JPMAC2006-NC2 Supplmental Prospectus for a securities trust of mortgage loans

8/9/2019 JPMAC2006-NC2 Supplmental Prospectus for a securities trust of mortgage loans

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JPMSI OPERATIONS

10 SOUTH DEARBORN STREET

MAIL CODE IL1-0237

CHICAGO, ILLINOIS 60670

(312) 732-8505

You should rely only on the information provided in this prospectus supplement or the accompanying prospectus or incorporated by reference herein. We have

not authorized anyone else to provide you with different information.

TABLE OF CONTENTS

PROSPECTUS SUPPLEMENT

SUMMARY S-1RISK FACTORS S-11

DESCRIPTION OF THE MORTGAGE POOL S-21

General S-21

The Mortgage Loans S-22

Tabular Characteristics of the Mortgage Loans S-25

DELINQUENCY AND FORECLOSURE INFORMATION FOR THE MORTGAGE LOANS S-55

THE DEPOSITOR S-56

THE SPONSOR S-56

General S-56Securitization Activities of the Sponsor S-56

STATIC POOL INFORMATION S-57

THE ORIGINATOR S-57

AFFILIATES AND RELATED TRANSACTIONS S-62

THE SERVICER S-63

JPMorgan Chase Bank, National Association S-63

DESCRIPTION OF THE CERTIFICATES S-65

General S-65

Book-Entry Certificates S-66Glossary S-66

Allocation of Available Funds S-73

Distributions of Interest S-73

Distributions of Principal S-74

Credit Enhancement S-77

Overcollateralization Provisions S-77

Allocation of Losses; Subordination S-79

Certificate Interest Rates S-80

Net WAC Reserve Fund S-81The Interest Rate Swap Agreement, the Swap Provider and the Swap Account S-82

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Calculation of Certificate Index S-85

Example of Distributions S-86

Reports to Certificateholders S-87

Final Scheduled Distribution Date S-88

Optional Clean-Up Call S-88FEES AND EXPENSES OF THE TRUST FUND S-89

THE POOLING AGREEMENT S-90

General S-90

Assignment of the Mortgage Loans S-90

Servicing and Administrative Responsibilities S-92

Payments on Mortgage Loans; Deposits to Collection Account and Distribution Account S-94

Modifications of Mortgage Loan Terms S-94

Advances S-94

Servicing and Other Compensation and Payment of Expenses S-95Servicer Events of Default S-96

The Issuing Entity S-97

The Trustee and the Securities Administrator S-97

The Trust Oversight Manager S-101

Voting Rights S-101

Compliance with Applicable Servicing Criteria and Servicer Attestation S-101

Amendment S-101

YIELD, PREPAYMENT AND WEIGHTED AVERAGE LIFE S-102

Additional Information S-103Weighted Average Lives S-103

Yield Sensitivity of the Subordinate Certificates S-114

USE OF PROCEEDS S-114

MATERIAL FEDERAL INCOME TAX CONSEQUENCES S-115

General S-115

Tax Treatment of the Offered Certificates S-115

Additional Considerations with Respect to the Offered Certificates S-115

Reportable Transactions S-117

Other Taxes S-117ERISA MATTERS S-117

General S-117

Application of the Underwriters Exemption S-118

ERISA Considerations with respect to the Interest Rate Swap Agreement S-118

METHOD OF DISTRIBUTION S-119

LEGAL MATTERS S-120

RATINGS S-120

LEGAL INVESTMENT S-120

INDEX OF CERTAIN DEFINITIONS S-121


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GLOBAL CLEARANCE, SETTLEMENT AND TAX DOCUMENTATION PROCEDURES I-1

INTEREST RATE SWAP SCHEDULE II-1

TABLE OF CONTENTS

PROSPECTUS

Risk Factors 6

Yield is Sensitive to Rate of Principal Prepayment 6

Limited Resale Market for Securities Could Adversely Affect Your Ability to Liquidate Your Investment 7

Protection Against Losses is Limited Since Securities Will Receive Payments Only From Specified Sources 7

Nature of Mortgages Securing the Loans May Delay Receipt of, or Result in Shortfalls in Proceeds Payable on aLoan 8

You Could Be Adversely Affected By Violations of Consumer Protection Laws 10

You Could Be Adversely Affected By Violations of Environmental Laws 10

Value of Trust Assets May Be Less Than Outstanding Principal Balance of the Related Securities 11

Weighted Average Net Mortgage Rate on the Loans May Limit Interest Rate on the Securities 11

Risks Related to Loans with Interest-only Payments 11

High Balance Loans Increase Risk of Default 12

Simultaneous Second Lien Risk 12

Geographic Concentration of Loans Could Adversely Affect Your Investment 12Military Action and Terrorist Attacks May Impact the Return on Your Security 12

Book-Entry System for Certain Classes May Decrease Liquidity and Delay Payment 13

Bankruptcy and Insolvency Risks 13

Borrower May be Unable to Make Balloon Payment 13

High Loan-to-Value Ratios Increase Risk of Loss 14

Mortgage Loans Originated According to Non-Agency Underwriting Guidelines May Have Higher Expected

Delinquencies 14

A Transfer of Servicing May Result in Increased Losses and Delinquencies on the Loans 15

The Recording of the Mortgages in the Name of MERS May Affect the Yield on the Securities 15Risks Related to the Residual Interest Securities 15

The Trust Fund 16

General 16

The Loans 18

Underwriting Standards 22

Modification of Loans 23

Agency Securities 23

Private Mortgage-Backed Securities 28

Representations by Sellers or Originators; Repurchases 30Substitution of Trust Fund Assets 32


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Use of Proceeds 32

The Depositor 32

The Sponsor 33

General 33

Securitization Activities of the Sponsor 33Description of the Securities 34

General 34

Distributions on Securities 36

Advances 37

Reports to Securityholders 38

Categories of Classes of Securities 40

Indices Applicable to Floating Rate and Inverse Floating Rate Classes 42

Book-Entry Registration of Securities 48

Exchangeable Securities 50Purchase Obligations 53

Mandatory Auctions 53

Credit Enhancement 53

General 53

Subordination 54

Letter of Credit 55

Insurance Policies, Surety Bonds and Guaranties 55

Over-Collateralization 55

Spread Account 56Reserve Accounts 56

Pool Insurance Policies 57

Cross-Collateralization 59

Other Insurance, Surety Bonds, Guaranties, and Letters of Credit 59

Derivative Products 59

Yield and Prepayment Considerations 59

The Agreements 62

Servicing 62

Assignment of the Trust Fund Assets 62 No Recourse to Sellers, Originators, Depositor or Master Servicer 65

Payments on Loans; Deposits to Security Account 65

Pre-Funding Account 67

Hazard Insurance 68

Realization Upon Defaulted Loans 70

Servicing and Other Compensation and Payment of Expenses 71

Evidence as to Compliance 71

Matters Regarding the Master Servicer and the Depositor 72

Events of Default; Rights Upon Event of Default 73


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Amendment 75

Termination; Optional Termination 76

The Trustee 76

The Securities Administrator 76

Material Legal Aspects of the Loans 77General 77

Foreclosure/Repossession 78

Environmental Risks 80

Rights of Redemption 81

Anti-deficiency Legislation and Other Limitations on Lenders 81

Due-on-Sale Clauses 82

Enforceability of Prepayment and Late Payment Fees 83

Applicability of Usury Laws 83

The Contracts 83Installment Contracts 85

Servicemembers Civil Relief Act 86

Junior Mortgages; Rights of Senior Mortgagees 86

Commercial Loans 87

The Title I Program 88

Consumer Protection Laws 91

Material Federal Income Tax Consequences 92

General 92

Taxation of Debt Securities 93Taxation of the REMIC and Its Holders 98

REMIC Expenses; Single Class REMICS 98

Taxation of the REMIC 99

Taxation of Holders of Residual Interest Securities 100

Administrative Matters 104

Tax Status as a Grantor Trust 104

Sale or Exchange 106

Miscellaneous Tax Aspects 107

Tax Treatment of Foreign Investors 107Tax Characterization of the Trust Fund as a Partnership 108

Tax Consequences to Holders of the Notes 108

Tax Consequences to Holders of the Certificates 110

State Tax Considerations 114

ERISA Considerations 114

General 114

Prohibited Transactions 115

Plan Asset Regulation 115

Prohibited Transaction Class Exemption 83-1 116


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The Underwriters Exemption 117

Insurance Company Purchasers 119

Consultation with Counsel 119

SUMMARYThis summary highlights selected information from this prospectus supplement and does not contain all the information that you need to consider in making your

investment decision. Please read this entire prospectus supplement and the accompanying prospectus carefully for additional information about the offered certificates.

OFFERED CERTIFICATES

The J.P. Morgan Mortgage Acquisition Trust 2006-NC2 Asset-Backed Pass Through Certificates, Series 2006-NC2 consist of the classes of certificates listed in

the table below. Only the offered certificates listed in the table below are being offered by this prospectus supplement:

CLASS

INITIALCLASS

PRINCIPAL

AMOUNT (1)

CERTIFICATE

INTEREST RATE DESIGNATION

S&P RATING

(6)

FITCH

RATING(6)

MOODYS

RATING(6) CUSIP

OFFERED CERTIFICATES

Class A-1A $223,083,000

One-Month LIBOR +

0.130%(2) Senior AAA AAA Aaa 46629HAA4

Class A-1B $55,771,000

One-Month LIBOR +

0.180%(2) Senior/Mezzanine AAA AAA Aaa 46629HAB2

Class A-2 $237,200,000

One-Month LIBOR +

0.040%(2) Senior/Sequential AAA AAA Aaa

46629FAA8

Class A-3 $77,300,000

One-Month LIBOR +


46629FAB6

Class A-4 $74,700,000

One-Month LIBOR +


46629FAC4

Class A-5 $38,262,000

One-Month LIBOR +


46629FAD2

Class M-1 $41,715,000

One-Month LIBOR +

0.270%(2) Subordinate AA+ AA+ Aa1

46629FAE0

Class M-2 $47,877,000

One-Month LIBOR +

0.300%(2) Subordinate AA AA Aa2

46629FAF7

Class M-3 $13,747,000

One-Month LIBOR +

0.320%(2) Subordinate AA- AA- Aa3

46629FAG5

Class M-4 $20,383,000

One-Month LIBOR +

0.370%(2) Subordinate A+ A+ A1

46629FAH3

Class M-5 $20,857,000

One-Month LIBOR +

0.390%(2) Subordinate A A A2

46629FAJ9


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_________________________(1)

Class M-6 $10,902,000

One-Month LIBOR +

0.450%(2) Subordinate A- A- A3

46629FAK6

Class M-7 $17,539,000

One-Month LIBOR +

0.800%(2) Subordinate BBB+ BBB+ Baa1

46629FAL4

Class M-8 $10,902,000 One-Month LIBOR +0.920%(2) Subordinate BBB BBB Baa2 46629FAM2

Class M-9 $15,169,000

One-Month LIBOR +

1.800%(2) Subordinate BBB- BBB- Baa3

46629FAN0

NON-OFFERED CERTIFICATES

Class C Notional(3) N/A Subordinate Not Rated Not Rated Not Rated 46629JAA0

Class P $100 N/A(4) Prepayment PremiumOnly Not Rated Not Rated Not Rated 46629JAB8

Class R N/A(5) N/A Residual Not Rated Not Rated Not Rated 46629JAC6

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

(2) The interest rate on these classes of certificates may change from distribution date to distribution date based on changes in the level of one-month LIBOR. The interest rate for any such class is the lesser of

one-month LIBOR plus the applicable margin set forth above and a cap as described in this prospectus supplement. See Description of the CertificatesCertificate Interest Rates in this prospectus

supplement. After the first possible optional termination date, the certificate margins will be as follows:

(3)

After the first possible Optional Termination Date

Class A-1A 0.260%

Class A-1B 0.360%

Class A-2 0.080%

Class A-3 0.220%

Class A-4 0.300%

Class A-5 0.500%

Class M-1 0.405%

Class M-2 0.450%

Class M-3 0.480%

Class M-4 0.555%

Class M-5 0.585%

Class M-6 0.675%

Class M-7 1.200%

Class M-8 1.380%

Class M-9 2.700%

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


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SERVICING OF THE MORTGAGE LOANS

On and after the servicing transfer date, which is anticipated to be September 1, 2006, JPMorgan Chase Bank, National Association, a national banking association, will

service the mortgage loans under the pooling agreement. Prior to the servicing transfer date, New Century Mortgage Corporation will service the mortgage loans pursuant

to the mortgage loan purchase agreement as modified by an assignment agreement.

Under the pooling agreement or the mortgage loan purchase agreement, as applicable, the servicer is generally obligated to make monthly advances of cash (to the extent

such advances are deemed recoverable), which will be included with mortgage principal and interest collections, in an amount equal to any delinquent monthly payments

due on the related mortgage loans on the immediately preceding determination date.

The servicer will be entitled to reimburse itself for any such advances from future payments and collections (including insurance or liquidation proceeds) with respect to

the related mortgage loans. However, if the servicer makes advances which are determined to be nonrecoverable from future payments and collections on the related

mortgage loan, the servicer will be entitled to reimbursement for such advances prior to any distributions to certificateholders. Advances are intended to maintain a

regular flow of scheduled interest and principal distributions on the certificates and are not intended to guarantee or insure against losses

We refer you to The Servicer and The Pooling AgreementAdvances in this prospectus supplement for more detail.

FEES AND EXPENSES

Before payments are made on the certificates, the servicer will be paid a monthly fee calculated at an annual rate of 0.50% on the principal balance of the mortgage loans

Aggregate Pool 8.353%

Group 1: 8.209%

Group 2: 8.446%

Weighted Average Margin

Aggregate Pool 6.226%

Group 1: 6.276%

Group 2: 6.197%

Weighted Average Original Term to Maturity

Aggregate Pool 359 months

Group 1: 358 months

Group 2: 360 months

Weighted Average Remaining Term to Maturity

Aggregate Pool 355 months

Group 1: 355 months

Group 2: 356 months

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degree of risk a borrower represents to a lender, i.e., that a borrower with a higher score is statistically expected to be less likely to default in payment than a

borrower with a lower score. In addition, it should be noted that credit scores were developed to indicate a level of default probability over a two-year period which does

not correspond to the life of a mortgage loan. Furthermore, credit scores were not developed specifically for use in connection with mortgage loans, but for consumer

loans in general. Therefore, a credit score does not take into consideration the effect of mortgage loan characteristics (which may differ from consumer loan

characteristics) on the probability of repayment by the borrower. There can be no assurance that a credit score will be an accurate predictor of the likely risk or quality of

the related mortgage loan.

Tabular Characteristics of the Mortgage Loans

Tabular Characteristics of the Mortgage Loans (Aggregate Pool)

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

The Stated Principal Balances of the Mortgage Loans range from approximately $29,945 to approximately $648,000. The Mortgage Loans have an average

Stated Principal Balance of approximately $196,533.

The weighted average Loan-to-Value Ratio at origination of the Mortgage Loans is approximately 81.24% and no Mortgage Loan had a Loan-to-Value Ratio at

origination exceeding 100%.

No more than approximately 0.41% of the Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.

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

Number of Mortgage Loans in Aggregate Pool 4,824Total Stated Principal Balance $948,076,340

Current Mortgage Rates:

Weighted Average 8.353%

Range 5.475% - 13.900%

Weighted Average Margin 6.226%

Weighted Average Remaining Term to Maturity (in months)355

Stated Principal Balance ($) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

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50,000 or less 345 $13,794,389.39 1.45% 10.842% 351 96.09% 638

50,001 - 100,000 1,060 79,626,933.73 8.40 9.554 352 84.64 620

100,001 - 150,000 912 113,274,360.78 11.95 8.699 354 80.27 611

150,001 - 200,000 588 102,788,159.62 10.84 8.447 356 78.36 604

200,001 - 250,000 505 112,938,232.61 11.91 8.241 356 79.94 607250,001 - 300,000 401 109,790,403.40 11.58 8.114 356 79.65 615

300,001 - 350,000 311 101,167,863.47 10.67 8.183 356 81.17 618

350,001 - 400,000 227 84,889,311.07 8.95 8.015 356 82.18 625

400,001 - 450,000 180 76,604,535.70 8.08 7.923 356 81.07 629

450,001 - 500,000 141 67,195,746.96 7.09 8.049 356 81.33 621

500,001 - 550,000 80 41,868,405.45 4.42 7.835 357 83.65 645

550,001 - 600,000 42 24,103,954.40 2.54 7.864 357 84.34 639

600,001 - 650,000 32 20,034,043.78 2.11 7.983 357 81.68 652

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in the Aggregate Pool is expected to be approximatel y $196,533.

Current Mortgage Rate (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

CurrentMortgage

Rate

Weighted

Average StatedRemaining

Term

WeightedAverage Orig

LTV

WeightedAverage

Credit Score

5.000 - 5.499 1 $323,940.42 0.03% 5.475% 349 80.00% 626

5.500 - 5.999 26 7,856,775.51 0.83 5.788 355 73.72 677

6.000 - 6.499 219 55,228,476.06 5.83 6.297 353 76.11 651

6.500 - 6.999 434 108,372,501.83 11.43 6.775 353 78.17 640

7.000 - 7.499 395 97,524,300.97 10.29 7.251 356 78.72 635

7.500 - 7.999 643 153,487,487.14 16.19 7.770 356 79.85 627

8.000 - 8.499 525 117,506,568.26 12.39 8.250 355 80.17 625

8.500 - 8.999 663 136,026,591.46 14.35 8.744 356 81.66 604

9.000 - 9.499 422 86,375,591.14 9.11 9.246 357 82.38 592

9.500 - 9.999 514 86,698,118.79 9.14 9.756 356 84.12 592

10.000 - 10.499 247 33,371,905.32 3.52 10.216 357 85.70 592

10.500 - 10.999 197 25,517,991.98 2.69 10.723 357 86.78 591

11.000 - 11.499 134 12,231,268.51 1.29 11.250 355 90.56 614

11.500 - 11.999 174 12,762,009.72 1.35 11.749 355 95.79 626

12.000 - 12.499 114 7,876,045.16 0.83 12.214 354 98.25 635

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12.500 - 12.999 91 5,486,066.28 0.58 12.711 356 99.82 632

13.000 - 13.499 18 996,922.13 0.11 13.092 356 100.00 634

13.500 - 13.999 7 433,779.68 0.05 13.774 356 100.00 634

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans in the Aggregate Pool is expected to be approximately 8.353%per annum.

Credit Score # of LoansCurrent Principal

BalancePct by Curr

Prin Bal

Weighted

Average

Current

MortgageRate

Weighted

Average Stated

RemainingTerm

Weighted

Average OrigLTV

Weighted

AverageCredit Score

500 - 524 360 $70,530,875.28 7.44% 9.295% 357 73.67% 512

525 - 549 346 67,106,739.51 7.08 8.814 356 75.55 537

550 - 574 445 90,997,263.82 9.60 8.850 356 79.35 562

575 - 599 514 101,758,672.96 10.73 8.414 356 80.06 587

600 - 624 784 147,887,155.31 15.60 8.026 355 82.30 612

625 - 649 1,074 191,670,552.95 20.22 8.396 355 84.08 636

650 - 674 590 119,858,624.77 12.64 7.986 355 83.16 661

675 - 699 372 82,712,703.21 8.72 7.933 355 82.29 686

700 - 724 174 39,774,526.68 4.20 7.904 356 83.40 710

725 - 749 93 19,254,231.07 2.03 8.016 353 84.11 735

750 - 774 41 9,772,590.52 1.03 7.984 357 84.27 760

775 - 799 24 5,382,476.93 0.57 8.069 353 83.25 784

800 - 824 7 1,369,927.35 0.14 7.873 357 84.86 803

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Original LTV (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

0.01 - 50.00 128 $18,445,305.47 1.95% 7.968% 353 40.74% 590

50.01 - 55.00 66 12,445,115.23 1.31 7.537 353 52.92 589

55.01 - 60.00 122 23,900,713.82 2.52 7.817 353 58.10 585

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60.01 - 65.00 160 32,205,217.29 3.40 7.994 355 63.40 580

65.01 - 70.00 214 45,099,593.63 4.76 7.926 354 68.73 589

70.01 - 75.00 285 61,298,448.38 6.47 8.271 355 73.89 580

75.01 - 80.00 1,544 348,900,607.70 36.80 7.970 356 79.80 637

80.01 - 85.00 516 116,050,359.96 12.24 8.409 356 84.32 590

85.01 - 90.00 688 159,157,010.91 16.79 8.586 356 89.71 618

90.01 - 95.00 323 78,350,495.88 8.26 8.447 356 94.74 641

95.01 - 100.00 778 52,223,472.09 5.51 11.194 355 99.95 657

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Original Term (months) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

120 2 $78,405.19 0.01% 7.745% 116 78.05% 683

180 30 3,048,555.63 0.32 7.849 177 74.11 626

240 31 3,530,779.89 0.37 7.038 237 72.82 640

300 4 709,765.34 0.07 7.694 297 78.92 698

360 4,757 940,708,834.31 99.22 8.360 357 81.29 619

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

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

Stated Remaining Term (months) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

61 - 120 2 $78,405.19 0.01% 7.745% 116 78.05% 683

121 - 180 30 3,048,555.63 0.32 7.849 177 74.11 626

181 - 240 31 3,530,779.89 0.37 7.038 237 72.82 640

241 - 300 4 709,765.34 0.07 7.694 297 78.92 698

301 - 360 4,757 940,708,834.31 99.22 8.360 357 81.29 619

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

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Debt Ratio (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

0.01 - 20.00 110 $17,012,583.33 1.79% 8.446% 355 79.64% 626

20.01 - 25.00 171 26,349,270.34 2.78 8.531 351 80.15 609

25.01 - 30.00 280 47,564,600.88 5.02 8.347 354 79.47 617

30.01 - 35.00 446 78,698,659.37 8.30 8.356 355 79.93 620

35.01 - 40.00 746 142,802,927.03 15.06 8.370 355 80.89 624

40.01 - 45.00 1,113 224,626,687.72 23.69 8.382 355 82.29 622

45.01 - 50.00 1,593 338,943,457.60 35.75 8.373 356 82.87 621

50.01 - 55.00 341 66,814,614.24 7.05 8.061 356 74.17 590

55.01 - 60.00 24 5,263,539.85 0.56 7.857 356 76.32 610

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

As of the Cut-off Date, the non-zero weighted average Debt Ratio in the Aggregate Pool is expected to be approximately 41.87%.

Fixed Rate/Adjustable Rate # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Adjustable Rate Mortgage 3,292 $754,119,153.56 79.54% 8.376% 357 80.79% 614

Fixed Rate Mortgage 1,532 193,957,186.80 20.46 8.263 351 82.98 639

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Product # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

2/28 ARM 954 $158,001,346.72 16.67% 8.714% 357 80.54% 603

2/28 ARM BALLOON 1,705 412,663,111.67 43.53 8.610 357 80.57 602

2/28 ARM IO 497 155,922,855.07 16.45 7.558 357 81.74 653

30/40 BALLOON 295 71,126,420.14 7.50 7.350 356 77.33 634

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3/27 ARM 54 11,549,746.58 1.22 6.943 350 83.30 626

3/27 ARM BALLOON 33 6,731,376.07 0.71 8.473 356 79.63 612

3/27 ARM IO 10 2,447,799.96 0.26 7.653 357 73.73 651

5/25 ARM 39 6,802,917.49 0.72 7.650 355 77.54 635

Fixed 1,237 122,830,766.66 12.96 8.791 348 86.25 641

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Interest Only # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Not Interest Only 4,317 $789,705,685.33 83.30% 8.512% 355 81.16% 612

Interest Only 507 158,370,655.03 16.70 7.560 357 81.62 653

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Original Interest Only Term (months) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

None 4,317 $789,705,685.33 83.30% 8.512% 355 81.16% 612

60 507 158,370,655.03 16.70 7.560 357 81.62 653

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Original Prepayment Penalty Term

(months) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

None 1,537 $302,328,790.54 31.89% 8.798% 356 82.49% 616

12 205 57,581,847.67 6.07 8.235 355 80.39 629

24 2,377 468,401,432.45 49.41 8.317 357 81.20 615

36 705 119,764,269.70 12.63 7.426 351 78.64 636

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

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As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term in the Aggregate Pool is expected to be approximately 25 months.

Lien # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

WeightedAverage

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

First Lien 4,042 $897,490,161.06 94.66% 8.187% 355 80.19% 617

Second Lien 782 50,586,179.30 5.34 11.305 355 99.76 655

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Documentation Type # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Full Documentation 2,959 $559,570,885.57 59.02% 8.009% 355 81.00% 605

Stated Documentation 1,793 373,675,728.85 39.41 8.871 355 81.55 638

Limited Documentation72 14,829,725.94 1.56 8.259 356 82.15 624

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Loan Purpose # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Cash Out Refinance 2,063 $452,255,430.36 47.70% 8.176% 355 78.17% 598

Purchase 2,291 400,734,859.98 42.27 8.659 356 84.60 644

Rate/Term Refinance 470 95,086,050.02 10.03 7.903 353 81.65 611

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Weighted

Average

Current

Weighted

Average Stated Weighted Weighted

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Property Type # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Mortgage

Rate

Remaining

Term

Average Orig

LTV

Average

Credit Score

Single Family 3,549 $677,772,021.94 71.49% 8.332% 355 80.84% 616

Planned Unit Development 659 136,091,439.78 14.35 8.287 355 81.82 620

Multi Family 273 75,512,748.19 7.96 8.428 356 83.00 634

Condo 343 58,700,130.45 6.19 8.655 356 82.23 630

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Occupancy Status # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Primary 4,289 $852,777,400.96 89.95% 8.261% 355 80.83% 615

Investment 318 61,837,109.05 6.52 9.233 357 85.30 645

Second / Vacation 217 33,461,830.35 3.53 9.064 356 84.07 656

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Credit Grade # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

AverageCurrent

Mortgage

Rate

WeightedAverage Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

AA 3,707 $718,454,446.48 75.78% 8.203% 355 82.70% 635

A+ 442 93,727,066.49 9.89 8.513 356 79.67 579

A- 300 61,873,529.37 6.53 8.842 357 78.78 566

B 188 38,141,559.09 4.02 9.037 357 74.85 554

C 166 32,353,425.68 3.41 9.242 357 67.28 547

C- 21 3,526,313.25 0.37 10.587 357 65.17 535

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

Geographic Distribution # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

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Alabama 38 $4 011 827 43 0 42% 9 302% 356 87 19% 591



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Alabama 38 $4,011,827.43 0.42% 9.302% 356 87.19% 591

Alaska 14 2,062,029.81 0.22 8.675 357 84.41 650

Arizona 196 37,163,458.57 3.92 8.377 356 81.30 611

Arkansas 32 2,446,637.64 0.26 8.663 356 85.24 629

California 1,059 287,635,834.97 30.34 8.103 356 80.09 633

Colorado 78 12,138,424.30 1.28 8.614 353 84.31 621

Connecticut 51 9,571,595.89 1.01 8.552 354 80.90 606

Delaware 5 793,368.65 0.08 8.858 357 81.09 578

District of Columbia 6 1,318,730.69 0.14 9.181 357 76.36 632

Florida 566 99,218,704.06 10.47 8.480 356 80.42 614

Georgia 127 19,691,787.21 2.08 8.912 357 84.98 617

Hawaii 65 17,559,717.61 1.85 7.750 357 76.47 640

Idaho 22 2,943,066.28 0.31 8.450 357 82.12 582

Illinois 167 30,991,152.16 3.27 8.239 355 82.40 620

Indiana 55 6,176,105.21 0.65 9.028 356 81.88 584

Iowa 16 1,613,931.11 0.17 9.517 356 84.85 567

Kansas 14 1,507,947.63 0.16 9.167 357 84.09 626

Kentucky 17 1,597,862.49 0.17 9.432 357 87.63 580

Louisiana 18 1,882,600.51 0.20 8.594 357 82.47 603

Maine 14 2,653,934.06 0.28 7.379 356 80.99 632

Maryland 152 34,005,541.28 3.59 8.500 356 81.68 596

Massachusetts 157 38,501,825.82 4.06 8.362 356 81.67 604Michigan 87 9,692,316.36 1.02 8.885 355 83.56 587

Minnesota 63 10,459,658.51 1.10 8.761 357 83.68 617

Mississippi 15 1,892,383.16 0.20 9.126 356 86.73 580

Missouri 54 6,597,353.07 0.70 9.292 356 81.74 577

Montana 9 1,821,856.90 0.19 8.634 357 78.95 621

Nebraska 10 884,171.76 0.09 8.606 357 84.27 612

Nevada 116 24,364,080.23 2.57 8.370 356 82.12 632

New Hampshire 17 2,826,769.62 0.30 8.322 357 83.36 595

New Jersey 179 45,173,996.08 4.76 8.546 357 81.27 614

New Mexico 28 4,750,510.44 0.50 8.352 356 83.46 619

New York 229 66,532,262.27 7.02 8.115 356 81.31 626

North Carolina 26 3,501,868.61 0.37 8.986 356 82.18 590

North Dakota 1 54,811.14 0.01 10.300 357 90.00 600

Ohio 91 8,143,630.52 0.86 9.166 355 86.24 603

Oklahoma 16 1,680,340.11 0.18 8.573 356 86.39 623

Oregon 93 14,731,302.31 1.55 8.387 355 81.20 622

Pennsylvania 117 14,786,832.01 1.56 8.599 352 82.14 599

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Rhode Island 19 3 953 448 15 0 42 9 019 356 82 84 605



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Rhode Island 19 3,953,448.15 0.42 9.019 356 82.84 605

South Carolina 31 5,524,147.38 0.58 8.885 356 82.36 571

South Dakota 2 213,827.96 0.02 8.388 357 80.00 597

Tennessee 51 5,200,242.38 0.55 8.576 357 82.64 620

Texas 374 42,593,555.43 4.49 8.022 346 80.90 620

Utah 41 7,005,398.78 0.74 8.641 357 84.00 608

Vermont 4 879,583.25 0.09 9.743 357 78.79 594

Virginia 92 17,680,966.70 1.86 8.668 355 80.43 596

Washington 119 22,386,591.95 2.36 8.620 357 83.88 604

West Virginia 3 540,395.78 0.06 10.493 355 74.98 548

Wisconsin 66 8,524,564.66 0.90 8.822 356 83.83 603

Wyoming 2 193,391.46 0.02 8.467 357 77.26 614

Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619

As of the Cut-off Date, no more than approximately 0.41% of the Mortgage Loans in the Aggregate Pool will be secured by Mortgaged Properties in any one postal zip code area.

Margin (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

4.500 - 4.999 1 $243,658.99 0.03% 11.750% 356 75.00% 502

5.000 - 5.499 11 2,136,941.74 0.28 7.801 352 83.14 603

5.500 - 5.999 621 150,687,765.05 19.98 8.072 356 81.20 618

6.000 - 6.499 2,202 508,442,940.70 67.42 8.302 357 81.79 622

6.500 - 6.999 278 56,262,271.97 7.46 9.231 357 78.20 570

7.000 - 7.499 155 32,737,392.06 4.34 9.336 357 68.61 549

7.500 - 7.999 22 3,255,911.58 0.43 9.666 357 72.28 544

8.000 - 8.499 2 352,271.47 0.05 8.418 355 80.00 692

Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614

As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 6.226%.

Minimum Rate (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

5.000 - 5.499 1 $323,940.42 0.04% 5.475% 349 80.00% 626

5.500 - 5.999 25 7,707,860.30 1.02 5.784 355 73.50 678

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6.000 - 6.499 61 20,164,417.42 2.67 6.294 355 78.76 646



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6.000 6.499 61 20,164,417.42 2.67 6.294 355 78.76 646

6.500 - 6.999 205 60,839,947.12 8.07 6.797 356 79.17 644

7.000 - 7.499 294 80,604,616.98 10.69 7.259 357 79.15 636

7.500 - 7.999 549 134,379,163.06 17.82 7.774 357 79.99 627

8.000 - 8.499 475 108,683,722.91 14.41 8.254 357 80.18 624

8.500 - 8.999 586 128,133,517.32 16.99 8.745 357 81.74 603

9.000 - 9.499 389 82,055,362.86 10.88 9.249 357 82.23 591

9.500 - 9.999 393 77,807,566.21 10.32 9.752 357 83.18 586

10.000 - 10.499 152 26,544,998.39 3.52 10.222 357 82.95 572

10.500 - 10.999 106 19,087,900.37 2.53 10.714 357 82.69 571

11.000 - 11.499 35 5,193,007.43 0.69 11.223 356 79.54 553

11.500 - 11.999 17 2,127,255.27 0.28 11.711 356 77.40 550

12.000 - 12.499 4 465,877.50 0.06 12.171 356 73.10 512

Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614

As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 8.376% per annum.

Maximum Rate (%) # of LoansCurrent Principal

BalancePct by Curr

Prin Bal

Weighted

Average

Current

MortgageRate

Weighted

Average Stated

RemainingTerm

Weighted

Average OrigLTV

Weighted

AverageCredit Score

11.500 - 11.999 1 $300,831.37 0.04% 5.875% 350 80.00% 628

12.000 - 12.499 2 444,640.42 0.06 5.719 351 81.20 658

12.500 - 12.999 25 7,694,266.14 1.02 5.812 355 73.49 680

13.000 - 13.499 62 20,521,922.01 2.72 6.320 355 78.70 644

13.500 - 13.999 207 61,200,297.59 8.12 6.809 356 79.27 644

14.000 - 14.499 296 80,688,075.48 10.70 7.265 357 79.15 636

14.500 - 14.999 547 133,935,227.93 17.76 7.775 357 79.95 62715.000 - 15.499 471 108,122,059.82 14.34 8.254 357 80.19 624

15.500 - 15.999 585 127,929,864.77 16.96 8.745 357 81.74 602

16.000 - 16.499 389 82,055,362.86 10.88 9.249 357 82.23 591

16.500 - 16.999 393 77,807,566.21 10.32 9.752 357 83.18 586

17.000 - 17.499 152 26,544,998.39 3.52 10.222 357 82.95 572

17.500 - 17.999 106 19,087,900.37 2.53 10.714 357 82.69 571

18.000 - 18.499 35 5,193,007.43 0.69 11.223 356 79.54 553

18.500 - 18.999 17 2,127,255.27 0.28 11.711 356 77.40 550

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19.000 - 19.499 4 465,877.50 0.06 12.171 356 73.10 512



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,

Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614

As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 15.373% per annum.

Initial Periodic Rate Cap (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

1.000 11 $2,333,227.40 0.31% 7.350% 356 81.40% 636

1.500 3,281 751,785,926.16 99.69 8.379 357 80.79 614

Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614

As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 1.498%.

Subsequent Periodic Rate Cap (%) # of LoansCurrent Principal

BalancePct by Curr

Prin Bal

Weighted

Average

Current

MortgageRate

Weighted

Average Stated

RemainingTerm

Weighted

Average OrigLTV

Weighted

AverageCredit Score

1.000 11 $2,333,227.40 0.31% 7.350% 356 81.40% 636

1.500 3,281 751,785,926.16 99.69 8.379 357 80.79 614

Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614

As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 1 .498%.

Months to Next Rate Adjustment # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

10 - 12 1 $67,384.03 0.01% 7.875% 348 80.00% 525

13 - 15 19 6,034,947.64 0.80 7.172 351 76.45 621

16 - 18 98 22,543,328.41 2.99 8.408 353 83.65 596

19 - 21 2,806 655,413,199.62 86.91 8.411 357 80.88 614

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22 - 24 234 43,300,581.33 5.74 8.495 358 79.18 608



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Tabular Characteristics of the Group 1 Mortgage Loans

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

The Stated Principal Balances of the Group 1 Mortgage Loans range from approximately $29,945 to approximately $642,634. The Group 1 Mortgage Loans have

an average Stated Principal Balance of approximately $173,127.

The weighted average Loan-to-Value Ratio at origination of the Group 1 Mortgage Loans is approximately 78.76% and no Group 1 Mortgage Loan had a Loan-

to-Value Ratio at origination exceeding 100%.

No more than approximately 0.65% of the Group 1 Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.

The following tables set forth certain information, as of the Cut-off Date, as to the Group 1 Mortgage Loans. Other than with respect to rates of interest,

percentages (approximate) are stated by Stated Principal Balance of the Group 1 Mortgage Loans as of the Cut-off Date and, due to rounding, may not total 100%.

25 - 27 38 8,320,901.96 1.10 6.569 349 83.12 632

28 - 30 10 1,949,527.90 0.26 7.999 352 79.68 599

31 - 33 47 9,686,365.18 1.28 8.306 357 78.40 619

49 - 51 7 1,212,264.48 0.16 7.577 351 83.40 609

52 - 54 4 460,051.62 0.06 7.287 353 77.72 638

55 - 57 28 5,130,601.39 0.68 7.700 357 76.14 641

Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614

As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 21 months.

Number of Group 1 Mortgage Loans 2,162

Total Stated Principal Balance $374,301,632



Range 5.550%- 12.950%


Weighted Average Remaining Term to Maturity (in months) 355

Weighted

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Current Principal

Balance

Pct by Curr

Prin Bal

Current

Mortgage

Rate

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

50,000 or less 115 $4,445,744.56 1.19% 10.644% 353 93.88% 632

50,001 - 100,000 494 38,429,408.59 10.27 8.797 352 78.60 604

100,001 - 150,000 522 64,837,023.28 17.32 8.376 354 77.65 600

150,001 - 200,000 298 51,740,689.96 13.82 8.306 355 76.52 591

200,001 - 250,000 259 57,766,715.39 15.43 8.119 355 78.33 595

250,001 - 300,000 171 46,711,739.69 12.48 7.963 355 77.61 600

300,001 - 350,000 144 46,883,085.86 12.53 8.025 354 79.31 610

350,001 - 400,000 108 40,527,309.84 10.83 7.911 356 82.61 619

400,001 - 450,000 32 13,279,098.23 3.55 7.466 356 79.66 616

450,001 - 500,000 10 4,772,103.21 1.27 7.649 356 73.78 615

500,001 - 550,000 5 2,571,504.28 0.69 7.528 356 85.90 628

550,001 - 600,000 3 1,694,575.04 0.45 9.057 357 85.80 636

600,001 - 650,000 1 642,634.25 0.17 9.975 357 89.78 718

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in Group 1 is expected to be approximately $173,127.


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

5.500 - 5.999 14 $3,466,923.79 0.93% 5.746% 355 76.85% 686

6.000 - 6.499 126 25,957,933.44 6.94 6.294 350 73.36 655

6.500 - 6.999 250 53,338,672.79 14.25 6.777 351 77.10 632

7.000 - 7.499 201 39,026,567.47 10.43 7.246 355 77.73 6247.500 - 7.999 303 57,143,038.15 15.27 7.771 356 77.79 609

8.000 - 8.499 228 41,557,404.32 11.10 8.247 354 78.67 604

8.500 - 8.999 317 54,651,434.49 14.60 8.742 355 80.18 584

9.000 - 9.499 202 34,313,771.07 9.17 9.247 356 80.75 570

9.500 - 9.999 227 35,279,409.79 9.43 9.754 357 79.56 566

10.000 - 10.499 102 12,840,638.83 3.43 10.224 357 82.65 570

10.500 - 10.999 70 8,060,540.84 2.15 10.709 357 82.69 567

11.000 - 11.499 44 3,723,436.75 0.99 11.305 354 82.91 570

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11.500 - 11.999 39 2,600,224.76 0.69 11.760 354 89.71 603



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12.000 - 12.499 22 1,391,686.50 0.37 12.157 356 90.39 586

12.500 - 12.999 17 949,949.19 0.25 12.702 356 100.00 631

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans in Group 1 i s expected to be approximately 8.209%per annum.

Credit Score # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

500 - 524 234 $41,916,142.37 11.20% 9.296% 357 73.74% 513

525 - 549 219 38,545,496.18 10.30 8.860 357 75.55 537

550 - 574 266 48,049,169.03 12.84 8.673 355 78.01 562

575 - 599 276 44,710,352.72 11.95 8.356 355 77.78 587

600 - 624 344 57,677,767.95 15.41 7.833 353 80.91 612

625 - 649 373 59,045,839.92 15.77 7.800 354 80.22 637

650 - 674 233 43,433,590.36 11.60 7.576 355 81.89 661

675 - 699 123 22,619,680.74 6.04 7.558 352 79.88 685

700 - 724 61 11,576,504.23 3.09 7.867 356 81.77 709

725 - 749 18 3,119,500.00 0.83 7.346 345 84.44 734750 - 774 7 1,978,866.00 0.53 6.938 357 76.80 760

775 - 799 5 1,310,771.51 0.35 6.368 343 74.43 788

800 - 824 3 317,951.17 0.08 9.131 357 84.71 804

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

0.01 - 50.00 86 $12,389,588.82 3.31% 8.060% 352 40.34% 596

50.01 - 55.00 34 5,505,600.85 1.47 7.709 349 53.21 588

55.01 - 60.00 86 14,989,888.26 4.00 7.801 352 57.82 588

60.01 - 65.00 105 20,060,387.20 5.36 7.927 355 63.27 586

65.01 - 70.00 144 27,996,063.61 7.48 7.791 354 68.61 595

70.01 - 75.00 183 35,497,401.10 9.48 8.279 355 73.84 578

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75.01 - 80.00 607 100,593,399.22 26.87 8.026 354 79.52 612

80 01 85 00 300 58 696 029 03 15 68 8 382 356 84 36 588



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80.01 - 85.00 300 58,696,029.03 15.68 8.382 356 84.36 588

85.01 - 90.00 333 63,061,599.92 16.85 8.446 355 89.66 611

90.01 - 95.00 128 26,706,165.36 7.13 8.095 355 94.58 641

95.01 - 100.00 156 8,805,508.81 2.35 10.726 356 99.85 656

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

180 19 $2,264,001.51 0.60% 7.572% 177 73.78% 628240 20 2,739,838.60 0.73 6.981 237 71.75 642

300 2 203,480.36 0.05 7.172 296 77.69 635

360 2,121 369,094,311.71 98.61 8.223 357 78.85 603

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

As of the Cut-off Date, the weighted average Original Term to Maturity of the Mortgage Loans in Group 1 is expected to be approximately 358 months.

Stated Remaining Term (month) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

121 - 180 19 $2,264,001.51 0.60% 7.572% 177 73.78% 628

181 - 240 20 2,739,838.60 0.73 6.981 237 71.75 642

241 - 300 2 203,480.36 0.05 7.172 296 77.69 635

301 - 360 2,121 369,094,311.71 98.61 8.223 357 78.85 603

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

11/6/2006file://E:\Log\38906.htm

20.01 - 25.00 88 $11,603,567.58 3.10% 8.222% 346 77.03% 598

25 01 30 00 148 22 537 079 99 6 02 8 084 352 75 42 608



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25.01 - 30.00 148 22,537,079.99 6.02 8.084 352 75.42 608

30.01 - 35.00 204 32,052,332.98 8.56 8.283 354 76.83 604

35.01 - 40.00 338 59,570,135.03 15.92 8.171 354 78.11 607

40.01 - 45.00 483 86,519,634.42 23.11 8.233 354 80.19 604

45.01 - 50.00 692 123,885,618.08 33.10 8.250 356 80.88 606

50.01 - 55.00 191 34,172,501.43 9.13 8.121 356 73.55 585

55.01 - 60.00 18 3,960,762.67 1.06 7.876 356 76.06 597

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

As of the Cut-off Date, the non-zero weighted average Debt Ratio in Group 1 is expected to be approximately 42.21%.


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score


Fixed Rate Mortgage 658 95,260,336.27 25.45 7.473 349 78.10 629

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Product # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

2/28 ARM 502 $71,712,435.93 19.16% 8.702% 357 78.92% 588

2/28 ARM BALLOON 812 166,325,857.93 44.44 8.600 357 78.72 584

2/28 ARM IO 111 27,634,826.38 7.38 7.396 357 80.98 669

30/40 BALLOON 196 41,619,695.38 11.12 7.309 356 76.16 622

3/27 ARM 35 6,674,276.72 1.78 7.123 351 81.85 610

3/27 ARM BALLOON 20 3,464,919.80 0.93 8.262 356 75.99 611

3/27 ARM IO 2 446,599.99 0.12 7.509 357 67.43 647

5/25 ARM 22 2,782,379.16 0.74 8.094 355 76.17 605

Fixed 462 53,640,640.89 14.33 7.600 343 79.60 634

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

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Interest Only # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score


Interest Only 113 28,081,426.37 7.50 7.398 357 80.76 668

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Original Interest Only Term (months) # of LoansCurrent Principal

BalancePct by Curr

Prin Bal

Weighted

Average

Current

MortgageRate

Weighted

Average Stated

RemainingTerm

Weighted

Average OrigLTV

Weighted

AverageCredit Score

None 2,049 $346,220,205.81 92.50% 8.275% 354 78.60% 598

60 113 28,081,426.37 7.50 7.398 357 80.76 668

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Original Prepayment Penalty Term

(months) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

AverageCurrent

Mortgage

Rate


Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

None 655 $117,838,785.45 31.48% 8.544% 355 79.89% 597

12 86 21,831,810.07 5.83 7.912 354 78.18 622

24 1,002 166,275,667.17 44.42 8.407 357 78.92 595

36 419 68,355,369.49 18.26 7.247 348 76.63 629

Total2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term in Group 1 is expected to be approximately 26 months.

Lien # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

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First Lien 2,002 $366,110,498.26 97.81% 8.144% 355 78.31% 602

Second Lien 160 8,191,133.92 2.19 11.156 356 98.88 649



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Second Lien 160 8,191,133.92 2.19 11.156 356 98.88 649

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Documentation Type # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Full Documentation 1,537 $259,149,307.89 69.24% 7.995% 355 79.16% 596

Stated Documentation 601 110,427,229.37 29.50 8.731 353 77.87 620

Limited Documentation 24 4,725,094.92 1.26 7.782 357 77.74 623

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Loan Purpose # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Cash Out Refinance 1,327 $259,434,546.81 69.31% 8.200% 355 77.14% 598

Rate/Term Refinance 342 60,387,957.64 16.13 8.008 352 81.69 608

Purchase 493 54,479,127.73 14.55 8.477 356 83.24 624

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Property Type # of LoansCurrent Principal

BalancePct by Curr

Prin Bal

Weighted

Average

Current

MortgageRate

Weighted

Average Stated

RemainingTerm

Weighted

Average OrigLTV

Weighted

AverageCredit Score

Single Family 1,683 $280,065,626.79 74.82% 8.207% 354 78.59% 601

Planned Unit Development 238 42,262,501.90 11.29 8.123 354 79.52 605

Multi family 115 31,642,648.66 8.45 8.199 355 79.24 616

Condo 126 20,330,854.83 5.43 8.440 356 78.80 606

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

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Weighted

Average Weighted



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Occupancy Status # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Current

Mortgage

Rate

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Primary 2,040 $351,852,358.69 94.00% 8.152% 354 78.61% 602

Investment 104 19,433,067.19 5.19 9.245 357 81.38 628

Second / Vacation 18 3,016,206.30 0.81 8.267 357 80.30 634

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Credit Grade # of LoansCurrent Principal

BalancePct by Curr

Prin Bal

Weighted

Average

Current

MortgageRate

Weighted

Average Stated

RemainingTerm

Weighted

Average OrigLTV

Weighted

AverageCredit Score

AA 1,506 $253,920,375.22 67.84% 7.931% 354 80.31% 623

A+ 253 48,205,910.69 12.88 8.402 356 78.22 573

A- 177 31,373,224.43 8.38 8.838 357 78.59 560

B 112 19,759,780.21 5.28 9.053 357 73.63 556

C 100 18,578,061.54 4.96 9.213 357 66.60 544

C- 14 2,464,280.09 0.66 10.864 357 64.97 538

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603

Geographic Distribution # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

Alabama 16 $1,449,612.96 0.39% 9.304% 356 86.60% 573

Alaska 9 1,293,823.05 0.35 8.925 357 86.48 639

Arizona 74 13,138,188.13 3.51 8.048 356 77.94 595

Arkansas 9 539,938.99 0.14 8.503 357 78.59 624

California 324 82,137,178.43 21.94 7.859 355 75.39 616

Colorado 37 4,681,643.36 1.25 8.421 347 85.86 625

Connecticut 28 4,854,468.83 1.30 8.539 351 78.88 603

Delaware 3 396,972.84 0.11 8.420 357 76.42 542

District of Columbia 4 709,333.75 0.19 8.548 357 72.56 638

Florida 245 38,880,290.04 10.39 8.224 355 76.93 599

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Georgia 60 7,843,433.38 2.10 8.841 356 84.28 596

Hawaii 32 8,384,033.32 2.24 7.750 357 71.17 610



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Idaho 12 1,569,570.66 0.42 8.461 357 83.01 575

Illinois 105 17,348,955.84 4.64 8.097 354 81.26 610

Indiana 38 3,831,068.07 1.02 8.832 356 81.44 597

Iowa 12 1,131,709.61 0.30 9.374 356 84.78 584

Kansas 9 954,742.74 0.26 8.615 357 81.77 633

Kentucky 13 1,183,798.41 0.32 9.314 357 87.61 582

Louisiana 10 977,998.38 0.26 8.760 357 83.96 599

Maine 9 1,564,285.01 0.42 7.258 356 82.05 622

Maryland 83 17,264,391.12 4.61 8.442 356 78.47 586

Massachusetts 91 21,711,497.48 5.80 8.166 356 80.86 600

Michigan 60 6,112,371.60 1.63 8.972 357 83.98 584

Minnesota 36 4,919,129.65 1.31 8.858 357 84.78 610Mississippi 8 816,407.22 0.22 8.912 357 85.90 594

Missouri 31 3,334,435.45 0.89 9.445 357 82.49 562

Montana 4 860,528.94 0.23 8.306 357 79.24 627

Nebraska 4 323,755.56 0.09 8.629 357 84.64 559

Nevada 33 6,337,966.61 1.69 8.270 355 78.74 608

New Hampshire 11 1,960,024.88 0.52 8.442 357 82.49 580

New Jersey 59 13,632,409.02 3.64 8.209 356 77.04 606

New Mexico 14 2,141,954.45 0.57 8.067 356 82.63 596

New York 87 24,358,307.69 6.51 7.712 356 77.87 610

North Carolina 12 1,265,253.85 0.34 9.402 355 81.71 554

North Dakota 1 54,811.14 0.01 10.300 357 90.00 600

Ohio 45 4,049,303.55 1.08 8.979 354 83.85 594

Oklahoma 8 841,553.70 0.22 8.517 355 86.12 622

Oregon 48 7,712,971.99 2.06 8.183 354 80.58 617

Pennsylvania 78 9,435,594.68 2.52 8.447 349 79.48 582

Rhode island 12 2,800,384.94 0.75 8.603 356 80.59 611

South Carolina 12 2,073,051.96 0.55 9.027 356 76.95 546

South Dakota 2 213,827.96 0.06 8.388 357 80.00 597

Tennessee 33 3,187,200.59 0.85 8.358 357 80.02 620

Texas 171 18,706,580.91 5.00 7.849 343 80.50 612

Utah 20 2,986,619.60 0.80 8.982 357 83.24 582

Vermont 3 704,248.21 0.19 9.940 357 76.01 590

Virginia 45 8,125,836.31 2.17 8.696 354 78.33 576

Washington 51 9,164,951.78 2.45 8.439 357 80.95 591

West Virginia 1 147,925.90 0.04 9.850 357 61.67 510

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Wisconsin 50 6,187,289.64 1.65 8.710 356 83.85 604

Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603



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o , 6 $37 ,30 ,63 8 00 00% 8 09% 355 78 76% 603

As of the Cut-off Date, no more than approximately 0.65% of the Mortgage Loans in Group 1 will be secured by Mortgaged Properties in any one postal zip code area.

Margin (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

5.000 - 5.499 5 $718,187.90 0.26% 7.435% 351 86.51% 610

5.500 - 5.999 263 48,206,812.58 17.28 8.138 356 80.00 601

6.000 - 6.499 971 181,300,281.26 64.97 8.334 357 80.48 603

6.500 - 6.999 152 27,133,017.08 9.72 9.163 357 76.25 565

7.000 - 7.499 100 19,948,371.17 7.15 9.399 357 67.50 547

7.500 - 7.999 13 1,734,625.92 0.62 9.388 357 67.87 541

Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595

As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 6.276%.

Minimum Rate (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

5.500 - 5.999 13 $3,318,008.58 1.19% 5.735% 355 76.49% 687

6.000 - 6.499 22 5,683,823.04 2.04 6.280 355 77.69 660

6.500 - 6.999 91 21,560,458.03 7.73 6.831 356 78.03 636

7.000 - 7.499 126 27,207,406.95 9.75 7.270 357 77.58 623

7.500 - 7.999 238 45,437,669.54 16.28 7.782 357 77.96 610

8.000 - 8.499 208 38,252,556.20 13.71 8.246 357 78.53 604

8.500 - 8.999 275 50,611,102.25 18.14 8.744 357 80.38 582

9.000 - 9.499 188 32,912,989.38 11.80 9.248 357 80.45 570

9.500 - 9.999 199 32,667,620.62 11.71 9.754 357 79.16 563

10.000 - 10.499 72 11,296,923.92 4.05 10.229 357 81.35 561

10.500 - 10.999 45 6,543,285.60 2.34 10.695 357 79.42 552

11.000 - 11.499 18 2,195,188.68 0.79 11.314 357 75.22 529

11.500 - 11.999 5 888,385.62 0.32 11.787 357 76.21 556

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12.000 - 12.499 4 465,877.50 0.17 12.171 356 73.10 512

Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595



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As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 8.461% per annum.

Maximum Rate (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

11.500 - 11.999 1 $300,831.37 0.11% 5.875% 350 80.00% 628

12.000 - 12.499 1 120,700.00 0.04 6.375 357 84.41 745

12.500 - 12.999 12 3,017,177.21 1.08 5.721 356 76.14 693

13.000 - 13.499 22 5,797,885.28 2.08 6.323 355 77.43 655

13.500 - 13.999 93 22,077,872.45 7.91 6.855 356 78.28 636

14.000 - 14.499 126 27,042,515.03 9.69 7.272 357 77.61 623

14.500 - 14.999 236 44,920,255.12 16.10 7.782 357 77.84 609

15.000 - 15.499 207 38,182,685.88 13.68 8.246 357 78.52 604

15.500 - 15.999 275 50,611,102.25 18.14 8.744 357 80.38 582

16.000 - 16.499 188 32,912,989.38 11.80 9.248 357 80.45 570

16.500 - 16.999 199 32,667,620.62 11.71 9.754 357 79.16 563

17.000 - 17.499 72 11,296,923.92 4.05 10.229 357 81.35 561

17.500 - 17.999 45 6,543,285.60 2.34 10.695 357 79.42 552

18.000 - 18.499 18 2,195,188.68 0.79 11.314 357 75.22 529

18.500 - 18.999 5 888,385.62 0.32 11.787 357 76.21 556

19.000 - 19.499 4 465,877.50 0.17 12.171 356 73.10 512

Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595

As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in Group 1 i s expected to be approximately 15.456% per annum.

Initial Periodic Rate Cap (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

1.000 6 $1,243,578.35 0.45% 7.173% 355 83.11% 628

1.500

11/6/2006file://E:\Log\38906.htm

1,498 277,797,717.56 99.55 8.467 357 78.97 595

Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595



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As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 1.498%.

Subsequent Periodic Rate Cap (%) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

1.000 6 $1,243,578.35 0.45% 7.173% 355 83.11% 628

1.500 1,498 277,797,717.56 99.55 8.467 357 78.97 595

Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595

As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 1.498%.

Months to Next Rate Adjustment # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

10 - 12 1 $67,384.03 0.02% 7.875% 348 80.00% 525

13 - 15 8 2,326,244.55 0.83 7.065 351 83.25 629

16 - 18 51 11,166,781.20 4.00 8.492 353 82.74 585

19 - 21 1,209 227,039,287.85 81.36 8.515 357 79.01 594

22 - 24 156 25,073,422.61 8.99 8.528 358 76.97 594

25 - 27 24 4,665,525.95 1.67 6.737 349 83.02 615

28 - 30 7 1,263,264.17 0.45 7.932 352 77.28 596

31 - 33 26 4,657,006.39 1.67 8.175 357 76.17 613

49 - 51 4 585,981.87 0.21 7.717 351 89.62 609

52 - 54 3 277,045.78 0.10 7.971 352 66.64 590

55 - 57 15 1,919,351.51 0.69 8.227 357 73.44 606

Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595

As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 21 months.

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Tabular Characteristics of the Group 2 Mortgage Loans



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

The Stated Principal Balances of the Group 2 Mortgage Loans range from approximately $29,947 to approximately $648,000. The Group 2 Mortgage Loans have

an average Stated Principal Balance of approximately $215,542.

The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 82.85% and no Group 2 Mortgage Loan had a Loan-

to-Value Ratio at origination exceeding 100%.

No more than approximately 0.53% of the Group 2 Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.

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

Number of Group 2 Mortgage Loans 2,662Total Stated Principal Balance $573,774,708



Range 5.475% - 13.900%


Weighted Average Remaining Term to Maturity (in months) 356


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

50,000 or less 230 $9,348,644.83 1.63% 10.936% 350 97.13% 641

50,001 - 100,000 566 41,197,525.14 7.18 10.260 353 90.27 634

100,001 - 150,000 390 48,437,337.50 8.44 9.132 355 83.76 627

150,001 - 200,000 290 51,047,469.66 8.90 8.590 357 80.22 618

200,001 - 250,000 246 55,171,517.22 9.62 8.369 357 81.64 621

250,001 - 300,000 230 63,078,663.71 10.99 8.226 357 81.16 626

300,001 - 350,000 167 54,284,777.61 9.46 8.320 356 82.79 625

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350,001 - 400,000 119 44,362,001.23 7.73 8.110 356 81.79 631

400,001 - 450,000 148 63,325,437.47 11.04 8.019 356 81.36 631

450 001 500 000 131 62 423 643 75 10 88 8 079 356 81 90 621



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450,001 - 500,000 131 62,423,643.75 10.88 8.079 356 81.90 621

500,001 - 550,000 75 39,296,901.17 6.85 7.856 357 83.50 646

550,001 - 600,000 39 22,409,379.36 3.91 7.773 356 84.23 639

600,001 - 650,000 31 19,391,409.53 3.38 7.917 357 81.41 650

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in Group 2 is expected to be approximately $215,542


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

CurrentMortgage

Rate

Weighted

Average StatedRemaining

Term

WeightedAverage Orig

LTV

WeightedAverage

Credit Score

5.000 - 5.499 1 $323,940.42 0.06% 5.475% 349 80.00% 626

5.500 - 5.999 12 4,389,851.72 0.77 5.820 355 71.24 671

6.000 - 6.499 93 29,270,542.62 5.10 6.300 355 78.55 647

6.500 - 6.999 184 55,033,829.04 9.59 6.772 354 79.21 647

7.000 - 7.499 194 58,497,733.50 10.20 7.254 356 79.38 642

7.500 - 7.999 340 96,344,448.99 16.79 7.769 356 81.07 637

8.000 - 8.499 297 75,949,163.94 13.24 8.251 356 80.99 636

8.500 - 8.999 346 81,375,156.97 14.18 8.744 356 82.66 617

9.000 - 9.499 220 52,061,820.07 9.07 9.245 357 83.45 606

9.500 - 9.999 287 51,418,709.00 8.96 9.757 356 87.24 610

10.000 - 10.499 145 20,531,266.49 3.58 10.210 356 87.61 606

10.500 - 10.999 127 17,457,451.14 3.04 10.730 357 88.66 602

11.000 - 11.499 90 8,507,831.76 1.48 11.226 356 93.91 633

11.500 - 11.999 135 10,161,784.96 1.77 11.746 355 97.35 632

12.000 - 12.499 92 6,484,358.66 1.13 12.226 353 99.93 645

12.500 - 12.999 74 4,536,117.09 0.79 12.713 356 99.79 633

13.000 - 13.499 18 996,922.13 0.17 13.092 356 100.00 634

13.500 - 13.999 7 433,779.68 0.08 13.774 356 100.00 634

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans in Group 2 i s expected to be approximately 8.446%per annum.

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C t P i i l P t b C

Weighted

Average

Current

M t

Weighted

Average Stated

R i i

Weighted

A O i

Weighted

A



59/266

Credit Score # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Mortgage

Rate

Remaining

Term

Average Orig

LTV

Average

Credit Score

500 - 524 126 $28,614,732.91 4.99% 9.294% 357 73.57% 511

525 - 549 127 28,561,243.33 4.98 8.751 356 75.55 537

550 - 574 179 42,948,094.79 7.49 9.049 357 80.84 561

575 - 599 238 57,048,320.24 9.94 8.460 356 81.85 588

600 - 624 440 90,209,387.36 15.72 8.150 356 83.19 612

625 - 649 701 132,624,713.03 23.11 8.661 356 85.80 636

650 - 674 357 76,425,034.41 13.32 8.220 356 83.89 660

675 - 699 249 60,093,022.47 10.47 8.074 356 83.20 686

700 - 724 113 28,198,022.45 4.91 7.920 356 84.06 711

725 - 749 75 16,134,731.07 2.81 8.145 355 84.05 735

750 - 774 34 7,793,724.52 1.36 8.250 357 86.17 760

775 - 799 19 4,071,705.42 0.71 8.616 357 86.09 783

800 - 824 4 1,051,976.18 0.18 7.493 357 84.90 803

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

AverageCurrent

Mortgage

Rate


Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

0.01 - 50.00 42 $6,055,716.65 1.06% 7.780% 353 41.57% 580

50.01 - 55.00 32 6,939,514.38 1.21 7.400 357 52.68 589

55.01 - 60.00 36 8,910,825.56 1.55 7.844 356 58.55 580

60.01 - 65.00 55 12,144,830.09 2.12 8.103 354 63.61 569

65.01 - 70.00 70 17,103,530.02 2.98 8.148 354 68.92 579

70.01 - 75.00 102 25,801,047.28 4.50 8.260 356 73.94 582

75.01 - 80.00 937 248,307,208.48 43.28 7.948 356 79.92 647

80.01 - 85.00 216 57,354,330.93 10.00 8.437 356 84.28 591

85.01 - 90.00 355 96,095,410.99 16.75 8.678 356 89.75 623

90.01 - 95.00 195 51,644,330.52 9.00 8.629 356 94.83 642

95.01 - 100.00 622 43,417,963.28 7.57 11.288 355 99.97 657

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

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Weighted

Average Weighted



60/266


Current Principal

Balance

Pct by Curr

Prin Bal

Current

Mortgage

Rate

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

120 2 $78,405.19 0.01% 7.745% 116 78.05% 683

180 11 784,554.12 0.14 8.649 177 75.08 620

240 11 790,941.29 0.14 7.236 237 76.53 631

300 2 506,284.98 0.09 7.904 297 79.41 724

360 2,636 571,614,522.60 99.62 8.448 357 82.87 629

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

As of the Cut-off Date, the weighted average Original Term to Maturity of the Mortgage Loans in Group 2 is expected to be approximately 360 months.

Stated Remaining Term (month) # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

61 - 120 2 $78,405.19 0.01% 7.745% 116 78.05% 683

121 - 180 11 784,554.12 0.14 8.649 177 75.08 620

181 - 240 11 790,941.29 0.14 7.236 237 76.53 631241 - 300 2 506,284.98 0.09 7.904 297 79.41 724

301 - 360 2,636 571,614,522.60 99.62 8.448 357 82.87 629

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

0.01 - 20.00 110 $17,012,583.33 2.97% 8.446% 355 79.64% 626

20.01 - 25.00 83 14,745,702.76 2.57 8.773 355 82.60 618

25.01 - 30.00 132 25,027,520.89 4.36 8.583 355 83.11 625

30.01 - 35.00 242 46,646,326.39 8.13 8.406 356 82.05 630

35.01 - 40.00 408 83,232,792.00 14.51 8.512 355 82.87 636

40.01 - 45.00 630 138,107,053.30 24.07 8.475 356 83.61 633

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45.01 - 50.00 901 215,057,839.52 37.48 8.445 356 84.02 629

50.01 - 55.00 150 32,642,112.81 5.69 7.999 356 74.82 595

55.01 - 60.00 6 1,302,777.18 0.23 7.799 357 77.09 650



61/266

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

As of the Cut-off Date, the non-zero weighted average Debt Ratio in Group 2 is expected to be approximately 41.65%.


Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score


Fixed Rate Mortgage 874 98,696,850.53 17.20 9.025 353 87.69 648

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

Product # of Loans

Current Principal

Balance

Pct by Curr

Prin Bal

Weighted

Average

Current

Mortgage

Rate

Weighted

Average Stated

Remaining

Term

Weighted

Average Orig

LTV

Weighted

Average

Credit Score

2/28 ARM 452 $86,288,910.79 15.04% 8.724% 357 81.89% 616

2/28 ARM BALLOON 893 246,337,253.74 42.93 8.617 357 81.82 614

2/28 ARM IO 386 128,288,028.69 22.36 7.593 357 81.91 649

30/40 BALLOON 99 29,506,724.76 5.14 7.407 356 78.97 651

3/27 ARM 19 4,875,469.86 0.85 6.697 349 85.28 647

3/27 ARM BALLOON 13 3,266,456.27 0.57 8.698 356 83.50 613

3/27 ARM IO 8 2,001,199.97 0.35 7.685 357 75.14 652

5/25 ARM 17 4,020,538.33 0.70 7.343 355 78.49 656Fixed 775 69,190,125.77 12.06 9.715 352 91.41 647

Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629

Current Principal Pct by Curr

Weighted

Average

Current

Mortgage

Weighted

Average Stated

Remaining

Weighted

Average Orig

Weighted

Average

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Interest Only # of Loans Balance Prin Bal Rate Term LTV Credit Score


Interest Only 394 130,289,228.66 22.71 7.595 357 81.80 649

JPMAC2006-NC2 Supplmental Prospectus for a securities trust of mortgage loans

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