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Dsla Mortgage Loan Trust 2006-AR1 – ‘424B5’ on 3/30/06

On:  Thursday, 3/30/06, at 11:54am ET   ·   Accession #:  1162318-6-326   ·   File #:  333-127352-31

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

 3/30/06  Dsla Mortgage Loan Trust 2006-AR1 424B5                  1:2.2M                                   Nelson McKee/FA

Document/Exhibit                   Description                      Pages   Size 

 1: 424B5       Prospectus                                          HTML   1.60M 

PROSPECTUS SUPPLEMENT

(To Prospectus dated September 26, 2005)

$985,487,000
(Approximate)

DSLA Mortgage Loan Trust 2006-AR1

Mortgage Loan Pass-Through Certificates, Series 2006-AR1

GREENWICH CAPITAL ACCEPTANCE, INC.

Depositor

DSLA MORTGAGE LOAN TRUST 2006-AR1

Issuing Entity

GREENWICH CAPITAL FINANCIAL PRODUCTS, INC.

Sponsor and Seller

DOWNEY SAVINGS AND LOAN ASSOCIATION, F.A.

Servicer and Originator

WELLS FARGO BANK, N.A.

Master Servicer and Securities Administrator

Neither the Securities and Exchange Commission nor any state securities commission has approved these securities or determined that this prospectus supplement or the prospectus is accurate or complete.  Any representation to the contrary is a criminal offense.

Greenwich Capital Markets, Inc. (the “Underwriter”) will offer the certificates pursuant to this prospectus supplement from time to time in negotiated transactions or otherwise at varying prices to be determined at the time of sale.  Proceeds to the depositor with respect to the offered certificates are estimated to be approximately 99.72% of their initial total principal balance plus accrued interest, if applicable, before deducting issuance expenses payable by the depositor, estimated to be approximately $650,000.  See “Method of Distribution” in this prospectus supplement.

March 28, 2006

FOR EUROPEAN PURCHASERS ONLY: IN RELATION TO EACH MEMBER STATE OF THE EUROPEAN ECONOMIC AREA WHICH HAS IMPLEMENTED THE PROSPECTUS DIRECTIVE (EACH, A “RELEVANT MEMBER STATE”), THE UNDERWRITER HAS REPRESENTED AND AGREED THAT WITH EFFECT FROM AND INCLUDING THE DATE ON WHICH THE PROSPECTUS DIRECTIVE IS IMPLEMENTED IN THAT RELEVANT MEMBER STATE (THE “RELEVANT IMPLEMENTATION DATE”) IT HAS NOT MADE AND WILL NOT MAKE AN OFFER OF SECURITIES TO THE PUBLIC IN THAT RELEVANT MEMBER STATE PRIOR TO THE PUBLICATION OF A PROSPECTUS IN RELATION TO THE SECURITIES WHICH HAS BEEN APPROVED BY THE COMPETENT AUTHORITY IN THAT RELEVANT MEMBER STATE OR, WHERE APPROPRIATE, APPROVED IN ANOTHER RELEVANT MEMBER STATE AND NOTIFIED TO THE COMPETENT AUTHORITY IN THAT RELEVANT MEMBER STATE, ALL IN ACCORDANCE WITH THE PROSPECTUS DIRECTIVE, EXCEPT THAT IT MAY, WITH EFFECT FROM AND INCLUDING THE RELEVANT IMPLEMENTATION DATE, MAKE AN OFFER OF SECURITIES TO THE PUBLIC IN THAT RELEVANT MEMBER STATE AT ANY TIME:  (A) TO LEGAL ENTITIES WHICH ARE AUTHORISED OR REGULATED TO OPERATE IN THE FINANCIAL MARKETS OR, IF NOT SO AUTHORISED OR REGULATED, WHOSE CORPORATE PURPOSE IS SOLELY TO INVEST IN SECURITIES; (B) TO ANY LEGAL ENTITY WHICH HAS TWO OR MORE OF (1) AN AVERAGE OF AT LEAST 250 EMPLOYEES DURING THE LAST FINANCIAL YEAR; (2) A TOTAL BALANCE SHEET OF MORE THAN €43,000,000 AND (3) AN ANNUAL NET TURNOVER OF MORE THAN €50,000,000, AS SHOWN IN ITS LAST ANNUAL OR CONSOLIDATED ACCOUNTS; OR (C) IN ANY OTHER CIRCUMSTANCES WHICH DO NOT REQUIRE THE PUBLICATION BY THE ISSUER OF A PROSPECTUS PURSUANT TO ARTICLE 3 OF THE PROSPECTUS DIRECTIVE.

TABLES OF CONTENTS

Prospectus Supplement

Page

The Offered Certificates

S-3

Summary of Terms

S-4

Risk Factors

S-14

Glossary

S-25

The Mortgage Loan Groups

S-25

Additional Information

S-55

Static Pool Information

S-55

The Depositor

S-55

The Sponsor and Seller

S-56

Affiliations and Relationships

S-57

The Originator

S-57

The Master Servicer

S-60

The Servicer

S-61

Mortgage Loan Servicing

S-63

The Certificate Insurer

S-67

Servicing and Administration of the Trust Fund

S-70

Fees and Expenses of the Trust Fund

S-74

The Pooling and Servicing Agreement

S-76

Description of the Certificates

S-85

Yield, Prepayment and Maturity Considerations

S-104

Material Federal Income Tax Consequences

S-122

State Taxes

S-124

ERISA Considerations

S-124

Legal Investment Considerations

S-126

Use of Proceeds

S-127

Method of Distribution

S-127

Experts

S-127

Legal Matters

S-127

Ratings

S-128

Glossary of Terms

S-129

Annex A:  Global Clearance,   Settlement and Tax Documentation Procedures

A-1

Prospectus

Page

Important Notice About Information in This Prospectus and Each Accompanying Prospectus Supplement

5

Risk Factors

6

The Trust Fund

17

Use of Proceeds

34

The Depositors

35

Loan Program

35

Description of the Securities

39

Credit Enhancement

49

Yield and Prepayment Considerations

59

Operative Agreements

63

Material Legal Aspects of the Loans

84

Material Federal Income Tax Consequences

107

State Tax Considerations

154

ERISA Considerations

154

Legal Investment Considerations

160

Method of Distribution

162

Legal Matters

163

Financial Information

163

Available Information

163

Ratings

164

Glossary of Terms

165

The Offered Certificates

The certificates consist of the classes of certificates listed in the tables below, together with the Class M-10, Class R, Class R-II, Class ES, Class C and Class P Certificates.  Only the classes of certificates listed in the tables below are offered by this prospectus supplement.

__________________

(1)

These balances are approximate, as described in this prospectus supplement.

(2)

Reflects the interest rate formula up to and including the earliest possible distribution date on which the servicer has the option to purchase the mortgage loans as described in this prospectus supplement under “The Pooling and Servicing Agreement—Optional Termination of the Trust Fund.”

(3)

Reflects the interest rate formula after the option to purchase the mortgage loans is not exercised by the servicer at the earliest possible distribution date as described in this prospectus supplement under “The Pooling and Servicing Agreement—Optional Termination of the Trust Fund.”

(4)

The final scheduled distribution date for the offered certificates is based upon the first distribution date following the month of the scheduled payment of the latest maturing mortgage loan. The final scheduled distribution date for the Class 1A-1B and Class 2A-1C Certificates is based upon the thirteenth distribution date following the month of the last scheduled payment of the latest maturing mortgage loan in the related loan group or loan groups.  

(5)

The expected final distribution date, based upon (a) a constant prepayment rate of 25% annually and the structuring assumptions used in this prospectus supplement, each as described under “Yield, Prepayment and Maturity Considerations—Structuring Assumptions” and (b) the assumption that the option to purchase the mortgage loans is exercised by the servicer on the earliest possible distribution date as described in this prospectus supplement under “The Pooling and Servicing Agreement—Optional Termination of the Trust Fund.”  The actual final distribution date for each class of offered certificates may be earlier or later, and could be substantially later, than the applicable expected final distribution date listed above.

(6)

Subject to a maximum interest rate equal to the lesser of (1) a cap based on weighted average of the net loan rates of the mortgage loans (and in the case of the Class 1A-1B Certificates, less the insurance premium rate) and adjusted for the related accrual period and (2) a cap based on the weighted average of the net maximum loan rates of the mortgage loans (and in the case of the Class 1A-1B Certificates, less the related insurance premium rate).

(7)

Subject to a maximum interest rate equal to the lesser of (1) a cap based on weighted average of the net loan rates of the mortgage loans (and in the case of the Class 2A-1C Certificates, less the related insurance premium rate) multiplied by the quotient of 30 divided by the actual number of days in the related accrual period and (2) 11.000% per annum.

Summary of Terms

·

This summary highlights selected information from this document and does not contain all of the information that you need to consider in making your investment decision.  To understand all of the terms of the offering of the offered certificates, read carefully this entire document and the accompanying prospectus.

·

This summary provides an overview of certain calculations, cash flow priorities and other information to aid your understanding and is qualified by the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus.  Some of the information consists of forward-looking statements relating to future economic performance or projections and other financial items.  Forward-looking statements are subject to a variety of risks and uncertainties that could cause actual results to differ from the projected results.  Those risks and uncertainties include, among others, general economic and business conditions, regulatory initiatives and compliance with governmental regulations, and various other matters, all of which are beyond our control.  Accordingly, what actually happens may be very different from what we predict in our forward-looking statements.

·

Whenever we refer in this prospectus supplement to a percentage of some or all of the mortgage loans expected to be included as trust fund assets or in a loan group, that percentage has been calculated on the basis of the total stated principal balance of those mortgage loans as of March 1, 2006, unless stated otherwise.  We explain in this prospectus supplement under “The Mortgage Loan Groups—General” how the stated principal balance of a mortgage loan is calculated.  Whenever we refer in this Summary of Terms or in the Risk Factors section of this prospectus supplement to the total principal balance of any mortgage loans, we mean the total of their stated principal balances, unless we specify otherwise.

Offered Certificates

The offered certificates will be book-entry securities clearing through The Depository Trust Company in the U.S. or upon request through Clearstream, Luxembourg or Euroclear in Europe, in minimum denominations of $25,000 and integral multiples of $1 in excess thereof; provided, however, that the underwriter will only sell offered certificates to initial investors in minimum total investment amounts of $100,000.

The Class M-10, Class C, Class R, Class R-II, Class ES and Class P Certificates will be issued by the trust fund but not offered by this prospectus supplement or the prospectus. Information about the Class M-10, Class C, Class R, Class R-II, Class ES and Class P Certificates is being included only as far as it relates to the offered certificates.

See “Description of the Certificates— General,” “—Book-Entry Registration and Definitive Certificates” and “The Mortgage Loan Groups” in this prospectus supplement and “The Trust Fund—The Mortgage Loans—General” in the prospectus for additional information.

Cut-off Date

The cut-off date is March 1, 2006.  The cut-off date is the date after which the issuing entity will be entitled to receive all collections on and proceeds of the mortgage loans.

Closing Date

On or about March 30, 2006.

Sponsor and Seller

Greenwich Capital Financial Products, Inc.

See “The Sponsor and Seller” in this prospectus supplement for additional information.

Depositor

Greenwich Capital Acceptance, Inc.  The depositor’s address is 600 Steamboat Road, Greenwich, Connecticut 06830, and its telephone number is (203) 625-2700.

See “The Depositor” in this prospectus supplement for additional information.

Issuing Entity

DSLA Mortgage Loan Trust 2006-AR1, a common law trust formed under the laws of the State of New York.

Trustee

Deutsche Bank National Trust Company.

See “The Pooling and Servicing Agreement—The Trustee” in this prospectus supplement for additional information.

Securities Administrator

Wells Fargo Bank, N.A. will act as the securities administrator pursuant to the pooling and servicing agreement.

See “The Pooling and Servicing Agreement—The Securities Administrator” in this prospectus supplement for additional information.

Master Servicer

Wells Fargo Bank, N.A. will oversee the servicing of the mortgage loans by the servicer.

See “The Master Servicer” in this prospectus supplement for additional information.

Servicer

Downey Savings and Loan Association, F.A.

See “The Servicer” and “Servicing of Mortgage Loans” in this prospectus supplement for additional information.

Originator

Downey Savings and Loan Association, F.A.

See “Mortgage Loan Origination” in this prospectus supplement for additional information.

Credit Risk Manager

Clayton Fixed Income Services Inc. (formerly known as The Murrayhill Company) will monitor and advise the servicer with respect to default management of the mortgage loans and also prepare certain loan-level reports for the depositor and, upon request, for the certificate insurer.

Certificate Insurer

XL Capital Assurance Inc.

See “The Certificate Insurer” in this prospectus supplement for additional information.

Custodian

Deutsche Bank National Trust Company will maintain custody of the mortgage loan documents.

Mortgage Loans

The assets of the trust fund will consist primarily of a pool of adjustable rate, first lien, residential mortgage loans that are divided into two loan groups, each having the characteristics described in this prospectus supplement.

The mortgage loans will have a total principal balance of approximately $993,437,125 as of the cut-off date, subject to a variance of plus or minus 10%.

Loan Groups

·

Group 1 Mortgage Loans
A group of conventional first lien, adjustable rate mortgage loans that have original principal balances that conform to Fannie Mae and Freddie Mac guidelines and interest rates that generally have an initial fixed rate period of one month and thereafter adjust on a monthly basis.

·

Group 2 Mortgage Loans
A group of conventional first lien, adjustable rate mortgage loans that have original principal balances that may or may not conform to Fannie Mae and Freddie Mac guidelines and interest rates that generally have an initial fixed rate period of one month and thereafter adjust on a monthly basis.

As of March 1, 2006, approximately 0.06% of all the mortgage loans, none of the group 1 mortgage loans  and approximately 0.09% of the group 2 mortgage loans were still in their initial fixed rate period.

Total Mortgage Loan Summary

_______________________

(1)

Percentages calculated based on the total principal balance of the mortgage loans in all mortgage groups.

Group 1 Mortgage Loan Summary

_______________________

(1)

Percentages calculated based on the total principal balance of the group 1 mortgage loans.

Group 2 Mortgage Loan Summary

_______________________

(1)

Percentages calculated based on the total principal balance of the group 2 mortgage loans.

Mortgage Loan Representations and Warranties/Defective Documentation

The originator has made certain representations and warranties concerning the mortgage loans, including a representation and warranty that none of the mortgage loans in the trust fund will be “high cost” loans under applicable federal, state or local anti-predatory or anti-abusive lending laws. The depositor’s rights under these representations and warranties will be assigned to the trustee for the benefit of the certificateholders and the certificate insurer.

In addition, within 90 days after the custodian receives the mortgage loans and the related documents, the custodian will review the documents in the mortgage loan files in accordance with the review criteria set forth in the pooling and servicing agreement.

After the discovery of a breach of any representation or warranty that materially and adversely affects the interests of the certificateholders or the certificate insurer in a mortgage loan or after the discovery by the custodian that a mortgage loan or related document is defective in any material respect, the originator will be required to either (1) cure that breach, (2) repurchase the affected mortgage loan from the trust fund or (3) in certain circumstances, substitute another mortgage loan.

In order to substitute a new mortgage loan for a mortgage loan that has been removed from the trust fund because of a breach of a representation or warranty or defective documentation, (a) substitution must take place within two years from the closing date and (b) an opinion of counsel to the effect that the substitution will not disqualify any REMIC created under the pooling and servicing agreement or result in a prohibited transaction tax under the Internal Revenue Code must be provided.

See “The Pooling and Servicing Agreement—Assignment of the Mortgage Loans” in this prospectus supplement.

Designations

Each class of certificates will have different characteristics, some of which are reflected in the following general designations.

·

Offered Certificates
Class 1A-1A, Class 1A-1B, Class 2A-1A, Class 2A-1B, Class 2A-1C, 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.

·

LIBOR Certificates
Class 2A-1B, Class 2A-1C, 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 and Class M-10 Certificates.

·

MTA Certificates
Class 1A-1A, Class 1A-1B and Class 2A-1A Certificates.

·

Senior Certificates
Class 1A-1A, Class 1A-1B, Class 2A-1A, Class 2A-1B and Class 2A-1C Certificates.

·

Subordinate Certificates
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 and Class M-10 Certificates.

·

Group 1 Certificates
Class 1A-1A and Class 1A-1B Certificates.

·

Group 2 Certificates
Class 2A-1A, Class 2A-1B and Class 2A-1C Certificates.

·

Insured Certificates
Class 1A-1B and Class 2A-1C Certificates.

·

Book-Entry Certificates
All classes of offered certificates.

·

Residual Certificates
Class R and Class R-II Certificates.

Payments of interest and principal on the Class 1A-1A and Class 1A-1B Certificates will primarily be based on collections from the group 1 mortgage loans.  Payments of interest and principal on the Class 2A-1A, Class 2A-1B and Class 2A-1C Certificates will primarily be based on collections from the group 2 mortgage loans.

Payments of interest and principal on the subordinate certificates will be based on the aggregate collections from the group 1 and group 2 mortgage loans.

Distribution Date

Beginning in April 2006, the securities administrator, as paying agent for the trustee, will make payments on the certificates on the 19th day of each month, or if the 19th day is not a business day, on the next business day.  Payments on each distribution date will be made to certificateholders of record as of the related record date, except that the final payment 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

With respect to any distribution date, the record date for the MTA certificates will be the last business day of the month preceding the month of that distribution date (or the closing date, in the case of the first distribution date) and the record date for the LIBOR certificates will be the business day before that distribution date.

Interest Payments on the Certificates

General

On each distribution date, to the extent funds are available from the related mortgage loan group or groups, each class of offered certificates will be entitled to receive accrued and unpaid interest determined on the basis of the related outstanding class principal balance immediately prior to that distribution date, the applicable pass-through rate and interest accrual period, and any accrued and unpaid interest shortfall attributable solely to basis risk, but solely to the extent of funds available in the basis risk reserve fund; provided, however, that the amount of interest distributable on a distribution date with respect to any class of offered certificates will be reduced by the amount, if any, of net deferred interest accrued on the mortgage loans for the month before that distribution date and allocable to such class of certificates, as described under “Description of the Certificates—Interest” in this prospectus supplement.  In the case of any class of offered certificates, any amount of net deferred interest allocable to that class of certificates will be added as principal to the outstanding class principal balance of that class of certificates, as described under “Description of the Certificates—Interest” in this prospectus supplement.

Net deferred interest will equal the excess, if any, of deferred interest added to the principal balances of the related mortgage loans over the aggregate amount of principal prepayments in full and partial prepayments of principal received with respect to the related group of mortgage loans during the related prepayment period.

Interest payments on the MTA certificates for each accrual period will be calculated and payable on the basis of an assumed 360-day year consisting of twelve 30–day months.  Interest on the LIBOR certificates will accrue on the basis of an assumed 360-day year and the actual number of days in the related interest accrual period.  The Class C Certificates will accrue interest as provided in the pooling and servicing agreement.

With respect to each distribution date, the interest accrual period for the LIBOR certificates will be the period beginning on the prior distribution date (or the closing date, in the case of the first distribution date) and ending on the day immediately preceding that distribution date.  With respect to each distribution date, the interest accrual period for the MTA certificates will be the calendar month immediately preceding that distribution date.

Pass-Through Rates

Class 1A-1A, Class 1A-1B, Class 2A-1A, Class 2A-1B and Class 2A-1C Certificates

Interest on the Class 1A-1A, Class 1A-1B and Class 2A-1A Certificates for any distribution date will be calculated at an annual rate equal to the least of (1) one-year MTA plus the margin specified for the related class for that distribution date on page S-3 of this prospectus supplement, (2) a cap based on the weighted average of the net loan rates of the mortgage loans (and in the case of the Class 1A-1B Certificates, less the related insurance premium rate), and (3) a cap based on the weighted average of the net maximum loan rates of the mortgage loans (and in the case of the Class 1A-1B Certificates, less the related insurance premium rate).

Interest on the Class 2A-1B and Class 2A-1C Certificates for any distribution date will be calculated at an annual rate equal to the least of (1) one-month LIBOR plus the margin specified for the related class for that distribution date on page S-3 of this prospectus supplement, (2) a cap based on the weighted average of the net loan rates of the mortgage loans (and in the case of the Class 2A-1C Certificates, less the related insurance premium rate) multiplied by the quotient of 30 divided by the actual number of days in the accrual period and (3) 11.000% per annum.

Subordinate Certificates

Interest on the subordinate certificates for any distribution date will be calculated at an annual rate equal to the least of (1) one-month LIBOR plus the margin specified for the related class for that distribution date on page S-3 of this prospectus supplement, (2) a cap based on the weighted average of the net loan rates of the mortgage loans multiplied by the quotient of 30 divided by the actual number of days in the accrual period and (3) 11.000% per annum.

See “Description of the Certificates—Interest” and “—Pass-Through Rates” in this prospectus supplement.

Principal Payments on the Certificates

Principal will be paid to holders of the offered certificates to the extent of funds available to make payments of principal, on each distribution date in the amounts described in this prospectus supplement under “Description of the Certificates—Principal.”

On each distribution date (1) on or after the applicable stepdown date and (2) on which a trigger event is not in effect, principal payments will be made to the certificates in a priority of payment different than otherwise would be the case.

Prepayment Penalties on the Mortgage Loans

The Class P Certificates are entitled to all prepayment penalties that the servicer receives from collections on the mortgage loans in both loan groups.  The Class P Certificates will receive these prepayment penalties even if no interest or principal is distributed on the certificates on a distribution date.

Payment Priorities

On each distribution date, the securities administrator, as paying agent for the trustee, will apply the amounts in respect of the interest and principal, as applicable, collected on mortgage loans in each group available to: make payments of interest and principal on the senior certificates; reimburse the certificate insurer for amounts due under the pooling and servicing agreement and the indemnification agreement; make payments of interest and principal on the subordinate certificates; create and maintain overcollateralization; fund basis risk-shortfalls; and make payments to the Class C and Class R Certificates as provided in the pooling and servicing agreement, in each case in the order of priority and in the amounts provided herein.

See “Description of the Certificates” in this prospectus supplement for additional information.

Advances

The servicer is required to make advances to cover delinquent payments of principal and interest in respect of the mortgage loans unless it reasonably believes that the advances are not recoverable from future payments or other recoveries on the related mortgage loans.  The master servicer will be obligated to make advances if the servicer is obligated to make an advance and fails to do so, and the trustee (in its capacity as successor master servicer) will be obligated to make advances if the master servicer fails to do so.  Advances are intended to maintain a regular flow of scheduled interest and principal payments on the certificates and are not intended to guarantee or insure against losses.  The servicer is also required to make certain servicing-related advances.

See “Servicing of Mortgage Loans—Advances” in this prospectus supplement for additional information.

Optional Termination of the Trust Fund

The servicer may (1) purchase all of the mortgage loans and the other property of the trust fund when the total scheduled principal balance of the mortgage loans and any real estate owned by the trust fund is 5% or less of the total principal balance of the mortgage loans as of the cut-off date and (2) terminate the trust fund, subject to certain conditions set forth in the pooling and servicing agreement.

If the servicer fails to exercise its optional termination right, the margin over the LIBOR component of the pass-through rates on the LIBOR certificates will increase as described in the table on page S-3 of this prospectus supplement, and under “Description of the Certificates—Interest—Pass-Through Rates” and “The Pooling and Servicing Agreement—Optional Termination of the Trust Fund” in this prospectus supplement.

See “The Pooling and Servicing Agreement—Optional Termination of the Trust Fund” in this prospectus supplement for additional information.

Fees and Expenses

The servicer, the master servicer, the credit risk manager and the certificate insurer will receive the following compensation:

·

For the servicer, for each mortgage loan, a monthly fee out of interest collections received from that mortgage loan calculated as the product of the outstanding principal balance of the mortgage loan and the servicing fee rate, equal to 0.375% per annum.

·

For the master servicer, (1) for each mortgage loan, a monthly fee out of interest collections received from that mortgage loan calculated as the product of the outstanding principal balance of that mortgage loan and the master servicing fee rate, equal to 0.0075% per annum and (2) investment earnings, if any, on amounts on deposit in the distribution account.

·

For the credit risk manager, for each mortgage loan, a monthly fee out of interest collections received from that mortgage loan calculated as the product of the outstanding principal balance of the mortgage loan and the credit risk manager fee rate, equal to 0.005% per annum.

·

For the certificate insurer, a premium on each distribution date equal to 0.05% of the outstanding total principal balance of the Class 1A-1B and Class 2A-1C Certificates.

The securities administrator, the trustee and the custodian will be separately compensated by the master servicer out of its own funds.

The servicer, the master servicer, the credit risk manager, the securities administrator, the trustee, the certificate issuer, and the custodian will also be entitled to reimbursement of certain expenses from the trust fund before payments are made on the certificates.

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

Final Scheduled Distribution Date and Expected Final Distribution Date

The final scheduled distribution date and expected final distribution date for each class of the offered certificates will be the applicable distribution dates specified in the table on page S-3 of this prospectus supplement.  The actual final distribution date for each class of the offered certificates may be earlier or later, and could be substantially earlier, than the applicable final scheduled distribution date or expected final distribution date.

Internal Credit Enhancement

Subordination

The senior certificates will have a prior right of payment over the subordinate certificates.  Among the classes of subordinate certificates, the Class M-1 Certificates will have the highest payment priority and the Class M-10 Certificates will have the lowest payment priority.  In addition, rights of the holders of the Class C Certificates to receive payments will be subordinated to the rights of the holders of the subordinate certificates, in each case to the extent described in this prospectus supplement.

Subordination is designed to provide the holders of certificates with a higher payment priority with protection against losses realized when the remaining unpaid principal balance on a mortgage loan exceeds the amount of proceeds recovered upon the liquidation of that mortgage loan. On any distribution date (if there is not sufficient excess interest or overcollateralization to absorb realized losses on the mortgage loans), this loss protection is accomplished by allocating the realized losses in excess of such amounts first, among the subordinate certificates, beginning with the subordinate certificates with the lowest payment priority, and second, to the related class or classes of senior certificates; provided, that the Class 1A-1B Certificates will bear the principal portion of all realized losses otherwise allocable to the Class 1A-1A Certificates for so long as the Class 1A-1B Certificates are outstanding and provided further, all realized losses allocable to the Class 2A-1A, Class 2A-1B and Class 2A-1C Certificates will be allocated sequentially to the Class 2A-1C, Class 2A-1B and Class 2A-1A Certificates, in that order, for so long as those certificates are outstanding, in each case as described in this prospectus supplement under “Description of the Certificates—Allocation of Losses.”

See “Description of the Certificates—Principal,” “—Allocation of Losses” and “—Subordination of the Subordinate Certificates” in this prospectus supplement.

Overcollateralization

As of the closing date, the total principal balance of the mortgage loans as of the cut-off date will exceed the total class principal balance of the offered certificates and Class M-10 Certificates by approximately $2,983,124 which is approximately equal to the initial class principal balance of the Class C Certificates.  This amount represents approximately 0.30% of the total principal balance of the mortgage loans as of the cut-off date, and is the approximate amount of initial overcollateralization required to be provided under the pooling and servicing agreement.  This feature is referred to as overcollateralization.  The required level of overcollateralization may increase or decrease over time.  We cannot assure you that sufficient interest will be generated by the mortgage loans to create or maintain the required level of overcollateralization.

See “Description of the Certificates—Overcollateralization” in this prospectus supplement.

Excess Interest

The mortgage loans bear interest each month that in the aggregate is expected to exceed the amount needed to distribute monthly interest on the LIBOR certificates and MTA certificates and to pay certain fees and expenses of the trust fund.  This excess interest will be available to absorb realized losses on the mortgage loans, to create and maintain overcollateralization at required levels and cover basis risk shortfalls, if any, in each case as described in this prospectus supplement.

See “Description of the Certificates—Overcollateralization” in this prospectus supplement.

The Certificate Insurance Policy

XL Capital Assurance Inc., a monoline financial guaranty insurance company incorporated under the laws of the State of New York, will issue a certificate insurance policy for the benefit of the Class 1A-1B and the Class 2A-1C Certificates.  The policy will unconditionally and irrevocably guarantee payment of (i) the outstanding principal balance of the Class 1A-1B and the Class 2A-1C Certificates on their final scheduled distribution date, (ii) accrued and unpaid interest calculated at the pass-through  rate due on the Class 1A-1B and the Class 2A-1C Certificates and (iii) any realized losses allocated to the Class 1A-1B and the Class 2A-1C Certificates, subject to certain terms and conditions set forth in the certificate insurance policy.  The certificate insurance policy will not provide credit enhancement for any class of certificates other than the Class 1A-1B or the Class 2A-1C Certificates.

On each distribution date, the securities administrator will calculate to what extent the funds available to make the distributions of principal and interest are insufficient to distribute the amounts due on the Class 1A-1B and the Class 2A-1C Certificates.  If an insufficiency exists and it is covered by the certificate insurance policy, then the securities administrator will make a draw on the certificate insurance policy.

If for any reason the certificate insurer does not make the payments required under the certificate insurance policy, the holders of the Class 1A-1B or the Class 2A-1C Certificates will rely solely on the related mortgage loans for their distributions of interest and principal and certificateholders may suffer a loss.

The certificate insurance policy does not cover basis risk shortfalls or shortfalls in interest collections on the mortgage loans that are attributable to prepayment interest shortfalls, deferred interest or the application of the Servicemembers Civil Relief Act, as amended.

See “The Certificate Insurer” and “Description of the Certificates—The Policy” in this prospectus supplement.

Ratings

It is a condition to the issuance of the certificates that the offered certificates initially have the ratings from Moody’s Investors Service, Inc. and Standard & Poor’s Ratings Services, a division of The McGraw-Hill Companies, Inc. set forth in the table on page S-3 of this prospectus supplement.

A rating is not a recommendation to buy, sell or hold securities and it may be lowered or withdrawn at any time by the assigning rating agency.

The ratings do not address the likelihood that any basis risk shortfall will be repaid to the holders of the offered certificates.

See “Ratings” in this prospectus supplement for additional information.

Material Federal Income Tax Consequences

In the opinion of McKee Nelson LLP, for federal income tax purposes, the trust fund will comprise multiple “real estate mortgage investment conduits” or REMICs.  An owner of an offered certificate will be treated as having purchased REMIC “regular interests” (exclusive of the right of any certificates to receive payments in respect of basis risk shortfalls).  Each Residual Certificate will represent ownership interest of the “residual interest” in one or more REMICs created under the pooling and servicing agreement.

The offered certificates generally will be treated as newly originated debt instruments for federal income tax purposes.  Beneficial owners of the offered certificates will be required to report income on the offered certificates in accordance with the accrual method of accounting.

See “Material Federal Income Tax Consequences” in this prospectus supplement and in the prospectus for additional information.

ERISA Considerations

Subject to satisfaction of certain conditions, ERISA Plans generally may purchase the offered certificates.

See “ERISA Considerations” in this prospectus supplement and in the prospectus.

Legal Investment Considerations

The senior certificates and the Class M-1, Class M-2 and Class M-3 Certificates will be “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984, or SMMEA, as long as they are rated in one of the two highest rating categories by at least one nationally recognized statistical rating organization.  The Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates will not be rated in one of the two highest rating categories by a nationally recognized statistical rating organization and, therefore, will not be “mortgage related securities” for purposes of 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 offered certificates that prospective investors should consider.

See “Legal Investment Considerations” in this prospectus supplement and in the prospectus.

Listing

The certificates are not listed on any exchange, and no party to the transaction intends to list the certificates on any exchange or to quote them in the automated quotation system of any registered securities organization.

Risk Factors

The following information, together with the information set forth under “Risk Factors” in the prospectus which you also should carefully consider, identifies the principal risks associated with an investment in the certificates.

Glossary

There is a glossary of terms beginning on page S-129 where you will find definitions of the capitalized terms used in this prospectus supplement.  You should read the glossary of terms carefully because it defines many concepts that are important to understanding the certificates.

The Mortgage Loan Groups

General

Statistical information in this section, unless otherwise specified, is based upon the total stated principal balance of all the mortgage loans, or the mortgage loans in a particular loan group, as of the cut-off date.

The assets held by DSLA Mortgage Loan Trust 2006-AR1 will consist primarily of two loan groups of adjustable rate, first lien, residential mortgage loans.  All of the mortgage loans have loan rates that adjust based on MTA, with original terms to maturity of not more than 480 months.  As of the cut-off date, there are 2,548 mortgage loans with an aggregate principal balance of approximately $993,437,125.  The mortgage loans are “adjustable rate mortgage loans” and generally have loan rates that adjust monthly depending on the terms of the particular mortgage note.

The mortgage loans have been divided into two loan groups designated as the “group 1 mortgage loans” and “group 2 mortgage loans.”  We refer to each of the groups of mortgage loans as a “loan group.”  On the closing date, the depositor will deposit into the trust fund these two groups of mortgage loans, which in the aggregate will constitute the mortgage pool.

The Stated Principal Balance of each mortgage loan as of the cut-off date reflects the application of scheduled payments of principal due on that mortgage loan on or prior to the cut-off date, whether or not received, and any amounts of deferred interest added to the unpaid principal balance of such mortgage loan as a result of negative amortization (as described below).  Whenever reference is made herein to a percentage of some or all of the mortgage loans, that percentage is determined on the basis of the Stated Principal Balances of such mortgage loans as of the cut-off date, unless otherwise specified.  The aggregate principal balance of the mortgage loans set forth above is subject to a variance of plus or minus ten percent.

Each of the mortgage loans in the trust fund is secured by a mortgage, deed of trust or other similar security instrument that creates a first lien on the related mortgaged property.  We refer to these instruments as “mortgages” in this prospectus supplement.  The mortgaged properties are one- to four-family dwelling units, individual condominium units, planned unit developments or shares issued by cooperative housing corporations.

Pursuant to a mortgage loan purchase agreement between the seller and the depositor, the depositor will purchase the mortgage loans from the seller.  Under the pooling and servicing agreement, the depositor will cause the mortgage loans and all of its rights and interest under the mortgage loan purchase agreement to be assigned to the trustee for the benefit of the certificateholders and the Certificate Insurer.  See “The Pooling and Servicing Agreement” in this prospectus supplement.

The seller purchased each of the mortgage loans in the secondary market in the ordinary course of its business.

All of the mortgage loans were originated by Downey Savings and Loan Association, F.A. (“Downey” or the “originator”).  The mortgage loans were originated in accordance with the underwriting guidelines described under “Mortgage Loan Origination—Underwriting Standards” herein.  All of the mortgage loans are being serviced by Downey Savings and Loan Association, F.A.  See “The Servicer” herein.

The mortgage loans were purchased by the seller from the originator pursuant to a mortgage loan purchase agreement (referred to herein as the “underlying purchase agreement”).  Under a reconstituted servicing agreement among the seller and the servicer (and acknowledged by the trustee) (collectively referred to herein as the “reconstitution agreement”), the seller will assign all of its rights (other than rights to certain premium amounts in excess of the Stated Principal Balance of repurchased or prepaid mortgage loans and other than certain servicing rights on some of the mortgage loans) with respect to the underlying purchase agreement or underlying servicing agreement, as applicable, including rights with respect to representations and warranties made by the originator, to the trustee.  Subject to certain limitations set forth in the underlying purchase agreement and the reconstitution agreement, the originator will be obligated to repurchase any mortgage loan as to which there exists deficient documentation or an uncured breach of any such representation or warranty, if such deficiency or breach of any such representation or warranty materially and adversely affects the interests of the certificateholders or the Certificate Insurer in such mortgage loan.  Under a separate mortgage loan purchase agreement, the seller will make certain representations and warranties to the depositor, which will in turn assign its rights under those representations and warranties to the trustee under the pooling and servicing agreement.  Subject to certain limitations set forth in the pooling and servicing agreement, 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 any such representation or warranty, if the breach of such representation or warranty materially and adversely affects the certificateholders’ or the Certificate Insurer’s interests in such mortgage loan.  See “The Pooling and Servicing Agreement—Assignment of the Mortgage Loans” in this prospectus supplement.  The depositor will make no representations or warranties with respect to the mortgage loans and will have no obligation to repurchase or substitute mortgage loans with deficient documentation or that are otherwise defective.  The seller is selling the mortgage loans 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 above and certain indemnification obligations.  The originator will have no obligation with respect to the certificates in its capacity as an originator other than the repurchase obligations described in this prospectus supplement.

The Index.  The index applicable to the determination of the loan rates of the mortgage loans generally will be a per annum rate equal to the twelve-month average yields on United States Treasury securities adjusted to a constant maturity of one year, as published by the Federal Reserve Board in Statistical Release H.15(519) (the “MTA” index).

The index will be calculated as of the date specified in the related mortgage note.  In the event that the index described above becomes unavailable or is otherwise unpublished, the servicer or master servicer will select a comparable alternative index over which it has no direct control and which is readily verifiable, and which is permissible under the terms of the related mortgage and mortgage note.

Loan Rate Adjustments.  The loan rates for the mortgage loans are generally fixed for one month following their origination and then adjust monthly.  As of the cut-off date, approximately 0.06% of all of the mortgage loans,, none of the group 1 mortgage loans and approximately 0.09% of the group 2 mortgage loans were still in their initial one month fixed rate period.  These mortgage loans bear a weighted average fixed mortgage rate of approximately 1.25% per annum for all of the mortgage loans and approximately 1.25% for the group 2 mortgage loans.  The loan rate for each mortgage loan will be adjusted to equal the sum, generally rounded to or rounded up to, as applicable, the nearest multiple of .001% of the index and a fixed percentage amount known as the “gross margin” for that loan.  The mortgage loans adjust according to the applicable index as discussed under “—The Index” above.

No mortgage loan will have a loan rate that exceeds the maximum loan rate specified in the related mortgage note.  Due to the application of the maximum loan rates, the loan rate on each mortgage loan that has such a maximum loan rate, as adjusted on any loan rate adjustment date, may be less than the sum of the applicable index and gross margin, rounded as described above.  See “—The Index” above.

Monthly Payment Adjustments.  Monthly scheduled payments on the mortgage loans adjust annually on a date specified in the related mortgage note (each, a “Payment Adjustment Date”), subject to the conditions (the “Payment Caps”) that (i) the amount of the monthly payment will not increase or decrease by an amount that is more than 7.50% of the monthly payment prior to the related Payment Adjustment Date, (ii) as of the fifth Payment Adjustment Date and on the same day every fifth Payment Adjustment Date thereafter, the monthly payment will be recast without regard to the limitation in clause (i) above and (iii) if the unpaid principal balance exceeds 110% of the original principal balance due to deferred interest, the monthly payment will be recast without regard to the limitation in clause (i) to amortize fully the then unpaid principal balance of the mortgage loan over its remaining term to maturity.

Because the loan rates on the mortgage loans adjust at a different time than the monthly payments thereon and the Payment Caps may limit the amount by which the monthly payments may adjust, the amount of a monthly payment may be more or less than the amount necessary to fully amortize the Stated Principal Balance of a mortgage loan over its then remaining term at the applicable loan rate.  Accordingly, the mortgage loans may be subject to reduced amortization (if the monthly payment due on a due date is sufficient to pay interest accrued during the related accrual period at the applicable loan rate but is not sufficient to reduce principal in accordance with a fully amortizing schedule); negative amortization (if interest accrued during the related accrual period at the applicable loan rate is greater than the entire monthly payment due on the related due date (such excess accrued interest, “deferred interest”)); or accelerated amortization (if the monthly payment due on a due date is greater than the amount necessary to pay interest accrued during the related accrual period at the applicable loan rate and to reduce principal in accordance with a fully amortizing schedule).  In the event a mortgage loan negatively amortizes, deferred interest, if any, is added to the Stated Principal Balance of such mortgage loan and, if such deferred interest is not offset by subsequent accelerated amortization, it may result in a final lump sum payment at maturity greater than, and potentially substantially greater than, the monthly payment due on the immediately preceding due date.

High Loan-to-Value Mortgage Loans.  As of the cut-off date, approximately 7.72% of all of the mortgage loans, and approximately 3.69% and 10.35% of the group 1 and group 2 mortgage loans, respectively, have original loan-to-value ratios in excess of 80%.  Substantially all of such mortgage loans are covered by a primary mortgage guaranty insurance policy (which policy insures, generally, any portion of the unpaid principal balance of a mortgage loan in excess of 80% of the value of the related mortgaged property).  No such primary mortgage guaranty insurance policy will be required to be maintained with respect to any such mortgage loan after the date on which the related loan-to-value ratio is 80% or less.

For each mortgage loan and any date of determination, the loan-to-value ratio is calculated as a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan on that date and the denominator of which is the value of the mortgaged property as determined at the origination of the related loan on the basis of the lesser of the sale price or appraised value with respect to a purchase mortgage loan or the appraised value with respect to a refinance mortgage loan.

Prepayment Penalty Payments.  As of the cut-off date, approximately  87.04% of all of the mortgage loans and approximately 91.60% and approximately 84.06% of the group 1 and group 2 mortgage loans, respectively, require the payment of a prepayment penalty in connection with a voluntary prepayment of principal.  Generally, each such mortgage loan provides for payment of a prepayment penalty in connection with certain voluntary, full or partial prepayments made within the period of time specified in the related mortgage note, generally for one to three years from the date of origination of such mortgage loan.  Certain mortgage loans that require the payment of a prepayment penalty, however, may provide for brief periods during the applicable period for prepayments to be made without incurring a prepayment penalty.  The amount of the applicable prepayment penalty, to the extent permitted under applicable law, is as provided in the related mortgage note.  Generally, such amount is equal to six months’ interest on any amounts prepaid during any twelve-month period in excess of 20% of the original principal balance of the related mortgage loan or a specified percentage of the amounts prepaid.  Any prepayment penalty payments received by the servicer from collections on the mortgage loans will be distributed to the Class P Certificates, as described herein under “Description of the Certificates.”

Under the servicing agreement, the servicer will waive any prepayment penalty if (i) the mortgage loan is in default, (ii) the related mortgage note has been accelerated by the holder of that mortgage note or the servicer or (iii) enforceability of the prepayment penalty is otherwise limited or prohibited by applicable laws.

Aggregate Mortgage Loan Statistics

The following statistical information, unless otherwise specified, is based upon the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date.

General Characteristics.  All of the mortgage loans have original terms to stated maturity ranging from 300 to 480 months.  The weighted average remaining term to stated maturity of the mortgage loans was approximately 415 months as of the cut-off date.  None of the mortgage loans had a first due date prior to July 1, 2005 or after April 1, 2006 or had a remaining term to stated maturity of less than 294 months or greater than 480 months as of the cut-off date.  The latest stated maturity date of any mortgage loan occurs in March 2046.

The average principal balance of the mortgage loans at origination was approximately $388,717.  The average Stated Principal Balance of the mortgage loans as of the cut-off date was approximately $389,889.  No mortgage loan had a Stated Principal Balance of less than approximately $51,001 or greater than approximately $2,055,625 as of the cut-off date.

As of the cut-off date, approximately 0.37% of the mortgage loans were 30-59 days delinquent in payment. The delinquency status of a mortgage loan is determined as of the close of business on the last day of each month in accordance with the MBA method, so that, for example, if a borrower failed to make a monthly payment due on February 1 by February 28, that mortgage loan would be considered to be 30 days delinquent.

Certain historical delinquency information with respect to the mortgage loans is provided in the tables following this section.  No mortgage loans have been more than 89 days delinquent in the twelve months preceding the cut-off date.

The mortgage loans had annual loan rates of not less than 1.250% and not more than 7.976% and the weighted average annual loan rate was approximately 6.809%.  As of the cut-off date, the mortgage loans had gross margins ranging from 2.000% to 4.225%, maximum loan rates ranging from 10.950% to 11.650% and minimum loan rates ranging from 2.000% to 4.225%.  As of the cut-off date, the weighted average gross margin was approximately 3.062%, the weighted average maximum loan rate was approximately 10.971% and the weighted average minimum loan rate was approximately 3.062% for all of the mortgage loans.  The latest next loan rate adjustment date following the cut-off date on any mortgage loan occurs in approximately one month and the weighted average next loan rate adjustment date following the cut-off date for all of the mortgage loans occurs in approximately one month.  The latest next payment adjustment date following the cut-off date on any mortgage loan occurs in 13 months and the weighted average next payment adjustment date following the cut-off date for all of the mortgage loans occurs in approximately nine months.

As of origination, approximately 87.04% of all of the mortgage loans provide for payment by the mortgagor of a prepayment penalty in connection with certain full or partial prepayments of principal.

The mortgage loans had the approximate characteristics shown in the following tables.  The sum in any column in the following tables may not equal the total indicated due to rounding.

Stated Principal Balances of the Mortgage Loans

The average Stated Principal Balance of the mortgage loans was approximately $389,889 as of the cut-off date.

Original Terms to Stated Maturity of the Mortgage Loans

The weighted average original term to stated maturity of the mortgage loans was approximately 418 months as of the cut-off date.

Stated Remaining Terms to Stated Maturity of the Mortgage Loans

The weighted average remaining term to stated maturity of the mortgage loans was approximately 415 months as of the cut-off date.

Property Types of the Mortgage Loans

Stated Occupancy Status of the Mortgage Loans*

*In the preceding table, “stated occupancy status” refers to the intended use of the mortgaged property as represented by the borrower when the related mortgage loan was originated.

Loan Purposes of the Mortgage Loans

Documentation Programs of the Mortgage Loans

Original Loan-to-Value Ratios of the Mortgage Loans

The weighted average original loan-to-value ratio of the mortgage loans was approximately 73.40% as of the cut-off date.

Geographic Distribution of the Mortgage Loans

As of the cut-off date, the greatest five-digit ZIP Code geographic concentration of mortgage loans by total Stated Principal Balance was approximately 0.71% in the 95377 ZIP Code.

Loan Rates of the Mortgage Loans

The weighted average loan rate of the mortgage loans was approximately 6.809% as of the cut-off date.

Maximum Loan Rates of the Mortgage Loans

The weighted average maximum loan rate of the mortgage loans was approximately 10.971% as of the cut-off date.

Minimum Loan Rates of the Mortgage Loans

The weighted average minimum loan rate of the mortgage loans was approximately 3.062% as of the cut-off date.

Gross Margins of the Mortgage Loans

The weighted average gross margin of the mortgage loans was approximately 3.062% as of the cut-off date.

Rate Adjustment Frequencies of the Mortgage Loans

Months to Next Loan Rate Adjustment Date of the Mortgage Loans

Months to Next Payment Adjustment Date of the Mortgage Loans

Credit Scores of the Mortgage Loans

The weighted average credit score of the mortgage loans was approximately 714 as of the cut-off date.

Original Prepayment Penalty Periods of the Mortgage Loans

Negative Amortization Limit of the Mortgage Loans

30-59 Day Delinquencies of the Mortgage Loans

60-89 Day Delinquencies of the Mortgage Loans

Group 1 Mortgage Loan Statistics

The following statistical information, unless otherwise specified, is based upon the aggregate Stated Principal Balance of the group 1 mortgage loans as of the cut-off date.

General Characteristics.  All of the group 1 mortgage loans have original terms to stated maturity of 300 to 480 months.  The weighted average remaining term to stated maturity of the group 1 mortgage loans was approximately 407 months as of the cut-off date.  None of the group 1 mortgage loans had a first due date prior to July 1, 2005 or after March 1, 2006 or had a remaining term to stated maturity of less than 294 months or greater than 479 months as of the cut-off date.  The latest stated maturity date of any group 1 mortgage loan occurs in February 2046.

Each group 1 mortgage loan has an original principal balance that conforms to Fannie Mae and Freddie Mac guidelines.  The average Stated Principal Balance of the group 1 mortgage loans at origination was approximately $274,439.  The average Stated Principal Balance of the group 1 mortgage loans as of the cut-off date was approximately $275,322.  No group 1 mortgage loan had a Stated Principal Balance of less than approximately $51,001 or greater than approximately $548,213 as of the cut-off date.

As of the cut-off date, approximately 0.29% of the group 1 mortgage loans were 30-59 days delinquent in payment.

Certain historical delinquency information with respect to the group 1 mortgage loans is provided in the tables following this section.  No group 1 mortgage loans have been more than 89 days delinquent in the twelve months preceding the cut-off date.

The group 1 mortgage loans had annual loan rates of not less than 5.851% and not more than 7.976% and the weighted average annual loan rate was approximately 6.932%.  As of the cut-off date, the group 1 mortgage loans had gross margins ranging from 2.100% to 4.225%, maximum loan rates ranging from 10.950% to 11.650% and minimum loan rates ranging from 2.100% to 4.225%.  As of the cut-off date, the weighted average gross margin was approximately 3.181%, the weighted average maximum loan rate was approximately 10.997% and the weighted average minimum loan rate was approximately 3.181% for all of the group 1 mortgage loans.  The latest next loan rate adjustment date following the cut-off date on any group 1 mortgage loan occurs in approximately one month and the weighted average next loan rate adjustment date following the cut-off date for all of the group 1 mortgage loans occurs in approximately one month.  The latest next payment adjustment date following the cut-off date on any group 1 mortgage loan occurs in 12 months and the weighted average next payment adjustment date following the cut-off date for the group 1 mortgage loans occurs in approximately nine months.

As of origination, approximately 91.60% of the group 1 mortgage loans provide for payment by the mortgagor of a prepayment penalty in connection with certain full or partial prepayments of principal.  None of the group 1 mortgage loans originated after January 1, 2003 will be subject to prepayment penalty term in excess of three years.

The group 1 mortgage loans had the approximate characteristics shown in the following tables.  The sum in any column in the following tables may not equal the total indicated due to rounding.

Stated Principal Balances of the Group 1 Mortgage Loans

The average Stated Principal Balance of the group 1 mortgage loans was approximately $275,322 as of the cut-off date.

Original Terms to Stated Maturity of the Group 1 Mortgage Loans

The weighted average original term to stated maturity of the group 1 mortgage loans was approximately 411 months as of the cut-off date.

Stated Remaining Terms to Stated Maturity of the Group 1 Mortgage Loans

The weighted average remaining term to stated maturity of the group 1 mortgage loans was approximately 407  months as of the cut-off date.

Property Types of the Group 1 Mortgage Loans

Stated Occupancy Status of the Group 1 Mortgage Loans*

*In the preceding table, “stated occupancy status” refers to the intended use of the mortgaged property as represented by the borrower when the related mortgage loan was originated.

Loan Purposes of the Group 1 Mortgage Loans

Documentation Programs of the Group 1 Mortgage Loans

Original Loan-to-Value Ratios of the Group 1 Mortgage Loans

The weighted average original loan-to-value ratio of the group 1 mortgage loans was approximately 69.56% as of the cut-off date.

Geographic Distribution of the Group 1 Mortgage Loans

As of the cut-off date, the greatest five-digit ZIP Code geographic concentration of group 1 mortgage loans by Stated Principal Balance was approximately 0.85% in the 90805 ZIP Code.

Loan Rates of the Group 1 Mortgage Loans

The weighted average loan rate of the group 1 mortgage loans was approximately 6.932% as of the cut-off date.

Maximum Loan Rates of the Group 1 Mortgage Loans

The weighted average maximum loan rate of the group 1 mortgage loans was approximately 10.997% as of the cut-off date.

Minimum Loan Rates of the Group 1 Mortgage Loans

The weighted average minimum loan rate of the group 1 mortgage loans was approximately 3.181% as of the cut-off date.

Gross Margins of the Group 1 Mortgage Loans