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Saxon Asset Securities Co, et al. · 424B5 · On 3/1/07

Filed On 3/1/07 4:30pm ET   ·   SEC Files 333-131712, -04   ·   Accession Number 1144204-7-10799

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

 3/01/07  Saxon Asset Securities Co         424B5                  1:1148                                   Vintage Filings LLC/FA
          Saxon Asset Securities Trust 2007-1

Prospectus   ·   Rule 424(b)(5)
Filing Table of Contents

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 1: 424B5       Prospectus                                          HTML  4,596K 


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This preliminary prospectus supplement relates to an effective registration statement under the Securities Act of 1933, as amended and is subject to completion or amendment. This preliminary prospectus supplement and the accompanying prospectus shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of these securities in any state in which offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such state.

 Subject to completion, dated February 27, 2007
 
Preliminary Prospectus Supplement (To Prospectus Dated April 26, 2006)
 
   Picture -- saxon  
$592,928,000 (Approximate)
Mortgage Loan Asset Backed Certificates, Series 2007-1
Principal and interest distributable monthly, beginning in March 2007

Saxon Funding Management LLC
Saxon Asset Securities Company
Sponsor and Seller
Depositor
 
Saxon Mortgage Services Inc.
Saxon Asset Securities Trust 2007-1
Servicer
Issuing Entity
 
This prospectus supplement and the accompanying prospectus relate only to the offering of the certificates listed in the chart below:
 
 
Class
 
Class
Principal
   Balance(1)    
 
Interest
Rate(2)
 
Approximate Proceeds to
 Depositor(3)
 
Class A-1
 
$
209,071,000
   
Adjustable
   
[___]
%
Class A-2a
 
$
139,970,000
   
Adjustable
   
[___]
%
Class A-2b
 
$
35,830,000
   
Adjustable
   
[___]
%
Class A-2c
 
$
54,750,000
   
Adjustable
   
[___]
%
Class A-2d
 
$
27,629,000
   
Adjustable
   
[___]
%
Class M-1
 
$
25,820,000
   
Adjustable
   
[___]
%
Class M-2
 
$
26,442,000
   
Adjustable
   
[___]
%
Class M-3
 
$
13,688,000
   
Adjustable
   
[___]
%
Class M-4
 
$
12,132,000
   
Adjustable
   
[___]
%
Class M-5
 
$
11,510,000
   
Adjustable
   
[___]
%
Class M-6
 
$
10,266,000
   
Adjustable
   
[___]
%
Class B-1
 
$
9,644,000
   
Adjustable
   
[___]
%
Class B-2
 
$
8,399,000
   
Adjustable
   
[___]
%
Class B-3
 
$
7,777,000
   
Adjustable
   
[___]
%
 

 
(1)
These amounts are approximate, as described in this prospectus supplement.
 
(2)
The interest rate for each class of offered certificates is subject to limitation and is described in this prospectus supplement under “Summary of Terms.”
 
(3)
Represents the approximate amount of proceeds the depositor expects to receive before deducting expenses.
 
Principal and interest on the offered certificates will be distributable monthly, as described in this prospectus supplement. The first expected distribution date is March 26, 2007. Credit enhancement for the offered certificates includes overcollateralization, excess interest and subordination. In addition, the issuing entity will enter into an interest rate swap agreement and an interest rate cap agreement with Morgan Stanley Capital Services Inc., as interest rate swap counterparty and interest rate cap counterparty, respectively, for the benefit of the certificates, as described in this prospectus supplement under “Description of the Offered Certificates—Interest Rate Swap Agreement” and “—Interest Rate Cap Agreement.”
 

 
The offered certificates will represent interests in the trust fund of the issuing entity only, which will include a pool of first and second lien, fixed and adjustable rate, conforming balance and non-conforming balance residential mortgage loans secured by one- to four-family residential properties, consisting of two loan groups, each with the characteristics described in this prospectus supplement. The offered certificates will represent interests in the issuing entity only and will not represent interests in or obligations of the sponsor, the depositor, any of their affiliates or any other entity.
 
The mortgage loans were originated or acquired in accordance with underwriting guidelines that are not as restrictive as federal agency guidelines. As a result, the mortgage loans may experience higher rates of delinquency, foreclosure and bankruptcy than if they had been underwritten in accordance with more restrictive standards.
 

 
An investment in the certificates offered by this prospectus supplement involves significant risks. You should carefully consider the risk factors included in this prospectus supplement.
 

 
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved these securities or passed upon the accuracy or adequacy of this prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.
 
The underwriter will offer the certificates offered by this prospectus supplement from time to time at varying prices to be determined at the time of sale. The offered certificates will be available for delivery to investors in book-entry form through the facilities of The Depository Trust Company or upon request through Clearstream and the Euroclear System on or about March 7, 2007.
 
MORGAN STANLEY
 
 
 
 
 

 
 

IMPORTANT NOTICE ABOUT INFORMATION PRESENTED
IN THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS
 
The offered certificates are described in two separate documents that progressively provide more detail: (1) the accompanying prospectus, which provides general information, some of which may not apply to a particular series of securities, and (2) this prospectus supplement, which describes the specific terms of your offered certificates. Investors can find a glossary of certain significant defined terms at the end of this prospectus supplement.
 
This prospectus supplement does not contain complete information about the offering of the offered certificates. We suggest that you read both this prospectus supplement and the prospectus in full. We cannot sell the offered certificates to you unless you have received both this prospectus supplement and the prospectus.
 
The information presented in this prospectus supplement is intended to enhance the general terms of the accompanying prospectus. If the specific terms of this prospectus supplement and the general terms of the accompanying prospectus vary, you should rely on the information in this prospectus supplement.
 
You should rely only on the information contained or incorporated by reference in this prospectus supplement and the accompanying prospectus. No one has been authorized to provide you with different information.
 
We are not offering the offered certificates in any state where the offer is not permitted. We do not claim the accuracy of the information in this prospectus supplement and the accompanying prospectus as of any date other than the dates stated on their respective cover pages.
 
Dealers will deliver a prospectus supplement and prospectus when acting as underwriters of the offered certificates and with respect to their unsold allotments or subscriptions. In addition, all dealers selling the offered certificates, whether or not participating in this offering, may be required to deliver a prospectus supplement and prospectus until 90 days after the date of the prospectus supplement.
 
This prospectus supplement and the accompanying prospectus contain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933. Specifically, forward-looking statements, together with related qualifying language and assumptions, are found in the materials, including tables, under the headings “Risk Factors” and “Prepayment and Yield Considerations.” Forward-looking statements are also found in other places throughout this prospectus supplement and the prospectus, and may be identified by accompanying language, including “expects,” “intends,” “anticipates,” “estimates” or analogous expressions, or by qualifying language or assumptions. These statements involve known and unknown risks, uncertainties and other important factors that could cause the actual results or performance to differ materially from the forward-looking statements. These risks, uncertainties and other factors include, among others, general economic and business conditions, competition, changes in political, social and economic conditions, regulatory initiatives and compliance with governmental regulations, customer preference and various other matters, many of which are beyond the depositor’s control. These forward-looking statements speak only as of the date of this prospectus supplement. The depositor expressly disclaims any obligation or undertaking to distribute any updates or revisions to any forward-looking statements to reflect changes in the depositor’s expectations with regard to those statements or any change in events, conditions or circumstances on which any forward-looking statement is based.
 
 
 
 
 

 
 
 
For European Investors 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 offered certificates to the public in that Relevant Member State prior to the publication of a prospectus in relation to the offered certificates 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 certificates to the public in that Relevant Member State at any time:
 
 
(a)
to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized 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.
 
For the purposes of this provision, the expression an “offer of offered certificates to the public” in relation to any certificates in any Relevant Member State means the communication in any form and by any means of sufficient information on the terms of the offer and the offered certificates to be offered so as to enable an investor to decide to purchase or subscribe for the offered certificates, as the same may be varied in that Member State by any measure implementing the Prospectus Directive in that Member State and the expression “Prospectus Directive” means Directive 2003/71/EC and includes any relevant implementing measure in each Relevant Member State.

United Kingdom
 
The underwriter has represented and agreed that:
 
(a)  it has only communicated or caused to be communicated and will only communicate or cause to be communicated an invitation or inducement to engage in investment activity (within the meaning of Section 21 of the Financial Services and Markets Act 2000 (the “FSMA”)) received by it in connection with the issue or sale of the certificates in circumstances in which
 
(b)  Section 21(1) of the FSMA does not apply to the issuer; and it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the certificates in, from or otherwise involving the United Kingdom.
 
 
 
 
 

 
 
 
Notice to United Kingdom Investors
 
The distribution of this prospectus supplement if made by a person who is not an authorized person under the FSMA, is being made only to, or directed only at persons who (1) are outside the United Kingdom, or (2) have professional experience in matters relating to investments, or (3) are persons falling within Articles 49(2)(a) through (d) (“high net worth companies, unincorporated associations, etc.”) or 19 (Investment Professionals) of the Financial Services and Market Act 2000 (Financial Promotion) Order 2005 (all such persons together being referred to as the “Relevant Persons”). This prospectus supplement must not be acted on or relied on by persons who are not Relevant Persons. Any investment or investment activity to which this prospectus supplement relates, including the offered certificates, is available only to Relevant Persons and will be engaged in only with Relevant Persons.

Potential investors in the United Kingdom are advised that all, or most, of the protections afforded by the United Kingdom regulatory system will not apply to an investment in the trust fund and that compensation will not be available under the United Kingdom Financial Services Compensation Scheme
 
 
 
 
 

 
 
 
TABLE OF CONTENTS
 
Prospectus Supplement

 
OFFERED CERTIFICATES
   
S-3
 
         
SUMMARY OF TERMS
   
S-7
 
         
RISK FACTORS
   
S-19
 
         
MATERIAL LEGAL PROCEEDINGS
   
S-40
 
         
SERVICING; THE SERVICER
   
S-41
 
         
THE MORTGAGE LOAN POOL
   
S-46
 
         
STATIC POOL INFORMATION
   
S-53
 
         
RECENT DEVELOPMENTS; AFFILIATIONS AND CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
   
S-54
 
         
ADDITIONAL INFORMATION
   
S-54
 
         
PREPAYMENT AND YIELD CONSIDERATIONS
   
S-55
 
         
DESCRIPTION OF THE OFFERED CERTIFICATES
   
S-74
 
         
ADMINISTRATION OF THE TRUST
   
S-96
 
         
THE POOLING AND SERVICING AGREEMENT
   
S-100
 
         
FEDERAL INCOME TAX CONSEQUENCES
   
S-106
 
         
ERISA CONSIDERATIONS
   
S-109
 
         
RATINGS
   
S-111
 
         
LEGAL INVESTMENT CONSIDERATIONS
   
S-112
 
         
ACCOUNTING CONSIDERATIONS
   
S-112
 
         
USE OF PROCEEDS
   
S-112
 
         
LEGAL MATTERS
   
S-112
 
         
UNDERWRITING
   
S-112
 
         
GLOSSARY
   
S-114
 
         
Annex 1 Scheduled Notional Amounts for the Interest Rate Swap Agreement
   
S-134
 
         
Annex 2 Notional Amounts for the Interest Rate Cap Agreement
   
S-135
 
         
Appendix A: Mortgage Loan Pool Information
   
S-A-1
 
 
 
 
 
 
S-i

 
 
 
PROSPECTUS
 
 
IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS PROSPECTUS AND THE PROSPECTUS SUPPLEMENT
   
2
 
         
RISK FACTORS
   
3
 
         
DESCRIPTION OF THE SECURITIES
   
32
 
         
REGISTRATION OF THE OFFERED SECURITIES
   
33
 
         
MATURITY, PREPAYMENT AND YIELD CONSIDERATIONS
   
45
 
         
THE TRUSTS
   
47
 
         
CREDIT ENHANCEMENT
   
67
 
         
DERIVATIVES
   
71
 
         
THE SPONSORS AND THE MASTER SERVICERS
   
73
 
         
THE DEPOSITOR
   
75
 
         
SAXON MORTGAGE SERVICES, INC. - THE SERVICER
   
76
 
         
THE ISSUING ENTITY
   
76
 
         
AFFILIATIONS AND CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
   
77
 
         
ORIGINATION OF MORTGAGE LOANS
   
77
 
         
SERVICING OF MORTGAGE LOANS
   
79
 
         
THE AGREEMENTS
   
87
 
         
MATERIAL LEGAL ASPECTS OF MORTGAGE LOANS
   
104
 
         
USE OF PROCEEDS
   
116
 
         
MATERIAL FEDERAL INCOME TAX CONSEQUENCES
   
116
 
         
STATE AND LOCAL TAX CONSIDERATIONS
   
141
 
         
ERISA CONSIDERATIONS
   
142
 
         
LEGAL INVESTMENT MATTERS
   
148
 
         
PLAN OF DISTRIBUTION
   
150
 
         
STATIC POOL INFORMATION
   
150
 
         
ADDITIONAL INFORMATION
   
151
 
         
INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE
   
151
 
         
REPORTS TO SECURITYHOLDERS AND TO THE SEC
   
152
 
 
 
 
 
 
S-ii

 
 
 
OFFERED CERTIFICATES
 
The issuing entity will issue the following classes of certificates that are being offered by this prospectus supplement. Only the classes of certificates listed in the tables below are offered by this prospectus supplement.
 
 
                             
  Initial Ratings(3)
 
Class
   
Class
Principal
   Balance(1)
   
Initial
Pass-Through
Rate
Formula(2)
   
Principal Type 
   
Interest Type 
   
S&P
   
Moody’s
 
A-1
 
$
209,071,000
   
LIBOR + [___] %(4)
 
 
Senior
   
Variable Rate
   
AAA
   
Aaa
 
A-2a
 
$
139,970,000
   
LIBOR + [___] %(5)
 
 
Senior Sequential
   
Variable Rate
   
AAA
   
Aaa
 
A-2b
 
$
35,830,000
   
LIBOR + [___] %(6)
 
 
Senior Sequential
   
Variable Rate
   
AAA
   
Aaa
 
A-2c
 
$
54,750,000
   
LIBOR + [___] %(7)
 
 
Senior Sequential
   
Variable Rate
   
AAA
   
Aaa
 
A-2d
 
$
27,629,000
   
LIBOR + [___] %(8)
 
 
Senior Sequential
   
Variable Rate
   
AAA
   
Aaa
 
M-1
 
$
25,820,000
   
LIBOR + [___] %(9)
 
 
Subordinate
   
Variable Rate
   
AA+
   
Aa1
 
M-2
 
$
26,442,000
   
LIBOR + [___] %(10)
 
 
Subordinate
   
Variable Rate
   
AA
   
Aa2
 
M-3
 
$
13,688,000
   
LIBOR + [___] %(11)
 
 
Subordinate
   
Variable Rate
   
AA-
   
Aa3
 
M-4
 
$
12,132,000
   
LIBOR + [___] %(12)
 
 
Subordinate
   
Variable Rate
   
A+
   
A1
 
M-5
 
$
11,510,000
   
LIBOR + [___] %(13)
 
 
Subordinate
   
Variable Rate
   
A
   
A2
 
M-6
 
$
10,266,000
   
LIBOR + [___] %(14)
 
 
Subordinate
   
Variable Rate
   
A-
   
A3
 
B-1
 
$
9,644,000
   
LIBOR + [___] %(15)
 
 
Subordinate
   
Variable Rate
   
BBB+
   
Baa1
 
B-2
 
$
8,399,000
   
LIBOR + [___] %(16)
 
 
Subordinate
   
Variable Rate
   
BBB
   
Baa2
 
B-3
 
$
7,777,000
   
LIBOR + [___] %(17)
 
 
Subordinate
   
Variable Rate
   
BBB-
   
Baa3
 
 
 
(1)
These balances are approximate, as described in this prospectus supplement.
 
 
(2)
The interest rate for each class of offered certificates is subject to limitation and is described in this prospectus supplement under “Summary of Terms.”
 
 
(3)
It is a condition of the issuance of the offered certificates that they receive ratings as set forth above.
 
Footnotes continued on next page.
 
 
 
 
 
S-3

 
 
 
 
(4)
The pass-through rate for the Class A-1 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the least of (i) one-month LIBOR +[___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 1 WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class A-1 Certificates will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 1 WAC Cap.
 
 
(5)
The pass-through rate for the Class A-2a Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class A-2a Certificates will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap.
 
 
(6)
The pass-through rate for the Class A-2b Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class A-2b Certificates will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap.
 
 
(7)
The pass-through rate for the Class A-2c Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class A-2c Certificates will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap.
 
 
(8)
The pass-through rate for the Class A-2d Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class A-2d Certificates will be a per annum rate equal to the least of (i) one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap.
 
 
(9)
The pass-through rate for the Class M-1 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class M-1 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
(10)
The pass-through rate for the Class M-2 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class M-2 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
(11)
The pass-through rate for the Class M-3 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class M-3 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
(12)
The pass-through rate for the Class M-4 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class M-4 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR +[___]% and (ii) the Aggregate Net WAC Cap.
 
 
(13)
The pass-through rate for the Class M-5 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class M-5 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR +[___]% and (ii) the Aggregate Net WAC Cap.
 
 
(14)
The pass-through rate for the Class M-6 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class M-6 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
(15)
The pass-through rate for the Class B-1 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class B-1 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
(16)
The pass-through rate for the Class B-2 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class B-2 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
 
 
 
S-4

 
 
 
 
(17)
The pass-through rate for the Class B-3 Certificates for the interest accrual period related to any distribution date on or prior to the first related optional purchase date will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning with the interest accrual period related to the distribution date immediately following the first related optional purchase date, the pass-through rate for the Class B-3 Certificates will be a per annum rate equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap.
 
 
 
 
 
S-5

 
 
 
The offered certificates will also have the following characteristics:
 
 
Class
 
Record
 Date (1)
 
Delay/Accrual
     Period      (2)
 
Interest Accrual
   Convention   
 
Final Scheduled Distribution
Date(3)
 
Expected
Final 
Distribution Date(4)
 
Minimum
Denomination
 
Incremental
Denomination
 
                               
A-1
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
November 2023
 
$
25,000
 
$
1,000
 
A-2a
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
November 2008
 
$
25,000
 
$
1,000
 
A-2b
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
June 2009
 
$
25,000
 
$
1,000
 
A-2c
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
December 2012
 
$
25,000
 
$
1,000
 
A-2d
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
March 2023
 
$
25,000
 
$
1,000
 
M-1
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
September 2021
 
$
100,000
 
$
1,000
 
M-2
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
March 2021
 
$
100,000
 
$
1,000
 
M-3
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
June 2020
 
$
100,000
 
$
1,000
 
M-4
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
January 2020
 
$
100,000
 
$
1,000
 
M-5
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
July 2019
 
$
100,000
 
$
1,000
 
M-6
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
January 2019
 
$
100,000
 
$
1,000
 
B-1
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
July 2018
 
$
100,000
 
$
1,000
 
B-2
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
November 2017
 
$
100,000
 
$
1,000
 
B-3
 
 
DD
 
 
0 day
 
 
Actual/360
 
 
February 2037
 
 
April 2017
 
$
100,000
 
$
1,000
 
 

 
(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 March 7, 2007 in the case of the first interest accrual period) and ending on the calendar day immediately before the related distribution date.
 
 
(3)
Calculated as one month following the latest maturing 30-year loan.
 
 
(4)
Calculated based on 100% PPC of the assumptions as set forth under “Prepayment and Yield Considerations — Prepayments and Yields for the Offered Certificates” (and assuming that the optional termination is not exercised).
 
 
 
 
 
S-6

 
 
 
SUMMARY OF TERMS
 
This summary highlights selected information from this document. It does not contain all the information that you need to consider in making your investment decision. To understand the terms of the certificates and the characteristics of the underlying mortgage loans, read carefully the entire prospectus supplement and the accompanying prospectus. This summary provides an overview of structural provisions, calculations, cashflows and other information to aid your understanding and is qualified by the full description of the structural provisions, calculations, cashflows and other information in this prospectus supplement and the accompanying prospectus.
 
Issuing Entity
 
Saxon Asset Securities Trust 2007-1, a common law trust formed under the laws of the State of New York.
 
Sponsor and Seller
 
Saxon Funding Management LLC, an affiliate of the depositor and the underwriter, will sell the mortgage loans to the depositor. Saxon Funding Management LLC’s address is 4860 Cox Road, Suite 300, Glen Allen, Virginia 23060 and its telephone number is (804) 967-7400.
 
Depositor
 
Saxon Asset Securities Company, a Virginia corporation and an affiliate of the seller and the underwriter, will sell the mortgage loans to the issuing entity. The depositor’s address is 4860 Cox Road, Suite 300, Glen Allen, Virginia 23060 and its telephone number is (804) 967-7400.
 
Trustee
 
Deutsche Bank National Trust Company.
 
Servicer
 
Saxon Mortgage Services, Inc., an affiliate of the seller, the depositor and the underwriter.
 
Interest Rate Swap Counterparty and Interest Rate Cap Counterparty
 
Morgan Stanley Capital Services Inc., a Delaware corporation and an affiliate of the seller, the depositor and the underwriter. The counterparty’s principal executive office is 1585 Broadway, New York, New York 10036, telephone number (212) 761-4000. The counterparty conducts business in the over-the-counter derivatives market, engaging in a variety of derivatives products, including interest rate swaps, currency swaps, credit default swaps and interest rate options with institutional clients.
 
Custodian
 
 Deutsche Bank National Trust Company.
 
Cut-off Date
 
As of the close of business on February 1, 2007 for the mortgage loans to be sold to the issuing entity on the closing date.
 
Closing Date
 
On or about March 7, 2007.
 
The Offered Certificates
 
The classes of Saxon Asset Securities Trust 2007-1 Mortgage Loan Asset Backed Certificates issued with the initial approximate characteristics set forth under “Offered Certificates” in the table on page S-3.
 
 
 
 
 
S-7

 
 
 
The offered certificates will be issued in book-entry form. See “Description of the Offered Certificates — General” in this prospectus supplement. The minimum denomination and the incremental denomination of each class of offered certificates are set forth in the table on page S-6.
 
In addition to the offered certificates, the issuing entity will issue the Class OC, Class P and Class R Certificates, which are not offered by this prospectus supplement. The Class OC Certificates will not be entitled to monthly distributions of principal and interest, but rather solely to any excess cashflow remaining from the aggregate mortgage loans (as described below) after all distributions on the aggregate offered certificates (as described below) and certain other fees and expenses of the issuing entity have been made on the related distribution date. The Class P Certificates will not be entitled to any distributions of principal and interest, but rather solely to prepayment premiums collected in respect of the mortgage loans. The Class R Certificate will not be entitled to monthly distributions of principal and interest.
 
The certificates will represent ownership interests in the assets of the issuing entity, which will consist primarily of first and second lien, fixed and adjustable rate, conforming balance and non-conforming balance residential mortgage loans secured by one- to four-family residential properties and interests in the supplemental interest trust described in this prospectus supplement.
 
The offered certificates will have an approximate total initial principal balance of $592,928,000. Any difference between the total principal balance of the certificates on the date they are issued and the approximate total principal balance of the certificates on the date of this prospectus supplement will not exceed 10%.
 
As described in this prospectus supplement, for purposes of allocating collections from the mortgage loans, the mortgage loans will be divided into two groups, loan group 1 and loan group 2. Loan group 1 consists of mortgage loans with original principal balances that do not exceed the applicable Freddie Mac original loan amount limitations for one- to four- family residential mortgaged properties (i.e., conforming balance mortgage loans) and Loan group 2 consists of both conforming balance and non-conforming balance mortgage loans.
 
Certificates with a class designation containing an “A” are referred to herein as senior certificates. All other classes of offered certificates are referred to herein as subordinate certificates.
 
The Class A-1 Certificates are sometimes referred to in this prospectus supplement as the group 1 certificates and they are related to the mortgage loans in loan group 1. Class A-2a, Class A-2b, Class A-2c and Class A-2d Certificates are sometimes collectively referred to in this prospectus supplement as the group 2 certificates and they are related to the mortgage loans in loan group 2. The Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates are sometimes referred to collectively as the subordinate certificates. The subordinate certificates, Class OC, Class R and Class P Certificates are related to all of the mortgage loans. The certificates generally receive distributions based on principal and interest collected from the mortgage loans in the corresponding loan group or loan groups.
 
 
 
 
 
S-8

 
 
 
Distribution Date
 
The trustee will make distributions of principal and interest on the 25th day of each month, or if that day is not a business day, the next business day. The first distribution date will be March 26, 2007.
 
Fees and Expenses
 
Before distributions are made on the certificates, the servicer will be paid from interest collections on the mortgage loans, prior to deposit into the collection account, a monthly fee, equal to the principal balance of each mortgage loan serviced by the servicer multiplied by one-twelfth of 0.50% per annum. The servicer will also be entitled to receive, to the extent provided in the pooling and servicing agreement, additional compensation in the form of any interest or other income earned on funds it has deposited in a collection account pending remittance to the trustee, as well as late charges and certain fees paid by borrowers. In addition, the servicer will be entitled to be reimbursed for REO management fees paid to third-party vendors as described herein.
 
As compensation for its services, the trustee will be paid a monthly fee calculated as no more than 0.02% annually on the total principal balance of the mortgage loans.
 
The fees of the custodian will be paid by the trustee from its own funds.
 
Expenses of the servicer, the trustee and the custodian that are permitted to be reimbursed under the pooling and servicing agreement and the custody agreement will be paid prior to any distributions to certificateholders, to the extent payable by the trust fund of the issuing entity.
 
See “The Pooling and Servicing Agreement — Fees and Expenses of the Issuing Entity” in this prospectus supplement.
 
Final Scheduled Distribution Date
 
The final scheduled distribution date for the offered certificates will be the distribution date specified in the table on page S-6. The actual final distribution date for each class of offered certificates may be earlier or later, and could be substantially earlier, than the applicable final scheduled distribution date.
 
Pass-Through Rates
 
The pass-through rates on each class of offered certificates adjust on each distribution date, based on the value of one-month LIBOR.
 
The pass-through rate of each class of offered certificates will be subject to limitation (or will be “capped”) as described in this prospectus supplement. Whenever a pass-through rate for an offered certificate is capped, any shortfall in interest on that certificate resulting from the application of the related cap will be carried over to subsequent distribution dates and, to the extent available, will be paid from excess interest and payments received by the trustee, on behalf of the supplemental interest trust, under the interest rate swap agreement and the interest rate cap agreement.
 
Interest Distributions
 
On each distribution date, the trustee will generally distribute interest funds with respect to each of loan group 1 and loan group 2, in the following order:
 
 
 
 
 
S-9

 
 
 
 
·
to the swap account, amounts payable to the counterparty, excluding swap termination payments payable to the counterparty when the counterparty is the sole affected or defaulting party;
 
 
·
to the related senior certificates, all interest due thereon;
 
 
·
to the unrelated senior certificates (after application of interest funds from the loan group for such unrelated senior certificates);
 
 
·
to the subordinate certificates, in the order of priority described in this prospectus supplement, monthly interest due such certificates; and
 
 
·
any remaining interest funds to be applied as described under ¾Net Monthly Excess Cashflow” below.
 
Principal Distributions
 
On each distribution date, after making the required payments to the swap account, the trustee will apply the principal distribution amount for each of loan group 1 and loan group 2, first to make the required distributions of principal on the related senior certificates and second, if the principal balances of the related senior certificates have been reduced to zero, to make the required distributions of principal on the remaining senior certificates, in each case as described under “Description of the Offered Certificates—Principal Distributions on the Certificates” and “—Allocation of Principal Payments to Senior Certificates.” Thereafter, to the extent described under “Description of the Offered Certificates—Principal Distributions on the Certificates,” any remaining principal payments received on the mortgage loans not required to maintain the principal balances of the senior certificates at the required levels, as described above, will be distributed to the subordinate certificates, sequentially, in the order of their seniority, up to the required distribution amounts, provided a trigger event has not occurred, as described in this prospectus supplement.
 
The amount of principal distributable with respect to each class of certificates that is entitled to principal distributions will be determined primarily by (1) funds received on the mortgage loans that are available to make distributions on each class of certificates and (2) formulas that allocate portions of principal payments received on the mortgage loans among different classes of certificates.
 
Funds received on the mortgage loans may consist of expected, scheduled payments, and unexpected payments resulting from prepayments or defaults by borrowers, liquidation of defaulted mortgage loans, or repurchases of mortgage loans under the circumstances described in this prospectus supplement.
 
The manner of allocating payments of principal on the mortgage loans will differ, as described in this prospectus supplement, depending upon the occurrence of several different events or triggers:
 
 
·
whether a distribution date occurs before the “stepdown date,” which is the earlier to occur of (i) the later to occur of (A) the distribution date in March 2010 and (B) the first distribution date on which the class principal balance of the senior certificates immediately prior to such distribution date (less the principal funds for such distribution date) is less than or equal to approximately 50.20%, of the stated principal balance of the mortgage loans on the related determination date, and (ii) the distribution date after the distribution date on which the aggregate class principal balance of the senior certificates has been reduced to zero; and
 
 
 
 
 
S-10

 
 
 
 
·
whether a “trigger event” has occurred, and cumulative losses or delinquencies on the mortgage loans are higher than certain levels specified in this prospectus supplement.
 
Net Monthly Excess Cashflow
 
On each distribution date, the trustee will distribute any related net monthly excess cashflow in the following order:
 
 
·
first, to the senior and subordinate certificates to make principal payments to maintain the required overcollateralization amount;
 
 
·
to the subordinate certificates, in order of seniority, the amount of unpaid interest for prior distribution dates (excluding any shortfall resulting from application of a cap) and amounts in repayment of any realized losses previously allocated to those certificates;
 
 
·
to the certificates entitled thereto, any interest shortfall resulting from application of a cap, in the order of priority described in this prospectus supplement;
 
 
·
to the certificates entitled thereto, any prepayment interest shortfalls and any shortfalls resulting from application of the Servicemembers Civil Relief Act, in the order of priority described in this prospectus supplement;
 
 
·
to the swap account for payment to the counterparty of termination payments in certain circumstances described in this prospectus supplement, and
 
 
·
to the Class OC and Class R Certificates, in that order, any remaining amount.
 
Limited Recourse
 
The only source of cash available to make interest and principal distributions on the certificates will be the assets of the trust fund of the issuing entity. The issuing entity will have no source of cash other than collections and recoveries on the mortgage loans through insurance or otherwise and payments received under an interest rate swap agreement as described below under “—Interest Rate Swap Agreement” and payments received under an interest rate cap agreement as described below under “—Interest Rate Cap Agreement.” No other entity will be required or expected to make any distributions on the certificates.
 
Credit Enhancement
 
Credit enhancement refers to various mechanisms that are intended to protect certificateholders against losses due to defaults on the mortgage loans.
 
The offered certificates will have the benefit of the following types of credit enhancement:
 
 
·
the use of net monthly excess cashflow from the mortgage loans as described under “—Net Monthly Excess Cashflow” above;
 
 
·
the subordination of distributions of interest and principal on the subordinate certificates to required payments of interest and principal on the more senior certificates;
 
 
·
the use of net monthly excess cashflow to build and maintain overcollateralization at certain required levels as described in this prospectus supplement.
 
On the closing date, the outstanding stated principal balance of the mortgage loans is expected to exceed the aggregate principal balance of the certificates by approximately $29,243,726, which represents approximately 4.70% of the stated principal balance of the mortgage loans as of the cut-off date. As described above, net monthly excess cashflow will be used to build and maintain such overcollateralization at required levels. We cannot, however, assure you that for all periods sufficient excess interest will be generated by the mortgage loans to maintain the required levels of overcollateralization.
 
 
 
 
 
S-11

 
 
 
Interest Rate Swap Agreement
 
The trustee, on behalf of the supplemental interest trust, will enter into an interest rate swap agreement with the counterparty. Under the interest rate swap agreement, on each distribution date, commencing with the distribution date in February 2008 and ending with the distribution date in September 2011, the supplemental interest trust will be obligated to make payments at the applicable fixed rate of payment owed by the trust fund, as described in this prospectus supplement, and the counterparty will be obligated to make payments at LIBOR (as determined pursuant to the interest rate swap agreement), in each case calculated on the scheduled notional amount set forth on Annex 1. To the extent that a fixed rate payment exceeds the floating rate payment related to any distribution date, amounts otherwise available to certificateholders will be applied to make a net swap payment to the counterparty, and to the extent that a floating rate payment exceeds the fixed rate payment related to any distribution date, the counterparty will owe a net swap payment to the supplemental interest trust. Any net amounts received by the supplemental interest trust under the interest rate swap agreement will be paid by the supplemental interest trust and applied to pay interest shortfalls, pay basis risk shortfalls, maintain overcollateralization and repay losses, as described in this prospectus supplement.
 
Interest Rate Cap Agreement
 
The offered certificates will have the benefit of an interest rate cap agreement provided by the counterparty. The payments, if any, pursuant to the interest rate cap agreement will be available to cover certain shortfalls in interest that may result from the pass-through rates on the offered certificates being limited by the cap on those pass-through rates. All obligations of the trust fund under the interest rate cap agreement will be paid on or prior to the closing date. For further information regarding the interest rate cap agreement, see “Description of the Offered Certificates—Interest Rate Cap Agreement” in this prospectus supplement.
 
Mortgage Loans
 
On the closing date, the assets of the trust fund of the issuing entity will consist of approximately 3,134 mortgage loans with an aggregate principal balance as of the cut-off date of approximately $622,171,726.
 
Information presented with respect to the mortgage loans in this prospectus supplement is derived solely from mortgage loans identified for inclusion in the trust fund of the issuing entity as of the date of this prospectus supplement. Accordingly, such statistical data reflects only a portion of the loans to be included in the trust fund of the issuing entity.
 
The mortgage loans were originated or acquired in accordance with the mortgage loan program for non-conforming credits of the seller. We refer you to “Risk Factors—Non-conforming underwriting standards” in this prospectus supplement for additional information.
 
 
 
 
 
S-12

 
 
 
The mortgage loans in the trust fund of the issuing entity are secured by one- to four-family residential properties and include first and second lien, fixed and adjustable rate, conforming balance and non-conforming balance mortgage loans.
 
The mortgage loans to be included in the trust fund of the issuing entity are separated into two groups:

 Loan group 1 consists of fixed and adjustable rate, first and second lien conforming balance mortgage loans. Loan group 2 consists of fixed and adjustable rate, first and second lien conforming balance and non-conforming balance mortgage loans.
 
See Appendix A hereto for a description of the mortgage loans.
 
 
 
 
 
S-13

 
 
 
Aggregate Mortgage Loans

Total Outstanding Principal Balance:
$622,171,726
   
Number of Loans:
3,134
   
       
 
Average
Minimum
Maximum
       
Original Loan Amount:
     
Outstanding Principal Balance:
$198,523
$14,716
$998,999
       
 
Weighted Average
Minimum
Maximum
       
Mortgage Rate:
8.358%
5.750%
14.200%
       
Gross Margin:
6.133%
4.500%
9.990%
Initial Periodic Rate Cap:
2.988%
1.000%
3.000%
Periodic Rate Cap:
1.002%
1.000%
1.500%
Life Floor:
6.404%
4.500%
12.000%
Life Cap:
14.366%
11.750%
18.990%
Months to Roll:
27
9
59
Combined Original LTV(1):
80.21%
15.66%
100.00%
Credit Score(2):
608
490
816
       
Original Term (months):
362
120
480
Remaining Term (months):
359
117
479
Seasoning (months):
2
1
30
       
Top Property State Concentrations:
CA (16.22%), MD (14.82%), FL (9.94%)
Maximum Zip Code Concentrations:
20743 (0.61%), 20774 (0.47%), 22193 (0.42%)
       
Adjustable Rate:
79.92%
   
Fixed Rate:
20.08%
   
       
   
Earliest
Latest
       
First Distribution Date:
 
Maturity Date:
 
January 1, 2047
       
First Lien:
2,900 (98.07%)
   
Second Lien:
234 (1.93%)
   
       
 
 
(1)
The combined original loan-to-value ratio of a mortgage loan is equal to the ratio (expressed as a percentage) of the original stated principal balance of the mortgage loan plus, in the case of a second lien mortgage loan, any senior lien balances and the fair market value of the mortgaged premises at the time of origination. The fair market value is the lower of (i) the purchase price and (ii) the appraised value in the case of purchases and is the appraised value in all other cases.
 
   
 
(2)
The weighted average and minimum credit scores are calculated based on approximately 99.88% of the mortgage loans (by stated principal balance) that have valid FICO scores.

 
 
 
 
S-14

 
 

Group 1 Mortgage Loans

Total Outstanding Principal Balance:
$278,392,074
   
Number of Loans:
1,506
   
       
 
Average
Minimum
Maximum
       
Original Loan Amount:
     
Outstanding Principal Balance:
$184,855
$14,716
$570,595
       
 
Weighted Average
Minimum
Maximum
       
Mortgage Rate:
8.367%
5.750%
14.200%
       
Gross Margin:
6.096%
4.500%
9.990%
Initial Periodic Rate Cap:
2.995%
1.000%
3.000%
Periodic Rate Cap:
1.001%
1.000%
1.500%
Life Floor:
6.282%
4.500%
12.000%
Life Cap:
14.311%
11.750%
18.990%
Months to Roll:
27
19
35
Combined Original LTV(1):
80.37%
15.66%
100.00%
Credit Score(2):
606
500
806
       
Original Term (months):
361
120
480
Remaining Term (months):
359
117
479
Seasoning (months):
2
1
30
       
Top Property State Concentrations:
CA (16.81%), MD (15.87%), FL (9.31%)
Maximum Zip Code Concentrations:
20743 (0.89%), 21222 (0.46%), 20744 (0.45%)
       
Adjustable Rate:
77.96%
   
Fixed Rate:
22.04%
   
       
   
Earliest
Latest
       
First Distribution Date:
 
Maturity Date:
 
January 1, 2047
       
First Lien:
1,372 (98.13%)
   
Second Lien:
134 (1.87%)
   
       

 
(1)
The combined original loan-to-value ratio of a mortgage loan is equal to the ratio (expressed as a percentage) of the original stated principal balance of the mortgage loan plus, in the case of a second lien mortgage loan, any senior lien balances and the fair market value of the mortgaged premises at the time of origination. The fair market value is the lower of (i) the purchase price and (ii) the appraised value in the case of purchases and is the appraised value in all other cases.
 
   
 
(2)
The weighted average and minimum credit scores are calculated based on all of the mortgage loans (by stated principal balance) that have valid FICO scores.
 
 
 
 
 
S-15

 
 
 
Group 2 Mortgage Loans

Total Outstanding Principal Balance:
$343,779,652
   
Number of Loans:
1,628
   
       
 
Average
Minimum
Maximum
       
Original Loan Amount:
     
Outstanding Principal Balance:
$211,167
$15,484
$998,999
       
 
Weighted Average
Minimum
Maximum
       
Mortgage Rate:
8.350%
5.750%
14.100%
       
Gross Margin:
6.161%
4.500%
9.990%
Initial Periodic Rate Cap:
2.983%
1.000%
3.000%
Periodic Rate Cap:
1.002%
1.000%
1.500%
Life Floor:
6.499%
4.500%
11.990%
Life Cap:
14.409%
11.750%
18.990%
Months to Roll:
27
9
59
Combined Original LTV(1):
80.08%
17.18%
100.00%
Credit Score(2):
609
490
816
       
Original Term (months):
362
120
480
Remaining Term (months):
360
117
479
Seasoning (months):
2
1
21
       
Top Property State Concentrations:
CA (15.74%), MD (13.97%), FL (10.44%)
Maximum Zip Code Concentrations:
20774 (0.69%), 20772 (0.53%), 22193 (0.48%)
       
Adjustable Rate:
81.52%
   
Fixed Rate:
18.48%
   
       
   
Earliest
Latest
       
First Distribution Date:
 
Maturity Date:
 
January 1, 2047
       
First Lien:
1,528 (98.02%)
   
Second Lien:
100 (1.98%)
   
       
 
 
(1)
The combined original loan-to-value ratio of a mortgage loan is equal to the ratio (expressed as a percentage) of the original stated principal balance of the mortgage loan plus, in the case of a second lien mortgage loan, any senior lien balances and the fair market value of the mortgaged premises at the time of origination. The fair market value is the lower of (i) the purchase price and (ii) the appraised value in the case of purchases and is the appraised value in all other cases.
 
   
 
(2)
The weighted average and minimum credit scores are calculated based on approximately 99.79% of the mortgage loans (by stated principal balance) that have valid FICO scores.

 
 
 
 
S-16

 
 

Optional Redemption
 
The servicer has the right to exercise an optional termination on any distribution date on which the aggregate principal balance of the mortgage loans has declined to less than or equal to 10% of the sum of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
Realized Losses
 
If, (1) the trustee disposes of a mortgage loan for less than its stated principal balance plus accrued interest, reimbursement of liquidation expenses, and servicer advances, or (2) the servicer determines that a delinquent mortgage loan constitutes a “nonrecoverable mortgage loan” as described herein, the trust fund of the issuing entity will incur a realized loss.
 
If, on any distribution date, the aggregate class principal balance of the certificates exceeds the aggregate principal balance of the mortgage loans, the class principal balances of the subordinate certificates will be reduced in reverse order of seniority. After a reduction, the holders of any of these certificates will generally only be entitled to distributions of both principal and interest on the reduced class principal balance of their certificates.
 
Mortgage Loan Representations and Warranties
 
Each originator (including the sponsor) of mortgage loans has made certain representations and warranties concerning the mortgage loans. These representations and warranties, or the sponsor’s rights to these representations and warranties, as applicable, will be assigned to the depositor under a sales agreement and, in turn, will be assigned by the depositor to the trustee on behalf of the issuing entity under the pooling and servicing agreement. In addition, the sponsor will represent that none of the mortgage loans in the trust fund of the issuing entity will be “high cost” loans under applicable federal, state or local anti-predatory or anti-abusive lending laws, and for certain of the mortgage loans, will make additional representations and warranties.
 
Following the discovery of a breach of any representation or warranty that materially and adversely affects the interests of the holders of the offered certificates (or, in the case of certain representations and warranties with respect to the group 1 mortgage loans described under “The Pooling and Servicing Agreement — Sale of Mortgage Loans,” any breach thereof regardless of its effect on the interests of the holders of the offered certificates), the sponsor will be required to either (1) cure that breach, (2) repurchase the affected mortgage loan from the issuing entity 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 of the issuing entity because of a breach of a representation or warranty, a mortgage loan that is materially similar to the defective mortgage loan must be available for substitution, and the substitution must be made within two years of the closing date.
 
See “The Trusts — Assignment of Mortgage Assets” in the prospectus.
 
Mortgage Loan Servicing
 
The servicer will service the mortgage loans in the trust fund pursuant to the pooling and servicing agreement, as described in this prospectus supplement and the accompanying prospectus.
 
 
 
 
 
S-17

 
 
The servicer is required to make advances in respect of scheduled payments on the mortgage loans, net of the servicing fee, in certain circumstances described under “Servicing; The Servicer — Advances and Payment of Compensating Interest” in this prospectus supplement. If the servicer does not make a required advance, the trustee, in its capacity as successor servicer, will be obligated to do so to the extent required by the pooling and servicing agreement.
 
Any transfer of servicing to one or more successor servicers is subject to the conditions set forth in the pooling and servicing agreement, as described in this prospectus supplement.
 
See Servicing; The Servicer,” in this prospectus supplement.
 
Financing
 
The underwriter, or affiliates of the underwriter, has provided financing for certain of the mortgage loans. A portion of the proceeds of the sale of the offered certificates will be used to repay this financing.
 
Tax Status
 
An election will be made to treat a portion of the trust fund as multiple REMICs for federal income tax purposes. Each of the offered certificates will represent ownership of “regular interests” in a REMIC, along with certain contractual rights and obligations. The Class R Certificate will be designated as the sole class of “residual interest” in each of the REMICs.
 
See “Federal Income Tax Consequences” in this prospectus supplement and in the accompanying prospectus for additional information concerning the application of federal income tax laws to the certificates.
 
ERISA Considerations
 
Generally, employee benefit plans and any other retirement arrangements subject to the Employee Retirement Income Security Act of 1974 and/or the Internal Revenue Code of 1986 or any similar applicable law may acquire the offered certificates. However, offered certificates may not be acquired or held by a person investing assets of any such plans or arrangements before the termination of the interest rate swap agreement and the interest rate cap agreement, unless such acquisition or holding is eligible for the exemptive relief available under the statutory exemption or one of the class exemptions described in this prospectus supplement under “ERISA Considerations.”
 
Legal Investment
 
None of the classes of offered certificates will constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984, as amended. If your investment activities are subject to legal investment laws and regulations, regulatory capital requirements, or review by regulatory authorities, then you may be subject to restrictions on investment in the offered certificates. You should consult your own legal advisors for assistance in determining the suitability of and consequences to you of the purchase, ownership, and sale of the offered certificates. See “Legal Investment Considerations” in this prospectus supplement and “Legal Investment Matters” in the prospectus.
 
 
 
 
 
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RISK FACTORS
 
Before making an investment decision, you should carefully consider the following risks which we believe describe the principal factors that make an investment in the offered certificates speculative or risky. In particular, payments on your certificates will depend on payments received on, and other recoveries with respect to, the mortgage loans. Therefore, you should carefully consider the risk factors relating to the mortgage loans.
 
The offered certificates are complex securities. You should possess, either alone or together with an investment advisor, the expertise necessary to evaluate the information contained in this prospectus supplement and the accompanying prospectus in the context of your financial situation and tolerance for risk.
 
You should carefully consider, among other things, the factors described below and under “Prepayment and Yield Considerations” in this prospectus supplement and “Risk Factors” in the accompanying prospectus before purchasing the certificates.
 
Certificates May Not Be Appropriate for Individual Investors
 
The offered certificates are not suitable investments for all investors. In particular, you should not purchase any class of offered certificates unless you understand the prepayment, credit, liquidity and market risks associated with that class because:
 
 
·
The amounts you receive on your offered certificates will depend on the amount of the payments borrowers make on the related mortgage loans. Because we cannot predict the rate at which borrowers will repay their loans, you may receive distributions on your certificates in amounts that are larger or smaller than you expect. In addition, the life of your certificates may be longer or shorter than anticipated. Because of this, we cannot guarantee that you will receive distributions at any specific future date or in any specific amount. You bear the reinvestment risks resulting from a rate of principal payments that is faster or slower than you expect.
 
 
·
The yield to maturity on your certificates will depend primarily on the purchase price of your certificates and the rate of principal payments and realized losses on the mortgage loans.
 
 
·
Rapid prepayment rates on the mortgage loans are likely to coincide with periods of low prevailing interest rates. During these periods, the yield at which you may be able to reinvest amounts received as payments on your certificates may be lower than the yield on your certificates. Conversely, slow prepayment rates on the mortgage loans are likely to coincide with periods of high interest rates. During these periods, the amount of payments available to you for reinvestment at high rates may be relatively low.
 
 
·
All of the pass-through rates of the certificates are based to some extent on the weighted average of the net mortgage rates of the mortgage loans. If the mortgage loans with relatively higher mortgage rates prepay, the Aggregate Net WAC Cap (as defined herein) will be reduced. In addition, with respect to the senior certificates, the pass-through rates of the group 1 senior certificates will be further limited by the Group 1 WAC Cap (as defined herein), and the pass-through rates of the group 2 senior certificates will be further limited by the Group 2 WAC Cap (as defined herein), each of which is based upon the net mortgage rates of the mortgage loans in the related loan group, and which may be lower than the Aggregate Net WAC Cap. Reductions in the net mortgage rates of the mortgage loans in a loan group could affect both the yield on the certificates in the related certificate group and the amount of excess interest generated by the mortgage loans in the related loan group.
 
 
 
 
 
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Credit Enhancement May Not Be Adequate
 
Risks Related to the Offered Certificates. A decline in real estate values or in economic conditions generally could increase the rates of delinquencies, foreclosures and losses on the mortgage loans to a level that is significantly higher than those experienced currently. This in turn will reduce the yield on your certificates, particularly if the credit enhancement described in this prospectus supplement is not enough to protect your certificates from these losses.
 
The certificates are not insured by any financial guaranty insurance policy. The subordination, loss allocation and overcollateralization features described in this prospectus supplement are intended to enhance the likelihood that holders of more senior classes of certificates in a certificate group will receive regular payments of interest and principal, but are limited in nature and may be insufficient to cover all losses on the mortgage loans in the related loan group or loan groups.
 
Risks Related to the Certificates. The senior certificates will generally receive 100% of principal payments received on the related mortgage loans for the first three years following the closing date and if the loss and delinquency levels described in the definitions of “Cumulative Loss Trigger Event” and “Delinquency Loss Trigger Event” in the “Glossary” are exceeded thereafter, the senior certificates may once again receive 100% of principal payments received on the mortgage loans and as a result the subordinate certificates may continue (unless the aggregate class principal balance of the senior certificates has been reduced to zero) to receive no portion of the amount of principal then payable to the certificates. After taking into account certain payments by the issuing entity pursuant to the swap agreement, the weighted average lives of the subordinate certificates will therefore be longer than would otherwise be the case. The effect on the market value of the subordinate certificates of changes in market interest rates or market yields for similar securities may be greater than for the senior certificates.
 
If, as a result of losses on the mortgage loans, the class principal balance of the Class OC Certificates is reduced to zero and there is no excess interest on the mortgage loans, the yield on each class of subordinate certificates will be extremely sensitive to losses on the mortgage loans since such losses will then be allocated to the Class B-3, Class B-2, Class B-1, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order, until their respective class principal balances are reduced to zero.
 
 
 
 
 
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Delinquencies on the mortgage loans that are not covered by amounts advanced by the servicer because the servicer believes the amounts, if advanced, would not be recoverable, will adversely affect the yield on the Class B-3, Class B-2, Class B-1, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order. Because of the priority of distributions, shortfalls resulting from delinquencies on the mortgage loans after taking into account certain payments received or paid by the issuing entity pursuant to the swap agreement will be borne first by the Class OC Certificates and then by the subordinate certificates, in the reverse order of their priority of payment. Realized losses will be allocated to a class of subordinate certificates by reducing or “writing down” the principal balance thereof. Such written down amounts will not accrue interest, nor, except under certain limited circumstances, will such amounts be reinstated. However, if funds are available after all payments of interest and principal required to be made on a distribution date to the senior certificates are paid thereto, the holders of subordinate certificates may receive a payment in respect of such written down principal in order of their seniority.
 
The yield on the subordinate certificates, in decreasing order of their seniority, will be progressively more sensitive to the rate and timing of defaults and the severity of losses on the mortgage loans. In general, losses on the mortgage loans and the resulting reduction in the principal balance of the subordinate certificates will mean that less interest will accrue on such certificates than would otherwise be the case. The earlier a loss and resulting reduction in principal balance occurs, the greater the effect on an investor’s yields.
 
The amount of any realized losses experienced on the mortgage loans, to the extent not covered by either excess interest or, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, will be applied to reduce the class principal balance of the Class OC, Class B-3, Class B-2, Class B-1, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order, until the principal balance of each such class has been reduced to zero. If subordination is insufficient to absorb losses, then holders of more senior classes will incur realized losses and may never receive payments in respect of their entire class principal balances. The pooling and servicing agreement does not permit the allocation of realized losses on the mortgage loans to the senior 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 to pay the senior certificates all interest and principal amounts to which these classes of certificates are then entitled. You should consider the following:
 
 
·
if you buy a Class B-3 Certificate and losses on the mortgage loans exceed the total principal balance of the Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class B-3 Certificates by the amount of that excess;
 
 
·
if you buy a Class B-2 Certificate and losses on the mortgage loans exceed the total principal balance of the Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class B-2 Certificates by the amount of that excess;
 
 
 
 
 
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·
if you buy a Class B-1 Certificate and losses on the mortgage loans exceed the total principal balance of the Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class B-1 Certificates by the amount of that excess;
 
 
·
if you buy a Class M-6 Certificate and losses on the mortgage loans exceed the total principal balance of the Class B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class M-6 Certificates by the amount of that excess;
 
 
·
if you buy a Class M-5 Certificate and losses on the mortgage loans exceed the total principal balance of the Class M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class M-5 Certificates by the amount of that excess;
 
 
·
if you buy a Class M-4 Certificate and losses on the mortgage loans exceed the total principal balance of the Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class M-4 Certificates by the amount of that excess;
 
 
·
if you buy a Class M-3 Certificate and losses on the mortgage loans exceed the total principal balance of the Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class M-3 Certificates by the amount of that excess;
 
 
 
 
 
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·
if you buy a Class M-2 Certificate and losses on the mortgage loans exceed the total principal balance of the Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class M-2 Certificates by the amount of that excess; and
 
 
·
if you buy a Class M-1 Certificate and losses on the mortgage loans exceed the total principal balance of the Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest in that period and, on and after the distribution date in February 2008 and prior to the distribution date in September 2011, any net swap receipts received from the swap counterparty, the principal balance of your certificate will be reduced proportionately with the principal balance of the other Class M-1 Certificates by the amount of that excess.
 
There Are Risks Involving Unpredictability of Prepayments and the Effect of Prepayments on Yields
 
The rate of principal distributions and yield to maturity on the offered certificates will be directly related to the rate of principal payments on the mortgage loans in the related loan group, in the case of the group 1 senior certificates and the group 2 senior certificates, or all of the mortgage loans, in the case of the subordinate certificates. For example, the rate of principal payments on the mortgage loans will be affected by the following:
 
 
·
the amortization schedules of the mortgage loans; and
 
 
·
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 the exercise of the optional purchase of the mortgage loans by the servicer.
 
With the exception of approximately 64.26% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, all of the mortgage loans may be prepaid in whole or in part at any time without payment of a prepayment penalty. 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 mobility. 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:
 
 
 
 
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·
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 an 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;
 
 
·
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;
 
 
·
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; and
 
 
·
the priorities governing payments of scheduled and unscheduled principal on the mortgage loans will have the effect of accelerating the rate of principal payments to holders of the classes of the related senior certificates relative to the classes of the subordinate certificates.
 
Prepayment penalties on the mortgage loans in a loan group will be distributed to the Class P Certificates and will not be available to the holders of other classes of certificates. See “Yield, Prepayment and Weighted Average Life,” “Description of the Offered Certificates—Principal Distributions on the Certificates” in this prospectus supplement for a description of the factors that may influence the rate and timing of prepayments on the mortgage loans.
 
Your Yield Will Be Affected By The Interest-Only Feature Of The Mortgage Loans
 
Approximately 19.84% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, require monthly payments of only accrued interest for a substantial period of time after origination. During the interest-only period, less principal will be available for distribution to the holders of the related certificates than otherwise would be the case. In addition, these loans may have a higher risk of default after the interest-only period due to the larger outstanding balance and the increased monthly payment necessary to amortize fully the mortgage loan. In addition, during the interest-only period, these mortgage loans may be less likely to prepay since the perceived benefits from refinancing may be less than if the mortgage loans were fully amortizing. As the interest-only period approaches its end, however, these mortgage loans may be more likely to be refinanced in order to avoid higher monthly payments necessary to amortize fully the mortgage loans.
 
 
 
 
 
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Investors should consider the fact that interest-only loans reduce the monthly payment required by borrowers during the interest-only period and consequently the monthly housing expense used to qualify borrowers pursuant to originators’ underwriting guidelines. As a result, interest-only loans may allow some borrowers to qualify for a mortgage loan who would not otherwise qualify for a fully-amortizing mortgage loan or may allow them to qualify for a larger loan than would otherwise be the case.
 
Your Yield May Be Affected By Changes In Interest Rates
 
After their respective initial fixed-rate periods, if any, the mortgage rate on each adjustable rate mortgage loan adjusts based upon six-month LIBOR. No prediction can be made as to future levels of any of these indices or as to the timing of any changes therein, each of which will directly affect the yields of the related classes of certificates.
 
See “Description of the Offered Certificates—Interest Distributions on the Certificates” in this prospectus supplement.
 
Your Yield Will Be Affected By How Mortgage Loan Interest Rate Adjustments Are Limited
 
The certificates will accrue interest at a pass-through rate based on or subject to the weighted average of the interest rates on the mortgage loans in the related loan group, in the case of the senior certificates, and in all of the mortgage loans, in the case of the subordinate certificates, net of certain expenses of the issuing entity. A majority of the mortgage loans that have adjustable mortgage rates have periodic and maximum limitations on adjustments to the interest rate on the mortgage loans. Consequently, the operation of these interest rate caps may limit increases in one or more pass-through rates for extended periods in a rising interest rate environment.
 
Information Regarding Historical Performance of Other Mortgage Loans May Not be Indicative of the Performance of the Mortgage Loans Owned by the Issuing Entity
 
A variety of factors may affect the performance of any pool of mortgage loans during any particular period of time. In addition, differing loan characteristics or external factors may cause the performance of the mortgage loans owned by the issuing entity to differ from the performance of other loans of a similar type. When examining data regarding the historical performance of pools of mortgage loans, prospective investors should consider, among other things:
 
 
·
differences in loan type;
 
 
·
the relative seasoning of the pools;
 
 
·
differences in interest rates, credit quality and any of various other material pool characteristics, both at formation of a pool and over time;
 
 
 
 
 
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·
the extent to which the loans in a pool have prepayment penalties;
 
 
·
whether the loans were originated by different lenders, and the extent to which the underwriting guidelines differed; and
 
 
·
whether the loans were serviced by different servicers.
 
In particular, prospective investors should consider that, both in the case of comparable pools of mortgage loans and of the mortgage loans owned by the issuing entity, historical loan performance during a period of rising home values may differ significantly from the future performance of similar loans during a period of stable or declining home values.
 
The Pass-Through Rates on the Offered Certificates Are Subject to Weighted Average Net Rate Caps 
 
The pass-through rates on the certificates are subject to a cap (the “Aggregate Net WAC Cap”) equal to the weighted average of the mortgage rates of the mortgage loans, net of certain expenses of the issuing entity and any net swap payments required to be made to the swap counterparty. In addition, the pass-through rate for each class of group 1 senior certificates will be subject to a cap equal to the lesser of the weighted average adjusted net rate of the mortgage loans in loan group 1, minus any net payments payable to the swap counterparty (the “Group 1 WAC Cap”), and the Aggregate Net WAC Cap, and the pass-through rate for each class of group 2 senior certificates will be subject to a cap equal to the lesser of the weighted average adjusted net rate of the mortgage loans in loan group 2, minus any net payments payable to the swap counterparty (the “Group 2 WAC Cap”), and the Aggregate Net WAC Cap. Each of the Aggregate Net WAC Cap, the Group 1 WAC Cap and the Group 2 WAC Cap is referred to in this prospectus supplement as a “Net WAC Cap.”
 
As a result, the prepayment of the mortgage loans in any loan group with higher mortgage rates may result in a lower rate cap, and therefore a lower pass-through rate, on the certificates related to that loan group.
 
The Pass-Through Rates on the Certificates Are Sensitive to One-Month LIBOR
 
The pass-through rates on the certificates for any distribution date will be equal to the value of one-month LIBOR plus the related margin, but are subject to certain limitations. Your yield on the certificates will be sensitive to:
 
(1)  the level of one-month LIBOR,
 
(2)  the imposition of the Aggregate Net WAC Cap, and
 
(3)  the imposition of, in the case of the group 1 senior certificates, the Group 1 WAC Cap, and in the case of the group 2 senior certificates, the Group 2 WAC Cap.
 
To the extent the pass-through rate for any class of certificates is limited on any distribution date by the application of a rate cap, the difference between that rate and the pass-through rate that would otherwise have been paid to that class of certificates absent such rate cap will create a shortfall. That shortfall will carry forward with interest thereon. These shortfalls may remain unpaid on the related optional purchase date or, if the optional termination is not exercised, on the related final payment date.
 
 
 
 
 
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In addition, when a Net WAC Cap applies, there may be little or no excess cash flow or amounts paid by the swap counterparty and the cap counterparty to the issuing entity, to cover any resulting interest shortfalls. No assurance can be given that the excess cash flow on the mortgage loans and/or amounts paid by the swap counterparty or the cap counterparty, in each case available to cover the shortfalls resulting from the related Net WAC Cap, will be sufficient for that purpose.
 
Although holders of each class of certificates will be entitled to receive any basis risk carry forward from and to the limited extent of any net monthly excess cashflow, plus amounts paid by the swap counterparty and the cap counterparty, there is no assurance that those funds will be available or sufficient to pay such basis risk carry forward amount. There can be no assurance that available net monthly excess cashflow will be sufficient to cover these shortfalls, particularly because in a situation where the pass-through rate on a class of certificates is limited by the related Net WAC Cap, there will be little or no net monthly excess cashflow on the mortgage loans.
 
See “Description of the Offered Certificates—Interest Distributions on the Certificates,” “—The Interest Rate Swap Agreement” and “—The Swap Account” and “Prepayment and Yield Considerations” in this prospectus supplement for a description of factors that may influence the rate and timing of prepayments on the mortgage loans.
 
The Interest Rate Swap Agreement and the Interest Rate Cap Agreement will be Subject to Counterparty Risk
 
The certificates will have the benefit of a supplemental interest trust, which will hold the interest rate swap agreement and the interest rate cap agreement entered into by the trustee for the benefit of the certificates that will either require the swap counterparty or the cap counterparty, as applicable, to make certain payments for the benefit of the certificates or the trustee to make certain payments to the swap counterparty out of funds otherwise distributable to the certificates. To the extent that payments on the certificates depend in part on payments to be received by the supplemental interest trust, under the interest rate swap agreement or the interest rate cap agreement, the ability of the trustee to make such payments on the certificates will be subject to the credit risk of the counterparty. Payments from the swap counterparty will only be available to cover certain shortfalls or losses on the certificates, as described in this prospectus supplement under “Description of the Offered Certificates—The Swap Account” and “—The Interest Rate Swap Agreement”. Payments from the cap counterparty will only be available to cover certain shortfalls on the certificates, as described in this prospectus supplement under “Description of the Offered Certificates—The Interest Rate Cap Agreement”.
 
Any net payments payable under the interest rate swap agreement by the swap counterparty will only be payable if the amount owed by the swap counterparty on a distribution date, which is equal to one-month LIBOR, exceeds the amount owed to the swap counterparty, which is a fixed payment of 5.00% per annum, on such distribution date. No assurance can be made that any amounts will be received under the interest rate swap agreement or the interest rate cap agreement, or that any such amounts that are received will be sufficient for their intended purpose. Any net swap payment payable to the swap counterparty under the terms of the interest rate swap agreement will reduce amounts available for distribution to the certificateholders, and may reduce the interest distributed to the certificates. In addition, any swap termination payment payable to the swap counterparty in the event of early termination of the interest rate swap agreement (other than certain swap termination payments resulting from an event of default or certain termination events with respect to the swap counterparty, as described in this prospectus supplement under “Description of the Offered Certificates—The Swap Account” and “—The Interest Rate Swap Agreement”) will reduce amounts available for distribution to the certificateholders. The interest rate swap agreement will terminate on or prior to the distribution date in September 2011 and the interest rate cap agreement will terminate on or prior to the distribution date in January 2008.
 
 
 
 
 
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Upon early termination of the interest rate swap agreement, a payment may be owed by either the swap counterparty or the supplemental interest trust, 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 described in this prospectus supplement under “Description of the Offered Certificates—The Swap Account” and “—The Interest Rate Swap Agreement”. In the event that the swap counterparty is entitled under the interest rate swap agreement to receive a swap termination payment, the issuing entity, through the supplemental interest trust, will be required to make that payment on the related distribution date, and on any subsequent distribution dates until the swap counterparty has been paid in full, prior to distributions to the certificateholders (other than certain swap termination payments resulting from an event of default or certain termination events with respect to the swap counterparty, which swap termination payments generally will be subordinate to distributions to the holders of the certificates, as described in this prospectus supplement under “Description of the Offered Certificates—The Swap Account” and “—The Interest Rate Swap Agreement”). This feature may result in losses on the subordinate certificates. Due to the priority of the applications of the available distribution amount, any classes of certificates that are subordinated in right of payment to payments made to the swap counterparty will bear the effects of any shortfalls resulting from a net swap payment or swap termination payment before such effects are borne by the certificates that are senior in right of payment to the swap counterparty.
 
 
 
 
 
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The Credit Rating of the Swap Counterparty Could Affect the Rating of the Offered Certificates.
 
Morgan Stanley, the guarantor of the swap counterparty under the interest rate swap agreement, is rated “A+” by Standard & Poor’s Ratings Services, a division of The McGraw-Hill Companies, Inc., and “Aa3” by Moody’s Investors Service, Inc. The ratings on the offered certificates are dependent in part upon these credit ratings. If a credit rating of the guarantor of the swap counterparty is qualified, reduced or withdrawn and a substitute swap counterparty is not obtained in accordance with the terms of the interest rate swap agreement, the ratings of the offered certificates may be qualified, reduced or withdrawn. As a result, the value and marketability of the offered certificates may be adversely affected. See “Description of the Offered Certificates—Interest Rate Swap Agreement” in this prospectus supplement.
 
Recent Developments in the Residential Mortgage Market may Adversely Affect the Yields of the Offered Certificates.
 
Recently, the residential mortgage market in the United States has experienced a variety of difficulties and changed economic conditions that may adversely affect the yield on your certificates. Delinquencies and losses with respect to residential mortgage loans generally have increased in recent months, and may continue to increase, particularly in the subprime sector. In addition, in recent months housing prices and appraisal values in many states have declined or stopped appreciating, after extended periods of significant appreciation. A continued decline or an extended flattening of those values may result in additional increases in delinquencies and losses on residential mortgage loans generally, particularly with respect to second homes and investor properties and with respect to any residential mortgage loans whose aggregate loan amounts (including any subordinate liens) are close to or greater than the related property values.
 
Another factor that may have contributed to, and may in the future result in, higher delinquency rates is the increase in monthly payments on adjustable rate mortgage loans. Borrowers with adjustable payment mortgage loans are being exposed to increased monthly payments when the related mortgage interest rate adjusts upward from the initial fixed rate or a low introductory rate, as applicable, to the rate computed in accordance with the applicable index and margin. This increase in borrowers’ monthly payments, together with any increase in prevailing market interest rates, may result in significantly increased monthly payments for borrowers with adjustable rate mortgage loans.
 
Borrowers seeking to avoid these increased monthly payments by refinancing their mortgage loans may no longer be able to find available replacement loans at comparably low interest rates. A decline in housing prices may also leave borrowers with insufficient equity in their homes to permit them to refinance, and in addition, many mortgage loans have prepayment premiums that inhibit refinancing. Furthermore, borrowers who intend to sell their homes on or before the expiration of the fixed rate periods on their mortgage loans may find that they cannot sell their properties for an amount equal to or greater than the unpaid principal balance of their loans. These events, alone or in combination, may contribute to higher delinquency rates.
 
The mortgage loans in the trust fund include subprime mortgage loans, and it is possible that the originator, due to substantial economic exposure to the subprime mortgage market, for financial or other reasons may not be capable of repurchasing or substituting for any defective mortgage loans in the trust fund. You should consider that the general market conditions discussed above may affect the performance of the mortgage loans and may adversely affect the yield on your certificates.
 
 
 
 
 
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Recently, the Subprime Mortgage Loan Market has Experienced Increasing Levels of Delinquencies and Defaults; Increased Use of New Mortgage Loan Products by Borrowers May Result in Higher Levels of Delinquencies and Losses Generally.
 
In recent years, borrowers have increasingly financed their homes with new mortgage loan products, which in many cases have allowed them to purchase homes that they might otherwise have been unable to afford. Many of these new products feature low monthly payments during the initial years of the loan that can increase (in some cases, significantly) over the loan term. There is little historical data with respect to these new mortgage loan products especially during a period of increased delinquencies or defaults for such mortgage loan products. Consequently, as borrowers face potentially higher monthly payments for the remaining terms of their loans, it is possible that, combined with other economic conditions such as increasing interest rates and deterioration of home values, borrower delinquencies and defaults could exceed levels anticipated by you. Recently, the subprime mortgage loan market has experienced increasing levels of delinquencies and defaults, and we cannot assure you that this will not continue. In light of the foregoing, you should consider the heightened risk associated with purchasing the offered certificates, and that your investment in the offered certificates may perform worse than you anticipate.
 
High Balance Mortgage Loans Pose Special Risks
 
Approximately 9.24% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, had principal balances greater than $500,000. You should consider the risk that the loss and delinquency experience on these high balance mortgage loans may have a disproportionate effect on the pool of mortgage loans as a whole.
 
High Loan-To-Value Ratios Increase Risk of Loss
 
Loans with higher loan-to-value ratios may present a greater risk of loss than loans with loan-to-value ratios of 80.00% or below. Approximately 44.95% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, had combined loan-to-value ratios at origination in excess of 80.00%. Additionally, the determination of the value of a mortgaged property used in the calculation of the loan-to-value ratios may differ from the appraised value of such mortgaged properties or the actual value of such mortgaged properties.
 
Second Liens on the Mortgaged Property Increase Risk of Loss
 
At the time of origination of approximately 13.18% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, the related borrowers obtained second lien mortgage loans secured by the same mortgaged properties that secure the borrowers’ mortgage loans included in the trust fund. Investors should also be aware that borrowers may obtain secondary mortgage financing secured by their mortgaged properties following the date of origination of the mortgage loans in the trust estate. Mortgage loans of borrowers that have also obtained second lien mortgage loans secured by the same mortgaged property may experience higher rates of default than mortgage loans of borrowers that have not obtained second lien mortgage loans.
 
 
 
 
 
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Payments in Full of a Balloon Loan Depend on the Borrower’s Ability to Refinance the Balloon Loan or Sell the Mortgaged Property
 
Approximately 40.66% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, are balloon loans. Mortgage loans that are balloon loans may not be fully amortizing over their terms to maturity and, thus, will require substantial principal payments, i.e., balloon payments, at their stated maturity. Mortgage loans with balloon payments involve a greater degree of risk because the ability of a borrower to make a balloon payment typically will depend upon its ability either to timely refinance the loan or to timely sell the related mortgaged property. The ability of a borrower to accomplish either of these goals will be affected by a number of factors, including:
 
 
·
the level of available mortgage interest rates at the time of sale or refinancing;
 
 
·
the borrower’s equity in the related mortgaged property;
 
 
·
the financial condition of the mortgagor;
 
 
·
tax laws;
 
 
·
prevailing general economic conditions; and
 
 
·
the availability of credit for single family real properties generally.
 
Inadequacy of Value of Properties Could Affect Severity of Losses
 
Assuming that the related mortgaged properties provide adequate security for the mortgage loans, substantial delays in recoveries may occur from the foreclosure or liquidation of defaulted loans. We cannot assure you that the values of the properties have remained or will remain at the levels in effect on the dates of origination of the related loans. Further, liquidation expenses, including legal fees, real estate taxes, and maintenance and preservation expenses will reduce the proceeds payable on the mortgage loans and thereby reduce the security for the mortgage loans. As a result, the risk that you will suffer losses could increase. If any of the properties fail to provide adequate security for the related loan, you may experience a loss. See “Material Legal Aspects of Mortgage Loans—Foreclosure” in the accompanying prospectus.
 
Based upon representations of the related mortgagors, approximately 5.73% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, are investment properties. Investment properties are generally considered to be subject to a greater risk of delinquency and/or default than primary residences and therefore the offered certificates may be more likely to suffer losses.
 
 
 
 
 
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Bankruptcy of Borrowers May Adversely Affect Distributions on the Certificates
 
The application of federal and state laws, including bankruptcy and debtor relief laws, may interfere with or adversely affect the ability to realize on the properties, enforce deficiency judgments or pursue collection litigation with respect to defaulted loans. As a consequence, borrowers who have defaulted on their loans and sought, or are considering seeking, relief under bankruptcy or debtor relief laws will have substantially less incentive to repay their loans. As a result, these loans will likely experience more severe losses, which may be total losses and could therefore increase the risk that you will suffer losses. See “—Credit Enhancement May Not Be Adequate” above.
 
There Are Risks in Holding Subordinate Certificates
 
The protections afforded the senior certificates create risks for the subordinate certificates. Prior to any purchase of any class of subordinate certificates, consider the following factors that may adversely impact your yield:
 
 
·
Because the subordinate certificates generally receive interest and principal distributions after the related senior certificates receive those distributions, there is a greater likelihood that the subordinate certificates will not receive the distributions to which they are entitled on any distribution date.
 
 
·
If the servicer of a mortgage loan determines not to advance a delinquent payment on that mortgage loan because the servicer determines the amount is not recoverable from a borrower, there may be a shortfall in distributions on the related certificates which will impact the subordinate certificates.
 
 
·
As a result of the absorption of realized losses on the mortgage loans by excess interest and overcollateralization as described in this prospectus supplement, and after taking into account certain payments received or paid by pursuant to the swap agreement, liquidations of defaulted mortgage loans, whether or not realized losses are incurred upon the liquidations, are likely to result in an earlier return of principal to the offered certificates and are likely to influence the yield on the certificates in a manner similar to the manner in which principal prepayments on the mortgage loans would influence the yield on the certificates. The overcollateralization provisions are intended to result in an accelerated rate of principal distributions to holders of the offered certificates then entitled to principal distributions at any time that the overcollateralization provided by the mortgage loans falls below the related required level. An earlier return of principal to the holders of the offered certificates as a result of the overcollateralization provisions will influence the yield on the offered certificates and is likely to influence the yield on the certificates in a manner similar to the manner in which principal prepayments on the mortgage loans would influence the yield on the certificates. In addition, losses resulting from the liquidation of defaulted mortgage loans that are not covered by excess interest or overcollateralization or net swap receipts paid by the counterparty, will be allocated to the subordinate certificates. A loss allocation results in a reduction in a certificate balance, potentially to zero, without a corresponding distribution of cash to the holder. A lower certificate balance will result in less interest accruing on the certificate.
 
 
 
 
 
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·
The earlier in the transaction that a loss on a mortgage loan occurs, the greater the impact on your yield on the subordinate certificates.
 
The pooling and servicing agreement does not permit the allocation of realized losses on any of the mortgage loans to the Class P Certificates or the senior certificates. See “Description of the Offered Certificates” and “Prepayment and Yield Considerations” in this prospectus supplement.
 
Unless the aggregate class principal balance of the senior certificates has been reduced to zero, the subordinate certificates will not be entitled to any principal distributions until at least March 2010 or a later date as provided in this prospectus supplement, or during any period in which delinquencies and/or realized losses on the mortgage loans exceed the related levels set forth in this prospectus supplement.
 
Additionally, (1) the Class A-2d Certificates will not receive any distributions of principal until the aggregate class principal balance of the other classes of group 2 senior certificates have been reduced to zero, (2) the Class A-2c Certificates will not receive any distributions of principal until the aggregate class principal balance of the Class A-2b and Class A-2a Certificates have been reduced to zero, and (3) the Class A-2b Certificates will not receive any distributions of principal until the class principal balance of the Class A-2a Certificates have been reduced to zero, in each case, as described under “Description of the Offered Certificates —Allocation of Principal Payments to Senior Certificates” in this prospectus supplement. As a result, the Class A-2d, Class A-2c and Class A-2b Certificates will be extremely sensitive to losses and shortfalls on the related mortgage loans.
 
Excess Interest from the Mortgage Loans May Not Provide Adequate Credit Enhancement to the Certificates
 
After taking into account certain payments received or paid by the issuing entity pursuant to the swap agreement, the mortgage loans are expected to generate more interest than is needed to pay interest on the certificates and the related expenses of the issuing entity because the weighted average interest rate on the mortgage loans is expected to be higher than is needed to make distributions of interest on the certificates plus the servicing fee rate and the trustee fee rate. If the mortgage loans generate more interest than is needed to pay interest on the certificates and make any payments to the swap counterparty as required by the interest rate swap agreement, such “excess interest” will be used to make additional principal payments on the certificates to the extent described in this prospectus supplement. The use of excess interest to make additional distributions of principal on the offered certificates will reduce the aggregate class principal balance of the certificates below the aggregate stated principal balance of the mortgage loans, thereby maintaining the required level of “overcollateralization.” Overcollateralization is intended to provide limited protection to the holders of the offered certificates by absorbing these certificates’ share of losses from liquidated mortgage loans. However, we cannot assure you that enough excess interest will be generated on the mortgage loans to maintain the required level of overcollateralization.
 
 
 
 
 
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The excess interest available on any distribution date to the certificates will be affected by the actual amount of interest received, collected or advanced in respect of the mortgage loans during the preceding month. Such amount will be influenced by changes in the weighted average of the mortgage rates resulting from prepayments and liquidations of the mortgage loans. If on any distribution date, the pass-through rate of one or more classes of offered certificates is limited by the related Net WAC Cap, it may be necessary to apply all or a portion of the related interest funds available (after taking into account certain payments received or paid by the issuing entity pursuant to the interest rate swap agreement) to distribute interest at the pass-through rates for such classes of certificates. As a result, interest may be unavailable for any other purpose, including building or maintaining overcollateralization.
 
In addition, when a borrower makes a full or partial prepayment on a mortgage loan, the amount of interest that the borrower is required to pay may be less than the amount of interest certificateholders would otherwise be entitled to receive with respect to the mortgage loan. The servicer is required to reduce its servicing fee to offset this shortfall (such reduction is a payment of “Compensating Interest”), but the reduction for any distribution date is limited. If the aggregate amount of interest shortfalls resulting from prepayments on the mortgage loans exceeds the amount of the related reduction in the related servicing fee, the amount of interest available to make distributions of interest to the certificates and to build or maintain overcollateralization will be reduced.
 
If the protection afforded the certificates by overcollateralization is insufficient, then the holders of the certificates could experience a loss on their investment.
 
Non-conforming Underwriting Standards
 
 As a general matter, the mortgage loans were originated in accordance with Saxon Mortgage, Inc.’s mortgage loan program for non-conforming credits—a mortgage loan which is ineligible for purchase by Fannie Mae or Freddie Mac due to credit characteristics that do not meet Fannie Mae or Freddie Mac guidelines.

These mortgage loans are expected to experience rates of delinquency, bankruptcy and loss that are higher, perhaps significantly, than mortgage loans originated under Fannie Mae or Freddie Mac guidelines.
 
Geographic Concentration Could Increase Losses on The Mortgage Loans
 
The yield to maturity on your certificates may be affected by the geographic concentration of the mortgaged properties securing the mortgage loans. Any concentration of the mortgaged properties securing the mortgage loans in particular geographic regions might magnify the effect on the pool of mortgage loans of adverse economic conditions or of special hazards in these areas, such as earthquakes or tornadoes, and might increase the rate of delinquencies, defaults and losses on the mortgage loans. Consequently, the geographic concentration could result in shortfalls in distributions due on your certificates more than would be the case if the mortgaged properties were more geographically diversified.
 
 
 
 
 
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Approximately 16.22% of the mortgage loans, by aggregate stated principal balance of the mortgage loans as of the cut-off date, are secured by properties located in California. Property in California may be more susceptible than homes located in other parts of the country to some types of uninsurable hazards, such as wildfires, earthquakes, floods, mudslides and other natural disasters.
 
In addition, certain Mortgage Loans are secured by properties located on the Gulf Coast of Texas, and in Louisiana, Mississippi, Alabama, Florida, Georgia, South Carolina and other states that frequently experience hurricanes and other significant storms during the hurricane season.
 
See “The Mortgage Loan Pool” in this prospectus supplement.
 
Hurricane Katrina And Its Aftermath May Pose Special Risks
 
At the end of August 2005, Hurricane Katrina and related windstorms, floods and tornadoes caused extensive and catastrophic physical damage to coastal and inland areas located in the Gulf Coast region of the United States (parts of Texas, Louisiana, Mississippi, Alabama and Florida) and may have adversely affected mortgaged properties located in certain other parts of the United States. The seller or the related originator, as applicable, will represent and warrant as of the closing date that no mortgaged property has been damaged so as to materially affect the value of the mortgaged property. In the event of a breach of that representation and warranty, the seller or the related originator, as applicable, will be obligated to repurchase or substitute for the related mortgage loan. Any damage to a mortgaged property that secures a mortgage loan held by the issuing entity occurring after the closing date as a result of any other hurricane, windstorm, flood, tornado or casualty will not cause a breach of this representation and warranty. Any repurchase would have the effect of increasing the rate of principal payment on the certificates.
 
The full economic impact of Hurricane Katrina and its aftermath is uncertain. Initial economic effects appear to include nationwide decreases in petroleum availability with a corresponding increase in price, decreases in chemical production and availability and regional interruptions in travel and transportation, tourism and economic activity generally. It is not possible to determine how long these effects may last or whether other effects will subsequently arise or become apparent in connection with Hurricane Katrina and its aftermath. No assurance can be given as to the effect of any of these events on consumer confidence and the performance of the mortgage loans. Any adverse impact resulting from any of these events would be borne by the holders of the certificates.
 
Recourse on Defective Mortgage Loans Is Limited; Limited Recourse
 
The seller or an originator may be required to purchase mortgage loans from the assets of the issuing entity in the event certain breaches of representations and warranties made by it have not been cured. These purchases will have the same effect on the holders of the offered certificates as a prepayment of the mortgage loans. If the seller or the originator that made the breached representation or warranty fails to repurchase that mortgage loan, it will remain in the assets of the issuing entity.
 
 
 
 
 
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Neither the certificates nor the assets of the issuing entity will be guaranteed by the depositor, the seller, the servicer, the trustee or any of their respective affiliates or insured by any governmental agency. Consequently, if collections on the mortgage loans and net swap receipts received from the swap counterparty are insufficient to make all payments required on the certificates and the protection against losses provided by subordination, overcollateralization, limited cross-collateralization and excess spread is exhausted, you may incur a loss on your investment.
 
Bankruptcy or Insolvency May Affect the Timing and Amount of Distributions on the Certificates
 
The seller and the depositor will treat the transfer of the mortgage loans held by the issuing entity by the seller to the depositor as a sale for accounting purposes. The depositor and the issuing entity will treat the transfer of the mortgage loans from the depositor to the issuing entity as a sale for accounting purposes. If these characterizations are correct, then if the seller were to become bankrupt, the mortgage loans would not be part of the seller’s bankruptcy estate and would not be available to the seller’s creditors. If the seller becomes bankrupt, its bankruptcy trustee or one of the seller’s creditors may attempt to recharacterize the sale of the mortgage loans as a borrowing by the seller, secured by a pledge of the mortgage loans. Presenting this position to a bankruptcy court could prevent timely payments on the certificates and even reduce the payments on the certificates. Similarly, if the characterizations of the transfers as sales are correct, then if the depositor were to become bankrupt, the mortgage loans would not be part of the depositor’s bankruptcy estate and would not be available to the depositor’s creditors. On the other hand, if the depositor becomes bankrupt, its bankruptcy trustee or one of the depositor’s creditors may attempt to recharacterize the sale of the mortgage loans as a borrowing by the depositor, secured by a pledge of the mortgage loans. Presenting this position to a bankruptcy court could prevent timely payments on the certificates and even reduce the payments on the certificates.
 
If the servicer becomes bankrupt, the bankruptcy trustee may have the power to prevent the appointment of a successor to the servicer. If the servicer becomes bankrupt and cash collections have been commingled with the servicer’s own funds, the issuing entity may not have a perfected interest in those collections. In this case the issuing entity might be an unsecured creditor of the servicer as to the commingled funds and could recover only its share as a general creditor, which might be nothing. Collections that are not commingled but still in an account of the servicer might also be included in the bankruptcy estate of the servicer even though the issuing entity may have a perfected security interest in them. Their inclusion in the bankruptcy estate of the servicer may result in delays in payment and failure to pay amounts due on the certificates.
 
Federal and state statutory provisions affording protection or relief to distressed borrowers may affect the ability of the secured mortgage lender to realize upon its security in other situations as well. For example, in a proceeding under the federal Bankruptcy Code, a lender may not foreclose on a mortgaged property without the permission of the bankruptcy court. And in certain instances a bankruptcy court may allow a borrower to reduce the monthly payments, change the rate of interest, and alter the mortgage loan repayment schedule for under-collateralized mortgage loans. The effect of these types of proceedings can be to cause delays in receiving payments on the mortgage loans and even to reduce the aggregate amount of payments on the mortgage loans.
 
 
 
 
 
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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 trustee (in its capacity as successor servicer) or 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, with respect to Georgia’s Fair Lending Act of 2002, have enacted, or may enact, similar laws or regulations, which in some case 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 issuing entity as an assignee of the mortgage loans, to monetary penalties and could result in the borrowers rescinding such mortgage loans against the issuing entity. Lawsuits have been brought in various states making claims against assignees of high cost loans for violations of state law. Named defendants in these cases have included numerous participants within the secondary mortgage market, including some securitization trusts. The seller have warranted that the mortgage loans do not include any mortgage loan in violation of HOEPA or similar state laws. However, if the assets of the issuing entity should include loans subject to HOEPA or in material violation of similar state laws, it will have repurchase remedies against the seller. See “Material Legal Aspects of Mortgage Loans” in the accompanying prospectus.
 
Failure of Servicer to Perform May Adversely Affect Distributions on Certificates
 
The amount and timing of distributions on the certificates generally will be dependent on the servicer performing its servicing obligations in an adequate and timely manner. See “Servicing; The Servicer” in this prospectus supplement. If the servicer fails to perform its servicing obligations, this failure may result in the termination of the servicer. That termination, with its corresponding transfer of daily collection activities, will likely increase the rates of delinquencies, defaults and losses on the mortgage loans. As a result, shortfalls in the distributions due on your certificates could occur.
 
The Servicing Compensation May Be Insufficient To Engage a Replacement Servicer
 
The fees and expenses, including the servicing fee, payable by that issuing entity are described in this prospectus supplement under “The Pooling and Servicing Agreement—Fees and Expenses of the Issuing Entity.” In the event it becomes necessary to replace the servicer, no assurance can be made that the servicing fee will be sufficient to attract a replacement servicer to accept an appointment for the related issuing entity. In addition, to the extent the loans of any series have amortized significantly at the time that a replacement servicer is sought, the compensation that would be payable to any such replacement may not be sufficient to attract a replacement to accept an appointment for the issuing entity.
 
 
 
 
 
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Your Yield May be Affected if There is a Transfer of Servicing of Certain Mortgage Loans
 
All transfers of servicing involve the risk of disruption in collections due to data input errors, misapplied or misdirected payments, system incompatibilities and other reasons. As a result, if the servicing of these mortgage loans is transferred, the rates of delinquencies, defaults and losses are likely to increase, at least for a period of time. There can be no assurance as to the extent or duration of any disruptions associated with the transfer of any servicing or as to what the effect on the yield on your certificates will be. In addition, even though a servicing transfer cannot occur unless certain conditions set forth in the pooling and servicing agreement are met, there can be no guarantee that a servicing transfer will not have an adverse impact on the rates of delinquency, default and losses on the related mortgage loans.
 
Limited Liquidity May Adversely Affect Market Value of Certificates
 
A secondary market for the offered certificates may not develop or, if it does develop, it may not provide you with liquidity of investment or continue while your certificates are outstanding. Lack of liquidity could result in a substantial decrease in the market value of your certificates. See “Risk Factors—Limited ability to resell securities” in the accompanying prospectus.
 
The secondary market for mortgage-backed securities has experienced periods of illiquidity and can be expected to do so in the future. Illiquidity means that there may not be any purchasers for your class of certificates. Although any class of certificates may experience illiquidity, it is more likely that classes of certificates that are more sensitive to prepayment, credit or interest rate risk will experience illiquidity.
 
Rights of Beneficial Owners May Be Limited by Book-Entry System
 
Your ownership of the offered certificates will be registered electronically with DTC. The lack of physical certificates could:
 
 
·
result in payment delays on your certificates because the trustee will be sending distributions on the certificates to DTC instead of directly to you;
 
 
·
make it difficult for you to pledge your certificates if physical certificates are required by the party demanding the pledge; and
 
 
·
hinder your ability to resell your certificates because some investors may be unwilling to buy certificates that are not in physical form. See “Description of the Offered Certificates—Book-Entry Registration of the Offered Certificates” in this prospectus supplement and “Registration of the Offered Securities—Book-Entry Registration” in the accompanying prospectus.
 
 
 
 
 
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Military Action and Terrorist Attacks
 
The effects that military action by U.S. forces in Iraq and Afghanistan 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 (formerly known as the Soldiers’ and Sailors’ Civil Relief Act of 1940), 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. See “Material Legal Aspects of Mortgage Loans—Servicemembers’ Civil Relief Act” in the accompanying prospectus.
 
 
 
 
 
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MATERIAL LEGAL PROCEEDINGS
 
Because the seller, the servicer and their affiliates are subject to many laws and regulations, including but not limited to federal and state consumer protection laws, they are regularly involved in numerous lawsuits filed against them, some of which seek certification as class action lawsuits on behalf of similarly situated individuals. The following is a summary of litigation matters that could be significant because class action status has been asserted. If class actions are certified and there is an adverse outcome or we do not otherwise prevail in the following matters, the seller, the servicer and/or their affiliates could suffer material losses.

Bauer, et al., v. Saxon Mortgage Services, Inc., et al. is a matter filed on December 1, 2004 in the Civil District Court for the Parish of Orleans, State of Louisiana, Case No. 2004-17015. On January 26, 2005, the plaintiffs filed a motion to dismiss the case without prejudice, and the court entered an order dismissing the case on January 31, 2005. On February 17, 2005, the plaintiffs re-filed the case as two separate class action lawsuits, Bauer, et al., v. Dean Morris, et al., filed as Case No. 05-2173 in the Civil District Court for the Parish of Orleans, State of Louisiana, and Patterson, et al., v. Dean Morris, et al., filed as Case No. 05-2174 in the Civil District Court for the Parish of Orleans, State of Louisiana. In the Bauer case, none of the seller, the servicer nor any of their affiliates are a named defendant but the servicer may owe defense and indemnification to Deutsche Bank Trust Company Americas, N.A., as custodian of a mortgage loan for which one named plaintiff is mortgagor. The servicer is a named defendant in the Patterson case. In both cases, the named plaintiffs allege misrepresentation, fraud, conversion and unjust enrichment on the part of the lender defendants and a law firm hired by a number of defendants, including the servicer, to enforce mortgage loan obligations against borrowers who had become delinquent pursuant to the terms of their mortgage loan documents. Specifically, the plaintiffs alleged that the law firm quoted inflated court costs and sheriff’s fees on reinstatement proposals to the plaintiffs. In both cases, the plaintiffs seek certification as a class action, compensatory damages, pre-judgment interest, attorneys’ fees, litigation costs, and other unspecified general, special and equitable relief. At the present time, we cannot predict the outcome of the case and cannot reasonably estimate a range of possible loss given the current status of the litigation. On January 24, 2006, the United States District Court for the Eastern District of Louisiana granted the servicer’s motion to compel arbitration and stayed the court proceedings as to named plaintiffs Keenan and Karen Duckworth in Bauer, et al., v. Dean Morris, et al., filed as Case No. 05-2173 in the Civil District Court for the Parish of Orleans, State of Louisiana. On January 25, 2006, the United States District Court for the Eastern District of Louisiana granted the servicer’s motion to compel arbitration and stayed the court proceedings as to named plaintiff Debra Herron in Patterson, et al., v. Dean Morris, et al., filed as Case No. 05-2174 in the Civil District Court for the Parish of Orleans, State of Louisiana. The court subsequently remanded the underlying court proceedings in both the Bauer and Patterson cases to the Civil District Court for the Parish of Orleans, State of Louisiana.
 
 
 
 
 
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Cechini, et al., v. America’s MoneyLine, Inc. is a matter filed on August 10, 2005 in the United States District Court for the Northern District of Illinois, Eastern Division, as Case No. 05C 4570. The plaintiff filed the case as a class action, alleging violation of the Fair Credit Reporting Act in connection with the use of pre-approved offers of credit by a former affiliate of the Seller, the Servicer and the Depositor, America’s MoneyLine, Inc. Saxon Mortgage, Inc. is successor in interest to the defendant. On June 19, 2006, the parties reached an agreement to settle this case pending the court’s approval. The settlement requires the defendant to create a settlement fund in the amount of $459,250. The claims of settlement class members and plaintiff’s attorney’s fees will be paid out of the fund. On August 30, 2006, the court preliminarily approved the settlement and a final fairness hearing is scheduled for February 13, 2007. The estimate of possible loss for this matter is the amount of the settlement fund, $459,250, plus the cost of administering the settlement, which has been estimated at $10,000.

Jumar Hooks and Diane Felder, et al., v. Saxon Mortgage, Inc. is a matter filed on October 12, 2005 in the Common Pleas Court for Cuyahoga County, Ohio as Case No. CV 05 574577. The plaintiffs filed this case as a class action, alleging, on behalf of themselves and similarly situated Ohio borrowers, that Saxon Mortgage, Inc., an affiliate of the Seller, the Servicer and the Depositor whose underwriting guidelines are employed by the seller in originating mortgage loans, engaged in unlawful practices in originating and servicing the plaintiffs’ loans. The plaintiffs seek certification as a class and a judgment in favor of the plaintiffs for money damages, costs, attorneys’ fees, and other relief deemed appropriate by the court. At the present time, we cannot predict the outcome of this case. 

 Brian Harris, et al., v. Capital Mortgage Company, et al., is a matter filed in the Circuit Court of Cook County, County Department-Chancery Division, Illinois as Case No. 05CH 22369. The servicer was served with a summons and complaint on March 1, 2006. The plaintiffs included a class action claim, alleging, on behalf of themselves and those similarly situated, that the servicer and other named defendants engaged in unfair and deceptive acts and violated the Illinois Consumer Fraud Act in connection with originating and servicing the plaintiffs’ loans. The plaintiffs seek certification as a class and a judgment in favor of the plaintiffs for money damages, costs, attorneys’ fees, and other relief deemed appropriate by the court. As with other pending litigation, if a class is certified and there is an adverse outcome or the servicer does not otherwise prevail in the matter, the servicer could suffer material losses. At the present time, we cannot predict the outcome of this case.

SERVICING; THE SERVICER
 
The Servicer
 
General
 
Saxon Mortgage Services, Inc. (“SMSI”), an affiliate of the Sponsor, the Seller, the Depositor and the underwriter, will service 100% of the mortgage loans. For a general description of SMSI and its servicing experience, see “Saxon Mortgage Services, Inc. - The Servicer” in the prospectus.
 
SMSI services all mortgage loans according to its life of loan credit risk management strategy which was developed substantially for the servicing of sub-prime mortgage loans. The risk of delinquency and loss associated with sub-prime mortgage loans requires active communication with borrowers. Beginning with an introductory call made as soon as fifteen days following the origination or purchase of a mortgage loan, SMSI attempts to establish a consistent payment relationship with the borrower. In addition, SMSI’s call center uses a predictive dialer, where permitted, to create calling campaigns for delinquent loans based upon the borrower’s historical payment patterns and the borrower’s risk profile. SMSI’s technology delivers extensive data regarding the loan and the borrower to the desktop of the individual providing service. Contact with borrowers is tailored to reflect the borrower’s payment habit, loan risk profile and loan status. Borrower contact is initiated through outbound telephone campaigns, monthly billing statements and direct mail. SMSI’s website provides borrowers with access to account information and online payment alternatives.
 
 
 
 
 
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SMSI’s goal is to provide efficient and economical solutions to the processes SMSI manages in the servicing area, which has included the outsourcing of certain servicing functions such as tax tracking, insurance tracking and foreclosure and bankruptcy tracking. In 2005, SMSI outsourced the document management area, resulting in faster imaging of mortgage loan documents with fewer document exception rates.
 
SMSI delivers online access to selected mortgage loan documents and an online interview guiding the borrower through alternatives to foreclosure.
 
Once a mortgage loan becomes thirty days delinquent, the related borrower receives a breach notice allowing thirty days, or more if required by applicable law, to cure the default before the account is referred for foreclosure. Breach notices are sent on the 33rd day of delinquency for the high risk borrowers and on the 48th day for the lower risk borrowers. The call center continues active collection campaigns and may offer the borrower relief through a forbearance plan designed to resolve the delinquency in ninety days or less.
 
Accounts moving from thirty days delinquent to sixty or more days delinquent are transferred to the Loss Mitigation department, which is supported by the predictive dialer, as well as the Mortgage Serv system. The Loss Mitigation department continues to actively attempt to resolve the delinquency while SMSI’s Foreclosure department generally refers the file to local counsel to begin the foreclosure process.
 
SMSI’s core servicing platform, Mortgage Serv, is able to service most types of mortgage loan products. Presently, SMSI has not programmed its servicing platform for any HELOC products. It provides all the mortgage loan level detail and interacts with all of SMSI’s supplemental products such as the dialer, pay-by-phone and website activity. The Mortgage Serv system provides functionality that was not available with SMSI’s prior systems, allowing the retirement of proprietary systems supporting SMSI’s Loss Mitigation, Foreclosure, and REO departments. Incorporating those automated processes while providing direct interfaces with service providers enhances SMSI’s efficiency.
 
Delinquent accounts not resolved through collection and loss mitigation activities are foreclosed in accordance with state and local laws. Foreclosure timelines are managed through an outsourcing relationship that uploads data into the Mortgage Serv system. The Mortgage Serv system schedules key dates throughout the foreclosure process, enhancing the outsourcer’s ability to monitor and manage foreclosure counsel. Properties acquired through foreclosure are transferred to the REO department to manage eviction and marketing of the properties.
 
Once REO properties are vacant, they are listed with one of three national asset management firms that develop a marketing strategy designed to obtain the highest net recovery upon liquidation. The REO department monitors these asset managers. Property listings are reviewed monthly to ensure the properties are properly maintained and actively marketed.
 
 
 
 
 
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SMSI services nine securitizations for which servicer events of default have occurred. Eight were triggered by delinquency levels, and one was triggered by the cumulative loss level. Each of these securitizations was issued on or prior to 2001. SMSI has never been removed as servicer and has not failed to comply with the servicing criteria under any servicing agreement. In addition to the nine securitizations above, SMSI services three additional securitizations issued before 2001, two of which have more than one servicer, in which performance triggers have occurred due to delinquency levels. Typically, this results in a re-direction of bond principal payments to the most senior classes. SMSI has not failed to make required advances with respect to any securitizations for which it is servicer.
 
Size, Composition and Growth of Servicer’s Portfolio of Serviced Assets
 
Currently, substantially all of SMSI’s servicing portfolio consists of non-prime mortgage loans, represented by fixed-rate and adjustable-rate, first and second lien conventional mortgage loans. The following table reflects the size and composition of SMSI’s affiliate-owned and third party servicing portfolio as of the end of each indicated period.
 
Servicer’s Portfolio of Mortgage Loans
 
 
   
Unpaid Principal Balance as of: 
(Dollar Amounts, in thousands)
 
           
SMSI Affiliate
 
$
6,794,992
 
$
6,394,873
 
$
5,950,965
 
$
4,665,770
 
Third Party
   
19,810,560
   
18,365,897
   
14,214,977
   
5,233,753
 
Total
 
$
26,605,552
 
$
24,760,770
 
$
20,165,942
 
$
9,899,523
 

SMSI Rating Information
 
SMSI’s residential sub-prime servicing operations are currently rated as “Above Average” by S&P. Fitch has rated SMSI “RPS2+” as a primary servicer of residential Alt-A and sub-prime products. Moody’s has rated SMSI “SQ2+” as a primary servicer of residential sub-prime mortgage loans. SMSI is an approved Freddie Mac and Fannie Mae servicer.
 
        SMSI’s Delinquency and Foreclosure Experience
 
The following tables set forth the delinquency and foreclosure experience of the mortgage loans serviced by SMSI at the end of the indicated periods. The indicated periods of delinquency are based on the number of days past due on a contractual basis. A mortgage loan is considered delinquent for these purposes if the full monthly payment of principal and interest has not been paid by the next scheduled due date. Saxon’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. 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 table 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 rates of delinquencies and foreclosures could increase. 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 Saxon’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. These statistics were derived by using one generally accepted method of calculating and reporting delinquency. SMSI may change its method of reporting delinquency experience to another generally accepted method. Such a change may affect these statistics.
 
 
 
 
 
S-43

 
 
 
SMSI Mortgage Loan Servicing Portfolio
Delinquencies and Foreclosures
(Dollar Amounts in Thousands)
 
 
   
September 30,
   
     
2005
 
2004
 
2003
 
   
Total
Servicing
Portfolio
 
Total
Servicing
Portfolio
 
Total
Servicing
Portfolio
 
Total
Servicing
Portfolio
 
Total outstanding principal balance (at period end)
 
$
26,605,552
 
$
24,760,770
 
$
20,165,942
 
$
9,899,523
 
Delinquency (at period end):
                         
30-59 days:
                         
Principal balance
 
$
1,740,898
 
$
1,442,450
 
$
956,478
 
$
605,980
 
Delinquency percentage
   
6.54
%
 
5.83
%
 
4.74
%
 
6.12
%
60-89 days:
                         
Principal balance
 
$
598,466
 
$
465,173
 
$
247,863
 
$
138,253
 
Delinquency percentage
   
2.25
%
 
1.88
%
 
1.23
%
 
1.40
%
90 days or more:
                         
Principal balance
 
$
471,033
 
$
391,147
 
$
172,124
 
$
96,388
 
Delinquency percentage
   
1.77
%
 
1.58
%
 
0.85
%
 
0.97
%
Bankruptcies (1):
                         
Principal balance
 
$
415,796
 
$
491,243
 
$
279,331
 
$
300,282
 
Delinquency percentage
   
1.56
%
 
1.98
%
 
1.39
%
 
3.03
%
Foreclosures:
                         
Principal balance
 
$
747,668
 
$
595,905
 
$
314,253
 
$
298,658
 
Delinquency percentage
   
2.81
%
 
2.41
%
 
1.56
%
 
3.02
%
Real Estate Owned:
                         
Principal balance
 
$
384,793
 
$
187,449
 
$
107,939
 
$
107,202
 
Delinquency percentage
   
1.45
%
 
0.76
%
 
0.54
%
 
1.08
%
Total Seriously Delinquent including real estate owned (2)
   
9.48
%
 
7.92
%
 
5.26
%
 
8.89
%
Total Seriously Delinquent excluding real estate owned
   
8.04
%
 
7.16
%
 
4.73
%
 
7.81
%
 
 
 
 
 
S-44

 
 
 
 
 
(1)
Bankruptcies include both non-performing and performing mortgage loans in which the related borrower is in bankruptcy. Amounts included for contractually current bankruptcies for the total servicing portfolio for September 30, 2006, December 31, 2005, 2004, and 2003 are $69.8 million, $133.5 million, $47.5 million and $43.7 million, respectively.
 
 
 
(2)
Seriously delinquent is defined as mortgage loans that are 60 or more days delinquent, foreclosed, REO, or held by a borrower who has declared bankruptcy and is 60 or more days contractually delinquent. 
 
Servicing and Other Compensation and Payment of Expenses; Repurchase
 
The “Servicing Fee” applicable to each mortgage loan, and with respect to each Distribution Date, equals the Stated Principal Balance of the mortgage loan on the first day of the month preceding the month of such Distribution Date multiplied by one-twelfth of 0.50% per annum (the “Servicing Fee Rate”). In addition, late payment fees with respect to the mortgage loans, revenue from miscellaneous servicing administration fees, and any interest or other income earned on collections with respect to the mortgage loans pending remittance, will be paid to or retained by the Servicer as additional servicing compensation. The Servicer must pay certain insurance premiums and ongoing expenses. The Servicer may, with the consent of the Trustee, transfer its servicing to successor servicers that meet the criteria for servicers approved by the rating agencies.
 
The Servicer will have the right, but not the obligation, to repurchase from the trust fund any mortgage loan delinquent as to three consecutive scheduled payments, at a price equal to the unpaid principal balance thereof plus accrued interest on that balance or, in the case of a Nonrecoverable Mortgage Loan, at a price equal to the Nonrecoverable Mortgage Loan Purchase Price, which is based on the Servicer’s determination of the projected net liquidation proceeds for the Nonrecoverable Mortgage Loan.
 
Advances and Payment of Compensating Interest
 
Before each Distribution Date, the Servicer and any successor servicer must advance its own funds with respect to delinquent payments of principal of and interest on the mortgage loans, net of any servicing fees, unless the Servicer believes that the advance is non-recoverable. Advances of principal and interest on a mortgage loan will be considered non-recoverable only to the extent those amounts are not reimbursable from:

 
·               
late collections in respect of such loan;
 
 
·               
insurance proceeds in respect of such loan; and
 
 
·               
net liquidation proceeds in respect of such loan.
 
The Servicer’s obligation to advance delinquent payments of principal of and interest on any mortgage loan as to which the Servicer has entered into a modification or forbearance agreement will be based upon the terms of that mortgage loan as so modified. In addition, if the Servicer determines that the expenses associated with the foreclosure and liquidation of a delinquent loan will exceed the projected liquidation proceeds, the Servicer’s obligation to make advances in respect of such loan will terminate at the time of such determination.
 
 
 
 
 
S-45

 
 
 
Any failure by the Servicer to make any required advance will constitute an event of default under the pooling and servicing agreement, potentially resulting in the Servicer’s removal. If the Servicer fails to make a required advance of principal and interest, the Trustee, in its capacity as successor servicer, will be obligated to make the advance to the extent required by the pooling and servicing agreement. The total advance obligations of the Trustee, in its capacity as successor servicer, may be subject to a dollar limitation that is acceptable to the rating agencies as set forth in the Pooling and Servicing Agreement for the issuing entity.
 
In addition, in the event of a prepayment in full received by the Servicer during the period from the 18th day of a month to the end of that month, the Servicer must deposit, in the Distribution Account on or before the Distribution Date in the immediately succeeding month, Compensating Interest in an amount equal to any resulting Prepayment Interest Shortfall, but only to the extent of the servicing fee payable with respect to such Distribution Date.
 
THE MORTGAGE LOAN POOL
 
General
 
On the Closing Date, the assets of the trust fund will consist of approximately 3,134 mortgage loans with an aggregate principal balance as of the cut-off date of approximately $622,171,726, after deducting payments due on or before the cut-off date. The mortgage loans are secured by first and second liens on fee simple interests in one- to four-family residential properties (each, a “Mortgaged Property”). At the cut-off date, the mortgage loans have been segregated into two loan groups (“Loan Group 1” and “Loan Group 2”, respectively, and each, a “Loan Group”), each having the characteristics set forth below as of the cut-off date:
 
 
Loan Group
 
Number of Mortgage Loans
 
Approximate Cut-off Date Loan Group Balance
 
Loan Group 1
(the “Group 1 Mortgage Loans”)
   
1,506
 
$
278,392,074
 
Loan Group 2
(the “Group 2 Mortgage Loans”)
   
1,628
 
$
343,779,652
 

 
The Seller originated or acquired all of the mortgage loans to be included in the trust fund in accordance with its mortgage loan program, as described in this prospectus supplement and in the accompanying prospectus. As a general matter, the Seller’s mortgage loan program consists of the origination or purchase of mortgage loans relating to non-conforming credits. A non-conforming credit is a mortgage loan ineligible for purchase by Fannie Mae or Freddie Mac due to characteristics that do not meet Fannie Mae or Freddie Mac guidelines. Consequently, mortgage loans to be included in the trust fund that are originated or purchased under the Seller’s mortgage loan program are likely to experience rates of delinquency, bankruptcy and loss that are higher than those experienced by mortgage loans originated under Fannie Mae or Freddie Mac guidelines.
 
 
 
 
 
S-46

 
 
 
Characteristics of the Mortgage Loans
 
The mortgaged premises consist of residential properties which may be detached or attached:
 
 
 
·
one- to four- family dwellings;
 
 
 
·
condominium units;
 
 
 
·
townhouses;
 
 
 
·
manufactured housing; and
 
 
 
·
units in a planned unit development.
 
The mortgaged premises may be owner-occupied or non-owner-occupied investment properties. Owner-occupied properties include second homes and vacation homes. The mortgage loans are or will be secured by first mortgages on the mortgaged premises.
 
None of the mortgage loans are in violation of the Arkansas Home Loan Protection Act, the Georgia Fair Lending Act, the New York Anti-Predatory Lending Law, the New Jersey Home Ownership Security Act of 2002, the New Mexico Home Loan Protection Act, the Illinois High Risk Home Loan Act, the Illinois Interest Act or any similar “predatory lending” statute, ordinance or law.
 
Whenever reference is made to the characteristics of the mortgage loans or to a percentage of the mortgage loans, the reference is based on the Stated Principal Balances of those mortgage loans.
 
The characteristics of the mortgage loans as a whole may change at the Closing Date.
 
The mortgage loans satisfy certain criteria including:
 
 
 
·
a remaining term to stated maturity of no more than 480 months; and
 
 
 
·
a weighted average current mortgage interest rate of approximately 8.358%.
 
None of the mortgage loans had an original loan-to-value ratio in excess of 100.00%. In addition, approximately 98.97% of the mortgage loans were originated on or after August 1, 2006.
 
Of the mortgage loans, 963 mortgage loans representing approximately 62.82% of the aggregate principal balance of the mortgage loans in Loan Group 1 as of the cut-off date, and 1,140 mortgage loans representing approximately 65.43% of the aggregate principal balance of the mortgage loans in Loan Group 2 as of the cut-off date, provide for the payment of prepayment penalties. Prepayment penalties provide that if the borrower were to prepay the mortgage loan in excess of a specified amount at any time from the origination of the mortgage loan to a date set forth in the related mortgage note (the “Prepayment Penalty Period”), the borrower would also have to pay a fee in addition to the amount necessary to repay the mortgage loan. The Prepayment Penalty Period for these mortgage loans varies from one to three years in the case of the Group 1 Mortgage Loans and one to five years in the case of the Group 2 Mortgage Loans, depending on the terms set forth in the related mortgage note. In some instances, applicable state laws limit the amount of the prepayment penalty that a lender may charge. The specific Prepayment Penalty Periods applicable to the mortgage loans are set forth in more detail in the tables entitled “Prepayment Penalty” in Appendix A hereto. Any prepayment penalties received on these mortgage loans will be distributed to the Class P Certificates and will not be available for distribution to the Offered Certificates.
 
 
 
 
 
S-47

 
 
 
All of the adjustable rate mortgage loans as of the cut-off date, are subject to:
 
 
 
·
periodic interest rate adjustment caps;
 
 
 
·
lifetime interest rate ceilings; and
 
 
 
·
lifetime interest rate floors.
 
Substantially all of the adjustable rate mortgage loans had interest rates which were not fully indexed as of the cut-off date. This means the mortgage interest rates did not equal the sum of the applicable gross margin and the applicable index as of that date.
 
The minimum mortgage rate for any adjustable rate mortgage loan will range from 4.500% to 12.000%, with a weighted average minimum mortgage rate as of the cut-off date of approximately 6.404%. The maximum mortgage rates on the initial adjustable rate mortgage loans will range from 11.750% to 18.990% with a weighted average maximum mortgage rate as of the cut-off date of approximately 14.366%. The gross margins for the initial adjustable rate mortgage loans range from 4.500% to 9.990%, with a weighted average gross margin as of the cut-off date of approximately 6.133%.
 
The adjustable rate mortgage loans include:
 
 
 
·
2/28 and 2/38 LIBOR mortgage loans, 3/27 and 3/37 LIBOR mortgage loans and 5/25 LIBOR mortgage loans which bear interest initially at a rate fixed at origination for two, three and five years, respectively, and thereafter at a rate that adjusts semiannually based on six month LIBOR (i.e., the London interbank offered rate for six month United States Dollar deposits in the London market based on quotations of major banks as published in The Wall Street Journal).
 
Detailed information on the mortgage loans is included in Appendix A hereto. Such information is approximate and is based solely on the aggregate principal balance of the mortgage loans as of the cut-off date. Totals may not add completely to 100% because of rounding. Unless otherwise specified, all weighted averages are based upon certain characteristics of the mortgage loans as of the cut-off date.
 
Underwriting Standards 
 
General

All of the mortgage loans (based on principal balance) to be included in the trust fund were originated or acquired in accordance with the underwriting guidelines of the Seller.
 
Saxon Mortgage Underwriting Guidelines.
 
 
 
 
 
S-48

 
 
 
Saxon Mortgage’s underwriting guidelines provide for an analysis of the overall situation of the borrower and take into account compensating factors which may be used to offset certain areas of weakness. Specific compensating factors include:
 
 
 
·
loan-to-value ratio;
 
 
 
·
mortgage payment history;
 
 
 
·
disposable income;
 
 
 
·
quality and condition of collateral;
 
 
 
·
length and quality of credit profile;
 
 
 
·
employment stability; and
 
 
 
·
number of years at residence.
 
Saxon Mortgage underwrites each loan individually. The underwriting decision is based on the risk profile of the loan, even in instances where a group of mortgage loans is purchased in bulk. In some of these bulk purchases, contract underwriters may be engaged to underwrite individual mortgage loans under the direct supervision of the senior underwriting staff of Saxon Mortgage.
 
Saxon Mortgage customarily employs underwriting guidelines to aid in assessing:
 
 
 
·
the borrower’s ability and willingness to repay a loan according to its terms; and
 
 
 
·
whether the value of the property securing the loan will allow the lender to recover its investment if a loan default occurs.
 
Saxon Mortgage has established classifications with respect to the credit profile of the borrower. The terms of the loans and the maximum loan-to-value ratios and debt-to-income ratios vary based on the classification of the borrower. Borrowers with less favorable credit ratings are generally offered loans with higher interest rates and lower loan-to-value ratios than borrowers with more favorable credit ratings.
 
Saxon Mortgage’s underwriting standards are applied in accordance with applicable federal and state laws and regulations and may permit the use of an insured automated valuation model (“AVM”), a qualified appraisal of the mortgaged property which conforms to Fannie Mae and Freddie Mac standards, or both. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area. The appraisal may be no more than 180 days old on the day the loan is originated. In most instances, either a second full appraisal or a desk or field review of the original appraisal will be required for loan amounts over $500,000.
 
 
 
 
 
S-49

 
 
 
Saxon Mortgage has four income documentation programs:
 
 
 
·
Full Documentation—underwriter review of documents that are provided to verify employment, income and bank deposits, such as W-2’s and pay stubs, or signed tax returns for the past two years;
 
 
 
·
12 Months Personal Bank Statementsthe underwriter will review 12 months consecutive personal bank statements to document the borrowers stated cash flow;
 
 
 
·
Limited Documentation— six months of personal and/or business bank statements are acceptable documentation of the borrower’s stated cash flow; and
 
 
 
·
Stated Income—the borrower’s income as stated on the loan application must be reasonable for the related occupation because the income is not independently verified. The existence of the business and employment is, however, confirmed; and any self-employed business must have been in existence for at least two years.
 
Saxon Mortgage may, from time to time, apply underwriting criteria that are either more stringent or more flexible than the general guidelines of the underwriting programs outlined below depending on the economic conditions of a particular market.
 
 
 
·
Saxon Mortgage has developed several primary underwriting programs:
 
 
 
·
The ScorePlus Underwriting Program (1st lien mortgage loans only)—generally, a borrower’s secondary credit (excluding mortgage, foreclosure and bankruptcy histories) is evaluated by credit score. Accordingly, credit score minimums apply for each credit grade.
 
Approximately 94.22% (by principal balance) of the mortgage loans as of the cut-off date were underwritten under the ScorePlus Underwriting Program. Saxon Mortgage ‘s ScorePlus guidelines for full income documentation are set forth below. Limited and stated income documentation are available also, usually at lower LTVs and lower loan amounts.
 
 
 
 
 
S-50

 
 
 
A+
 
A
 
A-
 
B+
 
B
 
C

Mortgage History

No late payments over 30 days within last 12 months
 
Maximum of one 30-day late payment
 
Maximum of two 30-day late payments in last 12 months
 
Maximum of three 30-day late payments
 
Maximum of one 60-day late payment in last 12 months
 
Maximum of one 90-day late payment in last 12 months

Secondary Credit

Minimum Credit Score
500
 
Minimum Credit Score
500
 
Minimum Credit Score
500
 
Minimum Credit Score
500
 
Minimum Credit Score
500
525 for LTV>80%
640 for LTV > 85%
 
Minimum Credit Score
500
525 for LTV>70%
660 for LTV > 80%

Debt-To-Income Ratio*

50%
 
50%
 
50%
 
50%
 
50%
 
50%

Maximum Loan-To-Value (1st lien mortgage loans only)

100%
 
100%
 
100%
 
95%
 
90%
 
85%
 
Bankruptcy
         
   
Full Documentation and 12 months bank statements
 
Stated or Limited Documentation
         
Chapter 7
 
Full Doc and 12 months bank statement loans allow a bankruptcy discharged
at least 6 months as long as the credit score is at least 600, else:
Discharge 2 years if LTV > 85%
Discharge 1.5 years if LTV > 80% but <=85%
Discharge 1 day if LTV <=80%
 
Discharge 2 years if LTV > 80%
Discharge 1.5 years if LTV > 70% but <=80%
Discharge 1 day if LTV <=70%
         
Chapter 11, 13
 
Discharge 2 years if LTV > 90%
Discharge and 1 year from filing
Discharge 1 day and paid as agreed if LTV <=80%
 
Discharge 2 years if LTV > 80%
Discharge and 1 year from filing
Discharge 1 day and paid as agreed if LTV <=70%
 
Foreclosure
Full Documentation, 12 months bank statements,
Stated or Limited Documentation
 
3 years if Credit Score is < 600
2 years if Credit Score >=600
   
* A Debt-To-Income ratio of 55% is allowed on Full Doc or 12 month bank statement loans with a minimum credit score of 620 and a maximum LTV of 90% (or credit score minimum of 575 and maximum LTV of 80%), as long as there is monthly gross disposable income of at least $2,500 for the family. A Debt-To-Income ratio over 50% is not allowed on Interest Only loans or loans for borrowers whose income source is solely fixed income.

 
 
·
The ScoreDirect Underwriting Program (owner occupied, fully documented 1st lien mortgage loans only)—generally, a borrower’s secondary credit (excluding, foreclosure and bankruptcy histories) is evaluated by credit score and the customary credit grading methodology is replaced by credit score tiers.
 
 
 
 
 
S-51

 
 
 
Approximately 1.09% (by principal balance) of the mortgage loans as of the cut-off date were underwritten under the ScoreDirect Underwriting Program. Saxon Mortgage’s general guidelines for purchase and rate/term refinance transactions for the ScoreDirect Underwriting Program are set forth below. Cash out refinances are also available, usually at lower LTVs.

Credit Score
 
640+
 
620-639
 
600-619
 
580-599

Bankruptcy Discharge
 
All chapters must be discharged at least 6 months.

Debt-to-Income Ratio
 
50%
 
50%
 
50%
 
50%

Maximum LTV (1st lien mortgage loans only)
 
100%
 
100%
 
95%
 
90%
 
Foreclosure
Borrowers currently in Foreclosure are not eligible. Borrowers who have lost a property to foreclosure are not eligible. Any Foreclosure event in the last 3 years is ineligible under ScoreDirect. Borrowers that have experienced foreclosure events within 3 to 5 years are limited to a maximum LTV of 90% and no subordinate financing is allowed. The term Foreclosure includes: NOD filed, delinquencies greater than 120 days, short pay, settled for less than loan amount balance or foreclosure redeemed, consummated or filed. Mortgages for all properties (primary, second home or investment) apply.
 
Saxon Mortgage’s general guidelines for the Second Lien Underwriting Program are set forth below:
 
Piggyback (Combo) Second Lien
   
         
A+
 
A
 
A-
   
Mortgage History
   
No late payments over 30 days within last 12 months
 
Maximum of one 30-day late payment in the last 12 months
 
Maximum of two 30-day late payments in last 12 months
         
   
Secondary Credit
   
Minimum Credit Score for Full
documentation
580
Minimum Credit Score for Stated
Documentation:
650 for W-2 borrowers
640 for self-employed borrowers
 
Minimum Credit Score
600
 
Minimum Credit Score
600
         
   
Bankruptcy Filings
   
Chapter 7 - Discharged 2 years
Chapter 13 -Discharged 2 years for first time home buyers; discharged 12 months from application date
 
Chapters 7 & 13 - Discharged 2 years
 
Chapters 7 & 13 - Discharged 2 years
 
 
 
 
 
S-52

 
 
 
   
Debt-to-Income Ratio
   
50%
 
50%
 
50%
45% if score <600
       
   
Maximum Combined Loan-To-Value
   
100%
 
100%
 
90%
         
   
 Foreclosure
   
>5 years
 
>5 years
 
>5 years
 
It is expected that the mortgage loan pool as of the cut-off date will include 1.79% mortgage loans underwritten under the piggyback second lien program described above. As of the date of this prospectus supplement, Saxon Mortgage no longer underwrites mortgage loans under this program.

For additional information regarding the Sponsor and Seller and its origination/acquisition program, see “The Sponsors and Master Servicers” in the prospectus.

Historical Delinquency Information
 
As calculated using the OTS methodology, as of the cut-off date, approximately 0.06% of the mortgage loans were at least 30 but less than 60 days delinquent and none of the mortgage loans were 60 or more days delinquent. Certain of the mortgage loans which were originated by other than Saxon Mortgage has changed servicing at least one time since such mortgage loans were originated. A servicing transfer in some cases may indicate that mortgage loans were delinquent even though the related mortgagor made the scheduled monthly payment. In addition, the original servicer may have had an incompatible servicing platform in relation to that of Saxon Mortgage Services, Inc. which may also contribute to the incorrect reporting of delinquencies on the mortgage loans. Based on the information available to the depositor and the representations made by the originators at the time of purchase of the mortgage loans, the depositor believes that no more than approximately 0.23% of the mortgage loans (by principal balance) have been delinquent 30 days but less than 59 days at least once during the previous twelve month period, approximately 0.05% of the mortgage loans (by principal balance) have been delinquent 60 days but less than 89 days at least once during the previous twelve month period, and approximately 0.05% of the mortgage loans (by principal balance) have been delinquent 90 days or more during the previous twelve month period, in each case, as calculated using the OTS methodology.

STATIC POOL INFORMATION
 
Static pool information with respect to the Sponsor’s prior securitized pools formed during the period from April 1, 2002 to February 1, 2007, presented by pool, is available online at www.saxonmortgage.com/staticpool. Access to this web address is unrestricted and free of charge. Information available at this web address is deemed to be part of this prospectus supplement, except to the extent provided under “Static Pool Information” in the accompanying prospectus.
 
 
 
 
 
S-53

 
 
 
Each of the mortgage loan securitizations identified on this website is unique, and the characteristics of each securitized mortgage loan pool varies from each other as well as from the mortgage loans to be included in the Issuing Entity. In addition, the performance information relating to the prior securitizations described above may have been influenced by factors beyond the Sponsor’s control, such as housing prices and market interest rates. Therefore the performance of these prior mortgage loan securitizations is likely not to be indicative of the future performance of the mortgage loans to be included in the Issuing Entity.
 
RECENT DEVELOPMENTS; AFFILIATIONS AND CERTAIN
RELATIONSHIPS AND RELATED TRANSACTIONS
 
On December 4, 2006, Saxon Capital, Inc. merged with Angle Merger Subsidiary Corporation, a wholly owned subsidiary of Morgan Stanley Mortgage Capital Inc., a New York corporation (“MSMCI”). MSMCI is an affiliate of the underwriter, the Swap Counterparty and the Cap Counterparty. As a result, Saxon Capital, Inc. is now a wholly owned subsidiary of MSMCI and is no longer a publicly held mortgage REIT. MSMCI is a wholly owned subsidiary of Morgan Stanley (NYSE:MS). Prior to the merger, the Sponsor was organized as a corporation and was known as Saxon Funding Management, Inc. Upon the merger, the Sponsor was converted from a corporation to a limited liability company. As a result, the Sponsor’s name was changed to Saxon Funding Management LLC.

The underwriter, or one or more affiliates of the underwriter, has provided financing for certain of the mortgage loans. A portion of the proceeds of the sale of the certificates will be used to repay this financing.

Morgan Stanley Capital Services Inc., the Swap Counterparty and the Cap Counterparty, is an affiliate of the underwriter, the Sponsor, the Seller and the Depositor.

The underwriter is expected to acquire the Class OC and Class R Certificates on the Closing Date.
 
See “Affiliations and Certain Relationships and Related Transactions” in the prospectus.
 
ADDITIONAL INFORMATION
 
A Current Report on Form 8-K will be filed, together with the Pooling and Servicing Agreement and certain other transaction documents, with the Securities and Exchange Commission (the “SEC”) within fifteen days after the issuance of the Offered Certificates.
 
The description in this prospectus supplement of the mortgage loans and the mortgaged premises is based upon the pool of mortgage loans, as constituted at the close of business on the cut-off date, except where otherwise specifically indicated. In addition, the Depositor may remove mortgage loans included in the pool of mortgage loans prior to closing:
 
 
 
 
S-54

 
 
 
 
 
·
as a result of incomplete documentation or non-compliance with representations and warranties; or
 
 
 
·
if the Depositor believes that removal is necessary or appropriate.
 
The Depositor may substitute other mortgage loans subject to specified terms and conditions set forth in the Pooling and Servicing Agreement. The Seller believes that the information set forth in this prospectus supplement with respect to the mortgage loan pool is representative of the characteristics of the mortgage loan pool as it will be constituted on the Closing Date.
 
In the event that mortgage loans are removed from or added to the trust fund, such removal or addition, to the extent material, will be certified in the Current Report on Form 8-K.
 
In addition, periodic and annual reports regarding the Issuing Entity will be filed with the SEC as described under “Incorporation of Certain Documents by Reference” and “Reports to Securityholders and to the SEC” in the prospectus.
 
See “Additional Information” in the prospectus.
 
PREPAYMENT AND YIELD CONSIDERATIONS
 
General
 
The weighted average life of, and, if purchased at other than par, the yield to maturity on, each class of Offered Certificates will be directly related to the rate of payment of principal of the related mortgage loans, including:
 
 
 
·
payments prior to stated maturity;
 
 
 
·
liquidations due to defaults;
 
 
 
·
casualties and condemnations; and
 
 
 
·
repurchases of mortgage loans by the Depositor.
 
 As described herein, principal on the Class A-1 Certificates will be payable primarily from principal payments attributable to the Group 1 Mortgage Loans, principal on the Class A-2a, Class A-2b, Class A-2c and Class A-2d Certificates will be payable primarily from principal payments attributable to the Group 2 Mortgage Loans, and principal on the Subordinate Certificates will be payable from principal payments attributable to the Group 1 Mortgage Loans and the Group 2 Mortgage Loans. If the actual rate of principal payments on the applicable mortgage loans is slower than the rate anticipated by an investor who purchases an Offered Certificate at a discount, the actual yield to the investor will be lower than that investor’s anticipated yield. If the actual rate of principal payments on the applicable mortgage loans is faster than the rate anticipated by an investor who purchases an Offered Certificate at a premium, the actual yield to that investor will be lower than such investor’s anticipated yield.
 
 
 
 
 
S-55

 
 
 
The actual rate of principal prepayments on pools of residential mortgage loans, such as the mortgage loans, is influenced by a variety of economic, tax, geographic, demographic, social, legal and other factors and has fluctuated considerably in recent years. In addition, the rate of principal prepayments may differ among pools of mortgage loans at any time because of specific factors relating to the mortgage loans in the particular pool, including, among other things:
 
 
 
·
the age of the mortgage loans;
 
 
 
·
the geographic locations of the properties securing the loans;
 
 
 
·
the extent of the mortgagors’ equity in the properties;
 
 
 
·
changes in the mortgagors’ housing needs, job or employment status; and
 
 
 
·
the credit quality of the mortgage loans.
 
The timing of changes in the rate of prepayments may significantly affect the actual yield to investors who purchase the Offered Certificates at prices other than par, even if the average rate of principal prepayments is consistent with the expectations of investors. In general, the earlier the payment of principal of the mortgage loans the greater the effect on an investor’s yield to maturity. As a result, 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 reduction or increase in the rate of principal prepayments. Investors must make their own decisions as to the appropriate prepayment assumptions to be used in deciding whether to purchase any of the Offered Certificates. The Depositor does not make any representations or warranties as to the rate of prepayment or the factors to be considered in connection with an investor’s determination.
 
The calculation of a Realized Loss on a Nonrecoverable Mortgage Loan will be calculated prior to the actual liquidation of such a loan. As a result of such earlier determination, the yield to investors may be adversely affected. Similarly, the purchase by the Servicer of any Nonrecoverable Mortgage Loan in exercise of the option to purchase a delinquent loan, or by the Servicer as part of an optional termination, may result in reduced yields on the Offered Certificates, and in particular, subordinate classes of Offered Certificates. The determination that a mortgage loan is a Nonrecoverable Mortgage Loan will be made by the Servicer, an affiliate of the initial holders of the Class OC Certificates. As a result of any such determination, a benefit may accrue to such initial holder under certain limited circumstances.
 
The term weighted average life refers to the average amount of time that will elapse from the date of issuance of an Offered Certificate until each dollar of principal of that Offered Certificate will be paid to the investor. The weighted average life and yield to maturity, if purchased at a price other than par, of each class of Offered Certificates will be influenced by the rate at which principal payments on the mortgage loans are paid. These payments may be in the form of scheduled amortization or prepayments which include prepayments and liquidations due to default or early termination of the issuing entity.
 
 
 
 
 
S-56

 
 
 
As described herein, excess interest will be applied, to the extent available, as an additional payment of principal on the Offered Certificates to build and maintain overcollateralization at levels required as set forth in the Pooling and Servicing Agreement. See “Description of the Offered Certificates— Net Monthly Excess Cashflow and Overcollateralization Provisions on the Certificates” herein. The level of Net Monthly Excess Cashflow available on any Distribution Date will be influenced by, among other things:
 
 
 
·
The overcollateralization level provided by the mortgage loans. This means the extent to which the principal balance of the mortgage loans is higher than the aggregate principal balances of the Offered Certificates;
 
 
 
·
The loss experience of the mortgage loans. For example, excess interest available to pay principal on the classes of Offered Certificates will be reduced as a result of realized losses on the mortgage loans;
 
 
 
·
The extent to which the weighted average Net Mortgage Rate of the mortgage loans exceeds the weighted average of the pass-through rates of the related Offered Certificates;
 
 
 
·
The extent to which amounts are paid to, or received from, the Swap Counterparty under the interest rate swap agreement; and
 
 
 
·
The extent to which amounts are received from the Cap Counterparty under the interest rate cap agreement.
 
No assurances can be given as to the amount of excess interest available for payments on the Offered Certificates at any time or in the aggregate.
 
The yields on the certificates may be adversely affected by Net Swap Payments and Swap Termination Payments to the Swap Counterparty. Any Net Swap Payment or Swap Termination Payments payable to the Swap Counterparty will generally reduce amounts available for distribution to the related certificateholders. If the rate of prepayments on the mortgage loans is faster than anticipated, the Scheduled Notional Amount on which payments due under the interest rate swap agreement are calculated may exceed the aggregate principal balance of the mortgage loans, thereby increasing the relative proportion of interest (and possibly principal) collections on the mortgage loans that must be applied to make Net Swap Payments to the Swap Counterparty and consequently, the combination of rapid rates of prepayment and low prevailing interest rates could adversely affect the yields on the certificates.
 
Prepayments and Yields for the Offered Certificates
 
Approximately 22.04% of the mortgage loans (by principal balance as of the cut-off date) in Loan Group 1 and approximately 18.48% of the mortgage loans (by principal balance as of the cut-off date) in Loan Group 2, as of the cut-off date, are fixed rate mortgage loans. The rate of prepayments with respect to conventional fixed rate mortgage loans has fluctuated significantly in recent years. In general, if prevailing interest rates fall significantly below the interest rates on fixed rate mortgage loans, those mortgage loans are likely to be subject to higher prepayment rates than if prevailing rates remain at or above the interest rates on the mortgage loans. Conversely, if prevailing interest rates rise appreciably above the interest rates on fixed rate mortgage loans, those mortgage loans are likely to experience a lower prepayment rate than if prevailing rates remain at or below the interest rates on such mortgage loans.
 
 
 
 
 
S-57

 
 
 
Approximately 77.96% of the mortgage loans (by principal balance as of the cut-off date) in Loan Group 1 and approximately 81.52% of the mortgage loans (by principal balance as of the cut-off date) in Loan Group 2, as of the cut-off date, are adjustable rate mortgage loans. As is the case with conventional fixed rate mortgage loans, adjustable rate mortgage loans may be subject to a greater rate of principal prepayments in a declining interest rate environment. For example, if prevailing interest rates fall significantly, adjustable rate mortgage loans could be subject to higher prepayment rates than if prevailing interest rates remain constant because the availability of fixed rate mortgage loans at lower interest rates may encourage mortgagors to refinance their adjustable rate mortgage loans to a lower fixed interest rate. Nevertheless, no assurance can be given as to the level of prepayments that the mortgage loans will experience. The Class A-1 Certificates will generally reflect the prepayment experience of the Group 1 Mortgage Loans, and the Class A-2a, Class A-2b, Class A-2c and Class A-2d Certificates will generally reflect the prepayment experience of the Group 2 Mortgage Loans. The Subordinate Certificates will reflect the prepayment experience of Group 1 Mortgage Loans and the Group 2 Mortgage Loans.
 
The final scheduled Distribution Date for each class of Offered Certificates is the latest possible maturity date of the 30-year mortgage loans plus one month.
 
The actual final Distribution Date with respect to each class of Offered Certificates could occur significantly earlier than its final scheduled Distribution Date because:
 
 
 
·
excess interest will be applied to build and maintain overcollateralization;
 
 
 
·
prepayments are likely to occur which will be paid in reduction of the class principal balances of the Offered Certificates; and
 
 
 
·
the Servicer will have the right to purchase all of the mortgage loans on any Distribution Date when the aggregate principal balance of the mortgage loans has declined to less than or equal to 10% of the sum of the aggregate principal balance of the mortgage loans as of the cut-off date.
 
The actual final Distribution Date with respect to each class of Offered Certificates will also be affected by the default and recovery experience of the mortgage loans.
 
The prepayment model used in this prospectus supplement represents an assumed rate of prepayment each month relative to the then outstanding principal balance of a pool of mortgage loans for the life of those mortgage loans. The prepayment assumption does not purport to be a historical description of prepayment experience or a prediction of the anticipated rate of prepayment of any pool of mortgage loans, including the related mortgage loans. With respect to the fixed rate mortgage loans, the prepayment assumption assumes a constant prepayment rate of approximately 4% per annum of the then outstanding principal balance of the mortgage loans in the first month of the life of the related mortgage loans and approximately an additional 1.2667% per annum (precisely 19%/15 expressed as a percentage) in each month thereafter until the sixteenth month. Beginning in the sixteenth month and in each month thereafter during the life of the related mortgage loans, the prepayment assumption assumes a constant prepayment rate of 23% per annum each month. The prepayment assumption with respect to the adjustable rate mortgage loans assumes a constant prepayment rate of 28% per annum each month.
 
 
 
 
 
S-58

 
 
 
The following tables have been prepared on the basis of the following assumptions known as modeling assumptions:
 
 
 
·
the mortgage loans of each loan group prepay at the indicated percentage of the related prepayment assumption;
 
 
 
·
payments on the Offered Certificates are received, in cash, on the 25th day of each month, commencing in March 2007, in accordance with the payment priorities set forth in this prospectus supplement;
 
 
 
·
no defaults or delinquencies in, or modifications, waivers or amendments respecting, the payment by the mortgagors of principal and interest on the mortgage loans occur;
 
 
 
·
unless otherwise indicated, scheduled payments on the mortgage loans are assumed to be received on the first day of each due period commencing in March 2007, and prepayments represent payment in full of individual mortgage loans and are assumed to be received on the last day of each prepayment period, commencing in February 2007, and include 30 days’ interest thereon;
 
 
 
·
six month LIBOR remains constant at 5.38%;
 
 
 
·
one month LIBOR remains constant at 5.35%;
 
 
 
·
the Closing Date for the Offered Certificates is March 7, 2007;
 
 
 
·
there is zero reinvestment income on all amounts in the Distribution Account;
 
 
 
·
no early termination of the issuing entity has occurred, unless otherwise indicated;
 
 
 
·
the optional termination is not exercised (except with respect to the weighted average life to optional termination);
 
 
 
·
no swap termination payments are paid or received by the trust;
 
 
 
·
the scheduled monthly payment on each mortgage loan is adjusted to equal a fully amortizing payment (except for interest only mortgage loans during their respective interest only terms and balloon mortgage loans);
 
 
 
·
the Class Principal Balances of the Certificates and the Overcollateralized Amount as of the Closing Date are as specified in this prospectus supplement;
 
 
 
 
 
S-59

 
 
 
 
 
·
the mortgage loans accrue interest on the basis of a 360 day year consisting of twelve 30-day months;
 
 
 
·
the mortgage interest rate for each adjustable rate mortgage loan is adjusted on its next reset date and on subsequent reset dates, if necessary, to equal the sum, subject to the applicable periodic adjustment caps and floors, of:
 
 
·
the assumed level of the applicable index, and
 
 
 
·
the respective gross margin; and
 
 
 
·
the mortgage loans have the approximate characteristics set forth in the following tables.
 
 
 
 
 
S-60

 
 
 
Mortgage Loan Characteristics
 
Group
 
Type
 
Index Name
 
Original Interest Only Period (Months)
 
Cut-off Date Principal Balance ($)
 
Cut-off Date Gross Mortgage Rate (%)
 
Expense Fee Rate (%)
 
Original Amortization Term* (Months)
 
Remaining Amortization Term* (Months)
 
Stated Remaining Term (Months)
 
Gross Margin (%)
 
Next Rate Adjustment Date (Months)
 
Rate Adjustment Frequency (Months)
 
Gross Life Floor (%)
 
Gross Life Cap (%)
 
Initial Periodic Rate Cap (%)
 
Next Periodic Rate Cap (%)
1
 
ARM
 
6MonthLIBOR
 
0
 
5,671,648.62
 
8.658
 
0.520
 
600
 
598
 
358
 
6.059
 
22
 
6
 
6.119
 
14.679
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
6,478,294.55
 
9.066
 
0.520
 
480
 
477
 
357
 
5.999
 
21
 
6
 
6.076
 
15.088
 
2.977
 
1.011
1
 
ARM
 
6MonthLIBOR
 
0
 
431,831.74
 
9.046
 
0.520
 
600
 
598
 
358
 
6.183
 
22
 
6
 
6.369
 
15.046
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
17,412,377.95
 
8.287
 
0.520
 
480
 
478
 
358
 
6.250
 
22
 
6
 
6.301
 
14.300
 
2.973
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
18,163,425.30
 
8.017
 
0.520
 
598
 
596
 
358
 
6.201
 
22
 
6
 
6.243
 
14.036
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
206,520.99
 
9.400
 
0.520
 
480
 
475
 
355
 
7.900
 
19
 
6
 
9.400
 
16.400
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
11,941,899.13
 
8.346
 
0.520
 
479
 
477
 
358
 
5.958
 
34
 
6
 
5.976
 
14.346
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
672,646.99
 
7.929
 
0.520
 
600
 
596
 
356
 
6.066
 
20
 
6
 
7.305
 
14.929
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
321,293.01
 
8.684
 
0.520
 
480
 
478
 
358
 
6.324
 
22
 
6
 
6.324
 
14.684
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
1,955,400.18
 
8.647
 
0.520
 
480
 
477
 
357
 
6.217
 
21
 
6
 
6.505
 
14.647
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
1,313,763.27
 
8.614
 
0.520
 
480
 
477
 
357
 
6.169
 
33
 
6
 
6.169
 
14.614
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
154,707.02
 
10.702
 
0.520
 
480
 
478
 
358
 
6.442
 
22
 
6
 
6.442
 
16.702
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
4,855,124.72
 
8.232
 
0.520
 
599
 
597
 
358
 
6.290
 
34
 
6
 
6.290
 
14.232
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
4,643,414.20
 
7.713
 
0.520
 
479
 
477
 
358
 
6.266
 
34
 
6
 
6.266
 
13.713
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
8,534,070.89
 
8.683
 
0.520
 
599
 
597
 
358
 
5.893
 
34
 
6
 
5.922
 
14.683
 
2.989
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
125,801.77
 
9.350
 
0.520
 
480
 
477
 
357
 
6.750
 
21
 
6
 
6.750
 
15.350
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
734,375.46
 
7.878
 
0.520
 
480
 
477
 
357
 
6.027
 
33
 
6
 
6.027
 
13.878
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
509,159.68
 
7.812
 
0.520
 
480
 
477
 
357
 
5.886
 
21
 
6
 
5.886
 
13.812
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
790,991.10
 
9.561
 
0.520
 
600
 
597
 
357
 
5.586
 
21
 
6
 
5.586
 
15.561
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
630,281.52
 
8.173
 
0.520
 
599
 
597
 
358
 
6.463
 
34
 
6
 
6.463
 
14.173
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
656,663.13
 
9.041
 
0.520
 
480
 
478
 
358
 
6.725
 
22
 
6
 
6.725
 
15.041
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
613,873.98
 
9.168
 
0.520
 
600
 
598
 
358
 
6.239
 
34
 
6
 
7.197
 
15.553
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
414,364.11
 
7.402
 
0.520
 
600
 
598
 
358
 
5.487
 
34
 
6
 
5.487
 
13.402
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
1,905,394.49
 
8.548
 
0.520
 
600
 
598
 
358
 
6.462
 
22
 
6
 
6.596
 
14.548
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
271,824.51
 
8.900
 
0.520
 
596
 
593
 
357
 
6.200
 
33
 
6
 
6.200
 
14.900
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
913,740.44
 
9.633
 
0.520
 
600
 
598
 
358
 
6.378
 
22
 
6
 
6.378
 
15.633
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
369,986.03
 
10.146
 
0.520
 
600
 
598
 
358
 
6.456
 
22
 
6
 
6.456
 
16.146
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
413,218.86
 
7.951
 
0.520
 
480
 
478
 
358
 
5.712
 
22
 
6
 
5.712
 
13.951
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
116,979.12
 
9.600
 
0.520
 
480
 
479
 
359
 
6.550
 
23
 
6
 
6.550
 
15.600
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
155,163.55
 
9.250
 
0.520
 
600
 
597
 
357
 
6.350
 
21
 
6
 
6.350
 
15.250
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
168,792.80
 
10.750
 
0.520
 
600
 
599
 
359
 
5.950
 
35
 
6
 
5.950
 
16.750
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
249,199.87
 
7.300
 
0.520
 
480
 
478
 
358
 
6.550
 
34
 
6
 
6.550
 
13.300
 
3.000
 
1.000
 
* Includes the interest only period, if applicable.
 
 
 
 
 
S-61

 
 
 

Group
 
Type
 
Index Name
 
Original Interest Only Period (Months)
 
Cut-off Date Principal Balance ($)
 
Cut-off Date Gross Mortgage Rate (%)
 
Expense Fee Rate (%)
 
Original Amortization Term* (Months)
 
Remaining Amortization Term* (Months)
 
Stated Remaining Term (Months)
 
Gross Margin (%)
 
Next Rate Adjustment Date (Months)
 
Rate Adjustment Frequency (Months)
 
Gross Life Floor (%)
 
Gross Life Cap (%)
 
Initial Periodic Rate Cap (%)
 
Next Periodic Rate Cap (%)
1
 
ARM
 
6MonthLIBOR
 
0
 
10,153,843.23
 
9.008
 
0.520
 
359
 
357
 
357
 
6.067
 
22
 
6
 
6.453
 
15.022
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
13,782,307.94
 
8.770
 
0.520
 
360
 
357
 
357
 
5.885
 
33
 
6
 
5.946
 
14.770
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
3,286,902.21
 
8.996
 
0.520
 
360
 
357
 
357
 
6.362
 
21
 
6
 
6.362
 
14.996
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
459,395.72
 
9.931
 
0.520
 
360
 
356
 
356
 
7.009
 
32
 
6
 
9.931
 
15.931
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
3,204,250.58
 
9.796
 
0.520
 
360
 
357
 
357
 
6.754
 
33
 
6
 
8.364
 
15.916
 
3.000
 
1.010
1
 
ARM
 
6MonthLIBOR
 
0
 
14,066,017.65
 
8.116
 
0.520
 
360
 
358
 
358
 
6.219
 
22
 
6
 
6.487
 
14.116
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
941,690.61
 
8.685
 
0.520
 
360
 
357
 
357
 
6.065
 
21
 
6
 
6.065
 
14.685
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
4,032,011.11
 
8.608
 
0.520
 
360
 
358
 
358
 
6.363
 
34
 
6
 
6.756
 
14.736
 
2.905
 
1.024
1
 
ARM
 
6MonthLIBOR
 
0
 
92,770.05
 
9.950
 
0.520
 
360
 
358
 
358
 
6.150
 
22
 
6
 
6.150
 
15.950
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
1,520,503.56
 
9.462
 
0.520
 
360
 
358
 
358
 
6.033
 
22
 
6
 
6.934
 
15.462
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
437,476.69
 
9.503
 
0.520
 
360
 
358
 
358
 
6.156
 
22
 
6
 
8.197
 
15.503
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
2,290,242.10
 
9.290
 
0.520
 
360
 
358
 
358
 
6.363
 
22
 
6
 
6.968
 
15.290
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
110,171.46
 
8.000
 
0.520
 
360
 
358
 
358
 
6.100
 
34
 
6
 
6.100
 
14.000
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
121,528.04
 
7.900
 
0.520
 
480
 
478
 
478
 
6.350
 
34
 
6
 
6.350
 
13.900
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
404,184.74
 
9.585
 
0.520
 
360
 
357
 
357
 
6.230
 
33
 
6
 
9.585
 
15.585
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
581,791.56
 
10.391
 
0.520
 
360
 
357
 
357
 
6.964
 
33
 
6
 
8.926
 
16.391
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
191,441.01
 
10.100
 
0.520
 
480
 
478
 
478
 
6.750
 
22
 
6
 
6.750
 
16.100
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
696,560.65
 
9.625
 
0.520
 
360
 
357
 
357
 
6.309
 
21
 
6
 
7.789
 
16.216
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
597,277.00
 
8.870
 
0.520
 
360
 
359
 
359
 
5.974
 
35
 
6
 
5.974
 
14.870
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
309,896.99
 
10.600
 
0.520
 
479
 
477
 
477
 
6.750
 
34
 
6
 
10.600
 
16.600
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
370,830.97
 
8.800
 
0.520
 
480
 
478
 
478
 
6.350
 
22
 
6
 
6.350
 
14.800
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
61,986.55
 
11.250
 
0.520
 
360
 
357
 
357
 
6.400
 
21
 
6
 
10.250
 
17.250
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
439,830.75
 
8.576
 
0.520
 
359
 
357
 
357
 
6.283
 
22
 
6
 
6.283
 
14.576
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
107,098.49
 
9.700
 
0.520
 
360
 
358
 
358
 
6.700
 
22
 
6
 
9.700
 
15.700
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
139,438.39
 
8.900
 
0.520
 
480
 
478
 
478
 
6.350
 
22
 
6
 
6.350
 
14.900
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
141,335.48
 
8.400
 
0.520
 
360
 
357
 
357
 
5.950
 
21
 
6
 
5.950
 
14.400
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
0
 
523,852.20
 
8.740
 
0.520
 
480
 
477
 
477
 
5.972
 
33
 
6
 
5.972
 
14.740
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
7,426,577.97
 
8.500
 
0.520
 
360
 
358
 
358
 
5.946
 
22
 
6
 
6.406
 
14.500
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
5,846,356.38
 
7.715
 
0.520
 
360
 
358
 
358
 
6.264
 
22
 
6
 
6.295
 
13.715
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
985,599.70
 
7.737
 
0.520
 
360
 
358
 
358
 
5.035
 
22
 
6
 
5.400
 
13.737
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
22,075,901.11
 
7.494
 
0.520
 
360
 
358
 
358
 
5.713
 
34
 
6
 
5.767
 
13.494
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
773,245.83
 
8.696
 
0.520
 
360
 
359
 
359
 
6.315
 
23
 
6
 
6.913
 
14.696
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
488,950.00
 
9.044
 
0.520
 
360
 
358
 
358
 
6.557
 
34
 
6
 
6.557
 
15.044
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
17,392,714.06
 
7.620
 
0.520
 
360
 
358
 
358
 
6.165
 
22
 
6
 
6.208
 
13.620
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
697,240.00
 
7.567
 
0.520
 
360
 
358
 
358
 
5.582
 
22
 
6
 
7.228
 
13.567
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
1,388,558.28
 
6.711
 
0.520
 
360
 
357
 
357
 
6.052
 
33
 
6
 
6.052
 
12.711
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
7,045,920.37
 
7.530
 
0.520
 
360
 
358
 
358
 
6.054
 
34
 
6
 
6.200
 
13.530
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
225,000.00
 
9.650
 
0.520
 
360
 
358
 
358
 
6.600
 
22
 
6
 
6.600
 
15.650
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
104,000.00
 
7.425
 
0.520
 
360
 
357
 
357
 
5.950
 
21
 
6
 
6.425
 
13.425
 
3.000
 
1.000
 
* Includes the interest only period, if applicable.
 
 
 
 
 
S-62

 
 


Group
 
Type
 
Index Name
 
Original Interest Only Period (Months)
 
Cut-off Date Principal Balance ($)
 
Cut-off Date Gross Mortgage Rate (%)
 
Expense Fee Rate (%)
 
Original Amortization Term* (Months)
 
Remaining Amortization Term* (Months)
 
Stated Remaining Term (Months)
 
Gross Margin (%)
 
Next Rate Adjustment Date (Months)
 
Rate Adjustment Frequency (Months)
 
Gross Life Floor (%)
 
Gross Life Cap (%)
 
Initial Periodic Rate Cap (%)
 
Next Periodic Rate Cap (%)
1
 
ARM
 
6MonthLIBOR
 
60
 
132,000.00
 
8.850
 
0.520
 
360
 
358
 
358
 
5.950
 
22
 
6
 
5.950
 
14.850
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
189,000.00
 
8.688
 
0.520
 
360
 
357
 
357
 
6.688
 
33
 
6
 
7.688
 
14.688
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
1,170,500.00
 
8.477
 
0.520
 
360
 
359
 
359
 
6.158
 
23
 
6
 
6.615
 
14.477
 
3.000
 
1.000
1
 
ARM
 
6MonthLIBOR
 
60
 
225,000.00
 
6.600
 
0.520
 
360
 
358
 
358
 
4.500
 
34
 
6
 
4.500
 
12.600
 
3.000
 
1.000
1
 
FRM
 
N/A
 
0
 
2,321,666.70
 
12.076
 
0.520
 
359
 
357
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
520,339.41
 
11.350
 
0.520
 
360
 
358
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
156,448.92
 
11.666
 
0.520
 
360
 
357
 
237
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
30,784.66
 
12.640
 
0.520
 
360
 
358
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
302,563.29
 
11.648
 
0.520
 
360
 
358
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
79,148.62
 
12.440
 
0.520
 
360
 
358
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
718,215.73
 
11.692
 
0.520
 
354
 
352
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
247,935.55
 
11.900
 
0.520
 
360
 
358
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
52,383.26
 
11.500
 
0.520
 
360
 
359
 
239
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
2,064,725.72
 
8.740
 
0.520
 
480
 
477
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
3,996,719.83
 
7.617
 
0.520
 
600
 
597
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
76,765.47
 
8.550
 
0.520
 
600
 
596
 
356
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
3,080,387.67
 
8.042
 
0.520
 
480
 
477
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
174,954.89
 
7.950
 
0.520
 
600
 
598
 
358
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
1,714,838.63
 
9.011
 
0.520
 
597
 
594
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
437,202.79
 
7.419
 
0.520
 
480
 
477
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
989,878.39
 
8.630
 
0.520
 
480
 
477
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
50,881.86
 
11.030
 
0.520
 
360
 
359
 
239
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
97,833.03
 
11.409
 
0.520
 
360
 
358
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
203,020.46
 
13.012
 
0.520
 
355
 
353
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
47,470.81
 
11.700
 
0.520
 
360
 
358
 
178
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
49,787.12
 
12.450
 
0.520
 
360
 
359
 
239
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
67,941.04
 
12.000
 
0.520
 
360
 
357
 
237
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
69,978.83
 
11.750
 
0.520
 
360
 
359
 
179
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
74,990.20
 
11.990
 
0.520
 
600
 
595
 
355
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
95,994.23
 
9.900
 
0.520
 
600
 
599
 
359
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
423,894.11
 
8.482
 
0.520
 
480
 
479
 
359
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
249,862.48
 
10.500
 
0.520
 
480
 
476
 
356
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
658,217.83
 
6.875
 
0.520
 
480
 
477
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
384,829.47
 
7.600
 
0.520
 
600
 
597
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
13,700,920.88
 
7.909
 
0.520
 
360
 
357
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
1,073,566.26
 
9.799
 
0.520
 
360
 
357
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
1,982,775.85
 
9.458
 
0.520
 
360
 
358
 
358
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
7,525,784.53
 
8.805
 
0.520
 
360
 
357
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
2,257,527.02
 
8.058
 
0.520
 
358
 
355
 
355
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
* Includes the interest only period, if applicable.
 
 
 
 
 
S-63

 
 
 

Group
 
Type
 
Index Name
 
Original Interest Only Period (Months)
 
Cut-off Date Principal Balance ($)
 
Cut-off Date Gross Mortgage Rate (%)
 
Expense Fee Rate (%)
 
Original Amortization Term* (Months)
 
Remaining Amortization Term* (Months)
 
Stated Remaining Term (Months)
 
Gross Margin (%)
 
Next Rate Adjustment Date (Months)
 
Rate Adjustment Frequency (Months)
 
Gross Life Floor (%)
 
Gross Life Cap (%)
 
Initial Periodic Rate Cap (%)
 
Next Periodic Rate Cap (%)
1
 
FRM
 
N/A
 
0
 
1,598,104.62
 
8.800
 
0.520
 
480
 
477
 
477
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
714,362.02
 
9.687
 
0.520
 
360
 
357
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
468,423.53
 
9.294
 
0.520
 
240
 
237
 
237
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
613,515.15
 
8.164
 
0.520
 
180
 
178
 
178
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
64,737.99
 
9.650
 
0.520
 
360
 
358
 
358
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
67,256.06
 
10.750
 
0.520
 
240
 
237
 
237
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
709,594.56
 
9.007
 
0.520
 
480
 
477
 
477
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
628,284.98
 
7.466
 
0.520
 
300
 
298
 
298
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
234,870.58
 
7.944
 
0.520
 
240
 
238
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
87,885.37
 
9.200
 
0.520
 
300
 
296
 
296
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
100,395.87
 
9.950
 
0.520
 
240
 
237
 
237
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
833,689.34
 
8.486
 
0.520
 
360
 
358
 
358
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
5,303,322.29
 
7.890
 
0.520
 
480
 
477
 
477
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
134,786.28
 
7.350
 
0.520
 
180
 
179
 
179
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
347,887.33
 
8.917
 
0.520
 
360
 
358
 
358
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
1,088,671.18
 
8.236
 
0.520
 
480
 
478
 
478
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
39,790.43
 
11.270
 
0.520
 
180
 
178
 
178
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
52,897.23
 
10.720
 
0.520
 
240
 
238
 
238
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
21,577.57
 
11.800
 
0.520
 
240
 
239
 
239
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
37,262.04
 
11.950
 
0.520
 
240
 
239
 
239
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
45,753.67
 
11.300
 
0.520
 
360
 
357
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
57,831.32
 
7.650
 
0.520
 
360
 
356
 
356
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
59,889.89
 
9.750
 
0.520
 
119
 
116
 
116
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
169,870.61
 
9.397
 
0.520
 
180
 
178
 
178
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
86,640.36
 
11.250
 
0.520
 
300
 
297
 
297
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
390,629.09
 
7.436
 
0.520
 
480
 
477
 
477
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
159,768.59
 
9.700
 
0.520
 
360
 
358
 
358
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
239,513.69
 
8.000
 
0.520
 
360
 
357
 
357
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
275,820.57
 
6.900
 
0.520
 
240
 
236
 
236
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
324,731.37
 
9.150
 
0.520
 
480
 
476
 
476
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
1
 
FRM
 
N/A
 
0
 
426,646.29
 
8.150
 
0.520
 
480
 
477
 
477
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
 
N/A
2
 
ARM
 
6MonthLIBOR
 
0
 
25,953,014.20
 
8.326
 
0.520
 
480
 
478
 
358
 
6.214
 
22
 
6
 
6.359
 
14.355
 
2.951
 
1.005
2
 
ARM
 
6MonthLIBOR
 
0
 
662,923.89
 
9.063
 
0.520
 
480
 
478
 
358
 
6.188
 
22
 
6
 
6.188
 
15.063
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
19,599,640.23
 
8.191
 
0.520
 
600
 
598
 
358
 
6.229
 
22
 
6
 
6.262
 
14.191
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
5,388,219.22
 
7.822
 
0.520
 
598
 
596
 
358
 
6.143
 
34
 
6
 
6.143
 
13.822
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
3,686,030.52
 
8.605
 
0.520
 
480
 
478
 
358
 
6.231
 
22
 
6
 
6.562
 
14.726
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
4,019,065.08
 
8.415
 
0.520
 
600
 
598
 
358
 
6.344
 
22
 
6
 
6.444
 
14.458
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,293,523.70
 
7.116
 
0.520
 
600
 
597
 
357
 
6.255
 
33
 
6
 
6.255
 
13.116
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
9,004,024.83
 
8.241
 
0.520
 
599
 
597
 
358
 
5.751
 
34
 
6
 
5.825
 
14.241
 
2.977
 
1.000
 
* Includes the interest only period, if applicable.
 
 
 
 
 
S-64

 
 
 

Group
 
Type
 
Index Name
 
Original Interest Only Period (Months)
 
Cut-off Date Principal Balance ($)
 
Cut-off Date Gross Mortgage Rate (%)
 
Expense Fee Rate (%)
 
Original Amortization Term* (Months)
 
Remaining Amortization Term* (Months)
 
Stated Remaining Term (Months)
 
Gross Margin (%)
 
Next Rate Adjustment Date (Months)
 
Rate Adjustment Frequency (Months)
 
Gross Life Floor (%)
 
Gross Life Cap (%)
 
Initial Periodic Rate Cap (%)
 
Next Periodic Rate Cap (%)
2
 
ARM
 
6MonthLIBOR
 
0
 
1,717,093.02
 
9.212
 
0.520
 
478
 
476
 
358
 
6.485
 
34
 
6
 
6.687
 
15.212
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
359,168.42
 
8.696
 
0.520
 
600
 
599
 
359
 
6.297
 
35
 
6
 
6.297
 
14.696
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
184,713.47
 
8.400
 
0.520
 
480
 
478
 
358
 
6.332
 
34
 
6
 
7.968
 
14.400
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
89,234.34
 
8.950
 
0.520
 
600
 
598
 
358
 
6.150
 
22
 
6
 
6.150
 
14.950
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
90,794.73
 
8.875
 
0.520
 
476
 
461
 
345
 
7.375
 
9
 
6
 
8.875
 
15.875
 
1.500
 
1.500
2
 
ARM
 
6MonthLIBOR
 
0
 
6,373,918.03
 
8.119
 
0.520
 
480
 
477
 
357
 
6.410
 
33
 
6
 
6.677
 
14.119
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
518,642.44
 
9.580
 
0.520
 
600
 
598
 
358
 
6.401
 
22
 
6
 
6.401
 
15.580
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,920,236.49
 
8.332
 
0.520
 
480
 
477
 
357
 
6.276
 
21
 
6
 
8.332
 
15.270
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
812,216.27
 
9.044
 
0.520
 
480
 
478
 
358
 
6.329
 
22
 
6
 
6.720
 
15.257
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
2,214,003.09
 
7.755
 
0.520
 
480
 
478
 
358
 
6.164
 
34
 
6
 
6.164
 
13.755
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
23,186,379.75
 
7.934
 
0.520
 
480
 
478
 
358
 
5.841
 
34
 
6
 
5.914
 
13.934
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
5,144,376.25
 
8.824
 
0.520
 
479
 
477
 
358
 
5.921
 
22
 
6
 
6.410
 
14.862
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
333,256.69
 
9.866
 
0.520
 
600
 
598
 
358
 
6.353
 
22
 
6
 
6.353
 
15.866
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
7,096,181.13
 
9.043
 
0.520
 
598
 
596
 
358
 
5.876
 
22
 
6
 
6.036
 
15.074
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
691,849.93
 
7.054
 
0.520
 
599
 
597
 
358
 
4.916
 
34
 
6
 
4.916
 
13.054
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,325,560.69
 
8.538
 
0.520
 
599
 
597
 
358
 
6.386
 
34
 
6
 
6.842
 
14.538
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
263,944.87
 
8.500
 
0.520
 
600
 
598
 
358
 
6.350
 
34
 
6
 
6.350
 
14.500
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
638,481.93
 
7.244
 
0.520
 
600
 
597
 
357
 
6.339
 
33
 
6
 
6.339
 
13.952
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
505,921.51
 
8.362
 
0.520
 
480
 
478
 
358
 
5.434
 
34
 
6
 
5.910
 
14.362
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
90,922.42
 
10.150
 
0.520
 
480
 
478
 
358
 
6.400
 
22
 
6
 
6.400
 
16.150
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
255,784.07
 
9.084
 
0.520
 
480
 
478
 
358
 
6.262
 
22
 
6
 
6.262
 
15.084
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
103,492.12
 
9.300
 
0.520
 
600
 
599
 
359
 
6.350
 
59
 
6
 
6.350
 
15.300
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
868,528.64
 
8.760
 
0.520
 
600
 
597
 
357
 
6.288
 
21
 
6
 
8.288
 
15.594
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
288,050.61
 
8.561
 
0.520
 
480
 
479
 
359
 
6.336
 
23
 
6
 
6.336
 
14.561
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
144,467.73
 
8.850
 
0.520
 
480
 
479
 
359
 
6.150
 
35
 
6
 
8.850
 
14.850
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,193,310.03
 
9.517
 
0.520
 
480
 
478
 
358
 
5.969
 
22
 
6
 
6.697
 
15.806
 
2.698
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
187,931.86
 
7.042
 
0.520
 
600
 
598
 
358
 
6.500
 
22
 
6
 
7.042
 
13.042
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
196,970.91
 
10.500
 
0.520
 
600
 
597
 
357
 
6.750
 
57
 
6
 
6.750
 
16.500
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
245,935.42
 
8.300
 
0.520
 
480
 
479
 
359
 
5.950
 
23
 
6
 
5.950
 
14.300
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
274,850.46
 
7.050
 
0.520
 
600
 
597
 
357
 
5.650
 
21
 
6
 
5.650
 
13.050
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
804,460.87
 
8.367
 
0.520
 
600
 
599
 
359
 
6.408
 
35
 
6
 
6.408
 
14.367
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
410,422.41
 
8.150
 
0.520
 
480
 
479
 
359
 
6.600
 
35
 
6
 
6.600
 
14.150
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
679,969.16
 
10.600
 
0.520
 
600
 
599
 
359
 
6.600
 
23
 
6
 
6.600
 
16.600
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
19,668,613.39
 
8.484
 
0.520
 
359
 
357
 
357
 
6.257
 
22
 
6
 
6.673
 
14.537
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
8,512,667.79
 
8.672
 
0.520
 
360
 
357
 
357
 
6.730
 
33
 
6
 
7.274
 
14.823
 
2.824
 
1.035
2
 
ARM
 
6MonthLIBOR
 
0
 
209,406.59
 
8.544
 
0.520
 
360
 
357
 
357
 
5.870
 
21
 
6
 
6.676
 
14.544
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
6,642,806.58
 
8.227
 
0.520
 
360
 
358
 
358
 
5.999
 
22
 
6
 
6.213
 
14.259
 
2.992
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
312,205.89
 
8.832
 
0.520
 
360
 
357
 
357
 
6.454
 
33
 
6
 
6.901
 
14.832
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
4,203,110.37
 
9.419
 
0.520
 
360
 
357
 
357
 
6.546
 
33
 
6
 
8.550
 
15.485
 
2.976
 
1.000

* Includes the interest only period, if applicable.
 
 
 
 
 
S-65

 
 
 

Group
 
Type
 
Index Name
 
Original Interest Only Period (Months)
 
Cut-off Date Principal Balance ($)
 
Cut-off Date Gross Mortgage Rate (%)
 
Expense Fee Rate (%)
 
Original Amortization Term* (Months)
 
Remaining Amortization Term* (Months)
 
Stated Remaining Term (Months)
 
Gross Margin (%)
 
Next Rate Adjustment Date (Months)
 
Rate Adjustment Frequency (Months)
 
Gross Life Floor (%)
 
Gross Life Cap (%)
 
Initial Periodic Rate Cap (%)
 
Next Periodic Rate Cap (%)
2
 
ARM
 
6MonthLIBOR
 
0
 
122,584.55
 
9.150
 
0.520
 
341
 
338
 
338
 
6.400
 
21
 
6
 
6.400
 
15.150
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
21,652,087.50
 
8.501
 
0.520
 
360
 
358
 
358
 
5.950
 
34
 
6
 
6.209
 
14.500
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
3,077,344.84
 
8.356
 
0.520
 
360
 
358
 
358
 
6.101
 
22
 
6
 
6.442
 
14.398
 
2.915
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
2,461,163.77
 
9.096
 
0.520
 
359
 
357
 
357
 
6.292
 
22
 
6
 
6.538
 
15.096
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
13,804,234.56
 
8.817
 
0.520
 
360
 
358
 
358
 
6.107
 
22
 
6
 
6.795
 
14.874
 
2.980
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
2,460,586.36
 
9.510
 
0.520
 
360
 
358
 
358
 
6.115
 
22
 
6
 
6.428
 
15.510
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
236,827.17
 
8.631
 
0.520
 
480
 
479
 
479
 
6.029
 
35
 
6
 
8.631
 
15.631
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,806,527.83
 
9.063
 
0.520
 
360
 
357
 
357
 
6.169
 
33
 
6
 
8.201
 
15.063
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,962,946.42
 
9.095
 
0.520
 
360
 
358
 
358
 
6.438
 
34
 
6
 
7.068
 
15.199
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
897,809.34
 
9.101
 
0.520
 
480
 
478
 
478
 
6.205
 
34
 
6
 
6.205
 
15.101
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
3,304,040.43
 
8.862
 
0.520
 
360
 
357
 
357
 
6.363
 
33
 
6
 
8.727
 
15.403
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
282,407.92
 
10.023
 
0.520
 
360
 
357
 
357
 
7.028
 
33
 
6
 
8.988
 
16.316
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,511,943.79
 
8.240
 
0.520
 
360
 
357
 
357
 
6.216
 
21
 
6
 
7.684
 
15.059
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
828,320.17
 
8.498
 
0.520
 
360
 
358
 
358
 
6.579
 
22
 
6
 
6.736
 
14.498
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
302,056.92
 
8.452
 
0.520
 
480
 
478
 
478
 
6.302
 
22
 
6
 
8.452
 
14.452
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
392,755.86
 
9.481
 
0.520
 
360
 
359
 
359
 
6.094
 
23
 
6
 
6.094
 
15.481
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
423,218.16
 
10.920
 
0.520
 
360
 
356
 
356
 
7.138
 
32
 
6
 
10.920
 
16.920
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
186,461.55
 
7.700
 
0.520
 
360
 
356
 
356
 
5.100
 
56
 
6
 
5.100
 
13.700
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
191,756.78
 
8.300
 
0.520
 
360
 
358
 
358
 
6.400
 
22
 
6
 
6.400
 
14.300
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
209,371.00
 
8.700
 
0.520
 
360
 
355
 
355
 
6.000
 
55
 
6
 
8.700
 
14.700
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
538,464.72
 
9.226
 
0.520
 
360
 
358
 
358
 
6.513
 
22
 
6
 
7.106
 
15.348
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
584,020.70
 
8.427
 
0.520
 
360
 
357
 
357
 
7.196
 
33
 
6
 
7.811
 
14.427
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
1,346,576.55
 
9.120
 
0.520
 
480
 
477
 
477
 
5.177
 
21
 
6
 
5.177
 
15.120
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
59,462.44
 
8.300
 
0.520
 
360
 
359
 
359
 
6.400
 
23
 
6
 
6.400
 
14.300
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
72,153.83
 
10.000
 
0.520
 
359
 
357
 
357
 
5.950
 
34
 
6
 
5.950
 
16.000
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
85,934.23
 
7.350
 
0.520
 
360
 
359
 
359
 
5.800
 
35
 
6
 
5.800
 
13.350
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
87,954.96
 
8.400
 
0.520
 
480
 
478
 
478
 
5.950
 
34
 
6
 
5.950
 
14.400
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
99,164.63
 
11.000
 
0.520
 
360
 
359
 
359
 
6.400
 
35
 
6
 
6.400
 
17.000
 
3.000
 
1.000
2
 
ARM
 
6MonthLIBOR
 
0
 
135,319.42
 
9.990
 
0.520
 
360
 
358
 
358
 
6.450