  The statistical information on the mortgage loans presented herein is based on the principal balance of such mortgage loans as of the close of business on January 1, 2006 (referred to herein as the “cut-off date”).  Such information does not take into account defaults, delinquencies and prepayments that may have occurred with respect to the mortgage loans since such date.  As a result, the statistical distribution of the characteristics in the final mortgage groups as of the closing date will vary from the statistical distribution of such characteristics as presented in this prospectus supplement, although such variance will not be material.

General.  On the cut-off date, the assets of the trust fund consisted of 4,956 mortgage loans with a total principal balance of approximately $1,012,403,166.  The mortgage loans consist primarily of adjustable and fixed rate, conventional, first and second lien residential mortgage loans, substantially all of which have an original term to stated maturity of 30 years.

Group 1 Characteristics.  As of the cut-off date, group 1 consisted of 2,088 mortgage loans having a total principal balance of approximately $373,925,420 (or approximately 36.93% of the aggregate cut-off date balance of the aggregate pool).  Approximately 85.78%, 2.29%, and 0.82% of the group 1 mortgage loans adjust, commencing approximately two, three and five years, respectively, after origination, based on the Six-Month LIBOR Index.  The mortgage interest rates of approximately 11.11% of the group 1 mortgage loans are fixed.  Approximately 0.01%, 0.08%, 0.23%, 0.06%, 0.10% and 99.53% of the group 1 mortgage loans have original terms to maturity of approximately 5, 10, 15, 20, 25 and 30 years, respectively.

Approximately 11.92% of the group 1 mortgage loans provide for payments of interest at the related mortgage interest rate, but no payments of principal, for a period of five years following origination of such mortgage loan.  Following such five-year period, the monthly payment with respect to each such group 1 mortgage loan will be increased to an amount sufficient to amortize the principal balance of such mortgage loan over its remaining 25-year term and to pay interest at the related mortgage interest rate.  None of the group 1 mortgage loans with original terms to maturity of approximately 5, 10, 15, 20 or 25 years provide for payments of interest at the related mortgage interest rate, but no payments of principal, for any period following origination of such mortgage loan.

Group 2 Characteristics.  As of the cut-off date, group 2 consisted of 2,868 mortgage loans having a total principal balance of approximately $638,477,745 (or approximately 63.07% of the aggregate cut-off date balance of the aggregate pool).  Approximately 85.05%, 1.81%, and 0.58% of the group 2 mortgage loans adjust, commencing approximately two, three or five years, respectively, after origination, based on the Six-Month LIBOR Index. The mortgage interest rates of 12.56% of the group 2 mortgage loans are fixed.  Approximately 0.02%, 0.25%, 0.34%, 0.03%, 0.02% and 99.35% of the group 2 mortgage loans have original terms to maturity of approximately 5, 10, 15, 20, 25 and 30 years, respectively.

Approximately 15.64% of the group 2 mortgage loans provide for payments of interest at the related mortgage interest rate, but no payments of principal, for a period of five years following origination of such mortgage loan.  Following such five-year period, the monthly payment with respect to each such group 2 mortgage loan will be increased to an amount sufficient to amortize the principal balance of such mortgage loan over its remaining 25-year term and to pay interest at the related mortgage interest rate.  None of the group 2 mortgage loans with original terms of maturity of approximately 5, 10, 15, 20 or 25 years provide for payments of interest at the related mortgage interest rate, but no payments of principal, for any period following origination of such mortgage loan.

We refer you to “Description of the Mortgage Pool” in this prospectus supplement for more information.

Summary Statistical Data.  The following table summarizes the characteristics of the mortgage loans in the aggregate pool and each group as of the cut-off date. Tabular information concerning the statistical characteristics of the mortgage loans in the aggregate pool and each mortgage group as of the cut-off date can be found at “Description of the Mortgage Pool — Tabular Characteristics of the Mortgage Loans” in this prospectus supplement.

Aggregate Outstanding Principal Balance

 

Aggregate Pool


$1,012,403,166

Group 1:


$373,925,420

Group 2:


$638,477,745

  
  

Aggregate Number of Mortgage Loans

 

Aggregate Pool


4,956

Group 1:


2,088

Group 2:


2,868

  

Average Stated Principal Balance  

 

Aggregate Pool:


$204,278

Group 1:


$179,083

Group 2:


$222,621

  

Weighted Average Current Mortgage Rate

 

Aggregate Pool


7.636%

Group 1:


7.635%

Group 2:


7.637%

  

Weighted Average Margin (ARM loans)

 

Aggregate Pool


5.755%

Group 1:


5.850%

Group 2:


5.698%

  

Weighted Average Original Term to Maturity

 

Aggregate Pool


359 months

Group 1:


359 months

Group 2:


359 months

  

Weighted Average Remaining Term to Maturity

 

Aggregate Pool


356 months

Group 1:


357 months

Group 2:


356 months

  


SERVICING OF THE MORTGAGE LOANS

Prior to the servicing transfer date, which is expected to be March 1, 2006, Fremont Investment & Loan will service the mortgage loans under the mortgage loan purchase agreement and after the servicing transfer date, JPMorgan Chase Bank, National Association, a national banking association, will service the mortgage loans under the pooling agreement.

Under the pooling agreement or the mortgage loan purchase agreement, as applicable, the servicer is generally obligated to make monthly advances of cash (to the extent such advances are deemed recoverable), which will be included with mortgage principal and interest collections, in an amount equal to any delinquent monthly payments due on the related mortgage loans on the immediately preceding determination date.  

The servicer will be entitled to reimburse itself for any such advances from future payments and collections (including insurance or liquidation proceeds) with respect to the related mortgage loans.  However, if the servicer makes advances which are determined to be nonrecoverable from future payments and collections on the related mortgage loan, the servicer will be entitled to reimbursement for such advances prior to any distributions to certificateholders.  Advances are intended to maintain a regular flow of scheduled interest and principal distributions on the certificates and are not intended to guarantee or insure against losses

We refer you to “The Pooling Agreement—Advances” in this prospectus supplement for more detail.

FEES AND EXPENSES

Before payments are made on the certificates, the servicer will be paid a monthly fee calculated at an annual rate of 0.50% on the principal balance of the mortgage loans as described under “The Pooling AgreementServicing and Other Compensation and Payment of Expenses” in this prospectus supplement.

In addition, before payments are made on the certificates, each of the securities administrator, the trustee, the trust oversight manager and the custodian will be paid a monthly fee on the principal balance of the mortgage loans as described under “Description of the Certificates—Distributions of Interest” in this prospectus supplement.  Expenses of, and certain other amounts owed to, the servicer, the custodian, the securities administrator, the trustee and the trust oversight manager will be reimbursed before payments are made on the certificates.

See “Fees and Expenses of the Trust Fund” in this prospectus supplement.

MATERIAL FEDERAL INCOME
TAX CONSEQUENCES

For federal income tax purposes, a designated portion of the trust fund will comprise multiple REMICs in a tiered structure.  Each offered certificate will represent a regular interest in a REMIC, coupled with certain contractual rights and obligations.

We refer you to “Material Federal Income Tax Consequences” in this prospectus supplement and in the prospectus for more information.

ERISA MATTERS

The offered certificates may be eligible for acquisition by persons investing assets of employee benefit plans or other retirement arrangements that are subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), or Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”) (“Plans”) provided the acquisition and holding of such offered certificates is eligible for the exemptive relief available under one of the class exemptions described in this prospectus supplement under “ERISA Considerations”.

We refer you to “ERISA Matters” in this prospectus supplement and “ERISA Considerations” in the accompanying prospectus for more information.

LEGAL INVESTMENT

The certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984 (“SMMEA”).  You should consult your legal advisor in determining whether and to what extent the offered certificates constitute legal investments for you.

There are other restrictions on the ability of certain types of investors to purchase the certificates that prospective investors should consider.

We refer you to “Legal Investment” in the prospectus for more information.

RATING OF THE CERTIFICATES

The certificates offered by this prospectus supplement will initially have ratings at least as high as the ratings specified on page S-1 from Standard & Poor’s Ratings Service, a division of The McGraw-Hill Companies, Inc., Fitch, Inc. and Moody’s Investors Service, Inc.


RISK FACTORS

Investors should consider the following factors in connection with the purchase of certificates.  You should also consider the risk factors described in the accompanying prospectus.  All statistical information referred to in this section is based on the mortgage groups as constituted on the cut-off date.

The Underwriting Standards of the Originator Are Not as Stringent as those of Fannie Mae and Freddie Mac, Which May Result in Losses

The originator’s underwriting standards are primarily intended to assess the value of the mortgaged property and to evaluate the adequacy of that property as collateral for the mortgage loan and the applicant’s credit standing and ability to repay.  The originator provides loans primarily to borrowers who do not qualify for loans conforming to Fannie Mae and Freddie Mac guidelines but who generally have equity in their property.  While the primary consideration in underwriting a mortgage loan is the value and adequacy of the mortgaged property as collateral, the originator also considers, among other things, a mortgagor’s credit history, repayment ability and debt service-to-income ratio, as well as the type and use of the mortgaged property.  The originator’s underwriting standards do not prohibit a mortgagor from obtaining secondary financing at the time of origination of the first lien, which secondary financing would reduce the equity the mortgagor would otherwise have in the related mortgaged property as indicated in the originator’s loan-to-value ratio determination.

The mortgage loans may have been made to mortgagors with imperfect credit histories, ranging from minor delinquencies to bankruptcy or mortgagors with relatively high ratios of monthly mortgage payments to income or relatively high ratios of total monthly credit payments to income.

As a result of these underwriting standards, the mortgage loans in the mortgage group are likely to experience rates of delinquency, foreclosure and bankruptcy that are higher, and that may be substantially higher, than those experienced by mortgage loans underwritten in a more traditional manner.

Furthermore, changes in the values of mortgaged properties may have a greater effect on the delinquency, foreclosure, bankruptcy and loss experience of the mortgage loans in the mortgage group than on mortgage loans originated in a more traditional manner.  We cannot assure you that the values of the related mortgaged properties have remained or will remain at the levels in effect on the dates of origination of the related mortgage loans.

Inclusion of delinquent mortgage loans may increase risk of loss

Approximately 0.20% and 0.43% of the group 1 mortgage loans and group 2 mortgage loans, respectively, were 30 to 59 days delinquent by aggregate principal balance as of the close of business on the cut-off date.  Approximately 0.11% and 0.04% of the group 1 mortgage loans and group 2 mortgage loans, respectively, were 60 to 89 days delinquent by aggregate principal balance as of the close of business on the cut-off date.  As of the cut-off date, no mortgage loan is 90 or more days delinquent.  As a result, the mortgage pool may bear more risk than a pool of mortgage loans without any delinquencies but with otherwise comparable characteristics.  It is possible that a delinquent mortgage loan will not ever become current or, if it does become current, that the borrower may become delinquent again.

Prepayments Are Unpredictable and Affect Yield

The rate of principal distributions and yield to maturity on the certificates will be directly related to the rate of principal payments on the mortgage loans of the related mortgage group or mortgage groups.  For example, the rate of principal payments on the mortgage loans will be affected by the following:

·

the amortization schedules of the mortgage loans;

·

the rate of principal prepayments, including partial prepayments and full prepayments resulting from:

·

refinancing by borrowers;

·

liquidations of defaulted loans by the servicer; and

·

repurchases of mortgage loans by an originator or the seller as a result of defective documentation or breaches of representations and warranties.

The yield to maturity of the certificates will also be affected by any exercise of the optional clean-up call on the mortgage loans.

The rate of principal payments on mortgage loans is influenced by a wide variety of economic, geographic, social and other factors, including general economic conditions, the level of prevailing interest rates, the availability of alternative financing and homeowner maturity.  For example, if interest rates for similar loans fall below the interest rates on the mortgage loans, the rate of prepayment would generally be expected to increase.  Conversely, if interest rates on similar loans rise above the interest rates on the mortgage loans, the rate of prepayment would generally be expected to decrease.  We cannot predict the rate at which borrowers will repay their mortgage loans.  Please consider the following:

·

if you are purchasing any offered certificate at a discount, your yield may be lower than expected if principal payments on the related mortgage loans occur at a slower rate than you expected;

·

if you are purchasing any offered certificate at a premium, your yield may be lower than expected if principal payments on the related mortgage loans occur at a faster rate than you expected, and you could lose your initial investment;

·

if the rate of default and the amount of losses on the related mortgage loans are higher than you expect, then your yield may be lower than you expect, and you could lose all or a portion of your initial investment;

·

the earlier a payment of principal occurs, the greater the impact on your yield.  For example, if you purchase any offered certificate at a premium, although the average rate of principal payments is consistent with your expectations, if the rate of principal payments occurs initially at a rate higher than expected, which would adversely impact your yield, a subsequent reduction in the rate of principal payments will not offset any adverse yield effect;

·

the priorities governing payments of principal will have the effect of accelerating the rate of principal payments to holders of the classes of senior certificates relative to the classes of subordinate certificates;

·

The rate of prepayments on the mortgage loans will be sensitive to prevailing interest rates.  Generally, if interest rates decline, mortgage loan prepayments may increase due to the availability of fixed-rate mortgage loans or other adjustable-rate mortgage loans at lower interest rates.  Conversely, if prevailing interest rates rise significantly, the prepayments on the mortgage loans may decrease;

·

Approximately 52.79% of the group 1 mortgage loans and approximately 61.33% of the group 2 mortgage loans (in each case, by aggregate principal balance of the related Group as of the cut-off date) require the mortgagor to pay a charge in certain instances if the mortgagor prepays the mortgage loan during a stated period, which may be from twelve to thirty-six months after the mortgage loan was originated.  A prepayment charge may or may not discourage a mortgagor from prepaying the mortgage loan during the applicable period;

·

The originator or the seller, as applicable, may be required to purchase mortgage loans from the trust in the event certain breaches of representations and warranties occur and have not been cured.  In addition, the servicer or the NIMS Insurer, if any, have the option to purchase mortgage loans that become 90 days or more delinquent, subject to certain limitations and conditions described in this prospectus supplement and the pooling and servicing agreement.  These purchases will have the same effect on the holders of the offered certificates as a prepayment of the mortgage loans;

·

The servicer (or if the servicer elects not to exercise its option, the servicer at the direction of the majority Class C certificateholders or the NIMS Insurer, if any, may direct the servicer to exercise, on its behalf) may purchase all of the mortgage loans when the aggregate principal balance of the mortgage loans is equal to or less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date;

·

If the rate of default and the amount of losses on the mortgage loans is higher than you expect, then your yield may be lower than you expect; and

·

The overcollateralization provisions may result in an accelerated rate of principal distributions to holders of the more senior classes of offered certificates.

See “Yield, Prepayment and Weighted Average Life” and “Description of the Certificates — Distributions of Principal” in this prospectus supplement for a description of the factors that may influence the rate and timing of prepayments on the mortgage loans.

Rights of the NIMS Insurer

Pursuant to the terms of the pooling agreement, unless there exists a continuance of any failure by the NIMS Insurer, if any, to make a required payment under the policy insuring the net interest margin securities (such event, a “NIMS Insurer Default”), such NIMS Insurer will be entitled to exercise, among others, the following rights of the holders of the Senior and Subordinate Certificates, without the consent of such holders, and the holders of the Senior and Subordinate Certificates may exercise such rights only with the prior written consent of such NIMS Insurer: (i) the right to provide notices of servicer defaults and the right to direct the trustee or the securities administrator to terminate the rights and obligations of the servicer under the pooling agreement in the event of a default by the servicer; (ii) the right to remove the trustee, the securities administrator or any co-trustee or custodian pursuant to the pooling agreement; and (iii) the right to direct the trustee or the securities administrator to make investigations and take actions pursuant to the pooling agreement. In addition, unless a NIMS Insurer Default exists, such NIMS Insurer’s consent will be required prior to, among other things, (i) the removal or replacement of the servicer, any successor servicer or the trustee, (ii) the appointment or termination of any subservicer or co-trustee or (iii) any amendment to the pooling agreement.

Investors in the Senior and Subordinate Certificates should note that:

·

any insurance policy issued by the NIMS Insurer, if any, will not cover, and will not benefit in any manner whatsoever, the Senior and Subordinate Certificates;

·

the rights to be granted to the NIMS Insurer, if any, are extensive;

·

the interests of the NIMS Insurer, if any, may be inconsistent with, and adverse to the interests of the holders of the Senior and Subordinate Certificates and the NIMS Insurer, if any, has no obligation or duty to consider the interests of the Senior and Subordinate Certificates in connection with the exercise or nonexercise of such NIMS Insurer’s rights;

·

such NIMS Insurer’s exercise of the rights and consents set forth above may negatively affect the Senior and Subordinate Certificates and the existence of such NIMS Insurer’s rights, whether or not exercised, may adversely affect the liquidity of the Senior and Subordinate Certificates relative to other asset-backed certificates backed by comparable mortgage loans and with comparable payment priorities and ratings; and

·

there may be more than one series of notes insured by the NIMS Insurer and the NIMS Insurer will have the rights set forth herein so long as any such series of notes remain outstanding.

Mortgage Loans with Interest-only Payments

Approximately 11.92% and 15.64% of the mortgage loans in group 1 and group 2, respectively, provide for payment of interest at the related mortgage rate, but no payment of principal, for a period of five years following the origination of the related mortgage loan.  Following the applicable interest-only period, the monthly payment with respect to each such mortgage loan will be increased to an amount sufficient to amortize the principal balance of such mortgage loan over its remaining term, and to pay interest at the related mortgage interest rate.  

Such interest-only mortgage loans will, absent other considerations, result in longer weighted average lives of the certificates when compared to certificates backed by fully amortizing mortgage loans.  If you purchase a certificate at a discount, you should consider that the extension of its weighted average life could result in a lower yield than would be the case if such mortgage loans provided for payment of principal and interest on every distribution date.  In addition, a borrower may view the absence of any obligation to make a payment of principal during the first five years of the term of the 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 also be subject to an increased risk of delinquency and loss.

See “Description of the Mortgage Pool” in this prospectus supplement.

Credit Enhancement for the Offered Certificates May Be Inadequate

The credit enhancement features described in this prospectus supplement are intended to enhance the likelihood that holders of the Senior Certificates, and to a limited extent, the holders of the offered subordinate certificates, will receive regular payments of interest and principal, as applicable.  However, we cannot assure you that the applicable credit enhancement will adequately cover any shortfalls in cash available to pay your certificates as a result of delinquencies or defaults on the mortgage loans.  If delinquencies or defaults occur on the mortgage loans, neither the servicer nor any other entity will advance scheduled monthly payments of interest and principal on delinquent or defaulted mortgage loans if such advances are not likely to be recovered.

If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, you may suffer losses.

Excess Interest Generated By the Mortgage Loans May Be Insufficient To Create or Maintain Overcollateralization

We expect the mortgage loans to generate more interest than is needed to pay interest owed on the offered certificates and the Class M-10 and Class M-11 Certificates and to pay certain fees and expenses of the trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment, other than a Swap Termination Payment resulting from a Swap Provider Trigger Event).  Any remaining interest generated by the mortgage loans will then be used to absorb losses that occur on the mortgage loans.  After these financial obligations of the trust are covered, the available excess interest generated by the mortgage loans will be used to create or maintain overcollateralization.  We cannot assure you, however, that enough excess interest will be generated to create or maintain the required level of overcollateralization.  The factors described below will affect the amount of excess interest that the mortgage loans will generate.

·

Every time a mortgage loan is prepaid in full or in part, excess interest may be reduced because the mortgage loan will no longer be outstanding and generating interest or, in the case of a partial prepayment, will be generating less interest.

·

Every time a mortgage loan is liquidated or written off, excess interest may be reduced because such mortgage loan will no longer be outstanding and generating interest.

·

If the rates of delinquencies, defaults or losses on the mortgage loans turn out to be higher than expected, excess interest will be reduced by the amount necessary to compensate for any shortfalls in cash available on the applicable date to make required distributions on the certificates.

·

Approximately 87.97% of the mortgage loans, by aggregate principal balance of the mortgage loans as of the cut-off date, are adjustable-rate mortgage loans.  The first adjustment of the mortgage rates for approximately 85.32%, 1.99% and 0.67% of the mortgage loans, by aggregate principal balance of the mortgage loans as of the cut-off date, will not occur for approximately two, three or five years, respectively, after the date of origination, based on the Six-Month LIBOR Index.  As a result, the interest rates on the offered certificates may increase relative to the interest rates on the mortgage loans, or may remain constant as the interest rates on the mortgage loans decline.  In either case, this would require that more of the interest generated by the mortgage loans be applied to cover interest on the offered certificates.

Mortgage Loan Rates May Adversely Affect the Yield on the Offered Certificates

The offered certificates accrue interest at certificate interest rates based on the one-month LIBOR index plus specified margins, but are subject to a limit.  The limit on the certificate interest rates on the offered certificates is based on the weighted average of the interest rates on the mortgage loans, net of certain fees and expenses of the trust and the supplemental interest trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than a Swap Termination Payment due to a Swap Termination Trigger Event).  The mortgage rates on the mortgage loans are either fixed-rate or adjust based on a six-month LIBOR index.  All of the adjustable-rate mortgage loans have periodic and maximum limitations on adjustments to their interest rates.  As a result, the offered certificates may accrue less interest than they would accrue if their interest rates were based solely on the one-month LIBOR index plus the specified margins.

A variety of factors could limit the interest rates on the offered certificates and may adversely affect the yields to maturity on the offered certificates.  Some of these factors are described below.

·

The certificate interest rates for the offered certificates adjust monthly while the mortgage rates on the mortgage loans either do not adjust or may adjust less frequently.  Consequently, the cap on the offered certificates may limit increases in the interest rates for extended periods in a rising interest rate environment.

·

Six-month LIBOR may change at different times and in different amounts than one-month LIBOR. As a result, it is possible that the six-month LIBOR rate applicable to the adjustable-rate mortgage loans may decline while the one-month LIBOR rate applicable to the offered certificates is stable or rising, increasing the likelihood that the interest rate applicable to one or more classes of offered certificates is the cap rate. It is also possible that the six-month LIBOR rate applicable to the adjustable-rate mortgage loans and the one-month LIBOR rate applicable to the offered certificates may decline or increase during the same period, but one-month LIBOR may decline more slowly or increase more rapidly.

If the interest rates on the offered certificates are limited for any distribution date, the resulting basis risk shortfalls may be recovered by the holders of these classes of certificates on such distribution date or on future distribution dates to the extent that there is sufficient available funds remaining after distributions on the offered certificates and the Class M-10 and Class M-11 Certificates and the payment of certain fees and expenses of the trust and the supplemental interest trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than a Swap Termination Payment due to a Swap Termination Trigger Event).  No assurances can be given that such additional funds will be available.

Amounts distributed on the offered certificates in respect of such shortfalls may be supplemented by the Interest Rate Swap Agreement to the extent that the floating payment by the Swap Provider exceeds the fixed payment by the supplemental interest trust on any distribution date and such amount is available in the priority described in this prospectus supplement.  However, the amount received from the Swap Provider under the Interest Rate Swap Agreement may be insufficient to pay the holders of the applicable certificates the full amount of interest which they would have received absent the limitations of the rate cap.

The Offered Subordinate Certificates Involve Additional Risks

The weighted average lives of, and the yields to maturity on, the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates will be progressively more sensitive in that order to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans.  If the actual rate and severity of losses on the mortgage loans is higher than those assumed by an investor in such certificates, the actual yield to maturity of those certificates may be lower than the yield anticipated by such investor.  The timing of losses on the mortgage loans will also affect an investor’s actual yield to maturity, even if the rate of defaults and severity of losses over the life of the mortgage group are consistent with an investor’s expectations.  In general, the earlier a loss occurs, the greater the effect on an investor’s yield to maturity.  Realized losses on the mortgage loans, to the extent they exceed the amount of overcollateralization following distributions of principal on the related distribution date and any Net Swap Payment received under the Interest Rate Swap Agreement, will reduce the class principal amount of the class of subordinate certificates then outstanding with the lowest payment priority.  As a result of these reductions, less interest will accrue on that class of subordinate certificates than would otherwise be the case.  Once a realized loss is allocated to a subordinate certificate, no amounts will be distributable with respect to the written down amount, except to the limited extent pursuant the priorities set forth under “Description of the Certificates—Overcollateralization Provisions” and “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” in this prospectus supplement.  Unless the aggregate class principal amount of the Senior Certificates has been reduced to zero, the offered subordinate certificates will not be entitled to any principal distributions until at the earliest the distribution date in February 2009 or a later date as provided in this prospectus supplement or during any period in which delinquencies or losses on the mortgage loans exceed certain levels.  As a result, the weighted average lives of those certificates will be longer than would otherwise be the case if distributions of principal were allocated among all of the certificates at the same time.  As a result of the longer weighted average lives of such certificates, the holders of those certificates have a greater risk of suffering a loss on their investments.  Further, because such certificates might not receive any principal if certain delinquency levels occur, it is possible for those certificates to receive no principal distributions even if no losses have occurred on the mortgage group.

Yields on the Offered Subordinate Certificates are Sensitive to Prepayments and Losses

The multiple class structure of the Subordinate Certificates causes the yield of such classes to be particularly sensitive to changes in the rates of prepayment of the mortgage loans.  Because distributions of principal will be made to such certificates according to the priorities described in this prospectus supplement, the yield to maturity on such certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on those classes.  The yield to maturity on those certificates will also be extremely sensitive to losses due to defaults on the mortgage loans (and the timing thereof), to the extent the losses are not covered by excess interest, overcollateralization or a class of offered subordinate certificates with a lower payment priority.  Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the offered subordinate certificates may be adversely affected by losses even if such classes of certificates are subsequently reimbursed for such losses.

Prepayment Interest Shortfalls and Relief Act Interest Shortfalls May Reduce Your Yield

When a mortgage loan is prepaid, the borrower is charged interest on the amount prepaid only up to the date on which the prepayment is made, rather than for an entire month.  This may result in a shortfall in interest collections available for payment on the next distribution date.  Beginning with the distribution date in April 2006, the servicer is required to cover a portion of the shortfall in interest collections that are attributable to prepayments in full on the mortgage loans during that portion of the related prepayment period in the preceding calendar month, but only up to the amount of the servicer’s servicing fee for the related calendar month received by such servicer.

In addition, certain shortfalls in interest collections arising from the application of the Servicemembers Civil Relief Act, as amended, or comparable state laws (together, for purposes of this prospectus supplement, the “Relief Act”) may occur (the “Relief Act Interest Shortfalls”).  The Relief Act provides relief to borrowers who enter active military service and to borrowers in reserve status who are called to active duty after the origination of their mortgage loan.  These borrowers may not be charged interest on a mortgage loan in excess of 6% per annum during the period of the borrower’s active duty.  These shortfalls are not required to be paid by the borrower at any future time, will not be advanced by the servicer, and, to the extent excess interest is insufficient, will reduce accrued interest on each class of certificates on a pro rata basis.  In addition, the Relief Act imposes certain limitations that would impair the servicer’s ability to foreclose on an affected mortgage loan during the borrower’s period of active service and, under some circumstances, during an additional period thereafter.

In response to the terrorist attacks in the United States on September 11, 2001 and the current situation in Iraq, the United States has initiated military operations and has placed a substantial number of military reservists and members of the National Guard on active duty status.  It is possible that the number of reservists and members of the National Guard placed on active duty status in the near future may increase.  These operations will increase the likelihood that Relief Act Interest Shortfalls may occur.

On any distribution date, any Relief Act Interest Shortfalls and (to the extent not covered by compensating interest paid by the servicer) any prepayment interest shortfalls will be allocated, first, to the excess interest, and thereafter, to the interest otherwise due with respect to the offered certificates, Class M-10 and Class M-11 Certificates on a pro rata basis based on the respective amounts of interest accrued on those certificates for the distribution date.  If Relief Act Interest Shortfalls or prepayment interest shortfalls are allocated to the offered certificates, Class M-10 and Class M-11 Certificates, the amount of interest paid on those certificates will be reduced, adversely affecting the yield on these certificates.

Cash Flow Considerations and Risks

The related mortgage loans, the related mortgaged property and other assets of the trust fund are the sole source of payments on the certificates.  Even if the mortgaged properties provide adequate security for the mortgage loans, you could encounter substantial delays in connection with the liquidation of mortgage loans that are delinquent.  This could result in shortfalls in payments on the certificates if the credit enhancement provided by subordination is insufficient.  Further, liquidation expenses, such as legal fees, real estate taxes and maintenance and preservation expenses, will reduce the security for the related mortgage loans and could thereby reduce the proceeds payable to certificateholders.  If any of the mortgaged properties fail to provide adequate security for the related mortgage loans, certificateholders could experience a loss if the credit enhancement created by the subordination has been exhausted.

High Loan-to-Value Ratios Increase Risk of Loss

Mortgage loans with high loan-to-value ratios may present a greater risk of loss than mortgage loans with lower loan-to-value ratios.  Approximately 32.61% of the mortgage loans, based on the aggregate scheduled principal balance of the mortgage loans as of the cut-off date, had loan-to-value ratios at origination in excess of 80%, but no more than 100%.  Additionally, the originator’s determination of the value of a mortgaged property used in the calculation of the loan-to-values ratios of the mortgage loans may differ from the actual value of such mortgaged properties.  None of the mortgage loans in the mortgage group were covered by a primary mortgage insurance policy at origination.

Simultaneous Second Lien Risk

With respect to approximately 40.10% of the group 1 mortgage loans and approximately 54.14% of the group 2 mortgage loans, at the time of origination of the first lien mortgage loan, the originator also originated a second lien mortgage loan which may or may not be included in the trust. The weighted average original loan-to-value ratio of such mortgage loans is approximately 82.71%, with respect to such group 1 mortgage loans and approximately 80.65% with respect to such group 2 mortgage loans and the weighted average original combined loan-to-value ratio of such mortgage loans (including the second lien) is approximately 98.44%, with respect to such group 1 mortgage loans and approximately 98.85%, with respect to such group 2 mortgage loans. With respect to mortgage loans that have second lien mortgage loans encumbering the same mortgaged property, foreclosure frequency may be increased relative to mortgage loans that do not have subordinate financing behind them since mortgagors have less equity in the mortgaged property. In addition, the servicer may declare a default on the second lien loan even though the first lien loan is current which would constitute a default on the first lien loan. In addition to the mortgage loans discussed above that have simultaneous subordinate financing provided by the originator, with respect to certain other mortgage loans, at the time of origination of the first lien mortgage loan, the related mortgaged property was also encumbered by a second lien mortgage to a mortgagee other than the originator. Investors should also note that any mortgagor may obtain subordinate financing at any time subsequent to the date of origination of their mortgage loan from the originator or from any other lender.

There are Risks Relating to Mortgage Loans Secured by Second Liens

Approximately 2.04% and  8.35% of the group 1 and group 2 mortgage loans (in each case, by aggregate principal balance of the related group as of the cut-off date), respectively, are secured by a second lien that is subordinate to the rights of the mortgagee under a first mortgage loan on the related mortgaged property.  The proceeds from any liquidation, insurance or condemnation proceeding will be available to satisfy the outstanding principal balance of such subordinate mortgage loans only to the extent that the claims of the senior mortgage loans have been satisfied in full, including any foreclosure costs.  In certain circumstances where the servicer determines that it would be uneconomical to foreclose on the mortgaged property, the servicer may modify or waive any term of the mortgage loan, including accepting a lesser amount than stated in the mortgage note in satisfaction of the mortgage note.  The servicer may charge off any second lien mortgage loan that is 180 days or more delinquent.  The foregoing consideration will be particularly applicable to subordinate mortgage loans that have high combined loan-to-value ratios because the servicer is more likely to determine that foreclosure would be uneconomical.  You should consider the risk that to the extent losses on second lien mortgage loans are not covered by available credit enhancement, such losses will be borne by the holders of the certificates.

A Decrease in the Value of Mortgaged Property May Increase the Risk of Loss

There are several factors that could adversely affect the value of a mortgaged property and cause the outstanding balance of the related mortgage loan, together with any senior financing, to equal or exceed the value of that mortgaged property.  Among the factors that could adversely affect the value of a mortgaged property are:

·

an overall decline in the residential real estate market in the areas in which the mortgaged properties are located;

·

a decline in the general condition of the mortgaged properties as a result of failure of borrowers to maintain adequately the mortgaged properties; or

·

natural disasters that are not necessarily covered by insurance, including earthquakes, hurricanes, wildfires, floods and eruptions.

If a decline in the value of the mortgaged properties occurs, the actual rates of delinquencies, foreclosure and losses on the mortgage loans could be higher than those currently experienced in the mortgage lending industry in general and you could suffer a loss.

Geographic Concentration of Mortgage Loans Could Adversely Affect Your Investment

Approximately 12.43% and 31.90% of the aggregate principal balance of the mortgage loans included in group 1 and group 2, respectively, are secured by mortgaged properties located in California.  There are also significant concentrations of mortgage loans in other states as described under “Description of the Mortgage Pool — Tabular Characteristics of the Mortgage Loans” in this prospectus supplement.  Consequently, losses and prepayments on the mortgage loans in a particular group and the resultant payments on the related certificates may be affected significantly by changes in the housing markets and the regional economies in any of these areas and by the occurrence of natural disasters, such as earthquakes, hurricanes, tornadoes, tidal waves, mudslides, fires and floods in these areas.

Military Action and Terrorist Attacks

The effects that military action by U.S. forces in Iraq or other regions and terrorist attacks in the United States or other incidents and related military action, may have on the performance of the mortgage loans 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 mortgage loans.  Federal agencies and non-government lenders have and may continue to defer, reduce or forgive payments and delay foreclosure proceedings in respect of loans to borrowers affected in some way by recent and possible future events.  In addition, activation of a substantial number of 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 laws, and the servicer will not be required to advance for any interest shortfall caused by any such reduction.  Shortfalls in interest may result from the application of the Servicemembers Civil Relief Act or similar state laws.  Interest payable to senior and subordinate certificateholders will be reduced on a pro rata basis by any reductions in the amount of interest collectible as a result of application of the Servicemembers Civil Relief Act or similar state laws.

Ability to Resell Securities May Be Limited

There is currently no market for any of the certificates and the underwriter is not required to assist investors in resales of the offered certificates, although it may do so.  We cannot assure you that a secondary market will develop, or if it does develop, that it will continue to exist for the term of the certificates.  Consequently, you may not be able to sell your certificates readily or at prices that will enable you to realize your desired yield.  The market values of the certificates are likely to fluctuate; these fluctuations may be significant and could result in significant losses to you.

The secondary market for mortgage pass-through certificates has experienced periods of illiquidity and can be expected to do so in the future.  Illiquidity can have a severe adverse effect on the prices of certificates that are especially sensitive to prepayment, credit or interest rate risk, or that have been structured to meet the investment requirements of limited categories of investors.

Consequences of Owning Book-Entry Securities

Limit on Liquidity of Securities.  Issuance of the certificates in book-entry form may reduce their liquidity in the secondary trading market because investors may be unwilling to purchase certificates for which they cannot obtain physical certificates.

Limit on Ability to Transfer or Pledge.  Since transactions in the book-entry certificates can be effected only through the DTC, participating organizations, indirect participants and certain banks, your ability to transfer or pledge a book-entry certificate to persons or entities that do not participate in the DTC system or otherwise to take actions in respect of such certificates, may be limited due to lack of physical certificates.

Delays In Payments.  You may experience some delay in the receipt of payments on book-entry certificates because the payment will be forwarded by the securities administrator to DTC for DTC to credit the accounts of its participants which will thereafter credit them to your account either directly or indirectly through indirect participants, as applicable.

Delinquencies May Adversely Affect Investment

The mortgage loans were either originated or acquired in accordance, generally, with the underwriting guidelines described in this prospectus supplement.  We cannot assure you that the values of the mortgaged properties have remained or will remain at levels in effect on the date of origination of the related mortgage loans.

The Seller and the Originator may not be able to repurchase defective mortgage loans

Each of the seller and the originator has made various representations and warranties related to the mortgage loans with respect to the mortgage loans sold by it. Those representations are summarized in “The Pooling Agreement—Assignment of the Mortgage Loans” in this prospectus supplement.

If the seller or the originator fails to cure a material breach of its representations and warranties with respect to any mortgage loan in a timely manner, then the seller or the originator would be required to repurchase or substitute for the defective mortgage loan. It is possible that the seller or the originator may not be capable of repurchasing or substituting any defective mortgage loans, for financial or other reasons.  The inability of the seller or the originator to repurchase or substitute for defective mortgage loans would likely cause the mortgage loans to experience higher rates of delinquencies, defaults and losses. As a result, shortfalls in the distributions due on the certificates could occur.

Reimbursement of Advances by the Servicer Could Delay Distributions on the Certificates

Under the pooling agreement, the servicer will generally make cash advances to cover delinquent payments of principal and interest to the extent it reasonably believes that the cash advances are recoverable from future payments or recoveries on the mortgage loans.  The servicer may make such advances from amounts held for future distribution.  In addition, the servicer may withdraw from the collection account funds that were not included in available funds for the preceding distribution date to reimburse itself for advances previously made.  Any such amounts withdrawn by the servicer in reimbursement for advances previously made are generally required to be replaced by the servicer on or before the next distribution date, subject to subsequent withdrawal.  To the extent that the servicer is unable to replace any amounts withdrawn in reimbursement of advances previously made, there could be a delay in distributions on the offered certificates.  Furthermore, the servicer’s right to reimburse itself for advances previously made from funds held for future distribution could lead to amounts required to be restored to the collection account by the servicer that are higher, and potentially substantially higher, than one month’s advance obligation.

The Certificates are Obligations of the Trust Only

The certificates will not represent an interest in or obligation of the depositor, the servicer, the sponsor, the originator, the seller, the trustee, the securities administrator, the trust oversight manager, the swap provider or any of their respective affiliates. Neither the offered certificates nor the mortgage loans will be guaranteed or insured by any governmental agency or instrumentality, or by the depositor, the servicer, the sponsor, the originator, the seller, the trustee, the securities administrator, the trust oversight manager, the swap provider or any of their respective affiliates.  Proceeds of the assets included in the trust will be the sole source of payments on the offered certificates, and there will be no recourse to any entity in the event that those proceeds are insufficient or otherwise unavailable to make all payments provided for under the offered certificates.

The Interest Rate Swap Agreement and the Swap Provider

Any amounts received from the Swap Provider under the Interest Rate Swap Agreement will be applied as described in this prospectus supplement to cover losses, maintain overcollateralization, pay interest shortfalls and basis risk shortfalls.  However, no amounts will be payable by the Swap Provider unless the floating amount owed by the Swap Provider on a distribution date exceeds the fixed amount owed to the Swap Provider on such distribution date.  This will not occur except in periods when one-month LIBOR (as determined pursuant to the Interest Rate Swap Agreement) generally exceeds 4.750%.  No assurance can be made that any amounts will be received under the Interest Rate Swap Agreement, or that any such amounts that are received will be sufficient to maintain required overcollateralization or to cover interest shortfalls, basis risk shortfalls and losses on the loans.  Any net payment payable to the Swap Provider under the terms of the Interest Rate Swap Agreement will reduce amounts available for distribution to certificateholders, and may reduce the pass-through rates of the certificates.  If the rate of prepayments on the loans is faster than anticipated, the schedule on which payments due under the Interest Rate Swap Agreement are calculated may exceed the aggregate principal balance of the loans, thereby increasing the relative proportion of interest collections on the loans that must be applied to make net payments to the Swap Provider.  The combination of a rapid rate of prepayment and low prevailing interest rates could adversely affect the yields on the offered certificates, Class M-10 and Class M-11 Certificates.  In addition, any termination payment payable to the Swap Provider (other than a termination payment resulting from a Swap Provider Trigger Event) in the event of early termination of the Interest Rate Swap Agreement will reduce amounts available for distribution to certificateholders.

Upon early termination of the Interest Rate Swap Agreement, the supplemental interest trust or the Swap Provider may be liable to make a Swap Termination Payment to the other party (regardless of which party caused the termination).  The Swap Termination Payment will be computed in accordance with the procedures set forth in the Interest Rate Swap Agreement.  In the event that the supplemental interest trust is required to make a Swap Termination Payment, that payment will be paid on the related distribution date, and on any subsequent distribution dates until paid in full, generally prior to distributions to certificateholders.  This feature may result in losses on the certificates.  Due to the priority of the applications of the available funds, the subordinate certificates will bear the effects of any shortfalls resulting from a Net Swap Payment or Swap Termination Payment by the supplemental interest trust before such effects are borne by the senior certificates and one or more classes of subordinate certificates may suffer a loss as a result of such payment.  Investors should note that the level of one-month LIBOR as of January 17, 2006 is approximately 4.483% which means the supplemental interest trust will make a Net Swap Payment to the Swap Provider unless and until one-month LIBOR exceeds approximately 4.750%.

To the extent that distributions on the offered certificates, Class M-10 and Class M-11 Certificates depend in part on payments to be received by the supplemental interest trust under the Interest Rate Swap Agreement, the ability of the Securities Administrator to make such distributions on such certificates will be subject to the credit risk of the Swap Provider to the Interest Rate Swap Agreement.  The credit ratings of the Swap Provider as of the date of this prospectus supplement are lower than the ratings assigned to the senior certificates.  See “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” in this prospectus supplement.

The Offered Certificates are not Suitable Investments for All Investors

The offered certificates are not suitable investments for any investor that requires a regular or predictable schedule of payments or payment on any specific date.  The offered certificates are complex investments that should be considered only by investors who, either alone or with their financial, tax and legal advisors, have the expertise to analyze the prepayment, reinvestment, default and market risk, the tax consequences of an investment, and the interaction of these factors.

You Could Be Adversely Affected By Violations of Consumer Protection Laws

Applicable state laws generally regulate interest rates and other charges and require certain disclosures.  In addition, state and federal consumer protection laws, unfair and deceptive practices acts and debt collection practices acts may apply to the origination or collection of the mortgage loans.  Depending on the provisions of the applicable law, violations of these laws may limit the ability of the servicer to collect all or part of the principal of or interest on the mortgage loans, may entitle the borrower to a refund of related amounts previously paid and, in addition, could subject the servicer to damages and administrative enforcement.

The Federal Home Ownership and Equity Protection Act of 1994, commonly known as HOEPA, prohibits inclusion of some 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 consummation of such mortgage loans.  Some states, as in the case of Georgia’s Fair Lending Act of 2002, have enacted, or may enact, similar laws or regulations, which in some cases impose restrictions and requirements greater than those in HOEPA.  Failure to comply with these laws, to the extent applicable to any of the mortgage loans, could subject the trust as an assignee of the mortgage loans, to monetary penalties and could result in the borrowers rescinding such mortgage loans against the trust fund.  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 originator and the seller have warranted that the mortgage loans do not include any mortgage loan in violation of HOEPA or similar state laws.  However, if the trust fund should include loans subject to HOEPA or in material violation of similar state laws, it will have repurchase remedies against the originator or the seller, as applicable.

Given that the mortgage lending and servicing business involves the compliance with numerous local, state and federal lending laws, lenders and servicers, including the originator from which the seller purchased the mortgage loans, are subject to numerous claims, legal actions (including class action lawsuits), investigations, subpoenas and inquiries in the ordinary course of business.  It is impossible to determine the outcome of any such actions, investigations or inquiries and the resultant legal and financial liability with respect thereto.  If any finding were to have a material adverse effect on the financial condition of the servicer or on the validity of the mortgage loans, losses on the certificates could result.

See “Material Legal Aspects of the Loans” in the accompanying prospectus.

Bankruptcy and Insolvency Risks

It is believed that the transfer of the mortgage loans from the seller to the depositor and from the depositor to the trust fund will each be treated as a sale rather than a secured financing for purposes of federal and state law.  Counsel for the seller and the depositor will render an opinion on the closing date that in the event of the bankruptcy of either the seller or the depositor, the mortgage loans and other assets of the trust fund would not be considered part of the seller’s or depositor’s bankruptcy estates and, thus, would not be available to their creditors.  On the other hand, a bankruptcy trustee or one of the creditors of the seller or the depositor might challenge this conclusion and argue that the transfer of the mortgage loans should be characterized as a pledge of assets in a secured borrowing rather than as a sale.  Such an attempt, even if unsuccessful, might result in delays in distributions on the certificates.

Transfers of Servicing May Result in Increased Delinquencies or Defaults

The servicing function with respect to the mortgage loans is expected to be transferred from Fremont Investment & Loan to JPMorgan Chase Bank, National Association, after the closing date.  Servicing transfers can result in a temporary increase in delinquencies or defaults on the transferred loans.

Fremont Investment & Loan Will Only Interim Service the Mortgage Loans for a Short Period

The historical information presented in this prospectus supplement relating to Fremont is necessarily limited and the actual experience of the mortgage loans owned by the trust may be materially different from such historical performance information.  Specifically, historical information relating to Fremont’s servicing may not be relevant with respect to any time after the transfer of servicing to JPMorgan Chase Bank, National Association.

The Balloon Loans in the Mortgage Pool Have a Greater Degree of Risk of Default

Approximately 3.91% and 8.60% of the mortgage loans included in group 1 and group 2 , respectively (by aggregate principal balance of the mortgage loans as of the cut-off date), will not fully amortize over their terms to maturity and, thus, will require principal payments at their stated maturity, which may be substantially greater than the monthly payments otherwise due on such mortgage loans (i.e., balloon payments).  Mortgage loans with balloon payments involve a greater degree of risk because the ability of a mortgagor to make a balloon payment typically will depend on the mortgagor’s ability either to timely refinance the mortgage loan or to timely sell the mortgaged property.  The ability of a mortgagor to refinance the mortgage loan or sell the related mortgaged property will be affected by a number of factors, including:

·

the level of available mortgage interest rates at the time of refinancing or sale;

·

the mortgagor’s equity in the related mortgaged property;

·

prevailing general economic conditions; and

·

the availability of credit for residential properties generally.


DESCRIPTION OF THE MORTGAGE POOL

General

The following is a summary description of the Mortgage Loans in the Mortgage Groups as of the close of business on January 1, 2006 (the “Cut-off Date”).  The information presented herein does not take into account any Mortgage Loans that have or may prepay in full or have been or may be removed because of incomplete documentation or otherwise for the period from the Cut-off Date to the Closing Date, or other Mortgage Loans that may be substituted therefor.  As a result, the information regarding the Mortgage Loans may vary from comparable information based upon the actual composition of the Mortgage Groups as of the Closing Date, although such variance will not be material.

Whenever reference is made herein to a percentage of some or all of the Mortgage Loans or some or all of a Mortgage Group, such percentage is determined on the basis of the Stated Principal Balance (as defined below at “Description of the Certificates — Glossary”) of the Mortgage Loans in aggregate or of a particular Mortgage Group as of the Cut-off Date.

The Mortgage Loans were previously acquired by the Seller directly from the Originator pursuant to a mortgage loan sale and servicing agreement between the Originator and the Seller (the “Mortgage Loan Purchase Agreement”).  Under an assignment, assumption and recognition agreement, dated as of the Closing Date, among the Originator, the Trustee, the Seller and the Depositor (the “Assignment, Assumption and Recognition Agreement”), the Originator will make, as of the Closing Date, certain representations and warranties to the Trust relating to, among other things, the due execution and enforceability of the Mortgage Loan Purchase Agreement and the Assignment, Assumption and Recognition Agreement and certain characteristics of the Mortgage Loans.  The Seller will assign the Mortgage Loans and all of its rights under the Mortgage Loan Purchase Agreement to the Depositor pursuant to one or more assignment and assumption agreements.  Pursuant to a pooling and servicing agreement, dated as of January 1, 2006, among the Seller, the Depositor, JPMorgan Chase Bank, National Association, as servicer, the Securities Administrator, the Trust Oversight Manager and the Trustee (the “Pooling Agreement”), the Depositor will cause the Mortgage Loans to be assigned to the Trust for the benefit of the certificateholders.  Subject to certain limitations, pursuant to the Mortgage Loan Purchase Agreement, the Originator will be obligated to repurchase, or substitute a similar mortgage loan for, any Mortgage Loan as to which there exists deficient documentation or an uncured breach of certain representations or warranties, if such breach of any such representation or warranty materially and adversely affects the interests of the certificateholders in such Mortgage Loan.  Subject to certain limitations, the Seller will be obligated to repurchase, or substitute a similar loan for, any Mortgage Loan as to which there exists an uncured breach of certain representations and warranties, if such breach of any such representation or warranty materially and adversely affects the interests of the certificateholders in such Mortgage Loan, made by the Seller in the Pooling Agreement, as described in “The Pooling Agreement—Assignment of Mortgage Loans” in this prospectus supplement.  The Seller is selling the Mortgage Loans to the Depositor without recourse and will have no obligation with respect to the certificates in its capacity as Seller other than the repurchase or substitution obligations described in this prospectus supplement.  The Depositor is also selling the Mortgage Loans without recourse and will have no obligation with respect to the certificates in its capacity as Depositor.  The Originator will not have any obligation with respect to the certificates in its capacity as originator other than the repurchase or substitution obligations described in this prospectus supplement.

The Mortgage Loans

At the Cut-off Date, the assets of the Trust Fund consisted of two groups (“Group 1” and “Group 2, respectively, and each, a “Mortgage Group”) having, in aggregate, 4,956 fixed and adjustable rate mortgage loans (the “Mortgage Loans”) secured by first and second liens on one- to four-family residential properties (each, a “Mortgaged Property”), substantially all of which have original terms to maturity of 30 years having an aggregate Stated Principal Balance as of the cut-off date of approximately $1,012,403,166 (the “Aggregate Cut-off Date Balance).  Group 1 and Group 2 are collectively referred to in this prospectus supplement as the “Aggregate Pool.  

The Mortgage Loans are subject to the “due-on-sale” provisions included therein which, among other things, may provide that the Mortgage Loan is assumable by a creditworthy purchaser of the related Mortgaged Property (as defined herein).

As described herein at “Description of the Certificates—General,” the Mortgage Loans have been segregated into Group 1 and Group 2 for the purpose of allocating distributions among the Senior Certificates.  Each Mortgage Group has the characteristics described below.

Group 1 consists of 2,088 Mortgage Loans (the “Group 1 Mortgage Loans”) having a Cut-off Date balance of approximately $373,925,420 (approximately 36.93% of the Aggregate Cut-off Date Balance).  Group 1 consists of Mortgage Loans with original principal balances that conform to the guidelines of Fannie Mae or Freddie Mac.  Approximately 88.89% and 11.11% of the Group 1 Mortgage Loans are Six Month LIBOR indexed Mortgage Loans and fixed rate Mortgage Loans, respectively (see “—The Index” below).  Approximately 0.01%, 0.08%, 0.23%, 0.06%, 0.10% and 99.53% of Group 1 Mortgage Loans have original terms to maturity of approximately 5, 10, 15, 20, 25 and 30 years, respectively.  Approximately 11.92% of the Group 1 Mortgage Loans provide for payment of interest at the related rate at which interest accrues on the related Mortgage Loan (the “Mortgage Rate”), but no payment of principal, for a period of five years following the origination of the related Mortgage Loan.  Following such five-year interest-only period, the Scheduled Payment with respect to each such Group 1 Mortgage Loan will be increased to an amount sufficient to amortize the principal balance of such Mortgage Loan over its remaining term, and to pay interest at the related current Mortgage Rate.

As of the Cut-off Date, with respect to the Group 1 Mortgage Loans, the weighted average current Mortgage Rate is approximately 7.635% per annum, the weighted average margin for the Group 1 adjustable rate loans is approximately 5.850%, the weighted average remaining term to maturity is approximately 357 months and the weighted average remaining interest-only term of the interest-only Group 1 Mortgage Loans is approximately 58 months.

Approximately 85.78%, 2.29%, and 0.82% of the Group 1 Mortgage Loans adjust, commencing approximately two, three or five years, respectively, after origination, based on the Six-Month LIBOR Index.

Group 2 consists of 2,868 Mortgage Loans (the “Group 2 Mortgage Loans”) having a Cut-off Date balance of approximately $638,477,745 (approximately 63.07% of the Aggregate Cut-off Date Balance).  Group 2 consists of Mortgage Loans with original principal balances that may or may not conform to the guidelines of Fannie Mae or Freddie Mac.  Approximately 87.44% and 12.56% of the Group 2 Mortgage Loans are Six Month LIBOR indexed Mortgage Loans and fixed rate Mortgage Loans, respectively (see “—The Index” below).  Approximately 0.02%, 0.25%, 0.34%, 0.03%, 0.02% and 99.35% of the Group 2 Mortgage Loans have original terms to maturity of approximately 5, 10, 15, 20, 25 and 30 years, respectively.  Approximately 15.64% of the Group 2 Mortgage Loans provide for payment of interest at the related Mortgage Rate, but no payment of principal, for a period of five years following the origination of the related Mortgage Loan.  Following such five-year interest-only period, the Scheduled Payment with respect to each such Group 2 Mortgage Loan will be increased to an amount sufficient to amortize the principal balance of such Mortgage Loan over its remaining term, and to pay interest at the related current Mortgage Rate.

As of the Cut-off Date, with respect to the Group 2 Mortgage Loans, the weighted average current Mortgage Rate is approximately 7.637% per annum, the weighted average margin for the Group 2 adjustable rate loans is approximately 5.698%, the weighted average remaining term to maturity is approximately 356 months and the weighted average remaining interest-only term of the interest-only Group 2 Mortgage Loans is approximately 58 months.

Approximately 85.05%, 1.81% and 0.58% of the Group 2 Mortgage Loans adjust, commencing approximately two, three or five years, respectively, after origination, based on the Six-Month LIBOR Index.

Approximately 3.91% and 8.60% of the Group 1 Mortgage Loans and Group 2 Mortgage Loans, respectively, will not fully amortize over their terms to maturity and, thus, will require principal payments at their stated maturity (the “Balloon Loans”).

All of the Mortgage Loans were originated or acquired initially by Fremont Investment & Loan (“Fremont” or the “Originator”).

Certain general information with respect to the Mortgage Loans is set forth below.  Prior to the Closing Date, Mortgage Loans may be removed from the Trust Fund and other mortgage loans may be substituted therefor.  The Depositor believes that the information set forth herein with respect to the Mortgage Loans as presently constituted is representative of the characteristics of the Mortgage Loans as they will be constituted at the Closing Date, although the numerical data and certain other characteristics of the Mortgage Loans described herein may vary within a range of plus or minus 5%.

None of the Mortgage Loans will be guaranteed by any governmental agency.  Pursuant to the Assignment, Assumption and Recognition the Originator, the Seller will assign to the Trustee, on behalf of the Trust Fund, its interests in the Mortgage Loan Purchase Agreement.  

The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement.  All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein.  See “The Originator—Underwriting Standards” below.  Prior to March 1, 2006 (the “Servicing Transfer Date”), Fremont Investment & Loan will service the Mortgage Loans pursuant to the Mortgage Loan Purchase Agreement.  Following the Servicing Transfer Date, JPMorgan Chase Bank, National Association, will service the Mortgage Loans pursuant to the Pooling Agreement.

Substantially all of the Mortgage Loans provide for payments due on the first day of each month (the “Due Date”).  Due to the provisions for monthly advances by the Servicer, scheduled payments made by the borrowers either earlier or later than the scheduled Due Dates thereof will not affect the amortization schedule or the relative application of such payments to principal and interest.  

The Mortgage Loans were originated from February 1, 2005 through October 24, 2005.  No more than approximately 0.44% of the Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.  The latest stated maturity date of any Mortgage Loan is November 1, 2035.  As of the Cut-off Date, approximately, 0.20% and 0.43% of the Group 1 Mortgage Loans and Group 2 Mortgage Loans, respectively, were 30 to 59 days delinquent by aggregate principal balance as of the close of business on the cut-off date.  As of the Cut-off Date, approximately, 0.11% and 0.04% of the Group 1 Mortgage Loans and Group 2 Mortgage Loans, respectively, were 60 to 89 days delinquent by aggregate principal balance as of the close of business on the cut-off date.  As of the Cut-off Date, none of the mortgage loans were 90 or more days delinquent.  As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans is approximately 7.636% per annum, the weighted average margin of the adjustable rate loans is approximately 5.755%, the weighted average remaining term to maturity is approximately 356 months and the weighted average remaining interest-only term of the interest-only Mortgage Loans is approximately 58 months.  No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%.

The “Loan-to-Value Ratio“ or “LTV” of a first lien mortgage loan as of the date of origination is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is (a) in the case of a mortgage loan other than a refinancing mortgage loan or a mortgage loan originated in connection with a lease-option purchase, the lesser of (i) the purchase price paid for the related Mortgaged Property by the mortgagor with the proceeds of the mortgage loan and (ii) the value of the related Mortgaged Property as determined by an appraisal in accordance with the originator’s guidelines in effect at origination of the mortgage loan, (b) in the case of a refinancing mortgage loan, the value of the related Mortgaged Property as determined by an appraisal in accordance with the originator’s guidelines in effect at the time of such refinance or (c) in the case of a mortgage loan originated in connection with a lease-option purchase, the value of the related Mortgaged Property as determined by an appraisal in accordance with the Originator’s guidelines in effect at origination of the mortgage loan or, if and only if the lease option purchase price was set less than twelve months prior to origination and the resulting amount is lower, the sale price of the related Mortgaged Property.

The LTV of a second lien mortgage loan as of the date of origination is a fraction, expressed as a percentage, the numerator of which is the sum of the principal balance of such mortgage loan at the date of origination plus the outstanding principal balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (a) in the case of a mortgage loan other than a refinancing mortgage loan or a mortgage loan originated in connection with a lease-option purchase, the lesser of (i) the purchase price paid for the related Mortgaged Property by the mortgagor with the proceeds of the mortgage loan and (ii) the value of the related Mortgaged Property as determined by an appraisal in accordance with the originator’s guidelines in effect at origination of the mortgage loan, (b) in the case of a refinancing mortgage loan, the value of the related Mortgaged Property as determined by an appraisal in accordance with the Originator’s guidelines in effect at the time of such refinance or (c) in the case of a mortgage loan originated in connection with a lease-option purchase, the value of the related Mortgaged Property as determined by an appraisal in accordance with the originator’s guidelines in effect at origination of the mortgage loan or, if and only if the lease option purchase price was set less than twelve months prior to origination and the resulting amount is lower, the sale price of the related Mortgaged Property.

No assurance can be given that the value of any Mortgaged Property has remained or will remain at the level that existed on the appraisal or sales date.  If residential real estate values overall or in a particular geographic area decline, the LTVs might not be a reliable indicator of the rates of delinquencies, foreclosures and losses that could occur on the Mortgage Loans.

As set forth in the “Credit Scores” table below, credit scores have been supplied with respect to the mortgagors.  Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrower’s creditworthiness.  Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a 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 mortgage loans, but for consumer loans in general.  Therefore, a credit score does not take into consideration the effect of mortgage loan characteristics (which may differ from consumer loan characteristics) on the probability of repayment by the borrower.  There can be no assurance that a credit score will be an accurate predictor of the likely risk or quality of the related mortgage loan.


TABULAR CHARACTERISTICS OF THE MORTGAGE LOANS

Tabular Characteristics of the Mortgage Loans (Aggregate Pool)

The Mortgage Loans are expected to have the following approximate aggregate characteristics as of the Cut-off Date.

Number of Mortgage Loans in Aggregate Pool


4,956

Total Stated Principal Balance


$1,012,403,166

Current Mortgage Rates:

 

Weighted Average


7.636%

Range


5.200% - 13.750%

Weighted Average Margin (ARM loans only)


5.755%

Weighted Average Remaining Term to Maturity (in months)


356


The Stated Principal Balances of the Mortgage Loans range from approximately $4,818 to approximately $998,008.  The Mortgage Loans have an average Stated Principal Balance of approximately $204,278.

The weighted average Loan-to-Value Ratio at origination of the Mortgage Loans is approximately 81.80%, and no Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%.

No more than approximately 0.44% of the Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.

The following tables set forth certain information, as of the Cut-off Date, as to the Mortgage Loans in the Aggregate Pool.  Other than with respect to rates of interest, percentages (approximate) are stated by Stated Principal Balance of the Mortgage Loans in the Aggregate Pool as of the Cut-off Date and, due to rounding, may not total 100%.





Stated Principal Balance ($)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

50,000 or less

684

$18,503,729.75

1.83%

10.513%

310

98.80%

633

50,001 - 100,000

730

54,682,057.62

5.40

9.189

356

88.89

627

100,001 - 150,000

875

108,530,987.64

10.72

8.188

356

83.17

620

150,001 - 200,000

667

116,514,712.00

11.51

7.695

358

80.87

616

200,001 - 250,000

453

100,973,023.02

9.97

7.634

358

80.78

618

250,001 - 300,000

405

111,387,465.29

11.00

7.587

358

79.56

615

300,001 - 350,000

322

104,494,800.56

10.32

7.240

358

81.14

633

350,001 - 400,000

225

84,318,073.92

8.33

7.157

357

80.44

631

400,001 - 450,000

181

76,933,025.92

7.60

7.329

358

81.29

638

450,001 - 500,000

116

54,787,768.00

5.41

7.176

357

81.12

642

500,001 - 550,000

104

54,364,712.90

5.37

7.232

358

82.66

645

550,001 - 600,000

62

35,695,525.57

3.53

7.325

357

81.44

633

600,001 - 650,000

40

25,151,322.15

2.48

7.122

358

81.04

629

650,001 - 700,000

39

26,506,613.05

2.62

7.181

358

81.23

635

700,001 - 750,000

51

37,582,234.05

3.71

7.430

358

78.67

621

950,001 - 1,000,000

2

1,977,114.13

0.20

6.397

358

75.41

623

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627

As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in the Aggregate Pool is expected to be approximately $204,278.


Current Mortgage Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

5.000 - 5.499

5

$1,519,151.11

0.15%

5.333%

356

78.50%

689

5.500 - 5.999

106

39,791,353.06

3.93

5.889

357

78.44

664

6.000 - 6.499

254

78,675,567.70

7.77

6.280

358

78.65

645

6.500 - 6.999

777

229,638,952.99

22.68

6.793

357

79.82

642

7.000 - 7.499

581

156,963,553.82

15.50

7.258

358

81.56

632

7.500 - 7.999

862

209,186,830.67

20.66

7.757

357

81.58

626

8.000 - 8.499

524

114,368,130.27

11.30

8.221

357

82.48

613

8.500 - 8.999

464

79,898,179.31

7.89

8.715

357

83.66

588

9.000 - 9.499

269

28,686,565.08

2.83

9.249

355

85.19

591

9.500 - 9.999

300

28,399,835.23

2.81

9.809

353

89.43

619

10.000 - 10.499

171

13,851,835.40

1.37

10.199

351

89.85

611

10.500 - 10.999

228

13,814,983.64

1.36

10.717

347

91.67

600

11.000 - 11.499

197

10,570,537.53

1.04

11.249

345

94.81

598

11.500 - 11.999

80

4,513,009.46

0.45

11.699

333

79.88

570

12.000 - 12.499

99

1,930,931.09

0.19

12.186

256

83.15

575

12.500 - 12.999

30

442,509.34

0.04

12.648

199

90.32

593

13.000 - 13.499

8

139,628.16

0.01

13.150

191

89.78

571

13.500 - 13.999

1

11,611.71

0.00

13.750

117

80.00

564

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627

As of the Cut-off Date, the weighted average Current Mortgage Rate of the Mortgage Loans in the Aggregate Pool is expected to be approximately 7.636% per annum.


Credit Score

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

500 - 524

180

$40,139,535.14

3.96%

9.123%

357

73.61%

513

525 - 549

243

58,034,113.43

5.73

8.325

358

76.61

535

550 - 574

485

86,717,047.99

8.57

7.985

355

81.63

562

575 - 599

631

111,709,269.17

11.03

7.800

356

81.62

587

600 - 624

876

169,818,378.58

16.77

7.477

357

82.57

613

625 - 649

1,022

200,985,391.45

19.85

7.548

356

82.87

638

650 - 674

779

177,908,957.56

17.57

7.316

357

82.86

661

675 - 699

346

74,036,342.62

7.31

7.391

357

82.84

685

700 - 724

196

48,052,815.80

4.75

7.307

356

82.92

712

725 - 749

114

24,473,663.98

2.42

7.318

357

82.05

736

750 - 774

57

13,411,213.55

1.32

7.387

357

82.09

759

775 - 799

22

5,829,835.23

0.58

7.440

356

80.68

782

800 - 824

5

1,286,601.07

0.13

7.361

357

79.41

803

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Original LTV (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

0.01 - 50.00

40

$6,184,407.98

0.61%

7.659%

348

40.53%

597

50.01 - 55.00

20

4,703,798.97

0.46

7.367

358

53.07

605

55.01 - 60.00

42

9,861,844.92

0.97

7.509

358

58.21

600

60.01 - 65.00

118

27,432,220.35

2.71

8.082

358

63.62

585

65.01 - 70.00

122

27,635,398.82

2.73

8.092

358

68.80

577

70.01 - 75.00

183

49,143,344.31

4.85

7.676

358

73.92

580

75.01 - 80.00

2,137

557,260,972.85

55.04

7.302

358

79.81

638

80.01 - 85.00

316

79,110,747.93

7.81

7.481

357

84.57

601

85.01 - 90.00

760

169,554,883.65

16.75

7.699

357

89.82

622

90.01 - 95.00

235

15,138,824.29

1.50

8.582

333

94.70

646

95.01 - 100.00

983

66,376,721.50

6.56

9.887

349

99.94

650

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

60

15

$123,967.28

0.01%

12.062%

58

94.68%

610

120

142

1,869,322.46

0.18

11.344

118

96.21

620

180

130

3,036,364.80

0.30

10.380

178

91.20

630

240

10

388,695.83

0.04

9.541

238

96.63

641

300

2

524,582.65

0.05

7.686

298

87.33

631

360

4,657

1,006,460,232.55

99.41

7.620

358

81.73

627

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627

As of the Cut-off Date, the weighted average Original Term to Maturity of the Mortgage Loans in the Aggregate Pool is expected to be approximately 359 months.






Stated Remaining Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

1 - 60

15

$123,967.28

0.01%

12.062%

58

94.68%

610

61 - 120

142

1,869,322.46

0.18

11.344

118

96.21

620

121 - 180

130

3,036,364.80

0.30

10.380

178

91.20

630

181 - 240

10

388,695.83

0.04

9.541

238

96.63

641

241 - 300

2

524,582.65

0.05

7.686

298

87.33

631

301 - 360

4,657

1,006,460,232.55

99.41

7.620

358

81.73

627

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627



Debt Ratio (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

0.01 - 20.00

125

$26,163,258.68

2.58%

7.488%

356

82.23%

624

20.01 - 25.00

150

26,369,382.30

2.60

7.655

356

81.85

626

25.01 - 30.00

230

36,708,598.90

3.63

7.667

356

81.36

628

30.01 - 35.00

430

77,663,506.20

7.67

7.605

357

80.82

623

35.01 - 40.00

737

133,164,077.99

13.15

7.658

356

81.95

633

40.01 - 45.00

988

201,774,167.20

19.93

7.666

357

82.37

635

45.01 - 50.00

1,681

351,086,247.73

34.68

7.586

357

82.33

636

50.01 - 55.00

611

158,755,064.81

15.68

7.723

357

80.27

594

55.01 - 60.00

4

718,861.76

0.07

7.305

356

80.34

614

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627

As of the Cut-off Date, the weighted average Debt Ratio in the Aggregate Pool is expected to be approximately 42.89%.


Fixed Rate/Adjustable Rate

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Adjustable Rate

3,552

$890,634,880.46

87.97%

7.490%

358

81.00%

624

Fixed Rate

1,404

121,768,285.11

12.03

8.708

348

87.64

648

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627




Product

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

2/28 ARM

2,803

$655,126,318.71

64.71%

7.657%

357

81.11%

621

2/28 ARM Balloon

201

67,698,022.00

6.69

7.269

358

77.51

606

2/28 ARM IO

447

140,929,323.13

13.92

6.862

358

82.32

644

3/27 ARM

62

15,851,410.67

1.57

7.412

357

79.55

633

3/27 ARM Balloon

2

783,371.84

0.08

6.854

358

80.00

652

3/27 ARM IO

16

3,484,193.31

0.34

7.005

357

83.02

647

5/25 ARM

20

6,537,344.69

0.65

6.987

357

79.65

643

5/25 ARM Balloon

1

224,896.11

0.02

8.750

358

90.00

541

Fixed

1,402

120,985,061.83

11.95

8.719

348

87.69

648

Fixed Balloon

2

783,223.28

0.08

6.993

358

79.85

609

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Interest Only

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Not Interest Only

4,493

$867,989,649.13

85.74%

7.765%

356

81.71%

624

Interest Only

463

144,413,516.44

14.26

6.865

358

82.34

644

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Prepayment Penalty Original Term

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

None

2,124

$423,439,541.39

41.83%

7.746%

356

82.48%

628

12 months

233

69,664,804.70

6.88

7.692

356

79.62

634

24 months

2,259

448,628,918.56

44.31

7.604

357

81.92

624

36 months

340

70,669,900.92

6.98

7.129

356

79.07

628

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627

As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term in the Aggregate Pool is expected to be approximately 24 months.


Lien

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

First Lien

3,792

$951,502,248.69

93.98%

7.470%

357

80.67%

625

Second Lien

1,164

60,900,916.88

6.02

10.233

341

99.41

648

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627





Documentation Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Full Documentation

3,124

$571,185,714.46

56.42%

7.433%

356

82.72%

616

Stated Income

1,832

441,217,451.11

43.58

7.900

357

80.60

641

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Loan Purpose

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Purchase

3,022

$558,002,396.06

55.12%

7.668%

356

83.27%

644

Cash-Out Refinance

1,898

444,905,005.98

43.95

7.598

357

79.93

605

Rate / Term Refinance

36

9,495,763.53

0.94

7.565

357

82.79

632

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Property Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Single Family

4,112

$821,797,943.84

81.17%

7.635%

356

81.77%

623

Multi Family

462

122,723,924.53

12.12

7.570

357

81.46

649

Condo

382

67,881,297.20

6.70

7.768

356

82.75

632

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Occupancy Status

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Owner

4,554

$942,419,427.60

93.09%

7.608%

357

81.73%

626

Non-Owner

366

59,697,677.82

5.90

8.086

355

82.98

646

Second Home

36

10,286,060.15

1.02

7.651

357

81.27

610

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627


Credit Grade

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

A+

4085

$816,927,767.70

80.69%

7.519%

356

82.68%

639

A

397

92,557,316.78

9.14

7.795

357

81.19

588

A-

163

35,160,691.97

3.47

8.027

357

78.83

571

B

164

39,908,834.99

3.94

8.095

357

75.76

559

C

107

20,526,159.88

2.03

8.811

357

71.92

564

C-

39

7,213,260.29

0.71

11.092

358

65.78

533

D

1

109,133.96

0.01

11.750

358

65.00

501

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627





State

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Alaska

2

$361,376.62

0.04%

7.412%

357

82.02%

560

Arizona

117

19,965,016.00

1.97

7.783

357

82.10

622

Arkansas

6

549,695.66

0.05

8.884

351

84.66

564

California

796

250,129,920.27

24.71

7.337

357

80.56

628

Colorado

69

10,933,918.58

1.08

7.290

357

83.37

636

Connecticut

104

18,898,441.82

1.87

7.938

357

83.73

616

Delaware

18

2,158,245.19

0.21

7.786

354

81.69

624

District Of Columbia

28

5,781,233.20

0.57

7.317

356

77.55

627

Florida

755

129,231,662.82

12.76

7.873

356

82.11

632

Georgia

278

34,349,544.33

3.39

7.870

354

83.80

618

Hawaii

61

17,243,299.62

1.70

7.170

357

79.97

639

Idaho

14

1,375,983.67

0.14

8.247

358

84.88

608

Illinois

353

54,508,406.12

5.38

7.693

355

84.16

628

Indiana

42

3,756,176.41

0.37

8.357

355

84.86

618

Iowa

6

416,563.83

0.04

8.208

358

86.82

634

Kansas

12

971,777.34

0.10

8.279

355

83.37

584

Kentucky

5

675,341.68

0.07

8.097

357

85.83

589

Maine

15

2,331,724.79

0.23

7.717

358

72.63

603

Maryland

397

84,405,155.12

8.34

7.601

357

81.75

614

Massachusetts

178

40,726,879.88

4.02

7.870

357

80.30

619

Michigan

136

14,050,779.71

1.39

8.464

355

85.62

612

Minnesota

85

11,281,189.02

1.11

7.580

355

83.52

636

Missouri

40

4,119,656.79

0.41

8.426

355

84.99

589

Montana

2

335,909.08

0.03

8.195

358

87.66

604

Nevada

68

15,787,949.57

1.56

7.439

356

82.20

626

New Hampshire

15

2,302,581.98

0.23

7.357

357

82.57

627

New Jersey

260

64,932,860.68

6.41

7.685

356

81.56

630

New Mexico

28

3,681,546.52

0.36

7.763

355

80.43

616

New York

375

114,032,840.18

11.26

7.514

357

81.44

643

North Carolina

78

8,214,783.96

0.81

8.207

354

85.25

603

Ohio

58

5,721,923.64

0.57

7.905

355

87.10

613

Oklahoma

12

848,609.34

0.08

8.330

339

84.27

601

Oregon

21

2,595,023.70

0.26

7.376

357

79.19

641

Pennsylvania

60

7,219,759.42

0.71

8.160

355

80.95

604

Rhode Island

24

4,684,286.63

0.46

7.869

356

81.77

610

South Carolina

28

3,129,592.90

0.31

7.845

356

85.11

616

Tennessee

31

3,178,781.40

0.31

8.020

352

83.75

613

Texas

106

12,914,409.89

1.28

8.181

354

82.24

629

Utah

25

3,115,454.86

0.31

7.760

355

82.58

625

Vermont

4

455,181.88

0.04

8.090

357

82.68

640

Virginia

143

36,060,686.46

3.56

7.672

357

81.59

619

Washington

33

7,083,445.25

0.70

7.505

355

82.11

625

West Virginia

5

591,283.96

0.06

7.897

357

82.56

621

Wisconsin

63

7,294,265.80

0.72

8.254

355

85.97

611

Total

4,956

$1,012,403,165.57

100.00%

7.636%

356

81.80%

627

As of the Cut-off Date, no more than approximately 0.44% of the Mortgage Loans in the Aggregate Pool will be secured by Mortgaged Properties in any one postal zip code area.



Margin (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

3.500 - 3.999

22

$8,319,198.41

0.93%

5.627%

358

78.16%

668

4.000 - 4.499

140

48,277,809.93

5.42

6.061

358

79.22

644

4.500 - 4.999

387

114,772,806.77

12.89

6.541

358

79.53

641

5.000 - 5.499

652

187,453,697.99

21.05

6.954

358

80.83

638

5.500 - 5.999

668

172,865,598.20

19.41

7.425

358

81.28

632

6.000 - 6.499

707

171,439,087.41

19.25

7.899

357

82.03

622

6.500 - 6.999

976

187,506,681.75

21.05

8.741

357

81.46

587

Total

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 5.755%.


Minimum Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

5.000 - 5.499

5

$1,519,151.11

0.17%

5.333%

356

78.50%

689

5.500 - 5.999

84

30,341,539.96

3.41

5.857

357

78.80

655

6.000 - 6.499

229

70,719,564.76

7.94

6.277

358

79.22

643

6.500 - 6.999

719

213,165,298.82

23.93

6.794

358

80.26

641

7.000 - 7.499

551

150,284,169.75

16.87

7.258

358

81.69

632

7.500 - 7.999

821

200,303,761.85

22.49

7.757

357

81.76

626

8.000 - 8.499

496

110,076,863.92

12.36

8.219

357

82.62

612

8.500 - 8.999

379

71,273,956.59

8.00

8.707

358

83.06

582

9.000 - 9.499

113

19,111,395.39

2.15

9.228

358

79.78

560

9.500 - 9.999

76

11,394,969.07

1.28

9.742

358

77.60

546

10.000 - 10.499

33

4,524,224.34

0.51

10.215

358

71.11

531

10.500 - 10.999

19

3,434,292.26

0.39

10.759

358

68.29

532

11.000 - 11.499

6

1,201,155.89

0.13

11.341

358

63.44

532

11.500 - 11.999

16

2,524,414.82

0.28

11.663

358

65.50

531

12.000 - 12.499

4

694,003.03

0.08

12.117

358

61.41

512

12.500 - 12.999

1

66,118.90

0.01

12.900

358

70.00

541

Total

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 7.490% per annum.



Maximum Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

11.000 - 11.499

5

$1,519,151.11

0.17%

5.333%

356

78.50%

689

11.500 - 11.999

84

30,341,539.96

3.41

5.857

357

78.80

655

12.000 - 12.499

228

70,197,029.48

7.88

6.277

358

79.21

641

12.500 - 12.999

718

213,179,216.16

23.94

6.793

358

80.28

641

13.000 - 13.499

550

150,097,337.00

16.85

7.258

358

81.68

632

13.500 - 13.999

823

200,643,982.91

22.53

7.754

357

81.73

625

14.000 - 14.499

496

110,076,863.92

12.36

8.219

357

82.62

612

14.500 - 14.999

380

71,629,186.22

8.04

8.701

358

83.08

582

15.000 - 15.499

113

19,111,395.39

2.15

9.228

358

79.78

560

15.500 - 15.999

76

11,394,969.07

1.28

9.742

358

77.60

546

16.000 - 16.499

33

4,524,224.34

0.51

10.215

358

71.11

531

16.500 - 16.999

18

3,343,341.19

0.38

10.762

358

67.97

533

17.000 - 17.499

6

1,201,155.89

0.13

11.341

358

63.44

532

17.500 - 17.999

17

2,615,365.89

0.29

11.628

358

66.00

530

18.000 - 18.499

4

694,003.03

0.08

12.117

358

61.41

512

18.500 - 18.999

1

66,118.90

0.01

12.900

358

70.00

541

Total

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 13.492% per annum.


Initial Periodic Rate Cap (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

2.000

3,548

$889,680,081.82

99.89%

7.490%

358

81.00%

624

3.000

4

954,798.64

0.11

7.411

354

78.65

607

Total

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 2.001%.


Subsequent Periodic Rate Cap (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

1.500

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

Total

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 1.500%.






Months to Next Rate Adjustment

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

13 - 15

1

$151,194.87

0.02%

6.700%

350

90.00%

586

16 - 18

23

5,068,014.71

0.57

7.233

354

82.80

602

19 - 21

1,364

328,365,291.85

36.87

7.505

357

81.26

630

22 - 24

2,063

530,169,162.41

59.53

7.495

358

80.87

620

31 - 33

41

9,051,181.07

1.02

7.402

357

80.29

629

34 - 36

39

11,067,794.75

1.24

7.253

358

80.07

641

55 - 57

7

2,582,685.70

0.29

7.091

356

79.72

633

58 - 60

14

4,179,555.10

0.47

7.018

358

80.17

644

Total

3,552

$890,634,880.46

100.00%

7.490%

358

81.00%

624

As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 22 months.


Tabular Characteristics of the Group 1 Mortgage Loans

The Group 1 Mortgage Loans are expected to have the following approximate aggregate characteristics as of the Cut-off Date.

Number of Group 1 Mortgage Loans

2,088

Total Stated Principal Balance


$373,925,420

Current Mortgage Rates:

 

Weighted Average


7.635%

Range


5.200% - 13.250%

Weighted Average Margin (ARM loans only)


5.850%

Weighted Average Remaining Term to Maturity (in months)


357


The Stated Principal Balances of the Group 1 Mortgage Loans range from approximately $4,818 to approximately $653,515. The Group 1 Mortgage Loans have an average Stated Principal Balance of approximately $179,083.

The weighted average Loan-to-Value Ratio at origination of the Group 1 Mortgage Loans is approximately 81.81% and no Group 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%.

No more than approximately 0.62% of the Group 1 Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.

The following tables set forth certain information, as of the Cut-off Date, as to the Group 1 Mortgage Loans.  Other than with respect to rates of interest, percentages (approximate) are stated by Stated Principal Balance of the Group 1 Mortgage Loans as of the Cut-off Date and, due to rounding, may not total 100%.




Stated Principal Balance ($)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

50,000 or less

124

$3,415,365.66

0.91%

10.408%

303

97.68%

634

50,001 - 100,000

329

25,154,667.01

6.73

8.652

357

83.08

615

100,001 - 150,000

537

67,045,891.93

17.93

7.931

357

81.86

621

150,001 - 200,000

389

67,489,277.18

18.05

7.583

358

81.69

622

200,001 - 250,000

235

52,360,485.24

14.00

7.720

358

81.48

622

250,001 - 300,000

178

48,598,518.37

13.00

7.607

358

79.77

615

300,001 - 350,000

149

48,259,840.54

12.91

7.152

358

81.75

630

350,001 - 400,000

81

30,597,357.08

8.18

7.196

357

82.35

635

400,001 - 450,000

30

12,423,880.57

3.32

7.097

358

82.22

648

450,001 - 500,000

13

6,245,846.43

1.67

7.192

357

83.88

649

500,001 - 550,000

17

8,756,216.15

2.34

6.977

358

82.89

679

550,001 - 600,000

4

2,322,944.42

0.62

6.989

357

77.67

661

600,001 - 650,000

1

601,614.51

0.16

7.350

357

90.00

566

650,001 - 700,000

1

653,515.34

0.17

5.990

355

80.00

717

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626

As of the Cut-off Date, the average Stated Principal Balance of the Group 1 Mortgage Loans is expected to be approximately $179,083.


Current Mortgage Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

5.000 - 5.499

3

$863,819.06

0.23%

5.362%

357

77.36%

677

5.500 - 5.999

49

14,830,132.16

3.97

5.916

357

78.58

665

6.000 - 6.499

123

30,579,993.01

8.18

6.286

358

78.06

646

6.500 - 6.999

335

76,376,169.96

20.43

6.787

357

79.80

648

7.000 - 7.499

256

52,447,841.42

14.03

7.256

358

82.86

641

7.500 - 7.999

454

84,313,128.37

22.55

7.752

357

82.97

625

8.000 - 8.499

274

46,295,339.22

12.38

8.220

357

84.53

608

8.500 - 8.999

235

34,362,525.61

9.19

8.715

358

84.08

595

9.000 - 9.499

100

11,022,258.93

2.95

9.213

356

80.02

577

9.500 - 9.999

94

10,803,531.94

2.89

9.751

357

81.92

569

10.000 - 10.499

41

4,075,854.58

1.09

10.194

355

80.01

569

10.500 - 10.999

45

3,548,926.55

0.95

10.720

349

82.62

580

11.000 - 11.499

31

1,658,202.07

0.44

11.278

335

86.60

578

11.500 - 11.999

25

2,064,293.94

0.55

11.677

343

74.20

545

12.000 - 12.499

15

540,840.42

0.14

12.059

301

72.44

540

12.500 - 12.999

6

115,353.79

0.03

12.778

264

79.29

563

13.000 - 13.499

2

27,209.40

0.01

13.250

160

90.00

586

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626

As of the Cut-off Date, the weighted average Current Mortgage Rate of the Group 1 Mortgage Loans is expected to be approximately 7.635% per annum.


Credit Score

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

500 - 524

87

$16,254,735.26

4.35%

9.476%

358

73.25%

513

525 - 549

112

20,092,376.28

5.37

8.673

358

76.30

534

550 - 574

231

35,118,663.26

9.39

8.208

357

84.74

562

575 - 599

182

27,462,268.95

7.34

8.073

356

83.62

587

600 - 624

437

78,537,621.18

21.00

7.413

357

82.09

614

625 - 649

443

78,715,957.81

21.05

7.424

356

82.13

637

650 - 674

294

58,440,049.27

15.63

7.237

357

82.92

661

675 - 699

148

28,221,290.02

7.55

7.159

357

81.62

686

700 - 724

82

17,463,624.33

4.67

7.163

356

81.07

710

725 - 749

44

8,981,598.95

2.40

7.086

357

81.28

736

750 - 774

19

3,194,300.39

0.85

7.536

357

83.13

759

775 - 799

7

1,137,469.50

0.30

8.570

357

87.44

783

800 - 824

2

305,465.23

0.08

7.859

358

74.63

808

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Original LTV (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

0.01 - 50.00

25

$3,557,179.80

0.95%

7.633%

341

38.63%

622

50.01 - 55.00

9

1,980,956.15

0.53

6.641

357

53.27

640

55.01 - 60.00

31

5,842,525.52

1.56

7.217

358

57.97

626

60.01 - 65.00

54

11,107,561.35

2.97

8.552

358

63.97

584

65.01 - 70.00

64

11,771,677.28

3.15

8.398

358

68.73

584

70.01 - 75.00

93

20,276,952.59

5.42

7.793

358

73.98

598

75.01 - 80.00

877

167,721,553.49

44.85

7.345

358

79.79

636

80.01 - 85.00

168

33,042,863.95

8.84

7.440

357

84.55

612

85.01 - 90.00

551

99,149,296.28

26.52

7.771

357

89.82

622

90.01 - 95.00

57

7,235,821.20

1.94

7.815

348

94.75

657

95.01 - 100.00

159

12,239,032.82

3.27

9.441

349

99.89

645

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

60

4

$22,688.33

0.01%

11.560%

58

95.00%

584

120

24

298,668.64

0.08

11.657

118

96.74

632

180

29

862,407.92

0.23

9.403

178

72.83

636

240

4

209,582.03

0.06

8.346

238

94.35

633

300

1

374,904.33

0.10

7.600

298

90.00

655

360

2,026

372,157,169.18

99.53

7.627

358

81.80

625

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626

As of the Cut-off Date, the weighted average Original Term to Maturity of the Group 1 Mortgage Loans is expected to be approximately 359 months.




Stated Remaining Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

1 - 60

4

$22,688.33

0.01%

11.560%

58

95.00%

584

61 - 120

24

298,668.64

0.08

11.657

118

96.74

632

121 - 180

29

862,407.92

0.23

9.403

178

72.83

636

181 - 240

4

209,582.03

0.06

8.346

238

94.35

633

241 - 300

1

374,904.33

0.10

7.600

298

90.00

655

301 - 360

2,026

372,157,169.18

99.53

7.627

358

81.80

625

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Debt Ratio (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

0.01 - 20.00

57

$9,385,564.54

2.51%

7.765%

357

82.44%

627

20.01 - 25.00

63

10,236,531.27

2.74

7.592

357

80.83

641

25.01 - 30.00

103

13,888,272.76

3.71

7.909

356

82.59

631

30.01 - 35.00

181

28,874,235.73

7.72

7.546

356

79.99

627

35.01 - 40.00

304

52,227,718.84

13.97

7.607

357

81.71

636

40.01 - 45.00

377

64,457,087.46

17.24

7.723

357

82.36

628

45.01 - 50.00

675

126,333,535.07

33.79

7.539

357

82.24

629

50.01 - 55.00

326

68,340,366.96

18.28

7.718

357

81.23

604

55.01 - 60.00

2

182,107.80

0.05

8.337

354

87.09

589

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626

As of the Cut-off Date, the weighted average Debt Ratio of the Group 1 Mortgage Loans is expected to be approximately 43.06%.


Fixed Rate/Adjustable Rate

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Adjustable Rate

1,756

$332,372,731.66

88.89%

7.613%

358

82.07%

622

Fixed Rate

332

41,552,688.77

11.11

7.810

351

79.75

650

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Product

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

2/28 ARM

1,453

$264,547,845.66

70.75%

7.753%

357

82.26%

620

2/28 ARM Balloon

59

14,045,235.76

3.76

7.175

358

76.54

605

2/28 ARM IO

185

42,156,178.32

11.27

6.952

358

83.51

641

3/27 ARM

33

6,017,652.78

1.61

7.520

357

78.56

629

3/27 ARM Balloon

1

139,857.12

0.04

5.950

358

80.00

647

3/27 ARM IO

12

2,417,073.31

0.65

6.925

357

84.36

645

5/25 ARM

12

2,823,992.60

0.76

7.302

358

74.68

633

5/25 ARM Balloon

1

224,896.11

0.06

8.750

358

90.00

541

Fixed

331

41,354,666.69

11.06

7.814

351

79.82

650

Fixed Balloon

1

198,022.08

0.05

7.000

357

65.00

623

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Interest Only

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Not Interest Only

1,891

$329,352,168.80

88.08%

7.727%

357

81.57%

623

Interest Only

197

44,573,251.63

11.92

6.950

358

83.56

641

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Prepayment Penalty Original Term

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

None

929

$176,545,767.25

47.21%

7.678%

357

82.32%

626

12 months

60

14,485,573.55

3.87

7.559

354

77.39

643

24 months

916

148,310,504.40

39.66

7.692

357

82.51

621

36 months

183

34,583,575.23

9.25

7.196

357

78.08

634

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626

As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term of the Group 1 Mortgage Loans is expected to be approximately 25 months.


Lien

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

First Lien

1,921

$366,313,948.50

97.96%

7.580%

357

81.45%

625

Second Lien

167

7,611,471.93

2.04

10.269

333

99.38

648

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Documentation Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Full Documentation

1,415

$239,471,608.84

64.04%

7.485%

356

83.22%

620

Stated Income

673

134,453,811.59

35.96

7.901

357

79.29

635

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Loan Purpose

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Purchase

976

$135,508,088.51

36.24%

7.802%

356

84.00%

640

Cash-Out Refinance

1,083

232,268,191.02

62.12

7.528

357

80.46

617

Rate/Term Refinance

29

6,149,140.90

1.64

7.962

357

84.45

628

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626




Property Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Single Family

1,690

$289,707,576.12

77.48%

7.668%

357

81.92%

621

Multi Family

220

58,130,620.26

15.55

7.386

357

80.58

645

Condo

178

26,087,224.05

6.98

7.815

356

83.32

632

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Occupancy Status

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Owner

1,784

$324,644,444.78

86.82%

7.572%

357

81.59%

622

Non-Owner

286

45,785,518.46

12.24

8.050

357

83.27

648

Second Home

18

3,495,457.19

0.93

7.961

356

83.38

612

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626


Credit Grade

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

A+

1,657

$291,593,121.11

77.98%

7.463%

357

82.68%

638

A

186

38,129,263.56

10.20

7.741

357

82.30

601

A-

88

15,614,666.17

4.18

8.217

357

79.90

575

B

74

14,360,328.46

3.84

8.267

358

76.07

564

C

59

10,138,979.96

2.71

9.018

357

72.21

563

C-

23

3,979,927.21

1.06

10.986

358

66.86

540

D

1

109,133.96

0.03

11.750

358

65.00

501

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626




State

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Alaska

1

$145,893.01

0.04%

7.800%

357

85.00%

577

Arizona

49

7,850,213.38

2.10

7.622

357

83.21

634

Arkansas

4

447,344.67

0.12

8.931

357

85.37

575

California

181

46,472,524.08

12.43

7.253

357

79.60

628

Colorado

34

5,665,784.03

1.52

7.184

358

82.94

633

Connecticut

53

9,695,727.16

2.59

7.987

358

84.14

616

Delaware

11

1,416,300.48

0.38

8.039

356

83.25

594

District Of Columbia

15

2,913,785.43

0.78

7.234

357

78.00

622

Florida

305

45,521,698.70

12.17

7.958

357

81.80

620

Georgia

140

19,526,465.44

5.22

7.663

356

83.83

621

Hawaii

37

11,078,556.05

2.96

6.873

357

80.18

651

Idaho

8

977,898.29

0.26

8.191

358

86.25

599

Illinois

194

30,181,847.65

8.07

7.646

356

84.38

631

Indiana

26

2,331,427.61

0.62

8.391

356

85.58

609

Iowa

3

264,786.07

0.07

8.287

358

87.11

654

Kansas

8

631,459.52

0.17

8.346

355

82.13

591

Kentucky

4

347,790.29

0.09

8.518

358

81.91

615

Maine

2

253,061.39

0.07

7.471

357

80.00

625

Maryland

180

36,514,867.98

9.77

7.519

357

80.46

619

Massachusetts

72

17,864,679.94

4.78

7.757

358

78.90

615

Michigan

93

9,543,085.24

2.55

8.430

356

85.53

617

Minnesota

43

7,160,982.72

1.92

7.427

358

82.19

641

Missouri

27

2,445,957.33

0.65

8.565

357

86.66

606

Montana

2

335,909.08

0.09

8.195

358

87.66

604

Nevada

23

3,879,075.62

1.04

7.599

355

82.08

628

New Hampshire

8

1,450,132.74

0.39

6.652

357

80.00

645

New Jersey

112

26,549,637.02

7.10

7.644

356

82.16

632

New Mexico

14

1,932,893.86

0.52

7.525

355

83.96

634

New York

124

36,009,813.55

9.63

7.424

356

80.13

636

North Carolina

36

4,571,699.26

1.22

7.937

356

87.73

609

Ohio

32

3,419,573.39

0.91

7.694

358

86.63

616

Oklahoma

5

429,639.94

0.11

8.216

357

83.96

596

Oregon

9

1,381,760.23

0.37

7.062

357

76.59

634

Pennsylvania

29

3,175,073.61

0.85

8.187

357

80.98

610

Rhode Island

10

2,175,763.99

0.58

8.121

358

82.49

609

South Carolina

15

2,019,442.95

0.54

7.765

358

85.18

617

Tennessee

13

1,153,080.01

0.31

8.024

354

84.39

630

Texas

39

4,562,658.95

1.22

8.570

353

82.32

602

Utah

12

1,318,331.75

0.35

7.580

354

82.05

608

Vermont

2

316,039.63

0.08

7.860

357

82.09

665

Virginia

58

12,076,998.43

3.23

7.388

358

80.31

629

Washington

16

3,519,827.23

0.94

7.609

357

83.86

622

West Virginia

4

315,715.58

0.08

8.689

358

80.44

613

Wisconsin

35

4,080,217.15

1.09

8.376

357

86.23

626

Total

2,088

$373,925,420.43

100.00%

7.635%

357

81.81%

626

As of the Cut-off Date, no more than approximately 0.62% of the Group 1 Mortgage Loans will be secured by Mortgaged Properties in any one postal zip code area.




Margin (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

3.500 - 3.999

7

$1,933,151.66

0.58%

5.565%

358

74.07%

662

4.000 - 4.499

68

17,911,861.11

5.39

6.053

358

78.97

646

4.500 - 4.999

162

37,105,134.40

11.16

6.511

358

80.05

643

5.000 - 5.499

275

62,533,438.37

18.81

6.928

358

81.64

647

5.500 - 5.999

320

60,686,192.88

18.26

7.451

358

82.26

632

6.000 - 6.499

363

66,818,860.83

20.10

7.931

358

84.21

614

6.500 - 6.999

561

85,384,092.41

25.69

8.832

357

82.27

589

Total

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 5.850%.


Minimum Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

5.000 - 5.499

3

$863,819.06

0.26%

5.362%

357

77.36%

677

5.500 - 5.999

37

10,899,522.17

3.28

5.890

357

78.95

658

6.000 - 6.499

108

26,723,947.38

8.04

6.278

358

79.21

643

6.500 - 6.999

293

66,357,679.08

19.96

6.788

358

80.96

645

7.000 - 7.499

236

48,740,810.31

14.66

7.257

358

83.14

640

7.500 - 7.999

424

78,038,049.21

23.48

7.755

357

83.34

623

8.000 - 8.499

264

44,867,128.76

13.50

8.222

357

84.60

607

8.500 - 8.999

209

30,907,262.53

9.30

8.714

358

84.50

593

9.000 - 9.499

75

9,367,208.12

2.82

9.190

358

79.04

566

9.500 - 9.999

57

8,536,634.97

2.57

9.732

358

78.07

546

10.000 - 10.499

21

2,680,564.49

0.81

10.203

358

71.90

531

10.500 - 10.999

11

1,862,930.52

0.56

10.769

358

68.97

543

11.000 - 11.499

4

439,317.59

0.13

11.270

358

65.93

555

11.500 - 11.999

11

1,615,107.28

0.49

11.649

358

68.28

527

12.000 - 12.499

2

406,631.29

0.12

12.000

358

65.00

515

12.500 - 12.999

1

66,118.90

0.02

12.900

358

70.00

541

Total

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 7.613% per annum.


Maximum Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

11.000 - 11.499

3

$863,819.06

0.26%

5.362%

357

77.36%

677

11.500 - 11.999

37

10,899,522.17

3.28

5.890

357

78.95

658

12.000 - 12.499

108

26,723,947.38

8.04

6.278

358

79.21

643

12.500 - 12.999

293

66,357,679.08

19.96

6.788

358

80.96

645

13.000 - 13.499

236

48,740,810.31

14.66

7.257

358

83.14

640

13.500 - 13.999

423

77,682,819.58

23.37

7.755

357

83.31

623

14.000 - 14.499

264

44,867,128.76

13.50

8.222

357

84.60

607

14.500 - 14.999

210

31,262,492.16

9.41

8.702

358

84.55

593

15.000 - 15.499

75

9,367,208.12

2.82

9.190

358

79.04

566

15.500 - 15.999

57

8,536,634.97

2.57

9.732

358

78.07

546

16.000 - 16.499

21

2,680,564.49

0.81

10.203

358

71.90

531

16.500 - 16.999

11

1,862,930.52

0.56

10.769

358

68.97

543

17.000 - 17.499

4

439,317.59

0.13

11.270

358

65.93

555

17.500 - 17.999

11

1,615,107.28

0.49

11.649

358

68.28

527

18.000 - 18.499

2

406,631.29

0.12

12.000

358

65.00

515

18.500 - 18.999

1

66,118.90

0.02

12.900

358

70.00

541

Total

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 13.614% per annum.


Initial Periodic Rate Cap (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

2.000

1,755

$332,017,502.03

99.89%

7.613%

358

82.06%

622

3.000

1

355,229.63

0.11

7.650

357

88.56

652

Total

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 2.001%.


Subsequent Periodic Rate Cap (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

1.500

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

Total

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 1.500%.


Months to Next Rate Adjustment

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

16 - 18

10

$1,853,838.16

0.56%

7.541%

354

87.62%

608

19 - 21

656

119,200,057.92

35.86

7.591

357

82.48

629

22 - 24

1,031

199,695,363.66

60.08

7.641

358

81.94

618

31 - 33

24

4,111,007.46

1.24

7.314

357

78.95

644

34 - 36

22

4,463,575.75

1.34

7.338

358

81.38

625

55 - 57

3

778,376.35

0.23

8.071

357

77.42

604

58 - 60

10

2,270,512.36

0.68

7.182

358

75.26

633

Total

1,756

$332,372,731.66

100.00%

7.613%

358

82.07%

622

As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 22 months.



Tabular Characteristics of the Group 2 Mortgage Loans

The Group 2 Mortgage Loans are expected to have the following approximate aggregate characteristics as of the Cut-off Date.

Number of Group 2 Mortgage Loans


2,868

Total Stated Principal Balance


$638,477,745

Current Mortgage Rates:

 

Weighted Average


7.637%

Range


5.250% - 13.750%

Weighted Average Margin (ARM loans only)


5.698%

Weighted Average Remaining Term to Maturity (in months)


356


The Stated Principal Balances of the Group 2 Mortgage Loans range from approximately $4,878 to approximately $998,008. The Group 2 Mortgage Loans have an average Stated Principal Balance of approximately $222,621.

The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 81.79% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%.

No more than approximately 0.49% of the Group 2 Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.

The following tables set forth certain information, as of the Cut-off Date, as to the Group 2 Mortgage Loans.  Other than with respect to rates of interest, percentages (approximate) are stated by Stated Principal Balance of the Group 2 Mortgage Loans as of the Cut-off Date and, due to rounding, may not total 100%.





Stated Principal Balance ($)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

50,000 or less

560

$15,088,364.09

2.36%

10.537%

312

99.06%

633

50,001 - 100,000

401

29,527,390.61

4.62

9.646

355

93.85

638

100,001 - 150,000

338

41,485,095.71

6.50

8.603

356

85.28

618

150,001 - 200,000

278

49,025,434.82

7.68

7.849

357

79.74

607

200,001 - 250,000

218

48,612,537.78

7.61

7.541

358

80.02

614

250,001 - 300,000

227

62,788,946.92

9.83

7.572

358

79.40

616

300,001 - 350,000

173

56,234,960.02

8.81

7.315

358

80.61

636

350,001 - 400,000

144

53,720,716.84

8.41

7.135

358

79.35

628

400,001 - 450,000

151

64,509,145.35

10.10

7.374

358

81.11

636

450,001 - 500,000

103

48,541,921.57

7.60

7.174

357

80.76

641

500,001 - 550,000

87

45,608,496.75

7.14

7.280

358

82.61

639

550,001 - 600,000

58

33,372,581.15

5.23

7.348

358

81.71

631

600,001 - 650,000

39

24,549,707.64

3.85

7.116

358

80.82

631

650,001 - 700,000

38

25,853,097.71

4.05

7.211

358

81.26

633

700,001 - 750,000

51

37,582,234.05

5.89

7.430

358

78.67

621

950,001 - 1,000,000

2

1,977,114.13

0.31

6.397

358

75.41

623

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627

As of the Cut-off Date, the average Stated Principal Balance of the Group 2 Mortgage Loans is expected to be approximately $222,621.


Current Mortgage Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

5.000 - 5.499

2

$655,332.05

0.10%

5.295%

356

80.00%

704

5.500 - 5.999

57

24,961,220.90

3.91

5.872

357

78.35

663

6.000 - 6.499

131

48,095,574.69

7.53

6.277

358

79.02

644

6.500 - 6.999

442

153,262,783.03

24.00

6.796

358

79.83

639

7.000 - 7.499

325

104,515,712.40

16.37

7.258

358

80.91

628

7.500 - 7.999

408

124,873,702.30

19.56

7.761

357

80.64

627

8.000 - 8.499

250

68,072,791.05

10.66

8.221

357

81.09

616

8.500 - 8.999

229

45,535,653.70

7.13

8.716

357

83.35

583

9.000 - 9.499

169

17,664,306.15

2.77

9.271

354

88.41

600

9.500 - 9.999

206

17,596,303.29

2.76

9.845

350

94.04

650

10.000 - 10.499

130

9,775,980.82

1.53

10.201

350

93.95

628

10.500 - 10.999

183

10,266,057.09

1.61

10.717

346

94.80

607

11.000 - 11.499

166

8,912,335.46

1.40

11.243

347

96.34

602

11.500 - 11.999

55

2,448,715.52

0.38

11.718

324

84.66

591

12.000 - 12.499

84

1,390,090.67

0.22

12.235

238

87.31

589

12.500 - 12.999

24

327,155.55

0.05

12.603

177

94.21

604

13.000 - 13.499

6

112,418.76

0.02

13.126

198

89.72

568

13.500 - 13.999

1

11,611.71

0.00

13.750

117

80.00

564

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627

As of the Cut-off Date, the weighted average Current Mortgage Rate of the Group 2 Mortgage Loans is expected to be approximately 7.637% per annum.


Credit Score

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

500 - 524

93

$23,884,799.88

3.74%

8.883%

357

73.85%

512

525 - 549

131

37,941,737.15

5.94

8.141

357

76.78

536

550 - 574

254

51,598,384.73

8.08

7.833

354

79.51

562

575 - 599

449

84,247,000.22

13.19

7.710

356

80.97

587

600 - 624

439

91,280,757.40

14.30

7.533

356

82.99

613

625 - 649

579

122,269,433.64

19.15

7.629

356

83.34

638

650 - 674

485

119,468,908.29

18.71

7.355

357

82.83

661

675 - 699

198

45,815,052.60

7.18

7.534

357

83.58

685

700 - 724

114

30,589,191.47

4.79

7.389

356

83.97

712

725 - 749

70

15,492,065.03

2.43

7.453

357

82.49

736

750 - 774

38

10,216,913.16

1.60

7.341

357

81.76

759

775 - 799

15

4,692,365.73

0.73

7.166

356

79.04

782

800 - 824

3

981,135.84

0.15

7.206

357

80.90

801

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Original LTV (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

0.01 - 50.00

15

$2,627,228.18

0.41%

7.695%

358

43.11%

564

50.01 - 55.00

11

2,722,842.82

0.43

7.894

358

52.92

580

55.01 - 60.00

11

4,019,319.40

0.63

7.932

358

58.55

561

60.01 - 65.00

64

16,324,659.00

2.56

7.763

358

63.38

585

65.01 - 70.00

58

15,863,721.54

2.48

7.866

358

68.85

571

70.01 - 75.00

90

28,866,391.72

4.52

7.594

358

73.88

568

75.01 - 80.00

1,260

389,539,419.36

61.01

7.283

358

79.82

639

80.01 - 85.00

148

46,067,883.98

7.22

7.511

357

84.59

593

85.01 - 90.00

209

70,405,587.37

11.03

7.597

357

89.81

622

90.01 - 95.00

178

7,903,003.09

1.24

9.284

319

94.64

637

95.01 - 100.00

824

54,137,688.68

8.48

9.988

349

99.95

651

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

60

11

$101,278.95

0.02%

12.175%

58

94.61%

616

120

118

1,570,653.82

0.25

11.284

118

96.11

618

180

101

2,173,956.88

0.34

10.768

178

98.48

628

240

6

179,113.80

0.03

10.939

238

99.30

649

300

1

149,678.32

0.02

7.900

298

80.65

571

360

2,631

634,303,063.37

99.35

7.616

358

81.69

628

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627

As of the Cut-off Date, the weighted average Original Term of the Group 2 Mortgage Loans is expected to be approximately 359 months.



Stated Remaining Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

1 - 60

11

$101,278.95

0.02%

12.175%

58

94.61%

616

61 - 120

118

1,570,653.82

0.25

11.284

118

96.11

618

121 - 180

101

2,173,956.88

0.34

10.768

178

98.48

628

181 - 240

6

179,113.80

0.03

10.939

238

99.30

649

241 - 300

1

149,678.32

0.02

7.900

298

80.65

571

301 - 360

2,631

634,303,063.37

99.35

7.616

358

81.69

628

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Debt Ratio (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

0.01 - 20.00

68

$16,777,694.14

2.63%

7.333%

356

82.12%

623

20.01 - 25.00

87

16,132,851.03

2.53

7.695

355

82.50

617

25.01 - 30.00

127

22,820,326.14

3.57

7.520

355

80.62

626

30.01 - 35.00

249

48,789,270.47

7.64

7.641

357

81.31

620

35.01 - 40.00

433

80,936,359.15

12.68

7.691

356

82.11

631

40.01 - 45.00

611

137,317,079.74

21.51

7.639

356

82.38

637

45.01 - 50.00

1,006

224,752,712.66

35.20

7.612

356

82.38

639

50.01 - 55.00

285

90,414,697.85

14.16

7.728

356

79.55

587

55.01 - 60.00

2

536,753.96

0.08

6.955

357

78.05

623

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627

As of the Cut-off Date, the weighted average Debt Ratio of the Group 2 Mortgage Loans is expected to be approximately 42.79%.


Fixed Rate/Adjustable Rate

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Adjustable Rate

1,796

$558,262,148.80

87.44%

7.417%

358

80.37%

625

Fixed Rate

1,072

80,215,596.34

12.56

9.173

347

91.73

646

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Product

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

2/28 ARM

1,350

$390,578,473.05

61.17%

7.593%

357

80.33%

622

2/28 ARM Balloon

142

53,652,786.24

8.40

7.294

358

77.76

606

2/28 ARM IO

262

98,773,144.81

15.47

6.823

358

81.81

645

3/27 ARM

29

9,833,757.89

1.54

7.346

357

80.16

635

3/27 ARM Balloon

1

643,514.72

0.10

7.050

358

80.00

653

3/27 ARM IO

4

1,067,120.00

0.17

7.186

357

80.00

651

5/25 ARM

8

3,713,352.09

0.58

6.748

357

83.43

651

Fixed

1,071

79,630,395.14

12.47

9.189

347

91.78

647

Fixed Balloon

1

585,201.20

0.09

6.990

358

84.88

604

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Interest Only

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Not Interest Only

2,602

$538,637,480.33

84.36%

7.788%

356

81.79%

624

Interest Only

266

99,840,264.81

15.64

6.827

358

81.79

645

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Prepayment Penalty Original Term

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

None

1,195

$246,893,774.14

38.67%

7.795%

356

82.60%

629

12 months

173

55,179,231.15

8.64

7.727

357

80.21

632

24 months

1,343

300,318,414.16

47.04

7.560

357

81.64

626

36 months

157

36,086,325.69

5.65

7.066

356

80.01

622

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627

As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term of the Group 2 Mortgage Loans is expected to be approximately 23 months.


Lien

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

First Lien

1,871

$585,188,300.19

91.65%

7.401%

358

80.19%

626

Second Lien

997

53,289,444.95

8.35

10.228

342

99.41

648

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Documentation Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Full Documentation

1,709

$331,714,105.62

51.95%

7.395%

356

82.36%

612

Stated Income

1,159

306,763,639.52

48.05

7.899

357

81.18

644

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Loan Purpose

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Purchase

2,046

$422,494,307.55

66.17%

7.625%

356

83.04%

645

Cash-Out Refinance

815

212,636,814.96

33.30

7.675

357

79.36

592

Rate / Term Refinance

7

3,346,622.63

0.52

6.836

357

79.73

639

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Property Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Single Family

2,422

$532,090,367.72

83.34%

7.618%

356

81.69%

624

Multi Family

242

64,593,304.27

10.12

7.735

357

82.24

652

Condo

204

41,794,073.15

6.55

7.739

357

82.40

632

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627


Occupancy Status

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Owner

2,770

$617,774,982.82

96.76%

7.626%

356

81.81%

627

Non-Owner

80

13,912,159.36

2.18

8.206

351

82.03

636

Second Home

18

6,790,602.96

1.06

7.492

357

80.19

609

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627



Credit Grade

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

A+

2,428

$525,334,646.59

82.28%

7.549%

356

82.69%

640

A

211

54,428,053.22

8.52

7.833

357

80.42

579

A-

75

19,546,025.80

3.06

7.875

356

77.98

567

B

90

25,548,506.53

4.00

7.998

356

75.58

557

C

48

10,387,179.92

1.63

8.609

357

71.64

565

C-

16

3,233,333.08

0.51

11.222

358

64.45

525

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627



State

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

Alaska

1

$215,483.61

0.03%

7.150%

357

80.00%

548

Arizona

68

12,114,802.62

1.90

7.887

356

81.38

614

Arkansas

2

102,350.99

0.02

8.679

326

81.54

516

California

615

203,657,396.19

31.90

7.356

357

80.78

628

Colorado

35

5,268,134.55

0.83

7.405

355

83.83

638

Connecticut

51

9,202,714.66

1.44

7.885

357

83.30

617

Delaware

7

741,944.71

0.12

7.302

350

78.71

680

District Of Columbia

13

2,867,447.77

0.45

7.400

355

77.10

633

Florida

450

83,709,964.12

13.11

7.827

356

82.27

639

Georgia

138

14,823,078.89

2.32

8.143

350

83.76

613

Hawaii

24

6,164,743.57

0.97

7.702

358

79.60

616

Idaho

6

398,085.38

0.06

8.386

358

81.52

630

Illinois

159

24,326,558.47

3.81

7.751

354

83.88

624

Indiana

16

1,424,748.80

0.22

8.303

354

83.68

634

Iowa

3

151,777.76

0.02

8.071

358

86.30

599

Kansas

4

340,317.82

0.05

8.154

354

85.67

571

Kentucky

1

327,551.39

0.05

7.650

356

90.00

560

Maine

13

2,078,663.40

0.33

7.746

358

71.74

600

Maryland

217

47,890,287.14

7.50

7.664

357

82.74

610

Massachusetts

106

22,862,199.94

3.58

7.959

356

81.40

621

Michigan

43

4,507,694.47

0.71

8.535

353

85.81

602

Minnesota

42

4,120,206.30

0.65

7.847

351

85.83

627

Missouri

13

1,673,699.46

0.26

8.224

353

82.55

565

Nevada

45

11,908,873.95

1.87

7.386

357

82.24

626

New Hampshire

7

852,449.24

0.13

8.557

358

86.93

594

New Jersey

148

38,383,223.66

6.01

7.713

356

81.14

629

New Mexico

14

1,748,652.66

0.27

8.027

355

76.52

596

New York

251

78,023,026.63

12.22

7.556

357

82.05

646

North Carolina

42

3,643,084.70

0.57

8.545

350

82.13

595

Ohio

26

2,302,350.25

0.36

8.218

352

87.79

607

Oklahoma

7

418,969.40

0.07

8.447

320

84.58

607

Oregon

12

1,213,263.47

0.19

7.733

357

82.15

648

Pennsylvania

31

4,044,685.81

0.63

8.138

354

80.93

599

Rhode Island

14

2,508,522.64

0.39

7.650

354

81.14

611

South Carolina

13

1,110,149.95

0.17

7.993

352

84.98

615

Tennessee

18

2,025,701.39

0.32

8.018

351

83.39

603

Texas

67

8,351,750.94

1.31

7.969

354

82.20

644

Utah

13

1,797,123.11

0.28

7.893

356

82.97

638

Vermont

2

139,142.25

0.02

8.611

357

84.00

583

Virginia

85

23,983,688.03

3.76

7.815

357

82.24

615

Washington

17

3,563,618.02

0.56

7.403

354

80.39

628

West Virginia

1

275,568.38

0.04

6.990

357

85.00

630

Wisconsin

28

3,214,048.65

0.50

8.100

354

85.63

592

Total

2,868

$638,477,745.14

100.00%

7.637%

356

81.79%

627

As of the Cut-off Date, no more than approximately 0.49% of the Group 2 Mortgage Loans will be secured by Mortgaged Properties in any one postal zip code area.



Margin (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

3.500 - 3.999

15

$6,386,046.75

1.14%

5.646%

358

79.40%

670

4.000 - 4.499

72

30,365,948.82

5.44

6.065

358

79.36

642

4.500 - 4.999

225

77,667,672.37

13.91

6.556

358

79.28

640

5.000 - 5.499

377

124,920,259.62

22.38

6.968

358

80.43

634

5.500 - 5.999

348

112,179,405.32

20.09

7.411

358

80.75

631

6.000 - 6.499

344

104,620,226.58

18.74

7.879

357

80.64

627

6.500 - 6.999

415

102,122,589.34

18.29

8.665

357

80.78

585

Total

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in Group 2 is expected to be approximately 5.698%.


Minimum Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

5.000 - 5.499

2

$655,332.05

0.12%

5.295%

356

80.00%

704

5.500 - 5.999

47

19,442,017.79

3.48

5.839

358

78.71

653

6.000 - 6.499

121

43,995,617.38

7.88

6.277

358

79.22

642

6.500 - 6.999

426

146,807,619.74

26.30

6.796

358

79.95

639

7.000 - 7.499

315

101,543,359.44

18.19

7.258

358

81.00

629

7.500 - 7.999

397

122,265,712.64

21.90

7.759

358

80.75

627

8.000 - 8.499

232

65,209,735.16

11.68

8.217

357

81.25

616

8.500 - 8.999

170

40,366,694.06

7.23

8.700

358

81.95

574

9.000 - 9.499

38

9,744,187.27

1.75

9.265

358

80.50

554

9.500 - 9.999

19

2,858,334.10

0.51

9.772

358

76.20

546

10.000 - 10.499

12

1,843,659.85

0.33

10.232

358

69.95

531

10.500 - 10.999

8

1,571,361.74

0.28

10.748

358

67.48

519

11.000 - 11.499

2

761,838.30

0.14

11.382

357

62.01

519

11.500 - 11.999

5

909,307.54

0.16

11.688

358

60.56

539

12.000 - 12.499

2

287,371.74

0.05

12.283

357

56.33

507

Total

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in Group 2 is expected to be approximately 7.417% per annum.


Maximum Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

11.000 - 11.499

2

$655,332.05

0.12%

5.295%

356

80.00%

704

11.500 - 11.999

47

19,442,017.79

3.48

5.839

358

78.71

653

12.000 - 12.499

120

43,473,082.10

7.79

6.276

358

79.21

640

12.500 - 12.999

425

146,821,537.08

26.30

6.795

358

79.98

640

13.000 - 13.499

314

101,356,526.69

18.16

7.258

358

80.98

629

13.500 - 13.999

400

122,961,163.33

22.03

7.754

357

80.73

627

14.000 - 14.499

232

65,209,735.16

11.68

8.217

357

81.25

616

14.500 - 14.999

170

40,366,694.06

7.23

8.700

358

81.95

574

15.000 - 15.499

38

9,744,187.27

1.75

9.265

358

80.50

554

15.500 - 15.999

19

2,858,334.10

0.51

9.772

358

76.20

546

16.000 - 16.499

12

1,843,659.85

0.33

10.232

358

69.95

531

16.500 - 16.999

7

1,480,410.67

0.27

10.754

358

66.71

520

17.000 - 17.499

2

761,838.30

0.14

11.382

357

62.01

519

17.500 - 17.999

6

1,000,258.61

0.18

11.594

357

62.33

536

18.000 - 18.499

2

287,371.74

0.05

12.283

357

56.33

507

Total

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in Group 2 is expected to be 13.419% per annum.


Initial Periodic Rate Cap (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

2.000

1,793

$557,662,579.79

99.89%

7.417%

358

80.37%

625

3.000

3

599,569.01

0.11

7.269

352

72.77

581

Total

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 2 is expected to be 2.001%.


Subsequent Periodic Rate Cap (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

1.500

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

Total

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 2 is expected to be 1.500%.


Months to Next Rate Adjustment

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

Weighted Average Current Mortgage Rate

Weighted Average Stated Remaining Term

Weighted Average Orig LTV

Weighted Average Credit Score

13 - 15

1

$151,194.87

0.03%

6.700%

350

90.00%

586

16 - 18

13

3,214,176.55

0.58

7.055

354

80.02

599

19 - 21

708

209,165,233.93

37.47

7.456

357

80.56

630

22 - 24

1,032

330,473,798.75

59.20

7.407

358

80.21

621

31 - 33

17

4,940,173.61

0.88

7.475

357

81.41

616

34 - 36

17

6,604,219.00

1.18

7.195

358

79.18

653

55 - 57

4

1,804,309.35

0.32

6.668

356

80.71

645

58 - 60

4

1,909,042.74

0.34

6.823

358

86.01

656

Total

1,796

$558,262,148.80

100.00%

7.417%

358

80.37%

625

As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in Group 2 is expected to be 22 months.


Pool Delinquency and Loss Experience

The following table sets forth certain information regarding delinquency with respect to the Mortgage Loans as of the Statistical Calculation Date.


DELINQUENCY AND FORECLOSURE INFORMATION FOR THE MORTGAGE LOANS


 

As of January 1, 2006

 


Number of Loans With One Instance

Scheduled Principal Balance of Loans With One Instance

 

Number of

Loans

Percentage of Loans

Scheduled Principal

Balance
(in thousands)

Percentage of Scheduled Principal

Balance

 





 Period of Delinquency






30-59 days


13

0.26%

$       2,992,071.52

0.30%

60-89 days


1

0.02%

$            63,813.42

0.01%

90 day or more

0

0.00%

$                     0

0.00%

Foreclosures, Bankruptcies or Real Estate Owned

0

0.00%

$                     0

0.00%

 





Total Portfolio

4,956


$1,012,403,165.57



 

As of January 1, 2006

 


Number of Loans With Two Instances

Scheduled Principal Balance of Loans With Two Instances

 

Number of

Loans

Percentage of Loans

Scheduled Principal

Balance
(in thousands)

Percentage of Scheduled Principal

Balance

 





 Period of Delinquency






30-59 days


1

0.02%

$         486,158.68

0.05%

60-89 days


3

0.06%

$         571,973.23

0.06%

90 day or more

0

0.00%

$                     0

0.00%

Foreclosures, Bankruptcies or Real Estate Owned

0

0.00%

$                     0

0.00%

 





Total Portfolio

   4,956


$1,012,403,165.57



No Mortgage Loan has been delinquent more than 90 days since origination.  No Mortgage Loan has had more than two instances of delinquency since origination.


The Index

The Mortgage Rate for all of the adjustable rate Mortgage Loans will be adjusted semi-annually on the related adjustment date.  The index for the Mortgage Rate borne by all of the Mortgage Loans may be calculated as follows (in each case, rounded to the nearest one-eighth of one percent):

SIX-MONTH LIBOR.  The Mortgage Rate borne by approximately 87.97% of the Mortgage Loans (by Aggregate Cut-off Date Balance) is adjusted, after the end of the applicable fixed rate period, every six months to equal the London interbank offered rate for Six-Month U.S. dollar deposits as listed under “Money Rates” in The Wall Street Journal most recently available as of 30 or 45 days, as applicable, prior to the related adjustment date (“Six-Month LIBOR”) plus a margin of ranging from 3.593% to 6.990%.

THE DEPOSITOR

J.P. Morgan Acceptance Corporation I, a Delaware corporation incorporated on June 27, 1988, is a direct, wholly-owned subsidiary of JPMorgan Securities Holdings LLC and will act as the depositor for the trust.  The principal executive offices of the depositor are located at 270 Park Avenue, New York, New York 10017.  As depositor it will establish the trust and will be the party that deposits, sells or otherwise conveys the trust fund assets to the trust.  Its telephone number is (212) 270-8863.  

The depositor has been engaged in the securitization of loans, contracts and mortgage-backed securities since its incorporation.  The depositor is generally engaged in the business of acting as depositor of one or more trusts that issues series of notes, bonds or other evidence or indebtedness and certificates that are secured by or represent interests in the assets of a trust fund.  The depositor is also generally engaged in acquiring, owning, holding and pledging as collateral and otherwise dealing with loans and mortgaged-backed securities.  The depositor acquires the loans and mortgaged-backed securities for inclusion in a securitization from the sponsor, or if specified in the prospectus supplement, from another seller, in each case in privately negotiated transactions.

The certificate of incorporation of the depositor provides that the depositor may not conduct any activities other than those related to issuing and selling one or more series of securities, acquiring and selling loans and mortgage-backed securities, serving as depositor of the trusts and engaging in activities incidental to the foregoing.

The depositor will have limited obligations with respect to a series of securities.  The depositor will obtain representations and warranties from the originator and sponsor regarding the assets included in the related trust fund.  The depositor will also assign to the trustee the depositor’s rights with respect to those representations and warranties.  See “The Agreements  -Assignment of the Trust Fund Assets” in the prospectus.  In addition, after the issuance of the certificates, the depositor has limited obligations with respect to the preparation of any reports filed under the Exchange Act and providing notices and other information to certain parties under the operative agreements.

The depositor does not have, nor is it expected in the future to have, any significant assets.  Neither the depositor nor any of the depositor’s affiliates will insure or guarantee distributions on the certificates.

THE SPONSOR

General

J.P. Morgan Mortgage Acquisition Corp., or JPMAC, will act as sponsor of the trust fund.  The sponsor will sell the mortgage loans directly to the depositor for sale or transfer to a trust.

JPMAC, a Delaware corporation incorporated on July 12, 2002, is a direct, wholly-owned subsidiary of JPMorgan Chase Bank, N.A.  The principal executive offices of the sponsor are located at 270 Park Avenue, New York, New York 10017.  Its telephone number is (212) 270-8863.

Securitization Activities of the Sponsor

JPMAC has been engaged in the securitization of assets since its incorporation.  In connection with these activities, JPMAC uses special purpose entities, such as the depositor, primarily for (but not limited to) the securitization of commercial and residential mortgages and home equity loans.

During fiscal years 2003 and 2004, JPMAC securitized approximately $275,299,016 and $4,510,234,249 of residential mortgages, respectively.  During this period, no securitizations sponsored by JPMAC have defaulted or experienced an early amortization or trigger event.

Through its affiliates, JPMAC services and master services loans.  After the servicing transfer date, the mortgage loans will be serviced by an affiliate of JPMAC.

In the normal course of its securitization program, JPMAC acquires loans from third party originators and through its affiliates.  Employees of JPMAC or its affiliates structure securitization transactions in which the loans are sold to the depositor.  In consideration for the assets which JPMAC sells to the depositor, the depositor issues the securities supported by the cash flows generated by the assets.  

JPMAC has obtained appropriate representations and warranties from the originator upon the acquisition of the mortgage loans and will assign its rights under these representations and warranties for the benefit of the depositor (or the trustee).  See The Trust Fund — Representations by Seller or Originators; Repurchases” in the prospectus.

STATIC POOL INFORMATION

The depositor shall make available any of the sponsor’s material static pool information as required under the SEC’s rules and regulations.  The static pool information material to this offering of certificates is located at http://Ap01.jpmorgan.com/docs.nsf/web/4794.

The static pool information is not deemed to be a part of this prospectus or the registration statement of which this prospectus is a part to the extent that the static pool information relates to (a) any trust fund that was established before January 1, 2006 and (b) information relating to assets of any trust fund established on or after January 1, 2006, which information relates to periods prior to January 1, 2006.

THE ORIGINATOR

General

The Mortgage Loans were previously purchased by the Seller from the Originator, which originated or acquired the Mortgage Loans in the ordinary course of business.  Prior to the Servicing Transfer Date, Fremont Investment & Loan will service the Mortgage Loans (in such capacity and for such period the “Servicer”) pursuant to the Mortgage Loan Purchase Agreement, following the Servicing Transfer Date, JPMorgan Chase Bank, National Association (“JPMorgan”), will service the Mortgage Loans (in such capacity and for such period the “Servicer”) pursuant to the Pooling Agreement.

Fremont Investment & Loan

General.  The information set forth in the following paragraphs has been provided by the Originator.  None of the Depositor, the Seller, JPMorgan, the Securities Administrator, the Trustee, the Swap Provider, the Trust Oversight Manager, the Underwriter, any of their affiliates, or any other person has made or will make any representation as to the accuracy or completeness of such information.

Fremont is a California state-chartered industrial bank headquartered in Brea, California.  Fremont currently operates wholesale residential real estate loan production offices located in Anaheim, California; Concord, California; Downers Grove, Illinois; Westchester County, New York; and Tampa, Florida.  Fremont conducts business in 45 states and the District of Columbia and its primary source of originations is through licensed mortgage brokers.

Established in 1937, Fremont is currently engaged in the business of residential sub-prime real estate lending and commercial real estate lending.  Acquired in 1990, Fremont is an indirect subsidiary of Fremont General Corporation, a financial services holding company listed on the New York Stock Exchange.  As of September 30, 2005, Fremont had approximately $10.81 billion in assets, approximately $9.31 billion in liabilities and approximately $1.50 billion in equity.  

Fremont has been originating sub-prime residential mortgage loans since May 1994 and substantially all of its residential mortgage loan originations consist of sub-prime mortgage loans.  Fremont’s sub-prime residential originations totaled approximately $6.94 billion, $13.74 billion and $23.91 billion for the years ended 2002, 2003 and 2004, respectively.  For the first nine months of 2005, Fremont’s sub-prime residential originations totaled approximately $26.62 billion.

Underwriting Standards

Underwriting Guidelines.  All of the mortgage loans were originated or acquired by Fremont, generally in accordance with the underwriting criteria described in this section.  The following is a summary of the underwriting guidelines believed by the depositor to have been applied, with some variation, by Fremont.  This summary does not purport to be a complete description of the underwriting guidelines of Fremont.

Substantially all of the mortgage loans originated by Fremont are based on loan application packages submitted through licensed mortgage brokers.  These brokers must meet minimum standards set by Fremont based on an analysis of the following information submitted with an application for approval: applicable state lending license (in good standing), signed broker agreement, and signed broker authorization.  Once approved, licensed mortgage brokers are eligible to submit loan application packages in compliance with the terms of a signed broker agreement.

Mortgage loans are underwritten in accordance with Fremont’s current underwriting programs, referred to as the Scored Programs (“Scored Programs”), subject to various exceptions as described in this section.  Fremont began originating mortgage loans pursuant to Scored Programs in 2001.  Fremont’s underwriting guidelines are primarily intended to assess the ability and willingness of the borrower to repay the debt and to evaluate the adequacy of the mortgaged property as collateral for the mortgage loan.  The Scored Programs assess the risk of default by using Credit Scores obtained from third party credit repositories along with, but not limited to, past mortgage payment history, seasoning on bankruptcy and/or foreclosure and loan-to-value ratios as an aid to, not a substitute for, the underwriter’s judgment.  All of the mortgage loans in the mortgage pool were underwritten with a view toward the resale of the mortgage loans in the secondary mortgage market.

The Scored Programs were developed to simplify the origination process.  In contrast to assignment of credit grades according to traditional non-agency credit assessment methods, i.e., mortgage and other credit delinquencies, the Scored Programs rely upon a borrower’s Credit Score, mortgage payment history and seasoning on any bankruptcy/foreclosure initially to determine a borrower’s likely future credit performance.  Licensed mortgage brokers are able to access Credit Scores at the initial phases of the loan application process and use the Credit Score to determine the interest rates a borrower may qualify for based upon Fremont’s Scored Programs risk-based pricing matrices.  Final loan terms are subject to approval by Fremont.

Under the Scored Programs, Fremont requires credit reports for each borrower, using the Credit Score of the primary borrower (the borrower with the highest percentage of total income) to determine program eligibility.  Credit Scores must be requested from each national credit repository.  For the purpose of determining program eligibility,

·

if Credit Scores are available from all three credit repositories, the middle of the three Credit Scores is used,

·

if Credit Scores are available from only two of the repositories, the lower of the two Credit Scores is used, and

·

if a single Credit Score is available, the single Credit Score will be used; however, potential borrowers with a single Credit Score will not qualify for loan amounts in excess of $750,000, loans with loan-to-value ratios in excess of 90% or 80% (depending on type of program) and second mortgage loans with loan-to-value ratios in excess of 5%.

Generally, the minimum applicable Credit Score allowed is 500, however borrowers with no Credit Scores are not automatically rejected and may be eligible for certain loan programs in appropriate circumstances.

All of the mortgage loans were underwritten by Fremont’s underwriters having the appropriate approval authority.  Each underwriter is granted a level of authority commensurate with their proven judgment, experience and credit skills.  On a case by case basis, Fremont may determine that, based upon compensating factors, a prospective mortgagor not strictly qualifying under the underwriting risk category guidelines described below is nonetheless qualified to receive a loan, i.e., an underwriting exception.  Compensating factors may include, but are not limited to, low loan-to-value ratio, low debt to income ratio, substantial liquid assets, good credit history, stable employment and time in residence at the applicant’s current address.  It is expected that a substantial portion of the mortgage loans may represent such underwriting exceptions.

There are three documentation types, Full Documentation (“Full Documentation”), Easy Documentation (“Easy Documentation”) and Stated Income (“Stated Income”).  Fremont’s underwriters verify the income of each applicant under various documentation types as follows: under Full Documentation, applicants are generally required to submit verification of stable income for the periods of one to two years preceding the application dependent on credit profile; under Easy Documentation, the borrower is qualified based on verification of adequate cash flow by means of personal or business bank statements; under Stated Income, applicants are qualified based on monthly income as stated on the mortgage application.  The income is not verified under the Stated Income program; however, the income stated must be reasonable and customary for the applicant’s line of work.

Fremont originates loans secured by 1-4 unit residential properties made to eligible borrowers with a vested fee simple (or in some cases a leasehold) interest in the property.  Fremont’s underwriting guidelines are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and require an appraisal of the mortgaged property, and if appropriate, a review appraisal.  Generally, initial appraisals are provided by qualified independent appraisers licensed in their respective states.  Review appraisals may only be provided by appraisers approved by Fremont.  In some cases, Fremont relies on a statistical appraisal methodology provided by a third-party.  Qualified independent appraisers must meet minimum standards of licensing and provide errors and omissions insurance in states where it is required to become approved to do business with Fremont.  Each uniform residential appraisal report includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home.  The review appraisal may be a desk review, field review or an automated valuation report that confirms or supports the original appraiser’s value of the mortgaged premises.

Fremont requires title insurance on all first mortgage loans, which are secured by liens on real property.  Fremont also requires that fire and extended coverage casualty insurance be maintained on the secured property in an amount at least equal to the principal balance of the related loan or the replacement cost of the property, whichever is less.

Fremont conducts a number of quality control procedures, including a post-funding review as well as a full re-underwriting of a random selection of loans to assure asset quality.  Under the funding review, all loans are reviewed to verify credit grading, documentation compliance and data accuracy.  Under the asset quality procedure, a random selection of each month’s originations is reviewed.  The loan review confirms the existence and accuracy of legal documents, credit documentation, appraisal analysis and underwriting decision.  A report detailing review findings and level of error is sent monthly to each loan production office for response.  The review findings and branch responses are then reviewed by Fremont’s senior management.  Adverse findings are tracked monthly.  This review procedure allows Fremont to assess programs for potential guideline changes, program enhancements, appraisal policies, areas of risk to be reduced or eliminated and the need for additional staff training.

Balloon Loans.  The majority of loans originated by Fremont provide for the full amortization of the principal amount on the final maturity date.  Beginning in September 2005, Fremont began originating certain mortgage loans that do not provide for full amortization prior to maturity, where the payment of any remaining unamortized principal balance is due in a single or balloon payment at maturity.  These balloon loans originated by Fremont provide for amortization of principal based on a 40 year period with a term to maturity of 30 years (“40/30 Loans”).

Second Lien Mortgage Loans.  Fremont currently has two programs for the origination of second lien mortgage loans.  The current programs are limited to loans that are originated contemporaneously with the origination of a loan secured by a first lien, while the third allows for “stand alone” originations.  The first program allows for loans with up to 5% loan to value and maximum combined loan to values of 95%.  This program is limited to borrowers with Credit Scores in excess of 550, credit grades of at least “C” and debt to income ratios not greater than 50%; however, eligible borrowers may not be participants in a consumer credit counseling or other debt repayment program.  Permissible loan balances for this program are from $5,000 to $25,000.  The maximum term on these loans is 10 or 15 years; provided, that a 15 year amortization term is available only for Full Documentation or Easy Documentation loans with an original loan balance in excess of $15,000.  Loans under this program are available for “owner occupied” or “non-owner occupied” properties.

The second program is for borrowers with Credit Scores in excess of 580.  This program allows for loans of up to 20% loan to value and 100% maximum combined loan to values and is limited to borrowers in credit grades of “A+” and “A” and debt ratios not greater than 50%.  Permissible loan balances for this program are from $10,000 to $125,000.  Combined loan balances (first and second lien mortgage loans) of up to $625,000 are allowed to borrowers under Full Documentation loans that have Credit Scores of 620 and greater.  The limit on the combined loan balance is $500,000 for Stated Income loans; provided that no Stated Income loan may have a borrower with a Credit Score of less than 620.  The loans are available with amortization terms of 10, 15, 20 and 30 years, however loan balances must be at least $25,000 to qualify for a 20 year amortization term and at least $50,000 for a 30 year amortization term.  Rural properties and properties in Alaska are not allowed under this program.

Fremont recently discontinued an additional second lien mortgage program that was a stand alone program for borrowers with Credit Scores in excess of 580.  This program allowed for loans of 20% loan to value and 100% maximum combined loan to values and was limited to borrowers in credit grades of “A+” and “A” and debt ratios not greater than 50%.  Permissible loan balances for this program were from $10,000 to $125,000.  Combined loan balances (first and second lien mortgage loans) of up to $625,000 were allowed to borrowers under Full Documentation loans that had Credit Scores of 620 and greater.  The limit on the combined loan balance was $500,000 for Stated Income loans; provided that no Stated Income loan may have been a borrower with a Credit Score of less than 620.  The loans were available with amortization terms of 10, 15, 20 and 30 years, however loan balances must have been at least $25,000 to qualify for a 20 year amortization term and at least $50,000 for a 30 year amortization term.  Rural properties and properties in Alaska were not allowed under this program.

Risk Categories

Fremont’s underwriting guidelines under the Scored Programs with respect to each rating category generally require:

debt to income ratios of 55% or less on mortgage loans with loan-to-value ratios of 80% or less, however, debt to income ratios of 50% or less are required on loan-to-value ratios greater than 80%;

applicants have a Credit Score of at least 500;

that no liens or judgments affecting title may remain open after the funding of the loan, other than liens in favor of the internal revenue service that are subordinated to the loan; and

that any collection, charge-off, or judgment not affecting title that is less than 1 year old must be paid in connection with closing if either its balance is greater than $1,000 or the aggregate balances of all such collections, charge-offs or judgments are greater than $2,500.

In addition, the various risk categories generally have the following criteria for borrower eligibility:

“A+.”  Under the “A+” category, an applicant must have no 30-day late mortgage payments within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure.  The maximum loan-to-value ratio is 100% with a minimum Credit Score of 600.  The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics.

“A.”  Under the “A” category, an applicant must have not more than one 30-day late mortgage payment within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure.  The maximum loan-to-value ratio is 100% with a minimum Credit Score of 600.  The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics.

“A-.”  Under the “A-” category, an applicant must have not more than three 30-day late mortgage payments within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure.  The maximum loan-to-value ratio is 90% with a minimum Credit Score of 550.  The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics.

“B.”  Under the “B” category, an applicant must have not more than one 60-day late mortgage payment within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure.  The maximum loan-to-value ratio is 85% with a Credit Score of 550.  The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics.

“C.”  Under the “C” category, an applicant must have not more than one 90-day late mortgage payment within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure.  The maximum permitted loan-to-value ratio is 80% with a minimum Credit Score of 550.  The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics.

“C-.”  Under the “C-” category, an applicant must not be more than 150 days delinquent with respect to its current mortgage payment and it must not be subject of a Chapter 7 or Chapter 13 bankruptcy and/or foreclosure.  The maximum permitted loan-to-value ratio is 70% with a minimum Credit Score of 550.  The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics.

“D.”  Under the “D” category, an applicant must not be more than 180 days delinquent with respect to its current mortgage payment.  Any Chapter 7 or Chapter 13 bankruptcy proceedings and/or foreclosure actions must be paid in connection with closing.  The maximum permitted loan-to-value ratio is 65% with a minimum Credit Score of 500.  The maximum permitted loan-to-value ratio is reduced to 60% if the property is currently subject to foreclosure proceedings.

AFFILIATES AND RELATED TRANSACTIONS

The Sponsor and the Depositor are affiliated entities and wholly owned subsidiaries of JPMorgan Chase Bank, National Association.  JPMorgan Chase Bank, National Association is a Servicer of the Mortgage Loans, the Securities Administrator and the Swap Provider.  J.P. Morgan Trust Company is the Custodian for the mortgage files.  There is not currently and there was not during the past two years any material business relationship, arrangement or other understanding between any of the Sponsor, the Depositor, the Securities Administrator, the Swap Provider, the Custodian or JPMorgan Chase Bank, National Association that was entered into outside the ordinary course of business of each such party or in terms other than would be obtained in an arm’s length transaction with unaffiliated entities.



THE SERVICERS

Fremont Investment & Loan

The information set forth in the following paragraphs has been provided by Fremont Investment & Loan (“Fremont”).  None of the Depositor, the Trustee, the Swap Provider, the Trust Oversight Manager, the Securities Administrator, JPMorgan, the Underwriter or any of their respective affiliates has made or will make any representation as to the accuracy or completeness of this information.

Fremont is a California state-chartered industrial bank headquartered in Brea, California.  Fremont has been servicing sub-prime mortgage loans since 1994 through its nationwide servicing operation, currently located in Ontario, California.  As of September 30, 2005, Fremont was servicing 117,386 sub-prime residential mortgage loans with a total principal balance of approximately $22.158 billion.  Approximately $16.067 billion of this balance was comprised of recently originated mortgage loans that were either owned by Fremont and held for sale or had been sold to third parties, and Fremont was providing interim servicing until the servicing was transferred.  The product types serviced include both fixed and adjustable rate residential sub-prime mortgage loans, which may provide for principal payments that may fully amortize all payments of principal, or provide an initial interest only period of up to 5 years or provide for a balloon payment at maturity.   

Fremont's residential sub-prime servicing operations are currently on S&P's "Select" list and are rated RPS 3 by Fitch.  Neither S&P, Moody's nor Fitch has issued a report regarding the rating of the sub-prime servicing operations of Fremont.

Fremont has experienced significant growth in its servicing activities, increasing its servicing portfolio of sub-prime residential mortgage loans by more than 500% since 2002, based on outstanding principal balance.  

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In addition, Fremont has only been servicing mortgage loans for third parties for a limited period of time, and most of Fremont’s servicing portfolio, approximately 73%, 74%, 80% and 90% as of September 30, 2005 and as of December 31, 2004, 2003 and 2002, respectively, consisted of mortgage loans serviced on a temporary basis, generally for a period of ninety days.  

Loan Servicing

 

June 2005

2004

2003

2002

Interim Serviced Outstandings ($ in billions)

$16.00

$11.10

$7.60

$3.60

Held to Maturity Serviced Outstandings ($ in billions)

$4.90

$3.80

$1.9

$0.40

Total Serviced Outstandings ($ in billions)

$20.90

$14.90

$9.5

$4.00

Interim Serviced Units

89,209

68,545

46,258

24,734

Held to Maturity Service Units

24,734

19,669

10,162

2,489

Total Serviced Units

113,943

86,044

56,420

27,223

Servicing Employees

228

186

89

76


Fremont Investment & Loan’s Delinquency and Foreclosure Experience

The following tables set forth the delinquency and foreclosure experience of the mortgage loans serviced by Fremont at the end of the indicated periods.  Fremont’s portfolio may differ significantly from the mortgage loans in the mortgage loan pool in terms of interest rates, principal balances, geographic distribution, types of properties, lien priority, origination and underwriting criteria, prior servicer performance and other possibly relevant characteristics.  In particular, the fact that Fremont has only been servicing mortgage loans for third parties for a limited period of time and that most of Fremont’s servicing portfolio consisted of mortgage loans serviced on a temporary basis, generally for a period of ninety days may result in significant differences between the historical performance of Fremont’s servicing portfolio and the expected performance of the mortgage loans included in this transaction.  Therefore, the historical information presented herein may not be indicative of the performance that you will experience with respect to the mortgage loan pool included in the trust.  There can be no assurance, and no representation is made, that the delinquency and foreclosure experience with respect to the mortgage loans in the mortgage loan pool will be similar to that reflected in the tables below, nor is any representation made as to the rate at which losses may be experienced on liquidation of defaulted mortgage loans in the mortgage loan pool.  The actual delinquency experience on the mortgage loans in the mortgage loan pool will depend, among other things, upon the value of the real estate securing such mortgage loans in the mortgage loan pool and the ability of the related borrower to make required payments.  It should be noted that if the residential real estate market should experience an overall decline in property values, the actual rates of delinquencies and foreclosures could be higher than those previously experienced by Fremont.  In addition, adverse economic conditions may affect the timely payment by borrowers of scheduled payments of principal and interest on the mortgage loans in the mortgage loan pool and, accordingly, the actual rates of delinquencies and foreclosures with respect to the mortgage loan pool.  Finally, the statistics shown below represent the delinquency experience for Fremont’s mortgage servicing portfolio only for the periods presented, whereas the aggregate delinquency experience on the mortgage loans comprising the mortgage loan pool will depend on the results obtained over the life of the mortgage loan pool.


Fremont Mortgage Loan Servicing Portfolio

(Combined Loans Held for Sale, Interim Serviced, Held for Investment and Securitized)
Delinquencies and Foreclosures

 

As of September 30, 2005

 

Number of Loans

Principal Balance

(in thousands)

Percent by Principal Balance

Current Loans

114,022

$21,582,209

97.40%

Period of Delinquency

 

 

 

30 to 59 days

1,138

199,996

0.90%

60+ days

492

63,601

0.29%

Total Delinquencies

1,630

263,597

1.19%

Foreclosures/Forbearances

1,177

231,477

1.05%

Bankruptcies

415

60,525

0.27%

Total Foreclosures and Bankruptcies

1,592

292,002

1.32%

Real Estate Owned

142

19,863

0.09%

Total Portfolio

117,386

$22,157,671

100.00%



 

As of December 31, 2004

As of December 31, 2003

As of December 31, 2002

 

Number of Loans

Principal Balance (in thousands)

Percent by Principal
Balance

Number of Loans

Principal Balance (in thousands)

Percent by Principal Balance

Number of Loans

Principal Balance (in thousands)

Percent by Principal Balance

Current Loans

84,383

$14,692,643

98.18%

55,691

$9,380,221

98.91%

26,953

$3,973,672

99.18%

Period of Delinquency

         

30 to 59 days

595

97,995

0.65%

285

43,951

0.46%

37

3,921

0.10%

60+ days

77

11,262

0.08%

79

11,307

0.12%

10

1,559

0.04%

Total Delinquencies

672

109,257

0.73%

364

55,258

0.58%

47

5,480

0.14%

Foreclosures/
Forbearances

784

125,592

0.84%

229

32,357

0.34%

108

15,072

0.37%

Bankruptcies

205

28,772

0.19%

115

13,502

0.14%

78

8,916

0.22%

Total Foreclosures and Bankruptcies

989

154,364

1.03%

344

45,859

0.48%

186

23,988

0.59%

Real Estate Owned

48

8,575

0.06%

21

2,642

0.03%

37

3,490

0.09%

Total Portfolio

86,092

$14,964,838

100.00%

56,420

$9,483,980

100.00%

27,223

$4,006,630

100.00%



Fremont Mortgage Loan Servicing Portfolio

(Loans Held to Maturity/Serviced For Others)
Delinquencies and Foreclosures

 

As of September 30, 2005

 

Number of Loans

Principal Balance

(in thousands)

Percent by Principal Balance

Current Loans

27,774

$5,750,576

94.41%

Period of Delinquency

 

 

 

30 to 59 days

551

100,762

1.65%

60+ days

171

25,738

0.43%

Total Delinquencies

722

126,500

2.08%

Foreclosures/Forbearances

780

150,886

2.14%

Bankruptcies

294

46,300

0.76%

Total Foreclosures and Bankruptcies

1,074

197,186

2.90%

Real Estate Owned

113

16,639

0.27%

Total Portfolio

29,683

$6,090,901

100.00%


 

As of December 31, 2004

As of December 31, 2003

As of December 31, 2002

 

Number of Loans

Principal Balance

Percent by Principal

Balance

Number of Loans

Principal Balance

Percent by Principal Balance

Number of Loans

Principal Balance

Percent by Principal Balance

Current Loans

18,746

$3,675,608

95.60%

9,915

$1,844,818

97.75%

2,403

$380,873

96.87%

Period of Delinquency

  


  


  


30 to 59 days

253

45,603

1.19%

104

18,650

0.99%

22

3,582

0.91%

60+ days

36

5,743

0.15%

21

4,476

0.23%

6

520

0.13%

Total Delinquencies

289

51,347

1.34%

125

23,126

1.22%

28

4,102

1.04%

Foreclosures/
Forbearances

490

88,871

2.31%

66

11,753

0.62%

21

4,139

1.05%

Bankruptcies

144

22,967

0.60%

50

6,975

0.37%

33

3,767

0.96%

Total Foreclosures and
 Bankruptcies

634

111,838

2.91%

116

18,728

0.99%

54

7,906

2.01%

Real Estate Owned

34

5,977

0.16%

6

668

0.04%

4

311

0.08%

Total Portfolio

19,703

$3,844,769

100.00%

10,162

$1,887,340

100.00%

2,489

$393,192

100.00%



The indicated periods of delinquency are based on the number of days past due on a contractual basis.  No mortgage loan is considered delinquent for these purposes until it has not been paid by the next scheduled due date.  For example, a payment on a mortgage loan that was due on January 1 is not considered delinquent unless it is not received by the close of business on February 1, and such delinquency will not be reported as delinquent unless the mortgage loan remains delinquent until the related delinquency report is generated, at the end of the month.

Servicing Processes and Procedures.  

Fremont will be responsible for making reasonable efforts to collect all payments called for under the mortgage loans and will, consistent with the pooling and servicing agreement and current market standards, follow such collection procedures as it follows with respect to sub-prime residential mortgage loans held for its own account which are comparable to the mortgage loans.  Upon receipt of collections on the mortgage loans included in the mortgage pool and prior to the deposit of such collections into the segregated collections account established for this transaction, Fremont deposits such amounts into a joint collection account that includes collections on its entire residential sub-prime mortgage loan portfolio.  Fremont transfers collections to the appropriate segregated collection account as soon as proper allocation can be determined, generally within two business days after receipt.

Fremont will be required to act with respect to mortgage loans in default, in accordance with procedures set forth in the pooling and servicing agreement.  These procedures among other things, result in (i) foreclosing on the mortgage loan, (ii) accepting the deed to the related mortgaged property in lieu of foreclosure, (iii) granting the borrower under the mortgage loan a modification or forbearance, or (iv) accepting payment from the borrower of an amount less than the principal balance of the mortgage loan in final satisfaction of the mortgage loan.  Consistent with the above, Fremont may (i) waive any late payment charge or, if applicable, any penalty interest or (ii) extend the due dates for the monthly payments for a period of not more than 180 days, subject to the provisions of the pooling and servicing agreement.  These procedures are intended to maximize recoveries on a net present value basis on these mortgage loans; however, such actions may result in delays or reductions in amounts payable with respect to one or more classes of securities, and may be adverse to the interest of such classes of certificates.  

Fremont will be required to accurately and fully report its borrower payment histories to all three national credit repositories in a timely manner with respect to each mortgage loan.

If a mortgaged property has been or is about to be conveyed by the mortgagor, Fremont will be obligated to accelerate the maturity of the mortgage loan, unless Fremont, in its sole business judgment, believes it is unable to enforce that mortgage loan’s “due-on-sale” clause under applicable law or that such enforcement is not in the best interest of the trust fund.  If it reasonably believes it may be restricted for any reason from enforcing such a “due-on-sale” clause or that such enforcement is not in the best interest of the trust fund, Fremont may enter into an assumption and modification agreement with the person to whom such property has been or is about to be conveyed, pursuant to which such person becomes liable under the mortgage note.

Any fee collected by Fremont for entering into an assumption or modification agreement will be retained by Fremont as additional servicing compensation.  In connection with any such assumption or modification, none of the outstanding principal amount, the mortgage rate borne by the mortgage note relating to each mortgage loan nor the final maturity date for such mortgage loan may be changed, unless the mortgagor is in default with respect to the mortgage loan.  For a description of circumstances in which Fremont may be unable to enforce “due-on-sale” clauses.

Advances.  Fremont is required to make Advances on the servicer remittance date with respect to each mortgage loan it services, subject to it’s determination in its good faith business judgment that such advance would be recoverable.  Such Advances by Fremont are reimbursable to Fremont subject to certain conditions and restrictions, and are intended to provide sufficient funds for the payment of interest to the holders of the certificates.  Notwithstanding Fremont’s determination in its good faith business judgment that an Advance was recoverable when made, if an Advance becomes a nonrecoverable advance, Fremont or master servicer, as applicable, will be entitled to reimbursement for that advance from the trust fund.

Fremont is also required to advance amounts with respect to the mortgage loans serviced by it, subject to it’s determination that such advance would be recoverable, constituting reasonable “out-of-pocket” costs and expenses relating to:

·

the preservation, restoration and protection of the mortgaged property,

·

enforcement or judicial proceedings, including foreclosures, and

·

certain other customary amounts described in the pooling and servicing agreement.

These servicing advances by Fremont are reimbursable to Fremont subject to certain conditions and restrictions.  In the event that, notwithstanding it’s good faith determination at the time the servicing advance was made that it would be recoverable, the servicing advance becomes a nonrecoverable advance, Fremont will be entitled to reimbursement for that advance from the trust fund.

Fremont may recover Advances and servicing advances to the extent permitted by the pooling and servicing agreement.  This reimbursement may come from late collections on the related mortgage loan, including Liquidation Proceeds, Condemnation Proceeds, Insurance Proceeds and such other amounts as may be collected by Fremont from the mortgagor or otherwise relating to the mortgage loan.  In the event an Advance or a servicing advance becomes a nonrecoverable advance, Fremont may be reimbursed for such advance from any amounts in the collection account or distribution account, as applicable.

Fremont will not be required to make any Advance or servicing advance which it determines would be a nonrecoverable Advance or nonrecoverable servicing advance.  An Advance or servicing advance is “nonrecoverable” if in the good faith business judgment of Fremont or master servicer, as applicable (as stated in an officer’s certificate of Fremont delivered to the trustee), such Advance or servicing advance would not ultimately be recoverable.

Prior Securitizations.  Since 2003, there has not been a servicing event of default, servicer termination or early amortization event (or any event that would result in the forgoing) with respect to any residential sub-prime mortgage loan portfolio serviced by Fremont for third parties.  In addition, Fremont has not been terminated under any such portfolio due to the a servicer default or application of a servicing performance test or trigger.  During such time, Fremont has neither failed to make any required advance with respect to any residential sub-prime mortgage loan portfolio nor disclosed any material noncompliance with the servicing criteria applicable to any such securitization.


JPMorgan Chase Bank, N.A.  

JPMorgan Chase Bank, N.A. (“JPMorgan”) is a wholly-owned bank subsidiary of JPMorgan Chase & Co., a Delaware corporation whose principal office is located in New York, New York.  JPMorgan is a commercial bank offering a wide range of banking services to its customers both domestically and internationally.  It is chartered, and its business is subject to examination and regulation, by the Office of the Comptroller of the Currency.  JPMorgan’s main office is located in Columbus, Ohio.  It is a member of the Federal Reserve System and its deposits are insured by the Federal Deposit Insurance Corporation.

Prior to January 1, 2005, JPMorgan formed Chase Home Finance LLC (“CHF”), a wholly-owned, limited liability company.  Prior to January 1, 2005, Chase Manhattan Mortgage Corporation (“CMMC”), was engaged in the mortgage origination and servicing businesses.  On January 1, 2005, CMMC merged with and into CHF with CHF as the surviving entity

In its capacity as a Servicer, JPMorgan will be responsible for servicing the Mortgage Loans in accordance with the terms set forth in the Pooling and Servicing Agreement.  JPMorgan may perform any or all of its obligations under its servicing agreement through one or more subservicers.  JPMorgan has engaged CHF as its subservicer to perform loan servicing activities for the Mortgage Loans on its behalf.  JPMorgan will remain liable for its servicing duties and obligations under its servicing agreement as if JPMorgan alone were servicing the Mortgage Loans.  As a result we are providing disclosure regarding CHF.  CHF (or its predecessors in interest) has serviced mortgage loans (including mortgage loans similar to the Mortgage Loans) for over fifteen years.

JPMorgan is the product of numerous mergers and acquisitions.  Since the creation of the founding entities, mortgage products and loan servicing have been a part of the bank’s operations.  As JPMorgan’s mortgage servicing activities have evolved over the past several decades and in the modern era, its portfolio has included prime loans (conforming, jumbo, Alt-A, community development programs and rural housing), manufactured housing loans, home equity loans and lines of credit, and subprime mortgage loan products.

Servicing operations, for “subprime” quality mortgage loans are audited internally by JPMorgan’s General Audit and Risk groups and subject to external audits by various investors, master servicers and the Office of the Comptroller of the Currency.  JPMorgan utilizes committees assembled on a quarterly basis to analyze compliance to Fair Debit Collections and Fair Lending legislation.  JPMorgan employs a dual control process to review accounts for fee waivers and loss mitigation rejections in order to monitor compliance with internal procedures.

As of December 31, 2003, December 31, 2004 and September 30, 2005, JPMorgan’s portfolio of closed-end subprime mortgage loans equaled approximately $27,457,422,121, $45,382,835,867 and $58,487,083,630, respectively.

JPMorgan has made numerous changes to its servicing procedures during the past three years in order to improve its servicing processes and to increase efficiencies.

JPMorgan, through its subsidiary CHF, employs a collections strategy that is based on risk scoring and dialer strategy to make appropriate contact with delinquent customers.  Outbound calling is made five days a week from 8:00 a.m. Eastern time to 9:00 p.m. Pacific time, and under reduced operational hours on Saturday and Sunday.  There are special service teams to address the specific needs of Spanish-speaking customers and those impacted by natural disasters.  

Attempts to assist mortgagors to re-perform under their mortgage commitments are made prior to referring loans to foreclosure.  Loss mitigation efforts are run concurrently with the migration of a loan to foreclosure and continue until the foreclosure sale is executed.  Loss mitigation solicitation efforts include outbound calling strategies, inbound dedicated loss mitigation analysis teams and targeted assistance letters.  In addition to the Chase internet site delivering applications and program overviews, High Risk Property Managers review options during site inspections and local housing association referrals.

CHF has created a legal network where home product loans are referred for bankruptcy, foreclosure, real estate owned (REO) and loss mitigation legal actions.  Attorneys are monitored for performance to action initiation requirements, adherence to the timeline set forth by the state or federal jurisdictions and within the boundaries of the mortgage insurer or investor.  Status is monitored between operational teams for managing bankruptcy case filings, loss mitigation programs and transfers to REO status.  Performance to these timelines is periodically monitored to increase loss mitigation opportunities, billing accurately, managing data securely, and effectively managing any initiated legal action.

Under the terms of the Pooling Agreement, the Servicer may agree to modification upon the request of the mortgagor provided the modification is in lieu of a refinancing and the servicer purchases the related mortgage loan for a price equal to the outstanding principal balance of the Mortgage Loan.

Under the terms of the Pooling Agreement, the Servicer generally will not be liable for any losses on the Mortgage Loans.

The Servicer is required to make advances of delinquent monthly payments of interest and principal to the extent described in this prospectus supplement.  See “The Pooling and Servicing Agreement—Advances.”  The Servicer has not failed to make a required advance in connection with any mortgage-backed securitization.

Chase Home Finance LLC.  Because JPMorgan does not itself perform the servicing function on mortgage loans as to which it is the named servicer, JPMorgan does not have meaningful historical servicing data with respect to delinquencies, foreclosure or losses.  

Due to JPMorgan’s engagement of CHF as its subservicer, CHF is providing below historical delinquency, foreclosure and loan loss data for its portfolio of fixed rate and adjustable rate subprime mortgage loans which were originated or purchased by CHF and subsequently securitized in asset-backed transactions (the “CHF Subprime Securitized Servicing Portfolio”).  The CHF Subprime Securitized Servicing Portfolio represents only a portion of the total servicing portfolio of CHF.  There can be no assurance that the delinquency, foreclosure and loan loss experience on the mortgage loans subserviced by CHF for JPMorgan in this transaction will correspond to the delinquency, foreclosure and loan loss experience shown in the tables below, and the actual delinquency, foreclosure and loan loss experience on the mortgage loans subserviced by CHF for JPMorgan in this transaction could be significantly worse.  Moreover, any mortgage loans subserviced by CHF for JPMorgan in this transaction could be significantly worse.  Moreover, any mortgage loans subserviced by CHF for JPMorgan in this transaction were acquired by the Seller or the Bank from various originators and were not originated by CHF and as a result, the actual delinquency, loss and foreclosure experience on such mortgage loans could be significantly worse than the delinquency, foreclosure and loan loss experience shown in the tables below.

CHF Subprime Securitized Servicing Portfolio.  The following tables contain information relating to the delinquency, loan loss and foreclosure experience with respect to the CHF Subprime Securitized Servicing Portfolio.

Delinquency and Foreclosure Experience of the

CHF Subprime Securitized Servicing Portfolio

(Dollars in Thousands)


 

As of September 30,

As of December 31,

 

2005

2004

2003

2002

Period of Delinquency

Number

of Loans

Dollar
Amount

 Number

of Loans

Dollar
Amount

Number

of Loans

Dollar
Amount

Number

of Loans

Dollar
Amount

Portfolio


54,153

$6,440,312

75,898

$9,388,238

90,370

$11,146,244

73,597

$8,326,818

Delinquency


        

     30 to 59 days


2.78%

2.28%

2.41%

1.83%

2.40%

1.83%

2.69%

2.28%

     60 to 89 days


0.87%

0.71%

0.70%

0.54%

0.84%

0.66%

0.86%

0.72%

     90 days or more


1.94%

1.40%

1.75%

1.31%

1.43%

1.15%

1.41%

1.21%

Total


5.59%

4.39%

4.86%

3.68%

4.67%

3.64%

4.96%

4.21%

         

Foreclosure rate


2.75%

2.34%

2.72%

2.20%

2.47%

2.06%

2.65%

2.48%

REO properties


407

N/A

504

N/A

532

N/A

480

N/A

 









 









The period of delinquency is based on the number of days payments are contractually past due.  The delinquency statistics for the period exclude loans in foreclosure.  The portfolio statistics set forth above exclude REO properties.  

The foreclosure rate reflects the number of mortgage loans in foreclosure as a percentage of the total number of mortgage loans or the dollar amount of mortgage loans in foreclosure as a percentage of the total dollar amount of mortgage loans, as the case may be, as of the date indicated.  REO properties are real estate owned properties which relate to foreclosed mortgages or properties for which deeds in lieu of foreclosure have been accepted, and held by CHF pending disposition.


Loan Loss Experience of the

CHF Subprime Securitized Servicing Portfolio

(Dollars in Thousands)


 

Nine Months Ending

September 30,

Year Ending December 31,

 

 2005

2004

2003

2002

Average amount outstanding


$7,688,139

$10,443,888

$9,642,035

$7,902,732

Net losses


$     47,426

$       73,858

$     73,504

$     43,458

Net losses as a percentage of average amount outstanding……………………………….

0.62%

0.71%

0.76%

0.55%


The average amount outstanding during the period is the arithmetic average of the principal balances of the mortgage loans outstanding on the last business day of each month during the period.  Net losses are amounts relating to mortgage loans which have been determined by CHF to be uncollectible, less amounts received by CHF as recoveries from liquidation proceeds and deficiency judgments.

There can be no assurance that the delinquency, foreclosures and loss experience on the Mortgage Loans will correspond to the delinquency, foreclosure and loss experience set forth in the foregoing tables.  Moreover, the Mortgage Loans subserviced by CHF for JPMorgan in this transaction were acquired by the Seller from an originator other than CHF.  In general, during periods in which the residential real estate market is experiencing an overall decline in property values such that the principal balances of the Mortgage Loans and any secondary financing on the related Mortgaged Properties become equal to or greater than the value of the related Mortgaged Properties, rates of delinquencies, foreclosure and losses could be significantly higher than might otherwise be the case.  In addition, adverse economic conditions (which may affect real property values) may affect the timely payment by Mortgagors of Monthly Payments, and accordingly, the actual rates of delinquencies, foreclosures and losses with respect to the Mortgage Loans in the Trust Fund.

Collection Procedures

CHF employs a variety of collection techniques during the various stages of delinquency.  The primary purpose of all collection efforts performed by CHF is to bring a delinquent mortgage loan current in as short a time as possible.  Phone calls are used as the principal form of contacting a mortgagor.  CHF utilizes a combination of predictive and preview dealer strategies to maximize the results of collection calling activity.  Prior to initiating foreclosure proceedings, CHF makes every reasonable effort to determine the reason for the default, whether the delinquency is a temporary or permanent condition, and the mortgagor’s attitude toward the obligation.  CHF will take action to foreclose a mortgage only once every reasonable effort to cure the default has been made and a projection of the ultimate gain or loss on REO sale is determined.  In accordance with accepted servicing practices, foreclosures are processed within individual state guidelines and in accordance with the provisions of the mortgage and applicable state law.


DESCRIPTION OF THE CERTIFICATES

General

On or about January 27, 2006 (the “Closing Date”), the Certificates will be issued pursuant to the Pooling Agreement.  Set forth below are summaries of the specific terms and provisions of the Pooling Agreement.  The following summaries are subject to, and are qualified in their entirety by reference to, the provisions of the Pooling Agreement.  When particular provisions or terms used in the Pooling Agreement are referred to, the actual provisions (including definitions of terms) are incorporated by reference.

The Certificates will consist of (a) the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates (the “Senior Certificates”) and (b) the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates (the “Subordinate Certificates” or the “Subordinate Classes”) and the Class C, Class P and Class R Certificates (the “Non-Offered Certificates” ).  The Senior Certificates and the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates are sometimes collectively referred to herein as the “Offered Certificates.” Only the Offered Certificates are offered under this prospectus supplement.  The Class M-10 and Class M-11 Certificates are referred to as the “Privately-Offered Certificates.” The Privately-Offered Certificates and the Non-Offered Certificates are not offered under this prospectus supplement.  Accordingly, the description of the Privately-Offered Certificates and the Non-Offered Certificates provided in this prospectus supplement is solely for informational purposes.  The Class C, Class P and Class R Certificate will initially be retained by an affiliate of the Depositor, the Sponsor and the Underwriter.

The Offered Certificates will be issued in the initial Class Principal Amounts set forth in the table under “Summary — Offered Certificates”.  The Class M-10 and Class M-11 Certificates will be issued in the initial Class Principal Amount set forth in the table under “Summary —Offered Certificates”.

The initial Class Principal Amounts of each class may be increased or decreased by up to 5% to the extent that the Stated Principal Balance of the Mortgage Loans is increased or decreased as described at “Description of the Mortgage Pool.”  In addition, percentages and dollar figures set forth in this prospectus supplement are subject to a variance of plus or minus 5%.

The Offered Certificates will be issued in minimum denominations in principal amounts of $100,000 and integral multiples of $1 in excess thereof.  

The Certificates represent beneficial ownership interests in a trust fund (the “Trust Fund”), the assets of which on the Closing Date will consist primarily of (1) the Mortgage Loans; (2) such assets as from time to time are identified as deposited in respect of the Mortgage Loans in the Collection Account and the Distribution Account (see “The Pooling Agreement — Payments on Mortgage Loans; Deposits to Collection Account and Distribution Account” below); (3) property acquired by foreclosure of the Mortgage Loans or deed in lieu of foreclosure; (4) any applicable insurance policies; and (5) the distribution on and proceeds of all of the foregoing.  

Solely for purposes of determining distributions of interest and principal on the Senior Certificates, the Senior Certificates have been divided into the following payment groups (each a “Certificate Group”):

THE GROUP 1 CERTIFICATES: The Class A-1 Certificates are referred to herein as the “Group 1 Certificates.”  Distributions of interest and principal on the Class A-1 Certificates will be based primarily on interest and principal received on, or advanced with respect to, the Group 1 Mortgage Loans.

THE GROUP 2 CERTIFICATES: The Class A-2, Class A-3 and Class A-4 Certificates are referred to herein as the “Group 2 Certificates.”  Distributions of interest and principal on the Class A-2, Class A-3 and Class A-4 Certificates will be based primarily on interest and principal received on, or advanced with respect to, the Group 2 Mortgage Loans.

Distributions of interest and principal on the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 and the other Subordinate Classes will be based solely on interest and principal received on, or advanced with respect to, the Group 1 and Group 2 Mortgage Loans in the aggregate.

Distributions on the Certificates will be made by the Securities Administrator on the 25th day of each month, or if such day is not a Business Day, on the first Business Day thereafter commencing in February 2006 (each, a “Distribution Date”), to the persons in whose names such Certificates are registered on the Record Date.  For this purpose, a “Business Day” is any day other than (i) a Saturday or Sunday, or (ii) a day on which banking institutions in The City of New York, New York, the States of California, Texas, New Jersey and Minnesota or the city in which the Corporate Trust Office of the Trustee or Securities Administrator is located are authorized or obligated by law or executive order to be closed.  A “Record Date” with respect to any Distribution Date and the Offered Certificates for so long as they are in book-entry form is the Business Day immediately preceding that Distribution Date and the Record Date for any book-entry certificate that becomes a definitive certificate is the last Business Day of the month preceding the month of that Distribution Date.

Payments on each Distribution Date will be made by check mailed to the address of the holder of the certificate (the “Certificateholder”) entitled thereto as it appears on the applicable certificate register or, in the case of a Certificateholder who holds Certificates with an aggregate initial Class Principal Amount of $1,000,000 or more and who has so notified the Securities Administrator in writing in accordance with the Pooling Agreement, by wire transfer in immediately available funds to the account of such Certificateholder at a bank or other depository institution having appropriate wire transfer facilities; provided, however, that the final payment in retirement of the Certificates will be made only upon presentment and surrender of such Certificates at the Corporate Trust Office of the Securities Administrator.  See “— Book–Entry Certificates” below for the method of payment to Beneficial Owners of Book-Entry Certificates.

Book-Entry Certificates

The Offered Certificates will be book-entry certificates (the “Book-Entry Certificates”).  Persons acquiring beneficial ownership interests in the Book-Entry Certificates (“Certificate Owner”) will hold such certificates through The Depository Trust Company (“DTC”) in the United States, or Clearstream Banking Luxembourg, formerly known as Cedelbank SA (“Clearstream”) or Euroclear (in Europe) if they are participants of such systems, or indirectly through organizations which are participants in such systems.  The Book-Entry Certificates will be issued in one or more certificates that equal the aggregate Certificate Principal Balance of such certificates and will initially be registered in the name of Cede & Co., the nominee of DTC.  Clearstream and Euroclear will hold omnibus positions on behalf of their participants through customers’ securities accounts in Clearstream’s and Euroclear’s names on the books of their respective depositaries which in turn will hold such positions in customers’ securities accounts in the depositaries’ names on the books of DTC.  Citibank will act as depositary for Clearstream and JPMorgan Chase Bank, N.A. will act as depositary for Euroclear (in such capacities, individually the “Relevant Depositary” and collectively the “European Depositaries”).  Investors may hold such beneficial interests in the Book-Entry Certificates in the minimum denominations described above under “—General.”  Except as described below, no person acquiring a Book-Entry Certificate (each, a “beneficial owner”) will be entitled to receive a physical certificate representing such certificate (a “Definitive Certificate”).  Unless and until Definitive Certificates are issued, it is anticipated that the only certificateholder of the Offered Certificates will be Cede & Co., as nominee of DTC.  Certificate Owners will not be certificateholders as that term is used in the Pooling Agreement.  Certificate Owners are only permitted to exercise their rights indirectly through Participants and DTC.

The beneficial owner’s ownership of a Book-Entry Certificate will be recorded on the records of the brokerage firm, bank, thrift institution or other financial intermediary (each, a “Financial Intermediary”) that maintains the beneficial owner’s account for such purpose.  In turn, the Financial Intermediary’s ownership of such Book-Entry Certificate will be recorded on the records of DTC (or of a participating firm that acts as agent for the Financial Intermediary, whose interest will in turn be recorded on the records of DTC, if the beneficial owner’s Financial Intermediary is not a DTC participant and on the records of Clearstream or Euroclear, as appropriate).

Certificate Owners will receive all distributions of principal and of interest on the Book-Entry Certificates from the Securities Administrator through DTC and DTC participants.  While the Book-Entry Certificates are outstanding (except under the circumstances described below), under the rules, regulations and procedures creating and affecting DTC and its operations (the “Rules”), DTC is required to make book-entry transfers among Participants on whose behalf it acts with respect to the Book-Entry Certificates and is required to receive and transmit distributions of principal of, and interest on, the Book-Entry Certificates.  Participants and indirect participants with whom Certificate Owners have accounts with respect to Book-Entry Certificates are similarly required to make book-entry transfers and receive and transmit such distributions on behalf of their respective Certificate Owners.  Accordingly, although Certificate Owners will not possess certificates representing their respective interests in the Book-Entry Certificates, the Rules provide a mechanism by which Certificate Owners will receive distributions and will be able to transfer their interest.

Certificateholders will not receive or be entitled to receive certificates representing their respective interests in the Book-Entry Certificates, except under the limited circumstances described below.  Unless and until Definitive Certificates are issued, certificateholders who are not Participants may transfer ownership of Book-Entry Certificates only through Participants and indirect participants by instructing such Participants and indirect participants to transfer Book-Entry Certificates, by book-entry transfer, through DTC for the account of the purchasers of such Book-Entry Certificates, which account is maintained with their respective Participants.  Under the Rules and in accordance with DTC’s normal procedures, transfers of ownership of Book-Entry Certificates will be executed through DTC and the accounts of the respective Participants at DTC will be debited and credited.  Similarly, the Participants and indirect participants will make debits or credits, as the case may be, on their records on behalf of the selling and purchasing certificateholders.

Because of time zone differences, credits of securities received in Clearstream or Euroclear as a result of a transaction with a Participant will be made during subsequent securities settlement processing and dated the business day following the DTC settlement date.  Such credits or any transactions in such securities settled during such processing will be reported to the relevant Euroclear or Clearstream Participants on such business day.  Cash received in Clearstream or Euroclear as a result of sales of securities by or through a Clearstream Participant (as defined below) or Euroclear Participant (as defined below) to a DTC Participant will be received with value on the DTC settlement date but will be available in the relevant Clearstream or Euroclear cash account only as of the business day following settlement in DTC.

Transfers between Participants will occur in accordance with DTC rules.  Transfers between Clearstream Participants and Euroclear Participants will occur in accordance with their respective rules and operating procedures.

Cross-market transfers between persons holding directly or indirectly through DTC, on the one hand, and directly or indirectly through Clearstream Participants or Euroclear Participants, on the other, will be effected in DTC in accordance with DTC rules on behalf of the relevant European international clearing system by the Relevant Depositary; however, such cross market transactions will require delivery of instructions to the relevant European international clearing system by the counterparty in such system in accordance with its rules and procedures and within its established deadlines (European time).  The relevant European international clearing system will, if the transaction meets its settlement requirements, deliver instructions to the Relevant Depositary to take action to effect final settlement on its behalf by delivering or receiving securities in DTC, and making or receiving payment in accordance with normal procedures for same day funds settlement applicable to DTC.  Clearstream Participants and Euroclear Participants may not deliver instructions directly to the European Depositaries.

DTC, which is a New York-chartered limited purpose trust company, performs services for its participants, some of which (and/or their representatives) own DTC.  In accordance with its normal procedures, DTC is expected to record the positions held by each DTC participant in the Book-Entry Certificates, whether held for its own account or as a nominee for another person.  In general, beneficial ownership of Book-Entry Certificates will be subject to the Rules, as in effect from time to time.

Clearstream, 42 Avenue J.F. Kennedy, L-2967 Luxembourg, is a limited liability company incorporated under the laws of the Grand Duchy of Luxembourg.  Clearstream is a subsidiary of Clearstream International société anonyme, which was formed in January 2000 through the merger of Cedel International and Deutsche Börse Clearing, a subsidiary of Deutsche Börse AG.  In July 2002, Deutsche Börse AG acquired Cedel International and its 50 percent interest in Clearstream International stock.

Clearstream is registered as a bank in Luxembourg, and as such is subject to regulation by the Banque Central du Luxembourg, the Luxembourg Central Bank, and the Commission de Surveillance de Secteur Financier, the Luxembourg Commission for the Supervision of the Financial Sector.

Clearstream holds securities for its customers (“Clearstream Participants”) and facilitates the clearance and settlement of securities transactions by electronic book-entry transfers between their accounts.  Clearstream provides various services, including safekeeping, administration, clearance and settlement of internationally traded securities and securities lending and borrowing.  Clearstream also deals with domestic securities markets in several countries through established depository and custodial relationships.  Clearstream has established an electronic bridge with the Euroclear Operator in Brussels to facilitate settlement of trades between systems.

Clearstream’s customers are worldwide financial institutions including underwriters, securities brokers and dealers, banks, trust companies and clearing corporations.  Clearstream’s United States customers are limited to securities brokers and dealers and banks.  Currently, Clearstream has approximately 2,500 customers located in over 94 countries, including all major European countries, Canada, and the United States.  Indirect access to Clearstream is available to other institutions which clear through or maintain a custodial relationship with an account holder of Clearstream.

The Euroclear System (“Euroclear”) was created in 1968 to hold securities for its participants (“Euroclear Participants”) and to clear and settle transactions between Euroclear Participants through simultaneous electronic book-entry delivery against payment, thereby eliminating the need for physical movement of certificates and any risk from lack of simultaneous transfers of securities and cash.  Transactions may be settled in multiple currencies, including United States dollars.  Euroclear includes various other services, including securities lending and borrowing and interfaces with domestic markets in several countries generally similar to the arrangements for cross-market transfers with DTC described above.  Euroclear is operated by Euroclear Bank S.A./N.V. (the “Euroclear Operator”), under contract with Euroclear Clearance System plc, a United Kingdom corporation (the “Euroclear Clearance System”).  All operations are conducted by the Euroclear Operator, and all Euroclear securities clearance accounts and Euroclear cash accounts are accounts with the Euroclear Operator, not the Euroclear Clearance System.  The Euroclear Clearance System establishes policy for Euroclear on behalf of Euroclear Participants.  Euroclear Participants include banks (including central banks), securities brokers and dealers and other professional financial intermediaries.  Indirect access to Euroclear is also available to other firms that clear through or maintain a custodial relationship with a Euroclear Participant, either directly or indirectly.

The Euroclear Operator is registered as a bank in Belgium, and as such is subject to the supervision of the National Bank of Belgium and the Belgian Banking and Finance Commission.

Securities clearance accounts and cash accounts with the Euroclear Operator are governed by the Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the Euroclear System and applicable Belgian law (collectively, the “Terms and Conditions”).  The Terms and Conditions govern transfers of securities and cash within Euroclear, withdrawals of securities and cash from Euroclear, and receipts of payments with respect to securities in Euroclear.  All securities in Euroclear are held on a fungible basis without attribution of specific certificates to specific securities clearance accounts.  The Euroclear Operator acts under the Terms and Conditions only on behalf of Euroclear Participants, and has no record of or relationship with persons holding through Euroclear Participants.

Distributions on the Book-Entry Certificates will be made on each Distribution Date by the Securities Administrator to DTC.  DTC will be responsible for crediting the amount of such payments to the accounts of the applicable DTC participants in accordance with DTC’s normal procedures.  Each DTC participant will be responsible for disbursing such payments to the beneficial owners of the Book-Entry Certificates that it represents and to each Financial Intermediary for which it acts as agent.  Each such Financial Intermediary will be responsible for disbursing funds to the beneficial owners of the Book-Entry Certificates that it represents.

Under a book-entry format, beneficial owners of the Book-Entry Certificates may experience some delay in their receipt of payments, since such payments will be forwarded by the Securities Administrator to Cede & Co.  Distributions with respect to certificates held through Clearstream or Euroclear will be credited to the cash accounts of Clearstream Participants or Euroclear Participants in accordance with the relevant system’s rules and procedures, to the extent received by the Relevant Depositary.  Such distributions will be subject to tax reporting in accordance with relevant United States tax laws and regulations.  Because DTC can only act on behalf of Financial Intermediaries, the ability of a beneficial owner to pledge Book-Entry Certificates to persons or entities that do not participate in the Depository system, or otherwise take actions in respect of such Book-Entry Certificates, may be limited due to the lack of physical certificates for such Book-Entry Certificates.  In addition, issuance of the Book-Entry Certificates in book-entry form may reduce the liquidity of such certificates in the secondary market since certain potential investors may be unwilling to purchase certificates for which they cannot obtain physical certificates.

Monthly and annual reports on the Trust will be provided to Cede & Co., as nominee of DTC, and may be made available by Cede & Co. to beneficial owners upon request, in accordance with the rules, regulations and procedures creating and affecting the Depository, and to the Financial Intermediaries to whose DTC accounts the Book-Entry Certificates of such beneficial owners are credited.

DTC has advised the Securities Administrator that, unless and until Definitive Certificates are issued, DTC will take any action permitted to be taken by the holders of the Book-Entry Certificates under the Pooling Agreement only at the direction of one or more Financial Intermediaries to whose DTC accounts the Book-Entry Certificates are credited, to the extent that such actions are taken on behalf of Financial Intermediaries whose holdings include such Book-Entry Certificates.  Clearstream or the Euroclear Operator, as the case may be, will take any other action permitted to be taken by a certificateholder under the Pooling Agreement on behalf of a Clearstream Participant or Euroclear Participant only in accordance with its relevant rules and procedures and subject to the ability of the Relevant Depositary to effect such actions on its behalf through DTC.  DTC may take actions, at the direction of the related Participants, with respect to some Book-Entry Certificates which conflict with actions taken with respect to other Book-Entry Certificates.

Definitive Certificates will be issued to beneficial owners of the Book-Entry Certificates, or their nominees, rather than to DTC, only if (a) DTC or the Depositor advises the Securities Administrator in writing that DTC is no longer willing, qualified or able to discharge properly its responsibilities as nominee and depository with respect to the Book-Entry Certificates and the Depositor is unable to locate a qualified successor, or (b) after the occurrence of an Event of Default, beneficial owners having Percentage Interests aggregating not less than 51% of the Book-Entry Certificates advise the Securities Administrator and DTC through the Financial Intermediaries and the DTC participants in writing that the continuation of a book-entry system through DTC (or a successor thereto) is no longer in the best interests of beneficial owners.

Upon the occurrence of any of the events described in the immediately preceding paragraph, the Securities Administrator will be required to notify all beneficial owners of the occurrence of such event and the availability through DTC of Definitive Certificates.  Upon surrender by DTC of the global certificate or certificates representing the Book-Entry Certificates and instructions for re-registration, the Securities Administrator will issue Definitive Certificates, and thereafter the Securities Administrator will recognize the holders of such Definitive Certificates as certificateholders under the Pooling Agreement.

Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of Book-Entry Certificates among participants of DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform such procedures and such procedures may be discontinued at any time.  See “Annex I” to this prospectus supplement.

None of the Depositor, the Originator, the Seller, the Servicers, the Securities Administrator nor the Trustee will have any responsibility for any aspect of the records relating to or payments made on account of beneficial ownership interests of the Book-Entry Certificates held by Cede & Co., as nominee for DTC, or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests.

For a description of the procedures generally applicable to the Book-Entry Certificates, see “Description of the Securities — Book-Entry Registration of Securities” in the accompanying prospectus.

Glossary

The “Accrual Period” for the Offered Certificates for any Distribution Date will be the actual number of days (based on a 360-day year) included in the period commencing on the immediately preceding Distribution Date (or, in the case of the first such Accrual Period, commencing on the Closing Date) and ending on the day immediately preceding such Distribution Date.  

The “Administrative Fee” for any Distribution Date is the sum of the Servicing Fee, the Securities Administrator Fee, the Custodian Fee, the Trustee Fee and the Trust Oversight Manager Fee, each for such Distribution Date.

An “Allocated Realized Loss Amount” with respect to any class of Subordinate Certificates and any Distribution Date is an amount equal to the sum of (i) any Realized Loss allocated to that class of certificates on that Distribution Date and (ii) any Realized Loss allocated to that class of certificates on any previous Distribution Date that has not been reimbursed as reduced by an amount equal to the increase in the related Class Principal Amount due to the receipt of Subsequent Recoveries.

The “Class Principal Amount” of any Offered Certificate, Class M-10, Class M-11 or Class P Certificate immediately prior to any Distribution Date will be equal to the Class Principal Amount thereof on the Closing Date (the “Original Class Principal Amount”) reduced by the sum of (a) all amounts actually distributed in respect of principal of such class and (b) with respect to the Subordinate Certificates, any reductions in the Class Principal Amount thereof deemed to have occurred in connection with allocations of Realized Losses on all prior Distribution Dates.  The Class Principal Amount of the Subordinate Certificates with respect to which there is an unpaid Allocated Realized Loss Amount may be increased by the amount of any Subsequent Recoveries as set forth in the Pooling Agreement.

The “Class A Principal Distribution Amount” is an amount equal to the excess of (x) the aggregate Class Principal Amount of the Senior Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 49.60% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-1 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (2) the Class Principal Amount of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 57.60% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-2 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (3) the Class Principal Amount of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 64.90% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-3 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (4) the Class Principal Amount of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 69.30% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-4 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (5) the Class Principal Amount of the Class M-4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 73.30% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-5 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) and (6) the Class Principal Amount of the Class M-5 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 76.80% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-6 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (6) the Class Principal Amount of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date) and (7) the Class Principal Amount of the Class M-6 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 80.00% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-7 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (6) the Class Principal Amount of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (7) the Class Principal Amount of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date) and (8) the Class Principal Amount of the Class M-7 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 83.10% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-8 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (6) the Class Principal Amount of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (7) the Class Principal Amount of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (8) the Class Principal Amount of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date) and (9) the Class Principal Amount of the Class M-8 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 85.90% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-9 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (6) the Class Principal Amount of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (7) the Class Principal Amount of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (8) the Class Principal Amount of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (9) the Class Principal Amount of the Class M-8 Certificates (after taking into account the payment of the Class M-8 Principal Distribution Amount on such Distribution Date) and (10) the Class Principal Amount of the Class M-9 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 88.10% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-10 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (6) the Class Principal Amount of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (7) the Class Principal Amount of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (8) the Class Principal Amount of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (9) the Class Principal Amount of the Class M-8 Certificates (after taking into account the payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (10) the Class Principal Amount of the Class M-9 Certificates (after taking into account the payment of the Class M-9 Principal Distribution Amount on such Distribution Date) and (11) the Class Principal Amount of the Class M-10 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 90.50% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

The “Class M-11 Principal Distribution Amount” is an amount equal to, with respect to any Distribution Date, the excess of (x) the sum of (1) the aggregate Class Principal Amount of the Senior Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (2) the Class Principal Amount of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (3) the Class Principal Amount of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (4) the Class Principal Amount of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (5) the Class Principal Amount of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (6) the Class Principal Amount of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (7) the Class Principal Amount of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (8) the Class Principal Amount of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (9) the Class Principal Amount of the Class M-8 Certificates (after taking into account the payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (10) the Class Principal Amount of the Class M-9 Certificates (after taking into account the payment of the Class M-9 Principal Distribution Amount on such Distribution Date), (11) the Class Principal Amount of the Class M-10 Certificates (after taking into account the payment of the Class M-10 Principal Distribution Amount on such Distribution Date) and (12) the Class Principal Amount of the Class M-11 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (1) approximately 92.60% and (2) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period minus the Overcollateralization Floor.

A Mortgage Loan is “Delinquent” if any monthly payment due on a Due Date is not made by the close of business on the next scheduled Due Date for such Mortgage Loan.  A Mortgage Loan is “30 days Delinquent” if such monthly payment has not been received by the close of business on the corresponding day of the month immediately succeeding the month in which such monthly payment was due or, if there was no such corresponding day (e.g., as when a 30-day month follows a 31-day month in which a payment was due on the 31st day of such month), then on the last day of such immediately succeeding month; and similarly for “60 days Delinquent” and “90 days Delinquent,” etc.  

A “Due Period” with respect to any Distribution Date is the period commencing 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.

The “Group 1 Basic Principal Distribution Amount” with respect to any Distribution Date is the excess of (i) the Group 1 Principal Remittance Amount for such Distribution Date over (ii) the Overcollateralization Release Amount, if any, for such Distribution Date multiplied by the Group 1 Percentage.

The “Group 1 Interest Remittance Amount” with respect to any Distribution Date is that portion of the Available Funds for such Distribution Date attributable to interest received or advanced with respect to the Group 1 Mortgage Loans and Compensating Interest paid by the Servicer with respect to the Group 1 Mortgage Loans.

The “Group 1 Percentage” is an amount equal to, with respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the Group 1 Principal Remittance Amount for such Distribution Date and the denominator of which is the Principal Remittance Amount for such Distribution Date.

The “Group 1 Principal Distribution Amount” with respect to any Distribution Date is sum of (i) the Group 1 Basic Principal Distribution Amount for such Distribution Date and (ii) the Overcollateralization Increase Amount for such Distribution Date multiplied by the Group 1 Percentage.

The “Group 1 Principal Remittance Amount” means, with respect to any Distribution Date, the portion of the Principal Remittance Amount for such Distribution Date derived from the Group 1 Mortgage Loans.

The “Group 1 Senior Principal Distribution Amount” is an amount equal to Class A Principal Distribution Amount multiplied by the Group 1 Percentage.

The “Group 2 Basic Principal Distribution Amount” with respect to any Distribution Date is the excess of (i) the Group 2 Principal Remittance Amount for such Distribution Date over (ii) the Overcollateralization Release Amount, if any, for such Distribution Date multiplied by the Group 2 Percentage.

The “Group 2 Interest Remittance Amount” with respect to any Distribution Date is that portion of the Available Funds for such Distribution Date attributable to interest received or advanced with respect to the Group 2 Mortgage Loans and Compensating Interest paid by the Servicer with respect to the Group 2 Mortgage Loans.

The “Group 2 Percentage” is an amount equal to, with respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the Group 2 Principal Remittance Amount for such Distribution Date and the denominator of which is the Principal Remittance Amount for such Distribution Date.

The “Group 2 Principal Distribution Amount” with respect to any Distribution Date is sum of (i) the Group 2 Basic Principal Distribution Amount for such Distribution Date and (ii) the Overcollateralization Increase Amount for such Distribution Date multiplied by the Group 2 Percentage.

The “Group 2 Principal Remittance Amount” means, with respect to any Distribution Date, the portion of the Principal Remittance Amount for such Distribution Date derived from the Group 2 Mortgage Loans.

The “Group 2 Senior Principal Distribution Amount” is an amount equal to the Class A Principal Distribution Amount multiplied by the Group 2 Percentage.

The “Interest Remittance Amount” with respect to any Distribution Date is that portion of the Available Funds for such Distribution Date attributable to interest received or advanced with respect to the Mortgage Loans and Compensating Interest paid by the Servicer with respect to the Mortgage Loans.

The “Monthly Interest Distributable Amount” for any Distribution Date and each class of Offered, Class M-10 and Class M-11 Certificates will equal the amount of interest accrued during the related Accrual Period at the related Certificate Interest Rate on the Class Principal Amount for such Distribution Date, reduced by any Net Prepayment Interest Shortfalls and Relief Act Interest Shortfalls allocated to such class (allocated to each class based on its respective entitlements to interest irrespective of any Net Prepayment Interest Shortfalls or Relief Act Interest Shortfalls for such Distribution Date).

The “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 Funds for such Distribution Date over (y) the sum for such Distribution Date of (A) the Monthly Interest Distributable Amounts for the Offered Certificates, the Class M-10 Certificates and the Class M-11 Certificates, (B) the Unpaid Interest Shortfall Amounts for the Senior Certificates and (C) the Principal Remittance Amount.

An “Overcollateralization Deficiency Amount” with respect to any Distribution Date equals the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralized Amount on such Distribution Date (after giving effect to distributions in respect of the aggregate Principal Remittance Amount on such Distribution Date).

The “Overcollateralization Floor” with respect to any Distribution Date is an amount equal to the product of (i) 0.50% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-off Date.

The “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.

The “Overcollateralization Release Amount” means, with respect to any Distribution Date, the lesser of (x) the Principal Remittance Amount for such Distribution Date and (y) the excess, if any, of (1) the Overcollateralized Amount for such Distribution Date over (2) the Overcollateralization Target Amount for such Distribution Date.

The “Overcollateralization Target Amount” means with respect to any Distribution Date (1) prior to the Stepdown Date, approximately 3.70% of the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-off Date, (2) on or after the Stepdown Date provided a Trigger Event is not in effect, the greater of (x) 7.40% of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period and (y) the Overcollateralization Floor , and (3) on or after the Stepdown Date if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date.

The “Overcollateralized Amount” for any Distribution Date is the amount, if any, by which (x) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period exceeds (y) the sum of the aggregate Class Principal Amount of the Offered Certificates, the Class M-10 Certificates, the Class M-11 Certificates and the Class P Certificates as of such Distribution Date (assuming that 100% of the Principal Remittance Amount is applied as a principal payment on such Distribution Date).  Initially, the Overcollateralized Amount will be approximately 3.70% of the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-off Date, which is approximately $37,459,165.57.

The “Prepayment Period” for any Distribution Date and any principal prepayment in full received on a Mortgage Loan, is the period that (a) commences on and includes the day immediately following the Determination Date falling in the month immediately preceding the month in which such Distribution Date occurs and (b) ends on and includes the Determination Date falling in the month in which such Distribution Date occurs.  The Prepayment Period for any Distribution Date and any principal prepayment in part received on a Mortgage Loan, is the calendar month preceding that Distribution Date.

The “Principal Distribution Amount” means with respect to any Distribution Date the sum of the Group 1 Principal Distribution Amount and the Group 2 Principal Distribution Amount, in each case, for such Distribution Date.

The “Principal Remittance Amount” means with respect to any Distribution Date, that portion of Available Funds equal to the sum of (i) all scheduled payments of principal collected or advanced on the Mortgage Loans by the Servicer that were due during the related Due Period, (ii) the principal portion of all partial and full principal prepayments of the Mortgage Loans applied by the Servicer during the related Prepayment Period, (iii) the principal portion of all related Net Liquidation Proceeds, Subsequent Recoveries, condemnation proceeds and insurance proceeds received during the calendar month preceding the month of such Distribution Date, (iv) that portion of the Purchase Price, representing principal of any repurchased Mortgage Loan, deposited to the Collection Account during the calendar month preceding the month of such Distribution Date, (v) the principal portion of any related Substitution Adjustments deposited in the Collection Account during the calendar month preceding the month of such Distribution Date, and (vi) on the Distribution Date on which the Trust is to be terminated in accordance with the Pooling Agreement, that portion of the Termination Price, in respect of principal.

A “Realized Loss” means, with respect to any defaulted Mortgage Loan that is finally liquidated (a “Liquidated Mortgage Loan”), the amount of loss realized equal to the portion of the Stated Principal Balance remaining unpaid after application of all liquidation proceeds net of amounts reimbursable to the Servicer for related Advances, Servicing Advances, Servicing Fees and liquidation expenses (such amount, the “Net Liquidation Proceeds”) in respect of such Mortgage Loan.  If the Servicer receives any Subsequent Recoveries with respect to any Mortgage Loan, the amount of the Realized Loss with respect to that Mortgage Loan will be deemed reduced to the extent such recoveries are included in the Principal Remittance Amount on any Distribution Date.

The “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 Subordinate Certificates (after giving effect to the distribution of the 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 Mortgage Loans as of the last day of the related Due Period.

The “Stated Principal Balance” of a Mortgage Loan at any Due Date is equal to the unpaid principal balance of such Mortgage Loan as of the Cut-off Date as specified in the mortgage loan schedule less any amounts received representing payments or recoveries of principal or advances in lieu thereof.

The “Stepdown Date” means the earlier to occur of (1) the Distribution Date on which the aggregate Class Principal Amount of the Senior Certificates has been reduced to zero and (2) the later to occur of (x) the Distribution Date occurring February 2009 and (y) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to 50.40% (for the purpose of this definition only, the Senior Enhancement Percentage shall be calculated prior to the distribution of Principal Distribution Amount on the Subordinate Certificates).

“Subsequent Recoveries” are, in the case of any Distribution Date, unexpected amounts received by the Servicer (net of any related reimbursable expenses) specifically related to a Mortgage Loan as to which a Realized Loss was incurred in connection with a final liquidation of such Mortgage Loan occurring prior to the related Prepayment Period for such Distribution Date.  It is not expected that there will be any material amount of Subsequent Recoveries.

A “Trigger Event” is in effect with respect to any Distribution Date on or after the Stepdown Date if either (i) the percentage obtained by dividing (x) the aggregate Stated Principal Balance of the 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 aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the previous calendar month exceeds 31.75% of the Senior Enhancement Percentage for such Distribution Date or (ii) the cumulative Realized Losses (after reduction for all Subsequent Recoveries received from the Cut-off Date through the last day of the related Due Period) as a percentage of the original aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-off Date is greater than the percentage set forth in the following table:

Range of Distribution Dates

Percentage

February 2008 – January 2009

1.60%

February 2009 – January 2010

3.55%

February 2010 – January 2011

5.50%

February 2011 – January 2012

7.10%

February 2012 and thereafter

7.90%

_____________________

*

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 a range increases incrementally by 1/12th of the positive difference between the percentage applicable to the first Distribution Date in that range and the percentage applicable to the first Distribution Date in the succeeding range

The “Unpaid Interest Shortfall Amount” means (i) for the first Distribution Date and with respect to the Senior Certificates and the Subordinate Certificates, zero, and (ii) for such class of certificates and any Distribution Date after the first Distribution Date, the amount, if any, by which (a) the sum of (1) the Monthly Interest Distributable Amount for such class of certificates for the immediately preceding Distribution Date and (2) the outstanding Unpaid Interest Shortfall Amount, if any, for such class of certificates for such preceding Distribution Date exceeds (b) the aggregate amount distributed on such class of certificates in respect of interest on such preceding Distribution Date, plus interest on the amount of interest due but not paid on the class of certificates on such preceding Distribution Date, to the extent permitted by law, at the Certificate Interest Rate on such Distribution Date for such class of certificates for the related Accrual Period.

The “Unpaid Realized Loss Amount” means for any class of Subordinate Certificates, the portion of the aggregate Allocated Realized Loss Amount previously allocated to that class remaining unpaid from prior Distribution Dates.

Allocation of Available Funds

Distributions to holders of each class of Offered Certificates will be made on each Distribution Date from Available Funds.  With respect to any Distribution Date, “Available Funds” will be equal to the sum of the following amounts with respect to the Mortgage Loans, net of amounts reimbursable therefrom to the Servicer, the Securities Administrator, the Custodian, the Trust Oversight Manager and the Trustee in respect of expenses and indemnification as described in the Pooling Agreement and amounts reimbursable to the Swap Provider (including any Net Swap Payment and any amount, if any, owed by the supplemental interest trust to the Swap Provider upon a Swap Early Termination (the “Swap Termination Payment ”) owed to the Swap Provider but excluding any Swap Termination Payment owed to the Swap Provider resulting from any Swap Termination Payment that is triggered upon: (i) an Event of Default under the Interest Rate Swap Agreement with respect to which the Swap Provider is a Defaulting Party (as defined in the Interest Rate Swap Agreement), (ii) a Termination Event under the Interest Rate Swap Agreement with respect to which the Swap Provider is the sole Affected Party (as defined in the Interest Rate Swap Agreement) or (iii) an Additional Termination Event under the Interest Rate Swap Agreement with respect to which the Swap Provider is the sole Affected Party (“Swap Provider Trigger Event”):

·

the aggregate amount of scheduled monthly payments on the Mortgage Loans due during the related Due Period and received by the related Determination Date, after deduction of the Servicing Fee, the Custodian Fee, the Trust Oversight Management Fee and the Securities Administration Fee for such Distribution Date and any accrued and unpaid Servicing Fees in respect of any prior Distribution Dates;

·

unscheduled full and partial prepayments for such Mortgage Loans occurring during the related Prepayment Period (excluding prepayment premiums) and insurance proceeds, condemnation proceeds, Net Liquidation Proceeds, Subsequent Recoveries and proceeds from repurchases of and substitutions for such Mortgage Loans occurring during the calendar month preceding the month of such Distribution Date; and

·

payments from the Servicer in connection with Advances and Compensating Interest for such Distribution Date.

The holders of the Class P Certificates will be entitled to all prepayment premiums received on the Mortgage Loans and such amounts will not be available for distribution to the holders of the Offered Certificates.

Distributions of Interest

On each Distribution Date the Securities Administrator will withdraw from the Distribution Account that portion of Available Funds, after paying itself the Securities Administrator Fee and paying the Custodian the Custodian Fee and the Trust Oversight Manager the Trust Oversight Management Fee, for such Distribution Date consisting of the Interest Remittance Amount for such Distribution Date, and make the following disbursements and transfers in the order of priority described below, in each case to the extent of the Interest Remittance Amount remaining for such Distribution Date.

1.

concurrently, to the holders of the Senior Certificates, the related Monthly Interest Distributable Amount for each such class for such Distribution Date, on a pro rata basis, based on the entitlement of each such class pursuant to this Clause 1. and applied in accordance with the allocation rules set forth below;

2.

concurrently, to the holders of the Senior Certificates, the related Unpaid Interest Shortfall Amount, if any, for each such class for each such Distribution Date, on a pro rata basis based on the entitlement of each such class pursuant to this Clause 2. and applied in accordance with the allocation rules set forth below;

3.

to the holders of the Class M-1 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

4.

to the holders of the Class M-2 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

5.

to the holders of the Class M-3 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

6.

to the holders of the Class M-4 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

7.

to the holders of the Class M-5 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

8.

to the holders of the Class M-6 Certificates, the Monthly Interest Distributable Amount allocable to such certificates.

9.

to the holders of the Class M-7 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

10.

to the holders of the Class M-8 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

11.

to the holders of the Class M-9 Certificates, the Monthly Interest Distributable Amount allocable to such certificates;

12.

to the holders of the Class M-10 Certificates, the Monthly Interest Distributable Amount allocable to such certificates; and

13.

to the holders of the Class M-11 Certificates, the Monthly Interest Distributable Amount allocable to such certificates.

The Interest Remittance Amount distributed pursuant to Clauses 1. and 2. above will be applied to the Senior Certificates as follows:

1.

amounts distributed to the Class A-1 Certificates will reduce the Group 1 Interest Remittance Amount before any reduction to the Group 2 Interest Remittance Amount in respect of such distribution; and

2.

amounts distributed to the Class A-2, Class A-3 and Class A-4 Certificates will reduce the Group 2 Interest Remittance Amount before any reduction to the Group 1 Interest Remittance Amount in respect of such distribution.

Any Interest Remittance Amounts remaining undistributed following these distributions will be used in determining the amount of Net Monthly Excess Cashflow, if any, for such Distribution Date.  On any Distribution Date, any Relief Act Interest Shortfalls and any Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the Servicer will first reduce Net Monthly Excess Cashflow as provided under “–Overcollateralization Provisions” and then reduce the Monthly Interest Distributable Amounts with respect to the Offered Certificates, the Class M-10 Certificates and the Class M-11 Certificates on a pro rata basis based on the respective amounts of interest accrued on such certificates for such Distribution Date.

Distributions of Principal

A.

On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, the Securities Administrator will withdraw from the Distribution Account that portion of Available Funds equal to the Group 1 Principal Distribution Amount for such Distribution Date, and make the following disbursements and transfers in the order of priority described below, in each case to the extent of the Group 1 Principal Distribution Amount remaining for such Distribution Date:

1.

to the holders of the Group 1 Certificates, until the Class Principal Amount thereof has been reduced to zero; and

2.

to the holders of the Group 2 Certificates, allocated as provided below, until the Class Principal Amounts thereof have been reduced to zero.

B.

On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, the Securities Administrator will withdraw from the Distribution Account that portion of Available Funds equal to the Group 2 Principal Distribution Amount for such Distribution Date, and make the following disbursements and transfers in the order of priority described below, in each case to the extent of the Group 2 Principal Distribution Amount remaining for such Distribution Date:

1.

to the holders of the Group 2 Certificates, allocated as provided below, until the Class Principal Amounts thereof have been reduced to zero; and

2.

to the holders of the Group 1 Certificates, until the Class Principal Amount thereof has been reduced to zero.

C.

On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, the Securities Administrator will withdraw from the Distribution Account that portion of Available Funds equal to the remaining Group 1 Principal Distribution Amount and the Group 2 Principal Distribution Amount for such Distribution Date, and make the following disbursements and transfers in the order of priority described below:

1.

to the holders of the Class M-1 Certificates, until the Class Principal Amount thereof has been reduced to zero;

2.

to the holders of the Class M-2 Certificates, until the Class Principal Amount thereof has been reduced to zero;

3.

to the holders of the Class M-3 Certificates, until the Class Principal Amount thereof has been reduced to zero;

4.

to the holders of the Class M-4 Certificates, until the Class Principal Amount thereof has been reduced to zero;

5.

to the holders of the Class M-5 Certificates, until the Class Principal Amount thereof has been reduced to zero;

6.

to the holders of the Class M-6 Certificates, until the Class Principal Amount thereof has been reduced to zero;

7.

to the holders of the Class M-7 Certificates, until the Class Principal Amount thereof has been reduced to zero;

8.

to the holders of the Class M-8 Certificates, until the Class Principal Amount thereof has been reduced to zero;

9.

to the holders of the Class M-9 Certificates, until the Class Principal Amount thereof has been reduced to zero;

10.

to the holders of the Class M-10 Certificates, until the Class Principal Amount thereof has been reduced to zero; and

11.

to the holders of the Class M-11 Certificates, until the Class Principal Amount thereof has been reduced to zero.

D.

On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the holders of each Group 1 Principal Distribution Amount will be distributed in the following amounts and order of priority:

1.

the holders of the Group 1 Certificates, allocated as provided below, the Group 1 Senior Principal Distribution Amount until the Class Principal Amounts thereof have been reduced to zero; and

2.

to the holders of each class of Group 2 Certificates, allocated as provided below, an amount equal to the excess, if any, of (x) the amount required to be distributed pursuant to clause E.1. below for such Distribution Date over (y) the amount actually distributed pursuant to clause E.1. below from the Group 2 Principal Distribution Amount on such Distribution Date.

E.

On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the Group 2 Principal Distribution Amount will be distributed in the following order of priority:

1.

to the holders of each class of the Group 2 Certificates, allocated as provided below, the Group 2 Senior Principal Distribution Amount, until the Class Principal Amount thereof has been reduced to zero; and

2.

to the holders of each class of the Group 1 Certificates, allocated as provided below, an amount equal to the excess, if any, of (x) the amount required to be distributed pursuant to clause D.1. above for such Distribution Date over (y) the amount actually distributed pursuant to clause D.1. below from the Group 1 Principal Distribution Amount on such Distribution Date.

F.

On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, any remaining Group 1 Principal Distribution amount and Group 2 Principal Distribution Amount will be distributed in the following order of priority:

1.

to the holders of the Class M-1 Certificates, the Class M-1 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

2.

to the holders of the Class M-2 Certificates, the Class M-2 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

3.

to the holders of the Class M-3 Certificates, the Class M-3 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

4.

to the holders of the Class M-4 Certificates, the Class M-4 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

5.

to the holders of the Class M-5 Certificates, the Class M-5 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

6.

to the holders of the Class M-6 Certificates, the Class M-6 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

7.

to the holders of the Class M-7 Certificates, the Class M-7 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

8.

to the holders of the Class M-8 Certificates, the Class M-8 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

9.

to the holders of the Class M-9 Certificates, the Class M-9 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero;

10.

to the holders of the Class M-10 Certificates, the Class M-10 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero; and

11.

to the holders of the Class M-11 Certificates, the Class M-11 Principal Distribution Amount for such Distribution Date until the Class Principal Amount thereof has been reduced to zero.

With respect to the Group 2 Certificates, distributions of principal will be made sequentially to the Class A-2, Class A-3 and Class A-4 Certificates, in that order, until the Class Principal Amounts thereof have been reduced to zero; provided, however, that on any Distribution Date after the aggregate Class Principal Amount of the Subordinate Certificates has been reduced to zero, distributions of principal to the Class A-2, Class A-3 and Class A-4 Certificates will be made pro rata to such Classes based on their respective Class Principal Amounts.


Credit Enhancement

The credit enhancement provided for the benefit of the holders of the Offered Certificates consists of subordination, overcollateralization, excess interest and the Interest Rate Swap Agreement.  

The rights of the holders of the Subordinate Certificates to receive distributions will be subordinated, to the extent described in this prospectus supplement, to the rights of the holders of the Senior Certificates.  This subordination is intended to enhance the likelihood of regular receipt by the holders of the Senior Certificates of the full amount of their scheduled monthly payments of interest and principal, as applicable, and to afford such holders protection against Realized Losses.

The protection afforded to the holders of the Senior Certificates by means of the subordination of the Subordinate Certificates will be accomplished by the preferential right of the holders of the Senior Certificates to receive on any Distribution Date, prior to distribution on the Subordinate Certificates, distributions in respect of interest and principal, as applicable.

In addition, the rights of the holders of the Subordinate Certificates with lower payment priorities will be junior to the rights of holders of the Subordinate Certificates with higher payment priorities, and the rights of the holders of the Subordinate Certificates to receive distributions in respect of the Mortgage Loans will be senior to the rights of the holders of the Class C Certificates to the extent described in this prospectus supplement.  This subordination is intended to enhance the likelihood of regular receipt by the more senior classes of certificates of distributions in respect of interest and principal and to afford such classes protection against Realized Losses.

Overcollateralization Provisions

The weighted average net Mortgage Rate for the Mortgage Loans is generally expected to be higher than the weighted average of the Certificate Interest Rates on the Offered Certificates, the Class M-10 Certificates and the Class M-11 Certificates.  As a result, interest collections on the Mortgage Loans are expected to be generated in excess of the amount of interest payable to the Offered Certificates, the Class M-10 Certificates and the Class M-11 Certificates and the fees and expenses payable by the Trust and Supplemental Interest Trust (including any Net Swap Payment owed to the Swap Provider and any Swap Termination Payment owed to the Swap Provider, other than any Swap Termination Payment resulting from a Swap Provider Trigger Event).  The Pooling Agreement requires that on each Distribution Date, the Net Monthly Excess Cashflow, if any, be applied on such Distribution Date as an accelerated payment of principal on the class or classes of Offered Certificates, Class M-10 Certificates and Class M-11 Certificates then entitled to receive distributions in respect of principal, but only to the limited extent hereafter described.

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

1.

to the holders of the class or classes of Offered Certificates, the Class M-10 and Class M-11 Certificates then entitled to receive distributions in respect of principal, in an amount equal to the principal portion of any Realized Losses experienced on the Mortgage Loans during the preceding month, payable to such holders as part of the Principal Distribution Amount;

2.

to the holders of the class or classes of Offered Certificates, the Class M-10 Certificates and Class M-11 Certificates then entitled to receive distributions in respect of principal, in an amount equal to any Overcollateralization Increase Amount (without taking into account amounts, if any, received under the Interest Rate Swap Agreement), payable to such holders as part of the Principal Distribution Amount as described under “—Allocation of Available Funds— Distributions of Principal” above;

3.

to the holders of the Class M-1 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

4.

to the holders of the Class M-2 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

5.

to the holders of the Class M-3 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

6.

to the holders of the Class M-4 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

7.

to the holders of the Class M-5 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

8.

to the holders of the Class M-6 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

9.

to the holders of the Class M-7 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

10.

to the holders of the Class M-8 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

11.

to the holders of the Class M-9 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

12.

to the holders of the Class M-10 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

13.

to the holders of the Class M-11 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount allocable to such class;

14.

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

15.

to the holders of the Class M-1 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

16.

to the holders of the Class M-2 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

17.

to the holders of the Class M-3 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

18.

to the holders of the Class M-4 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

19.

to the holders of the Class M-5 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls a, if any;

20.

to the holders of the Class M-6 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

21.

to the holders of the Class M-7 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

22.

to the holders of the Class M-8 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

23.

to the holders of the Class M-9 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

24.

to the holders of the Class M-10 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

25.

to the holders of the Class M-11 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any;

26.

to the Net WAC Reserve Fund for distribution to the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates, an amount equal to any Net WAC Rate Carryover Amount for the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates for such Distribution Date (without taking into account amounts, if any, received under the Interest Rate Swap Agreement that are available to pay any Net WAC Rate Carryover Amounts on such Distribution Date);

27.

concurrently, to the holders of the Senior Certificates, pro rata, in an amount equal to each such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

28.

to the holders of the Class M-1 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

29.

to the holders of the Class M-2 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

30.

to the holders of the Class M-3 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

31.

to the holders of the Class M-4 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

32.

to the holders of the Class M-5 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls a, if any;

33.

to the holders of the Class M-6 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

34.

to the holders of the Class M-7 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

35.

to the holders of the Class M-8 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

36.

to the holders of the Class M-9 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

37.

to the holders of the Class M-10 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

38.

to the holders of the Class M-11 Certificates, in an amount equal to such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any;

39.

to the Securities Administrator, the Custodian, the Trust Oversight Manager or the Trustee in respect of any unreimbursed expenses and indemnifications owing thereto;

40.

sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in that order, any related Allocated Realized Loss Amount allocable to such class not previously reimbursed;

41.

to the Swap Provider, any Swap Termination Payments resulting from a Swap Provider Trigger Event;

42.

to the holders of the Class C Certificates as provided in the Pooling Agreement; and

43.

to the holders of the Residual Certificates, any remaining amounts.

On each Distribution Date, after making the distributions of the Available Funds as described above, the Securities Administrator will withdraw from the Net WAC Reserve Fund the amount deposited therein pursuant to subclause 26. above and will distribute these amounts to the holders of the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates in the same order of priority as the Monthly Interest Distributable Amount is allocated to such classes of certificates.

On each Distribution Date, Securities Administrator will withdraw from the Distribution Account all amounts representing prepayment premiums in respect of the Mortgage Loans received during the related Prepayment Period and will distribute these amounts to the holders of the Class P Certificates.  On the first Distribution Date immediately following the expiration of the latest prepayment premium term with respect to the Mortgage Loans and if funds are available on such date, the Class P Certificates shall be entitled to its outstanding Class Principal Amount prior to any distributions of Net Monthly Excess Cashflow on such Distribution Date.

Allocation of Losses; Subordination

Any Realized Losses on the Mortgage Loans will be allocated on any Distribution Date, first, to any excess interest that may be payable on the Class C Certificates, second, to the Overcollateralized Amount, third, to Net Swap Payments received under the Interest Rate Swap Agreement, fourth, to the Class M-11 Certificates, fifth, to the Class M-10 Certificates, sixth, to the Class M-9 Certificates, seventh, to the Class M-8 Certificates, eighth, to the Class M-7 Certificates, ninth, to the Class M-6 Certificates, tenth, to the Class M-5 Certificates, eleventh, to the Class M-4 Certificates, twelfth, to the Class M-3 Certificates, thirteenth, to the Class M-2 Certificates and fourteenth, to the Class M-1 Certificates, in each instance until their Class Principal Amounts are reduced to zero.

The Pooling Agreement does not permit the allocation of Realized Losses to the Senior Certificates or the Class P Certificates. Investors in the Senior Certificates should note that although Realized Losses cannot be allocated to such Certificates, under certain loss scenarios there may not be enough interest and principal on the Mortgage Loans to distribute to the Senior Certificates all interest and principal amounts to which they are then entitled.

Once Realized Losses have been allocated to the Subordinate Certificates, such amounts with respect to such Certificates will no longer accrue interest nor will such amounts be reinstated thereafter (except to the extent of Subsequent Recoveries as set forth in the Pooling Agreement).  However, Allocated Realized Loss Amounts may be paid to the holders of the Subordinate Certificates from Net Monthly Excess Cashflow, according to the priorities set forth under “—Overcollateralization Provisions” above or from the Swap Account, according to the priorities set forth under The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” below.

Any allocation of a Realized Loss to a Certificate will be made by reducing the Class Principal Amount thereof by the amount so allocated as of the Distribution Date in the month following the calendar month in which such Realized Loss was incurred.  Notwithstanding anything to the contrary described herein, in no event will the Class Principal Amount of any Certificate be reduced more than once in respect of any particular amount both (i) allocable to such Certificate in respect of Realized Losses and (ii) distributable as principal to the holder of such Certificate from Net Monthly Excess Cashflow.

Certificate Interest Rates

The “Certificate Interest Rate” on any Distribution Date with respect to any class of Offered, Class M-10 and Class M-11 Certificates will equal the least of (a) the related Formula Rate, (b) the Net WAC Rate and (c) the Maximum Cap Rate for such Distribution Date.  With respect to the Offered Certificates, the Class M-10 and Class M-11 Certificates, interest in respect of any Distribution Date will accrue during the related Accrual Period on the basis of a 360-day year and the actual number of days elapsed.  

The “Net WAC Rate” for any Distribution Date with respect to the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates (subject to adjustment based on the actual number of days elapsed in the related Accrual Period) shall be a per annum rate equal to 12 times the quotient of (x) the total scheduled interest on the Mortgage Loans for the related Accrual Period, net of the sum of (1) the Administrative Fee, (2) any Net Swap Payment owed to the Swap Provider and (3) any Swap Termination Payment (other than any Swap Termination Payment resulting from a Swap Provider Trigger Event), payable by the Supplemental Interest Trust and (y) the aggregate principal balance of the mortgage loans as of the first day of the applicable collection period.

If on any Distribution Date, the Certificate Interest Rate for any class of Offered Certificates, Class M-10 Certificates or Class M-11 Certificates is the Net WAC Rate, then the “Net WAC Rate Carryover Amount” for any such class for such Distribution Date is an amount equal to the sum of (i) the excess of (x) the amount of interest such class of Offered Certificates, Class M-10 Certificates or Class M-11 Certificates accrued on such Distribution Date at the related Formula Rate (up to the related Maximum Cap Rate) with respect to the Offered Certificates, Class M-10 Certificates or Class M-11 Certificates, over (y) the amount of interest such class of certificates accrued for such Distribution Date at the Net WAC Rate and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with interest accrued on such unpaid portion for the most recently ended Accrual Period at the Formula Rate applicable for such class of Offered Certificates, Class M-10 Certificates and Class M-11 Certificates, for the related Accrual Period.  Any Net WAC Rate Carryover Amount on the Offered Certificates, Class M-10 Certificates or Class M-11 Certificates will be paid on that Distribution Date and on future Distribution Dates from and to the extent of funds available therefor in accordance with the priorities described above.  

The “Maximum Cap Rate” for any Distribution Date is the per annum rate (subject to adjustment based on the actual number of days elapsed in the related Accrual Period) equal to the sum of (x) the weighted average Expense Adjusted Net Maximum Mortgage Rates of the Mortgage Loans and (y) the Net Swap Payment, if any, made by the Swap Provider, expressed as a percentage of the principal balance of the Mortgage Loans multiplied by 12.

The “Expense Adjusted Net Maximum Mortgage Rate” for any Mortgage Loan is the Maximum Mortgage Rate for such Mortgage Loan less the rate at which the Administrative Fee accrues with respect to such Mortgage Loan.

The “Maximum Mortgage Rate ” for any Mortgage Loan is the maximum rate at which interest is permitted to accrue on such Mortgage Loan pursuant to the terms of the related Mortgage Note or applicable law.

The “Formula Rate” for any class of Offered Certificates , the Class M-10 or Class M-11 Certificates is the sum of (i) the interbank offered rate for one-month United States dollar deposits in the London market as of the related LIBOR Determination Date (the “Certificate Index”) and (ii) a related margin (the “Certificate Margin”).  The Certificate Margins with respect to the Classes of Offered Certificates, Class M-10 Certificates or Class M-11 Certificates on each Distribution Date will be as follows:

Class of Certificates

Certificate Margin to and Including the Optional Clean-Up Call Date

Certificate Margin after the Optional Clean-Up Call Date

Class A-1

[_______]%

[_______]%

Class A-2

[_______]%

[_______]%

Class A-3

[_______]%

[_______]%

Class A-4

[_______]%

[_______]%

Class M-1

[_______]%

[_______]%

Class M-2

[_______]%

[_______]%

Class M-3

[_______]%

[_______]%

Class M-4

[_______]%

[_______]%

Class M-5

[_______]%

[_______]%

Class M-6

[_______]%

[_______]%

Class M-7

[_______]%

[_______]%

Class M-8

[_______]%

[_______]%

Class M-9

[_______]%

[_______]%

Class M-10

[_______]%

[_______]%

Class M-11

[_______]%

[_______]%


Net WAC Reserve Fund

On the Closing Date, the Securities Administrator will establish a reserve fund account (the “Net WAC Reserve Fund”) from which payments in respect of Net WAC Rate Carryover Amounts on the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates will be made.  The Net WAC Reserve Fund will be an asset of the Trust but not of any REMIC.  On each Distribution Date, to the extent required following the distribution of Available Funds as described under “—Allocation of Available Funds” above deposited into the Net WAC Reserve Fund, the Securities Administrator will withdraw from amounts in the Net WAC Reserve Fund to pay the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates any Net WAC Rate Carryover Amounts in the following order of priority, in each case to the extent of amounts remaining in the Net WAC Reserve Fund:

1.

concurrently, to the Senior Certificates, pro rata, based on their respective remaining Net WAC Rate Carryover Amounts;

2.

to the Class M-1 Certificates;

3.

to the Class M-2 Certificates;

4.

to the Class M-3 Certificates;

5.

to the Class M-4 Certificates;

6.

to the Class M-5 Certificates;

7.

to the Class M-6 Certificates;

8.

to the Class M-7 Certificates;

9.

to the Class M-8 Certificates;

10.

to the Class M-9 Certificates;

11.

to the Class M-10 Certificates; and

12.

to the Class M-11 Certificates.

The Interest Rate Swap Agreement, the Swap Provider and the Swap Account

The Interest Rate Swap Agreement

On or before the Closing Date, the Securities Administrator on behalf of the supplemental interest trust, as directed by the Depositor, will enter into an Interest Rate Swap Agreement (the “Interest Rate Swap Agreement”) with the Swap Provider.  On each Distribution Date, the Securities Administrator, will deposit into the Swap Account certain amounts, if any, received from the Swap Provider from which distributions in respect of Unpaid Interest Shortfall Amounts, Net WAC Rate Carryover Amounts, amounts necessary to maintain the applicable Overcollateralization Target Amount and Allocated Realized Loss Amounts on the Subordinate Certificates will be made.  The Swap Account will be an asset of the supplemental interest trust but not of any REMIC.

The Significance Percentage of the Interest Rate Swap Agreement will be less than 10% as of the Closing Date.  The Significance Percentage is calculated by reference to the “Significance Estimate” of the Interest Rate Swap Agreement which is determined based on a reasonable good faith estimate of maximum probable exposure represented by the Interest Rate Swap Agreement made in substantially the same manner as that used in the Sponsor’s internal risk management process in respect of similar instruments.  The “Significance Percentage” is the percentage that the amount of the significance estimate represents of the aggregate principal balance of the Mortgage Loans.

Under the Interest Rate Swap Agreement, on each Distribution Date, the supplemental interest trust will be obligated to pay to the Swap Provider from amounts available therefor pursuant to the Pooling Agreement, a Fixed Swap Payment based on a schedule, a copy of which is attached hereto as Annex II for that Distribution Date, and the Swap Provider will be obligated to pay to the Securities Administrator a floating amount equal to the product of (x) one-month LIBOR (as determined pursuant to the Interest Rate Swap Agreement), (y) the notional amount for that Distribution Date and (z) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the closing date to but excluding the first Distribution Date), and the denominator of which is 360.  The “Fixed Swap Payment” for any Distribution Date shall be the product of 4.750% and the notional amount for such Distribution Date (as set forth on Annex II hereof) multiplied by a fraction, the numerator of which is 30 and the denominator of which is 360.  A net payment will be required to be made on each Distribution Date (each such net payment, a “Net Swap Payment”) (a) by the supplemental interest trust, to the Swap Provider, to the extent that the fixed amount exceeds the corresponding floating amount, or (b) by the Swap Provider to the supplemental interest trust to the extent that the floating amount exceeds the corresponding fixed amount.

The Interest Rate Swap Agreement will terminate immediately after the Distribution Date on February 25, 2010, unless terminated earlier upon the occurrence of a Swap Default, an Early Termination Event or an Additional Termination Event.  “Swap Default” means an Event of Default under the Interest Rate Swap Agreement.  “Events of Default” under the Interest Rate Swap Agreement include the following standard events of default under the ISDA Master Agreement:

“Failure to Pay or Deliver,”

“Bankruptcy” (as amended in the Interest Rate Swap Agreement) and

“Merger without Assumption” (but only with respect to the Swap Provider), as described in Sections 5(a)(i), 5(a)(vii) and 5(a)(viii) of the ISDA Master Agreement.

The respective obligations of the Swap Provider and the supplemental interest trust to pay specified amounts due under the Interest Rate Swap Agreement will be subject to the following conditions precedent: (1) no Swap Default or event that with the giving of notice or lapse of time or both would become a Swap Default, in each case, in respect of the other party, shall have occurred and be continuing with respect to the Interest Rate Swap Agreement and (2) no “Early Termination Date” (as defined in the ISDA Master Agreement) has occurred or been effectively designated with respect to the Interest Rate Swap Agreement.

Upon the occurrence of any Swap Default under the Interest Rate Swap Agreement, the non-defaulting party will have the right to designate an Early Termination Date.  With respect to Termination Events (including Additional Termination Events), an Early Termination Date may be designated by one of the parties (as specified in the Interest Rate Swap Agreement) and will occur only after notice has been given of the Termination Event, all as set forth in the Interest Rate Swap Agreement.  A “Termination Event” shall be defined in the Interest Rate Swap Agreement.

Upon any occurrence of an Early Termination Date under the Interest Rate Swap Agreement (a “Swap Early Termination ”), the supplemental interest trust or the Swap Provider may be liable to make a Swap Termination Payment to the other (regardless, if applicable, of which of the parties has caused the termination).  The Swap Termination Payment will be based on the value of the Interest Rate Swap Agreement computed in accordance with the procedures set forth in the Interest Rate Swap Agreement taking into account the present value of the unpaid amounts that would have been owed to and by the Swap Provider under the remaining scheduled term of the Interest Rate Swap Agreement.  In the event that the supplemental interest trust is required to make a Swap Termination Payment, that payment will be paid from the supplemental interest trust on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, generally prior to distributions to certificateholders.

Upon a Swap Early Termination, the Securities Administrator, at the direction of the depositor and with the consent of the NIMS Insurer, if any, will seek a replacement swap provider to enter into a replacement interest rate swap agreement or similar agreement.  To the extent the trust receives a Swap Termination Payment from the Swap Provider, the supplemental interest trust will apply, as set forth in the Pooling Agreement, all or such portion of such Swap Termination Payment as may be required to the payment of amounts due to a replacement swap provider under a replacement interest rate swap agreement or similar agreement.  Furthermore, to the extent the supplemental interest trust is required to pay a Swap Termination Payment to the Swap Provider, the supplemental interest trust will apply all or a portion of such amount received from a replacement swap provider upon entering into a replacement interest rate swap agreement or similar agreement to the Swap Termination Payment amount owing to the Swap Provider.

“Downgrade Provisions” of the Interest Rate Swap Agreement will be triggered if the Swap Provider’s short-term or long-term credit ratings fall below the levels specified in the ISDA Master Agreement.  Upon the occurrence of a Downgrade Provision, the Swap Provider will be required to (1) post collateral securing its obligations under the Interest Rate Swap Agreement or (2) obtain a substitute Swap Provider acceptable to the Rating Agencies and the NIMS Insurer, if any (such consent by the NIMS Insurer not to be unreasonably withheld), that will assume the obligations of the Swap Provider under the Interest Rate Swap Agreement.

The Swap Provider

JPMorgan Chase Bank, National Association (in such capacity, “JPMCB”), a national banking association, is a wholly-owned bank subsidiary of JPMorgan Chase & Co., a Delaware corporation whose principal office is located in New York, New York.  JPMCB will be the swap provider and has long term, unsecured ratings, as of the date of this prospectus supplement, of “AA-” from Standard & Poor’s and “Aa2” from Moody’s Investors Service, Inc.

The information under this heading “—The Swap Provider” has been provided by JPMorgan Chase Bank, National Association for use in this prospectus supplement.

The Swap Account

The Interest Rate Swap Agreement will be administered by the Securities Administrator pursuant to the Pooling Agreement.  Any Net Swap Payments made by the Swap Provider will be distributed in accordance with the Pooling Agreement.  The Securities Administrator will be required to deposit into a segregated trust account, in which payments owed to or received from, the Swap Provider will be deposited (the “Swap Account”), an amount equal to any remaining Unpaid Interest Shortfall Amounts, Net WAC Rate Carryover Amounts, Allocated Realized Loss Amounts and amounts necessary to maintain the applicable Overcollateralization Target Amount on the Senior Certificates and Subordinate Certificates, up to the Net Swap Payment received by the Securities Administrator from the Swap Provider.  

Net Swap Payments and Swap Termination Payments (other than any Swap Termination Payment resulting from a Swap Provider Trigger Event) payable by the supplemental interest trust will be deducted from Available Funds before distributions to certificateholders and will first be deposited into the Swap Account before payment to the Swap Provider.

On each Distribution Date, to the extent required, following the distribution of the Net Monthly Excess Cashflow as described in “—Overcollateralization Provisions” above and withdrawals from the Net WAC Reserve Fund as described in “—Net WAC Reserve Fund” above, the Securities Administrator will withdraw from amounts in the Swap Account to distribute to the Swap Provider and to the Senior Certificates and Subordinate Certificates in the following order of priority:

first, to the Swap Provider, any Net Swap Payment owed to the Swap Provider pursuant to the Swap Agreement for such Distribution Date;

second, to the Swap Provider, any Swap Termination Payment owed to the Swap Provider not resulting from a Swap Provider Trigger Event pursuant to the Swap Agreement;

third, to the holders of the class or classes of Offered Certificates, the Class M-10 and Class M-11 Certificates then entitled to receive distributions in respect of principal, in an amount equal to any Realized Losses experienced on the Mortgage Loans during the preceding month, payable to such holders as part of the Principal Distribution Amount; remaining undistributed after distribution of the Net Monthly Excess Cashflow;

fourth, to the holders of the class or classes of Offered Certificates, the Class M-10 Certificates and Class M-11 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 Principal Distribution Amount as described under “—Allocation of Available Funds— Distributions of Principal” above to the extent not otherwise paid;

fifth, to the Senior Certificates, the related Monthly Interest Distributable Amount and Unpaid Interest Shortfall Amount remaining undistributed after the distribution of the Interest Remittance Amount,

sixth, sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in that order, the related Monthly Interest Distributable Amount and Unpaid Interest Shortfall Amount, to the extent remaining undistributed after the distributions of the Interest Remittance Amount and the Net Monthly Excess Cashflow;

seventh, concurrently, to the holders of the Senior Certificates, pro rata, in an amount equal to each such class’ previously allocated and not reimbursed share of Net Prepayment Interest Shortfalls, if any, to the extent remaining undistributed after the distributions of the Interest Remittance Amount and the Net Monthly Excess Cashflow;

eighth, sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in that order, the related Net Prepayment Interest Shortfalls, to the extent remaining undistributed after the distributions of the Interest Remittance Amount and the Net Monthly Excess Cashflow;

ninth, sequentially, to the Senior, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in that order, the related Net WAC Rate Carryover Amount, to the extent remaining undistributed after distributions are made from the Net WAC Reserve Fund;

tenth, concurrently, to the holders of the Senior Certificates, pro rata, in an amount equal to each such class’ previously allocated and not reimbursed share of Relief Act Interest Shortfalls, if any, to the extent remaining undistributed after the distributions of the Interest Remittance Amount and the Net Monthly Excess Cashflow;

eleventh, sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in that order, the related Relief Act Interest Shortfalls, to the extent remaining undistributed after the distributions of the Interest Remittance Amount and the Net Monthly Excess Cashflow; and

twelfth, sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in that order, any related Allocated Realized Loss Amount allocable to such class not previously reimbursed;

thirteenth, to the Class C holders as specified in the Pooling Agreement, any remaining amount.

Calculation of Certificate Index

On the second LIBOR Business Day preceding the commencement of each Accrual Period for the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates (each such date, a “LIBOR Determination Date”), the Securities Administrator will determine the Certificate Index for such Accrual Period for the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates on the basis of the London interbank offered rate for one-month United States dollar deposits, as such rates appear on the Telerate Page 3750, as of 11:00 a.m. (London time) on such LIBOR Determination Date.  If such rate does not appear on Telerate Page 3750, the rate for that day will be determined on the basis of the offered rates of the Reference Banks for one-month United States dollar deposits, as of 11:00 a.m.  (London time) on such LIBOR Determination Date.  The Securities Administrator, on behalf of Trustee, will request the principal London office of each of the Reference Banks to provide a quotation of its rate.  If on such LIBOR Determination Date two or more Reference Banks provide such offered quotations, the Certificate Index for the related Accrual Period will be the arithmetic mean of such offered quotations (rounded upwards if necessary to the nearest whole multiple of 0.0625%).  If on such LIBOR Determination Date fewer than two Reference Banks provide such offered quotations, the Certificate Index for the related Accrual Period shall be the higher of (x) the Certificate Index as determined on the previous LIBOR Determination Date and (y) the Reserve Interest Rate.

As used in this section, “LIBOR Business Day” means a day on which banks are open for dealing in foreign currency and exchange in London; “Telerate Page 3750” means the display page currently so designated on the Moneyline Telerate Capital Markets Report (or such other page as may replace that page on that service for the purpose of displaying comparable rates or prices); “Reference Banks” means leading banks selected by the Depositor and engaged in transactions in Eurodollar deposits in the international Eurocurrency market (1) with an established place of business in London, (2) which have been designated as such by the Depositor, and (3) not controlling, controlled by or under common control with, the Depositor, the Servicer or any successor servicer or the Originator; and “Reserve Interest Rate” shall be the rate per annum that the Securities Administrator determines to be either (x) the arithmetic mean (rounded upwards if necessary to the nearest whole multiple of 0.0625%) of the one-month United States dollar lending rates which New York City banks selected by the Depositor are quoting on the relevant LIBOR Determination Date to the principal London offices of leading banks in the London interbank market or (y) in the event that the Securities Administrator can determine no such arithmetic mean, the lowest one-month United States dollar lending rate which New York City banks selected by the Depositor are quoting on such LIBOR Determination Date to leading European banks.

The establishment of the Certificate Index on each LIBOR Determination Date by the Securities Administrator and its calculation of the rates of interest applicable to the Offered Certificates, Class M-10 Certificates and Class M-11 Certificates for the related Accrual Period will (in the absence of manifest error) be final and binding.

Example of Distributions

The following sets forth an example of collection of payments from borrowers on the Mortgage Loans, transfer of amounts among the Trust Accounts, and distributions on the Certificates for the Distribution Date in March 2006:







February 2 through
March 1


Due Period:

Payments due during the related Collection Period (February 2 through March 1) from borrowers will be deposited in the Servicer’s Collection Account as received and will include scheduled principal payments due during the related Due Period and interest accrued on the ending scheduled balance from the prior Due Period.

February 1 through
February 28


Prepayment Period for partial prepayments received from Mortgage Loans:

Partial principal prepayments received by the Servicer during the related Prepayment Period (February 1 through February 28) will be deposited into the Servicer’s Collection Account for remittance to the Securities Administrator on the Servicer Remittance Date.

February 16 through
March 15


Prepayment Period for prepayments in full received from Mortgage Loans:

Prepayments in full received during the related Prepayment Period from Mortgage Loans will be deposited into the Servicer’s Collection Account for remittance to the Securities Administrator on the Servicer Remittance Date.

March 24


Servicer Remittance Date:

The Servicer will remit collections, advances and recoveries in respect of the Mortgage Loans to the Securities Administrator for deposit into the Distribution Account on or prior to the business day immediately preceding the related Distribution Date, as specified in the Pooling Agreement.

March 24


Record Date:

Distributions will be made to Certificateholders of record for all applicable classes as of the business day immediately before the related Distribution Date.

March 24


Any payment received from the Swap Provider under the Interest Rate Swap Agreement:

One Business Day immediately before the related Distribution Date, the Swap Provider will pay to the Securities Administrator for deposit into the Swap Account any Net Swap Payments or Swap Termination Payments required to be paid by the Swap Provider and the Securities Administrator will remit any Net Swap Payments or Swap Termination Payments to the Swap Provider from amounts on deposit in the Swap Account, in each case under the Interest Rate Swap Agreement.

March 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 Securities Administrator will make distributions to Certificateholders from amounts on deposit in the Distribution Account and the Swap Account.

Succeeding months follow the same pattern.

Reports to Certificateholders

On each Distribution Date, the Securities Administrator will make available to the Trustee, the Depositor, each Certificateholder, the NIMS Insurer, if any, the Trust Oversight Manager, the Swap Provider and the rating agencies a statement (based solely on information received from the Servicer) generally setting forth, among other things:

·

the amount of the distributions, separately identified, with respect to each class of Certificates;

·

the amount of the distributions set forth in the first clause above allocable to principal, separately identifying the aggregate amount of any principal prepayments or other unscheduled recoveries of principal included in that amount;

·

the amount of the distributions set forth in the first clause above allocable to interest and how it was calculated;

·

the amount of any unpaid Interest Shortfall with respect to each class of Certificates;

·

the Class Principal Amount of each class of Certificates after giving effect to the distribution of principal on that Distribution Date;

·

the Group Balance for the Aggregate Pool, the Stated Principal Balance of the Mortgage Loans in each Mortgage Group at the end of the related Prepayment Period, and the applicable Net WAC of the Mortgage Loans in each Mortgage Group at the beginning of the related Due Period;

·

with respect to each Mortgage Group and the Aggregate Pool, the number and aggregate principal balance of the Mortgage Loans that were (A) delinquent (exclusive of Mortgage Loans in foreclosure) (1) 30 to 59 days, (2) 60 to 89 days and (3) 90 or more days, (B) in foreclosure and delinquent (1) 30 to 59 days, (2) 60 to 89 days and (3) 90 or more days and (C) in bankruptcy as of the close of business on the last day of the calendar month preceding that Distribution Date;

·

with respect to each Mortgage Group and the Aggregate Pool, the total number and principal balance of any REO properties as of the close of business on the last day of the preceding Due Period;

·

with respect to each Mortgage Group and the Aggregate Pool, the amount of Realized Losses incurred during the preceding calendar month;

·

with respect to each Mortgage Group and the Aggregate Pool, the cumulative amount of Realized Losses incurred since the Closing Date; and

·

the Certificate Interest Rate for each class of Certificates for that Distribution Date.

The Securities Administrator may make available each month, to any interested party, the monthly statement to Certificateholders via the Securities Administrator’s website.  The Securities Administrator’s website will be located at www.jpmorgan.com/sfr, and assistance in using the website can be obtained by calling the Securities Administrator’s customer service desk at (877) 722-1095.  Parties that are unable to use the above distribution option are entitled to have a paper copy mailed to them via first class mail by notifying the Securities Administrator at the following address: 4 New York Plaza, 6th Floor, New York, New York 10004, Attention: Worldwide Securities Services/Structured Finance Services - JPMAC 2006-FRE1.  The Securities Administrator will have the right to change the way such reports are distributed in order to make such distributions more convenient and/or more accessible, and the Securities Administrator will provide timely and adequate notification to such parties regarding any such changes.

In addition, within a reasonable period of time after the end of each calendar year, the Securities Administrator will, upon written request, prepare and deliver to each holder of a Certificate of record during the previous calendar year a statement containing information necessary to enable holders of the Certificates to prepare their tax returns.  These statements will not have been examined and reported upon by an independent public accountant.

Final Scheduled Distribution Date

The “Final Scheduled Distribution Date for the Offered Certificates, other than the Class A-2 Certificates, is the Distribution Date in May 2035, which is the Distribution Date in the month following the scheduled maturity date for the latest maturing Mortgage Loan. The Final Scheduled Distribution Date for the Class A-2 Certificates is the Distribution Date in January 2026, which is calculated assuming a 0% prepayment assumption and adding one month.  The actual final Distribution Date of any class of Certificates may be earlier or later, and could be substantially earlier, than such class’s Final Scheduled Distribution Date.

Optional Clean-Up Call

On the first Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans as of the related Due Date is equal to or less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the Servicer will have the option to purchase the Mortgage Loans (and if the Servicer does not, the majority holder of the Class C Certificates, the NIMS Insurer, if any, may have the right to direct the Servicer to exercise, on its behalf) at a price equal to the greater of (a) the sum of (i) 100% of the aggregate outstanding principal balance of the Mortgage Loans plus accrued interest thereon at the applicable Mortgage Rate to but not including the Due Date in the month of such Distribution Date, (ii) the fair market value of all other property of the Trust Fund, (iii) any unreimbursed advances, fees, servicing fees and other amounts payable to the Servicer, the Securities Administrator and the Trustee and (iv) any Swap Termination Payment payable to the Swap Provider then remaining unpaid or which is due because of the exercise of such option and (b) the fair market value, determined in accordance with the terms of the Pooling Agreement, of all outstanding Mortgage Loans (other than Liquidated Mortgage Loans), all property acquired in respect of any such Mortgage Loans remaining in the Trust Fund and all other property included in any REMIC formed under the Pooling Agreement.  This option may only be exercised if the proceeds will also be sufficient to pay all interest accrued on, as well as amounts necessary to retire the principal balance of, the notes guaranteed by the NIMS Insurer and any amounts owed to the NIMS Insurer at the time the option is exercised.

If such option is exercised, and the amount specified in clause (b) of the preceding paragraph exceeds the amount specified in clause (a) of that paragraph, then a residual class specified in the Pooling Agreement will be entitled to receive the amount of such excess.  These residual classes are not offered hereby.

If the option is exercised, it will effect an early retirement of the related Certificates.  Distributions on the Certificates will be treated as a prepayment of the Mortgage Loans and the amounts paid in connection with the optional termination will be paid in accordance with the priorities and amounts set forth herein.  With respect to an optional termination, the proceeds for that distribution may not be sufficient to distribute the full amount to which each class of Certificates is entitled.  Upon the termination, any funds or property remaining in the Trust Fund will be liquidated and the Trust Fund will terminate.

FEES AND EXPENSES OF THE TRUST FUND

In consideration of their duties on behalf of the Trust Fund, the Servicer, the Securities Administrator, the Custodian and the Trustee will receive from the assets of the Trust Fund certain fees as set forth in the following table:

Fee Payable to:

Frequency
of Payment:

Amount of Fee:

How and When
Fee Is Paid:

    

Servicer

monthly

A monthly fee paid to the Servicer out of interest collections received from the related Mortgage Loan calculated on the outstanding principal balance of each Mortgage Loan at 0.50% per annum.

Deducted by the Servicer from the Collection Account in respect of each Mortgage Loan serviced by that Servicer, before payment of any amounts to Certificateholders.

Securities Administrator

monthly

A monthly fee paid to the Securities Administrator out of interest collections received from the related Mortgage Loan calculated on the outstanding principal balance of each Mortgage Loan at 0.003% per annum, with a monthly minimum of at least $500.

Deducted by the Securities Administrator before payment of any amounts to Certificateholders.

Trustee

annually

An annual fee paid to the Trustee by the Securities Administrator out of the Securities Administrator’s fee.

Paid by the Securities Administrator before payment of any amounts to Certificateholders.

Custodian

monthly

A monthly fee paid to the Custodian out of interest collections received from the related Mortgage Loans calculated on the outstanding principal balance of each Mortgage Loan at 0.002% per annum.

Paid by the Securities Administrator before payment of any amounts to Certificateholders.

Trust Oversight Manager

monthly

A monthly fee paid to the trust oversight manager out of interest collections received from the related Mortgage Loans calculated on the outstanding principal balance of each Mortgage Loan at 0.015% per annum.

Paid by the Securities Administrator before payment of any amounts to Certificateholders.

None of the fees set forth in table above may be changed without amendment of the Pooling Agreement as described under “The Pooling Agreement—Amendment” below or, in the case of the Custodian fee, the related custodial agreement.

Expenses of the Servicer, the Custodian, the Trustee, the Securities Administrator and the Trust Oversight Manager will be reimbursed before payments are made on the Certificates. Reimbursement of indemnification costs and expenses of the Trustee, the Securities Administrator, the Custodian and the Trust Oversight Manager will be reimbursed up to an annual amount specified in the Pooling Agreement before payments of interest and principal are made on the Certificates; any additional unpaid indemnification costs and expenses above such amount in any year will be paid to such party to the extent of any remaining interest collections after all payments of all other amounts due as described under “Description of the Certificates—Overcollateralization Provisions” are made.  

THE POOLING AGREEMENT

General

The Offered Certificates will be issued pursuant to the Pooling Agreement.  The assets of the Trust created under the Pooling Agreement will consist of (i) all of the Depositor’s right, title and interest in the Mortgage Loans, the related mortgage notes, mortgages and other related documents, (ii) all payments on or collections in respect of the Mortgage Loans due after the Cut-off Date, together with any proceeds thereof, (iii) any Mortgaged Properties acquired on behalf of certificateholders by foreclosure or by deed in lieu of foreclosure, and any revenues received thereon, (iv) the rights of the Trustee under all insurance policies required to be maintained pursuant to the Pooling Agreement, (v) the Net WAC Reserve Fund and (vi) the rights of the Seller under the Mortgage Loan Purchase Agreement.  The Offered Certificates will be transferable and exchangeable at the Corporate Trust Office of the Securities Administrator.

The Interest Rate Swap Agreement, the Swap Account and the right to any Net Swap Payment and any Swap Termination Payment made by the Swap Provider and deposited into the Swap Account are not assets of the trust, but instead are assets of the separate supplemental interest trust.

The NIMS Insurer, if any, will be a third party beneficiary of the Pooling Agreement to the extent set forth in the Pooling Agreement. In addition, the NIMS Insurer, if any, will have various rights under the Pooling Agreement including, but not limited to, the rights set forth under “Risk Factors—Rights of the NIMS Insurer” in this prospectus supplement.

Assignment of the Mortgage Loans

Under the Assignment Agreement, J.P. Morgan Mortgage Acquisition Corp. (the “Seller”) will sell the Mortgage Loans to the Depositor and the Depositor will sell the Mortgage Loans to the Trust Fund.  Pursuant to the Assignment Agreement, the Seller will transfer to the Depositor and the Depositor will transfer to the Trustee its rights under the Mortgage Loan Purchase Agreement with respect to certain representations, warranties and covenants made by the Originator relating to, among other things, certain characteristics of the Mortgage Loans.  In addition, pursuant to the Pooling Agreement, the Seller will make certain representations, warranties and covenants relating to certain characteristics of the related Mortgage Loans.  Subject to the limitations described below, the Originator or the Seller will be obligated as described herein to purchase or substitute a similar mortgage loan for any related Mortgage Loan as to which there exists deficient documentation or as to which there has been an uncured breach of any such representation or warranty relating to the characteristics of the Mortgage Loan that materially and adversely affects the value of such Mortgage Loan or the interests of the Certificateholders in such Mortgage Loan (a “Defective Mortgage Loan”).  See “The Trust Fund — Representations by Sellers or Originator; Repurchases” in the accompanying prospectus.

Pursuant to the Pooling Agreement, on the Closing Date the Depositor will sell, transfer, assign, set over and otherwise convey without recourse to the Trustee, on behalf of the Trust Fund, all of its rights to the Mortgage Loans and its rights under the Assignment Agreements (including the right to enforce the Originators’ purchase obligations).  The obligations of the Originator and the Seller with respect to the Certificates are limited to their respective obligations to purchase or substitute for Defective Mortgage Loans.

In connection with such transfer and assignment of the Mortgage Loans, the Depositor will deliver or cause to be delivered to the Trustee or its custodian, among other things, the original promissory note (the “Mortgage Note”) (and any modification or amendment thereto) endorsed in blank without recourse, the original instrument creating a first or second lien on the related Mortgaged Property (the “Mortgage”) with evidence of recording indicated thereon, an assignment in recordable form of the Mortgage, all recorded intervening assignments of the Mortgage and any modifications to such Mortgage Note and Mortgage (except for any such document other than Mortgage Notes not available on the Closing Date, which will be delivered to the Trustee or its custodian as soon as the same is available to the Depositor) (collectively, the “Mortgage File”).  Assignments of the Mortgage Loans to the Trustee (or its nominee) will be recorded in the appropriate public office for real property records, except in states where, in the opinion of counsel, such recording is not required to protect the Trustee’s interest in the Mortgage Loans against the claim of any subsequent transferee or any successor to or creditor of the Depositor.  It is expected that the Depositor will not submit the Assignments of Mortgage for recordation in any jurisdiction.

J.P. Morgan Trust Company, National Association, as custodian (the “Custodian), on behalf of the Trustee, will review each Mortgage File within the time period specified in the related Custodial Agreement or promptly after the Custodian’s receipt of any document permitted to be delivered after the Closing Date.  The Custodian will hold such Mortgage Files in trust for the benefit of the Certificateholders.  The Custodian shall be entitled to a monthly fee (the “Custodian Fee”) calculated at 0.002% per annum (the “Custodian Fee Rate”) on the aggregate Stated Principal Balance of the Mortgage Loans.  If at the end of such specified period, any document in a Mortgage File is found to be missing or defective in a material respect and the Originator or the Seller, as applicable, does not cure such omission or defect within the time period required under the Pooling Agreement, then the Originator, or, if applicable, the Seller under the Pooling Agreement, is obligated to purchase the related Defective Mortgage Loan from the Trust Fund at the price specified in the Pooling Agreement.  Rather than purchase the Defective Mortgage Loan as provided above, the Originator or the Seller may remove such Mortgage Loan (a “Deleted Mortgage Loan”) from the Trust Fund and substitute in its place one or more mortgage loans of like kind (such loan a “Replacement Mortgage Loan”); provided, however, that such substitution is permitted only within two years after the Closing Date and may not be made unless an opinion of counsel is provided to the effect that such substitution would not disqualify the REMIC elections or result in a prohibited transaction tax under the Code.

Any Replacement Mortgage Loan generally will, on the date of substitution, among other characteristics set forth in the Pooling Agreement, (i) have an outstanding principal balance, after deduction of all Scheduled Payments due in the month of substitution, not in excess of the Stated Principal Balance of the related Deleted Mortgage Loan (the amount of any shortfall to be deposited in the Distribution Account in the month of substitution), (ii) have a maximum Mortgage Rate not less than (and not more than two percentage points greater than) the maximum mortgage rate of the related Deleted Mortgage Loan, (iii) have a gross margin not less than that of the related Deleted Mortgage Loan, (iv) have a Loan-to-Value Ratio equal to or less than that of the related Deleted Mortgage Loan, (v) have a remaining term to maturity not greater than (and not more than one year less than) that of the related Deleted Mortgage Loan, (vi) have the same adjustment date as that of the related Deleted Mortgage Loan, (vii) have a minimum rate not less than that of the related Deleted Mortgage Loan, (viii) have the same index as that of the related Deleted Mortgage Loan and (ix) comply with all of the representations and warranties set forth in the Pooling Agreement, as modified by the related Assignment Agreement (if applicable).  This cure, repurchase or substitution obligation constitutes the sole remedy available to the Certificateholders or the Trustee for omission of, or a material defect in, a Mortgage File.

Under the Reconstitution Agreement, the Originator will make certain representations and warranties as to the accuracy in all material respects of certain information furnished to the Trustee with respect to each Mortgage Loan (e.g., Cut-off Date Principal Balance and the Mortgage Rate).  In addition, the Originator will make certain other representations and warranties with respect to each related Mortgage Loan, including, but not limited to, the following: (i) all of the prepayment premium terms on the related Mortgage Loans with prepayment premium terms expire no later than three years following the origination of the related Mortgage Loan; (ii) no Mortgage Loan will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable local, state or federal law; (iii) no Group 1 Mortgage Loan originated on or after October 1, 2002 and before March 7, 2003 is secured by property located in the State of Georgia; (iv) no proceeds from any Mortgage Loan were used to finance single-premium credit insurance policies; and (v) no Group 1 Mortgage Loan originated on or after March 7, 2003 is a “high cost home loan” as defined under the Georgia Fair Lending Act.  Furthermore, the Originator will represent and warrant with respect to each Mortgage Loan as of the Closing Date that, among other things, at the time of transfer to the Seller, each of the Originator and those of its affiliates that are parties to the Mortgage Loan Purchase Agreement has transferred and assigned all of its right, title and interest in each related Mortgage Loan and the Mortgage Loan Documents, free of any lien.  The Seller will represent and warrant in the Pooling Agreement with respect to each Mortgage Loan that (i) each Mortgage Loan at the time of origination complied in all material respects with applicable local, state and federal laws, including, but not limited to, all applicable predatory and abusive lending laws, and (ii) no Mortgage Loan is a “high cost” mortgage loan, as defined by the applicable predatory and abusive lending laws.  

Upon discovery of a breach of any representation and warranty made by the Originator or the Seller with respect to the Mortgage Loans which materially and adversely affects the interests of the certificateholders in the related Mortgage Loan and Mortgage Loan Documents, the Originator or the Seller, as applicable, will have a period of 60 days after discovery or notice of the breach to effect a cure.  If the breach cannot be cured within the 60-day period, the Originator or the Seller, as applicable, will be obligated to (x) substitute for such Mortgage Loan a Qualified Substitute Mortgage Loan or (y) purchase such Mortgage Loan from the Trust at the Purchase Price, plus any costs and damages incurred by the Trust in connection with any violation of any predatory or abusive lending law with respect to such Mortgage Loan.  However, a substitution of the related Mortgage Loan is permitted only within two years of the Closing Date and may not be made unless an opinion of counsel is provided to the effect that such substitution will not disqualify any REMIC or result in a prohibited transaction tax under the Internal Revenue Code.

Pursuant to the Pooling Agreement, the Servicer will service and administer the Mortgage Loans as more fully set forth therein.

Servicing and Administrative Responsibilities

The Servicer, the Securities Administrator, the Trustee and the Custodian will have the following responsibilities with respect to the Trust Fund:

Party:

Responsibilities:

Servicer

Performing the servicing functions with respect to the Mortgage Loans and the Mortgaged Properties in accordance with the provisions of the Pooling Agreement or the Mortgage Loan Purchase Agreement, as applicable, 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 Collection Account, and delivering all amounts on deposit in the Collection Account to the Securities Administrator for deposit in the Distribution 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, to the extent that the Servicer believes such Advances will be recoverable;

 

paying, as servicing advances, customary costs and expenses incurred in the performance by the 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) borrower-paid primary mortgage insurance policy premiums and fire and hazard insurance coverage, to the extent not paid by the borrower;

 

providing monthly loan-level reports to the Securities Administrator;

 

maintaining certain insurance policies relating to the Mortgage Loans; and

 

enforcement of foreclosure proceedings.

 

See “The Servicers” above and the other sections of “The Pooling Agreement” herein.

Securities Administrator

Performing the securities administrator functions in accordance with the provisions of the Pooling Agreement, including but not limited to:

 

creating and maintaining the Distribution Account, the Swap Account and the Net WAC Reserve Fund;

 

receiving monthly remittances from the Servicer for deposit in the Distribution Account and distributing all amounts on deposit in the Distribution Account to the Certificateholders and the Swap Account in accordance with the priorities described under “Description of the Certificates—Distributions of Interest,” “—Distributions of Principal” and “—Credit Enhancement—Overcollateralization Provisions,” on each Distribution Date;

 

preparing and distributing annual investor reports necessary to enable Certificateholders to prepare their tax returns;

 

preparing and distributing the monthly distribution date statement to Certificateholders based on information received from the Servicer and the Swap Provider;

 

depositing any Net Swap Amounts received from the Swap Provider into the Swap Account;

 

distributing amounts on deposit in the Swap Account to the Certificateholders and the Swap Provider in accordance with the priorities described under “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” with respect to each Distribution Date;

 

See “The Pooling Agreement—The Trustee and the Securities Administrator,” and “Description of the Certificates—Reports to Certificateholders”.

Trustee

exercising remedies upon a Servicer Event of Default where a responsible officer of the trustee has actual knowledge of the default and is instructed by certificateholder to enforce such remedies;

 

upon the failure of a Servicer to make Advances with respect to a Mortgage Loan and the occurrence of a Servicer Event of Default, making those Advances to the extent provided in the Pooling Agreement; and

 

until a successor servicer is appointed, acting as successor servicer in the event the Servicer resigns or is removed by the Trustee.

 

See “The Pooling Agreement—The Trustee and the Securities Administrator,” and “—Servicer Events of Default”.

Custodian

Performing the custodial functions in accordance with the provisions of the custodial agreements, including but not limited to:

 

holding and maintaining the Mortgage Loan documents related to the Mortgage Loans in a fireproof facility intended for the safekeeping of mortgage loan files on behalf of the Trustee.

 

See “—Assignment of the Mortgage Loans” above.


Payments on Mortgage Loans; Deposits to Collection Account and Distribution Account

The Servicer shall establish and maintain or cause to be maintained a separate trust account (the “Collection Account”) for the benefit of the certificateholders.  The Collection Account will be an Eligible Account (as defined in the Pooling Agreement).  Upon receipt by the Servicer of amounts in respect of the Mortgage Loans (excluding amounts representing the Servicing Fee or other servicing compensation, reimbursement for Advances and Servicing Advances (each, as defined below), condemnation proceeds required to be released to a mortgagor, insurance proceeds to be applied to the restoration or repair of a Mortgaged Property and similar items), the Servicer will deposit such amounts in the Collection Account.  Amounts so deposited may be invested in Permitted Investments (as described in the Pooling Agreement) maturing no later than one business day prior to the date on which the amount on deposit therein is required to be deposited in the Distribution Account, which is the Servicer Remittance Date (as defined below).  Any investment earnings on funds on deposit in the Collection Account shall be for the benefit of the Servicer and will not be available for distribution to the certificateholders.  The amount of any losses on the investment of funds on deposit in the Collection Account shall be deposited by the Servicer in the Collection Account out of its own funds with no right of reimbursement.

The Securities Administrator will establish an account (the “Distribution Account”) into which will be deposited amounts withdrawn from the Collection Account on the Servicer Remittance Date and deposited to the Distribution Account for distribution to certificateholders on a Distribution Date.  The Distribution Account will be an Eligible Account, and amounts on deposit therein shall remain uninvested.

Modifications of Mortgage Loan Terms

In the event that a Mortgage Loan is in default or, in the judgment of the Servicer, such default is reasonably foreseeable, the Servicer, consistent with the standards set forth in the Pooling Agreement, may waive, modify or vary any term of such Mortgage Loan (including modifications that would change the related Mortgage Rate, forgive the payment of principal or interest or extend the final maturity date of such Mortgage Loan), accept payment from the related Mortgagor of an amount less than the Stated Principal Balance in final satisfaction of such Mortgage Loan or consent to the postponement of strict compliance with any such term or otherwise grant indulgence to any related borrower.

Advances

Subject to the following limitations, the Servicer will be obligated to advance or cause to be advanced on or before each Distribution Date its own funds, or funds in the Collection Account that are not included in the Available Funds for such Distribution Date, or both (each, an “Advance”), in an amount equal to the aggregate of all payments of principal and interest (net of Servicing Fees) that were due during the related Due Period on the Mortgage Loans and that were delinquent on the related Determination Date, plus certain amounts representing assumed payments not covered by any current net income on the Mortgaged Properties acquired by foreclosure or deed in lieu of foreclosure.

Advances are required to be made only to the extent they are deemed by the Servicer to be recoverable from related late collections, insurance proceeds, condemnation proceeds or liquidation proceeds.  The purpose of making such Advances is to maintain a regular cash flow to the certificateholders, rather than to guarantee or insure against losses.  The Servicer will not be required, however, to make any Advances with respect to reductions in the amount of the monthly payments on the Mortgage Loans due to bankruptcy proceedings or the application of the Relief Act.  Subject to the recoverability standard below, the Servicer’s obligation to make Advances as to any Mortgage Loan will continue until the Mortgage Loan is paid in full or until the recovery of all liquidation proceeds thereon.

All Advances will be reimbursable to the Servicer from late collections, insurance proceeds, condemnation proceeds and liquidation proceeds from the Mortgage Loan as to which such unreimbursed Advance was made, unless such amounts are deemed to be nonrecoverable by the Servicer, in which case reimbursement will be made to the Servicer from the general funds in the Collection Account.  The Servicer may recover from amounts in the Collection Account the amount of any Advance that remains unreimbursed to the Servicer from the related liquidation proceeds after the final liquidation of the related Mortgage Loan, and such reimbursement amount will not be available for remittance to the Securities Administrator for distribution on the Offered Certificates.  In the event the Servicer fails in its obligation to make any required Advance, the Trustee, in its capacity as successor servicer, will be obligated to make any such Advance, to the extent required in the Pooling Agreement.  The Trustee, in its capacity as successor servicer, shall be entitled to all reimbursements in the same manner and priority as the predecessor servicer.

In the course of performing its servicing obligations, the Servicer will pay all reasonable and customary “out-of-pocket” costs and expenses (including reasonable attorneys’ fees and disbursements) incurred in the performance of its servicing obligations, including, but not limited to, the cost of (i) the preservation, restoration, inspection and protection of the Mortgaged Properties, (ii) any enforcement or judicial proceedings, including foreclosures, and (iii) the management and liquidation of Mortgaged Properties acquired in satisfaction of the related mortgage.  Each such expenditure will constitute a “Servicing Advance.”  The Servicer is obligated to pay certain insurance premiums and certain ongoing expenses associated with the Mortgage Loans and incurred by the Servicer in connection with its responsibilities under the Pooling Agreement and is entitled to reimbursement therefor as provided in the Pooling Agreement.  The Servicer is required to make a Servicing Advance only to the extent it is deemed by the Servicer to be recoverable from related late collections, insurance proceeds, condemnation proceeds or liquidation proceeds.

The Servicer is also obligated to accurately and fully report its borrower credit files to all three credit repositories in a timely manner.

The Servicer’s right to reimbursement for Servicing Advances is limited to late collections, liquidation proceeds, condemnation proceeds, released Mortgaged Property proceeds, insurance proceeds and such other amounts as may be collected by the Servicer from the related Mortgagor or otherwise relating to the Mortgage Loan in respect of which such unreimbursed amounts are owed, unless such amounts are deemed to be nonrecoverable by the Servicer, in which event reimbursement will be made to the Servicer from general funds in the Collection Account.

Servicing and Other Compensation and Payment of Expenses

The principal compensation to be paid to the Servicer in respect of its servicing activities (the “Servicing Fee”) will be at the “Servicing Fee Rate” of 0.50% per annum on the Principal Balance of each Mortgage Loan.  As additional servicing compensation, the Servicer is entitled to retain all service-related fees collected from mortgagors, including assumption fees, modification fees, extension fees, late payment charges and non-sufficient fund fees, and other ancillary income derived from the Mortgage Loans (but not prepayment premiums, which will be distributed to the holders of the Class P Certificates), together with any interest or other income earned on funds held in the Collection Account.  For each Distribution Date, the Servicer is obligated to deposit into the Collection Account the lesser of (i) the aggregate amount of any Prepayment Interest Shortfalls for such Distribution Date and (ii) the aggregate amount of the Servicing Fees payable to the Servicer for such Distribution Date (any payments made by the Servicer in satisfaction of such obligation, “Compensating Interest”).

The “Servicer Remittance Date” is the business day prior to each Distribution Date.  The “Determination Date” with respect to any Distribution Date, will be the 15th day of the calendar month in which such Distribution Date occurs or, if such 15th day is not a Business Day, the Business Day immediately preceding such 15th day.  

With respect to any Distribution Date and each Mortgage Loan as to which a voluntary principal prepayment in full was applied during the related Prepayment Period (other than prepayments received in the month of such Distribution Date), the “Prepayment Interest Shortfall” is an amount equal to the interest at the applicable Mortgage Rate (net of the Servicing Fee) on the amount of such principal prepayment for the number of days from the date on which the principal prepayment is applied through the last day of the calendar month preceding such Distribution Date.

A “Net Prepayment Interest Shortfall”, with respect to any Distribution Date, is the excess of Prepayment Interest Shortfalls for such Distribution Date over the amount the Servicer is obligated to remit as Compensating Interest for such Distribution Date.  The Servicer shall not be obligated to pay Compensating Interest with respect to any interest shortfalls due to application of the Relief Act.

Servicer Events of Default

As provided in the Pooling Agreement, the Servicer may be removed as the servicer of the mortgage loans if there is a Servicer Event of Default.  The Servicer Events of Default include the following events with respect to the Servicer:

1.

any failure by the Servicer to remit to the Securities Administrator for distribution to the certificateholders any payment (other than Advances that are required to be made from its own funds) which continues unremedied for a period of one business day after the date upon which written notice of such failure, requiring the same to be remedied, shall have been received by the Servicer from the Depositor, the Securities Administrator or the Trustee, or received by the Servicer, the Depositor, the Securities Administrator and the Trustee from the holders of certificates entitled to at least 25% of the voting rights; or

2.

any failure on the part of the Servicer duly to observe or perform in any material respect any of the covenants or agreements on the part of the Servicer contained in the Pooling Agreement which continues unremedied for a period of 30 days after the earlier of (x) the date on which written notice of such failure, requiring the same to be remedied, shall have been received by the Servicer from the Depositor or the Trustee, or received by the Servicer, the Depositor, the Securities Administrator and the Trustee from the holders of certificates entitled to at least 25% of the voting rights and (y) actual knowledge of such failure by a Servicing Officer of the Servicer; or

3.

a decree or order of a court or agency or supervisory authority having jurisdiction in the premises in an involuntary case under any present or future federal or state bankruptcy, insolvency or similar law or the appointment of a conservator or receiver or liquidator in any insolvency, readjustment of debt, marshaling of assets and liabilities or similar proceeding, or for the winding-up or liquidation of its affairs, shall have been entered against the Servicer and if such proceeding is being contested by the Servicer in good faith, such decree or order shall have remained in force undischarged or unstayed for a period of 60 days or results in the entry of an order for relief or any such adjudication or appointment; or

4.

the Servicer shall consent to the appointment of a conservator or receiver or liquidator in any insolvency, readjustment of debt, marshaling of assets and liabilities or similar proceedings of or relating to it or of or relating to all or substantially all of its property; or

5.

the Servicer shall admit in writing its inability to pay its debts generally as they become due, file a petition to take advantage of any applicable insolvency or reorganization statute, make an assignment for the benefit of its creditors, or voluntarily suspend payment of its obligations; or

6.

any failure of the Servicer to make any Advances when due and that continue unremedied until 3:00 p.m. New York time on the first business day after the date upon which written notice of such failure, requiring the same to be remedied, shall have been received by the Servicer from the Depositor, the Securities Administrator or the Trustee.

If a Servicer Event of Default described in clauses 1. through 5. occurs, then, so long as the Servicer Event of Default shall not have been remedied, the Depositor or the Trustee may, and at the written direction of the holders of the certificates entitled to at least 51% of voting rights, the Trustee shall, by notice in writing to the Servicer (and to the Depositor if given by the Trustee or to the Trustee if given by the Depositor), terminate all of the rights and obligations of the Servicer in its capacity as the Servicer under the Pooling Agreement.  If the Servicer Event of Default described in clause 6. occurs and notice thereof has been delivered to the Trustee, the Trustee shall, by notice in writing to the Servicer, the Seller, the Trustee and the Depositor, terminate all of the rights and obligations of the Servicer in its capacity as the servicer under the Pooling Agreement.

No assurance can be given that termination of the rights and obligations of the Servicer under the Pooling Agreement would not adversely affect the servicing of the Mortgage Loans, including the delinquency experience of the Mortgage Loans.  In the event the Trustee is required to act as successor servicer, it will act to become the successor servicer within 90 days of the Servicer’s termination.  During this 90-day period, the terminated Servicer will continue to (a) service the Mortgage Loans, although the Trustee will be obligated, to the extent required in the Pooling Agreement, to make all Advances and remit all Compensating Interest required in respect of the Mortgage Loans, and (b) receive or retain all Servicing Fees and other servicing compensation.  If JPMorgan Chase Bank, National Association is terminated as the Servicer, it shall also resign as Securities Administrator, and another successor securities administrator shall be appointed as provided in the Pooling Agreement.

The Issuing Entity

On the Closing Date, and until the termination of the Trust Fund pursuant to the Pooling Agreement, J.P. Morgan Mortgage Acquisition Corp. 2006-FRE1 will be a common law trust formed under the laws of the state of New York. The Issuing Entity will be created under the Pooling Agreement by the Depositor and its assets will consist of the Trust Fund.  The Issuing Entity will not have any liabilities as of the Closing Date. The fiscal year end of the Issuing Entity will be December 31 of each year.

In addition, on the Closing Date the Supplemental Interest Trust will be created under the Pooling Agreement, and its assets will consist of the Interest Rate Swap Agreement and such assets as from time to time are deposited in the Swap Account. The Supplemental Interest Trust will be a common law trust formed under the laws of the state of New York.  All assets of the Supplemental Interest Trust are payable under the Pooling Agreement to the Trust Fund. See “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account.”

The Issuing Entity will not have any employees, officers or directors. The Securities Administrator, the Trustee, the Depositor, the Servicer and the Custodian will act on behalf of the Issuing Entity, and may only perform those actions on behalf of the Issuing Entity that are specified in the Pooling Agreement, the Mortgage Loan Purchase Agreement and the Custodial Agreement.

The Trustee, on behalf of the Issuing Entity, is only permitted to take such actions as are specifically set forth in the Pooling Agreement. Under the Pooling Agreement, the Trustee on behalf of the Issuing Entity will not have the power to issue additional certificates representing interests in the Pooling Agreement.  Except for transactions and activities entered into in connection with the securitization that is the subject of the Pooling Agreement, the Issuing Entity is not authorized and has no power to: borrow money or issue debt; merge with another entity, reorganize, liquidate or sell assets; or engage in any business or activities.

Each party to the Pooling Agreement will agree that it will not file an involuntary bankruptcy petition or initiate any other form of insolvency proceeding against the Trust Fund until one year and one day after the Certificates have been paid in full.  No changes to these restrictions may be made without the amendment of the Pooling Agreement by Certificateholders and the other parties thereto as described under “—The Pooling Agreement—Amendment.”

If the assets of the Trust Fund are insufficient to pay the Certificateholders all principal and interest owed, holders of Subordinate Certificates will not receive all of their expected payments of interest and principal and will suffer a loss. The Issuing Entity, as a common law trust, is not eligible to be a debtor in a bankruptcy proceeding. In the event of bankruptcy of the Sponsor, the Depositor or any Originator, it is not anticipated that the Trust Fund would become part of the bankruptcy estate or subject to the bankruptcy control of a third party.

The Trustee and the Securities Administrator

General.  U.S. Bank National Association, a national banking association, will be the Trustee under the Pooling Agreement.  The Trustee will be paid an annual fee by the Securities Administrator from the Securities Administrator Fee.  The Trustee will be entitled to reimbursement from the Trust Fund for certain expenses and other amounts prior to payment of any amounts to Certificateholders.  The Trustee’s “Corporate Trust Office” is located at 209 S. LaSalle Street, Suite 300, Chicago, Illinois 60604, Attention: JPMAC 2006-FRE1, or at such other addresses as the Trustee may designate from time to time.  The Trustee will be entitled to reimbursement from the Trust Fund for certain expenses, indemnities and other amounts prior to payment of any amounts to Certificateholders.

U.S. Bank General.  U.S. Bank National Association (“U.S. Bank”) will act as trustee under the pooling and servicing agreement.  U.S. Bank is a national banking association and a wholly-owned subsidiary of U.S. Bancorp, which is currently ranked as the sixth largest bank holding company in the United States with total assets exceeding $207 billion as of September 30, 2005.  As of September 30, 2005, U.S. Bancorp serves approximately 13.3 million customers, operates 2,396 branch offices in 24 states and has over 51,000 employees.  A network of specialized U.S. Bancorp offices across the nation, inside and outside its 24-state footprint, provides a comprehensive line of banking, brokerage, insurance, investment, mortgage, trust and payment services products to consumers, businesses, governments and institutions.

Corporate Trust General.  U.S. Bank has one of the largest corporate trust businesses in the country with offices in 31 U.S. cities.  The pooling and servicing agreement will be administered from U.S. Bank’s corporate trust office located at 209 South LaSalle Street, Suite 300, Chicago, Illinois 60604.

U.S. Bank has provided corporate trust services since 1924.  As of September 30, 2005, U.S. Bank was acting as trustee with respect to approximately 49,500 issuances of securities with an aggregate outstanding principal balance of over $1.58 trillion.  This portfolio includes corporate and municipal bonds, mortgage-backed and asset-backed securities and collateralized debt obligations.  

On December 30, 2005, U.S. Bank purchased the corporate trust and structured finance trust services businesses of Wachovia Corporation.  Following the closing of the acquisition, the Wachovia affiliate named as fiduciary or agent, as applicable, under each client agreement will continue in that role until U.S. Bank succeeds to that role in accordance with the terms of the governing instrument or agreement and applicable law.

Trustee – Asset Specific.  As of December 31, 2005, U.S. Bank (and its affiliate U.S. Bank Trust National Association) was acting as trustee on 353 issuances of sub-prime mortgage backed securities with an outstanding aggregate principal balance of approximately $90,186,200,000.

JPMorgan Chase Bank, National Association, as Securities Administrator, will perform certain administrative duties with respect to the Certificates including acting as authentication agent, certificate registrar, calculation agent, paying agent, and the party responsible for (i) preparing distribution statements and tax information for Certificateholders and preparing tax and SEC filings for the Trust and (ii) opening and holding the Distribution Account, the Swap Account and the Net WAC Reserve Fund on behalf of the Trust Fund.  The Securities Administrator’s “Corporate Trust Office” for purposes of presentment and surrender of the Certificates for final payment thereon is 2001 Bryan Street, 9th Floor, Dallas, Texas, 75201, Attention:  WSS – Structured Finance Payment Area.  The Securities Administrator will be entitled to reimbursement from the Trust Fund for certain expenses, indemnities and other amounts prior to payment of any amounts to Certificateholders.  

The Securities Administrator is JPMorgan Chase Bank, National Association, a national banking association organized under the laws of the United States and a wholly owned subsidiary of J.P. Morgan Chase & Co., a holding company with assets in excess of $1.2 trillion and operations in more than 50 countries. The operations include investment banking, financial services for consumers and businesses, financial transaction processing, asset and wealth management and private equity.  JPMorgan Chase Bank, National Association, acts as Securities Administrator through its Worldwide Securities Services division of the Treasury & Securities Services line of business.  JPMorgan Worldwide Securities Services offers a full range of trust and administrative services for prime and sub-prime asset-backed transactions from its office at 4 New York Plaza, 6th Floor, New York, New York  10004 and other offices worldwide.

Asset classes for which JPMorgan Worldwide Securities Services has been responsible for calculating or making distributions include residential and commercial mortgages, credit cards, auto loans, equipment loans and leases, home equity loans, trade receivables, commercial leases, franchise loans, and student loans.

Since 1990, JPMorgan Chase Bank, National Association or its predecessors have been responsible for calculating and making distributions to holders of asset-backed securities. As of December 31, 2005, JPMorgan Worldwide Securities Services performed such functions for approximately 809 asset-backed transactions, including about 418 residential mortgage receivables transactions.

Under the terms of the pooling and servicing agreement, JPMorgan Chase Bank, National Association, in its capacity as Securities Administrator, is responsible for securities administration, which includes pool performance calculations, distribution calculations, the preparation of monthly distribution reports, and the preparation and filing of tax returns on behalf of the trust REMICs, monthly reports on Form 10-D (based on information included in the monthly distribution date statements and other information provided by other transaction parties) and annual reports on Form 10-K that are required to be filed with the Securities and Exchange Commission on behalf of the issuing entity.

JPMorgan Chase Bank, National Association, will also act as paying agent and certificate registrar for the certificates.

The Securities Administrator shall be entitled to a monthly fee (the “Securities Administrator Fee”) calculated at 0.003% per annum (the “Securities Administrator Fee Rate”) on the aggregate Stated Principal Balance of the Mortgage Loans; provided, that the Securities Administrator will be paid a minimum Securities Administrator Fee of $500 per month.

The Securities Administrator will serve as paying agent and certificate registrar. The Securities Administrator will be responsible under the Pooling Agreement for preparing the monthly distribution date statement to Certificateholders, providing certain information available to the Securities Administrator to Certificateholders to enable them to prepare their tax returns and preparing and filing the Trust Fund’s tax information returns. The Securities Administrator will prepare the Distribution Date statements, tax returns, tax information and required reports based solely on information provided by the Servicer by the time such information is required to be delivered to the Securities Administrator and will make payments to the Swap Provider based solely on information provided by the Servicer. The Securities Administrator will not be required to confirm, verify, recalculate or recompute any such information, but will be entitled to rely conclusively on such information. The Securities Administrator will make the distribution date statement available each month to Certificateholders.

Limitation of Liability and Duties.  Neither the Securities Administrator nor the Trustee will have any liability arising out of or in connection with the Pooling Agreement, except that each such entity may be held liable for its own negligent action or failure to act, or for its own willful misconduct; provided, however, that neither the Securities Administrator nor the Trustee will be personally liable with respect to any action taken, suffered or omitted to be taken by it in good faith in accordance with the direction of the Certificateholders in an Event of Default, and neither the Securities Administrator nor the Trustee will be deemed to have notice of any Event of Default, Swap Default or Swap Termination unless a responsible officer of the Securities Administrator or the Trustee, as applicable, has actual knowledge of the Event of Default, Swap Default or Swap Termination or written notice of an Event of Default, Swap Default or Swap Termination is received by the Securities Administrator or the Trustee at the applicable Corporate Trust Office.  Neither the Securities Administrator nor the Trustee is required to expend or risk its own funds or otherwise incur any financial liability in the performance of any of its duties under the Pooling Agreement, or in the exercise of any of its rights or powers, if it has reasonable grounds for believing that repayment of those funds or adequate indemnity against risk or liability is not reasonably assured to it.

The Trustee will have no duties under the Pooling Agreement with respect to any claim or notice it may receive or which may be alleged to have been delivered to or served upon it by the parties as a consequence of the assignment of any Mortgage Loan under the Pooling Agreement; however, the Trustee will remit to the Servicer and the Securities Administrator any claim or notice it may receive which is delivered to the applicable Corporate Trust Office and which contains information sufficient to permit the Trustee to make a determination that the real property to which such document relates is a Mortgaged Property.

None of the provisions in the Pooling Agreement shall in any event require the Trustee or the Securities Administrator to perform, or be responsible for the manner of performance of, any of the obligations of the Servicer, or of the Swap Provider under the Interest Rate Swap Agreement. Neither the Securities Administrator nor the Trustee will be responsible for any act or omission of the Servicer, the Depositor, the Swap Provider, the Trust Oversight Manager or any other party.

The Trustee will not be responsible for (a) any recording or filing of any agreement or of any financing statement or continuation statement evidencing a security interest, or to see to the maintenance of any such recording or filing which may have been made, or the validity, priority, perfection or sufficiency of the security for the Certificates, (b) the payment of any insurance related to the Certificates or the Mortgage Loans or (c) the payment or discharge of any tax, assessment, or other governmental charge or any lien or encumbrance of any kind owing with respect to, assessed or levied against, any part of the Trust Fund, other than from funds available in the Collection Account or the Distribution Account. The Trustee is not responsible for the validity of the Pooling Agreement, the Interest Rate Swap Agreement or the Certificates or the validity, priority, perfection or sufficiency of the security for the Certificates.

Expenses and Reimbursements.  Each of the Securities Administrator and the Trustee will be entitled to reimbursement of all reasonable expenses, disbursements and advances incurred or made by such entity in accordance with the Pooling Agreement, except for expenses, disbursements and advances incurred by the Securities Administrator in the routine administration of its respective duties under the Pooling Agreement and except for any expenses arising from its negligence, bad faith or willful misconduct. Each of the Securities Administrator and the Trustee will also be entitled to indemnification from the Trust Fund for any loss, liability or expense incurred, arising out of, or in connection with, the acceptance or administration of the trusts created under the Pooling Agreement or in connection with the performance of its duties under the Pooling Agreement, the Interest Rate Swap Agreement, or the Custodial Agreement, including the costs and expenses of defending itself against any claim in connection with the exercise or performance of any of its powers or duties under the Pooling Agreement.

The Securities Administrator and the Trustee will be entitled to reimbursement for its expenses and indemnification amounts as described above, prior to distribution of any amounts to Certificateholders; provided that such reimbursement does not exceed a specified dollar limitation set forth in the Pooling Agreement. Any reimbursement due the Securities Administrator or the Trustee above such limitation for any given year or any previous year will be paid from any remaining Net Monthly Excess Cashflow remaining for such application as described under “—Overcollateralization Provisions” above.

Resignation and Removal of Trustee.  The Trustee may at any time resign and be discharged from the trust created under the Pooling Agreement by giving written notice thereof to the Depositor, the Seller, the Servicer and the Rating Agencies.  Upon receiving such notice of resignation of the Trustee, the Depositor shall promptly appoint a successor Trustee that meets the requirements in the Pooling Agreement, by written instrument, in duplicate, one copy of which instrument shall be delivered to each of the resigning Trustee and one copy to the successor Trustee.  If no successor Trustee shall have been so appointed and having accepted appointment within 30 days after the giving of such notice of resignation, the resigning Trustee may petition any court of competent jurisdiction for the appointment of a successor Trustee.

If at any time the Trustee shall cease to be eligible in accordance with the provisions of the Pooling Agreement or if at any time the Trustee shall be legally unable to act, or shall be adjudged a bankrupt or insolvent, or a receiver of the Trustee or of its property shall be appointed, or any public officer shall take charge or control of the Trustee or of its property or affairs for the purpose of rehabilitation, conservation or liquidation, then the Depositor may remove the Trustee.

The holders of Certificates entitled to at least 51% of the voting rights may at any time remove the Trustee and appoint a successor trustee by written instrument or instruments, in triplicate, signed by such Holders or their attorneys-in-fact duly authorized, one complete set of which instruments shall be delivered to the Depositor, one complete set to the Trustee so removed and one complete set to the successor so appointed. A copy of such instrument shall be delivered to the Certificateholders, the Trustee and the Servicer by the Depositor.

Any resignation or removal of the Trustee and appointment of a successor Trustee shall not become effective until acceptance of appointment by the successor Trustee, as provided in the Pooling Agreement.

The Trust Oversight Manager

Pentalpha Surveillance LLC, as Trust Oversight Manager (the “Trust Oversight Manager”), will monitor the performance of the Servicer, and make recommendations to the Servicer regarding certain delinquent and defaulted Mortgage Loans, subject to a Trust Oversight Agreement (the “Trust Oversight Agreement”) being entered into by the Depositor, the Trust Oversight Manager and the Servicer on or prior to the Closing Date.  The Trust Oversight Manager will rely upon mortgage loan data that is provided to it by the Servicer in performing its advisory and monitoring functions.  The Trust Oversight Manager shall be entitled to a monthly fee (the “Trust Oversight Manager Fee”) until (i) the termination of the Trust, (ii) the termination of the Servicer’s rights and obligations under the Pooling Agreement or (iii) its removal by the Depositor or its assigns and the appointment of a successor trust oversight manager.  Such fee will be paid by the Trust and will be equal to 0.015% per annum (the “Trust Oversight Manager Fee Rate ”) on the aggregate Stated Principal Balance of the Mortgage Loans.

The Trust Oversight Manager will be entitled to reimbursement from the Trust Fund for certain expenses, indemnities and other amounts prior to payment of any amounts to Certificateholders.

Voting Rights

The Class C Certificates will be allocated 1% of all voting rights and the other classes of Certificates will be allocated 99% of all voting rights under the Pooling Agreement.  Voting rights will be allocated among these other classes of Certificates in proportion to their respective Class Principal Amounts and among Certificates of such class in proportion to their Percentage Interests.  The “Percentage Interest of a Certificate will be a fraction, expressed as a percentage, the numerator of which is that Certificate’s Certificate Principal Amount and the denominator of which is the applicable Class Principal Amount.

Compliance with Applicable Servicing Criteria and Servicer Attestation

The Pooling Agreement provides that on or before a specified date in each year for which the Depositor is required to file a 10-K, each party participating in the servicing function of the trust provide a report on an assessment of compliance with the servicing criteria set forth in Item 1122 of Regulation AB.  Together with the assessment of compliance, a firm of independent public accountants will be required to furnish a an attestation report compliant with Item 1122 of Regulation AB on the party’s assessment of compliance with the applicable servicing criteria as an exhibit.

The Pooling Agreement also provides for delivery to the Trustee, the Depositor and the Securities Administrator, on or before a specified date in each, of an annual officer’s certificate to the effect that the Servicer has fulfilled its obligations under the Pooling Agreement throughout the preceding year.

Amendment

The Pooling Agreement may be amended by the Depositor, the Seller, the Servicer, the Securities Administrator and the Trustee, with the consent of the Swap Provider and the NIMS Insurer, if any, but without the consent of any of the certificateholders to cure any ambiguity, to correct, modify or supplement any provision in the Pooling Agreement, to make any other provisions with respect to matters or questions arising under the Pooling Agreement which are not inconsistent with the provisions of the Pooling Agreement, or to maintain the qualification of the Trust as a REMIC, provided that the action will not adversely affect in any material respect the interests of any certificateholder.  The Pooling Agreement may also be amended by the Depositor, the Seller, the Servicer, the Securities Administrator and the Trustee, with the consent of the Swap Provider and the NIMS Insurer, if any, and the holders of certificates evidencing not less than 66% of the voting rights for any purpose, but that no amendment may:

·

reduce in any manner the amount of or delay the timing of, payments received on the Mortgage Loans which are required to be distributed on any certificate without the consent of the holder of the certificate,

·

adversely affect in any material respect the interests of the holders of any class of certificates in a manner other than as described in the preceding bullet point, without the consent of the holders of certificates of that class evidencing not less than 66% of the aggregate voting rights of that class, or

·

reduce the percentage of voting rights required by the preceding bullet point for the consent to any amendment without the consent of the holders of all certificates covered by the Pooling Agreement then outstanding.

However, the Trustee, among other things, need not consent to any amendment of the Pooling Agreement unless it shall first have received an opinion of counsel to the effect that the amendment will not cause the Trust to fail to qualify as a REMIC at any time that the related certificates are outstanding.  

YIELD, PREPAYMENT AND WEIGHTED AVERAGE LIFE

The yields to maturity of the Offered Certificates will be sensitive to defaults on the Mortgage Loans.  If a purchaser of an Offered Certificate calculates its anticipated yield based on an assumed rate of default and amount of losses that is lower than the default rate and amount of losses actually incurred, its actual yield to maturity will be lower than that so calculated.  In general, the earlier a loss occurs, the greater is the effect on an investor’s yield to maturity.  There can be no assurance as to the delinquency, foreclosure or loss experience with respect to the Mortgage Loans.  Because the Mortgage Loans were underwritten in accordance with standards less stringent than those generally acceptable to Fannie Mae and Freddie Mac with regard to a borrower’s credit standing and repayment ability, the risk of delinquencies with respect to, and losses on, the Mortgage Loans will be greater than that of mortgage loans underwritten in accordance with Fannie Mae and Freddie Mac standards.  

The rate of principal payments, the aggregate amount of distributions and the yields to maturity of the Offered Certificates will be affected by the rate and timing of payments of principal on the Mortgage Loans.  In particular, the yields to maturity of each class of Senior Certificates will be most affected by the rate and timing of payments of principal on the Mortgage Loans in the related Group.  The rate of principal payments on the Mortgage Loans will in turn be affected by the amortization schedules of the Mortgage Loans and by the rate of principal prepayments (including for this purpose prepayments resulting from refinancing, liquidations of the Mortgage Loans due to defaults, casualties or condemnations and purchases by the Originator or the Servicer).  Because certain of the Mortgage Loans contain prepayment premiums, the rate of principal payments may be less than the rate of principal payments for Mortgage Loans that did not have prepayment premiums.  The Mortgage Loans are subject to the “due-on-sale” provisions included therein that provide that the Mortgage Loan is assumable by a creditworthy purchaser of the related Mortgaged Property.  See “Description of the Mortgage Pool” herein.

Prepayments, liquidations and purchases of the Mortgage Loans (including any optional purchase) will result in distributions on the Offered Certificates of principal amounts that would otherwise be distributed over the remaining terms of the Mortgage Loans.  Since the rate of payment of principal on the Mortgage Loans will depend on future events and a variety of other factors, no assurance can be given as to such rate or the rate of principal prepayments.  The extent to which the yield to maturity of a class of Offered Certificates may vary from the anticipated yield will depend upon the degree to which such class of Offered Certificates is purchased at a discount or premium.  Further, an investor should consider the risk that, in the case of any Offered Certificate purchased at a discount, a slower than anticipated rate of principal payments (including prepayments) on the Mortgage Loans could result in an actual yield to such investor that is lower than the anticipated yield and, in the case of any Offered Certificate purchased at a premium, a faster than anticipated rate of principal payments on the Mortgage Loans could result in an actual yield to such investor that is lower than the anticipated yield.

The rate of principal payments (including prepayments) on groups of mortgage loans may vary significantly over time and may be influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors’ housing needs, job transfers, unemployment, mortgagors’ net equity in the mortgaged properties and servicing decisions.  In general, if prevailing interest rates were to fall significantly below the Mortgage Rates on the Mortgage Loans, such Mortgage Loans could be subject to higher prepayment rates than if prevailing interest rates were to remain at or above the Mortgage Rates on such Mortgage Loans.  Conversely, if prevailing interest rates were to rise significantly, the rate of prepayments on such Mortgage Loans would generally be expected to decrease.  The Mortgage Loans may be subject to a greater rate of principal prepayments in a low interest rate environment.  For example, if prevailing interest rates were to fall, mortgagors may be inclined to refinance their Mortgage Loans with a fixed-rate loan to “lock in” a lower interest rate or to refinance their Mortgage Loans with other more competitive adjustable-rate mortgage loans.  The existence of the applicable Periodic Rate Cap and Maximum Rate with respect to the adjustable-rate Mortgage Loans also may affect the likelihood of prepayments resulting from refinancings.  No assurances can be given as to the rate of prepayments on the Mortgage Loans in stable or changing interest rate environments.  In addition, substantially all of the adjustable-rate Mortgage Loans will not have their initial Adjustment Date for two or three years after the origination thereof.  The prepayment experience of these delayed first adjustment Mortgage Loans may differ from that of the other Mortgage Loans.  The delayed first adjustment Mortgage Loans may be subject to greater rates of prepayments as they approach their initial Adjustment Dates even if market interest rates are only slightly higher or lower than the Mortgage Rates on such Mortgage Loans as borrowers seek to avoid changes in their monthly payments.

The interest-only feature of the Interest Only Mortgage Loans may reduce the perceived benefits of refinancing to take advantage of lower market interest rates or to avoid adjustments in the Mortgage Rates.  However, as a Mortgage Loan with such a feature nears the end of its interest-only period, the borrower may be more likely to refinance the Mortgage Loan, even if market interest rates are only slightly less than the Mortgage Rate in order to avoid the increase in the monthly payments to amortize the Mortgage Loan over its remaining life.

Except in the circumstances described in this prospectus supplement, principal distributions on the Group 1 Certificates relate to principal payments on the Group 1 Mortgage Loans and principal distributions on the Group 2 Certificates relate to principal payments on the Group 2 Mortgage Loans.

Approximately 58.17% of the Mortgage Loans (by aggregate Cut-off Date Principal Balance) provide for payment by the borrower of a prepayment premium in limited circumstances on certain prepayments.  The holders of the Class P Certificates will be entitled to all prepayment premiums received on the Mortgage Loans, and such amounts will not be available for distribution on the other classes of certificates.  Under certain circumstances, as described in the Pooling Agreement, the Servicer may waive the payment of any otherwise applicable prepayment premium.  Investors should conduct their own analysis of the effect, if any, that the prepayment premiums, and decisions by the Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans.  The Depositor makes no representations as to the effect that the prepayment premiums, and decisions by the Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans.

To the extent the Net WAC Rate is paid on the Offered Certificates, a shortfall in interest distributions to these certificateholders equal to the Net WAC Rate Carryover Amount will occur.  Such shortfall will only be payable from amounts paid under the Interest Rate Swap Agreement, but only in the priorities described under “Description of the Certificates—The Interest Rate Swap Agreement, the Swap Provider and the Swap Account” in this prospectus supplement, and the Net Monthly Excess Cashflow, but only to the extent that the Overcollateralization Target Amount has been reached or maintained and certain other amounts have been paid.  See “Description of the Certificates—Overcollateralization Provisions” in this prospectus supplement.

Additional Information

The Depositor has filed certain yield tables and other computational materials with respect to the Offered Certificates with the Securities and Exchange Commission (the “Commission”) and may file certain additional yield tables and other computational materials with respect to the Offered Certificates with the Commission pursuant to Rule 433.  Such tables and materials were prepared by the underwriter at the request of certain prospective investors, based on assumptions provided by, and satisfying the special requirements of, such prospective investors.  Such tables and assumptions may be based on assumptions that differ from the Structuring Assumptions (as defined herein).  Accordingly, such tables and other materials may not be relevant to or appropriate for investors other than those specifically requesting them.

Weighted Average Lives

The timing of changes in the rate of principal prepayments on the Mortgage Loans may significantly affect an investor’s actual yield to maturity, even if the average rate of principal prepayments is consistent with such investor’s expectation.  In general, the earlier a principal prepayment on the Mortgage Loans occurs, the greater the effect of such principal prepayment on an investor’s yield to maturity.  The effect on an investor’s yield of principal prepayments occurring at a rate higher (or lower) than the rate anticipated by the investor during the period immediately following the issuance of the Offered Certificates may not be offset by a subsequent like decrease (or increase) in the rate of principal prepayments.

The weighted average life of an Offered Certificate is the average amount of time that will elapse from the Closing Date, until each dollar of principal is repaid to the investors in such Offered Certificate.  Because it is expected that there will be prepayments and defaults on the Mortgage Loans, the actual weighted average lives of the Offered Certificates are expected to vary substantially from the weighted average remaining terms to stated maturity of the Mortgage Loans as set forth herein under “Description of the Mortgage Pool.”

The Final Scheduled Distribution Date for the Offered Certificates is as set forth in this prospectus supplement under “Description of the Certificates—Final Scheduled Distribution Date.”  The weighted average lives of the Offered Certificates are likely to be shorter than would be the case if payments actually made on the Mortgage Loans conformed to the foregoing assumptions, and the actual final Distribution Date with respect to the Offered Certificates could occur significantly earlier than the Final Scheduled Distribution Date because

·

prepayments are likely to occur,

·

excess cashflow, if any, will be applied as principal of the Senior Certificates and the Subordinate Certificates as described herein,

·

the Overcollateralization Target Amount may change as described in the Pooling Agreement, and

·

the Servicer or the NIMS Insurer, if any, may cause a termination of the Trust as provided herein.

Prepayments of mortgage loans are commonly measured relative to a prepayment standard or model.  The model used in this prospectus supplement (the “Prepayment Assumption”) assumes a prepayment rate for the fixed rate Mortgage Loans of 115% of the Fixed Rate Prepayment Vector and a prepayment rate for the adjustable rate Mortgage Loans of 100% of the Adjustable Rate Prepayment Vector.

(i)

A Fixed Rate Prepayment Vector assumes a constant prepayment rate (“CPR”) of 4.00% per annum of the then unpaid principal balance of such Mortgage Loans in the first month of the life of such Mortgage Loans and an additional approximately 1.4545% (precisely 16/11%) per annum in each month thereafter until the 12th month.  Beginning in the 12th month and in each month thereafter during the life of such Mortgage Loans, such prepayment vector assumes a 20% per annum.

(ii)

An Adjustable Rate Prepayment Vector assumes a CPR of 4.00% per annum of the then unpaid principal balance of such Mortgage Loans in the first month of the life of such Mortgage Loans and an additional approximately 1.3478% (precisely 31/23%) per annum in each month thereafter until the 24th month.  Beginning in the 24th month and in each month thereafter during the life of such Mortgage Loans, such prepayment vector assumes a 35% per annum.

CPR is a prepayment assumption that represents a constant assumed rate of prepayment each month relative to the then outstanding principal balance of a group of mortgage loans for the life of such mortgage loans.  The model does not purport to be either an historical description of the prepayment experience of any group of mortgage loans or a prediction of the anticipated rate of prepayment of any mortgage loans, including the Mortgage Loans to be included in the Trust.  Each of the “Prepayment Scenarios” in the table below assumes the respective percentages of the applicable Prepayment Assumption, indicated for such scenario.

The tables entitled “Percentage of Initial Class Principal Amount of the Offered Certificates Outstanding at the Following Prepayment Scenarios” were prepared on the basis of the assumptions in the following paragraph and the table set forth below.  There are certain differences between the loan characteristics included in such assumptions and the characteristics of the actual Mortgage Loans.  Any such discrepancy may have an effect upon the percentages of Initial Class Principal Amounts outstanding and weighted average lives of the Offered Certificates set forth in that table.  In addition, since the actual Mortgage Loans in the Trust will have characteristics that differ from those assumed in preparing the tables set forth below, the distributions of principal of the Offered Certificates may be made earlier or later than indicated in the table.

The percentages and weighted average lives in the tables entitled “Percentage of Initial Class Principal Amount of the Offered Certificates Outstanding at the Following Prepayment Scenarios” were determined assuming that (the “Structuring Assumptions”):

·

the Mortgage Loans have the characteristics set forth in the tables below,

·

the closing date for the Offered Certificates occurs on January 27, 2006,

·

distributions on the Offered Certificates are made on the 25th day of each month regardless of the day on which the Distribution Date actually occurs, commencing in February 2006,

·

the prepayment rates are those indicated in the “Prepayment Scenarios” table below,

·

the Originator is not required to substitute or repurchase any or all of the Mortgage Loans pursuant to the Pooling Agreement and no optional termination is exercised, except with respect to the entries identified by the row captioned “Weighted Average Life (years) to Clean-Up Call” in the tables below,

·

scheduled payments for all Mortgage Loans are received on the first day of each month commencing in February 2006, the principal portion of such payments is computed prior to giving effect to prepayments received in such month and there are no losses or delinquencies with respect to such Mortgage Loans,

·

all related Mortgage Loans prepay at the same rate and all such payments are treated as prepayments in full of individual Mortgage Loans, with no shortfalls in collection of interest,

·

such prepayments are received on the last day of each month commencing in the month of the Closing Date,

·

the original Principal Balance of the Class P Certificates is equal to $0,

·

the Fixed Swap Payment is calculated based on a schedule, a copy of which is attached hereto as Annex II and no Swap Termination Payment is made;

·

the Certificate Index is at all times equal to 4.420%,

·

Six-Month LIBOR is at all times equal to 4.700%,

·

the Mortgage Rate for each adjustable-rate Mortgage Loan is adjusted on its next Adjustment Date (and on subsequent Adjustment Dates, if necessary) to equal the sum of (a) the assumed level of the Six-Month LIBOR and (b) the respective Gross Margin (such sum being subject to the applicable Periodic Rate Caps, Minimum Mortgage Rates and Maximum Mortgage Rates), and

·

the Administrative Fee rate is initially approximately 0.525% per annum, subject to adjustment.

Nothing contained in the foregoing assumptions should be construed as a representation that the Mortgage Loans will not experience delinquencies or losses.


Prepayment Scenarios

 

Scenario I

Scenario II

Scenario III

Scenario IV

Scenario V

Fixed-Rate Mortgage
Loans(1)


0%

50%

100%

150%

200%

Adjustable-Rate Mortgage Loans(2)


0%

50%

100%

150%

200%


(1)

Percentage of the Prepayment Assumption.

(2)

Percentage of the Prepayment Assumption.


ASSUMED MORTGAGE LOAN CHARACTERISTICS

Group

Aggregate Principal Balance ($)

Current Mortgage Rate (%)

Original Term to Maturity (months)

Remaining Term to Maturity (months)

Margin (%)

Maximum Mortgage Rate (%)

Minimum Mortgage Rate (%)

Months to Next Rate Adjustment Date

Initial Periodic Rate Cap (%)

Subsequent Periodic Rate Cap (%)

Original Interest Only Period (months)

Original Amortization Term (months)

Group 1

$8,993,500.88

8.372

360

357

6.420

14.372

8.372

21

2.000

1.500

0

360

Group 1

$1,435,383.52

7.882

360

358

6.138

13.882

7.882

22

2.000

1.500

0

360

Group 1

$438,658.52

8.540

360

358

6.336

14.540

8.540

22

2.000

1.500

0

360

Group 1

$770,954.65

7.759

360

358

5.961

13.759

7.759

22

2.000

1.500

0

360

Group 1

$353,833.29

8.728

360

357

6.842

14.728

8.728

21

2.000

1.500

0

360

Group 1

$5,411,630.54

7.387

360

357

5.693

13.387

7.387

21

2.000

1.500

0

360

Group 1

$1,487,101.51

7.517

360

357

5.621

13.517

7.517

21

2.000

1.500

0

360

Group 1

$89,674.11

8.250

360

358

6.493

14.250

8.250

22

2.000

1.500

0

360

Group 1

$401,987.87

8.292

360

358

6.503

14.292

8.292

22

2.000

1.500

0

360

Group 1

$6,057,354.50

7.647

360

357

5.983

13.647

7.647

21

2.000

1.500

0

360

Group 1

$96,927,135.85

7.711

360

357

5.988

13.715

7.711

21

2.004

1.500

0

360

Group 1

$4,819,113.03

7.657

360

357

5.982

13.657

7.657

21

2.000

1.500

0

360

Group 1

$137,361,517.39

7.758

360

358

5.963

13.758

7.758

22

2.000

1.500

0

360

Group 1

$107,859.85

6.550

360

357

4.774

12.550

6.550

21

2.000

1.500

0

480

Group 1

$582,503.89

6.653

360

358

4.896

12.653

6.653

22

2.000

1.500

0

480

Group 1

$354,033.63

5.901

360

358

4.144

11.901

5.901

22

2.000

1.500

0

480

Group 1

$183,889.55

7.850

360

358

6.093

13.850

7.850

22

2.000

1.500

0

480

Group 1

$10,441,031.96

7.216

360

358

5.385

13.216

7.216

22

2.000

1.500

0

480

Group 1

$1,609,346.03

7.212

360

358

5.155

13.212

7.212

22

2.000

1.500

0

480

Group 1

$766,570.85

7.445

360

358

5.684

13.445

7.445

22

2.000

1.500

0

480

Group 1

$225,000.00

7.840

360

358

6.064

13.840

7.840

22

2.000

1.500

60

300

Group 1

$469,679.00

7.226

360

358

5.462

13.226

7.226

22

2.000

1.500

60

300

Group 1

$214,000.00

7.450

360

358

5.693

13.450

7.450

22

2.000

1.500

60

300

Group 1

$467,398.00

7.308

360

358

5.551

13.308

7.308

22

2.000

1.500

60

300

Group 1

$705,840.00

7.144

360

358

5.381

13.144

7.144

22

2.000

1.500

60

300

Group 1

$473,950.00

6.942

360

358

5.179

12.942

6.942

22

2.000

1.500

60

300

Group 1

$16,480,209.91

6.828

360

358

5.128

12.828

6.828

22

2.000

1.500

60

300

Group 1

$2,251,276.00

6.220

360

358

4.457

12.220

6.220

22

2.000

1.500

60

300

Group 1

$20,868,825.41

7.094

360

358

5.380

13.094

7.094

22

2.000

1.500

60

300

Group 1

$373,776.26

8.284

360

357

6.126

14.284

8.284

33

2.000

1.500

0

360

Group 1

$286,313.05

8.014

360

357

6.238

14.014

8.014

33

2.000

1.500

0

360

Group 1

$2,325,390.35

7.531

360

357

5.946

13.531

7.531

33

2.000

1.500

0

360

Group 1

$3,032,173.12

7.370

360

358

5.537

13.370

7.370

34

2.000

1.500

0

360

Group 1

$139,857.12

5.950

360

358

4.193

11.950

5.950

34

2.000

1.500

0

480

Group 1

$154,700.00

5.990

360

358

4.233

11.990

5.990

34

2.000

1.500

60

300

Group 1

$753,200.00

7.044

360

358

5.275

13.044

7.044

34

2.000

1.500

60

300

Group 1

$1,509,173.31

6.962

360

357

5.413

12.962

6.962

33

2.000

1.500

60

300

Group 1

$1,158,082.03

7.199

360

358

5.643

13.199

7.199

58

2.000

1.500

0

360

Group 1

$967,820.45

7.171

360

358

5.259

13.171

7.171

58

2.000

1.500

0

360

Group 1

$698,090.12

7.655

360

358

5.886

13.655

7.655

58

2.000

1.500

0

360

Group 1

$224,896.11

8.750

360

358

6.990

14.750

8.750

58

2.000

1.500

0

480

Group 1

$275,646.74

8.267

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$582,033.08

8.575

360

357

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$284,752.82

10.291

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$771,053.14

7.489

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$119,830.07

7.750

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$94,370.46

7.900

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$5,713,281.04

7.114

351

349

N/A

N/A

N/A

N/A

N/A

N/A

0

351

Group 1

$1,227,702.18

8.821

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$14,843,034.65

6.968

359

357

N/A

N/A

N/A

N/A

N/A

N/A

0

359

Group 1

$9,831,490.58

7.366

356

354

N/A

N/A

N/A

N/A

N/A

N/A

0

356

Group 1

$198,022.08

7.000

360

357

N/A

N/A

N/A

N/A

N/A

N/A

0

480

Group 1

$171,410.89

10.438

293

291

N/A

N/A

N/A

N/A

N/A

N/A

0

293

Group 1

$33,811.29

10.999

300

297

N/A

N/A

N/A

N/A

N/A

N/A

0

300

Group 1

$288,655.44

10.502

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$345,880.98

10.804

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 1

$4,179,919.19

10.188

343

341

N/A

N/A

N/A

N/A

N/A

N/A

0

343

Group 1

$113,867.67

9.569

341

339

N/A

N/A

N/A

N/A

N/A

N/A

0

341

Group 1

$2,477,926.47

10.314

320

317

N/A

N/A

N/A

N/A

N/A

N/A

0

320

Group 2

$505,923.62

7.718

360

358

5.891

13.718

7.718

22

2.000

1.500

0

360

Group 2

$4,982,422.08

8.086

360

357

6.384

14.086

8.086

21

2.000

1.500

0

360

Group 2

$259,239.86

7.226

360

358

5.454

13.226

7.226

22

2.000

1.500

0

360

Group 2

$752,868.93

6.485

360

357

4.878

12.485

6.485

21

2.000

1.500

0

360

Group 2

$1,101,667.30

8.063

360

358

6.209

14.063

8.063

22

2.000

1.500

0

360

Group 2

$91,825.46

8.300

360

357

6.990

14.300

8.300

21

2.000

1.500

0

360

Group 2

$239,690.87

8.200

360

358

6.300

14.200

8.200

22

2.000

1.500

0

360

Group 2

$3,978,385.24

7.246

360

358

5.474

13.246

7.246

22

2.000

1.500

0

360

Group 2

$1,272,547.72

7.194

360

357

5.600

13.194

7.194

21

2.000

1.500

0

360

Group 2

$79,840.38

9.450

360

356

6.990

15.450

9.450

20

2.000

1.500

0

360

Group 2

$100,138.68

9.100

360

357

6.990

15.100

9.100

21

2.000

1.500

0

360

Group 2

$28,209,767.14

7.841

360

357

6.209

13.852

7.841

21

2.000

1.500

0

360

Group 2

$161,734,761.50

7.570

360

357

5.849

13.572

7.570

21

2.001

1.500

0

360

Group 2

$9,092,731.59

6.867

360

357

5.155

12.867

6.867

21

2.000

1.500

0

360

Group 2

$178,176,662.68

7.608

360

358

5.876

13.610

7.608

22

2.002

1.500

0

360

Group 2

$223,891.90

8.600

360

358

6.843

14.600

8.600

22

2.000

1.500

0

480

Group 2

$5,026,893.40

8.055

360

358

6.219

14.055

8.055

22

2.000

1.500

0

480

Group 2

$42,608,450.77

7.198

360

358

5.413

13.198

7.198

22

2.000

1.500

0

480

Group 2

$4,354,909.75

7.054

360

358

5.264

13.054

7.054

22

2.000

1.500

0

480

Group 2

$1,438,640.42

8.002

360

358

6.235

14.002

8.002

22

2.000

1.500

0

480

Group 2

$261,200.00

6.500

360

358

4.743

12.500

6.500

22

2.000

1.500

60

300

Group 2

$410,334.00

6.650

360

358

5.393

12.650

6.650

22

2.000

1.500

60

300

Group 2

$7,376,992.00

6.861

360

357

5.223

12.861

6.861

21

2.000

1.500

60

300

Group 2

$59,014,803.80

6.753

360

358

5.047

12.753

6.753

22

2.000

1.500

60

300

Group 2

$3,127,976.00

6.468

360

358

4.704

12.496

6.468

22

2.000

1.500

60

300

Group 2

$28,581,839.01

7.003

360

358

5.306

13.003

7.003

22

2.000

1.500

60

300

Group 2

$597,263.70

7.332

360

356

5.904

13.332

7.332

32

2.000

1.500

0

360

Group 2

$988,293.87

8.087

360

357

6.563

14.087

8.087

33

2.000

1.500

0

360

Group 2

$1,483,373.08

7.698

360

357

6.054

13.698

7.698

33

2.000

1.500

0

360

Group 2

$6,764,827.24

7.162

360

358

5.509

13.162

7.162

34

2.000

1.500

0

360

Group 2

$643,514.72

7.050

360

358

5.293

13.050

7.050

34

2.000

1.500

0

480

Group 2

$214,400.00

6.950

360

358

5.193

12.950

6.950

34

2.000

1.500

60

300

Group 2

$852,720.00

7.245

360

357

5.888

13.245

7.245

33

2.000

1.500

60

300

Group 2

$799,714.47

7.129

360

358

5.361

13.129

7.129

58

2.000

1.500

0

360

Group 2

$1,440,207.40

6.349

360

357

5.038

12.349

6.349

57

2.000

1.500

0

360

Group 2

$1,058,767.01

6.434

360

356

5.401

12.434

6.434

56

2.000

1.500

0

360

Group 2

$414,663.21

8.200

360

358

6.443

14.200

8.200

58

2.000

1.500

0

360

Group 2

$7,052,016.00

6.966

360

357

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 2

$100,625.65

8.750

360

357

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 2

$12,493,799.00

6.693

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 2

$6,694,509.54

7.926

359

356

N/A

N/A

N/A

N/A

N/A

N/A

0

359

Group 2

$585,201.20

6.990

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

480

Group 2

$4,958.19

12.750

120

118

N/A

N/A

N/A

N/A

N/A

N/A

0

120

Group 2

$902,477.69

10.702

334

332

N/A

N/A

N/A

N/A

N/A

N/A

0

334

Group 2

$155,023.28

10.372

299

297

N/A

N/A

N/A

N/A

N/A

N/A

0

299

Group 2

$168,894.51

10.672

305

303

N/A

N/A

N/A

N/A

N/A

N/A

0

305

Group 2

$10,525.53

11.990

60

57

N/A

N/A

N/A

N/A

N/A

N/A

0

60

Group 2

$811,589.24

10.135

333

331

N/A

N/A

N/A

N/A

N/A

N/A

0

333

Group 2

$275,107.00

9.629

316

314

N/A

N/A

N/A

N/A

N/A

N/A

0

316

Group 2

$27,070.22

8.990

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 2

$44,971.88

11.625

360

358

N/A

N/A

N/A

N/A

N/A

N/A

0

360

Group 2

$3,638,825.61

10.057

352

349

N/A

N/A

N/A

N/A

N/A

N/A

0

352

Group 2

$21,566,839.56

10.134

350

348

N/A

N/A

N/A

N/A

N/A

N/A

0

350

Group 2

$2,298,451.40

9.987

340

338

N/A

N/A

N/A

N/A

N/A

N/A

0

340

Group 2

$23,384,710.84

10.351

341

339

N/A

N/A

N/A

N/A

N/A

N/A

0

341


The actual characteristics and the performance of the Mortgage Loans will differ from the assumptions used in constructing the tables set forth below, which are hypothetical in nature and are provided only to give a general sense of how the principal cash flows might behave under varying prepayment scenarios.  For example, it is not expected that the Mortgage Loans will prepay at a constant rate until maturity, that all of the Mortgage Loans will prepay at the same rate or that there will be no defaults or delinquencies on the Mortgage Loans.  Moreover, the diverse remaining terms to maturity and the Mortgage Rates of the Mortgage Loans could produce slower or faster principal distributions than indicated in the tables at the various prepayment scenarios specified, even if the weighted average remaining term to maturity and weighted average Mortgage Rate of the Mortgage Loans are assumed.  Any difference between such assumptions and the actual characteristics and performance of the Mortgage Loans, or actual prepayment or loss experience, will cause the percentages of initial Class Principal Amounts outstanding over time and the weighted average lives of the Offered Certificates to differ (which difference could be material) from the corresponding information in the tables for each indicated prepayment scenario.

Subject to the foregoing discussion and assumptions, the following tables indicate the weighted average lives of the Offered Certificates and set forth the percentages of the initial Class Principal Amounts of the Offered Certificates that would be outstanding after each of the Distribution Dates shown at various prepayment scenarios.

The weighted average life of an Offered Certificate is determined by (1) multiplying the net reduction, if any, of the applicable Class Principal Amount by the number of years from the date of issuance of the Offered Certificate to the related Distribution Date, (2) adding the results and (3) dividing the sum by the aggregate of the net reductions of Class Principal Amount described in (1) above.


PERCENTAGE OF INITIAL CLASS PRINCIPAL AMOUNT OF THE OFFERED CERTIFICATES OUTSTANDING AT THE FOLLOWING PREPAYMENT SCENARIOS

 

Class A-1 Certificates