Registration No. 333-118832-01 and
Registration No. 333-118832-10
(To Prospectus dated September 17, 2004)
SEQUOIA ALTERNATIVE LOAN TRUST
Mortgage Pass-Through Certificates, Series 2006-1
RWT Holdings, Inc., Sponsor and Seller
Sequoia Residential Funding, Inc., Depositor
Sequoia Alternative Loan Trust 2006-1, Issuing Entity
• | Four classes of senior certificates, including two classes of residual interest certificates; and | ||
• | Seven classes of subordinate certificates. The certificates represent ownership interests in a trust fund that consists primarily of a pool of one- to- four-family residential adjustable-rate first lien mortgage loans. The mortgage loans generally provide for a fixed interest rate during an initial period of five years from their origination and thereafter provide adjustments to the interest rate every twelve months, generally based on the one-year LIBOR index, as specified in the related mortgage note. The classes of certificates offered by this prospectus supplement are listed, together with their initial class principal amounts and interest rates, under “The Offered Certificates” on page S-1 of this prospectus supplement. This prospectus supplement and the accompanying prospectus relate only to the offering of certificates listed in the table on page S-1 and not to the other classes of certificates that will be issued by the trust fund as described in this prospectus supplement. Principal and interest on the offered certificates will be paid monthly. The first expected distribution date will be February 27, 2006. Credit enhancement for the offered certificates includes shifting-interest, subordination and loss allocation features. |
The date of this prospectus supplement is January 26, 2006
Prospectus Supplement and the Accompanying Prospectus:
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Page | ||||
THE OFFERED CERTIFICATES | S-1 | |||
SUMMARY OF TERMS | S-3 | |||
RISK FACTORS | S-13 | |||
DESCRIPTION OF THE MORTGAGE POOL | S-23 | |||
General | S-23 | |||
Interest Only Mortgage Loans | S-26 | |||
One-Year LIBOR | S-26 | |||
Mortgage Loan Statistical Information | S-27 | |||
Countrywide Underwriting Standards | S-27 | |||
STATIC POOL INFORMATION | S-34 | |||
ADDITIONAL INFORMATION | S-35 | |||
GLOSSARY | S-36 | |||
DESCRIPTION OF THE CERTIFICATES | S-37 | |||
General | S-37 | |||
Book-Entry Certificates | S-38 | |||
Payments on Mortgage Loans; Accounts | S-39 | |||
Priority of Distributions | S-39 | |||
Distributions of Interest | S-40 | |||
Distributions of Principal | S-40 | |||
Allocation of Losses | S-41 | |||
MATERIAL LEGAL PROCEEDINGS | S-42 | |||
THE SPONSOR | S-42 | |||
THE DEPOSITOR | S-42 | |||
AFFILIATIONS AND RELATED TRANSACTIONS | S-44 | |||
THE MASTER SERVICER AND THE SERVICER | S-44 | |||
Wells Fargo | S-44 | |||
Countrywide Home Loans Servicing LP | S-45 | |||
ADMINISTRATION OF THE TRUST FUND | S-49 | |||
Servicing and Administrative Responsibilities | S-49 | |||
Trust Accounts | S-52 | |||
Example of Distributions | S-53 | |||
THE AGREEMENTS | S-54 | |||
General | S-54 | |||
Assignment of the Mortgage Loans | S-54 | |||
Representations and Warranties | S-57 | |||
Servicing | S-59 | |||
Custody of the Mortgage Files | S-65 | |||
Optional Termination; Auction Sale | S-66 | |||
Certain Matters Under the Pooling and Servicing Agreement | S-67 | |||
Reports to Certificateholders | S-71 | |||
Voting Rights | S-73 | |||
The Trustee | S-73 | |||
The Trust Administrator | S-74 | |||
The Issuing Entity | S-74 | |||
Fees and Expenses of the Trust Fund | S-75 | |||
YIELD, PREPAYMENT AND WEIGHTED AVERAGE LIFE | S-76 | |||
Factors Affecting Prepayments on the Mortgage Loans | S-76 | |||
Modeling Assumptions | S-78 | |||
Weighted Average Life | S-80 | |||
Additional Yield Considerations Applicable Solely to the Class AR and Class AR-L Certificates | S-82 | |||
USE OF PROCEEDS | S-82 | |||
FEDERAL INCOME TAX CONSEQUENCES | S-82 | |||
Special Considerations with respect to the Class AR-L and Class AR Certificates | S-83 | |||
Tax Return Disclosure Requirements | S-84 | |||
ERISA MATTERS | S-84 | |||
METHOD OF DISTRIBUTION | S-87 | |||
LEGAL MATTERS | S-89 | |||
RATINGS | S-89 | |||
Glossary of Defined Terms | S-90 | |||
ANNEX A: Certain Characteristics of the Mortgage Loans | A-1 |
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Page | ||||
ANNEX B: Global, Clearance, Settlement and Tax Documentation Procedures | B-1 |
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Page | ||||
SUMMARY OF PROSPECTUS | 4 | |||
RISK FACTORS | 8 | |||
THE DEPOSITOR | 13 | |||
THE TRUST | 13 | |||
General | 13 | |||
The Loans | 15 | |||
Home Equity Loans | 17 | |||
Agency Securities | 19 | |||
Private Mortgage-backed Securities | 26 | |||
Substitution of Trust Assets | 28 | |||
USE OF PROCEEDS | 28 | |||
LOAN PROGRAM | 28 | |||
Underwriting Standards | 28 | |||
Qualifications of Sellers | 30 | |||
Quality Control | 30 | |||
Representations by Sellers; Repurchases | 30 | |||
DESCRIPTION OF THE SECURITIES | 31 | |||
General | 32 | |||
Distributions on Securities | 34 | |||
Advances | 36 | |||
Compensating Interest | 37 | |||
Reports to Securityholders | 38 | |||
Categories of Classes of Securities | 39 | |||
Book-Entry Registration of Securities | 42 | |||
CREDIT ENHANCEMENT | 46 | |||
General | 46 | |||
Subordination | 47 | |||
Insurance Policies, Surety Bonds and Guaranties | 49 | |||
Cross Support | 49 | |||
Reserve Accounts | 49 | |||
Pool Insurance Policies | 50 | |||
Over-Collateralization | 52 | |||
Letter of Credit | 52 | |||
Other Insurance, Guaranties, Letters of Credit and Similar Instruments or Agreements | 53 | |||
YIELD AND PREPAYMENT CONSIDERATIONS | 53 | |||
THE AGREEMENTS | 56 | |||
Assignment of the Trust Assets | 56 | |||
Payments on Loans; Deposits to Collection Account | 58 | |||
Pre-Funding Account | 60 | |||
Subservicing by Sellers | 61 | |||
Collection Procedures | 61 | |||
Hazard Insurance | 62 | |||
Primary Mortgage Insurance | 64 | |||
Claims Under Insurance Policies and Other Realization Upon Defaulted Loans | 65 | |||
Servicing and Other Compensation and Payment of Expenses | 66 | |||
Evidence as to Compliance | 66 | |||
Certain Matters Regarding the Servicer and the Depositor | 66 | |||
Events of Default; Rights Upon Event of Default | 68 | |||
Amendment | 71 | |||
Termination; Optional Termination | 71 | |||
The Trustee | 73 | |||
CERTAIN LEGAL ASPECTS OF THE LOANS | 73 | |||
General | 73 | |||
Foreclosure/Repossession | 74 | |||
Environmental Risks | 77 | |||
Rights of Redemption | 79 | |||
Anti-Deficiency Legislation; Bankruptcy Laws; Tax Liens | 79 | |||
Due-on-Sale Clauses | 80 | |||
Enforceability of Prepayment Charges and Late Payment Fees | 81 | |||
Applicability of Usury Laws | 81 | |||
Servicemembers Civil Relief Act | 82 | |||
Junior Mortgages; Rights of Senior Mortgagees | 82 | |||
Consumer Protection Laws | 84 |
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Page | ||||
FEDERAL INCOME TAX CONSEQUENCES | 84 | |||
Overview | 84 | |||
Non-REMIC Securities | 85 | |||
REMIC Securities | 91 | |||
Withholding with Respect to Certain Foreign Investors | 102 | |||
Backup Withholding | 103 | |||
STATE TAX CONSIDERATIONS | 104 | |||
ERISA CONSIDERATIONS | 104 | |||
LEGAL INVESTMENT | 111 | |||
METHOD OF DISTRIBUTION | 112 | |||
LEGAL MATTERS | 113 | |||
FINANCIAL INFORMATION | 113 | |||
AVAILABLE INFORMATION | 113 | |||
INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE | 114 | |||
RATING | 114 | |||
INDEX OF DEFINED TERMS | 116 |
S-vii
Initial Class | Initial | Interest | Initial | |||||||||||||||||||||||||
Principal | Interest | Rate | Certificate | |||||||||||||||||||||||||
Class | Amount(1) | Rate(2) | Formula | Principal Type | Interest Type | Ratings | ||||||||||||||||||||||
Moody’s | S&P | |||||||||||||||||||||||||||
A-1 | $ | 251,035,000 | 6.206% | (3) | Super Senior | Variable Rate | Aaa | AAA | ||||||||||||||||||||
A-2 | $ | 27,895,000 | 6.206% | (3) | Senior Support | Variable Rate | Aaa | AAA | ||||||||||||||||||||
AR | $ | 50 | 6.206% | (3) | Senior, Residual | Variable Rate | N/R(4) | AAA | ||||||||||||||||||||
AR-L | $ | 50 | 6.206% | (3) | Senior, Residual | Variable Rate | N/R(4) | AAA | ||||||||||||||||||||
B-1 | $ | 9,784,000 | 6.206% | (3) | Subordinate | Variable Rate | Aa3 | AA | ||||||||||||||||||||
B-2 | $ | 4,215,000 | 6.206% | (3) | Subordinate | Variable Rate | A3 | A | ||||||||||||||||||||
B-3 | $ | 2,559,000 | 6.206% | (3) | Subordinate | Variable Rate | Baa3 | BBB | ||||||||||||||||||||
B-4 | $ | 753,000 | 6.206% | (3) | Subordinate | Variable Rate | N/R(4) | BBB- |
(1) | These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement. | |
(2) | Reflects the interest rate as of the closing date. | |
(3) | An annual rate equal to the weighted average of the net mortgage rates of the mortgage loans during the applicable period, as described in this prospectus supplement. | |
(4) | The designation “N/R” means that the specified rating agency will not rate the certificates of that class. |
S-1
Minimum | ||||||||||||||||||||||||||||||||||||||||
Final Scheduled | Expected Final | Denomination or | ||||||||||||||||||||||||||||||||||||||
Record | Delay/Accrual | Interest Accrual | Distribution | Distribution | Percentage | Incremental | CUSIP | |||||||||||||||||||||||||||||||||
Class | Date(1) | Period(2) | Convention | Date(3) | Date(4) | Interest(5) | Denomination | Number | ||||||||||||||||||||||||||||||||
A-1 | CM | 24 day | 30/360 | February 25, 2036 | November 25, 2013 | $ | 25,000 | $ | 1 | 81744D | AA | 0 | ||||||||||||||||||||||||||||
A-2 | CM | 24 day | 30/360 | February 25, 2036 | November 25, 2013 | $ | 25,000 | $ | 1 | 81744D | AL | 6 | ||||||||||||||||||||||||||||
AR | CM | 24 day | 30/360 | February 25, 2036 | February 25, 2006 | 20 | % | N/A | 81744D | AB | 8 | |||||||||||||||||||||||||||||
AR-L | CM | 24 day | 30/360 | February 25, 2036 | February 25, 2006 | 20 | % | N/A | 81744D | AC | 6 | |||||||||||||||||||||||||||||
B-1 | CM | 24 day | 30/360 | February 25, 2036 | November 25, 2013 | $ | 25,000 | $ | 1 | 81744D | AD | 4 | ||||||||||||||||||||||||||||
B-2 | CM | 24 day | 30/360 | February 25, 2036 | November 25, 2013 | $ | 25,000 | $ | 1 | 81744D | AE | 2 | ||||||||||||||||||||||||||||
B-3 | CM | 24 day | 30/360 | February 25, 2036 | November 25, 2013 | $ | 25,000 | $ | 1 | 81744D | AF | 9 | ||||||||||||||||||||||||||||
B-4 | CM | 24 day | 30/360 | February 25, 2036 | November 25, 2013 | $ | 25,000 | $ | 1 | 81744D | AG | 7 |
(1) | CM = for any distribution date, the close of business on the last business day of the month immediately preceding the month in which such distribution date occurs. | |
(2) | 24 day = for any distribution date, the interest accrual period will be the calendar month preceding that distribution date. | |
(3) | Determined by adding one month to the month of scheduled maturity of the latest maturing mortgage loan. | |
(4) | The expected final distribution date of the offered certificates is based upon (a) the prepayment assumption and the modeling assumptions used in this prospectus supplement, each as described under “Yield, Prepayment and Weighted Average Life — Modeling Assumptions” and (b) the assumption that the mortgage loans and the other property of the trust fund are purchased on the first possible termination date, as described under “The Agreements — Optional Termination; Auction Sale.” The actual final distribution date for each class of offered certificates may be earlier or later, and could be substantially later, than the expected final distribution date listed above. | |
(5) | With respect to initial European investors only, the underwriter will only sell offered certificates in minimum total investment amounts of $100,000. |
S-2
• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the certificates, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While this summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the mortgage loans in the trust fund, that percentage has been calculated on the basis of the total stated principal balance of those mortgage loans as of January 1, 2006, unless we specify otherwise. We explain in this prospectus supplement under “Glossary of Terms” how the stated principal balance of a mortgage loan is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any mortgage loans, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
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S-4
• | if cumulative losses on the mortgage loans are higher than certain levels specified in this prospectus supplement; | ||
• | if the delinquency performance of the mortgage loans over any six- |
S-5
month period is worse than certain levels set forth in this prospectus supplement; | |||
• | if the “subordinate percentage,” which is equal to the ratio of (a) the total class principal amount of all classes of subordinate certificates to (b) the total principal balance of the mortgage loans in the trust fund is less than the percentage specified in this prospectus supplement; and | ||
• | if the “senior percentage,” which is equal to the ratio of (a) the total class principal amount of all classes of senior certificates to (b) the total principal balance of the mortgage loans in the trust fund is greater than the percentage specified in this prospectus supplement. |
• | first, to the Class AR, Class AR-L, Class A-1 and Class A-2 Certificates, pro rata, accrued and unpaid interest, as described under “Description of the Certificates — Distributions of Interest” in this prospectus supplement; and | ||
• | second, pro rata, to the Class AR and Class AR-L Certificates, principal, as described under “Description of the Certificates — Distributions of Principal” in this prospectus supplement; | ||
• | third, pro rata, to the Class A-1 and Class A-2 Certificates, principal, as described under “Description of the Certificates — Distributions of Principal” in this prospectus supplement; | ||
• | fourth, sequentially, to the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6 and Class B-7 Certificates, in that order, interest and then principal, if applicable, with both interest and principal being paid to one class before any payments are made to the next class; and | ||
• | fifth, to the Class AR-L or Class AR Certificates, as appropriate, the remainder (which is expected to be zero) of all available funds. |
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S-7
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S-9
Weighted | Total | |||||||||||
Range or Total | Average | Percentage | ||||||||||
Number of Mortgage Loans | 505 | — | 100.00 | % | ||||||||
Total Principal Balance | $301,057,342.04 | — | — | |||||||||
$274,370.00 to | ||||||||||||
Principal Balances | $1,592,125.10 | $ | 596,153.15 | — | ||||||||
Mortgage Rates | 4.750% to 8.250% | 6.457 | % | — | ||||||||
Original Terms to Maturity (in months) | 360 to 360 | 360 | — | |||||||||
Remaining Terms to Maturity (in months) | 351 to 360 | 358 | — | |||||||||
Original Loan-to Value Ratios | 38.31% to 95.00% | 76.20 | % | |||||||||
Number of One-Year LIBOR Mortgage Loans | 504 | 99.58 | % | |||||||||
Number of One-Year CMT Mortgage Loans | 1 | 0.42 | % | |||||||||
Number of Interest Only Mortgage Loans | 456 | — | 89.46 | % | ||||||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled Principal Balance: | ||||||||||||
• California | $158,975,871.05 | — | 52.81 | % | ||||||||
Maximum Single Zip Code Concentration | 90292 | — | 2.14 | % | ||||||||
Credit Scores | 620 to 815 | 694 | * | — | ||||||||
Number of Mortgage Loans with Prepayment Penalties at Origination | 125 | — | 25.31 | % | ||||||||
Gross Margins | 2.250% to 3.500% | 2.255 | % | — | ||||||||
Maximum Mortgage Rates | 9.750% to 13.250% | 11.459 | % | — | ||||||||
Minimum Mortgage Rates | 2.250% to 5.875% | 2.260 | % | — | ||||||||
Months to Next Mortgage Rate Adjustment | 51 to 60 | 58 | — | |||||||||
Initial Caps | 5.000% to 6.000% | 5.001 | % | — | ||||||||
Periodic Caps | 2.000% to 2.000% | 2.000 | % | — |
* | The weighted average is based only on the mortgage loans having credit scores. |
S-10
S-11
• | The ratings are not recommendations to buy, sell or hold the offered certificates. A rating may be changed or withdrawn at any time by the assigning rating agency. | ||
• | The ratings do not address the possibility that, as a result of principal prepayments, the yield on the offered certificates may be lower than anticipated. | ||
S-12
S-13
• | the amortization schedules of the mortgage loans; | ||
• | the rate of principal prepayments, including partial prepayments and full prepayments resulting from: |
• | refinancing by borrowers; | ||
• | liquidations of defaulted loans by the related servicer; | ||
• | repurchases of mortgage loans by the seller as a result of defective documentation or breaches of representations and warranties; and | ||
• | solicitations of borrowers by mortgage loan providers, including the originator, the servicer, the master servicer, any subservicer or their affiliates. |
• | if you are purchasing any offered certificate at a discount, your yield may be lower than expected if principal payments on the mortgage loans occur at a slower rate than you expected; | ||
• | if you are purchasing any offered certificate at a premium, your yield may be lower than expected if principal payments on the mortgage loans occur at a faster rate than you expected, and you could lose your initial investment; | ||
• | if the rate of default and the amount of losses on the 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 will have the effect of accelerating the rate of principal payments to holders of the classes of senior certificates relative to the classes of subordinate certificates. |
S-14
S-15
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S-18
S-19
• | if you buy a Class B-4 Certificate and losses on the mortgage loans exceed the total principal amount of the Class B-5, Class B-6 and Class B-7 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class B-4 Certificates by the amount of that excess; | ||
• | if you buy a Class B-3 Certificate and losses on the mortgage loans exceed the total principal amount of the Class B-4, Class B-5, Class B-6 and Class B-7 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount 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 amount of the Class B-3, Class B-4, Class B-5, Class B-6 and Class B-7 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class B-2 Certificates by the amount of that excess; | ||
• | if you buy a Class B-1 Certificate and losses on the mortgage loans exceed the total principal amount of the Class B-2, Class B-3, Class B-4, Class B-5, Class B-6 and Class B-7 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class B-1 Certificates by the amount of that excess; | ||
• | if you buy a Class A-2 Certificate, the principal amount of your class of certificates will be reduced (after the aggregate class principal amount of the subordinate certificates has been reduced to zero) by the principal portion of the realized losses allocable to the Class A-1 Certificates, in addition to the losses otherwise allocable to the Class A-2 Certificates. Because no realized losses will be allocated to the Class A-1 Certificates until the class principal amount of the Class A-2 Certificates has been reduced to zero, the Class A-2 Certificates will be more sensitive to the loss experience of the mortgage loans than other senior certificates; and | ||
• | after the total class principal amount of the subordinate certificates has been reduced to zero, losses on the mortgage loans will reduce the class principal amounts of the senior certificates, except as described above in the case of the Class A-1 and Class A-2 Certificates. |
S-20
• | Because the subordinate certificates receive interest and principal distributions after the related senior certificates receive such distributions, there is a greater likelihood that the subordinate certificates will not receive the distributions to which they are entitled on any distribution date. | ||
• | Except under the circumstances described in this prospectus supplement, the subordinate certificates are not entitled to a full proportionate share of principal prepayments on the mortgage loans for a substantial period of time after the closing date. | ||
• | If the servicer or the master servicer determines not to advance a delinquent payment on a mortgage loan because such amount is not recoverable from a borrower, there may be a shortfall in distributions on the certificates which will impact the related subordinate certificates. |
S-21
S-22
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S-24
Number of | Cut-off Date | Earliest | Latest Stated | Earliest Stated | ||||||||||||
Mortgage Loans | Principal Balance | Payment Date | Maturity Date | Maturity Date | ||||||||||||
505 | $ | 301,057,342.04 | May 2005 | January 2036 | April 2035 |
S-25
One-Year LIBOR | ||||||||||||||||||||||||||||
Month | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | |||||||||||||||||||||
January | 3.46000 | % | 1.47625 | % | 1.45000 | % | 2.49125 | % | 5.17375 | % | 6.75000 | % | 5.05813 | % | ||||||||||||||
February | 3.37810 | 1.36750 | 1.38125 | 2.43000 | 4.88375 | 6.76375 | 5.39375 | |||||||||||||||||||||
March | 3.84500 | 1.35125 | 1.28000 | 3.00250 | 4.66750 | 6.94375 | 5.25000 | |||||||||||||||||||||
April | 3.68625 | 1.83000 | 1.35750 | 2.63375 | 4.44125 | 7.10125 | 5.23000 | |||||||||||||||||||||
May | 3.78000 | 2.05750 | 1.21125 | 2.59125 | 4.24250 | 7.50125 | 5.55781 | |||||||||||||||||||||
June | 3.88000 | 2.46250 | 1.19000 | 2.28625 | 4.18375 | 7.18000 | 5.84000 | |||||||||||||||||||||
July | 4.16250 | 2.43375 | 1.26625 | 2.09000 | 3.82000 | 7.08000 | 5.89125 | |||||||||||||||||||||
August | 4.24000 | 2.30000 | 1.43000 | 1.89625 | 3.56375 | 6.97000 | 6.06000 | |||||||||||||||||||||
September | 4.44000 | 2.48250 | 1.30000 | 1.72500 | 2.64250 | 6.80125 | 6.03500 | |||||||||||||||||||||
October | 4.72000 | 2.54625 | 1.48000 | 1.63625 | 2.27188 | 6.73000 | 6.25000 | |||||||||||||||||||||
November | 4.79000 | 2.98000 | 1.56250 | 1.72750 | 2.38625 | 6.55500 | 6.28625 | |||||||||||||||||||||
December | 4.83875 | 3.23500 | 1.45688 | 1.44938 | 2.44250 | 6.00000 | 6.50000 |
S-26
• | in the case of a purchase, the lesser of the selling price of the mortgaged property or its appraised value at the time of sale or | ||
• | in the case of a refinance, the appraised value of the mortgaged property at the time of the refinance, except in the case of a mortgage loan underwritten pursuant to Countrywide Home Loans’ Streamlined Documentation program as described under “ — General” below. |
• | if the loan-to-value ratio at the time of the origination of the mortgage loan being refinanced was 80% or less and the loan amount of the new loan being originated is $650,000 or less, then the “Loan-to-Value Ratio” will be the ratio of the principal amount of the new mortgage loan being originated divided by the appraised value of the related mortgaged property at the time of the origination of |
S-27
the mortgage loan being refinanced, as reconfirmed by Countrywide Home Loans using an automated property valuation system; or | |||
• | if the loan-to-value ratio at the time of the origination of the mortgage loan being refinanced was greater than 80% or the loan amount of the new loan being originated is greater than $650,000, then the “Loan-to-Value Ratio” will be the ratio of the principal amount of the new mortgage loan being originated divided by the appraised value of the related mortgaged property as determined by an appraisal obtained by Countrywide Home Loans at the time of the origination of the new mortgage loan. See “ — General” below. |
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S-34
S-35
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S-38
• | first, to the Class AR, Class AR-L, Class A-1 and Class A-2 Certificates, pro rata, accrued and unpaid interest, as described under “ — Distributions of Interest” below; |
S-39
• | second, to the Class AR, Class AR-L, Class A-1 and Class A-2 Certificates, principal as described under “ — Distributions of Principal” below. | ||
• | third, sequentially, to the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6 and Class B-7 Certificates, in that order, interest and then principal, if applicable, with both interest and principal being paid to one class before any payments are made to the next class; and | ||
• | fourth, to the Class AR-L or Class AR Certificates, as appropriate, the remainder (which is expected to be zero) of all Available Funds. |
S-40
S-41
(A) | the greatest of: |
• | 1% of the aggregate Stated Principal Balance on such Distribution Date, | ||
• | twice the Stated Principal Balance of the largest mortgage loan, or | ||
• | the aggregate Stated Principal Balance of the mortgage loans secured by mortgaged properties located in the single California postal zip code area having the highest aggregate Stated Principal Balance of any such zip code area; and |
(B) | the Special Hazard Loss Coverage Amount as of the closing date less the amount, if any, of Special Hazard Losses allocated to the Subordinate Certificates since the closing date. |
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Consolidated Mortgage Loan Production | ||||||||||||||||||||||||
Ten | Nine | |||||||||||||||||||||||
Months | Months | |||||||||||||||||||||||
Year Ended | Ended | Years Ended | Ended | |||||||||||||||||||||
February 28, | December 31, | December 31, | September 30, | |||||||||||||||||||||
2001 | 2001 | 2002 | 2003 | 2004 | 2005 | |||||||||||||||||||
(Dollars in millions, except average loan amount) | ||||||||||||||||||||||||
Conventional Conforming Loans | ||||||||||||||||||||||||
Number of Loans | 240,608 | 504,975 | 999,448 | 1,517,743 | 846,395 | 591,059 | ||||||||||||||||||
Volume of Loans | $ | 34,434 | $ | 76,432 | $ | 150,110 | $ | 235,868 | $ | 138,845 | $ | 122,780 | ||||||||||||
Percent of Total Dollar Volume | 50.0 | % | 61.7 | % | 59.6 | % | 54.2 | % | 38.2 | % | 34.3 | % | ||||||||||||
Conventional Non-conforming Loans | ||||||||||||||||||||||||
Number of Loans | 86,600 | 137,593 | 277,626 | 554,571 | 509,711 | 612,768 | ||||||||||||||||||
Volume of Loans | $ | 11,394 | $ | 22,209 | $ | 61,627 | $ | 136,664 | $ | 140,580 | $ | 163,199 | ||||||||||||
Percent of Total Dollar Volume | 16.5 | % | 17.9 | % | 24.5 | % | 31.4 | % | 38.7 | % | 45.6 | % | ||||||||||||
FHA/VA Loans | ||||||||||||||||||||||||
Number of Loans | 118,673 | 118,734 | 157,626 | 196,063 | 105,562 | 60,545 | ||||||||||||||||||
Volume of Loans | $ | 13,075 | $ | 14,109 | $ | 19,093 | $ | 24,402 | $ | 13,247 | $ | 7,978 | ||||||||||||
Percent of Total Dollar Volume | 18.9 | % | 11.4 | % | 7.6 | % | 5.6 | % | 3.6 | % | 2.2 | % | ||||||||||||
Prime Home Equity Loans | ||||||||||||||||||||||||
Number of Loans | 119,045 | 164,503 | 316,049 | 453,817 | 587,046 | 511,253 | ||||||||||||||||||
Volume of Loans | $ | 4,660 | $ | 5,639 | $ | 11,650 | $ | 18,103 | $ | 30,893 | $ | 31,403 | ||||||||||||
Percent of Total Dollar Volume | 6.8 | % | 4.5 | % | 4.6 | % | 4.2 | % | 8.5 | % | 8.8 | % | ||||||||||||
Nonprime Mortgage Loans | ||||||||||||||||||||||||
Number of Loans | 51,706 | 43,359 | 63,195 | 124,205 | 250,030 | 202,768 | ||||||||||||||||||
Volume of Loans | $ | 5,360 | $ | 5,580 | $ | 9,421 | $ | 19,827 | $ | 39,441 | $ | 32,457 | ||||||||||||
Percent of Total Dollar Volume | 7.8 | % | 4.5 | % | 3.7 | % | 4.6 | % | 11.0 | % | 9.1 | % | ||||||||||||
Total Loans | ||||||||||||||||||||||||
Number of Loans | 616,632 | 969,164 | 1,813,944 | 2,846,399 | 2,298,744 | 1,978,393 | ||||||||||||||||||
Volume of Loans | $ | 68,923 | $ | 123,969 | $ | 251,901 | $ | 434,864 | $ | 363,006 | $ | 357,817 | ||||||||||||
Average Loan Amount | $ | 112,000 | $ | 128,000 | $ | 139,000 | $ | 153,000 | $ | 158,000 | $ | 181,000 | ||||||||||||
Non-Purchase Transactions(1) | 33 | % | 63 | % | 66 | % | 72 | % | 51 | % | 52 | % | ||||||||||||
Adjustable-Rate Loans(1) | 14 | % | 12 | % | 14 | % | 21 | % | 52 | % | 53 | % |
(1) | Percentage of total loan production based on dollar volume. |
(a) | collecting, aggregating and remitting mortgage loan payments; | ||
(b) | accounting for principal and interest; | ||
(c) | holding escrow (impound) funds for payment of taxes and insurance; | ||
(d) | making inspections as required of the mortgaged properties; | ||
(e) | preparation of tax related information in connection with the mortgage loans; | ||
(f) | supervision of delinquent mortgage loans; | ||
(g) | loss mitigation efforts; |
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(h) | foreclosure proceedings and, if applicable, the disposition of mortgaged properties; and | ||
(i) | generally administering the mortgage loans, for which it receives servicing fees. |
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At | At | |||||||||||||||||||||||
February 28, | At December 31, | September 30, | ||||||||||||||||||||||
2001 | 2001 | 2002 | 2003 | 2004 | 2005 | |||||||||||||||||||
(Dollar Amounts in Thousands, Except Losses on Liquidated Mortgage Loans) | ||||||||||||||||||||||||
Volume of Loans(1) | $ | 21,250,550 | $ | 25,658,250 | $ | 33,455,108 | $ | 47,663,628 | $ | 76,170,541 | $ | 129,221,061 | ||||||||||||
Delinquent Mortgage Loans and Pending Foreclosures at Period End: | ||||||||||||||||||||||||
30 — 59 days | 1.61 | % | 1.89 | % | 2.11 | % | 1.80 | % | 1.51 | % | 1.54 | % | ||||||||||||
60 — 89 days | 0.28 | % | 0.39 | % | 0.53 | % | 0.43 | % | 0.28 | % | 0.26 | % | ||||||||||||
90 days or more (excluding pending foreclosures) | 0.14 | % | 0.23 | % | 0.35 | % | 0.31 | % | 0.26 | % | 0.21 | % | ||||||||||||
Total of delinquencies | 2.03 | % | 2.50 | % | 2.99 | % | 2.53 | % | 2.05 | % | 2.01 | % | ||||||||||||
Foreclosure pending | 0.27 | % | 0.31 | % | 0.31 | % | 0.31 | % | 0.20 | % | 0.17 | % | ||||||||||||
Total delinquencies and | ||||||||||||||||||||||||
Foreclosures pending | 2.30 | % | 2.82 | % | 3.31 | % | 2.84 | % | 2.25 | % | 2.18 | % | ||||||||||||
Net Gains/(Losses) on liquidated loans (2) | $ | (2,988,604 | ) | $ | (5,677,141 | ) | $ | (10,788,657 | ) | $ | (16,159,208 | ) | $ | (24,758,566 | ) | $ | (5,165,253 | ) |
(1) | “Volume of loans” reflects both performing and delinquent mortgage loans in the servicing portfolio on the dates indicated. | |
(2) | “Net Gains/(Losses) on liquidated loans” reflect the losses accumulated during (i) the year ended on February 28, 2001, (ii) the 10-month period ending on December 31, 2001, (iii) the years ended on December 31, 2002, December 31, 2003, and December 31, 2004 and (iv) the 9-month period ended on September 30, 2005, respectively. |
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Party: | Responsibilities: | |||||
Servicer | Performing the servicing functions with respect to the mortgage loans and the mortgaged properties in accordance with the provisions of the servicing agreements, including, but not limited to: | |||||
• | collecting monthly remittances of principal and interest on the mortgage loans from the related borrowers, depositing such amounts in the custodial account, and delivering all amounts on deposit in the custodial account to the trust administrator for deposit in the certificate distribution account on the servicer remittance date; | |||||
• | collecting amounts in respect of taxes and insurance from the related borrowers, depositing such amounts in the related escrow account, and paying such amounts to the related taxing authorities and insurance providers, as applicable; | |||||
• | making advances with respect to delinquent payments of principal and interest on the mortgage loans, to the extent the servicer believes such advances will be recoverable; | |||||
• | paying, as servicing advances, customary costs and expenses incurred in the performance by the servicer of its servicing obligations, including, but not limited to, the cost of (a) the preservation, restoration and protection of the mortgaged property, (b) taxes, assessments and other charges which are or may become a lien upon the mortgaged property or (c) borrower-paid primary mortgage insurance policy premiums and fire and hazard insurance coverage, to the extent not paid by the borrower; | |||||
• | providing monthly loan-level reports to the master servicer and the trust administrator; | |||||
• | maintaining certain insurance policies relating to the mortgage loans; and | |||||
• | initiating and enforcing foreclosure proceedings. | |||||
See “The Agreements — Servicing” in this prospectus supplement. | ||||||
Master Servicer | Performing the master servicing functions in accordance with the provisions of the pooling and servicing agreement and the servicing agreements, including but not limited to: | |||||
• | monitoring the servicer’s performance and enforcing the servicer’s obligations under the servicing agreements;provided, however,that the master servicer will not be responsible for the supervision of the activities of the servicer related to resolution of defaulted mortgage |
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Party: | Responsibilities: | |||||
loans, including collections, modifications, foreclosure and disposition or management of REO property. | ||||||
• | gathering the monthly loan-level reports delivered by the servicer and providing a comprehensive loan-level report to the trust administrator with respect to the mortgage loans; | |||||
• | terminating the rights and obligations of the servicer, if in the master servicer’s judgment it determines that the servicer should be terminated in accordance with the servicing agreements, giving notice thereof to the trustee and the rating agencies and taking such other action as it deems appropriate; | |||||
• | upon the termination of the servicer, appointing a successor servicer or servicing the related mortgage loans itself, as provided in the pooling and servicing agreement; and | |||||
• | upon the failure of the servicer to make advances with respect to a mortgage loan, making those monthly advances, to the extent provided in the pooling and servicing agreement. | |||||
See “The Agreements — Servicing” in this prospectus supplement. | ||||||
Trustee | Performing the trust administration functions in accordance with the provisions of the pooling and servicing agreement, including but not limited to: | |||||
• | after an event of default has occurred of which a responsible officer of the trustee has actual knowledge, giving written notice thereof to the master servicer and the rating agencies; | |||||
• | after an event of default has occurred of which a responsible officer of the trustee has actual knowledge, until a successor master servicer is appointed, acting as successor master servicer in the event the master servicer resigns or is removed by the trustee. | |||||
See “The Agreements — Certain Matters Under the Pooling and Servicing Agreement” in this prospectus supplement. | ||||||
Trust Administrator | Performing certain administrative functions with respect to the certificates, in accordance with the provisions of the pooling and servicing agreement, including but not limited to: | |||||
• | acting as authentication agent, calculation agent, paying agent and certificate registrar with respect to the certificates; | |||||
• | collecting monthly remittances from the master servicer and the servicer for deposit in the certificate distribution account and distributing all amounts on deposit in the certificate distribution account to the certificateholders, in accordance with the priorities |
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Party: | Responsibilities: | |||||
described under “Descriptions of the Certificates — Priority of Distributions” on each Distribution Date; | ||||||
• | preparing and distributing to certificateholders the monthly Distribution Date statement based on mortgage loan data provided by the servicer and the master servicer; | |||||
• | preparing and distributing annual investor reports necessary to enable certificateholders to prepare their tax returns; and | |||||
• | preparing and filing annual federal and (if required) state tax returns on behalf of the trust fund. | |||||
See “The Agreements — Certain Matters Under the Pooling and Servicing Agreement” in this prospectus supplement. | ||||||
Depositor | • | preparing and filing periodic reports with the SEC on behalf of the trust fund with respect to the certificates. | ||||
Custodians | Performing the custodial functions in accordance with the provisions of the related custodial agreement, including but not limited to: | |||||
• | holding and maintaining the mortgage loan documents related to the applicable mortgage loans in a fire-resistant facility intended for the safekeeping of such mortgage loan files on behalf of the trustee. | |||||
See “The Agreements — Custody of the Mortgage Files” in this prospectus supplement. |
Trust Account: | Responsible Party: | Application of any Investment Earnings: | ||
Custodial Account | Servicer | Any income earned will be paid as compensation to the servicer, as set forth under “The Agreements — Fees and Expenses of the Trust Fund,” and will not be available for distribution to certificateholders. | ||
Certificate Distribution | Master Servicer | Any investment earnings will be paid as compensation to the master servicer, as set |
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Trust Account: | Responsible Party: | Application of any Investment Earnings: | ||
Account | forth under “The Agreements — Fees and Expenses of the Trust Fund,” and will not be available for distribution to certificateholders. |
January 2 through | ||||
February 1 | Due Period: | Payments due during the related Due Period (January 2 through February 1) from borrowers will be deposited in the servicer’s custodial account as received and will include scheduled principal payments due during the related Due Period and interest accrued on the ending scheduled balance from the prior Due Period. | ||
January 1 through | ||||
January 31 | Prepayment Period for partial and full prepayments received from borrowers | Partial principal prepayments received by the servicer and principal prepayments in full received by the servicer during the related Prepayment Period (January 1 through January 31) will be deposited into the servicer’s custodial account for remittance to the trust administrator on the servicer remittance date. | ||
January 31 | Record Date: | Distributions will be made to certificateholders of record for each class of certificates as of the close of business on the last business day of the month immediately before the month of the related Distribution Date. | ||
February 21 | Servicer Remittance Date: | The servicer will remit collections and recoveries in respect of the mortgage loans to the trust administrator for deposit into the certificate distribution account on or prior to the 18th day of each month, or if the 18th day is not a business day, on the next succeeding business day, as specified in |
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the applicable servicing agreement. | ||||
February 27 | Distribution Date: | On the 25th day of each month (or if the 25th day is not a business day, the next business day), the trust administrator will make distributions to certificateholders from amounts on deposit in the certificate distribution account. |
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• | have an outstanding principal balance, after deduction of all scheduled payments due in the month of substitution, not in excess (and not less than 90%) of the Stated Principal Balance of the deleted mortgage loan (the amount of any shortfall to be deposited in the certificate distribution account by the seller not later than the succeeding determination date and held for distribution to the certificateholders on the related Distribution Date); |
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• | have a maximum mortgage rate not less than (and not more than two percentage points greater than) the maximum mortgage rate of the deleted mortgage loan; | ||
• | have a gross margin not less than that of the deleted mortgage loan and, if mortgage loans equal to 1% or more of the Cut-off Date Principal Balance have become deleted mortgage loans, not more than two percentage points more than that of the deleted mortgage loan; | ||
• | have an LTV ratio not higher than that of the deleted mortgage loan; | ||
• | have a remaining term to maturity not greater than (and not more than one year less than) that of the mortgage loan; | ||
• | not permit conversion of the related mortgage rate to a permanent fixed mortgage rate; | ||
• | have the same or higher credit score; | ||
• | have an initial interest adjustment date no earlier than five months before (and no later than five months after) the initial interest adjustment date of the mortgage loan; | ||
• | be a “qualified replacement mortgage” within the meaning of Section 860G(a)(4) of the Code; and | ||
• | comply with all of the representations and warranties set forth in the mortgage loan purchase and sale agreement. |
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• | The information set forth in the mortgage loan schedule is true and correct in all material respects and the information provided to the rating agencies, including the loan level detail, is true and correct according to the rating agency requirements; | ||
• | Immediately prior to the sale of the mortgage loans pursuant to the mortgage loan purchase and sale agreement, the seller was the sole owner and holder of the mortgage loan. The mortgage loan is not assigned or pledged, and the seller has good and marketable title thereto, and has full right to transfer and sell the mortgage loan to the depositor free and clear of any encumbrance, equity, lien, pledge, charge, claim or security interest not specifically set forth in the related mortgage loan schedule and has full right and authority subject to no interest or participation of, or agreement with, any other party, to sell and assign each mortgage loan pursuant to the terms of the mortgage loan purchase agreement; | ||
• | The mortgage is a valid, existing and enforceable first lien on the mortgaged property, including all improvements on the mortgaged property, subject only to (i) the lien of current real property taxes and assessments not yet due and payable; (ii) covenants, conditions and restrictions, rights of way, easements and other matters of public record as of the date of recording that are acceptable to mortgage lending institutions generally and specifically referred to in lender’s title insurance policy delivered to the originator of the mortgage loan and that do not adversely affect the appraised value (as evidenced by an appraisal referred to in such definition) of the mortgaged property; and (iii) other matters to which like properties are commonly subject that do not materially interfere with the benefits of the security intended to be provided by the mortgage or the use, enjoyment, value or marketability of the related mortgaged property; | ||
• | As of the closing date, there is no default, breach, violation or event of acceleration existing under the mortgage or the mortgage note and no event which, with the passage of time or with notice and the expiration of any grace or cure period, would constitute a default, breach, violation or event permitting acceleration, and the seller and its affiliates have not waived any default, breach, violation or event permitting acceleration; |
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• | No fraud, error, omission, misrepresentation, negligence or similar occurrence with respect to the mortgage loan has taken place on the part of the seller or any originator or servicer or the mortgagor or on the part of any other party involved in the origination of the mortgage loan; | ||
• | Each mortgage loan secured by a first priority mortgage is covered by an ALTA lender’s title insurance policy acceptable to an Agency, issued by a title insurer acceptable to an Agency and qualified to do business in the jurisdiction where the mortgaged property is located; | ||
• | All payments due on each mortgage loan have been made and no mortgage loan was delinquent months (i.e., was more than 30 days past due) more than once in the preceding 12 months and any such delinquency did not exceed one payment; | ||
• | There are no delinquent assessments or taxes outstanding against any mortgaged property; | ||
• | There is no offset, defense or counterclaim to any mortgage note, except as stated in the mortgage loan sale agreement; | ||
• | Each mortgaged property is free of material damage and in good repair; | ||
• | Each mortgage loan at the time of origination complied in all material respects with applicable state and federal laws including truth in lending, real estate settlement procedures, consumer credit protection, equal credit opportunity and disclosure laws applicable to the mortgage loan; | ||
• | Each mortgage loan with a loan-to-value ratio at origination in excess of 80% is and will be subject to a primary mortgage insurance policy, which provides coverage in an amount at least equal to that which would be required by Fannie Mae. All provisions of such mortgage insurance policy have been and are being complied with, such policy is in full force and effect, and all premiums due thereunder have been paid; | ||
• | All hazard insurance or other insurance required under the mortgage loan sale agreement has been validly issued and remains in full force and effect; | ||
• | The mortgage note and the related mortgage are genuine and each is the legal, valid and binding obligation of the maker thereof, enforceable in accordance with its terms, except as the enforceability thereof may be limited by bankruptcy, insolvency, reorganization or similar laws; | ||
• | Each mortgage loan is a “qualified mortgage” within Section 860G(a)(3) of the Code; | ||
• | The seller has not used selection procedures that identified the mortgage loans as being less desirable or valuable than other comparable mortgage loans in the seller’s portfolio at the cut-off date; |
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• | None of the mortgage loans are high-cost as defined by the applicable local, state, and federal predatory and abusive lending laws; and | ||
• | Each mortgage loan at the time it was made complied in all material respects with applicable local, state, and federal predatory and abusive lending laws. |
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• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the servicer that are backed by the same types of assets as those backing the offered securities, as well as similar reports on assessment of compliance received from certain other parties participating in the servicing function as required by relevant SEC regulations; |
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• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | ||
• | a statement of compliance from the servicer, and similar statements from certain other parties involved in servicing the mortgage loans as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the servicer’s activities during the reporting period and of its performance under the applicable servicing agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the servicer has fulfilled all of its obligations under the servicing agreement in all materials respects throughout the reporting period or, if there has been a failure to fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
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• | After receipt of notice from the trustee, any failure of the master servicer to make any monthly advances when such monthly advances are due, which failure continues unremedied for a period of one business day; or | ||
• | Any failure by the master servicer to furnish the trust administrator the mortgage loan data sufficient to prepare the monthly statements to certificateholders which failure continues unremedied for a period of one business day after the giving of written notice of such failure by the trustee, the trust administrator or certificateholders evidencing not less than 25% of the Class Principal Amount of each class of certificates affected thereby; or | ||
• | Any failure on the part of the master servicer duly to observe or perform in any material respect any other of the covenants or agreements on the part of the master servicer contained in the pooling and servicing agreement, which failure continues unremedied for a period of 30 days after the giving of written notice of such failure by the trustee, the trust administrator, or by certificateholders evidencing more than 50% of the aggregate voting rights of the certificates; or | ||
• | Any impermissible dissolution, disposition of all or substantially all assets, or consolidation or merger on the part of the master servicer that does not meet the criteria specified in the pooling and servicing agreement; or | ||
• | Any breach of a representation or warranty set forth in the pooling and servicing agreement that materially and adversely affects the interests of the certificateholders, which breach continues 30 days after the giving of written notice by the trustee, the trust administrator or certificateholders evidencing more than 50% of the aggregate voting rights of the certificates; or | ||
• | Any sale, pledge or assignment of the rights, or any delegation of the duties of, the master servicer under the pooling and servicing agreement, in any manner not |
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permitted thereunder and without the prior written consent of the trustee and certificateholders evidencing more than 50% of the aggregate voting rights of the certificates; or | |||
• | Certain events in insolvency, readjustment of debt, marshalling of assets and liabilities or similar proceedings and certain actions by the master servicer indicating its insolvency, reorganization or inability to pay its obligations. |
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• | the amount of the distributions, separately identified, with respect to each class of certificates; |
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• | the amount of the distributions set forth in the first clause above allocable to principal, separately identifying the aggregate amount of any principal prepayments or other unscheduled recoveries of principal included in that amount; | ||
• | the amount of the distributions set forth in the first clause above allocable to interest and how it was calculated; | ||
• | the amount of any unpaid Net Interest Shortfall and the related accrued interest thereon, with respect to each class of certificates; | ||
• | the Class Principal Amount of each class of certificates after giving effect to the distribution of principal on that Distribution Date; | ||
• | the aggregate Stated Principal Balance of the mortgage loans, and the weighted average of the net mortgage rates of the mortgage loans at the end of the related Prepayment Period; | ||
• | the Stated Principal Balance of the mortgage loans whose mortgage rates adjust on the basis of the One-Year LIBOR index and any other the applicable index at the end of the related Prepayment Period; | ||
• | the Senior Percentage and the Subordinate Percentage for the following Distribution Date; | ||
• | the Senior Prepayment Percentage and Subordinate Prepayment Percentage for the following Distribution Date; | ||
• | the amount of the master servicing fee and the servicing fee paid to or retained by the master servicer and by the servicer, respectively; | ||
• | the amount of monthly advances for the related Due Period; | ||
• | the number and aggregate principal balance of the mortgage loans that were (A) delinquent (exclusive of mortgage loans in foreclosure) (1) 30 to 59 days, (2) 60 to 89 days and (3) 90 or more days, (B) in foreclosure and delinquent (1) 30 to 59 days, (2) 60 to 89 days and (3) 90 or more days and (C) in bankruptcy as of the close of business on the last day of the calendar month preceding that Distribution Date; | ||
• | for any mortgage loan as to which the related mortgaged property was an REO property during the preceding calendar month, the loan number, the principal balance of that mortgage loan as of the close of business on the last day of the related Due Period and the date of acquisition of the REO property; | ||
• | the total number and principal balance of any REO properties as of the close of business on the last day of the preceding Due Period; | ||
• | the amount of Realized Losses incurred during the preceding calendar month; |
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• | the cumulative amount of Realized Losses incurred since the closing date; and | ||
• | the Certificate Interest Rate for each class of certificates for that Distribution Date. |
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Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicer | Monthly | A monthly fee paid to the servicer, from amounts that would otherwise be distributed to certificateholders in respect of interest, calculated on the outstanding principal balance of each mortgage loan, at the applicable servicing fee rate,plus, all income earned on amounts on deposit in the custodial account: | Withdrawn from the custodial account in respect of each mortgage loan before distribution of any amounts to certificateholders. | |||
Master Servicer | Monthly | All investment earnings on amounts on deposit in the certificate distribution account. | Retained by the master servicer from the certificate distribution account before distribution of any amounts to certificateholders. | |||
Trust Administrator | Monthly | A monthly fee paid to the trust administrator, from the master servicing fee. | Paid by the master servicer from the master servicing fee. | |||
Trustee | Monthly | A fixed annual fee of $3,500. | Paid by the master servicer from the master servicing fee pursuant to a separate |
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Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
agreement between the trustee and the master servicer. | ||||||
Custodians | Monthly | A monthly fee paid to each custodian, from the master servicing fee. | Paid by the master servicer from the master servicing fee. |
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(1) | as of the cut-off date, the mortgage loans consist of hypothetical mortgage loans with the characteristics indicated in the hypothetical mortgage loan tables; | ||
(2) | there are no repurchases of the mortgage loans; | ||
(3) | the certificates will be purchased on January 31, 2006; | ||
(4) | distributions on the certificates will be made on the 25th day of each month, commencing in February 2006; | ||
(5) | no mortgage loan is delinquent and there are no Realized Losses on the mortgage loans while the certificates are outstanding; | ||
(6) | there are no shortfalls of interest with regard to the mortgage loans; | ||
(7) | there is no optional termination of the mortgage loans by the terminating entity or purchase of the mortgage loans pursuant to an auction; | ||
(8) | scheduled payments on the mortgage loans are received on the first day of each month commencing in the calendar month following the closing date for the mortgage loans; | ||
(9) | principal prepayments on the mortgage loans are received on the last day of each month commencing in January 2006 for the mortgage loans; and | ||
(10) | the One-Year LIBOR Index remains constant at 4.8900%, and the one-year CMT index remains constant at 4.5167%. |
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Remaining | Original | Frequency | Original | |||||||||||||||||||||||||||||||||||||||||||||||||
Expense | Stated | Term to | Term to | Months to | of Rate | Minimum | Maximum | Next | Interest | |||||||||||||||||||||||||||||||||||||||||||
Mortgage | Fee | Principal | Maturity | Maturity | Margin | Adjustment | Adjustment | Mortgage | Mortgage | Periodic | Periodic | Only Term | ||||||||||||||||||||||||||||||||||||||||
Index | Rate(%) | Rate(%)(1) | Balance($) | (Months) | (Months) | (%) | Date | (Months) | Rate(%) | Rate(%) | Cap (%) | Cap (%) | (Months) | |||||||||||||||||||||||||||||||||||||||
One-Year LIBOR | 6.44181153 | 0.25000000 | 23,759,403.67 | 358 | 360 | 2.25000000 | 58 | 12 | 2.25000000 | 11.44181153 | 5.00000000 | 2.00000000 | 0 | |||||||||||||||||||||||||||||||||||||||
One-Year LIBOR | 6.41215249 | 0.25233171 | 130,465,578.07 | 358 | 360 | 2.25422412 | 58 | 12 | 2.25422412 | 11.41215249 | 5.00000000 | 2.00000000 | 60 | |||||||||||||||||||||||||||||||||||||||
One-Year LIBOR | 6.31317286 | 0.25000000 | 6,694,455.91 | 357 | 360 | 2.25000000 | 57 | 12 | 2.25000000 | 11.31317286 | 5.00000000 | 2.00000000 | 0 | |||||||||||||||||||||||||||||||||||||||
One-Year LIBOR | 6.51332801 | 0.25046481 | 138,443,135.09 | 359 | 360 | 2.25178774 | 59 | 12 | 2.26324063 | 11.51332801 | 5.00000000 | 2.00000000 | 60 | |||||||||||||||||||||||||||||||||||||||
One-Year LIBOR | 5.75000000 | 0.25000000 | 420,000.00 | 356 | 360 | 2.25000000 | 56 | 12 | 2.25000000 | 11.75000000 | 6.00000000 | 2.00000000 | 60 | |||||||||||||||||||||||||||||||||||||||
One-Year CMT | 6.25000000 | 0.25000000 | 1,274,769.30 | 359 | 360 | 2.75000000 | 59 | 12 | 2.75000000 | 11.25000000 | 5.00000000 | 2.00000000 | 0 |
(1) | The Expense Fee Rate with respect to each hypothetical mortgage loan will increase by 0.125% per annum on the first adjustment date of such mortgage loan. |
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Respective Percentages of the Prepayment Assumption:
Class AR and Class AR-L | ||||||||||||||||||||
Distribution Date | 10% | 20% | 25% | 35% | 50% | |||||||||||||||
Initial Percentage | 100% | 100% | 100% | 100% | 100% | |||||||||||||||
January 2007 and thereafter | 0 | 0 | 0 | 0 | 0 | |||||||||||||||
Weighted Average Life to Maturity (Years)** | 0.07 | 0.07 | 0.07 | 0.07 | 0.07 |
** | The weighted average life of a certificate of any class is determined by (i) multiplying the amount of each net distribution of Class Principal Amount by the number of years from the date of issuance of the certificate to the related Distribution Date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net distributions described in (i) above. |
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Class B-1, Class B-2 | ||||||||||||||||||||||||||||||||||||||||
Class A-1 and Class A-2 | Class B-3 and Class B-4 | |||||||||||||||||||||||||||||||||||||||
Distribution Occurring In | 10% | 20% | 25% | 35% | 50% | 10% | 20% | 25% | 35% | 50% | ||||||||||||||||||||||||||||||
Initial Percentage | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | ||||||||||||||||||||
January 2007 | 89 | 78 | 73 | 62 | 46 | 100 | 100 | 100 | 100 | 100 | ||||||||||||||||||||||||||||||
January 2008 | 79 | 61 | 53 | 38 | 21 | 100 | 100 | 100 | 93 | 71 | ||||||||||||||||||||||||||||||
January 2009 | 70 | 47 | 38 | 24 | 9 | 100 | 100 | 92 | 75 | 50 | ||||||||||||||||||||||||||||||
January 2010 | 63 | 37 | 29 | 15 | 5 | 99 | 83 | 69 | 49 | 25 | ||||||||||||||||||||||||||||||
January 2011 | 55 | 30 | 21 | 10 | 2 | 99 | 66 | 51 | 32 | 13 | ||||||||||||||||||||||||||||||
January 2012 | 48 | 24 | 16 | 6 | 1 | 98 | 52 | 38 | 20 | 6 | ||||||||||||||||||||||||||||||
January 2013 | 42 | 18 | 12 | 4 | 1 | 92 | 41 | 28 | 13 | 3 | ||||||||||||||||||||||||||||||
January 2014 | 37 | 15 | 9 | 3 | * | 81 | 32 | 21 | 8 | 1 | ||||||||||||||||||||||||||||||
January 2015 | 33 | 11 | 6 | 2 | * | 72 | 25 | 15 | 5 | 1 | ||||||||||||||||||||||||||||||
January 2016 | 29 | 9 | 5 | 1 | * | 63 | 20 | 11 | 3 | * | ||||||||||||||||||||||||||||||
January 2017 | 26 | 7 | 3 | 1 | * | 55 | 15 | 8 | 2 | * | ||||||||||||||||||||||||||||||
January 2018 | 22 | 5 | 2 | * | * | 49 | 12 | 6 | 1 | * | ||||||||||||||||||||||||||||||
January 2019 | 20 | 4 | 2 | * | * | 42 | 9 | 4 | 1 | * | ||||||||||||||||||||||||||||||
January 2020 | 17 | 3 | 1 | * | * | 37 | 7 | 3 | 1 | * | ||||||||||||||||||||||||||||||
January 2021 | 15 | 3 | 1 | * | * | 32 | 6 | 2 | * | * | ||||||||||||||||||||||||||||||
January 2022 | 13 | 2 | 1 | * | * | 28 | 4 | 2 | * | * | ||||||||||||||||||||||||||||||
January 2023 | 11 | 1 | * | * | * | 24 | 3 | 1 | * | * | ||||||||||||||||||||||||||||||
January 2024 | 9 | 1 | * | * | * | 20 | 2 | 1 | * | * | ||||||||||||||||||||||||||||||
January 2025 | 8 | 1 | * | * | * | 17 | 2 | 1 | * | * | ||||||||||||||||||||||||||||||
January 2026 | 7 | 1 | * | * | * | 15 | 1 | * | * | * | ||||||||||||||||||||||||||||||
January 2027 | 6 | * | * | * | * | 12 | 1 | * | * | * | ||||||||||||||||||||||||||||||
January 2028 | 5 | * | * | * | * | 10 | 1 | * | * | * | ||||||||||||||||||||||||||||||
January 2029 | 4 | * | * | * | * | 8 | 1 | * | * | * | ||||||||||||||||||||||||||||||
January 2030 | 3 | * | * | * | * | 7 | * | * | * | * | ||||||||||||||||||||||||||||||
January 2031 | 2 | * | * | * | * | 5 | * | * | * | * | ||||||||||||||||||||||||||||||
January 2032 | 2 | * | * | * | * | 4 | * | * | * | * | ||||||||||||||||||||||||||||||
January 2033 | 1 | * | * | * | * | 3 | * | * | * | * | ||||||||||||||||||||||||||||||
January 2034 | 1 | * | * | * | * | 2 | * | * | * | * | ||||||||||||||||||||||||||||||
January 2035 | * | * | * | * | * | 1 | * | * | * | * | ||||||||||||||||||||||||||||||
January 2036 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||
Weighted Average Life to Maturity (Years) ** | 7.69 | 4.11 | 3.23 | 2.16 | 1.33 | 13.27 | 7.36 | 6.05 | 4.56 | 3.19 |
* | Indicates a number that is greater than zero but less than 0.5%. | |
** | The weighted average life of a certificate of any class is determined by (i) multiplying the amount of each net distribution of Class Principal Amount by the number of years from the date of issuance of the certificate to the related Distribution Date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net distributions described in (i) above. |
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S-84
• | the acquisition, holding and sale by Plans of certain securities issued by a trust with respect to which the underwriter or any of its affiliates is the sole underwriter or the manager or co-manager of the underwriting syndicate, and | ||
• | the servicing, operation and management of such trusts, |
• | The acquisition of the offered certificates by a Plan is on terms (including the price for the certificates) that are at least as favorable to the Plan as they would be in an arm’s length transaction with an unrelated party. | ||
• | The offered certificates acquired by the Plan have received a rating at the time of such acquisition that is one of the four highest generic rating categories from a rating agency identified in the exemption, such as S&P, Fitch Ratings or Moody’s. | ||
• | The trustee must not be an affiliate of any other member of the “restricted group” (defined below in the second following paragraph), other than the underwriter. | ||
• | The sum of all payments made to and retained by the underwriter in connection with the distribution of the offered certificates represents not more than reasonable compensation for underwriting the offered certificates; the sum of all payments made to and retained by the seller and the depositor pursuant to the assignment of the trust assets to the trust fund represents not more than the fair market value of such assets; the sum of all payments made to and retained by the servicer represents not more than reasonable compensation for the servicer’s services under the servicing agreement and reimbursements of such person’s reasonable expenses in connection therewith. | ||
• | The Plan investing in the offered certificates is an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the SEC under the Securities Act of 1933. |
• | The trust fund must consist solely of assets of the type that have been included in other investment pools. | ||
• | Certificates representing beneficial ownership in such other investment pools must have been rated in one of the four highest generic rating categories by a rating agency for at least one year prior to the Plan’s acquisition of offered certificates. |
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• | Certificates evidencing beneficial ownership in such other investment pools must have been purchased by investors other than Plans for at least one year prior to any Plan’s acquisition of offered certificates. |
• | in the case of an acquisition in connection with the initial issuance of Certificates, at least 50% of each class of certificates in which Plans have invested and at least 50% of the aggregate interests in the trust is acquired by persons independent of the restricted group; | ||
• | such fiduciary (or its affiliate) is an obligor with respect to not more than 5% of the fair market value of the obligations contained in the trust; | ||
• | the Plan’s investment in offered certificates of any class does not exceed 25% of all of the certificates of that class outstanding at the time of the acquisition; and | ||
• | immediately after the acquisition, no more than 25% of the assets of any Plan with respect to which such person is a fiduciary are invested in securities representing indebtedness of one or more issuers containing assets sold or serviced by the same entity. |
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• | a representation from the acquiror or transferee of the Class AR or Class AR-L Certificate to the effect that the transferee is not an employee benefit plan subject to section 406 of ERISA or a plan or arrangement subject to section 4975 of the Code, nor a person acting on behalf of any such plan or arrangement nor using the assets of any such plan or arrangement to effect such transfer, or | ||
• | if the purchaser is an insurance company, a representation that the purchaser is an insurance company which is purchasing the Class AR or Class AR-L Certificates with funds contained in an “insurance company general account” (as such term is defined in Section V(e) of PTCE 95-60) and that the purchase and holding of the Class AR or Class AR-L Certificates are covered under Sections I and III of PTCE 95-60, or | ||
• | an opinion of counsel satisfactory to the certificate registrar to the effect that the purchase and holding of such a certificate by the acquiror or transferee will not constitute or result in prohibited transactions under Title I of ERISA or Section 4975 of the Code and will not subject the certificate registrar, the trustee, the master servicer, the depositor or the trust administrator to any obligation in addition to those undertaken in the pooling and servicing agreement. |
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Accrual Period | With respect to any Distribution Date and any class of certificates, the calendar month immediately preceding that Distribution Date. | |
Available Funds | With respect to any Distribution Date, the sum of: | |
(a) all scheduled installments of interest and principal due on the related Due Date and received prior to the related Determination Date on the related mortgage loans, together with any monthly advances for the related mortgage loans; | ||
(b) (i) all Insurance Proceeds (to the extent not applied to restoration of the mortgaged property or released to the borrower in accordance with the servicer’s standard servicing procedures) and Liquidation Proceeds received during the calendar month preceding the month of that Distribution Date on the related mortgage loans, in each case net of unreimbursed expenses incurred in connection with a liquidation or foreclosure and unreimbursed advances, if any, and (ii) all Recoveries, if any, for such Distribution Date; | ||
(c) all partial and full principal prepayments received during the applicable Prepayment Period on the related mortgage loans, exclusive of prepayment premiums and interest accruals received with any prepayments in full if such prepayment in full is received in the month that such prepayment is to be distributed to certificateholders and such interest represents interest accruals for that month; | ||
(d) amounts received for that Distribution Date in respect of the substitution of a related mortgage loan, the purchase of a related deleted mortgage loan, or a repurchase of a related mortgage loan by the seller as of that Distribution Date; | ||
(e) any amounts payable in respect of Prepayment Interest Shortfalls by the master servicer or the servicer on that Distribution Date on the related mortgage loans; and | ||
(f) minus, in the case of clauses (a) through (e) above, (i) the amounts to which the trustee, trust administrator, master servicer or the servicer is entitled under the pooling and servicing agreement, including accrued and unpaid servicing fees or master servicing |
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fees, unreimbursed advances and certain expenses and (ii) any lender paid mortgage guaranty insurance premiums, if applicable. | ||
Bankruptcy Losses | Realized Losses on the mortgage loans incurred as a result of Debt Service Reductions and Deficient Valuations. | |
Certificate Interest Rate | With respect to each Accrual Period and each class of certificates will equal the applicable rate determined as specified in the table on page S-1 hereof and as described under “Summary of Terms — Offered Certificates —Distributions of Interest” herein. | |
Class Principal Amount | With respect to any date of determination, an amount equal to the initial class principal amount of that class, reduced by the aggregate of the following amounts allocable to that class: (1) all amounts previously distributed to holders of certificates of that class as payments of principal; (2) the amount of Realized Losses, including Excess Losses, allocated to that class; and (3) in the case of the Subordinate Certificates, any amount allocated to a class of Subordinate Certificates in reduction of its Class Principal Amount if the aggregate Class Principal Amount of all of the certificates exceeds the aggregate Stated Principal Balance on such date;provided, however,that the Class Principal Amount of each class of certificates to which Realized Losses have been allocated (including any such class of certificates for which the Class Principal Amount has been reduced to zero) will be increased, up to the amount of related Recoveries for such Distribution Date, as follows: (a) first, the Class Principal Amount of each class of Senior Certificates from which each Recovery was collected will be increased, pro rata, up to the amount of Realized Losses previously allocated to reduce the Class Principal Amount of each such class of certificates, and (b) second, the Class Principal Amount of each class of Subordinate Certificates will be increased, in order of seniority, up to the amount of Realized Losses previously allocated to reduce the Class Principal Amount of each such class of certificates. | |
Code | The Internal Revenue Code of 1986 and the Treasury Department regulations promulgated thereunder, as amended from time to time and any successor law. |
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Cut-off Date Principal Balance | The aggregate Stated Principal Balance of the mortgage loans as of the cut-off date. | |
Debt Service Reduction | With respect to any mortgage loan, a reduction in its scheduled monthly payment by a court of competent jurisdiction in a proceeding under the United States Bankruptcy Code, except a reduction constituting a Deficient Valuation or any reduction that results in a permanent forgiveness of principal. | |
Deficient Valuation | With respect to any mortgage loan, a valuation by a court of competent jurisdiction in a proceeding under the United States Bankruptcy Code in an amount less than the then outstanding indebtedness under the mortgage loan, or that results in a permanent forgiveness of principal. | |
Determination Date | With respect to each Distribution Date, the date specified in the applicable servicing agreement, which shall not be later than the 15th day of the month in which that Distribution Date occurs or, if that day is not a business day, the immediately succeeding business day. | |
Distribution Date | The 25thday of each month, or if the 25thday is not a business day, on the succeeding business day, beginning in February 2006. | |
Due Date | The due date for substantially all of the mortgage loans is the first day of the month in which that Distribution Date occurs. | |
Due Period | With respect to any Distribution Date, the period from the second day of the month immediately preceding such Distribution Date to and including the first day of the month of that Distribution Date. | |
Excess Losses | Special Hazard Losses in excess of the Special Hazard Loss Coverage Amount, Bankruptcy Losses in excess of the Bankruptcy Loss Coverage Amount and Fraud Losses in excess of the Fraud Loss Coverage Amount. | |
Fraud Loss | A Realized Loss sustained on a Liquidated Mortgage Loan by reason of a default arising from fraud, dishonesty or misrepresentation. | |
Insurance Proceeds | Amounts paid pursuant to any insurance policy, with respect to a mortgage loan that have not been used to restore the related mortgaged property or released to the borrower in accordance with the terms of the pooling and servicing agreement, subject to the terms and |
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conditions of the related mortgage note and mortgage. | ||
Liquidated Mortgage Loan | A mortgage loan for which the related servicer has determined that it has received all amounts that it expects to recover from or on account of the mortgage loan, whether from Insurance Proceeds, Liquidation Proceeds or otherwise. | |
Liquidation Principal | The principal portion of Liquidation Proceeds received on a mortgage loan that became a Liquidated Mortgage Loan, but not in excess of the Stated Principal Balance of that mortgage loan, during the calendar month preceding the month of the Distribution Date. | |
Liquidation Proceeds | Amounts, including Insurance Proceeds, received in connection with the liquidation of a defaulted mortgage loan, whether through trustee’s sale, foreclosure sale, or otherwise or amounts received in connection with any condemnation or partial release of a mortgaged property, other than Recoveries. | |
Net Interest Shortfalls | With respect to any Distribution Date, the sum of: | |
(1) the amount of interest which would otherwise have been received for a mortgage loan during the prior calendar month that was the subject of (x) a Relief Act Reduction or (y) a Special Hazard Loss, Fraud Loss or Bankruptcy Loss, after the exhaustion of the respective amounts of coverage provided by the Subordinate Certificates for those types of losses; and | ||
(2) any related Net Prepayment Interest Shortfalls. | ||
Net Prepayment Interest Shortfalls | With respect to any Distribution Date, the amount by which the aggregate of Prepayment Interest Shortfalls during the related Prepayment Period exceeds the amount received by the trust fund in respect of Prepayment Interest Shortfalls for that period. | |
Prepayment Interest Shortfall | The amount by which interest paid by a borrower in connection with a prepayment of principal on a mortgage loan, net of the amount required to be paid as a servicing fee, is less than one month’s interest at the related mortgage rate, net of the amount required to be paid as a servicing fee, on the Stated Principal Balance or the amount prepaid of that mortgage loan, as applicable. | |
Prepayment Period | For any Distribution Date and principal payment in full received on a mortgage loan, and with respect to the servicer, (1) the calendar month preceding that Distribution Date, (2) the period from the fifteenth day |
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of the calendar month preceding the month in which that Distribution Date falls (or in the case of the first Distribution Date, from the related cut-off date) through the fourteenth day of the month in which that Distribution Date falls or (3) such other period as described in the related servicing agreement. For any Distribution Date and all mortgage loans and any principal prepayment in part, the calendar month preceding that Distribution Date. | ||
Principal Payment Amount | With respect to any Distribution Date, the sum of: | |
(1) scheduled principal payments on the mortgage loans due on the Due Date related to that Distribution Date; | ||
(2) the principal portion of repurchase proceeds received with respect to any mortgage loan that was repurchased as permitted or required by the pooling and servicing agreement during the applicable period preceding that Distribution Date; and | ||
(3) any other unscheduled payments of principal that were received on the mortgage loans during the preceding calendar month, other than principal prepayments or Liquidation Principal. | ||
Principal Prepayment Amount | For any Distribution Date, the sum of (i) all principal prepayments in full and in part which were received during the applicable Prepayment Period preceding that Distribution Date and (ii) all Recoveries received during the calendar month preceding the month of that Distribution Date. | |
Realized Loss | The amount determined by the related servicer and evidenced by an officers’ certificate delivered to the trustee and trust administrator, in connection with any mortgage loan equal to: (1) for any Liquidated Mortgage Loan, the excess of its Stated Principal Balance plus interest at a rate equal to the applicable net mortgage rate from the Due Date as to which interest was last paid up to the first Due Date after the liquidation over any proceeds received in connection with the liquidation, after application of all withdrawals permitted to be made by that servicer from the collection account for the mortgage loan; (2) for any mortgage loan that has become the subject of a Deficient Valuation, the excess of the Stated Principal Balance of the mortgage loan over the principal amount as reduced in connection with the proceedings resulting |
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in the Deficient Valuation; or (3) for any mortgage loan that has become the subject of a Debt Service Reduction, the present value of all monthly Debt Service Reductions on the mortgage loan, assuming that the borrower pays each scheduled monthly payment on the applicable Due Date and that no principal prepayments are received on the mortgage loan, discounted monthly at the applicable mortgage rate. | ||
Recovery | With respect to any Liquidated Mortgage Loan and Distribution Date, an amount received in respect of such Liquidated Mortgage Loan during the prior calendar month which has previously been allocated as a Realized Loss to a class or classes of certificates, net of reimbursable expenses. | |
Relief Act | The Servicemembers Civil Relief Act, and any similar state or local statute. | |
Senior Certificates | Each of the Class AR, Class AR-L, Class A-1 and Class A-2 Certificates. | |
Senior Liquidation Amount | With respect to any Distribution Date, for each related mortgage loan that became a Liquidated Mortgage Loan during the calendar month preceding the month of that Distribution Date, the lesser of (i) the related Senior Percentage of the Stated Principal Balance of that mortgage loan and (ii) the related Senior Prepayment Percentage of the Liquidation Principal with respect to that mortgage loan. | |
Senior Percentage | With respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the aggregate Class Principal Amount of the Senior Certificates immediately prior to that Distribution Date and the denominator of which is the Stated Principal Balance of the first day of the related Due Period, subject to adjustment for prepayments in full received and distributed in the month prior to that Distribution Date. In no event will the Senior Percentage exceed 100%. | |
Senior Prepayment Percentage | With respect to any Distribution Date occurring during the seven years beginning on the first Distribution Date, 100%. Thereafter, the Senior Prepayment Percentage will, except as described below, be subject to gradual reduction as described below: | |
The Senior Prepayment Percentage on any Distribution Date occurring on or after the seventh anniversary of |
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the first Distribution Date will be as follows: (1) for any Distribution Date in the first year thereafter, the Senior Percentage plus 70% of the Subordinate Percentage for that Distribution Date; (2) for any Distribution Date in the second year thereafter, the Senior Percentage plus 60% of the Subordinate Percentage for that Distribution Date; (3) for any Distribution Date in the third year thereafter, the Senior Percentage plus 40% of the Subordinate Percentage for that Distribution Date; (4) for any Distribution Date in the fourth year thereafter, the Senior Percentage plus 20% of the Subordinate Percentage for that Distribution Date; and (5) for any distribution date after the fourth year thereafter, the Senior Percentage for that Distribution Date. | ||
There are important exceptions to the calculations of the Senior Prepayment Percentage described in the above paragraph. On any Distribution Date, (a) if the Senior Percentage exceeds its initial Senior Percentage, the Senior Prepayment Percentage for that Distribution Date will equal 100%, (b) if on or before the Distribution Date in January 2009, the Subordinate Percentage for such Distribution Date is greater than or equal to twice the Subordinate Percentage as of the closing date, then the Senior Prepayment Percentage for such Distribution Date will equal the Senior Percentage, plus 50% of the Subordinate Percentage for that Distribution Date, and (c) if after the Distribution Date in January 2009, the Subordinate Percentage for such Distribution Date is greater than or equal to twice the Subordinate Percentage as of the closing date, then the Senior Prepayment Percentage for such Distribution Date will equal the Senior Percentage. | ||
Notwithstanding the foregoing, the Senior Prepayment Percentage will equal 100% for any Distribution Date as to which (A) the outstanding principal balance of the mortgage loans that are delinquent 60 days or more (including all REO properties and loans in foreclosure) averaged over the preceding six month period, as a percentage of the aggregate Class Principal Amount of the Subordinate Certificates as of that Distribution Date is equal to or greater than 50% or (B) cumulative Realized Losses for the mortgage loans exceed: (I) for any Distribution Date prior to the third anniversary of the first Distribution Date, 20% of the original aggregate Class Principal Amount of the Subordinate Certificates; (II) for any Distribution Date on or after |
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the third anniversary but prior to the eighth anniversary of the first Distribution Date, 30% of the original aggregate Class Principal Amount of the Subordinate Certificates; (III) for any Distribution Date on or after the eighth anniversary but prior to the ninth anniversary of the first Distribution Date, 35% of the original aggregate Class Principal Amount of the Subordinate Certificates; (IV) for any Distribution Date on or after the ninth anniversary but prior to the tenth anniversary of the first Distribution Date, 40% of the original aggregate Class Principal Amount of the Subordinate Certificates; (V) for any Distribution Date on or after the tenth anniversary but prior to the eleventh anniversary of the first Distribution Date, 45% of the original aggregate Class Principal Amount of the Subordinate Certificates; and (VI) for any distribution date on or after the eleventh anniversary of the first Distribution Date, 50% of the original aggregate Class Principal Amount of the Subordinate Certificates. | ||
If on any Distribution Date the allocation to a class of Senior Certificates of distributions of principal payments in full and partial principal prepayments and other amounts in the percentage required above would reduce the outstanding Class Principal Amount of that class below zero, the distribution to that class of certificates of the Senior Prepayment Percentage of those amounts for that Distribution Date will be limited to the percentage necessary to reduce the related Class Principal Amount to zero | ||
Senior Principal Distribution Amount | With respect to any Distribution Date and any class of Senior Certificates, the sum of: | |
(1) the Senior Percentage of the Principal Payment Amount; | ||
(2) the Senior Prepayment Percentage of the Principal Prepayment Amount; and | ||
(3) the Senior Liquidation Amount. | ||
SMMEA | The Secondary Mortgage Market Enhancement Act of 1984, as amended. | |
Special Hazard Loss | With respect to any Distribution Date, a Realized Loss on a mortgage loan attributable to damage or a direct physical loss suffered by a mortgaged property (including any Realized Loss due to the presence or |
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suspected presence of hazardous wastes or substances on a mortgaged property) other than any such damage or loss covered by a hazard policy or a flood insurance policy required to be maintained in respect of such mortgaged property under the pooling and servicing agreement or any loss due to normal wear and tear or certain other causes. | ||
Stated Principal Balance | As to any mortgage loan and any date of determination, the principal balance of that mortgage loan as of the cut-off date, after application of all scheduled principal payments due on or before the cut-off date, whether or not received, reduced by all amounts allocable to principal that have been distributed to certificateholders with respect to that mortgage loan on or before that date of determination, and as further reduced to the extent that any Realized Loss on that mortgage loan has been allocated to one or more classes of certificates on or before that date of determination. | |
Subordinate Certificates | Each of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6 and Class B-7 Certificates. | |
Subordinate Liquidation Amount | With respect to any Distribution Date, the excess, if any, of the aggregate Liquidation Principal for all mortgage loans that became Liquidated Mortgage Loans during the calendar month preceding the month of that Distribution Date, over the Senior Liquidation Amount for that Distribution Date. | |
Subordinate Percentage | With respect to any Distribution Date, the excess of 100% over the Senior Percentage for that date. | |
Subordinate Prepayment Percentage | With respect to any Distribution Date, the excess of 100% over the Senior Prepayment Percentage for that Distribution Date;provided,however, that if the aggregate Class Principal Amount of the Senior Certificates has been reduced to zero, then the Subordinate Prepayment Percentage will equal 100%. | |
Subordinate Principal Distribution Amount | With respect to any Distribution Date, the sum of the following amounts: (1) the Subordinate Percentage of the Principal Payment Amount; (2) the Subordinate Prepayment Percentage of the Principal Prepayment Amount; and (3) the Subordinate Liquidation Amount. |
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Subordination Level | On any Distribution Date for any class of Subordinate Certificates, the percentage obtained by dividing the sum of the Class Principal Amounts of all classes of Subordinate Certificates which are subordinate in right of payment to that class by the Class Principal Amounts of all classes of certificates, in each case immediately prior to that Distribution Date. |
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A-1
Percent of | Non-Zero | |||||||||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Cut-off Date | Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||||||||
Principal Balances ($) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||||||||||
250,000.01 — 300,000.00 | 1 | $ | 274,370.00 | 0.09 | % | 7.250 | % | 815 | $ | 274,370.00 | 89.75 | % | ||||||||||||||||||||||||
350,000.01 — 400,000.00 | 4 | 1,482,650.00 | 0.49 | 6.662 | 661 | 370,662.50 | 77.58 | |||||||||||||||||||||||||||||
400,000.01 — 450,000.00 | 98 | 42,268,856.10 | 14.04 | 6.465 | 694 | 431,314.86 | 78.10 | |||||||||||||||||||||||||||||
450,000.01 — 500,000.00 | 105 | 50,265,605.25 | 16.70 | 6.453 | 694 | 478,720.05 | 77.52 | |||||||||||||||||||||||||||||
500,000.01 — 550,000.00 | 72 | 37,828,997.17 | 12.57 | 6.373 | 696 | 525,402.74 | 78.10 | |||||||||||||||||||||||||||||
550,000.01 — 600,000.00 | 48 | 27,284,726.65 | 9.06 | 6.373 | 692 | 568,431.81 | 78.60 | |||||||||||||||||||||||||||||
600,000.01 — 650,000.00 | 68 | 43,164,470.93 | 14.34 | 6.457 | 701 | 634,771.63 | 76.32 | |||||||||||||||||||||||||||||
650,000.01 — 700,000.00 | 19 | 12,841,001.04 | 4.27 | 6.379 | 686 | 675,842.16 | 77.22 | |||||||||||||||||||||||||||||
700,000.01 — 750,000.00 | 7 | 5,152,495.97 | 1.71 | 6.572 | 677 | 736,070.85 | 70.58 | |||||||||||||||||||||||||||||
750,000.01 — 800,000.00 | 12 | 9,264,552.98 | 3.08 | 6.697 | 675 | 772,046.08 | 75.73 | |||||||||||||||||||||||||||||
800,000.01 — 850,000.00 | 10 | 8,175,809.21 | 2.72 | 6.296 | 700 | 817,580.92 | 76.53 | |||||||||||||||||||||||||||||
850,000.01 — 900,000.00 | 9 | 7,887,746.71 | 2.62 | 6.447 | 687 | 876,416.30 | 76.74 | |||||||||||||||||||||||||||||
900,000.01 — 950,000.00 | 10 | 9,306,395.34 | 3.09 | 6.225 | 705 | 930,639.53 | 72.37 | |||||||||||||||||||||||||||||
950,000.01 — 1,000,000.00 | 25 | 24,694,523.53 | 8.20 | 6.666 | 692 | 987,780.94 | 70.49 | |||||||||||||||||||||||||||||
1,000,000.01 — 1,500,000.00 | 16 | 19,573,016.06 | 6.50 | 6.577 | 697 | 1,223,313.50 | 70.96 | |||||||||||||||||||||||||||||
1,500,000.01 — 2,000,000.00 | 1 | 1,592,125.10 | 0.53 | 5.875 | 682 | 1,592,125.10 | 75.00 | |||||||||||||||||||||||||||||
Total | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||||||||||
(1) | As of the cut-off date, the average Stated Principal Balance of the mortgage loans is approximately $596,153.15. |
A-2
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
4.501 — 4.750 | 2 | $ | 1,020,963.96 | 0.34 | % | 4.750 | % | 669 | $ | 510,481.98 | 80.00 | % | ||||||||||||||||
4.751 — 5.000 | 2 | 911,236.00 | 0.30 | 5.000 | 696 | 455,618.00 | 79.99 | |||||||||||||||||||||
5.001 — 5.250 | 2 | 1,060,307.00 | 0.35 | 5.184 | 661 | 530,153.50 | 80.00 | |||||||||||||||||||||
5.251 — 5.500 | 26 | 15,712,386.70 | 5.22 | 5.466 | 700 | 604,322.57 | 78.25 | |||||||||||||||||||||
5.501 — 5.750 | 38 | 22,164,930.32 | 7.36 | 5.707 | 682 | 583,287.64 | 77.19 | |||||||||||||||||||||
5.751 — 6.000 | 81 | 48,591,033.23 | 16.14 | 5.922 | 689 | 599,889.30 | 74.60 | |||||||||||||||||||||
6.001 — 6.250 | 51 | 30,956,722.01 | 10.28 | 6.198 | 697 | 606,994.55 | 76.04 | |||||||||||||||||||||
6.251 — 6.500 | 100 | 60,155,981.63 | 19.98 | 6.455 | 694 | 601,559.82 | 76.77 | |||||||||||||||||||||
6.501 — 6.750 | 74 | 44,332,044.38 | 14.73 | 6.703 | 703 | 599,081.68 | 75.71 | |||||||||||||||||||||
6.751 — 7.000 | 55 | 31,063,986.21 | 10.32 | 6.912 | 697 | 564,799.75 | 74.89 | |||||||||||||||||||||
7.001 — 7.250 | 30 | 16,958,378.27 | 5.63 | 7.198 | 698 | 565,279.28 | 78.12 | |||||||||||||||||||||
7.251 — 7.500 | 25 | 15,107,882.11 | 5.02 | 7.421 | 688 | 604,315.28 | 77.23 | |||||||||||||||||||||
7.501 — 7.750 | 10 | 6,278,235.22 | 2.09 | 7.678 | 702 | 627,823.52 | 76.40 | |||||||||||||||||||||
7.751 — 8.000 | 4 | 3,331,800.00 | 1.11 | 7.950 | 698 | 832,950.00 | 77.37 | |||||||||||||||||||||
8.001 — 8.250 | 5 | 3,411,455.00 | 1.13 | 8.230 | 681 | 682,291.00 | 73.92 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average mortgage rate of the mortgage loans is approximately 6.457% per annum. |
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
351 | 1 | $ | 420,000.00 | 0.14 | % | 6.625 | % | 661 | $ | 420,000.00 | 62.69 | % | ||||||||||||||||
354 | 3 | 2,755,372.83 | 0.92 | 6.444 | 696 | 918,457.61 | 71.87 | |||||||||||||||||||||
355 | 3 | 2,352,640.62 | 0.78 | 6.373 | 712 | 784,213.54 | 71.82 | |||||||||||||||||||||
356 | 1 | 420,000.00 | 0.14 | 5.750 | 794 | 420,000.00 | 80.00 | |||||||||||||||||||||
357 | 46 | 26,926,470.98 | 8.94 | 6.470 | 697 | 585,358.06 | 76.11 | |||||||||||||||||||||
358 | 223 | 130,582,593.14 | 43.37 | 6.383 | 694 | 585,572.17 | 76.03 | |||||||||||||||||||||
359 | 195 | 116,334,483.47 | 38.64 | 6.484 | 695 | 596,587.09 | 76.32 | |||||||||||||||||||||
360 | 33 | 21,265,781.00 | 7.06 | 6.769 | 687 | 644,417.61 | 77.95 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average remaining term of the mortgage loans is approximately 358 months. |
A-3
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original LTV Ratios (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
30.01 — 40.00 | 1 | $ | 747,000.00 | 0.25 | % | 7.000 | % | 749 | $ | 747,000.00 | 38.31 | % | ||||||||||||||||
40.01 — 50.00 | 7 | 4,206,991.26 | 1.40 | 6.184 | 728 | 600,998.75 | 46.93 | |||||||||||||||||||||
50.01 — 60.00 | 9 | 6,789,558.34 | 2.26 | 6.496 | 712 | 754,395.37 | 56.14 | |||||||||||||||||||||
60.01 — 70.00 | 56 | 40,318,960.04 | 13.39 | 6.636 | 692 | 719,981.43 | 67.02 | |||||||||||||||||||||
70.01 — 80.00 | 411 | 238,413,103.33 | 79.19 | 6.409 | 693 | 580,080.54 | 78.37 | |||||||||||||||||||||
80.01 — 90.00 | 20 | 9,947,163.07 | 3.30 | 6.863 | 693 | 497,358.15 | 89.21 | |||||||||||||||||||||
90.01 — 100.00 | 1 | 634,566.00 | 0.21 | 7.500 | 678 | 634,566.00 | 95.00 | |||||||||||||||||||||
Total | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average original LTV ratio of the mortgage loans is approximately 76.20%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Not Available | 2 | $ | 1,327,200.00 | 0.44 | % | 7.323 | % | 0 | $ | 663,600.00 | 70.00 | % | ||||||||||||||||
601 — 620 | 1 | 889,500.00 | 0.30 | 6.500 | 620 | 889,500.00 | 75.70 | |||||||||||||||||||||
621 — 640 | 35 | 21,293,618.08 | 7.07 | 6.361 | 634 | 608,389.09 | 74.85 | |||||||||||||||||||||
641 — 660 | 69 | 38,325,316.36 | 12.73 | 6.193 | 651 | 555,439.37 | 77.40 | |||||||||||||||||||||
661 — 680 | 81 | 49,898,092.39 | 16.57 | 6.602 | 672 | 616,025.83 | 75.65 | |||||||||||||||||||||
681 — 700 | 121 | 73,716,867.96 | 24.49 | 6.442 | 691 | 609,230.31 | 76.91 | |||||||||||||||||||||
701 — 720 | 77 | 46,147,552.02 | 15.33 | 6.635 | 710 | 599,318.86 | 77.36 | |||||||||||||||||||||
721 — 740 | 60 | 34,852,435.51 | 11.58 | 6.464 | 730 | 580,873.93 | 76.82 | |||||||||||||||||||||
741 — 760 | 24 | 14,594,611.77 | 4.85 | 6.334 | 745 | 608,108.82 | 72.55 | |||||||||||||||||||||
761 — 780 | 22 | 12,958,913.21 | 4.30 | 6.376 | 771 | 589,041.51 | 71.76 | |||||||||||||||||||||
781 — 800 | 12 | 6,778,864.74 | 2.25 | 6.326 | 786 | 564,905.40 | 76.00 | |||||||||||||||||||||
801 — 820 | 1 | 274,370.00 | 0.09 | 7.250 | 815 | 274,370.00 | 89.75 | |||||||||||||||||||||
Total | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average credit score (where available) of the mortgage loans is approximately 694. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
A-4
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Geographic Distribution | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
California | 270 | $ | 158,975,871.05 | 52.81 | % | 6.462 | % | 690 | $ | 588,799.52 | 76.64 | % | ||||||||||||||||
Florida | 39 | 24,438,348.00 | 8.12 | 6.593 | 709 | 626,624.31 | 74.30 | |||||||||||||||||||||
Virginia | 38 | 19,578,331.25 | 6.50 | 6.257 | 688 | 515,219.24 | 79.37 | |||||||||||||||||||||
Nevada | 27 | 14,452,438.91 | 4.80 | 6.485 | 718 | 535,275.52 | 77.54 | |||||||||||||||||||||
Illinois | 21 | 13,559,381.85 | 4.50 | 6.481 | 699 | 645,684.85 | 75.89 | |||||||||||||||||||||
Arizona | 16 | 8,704,737.57 | 2.89 | 6.700 | 690 | 544,046.10 | 76.01 | |||||||||||||||||||||
Washington | 12 | 7,716,068.97 | 2.56 | 6.315 | 693 | 643,005.75 | 74.82 | |||||||||||||||||||||
Connecticut | 7 | 5,595,283.26 | 1.86 | 6.195 | 702 | 799,326.18 | 68.46 | |||||||||||||||||||||
Georgia | 7 | 5,435,000.00 | 1.81 | 6.339 | 680 | 776,428.57 | 76.70 | |||||||||||||||||||||
Colorado | 8 | 4,865,125.21 | 1.62 | 6.361 | 684 | 608,140.65 | 78.29 | |||||||||||||||||||||
New York | 7 | 4,272,499.98 | 1.42 | 6.135 | 703 | 610,357.14 | 73.97 | |||||||||||||||||||||
Maryland | 8 | 4,225,997.37 | 1.40 | 6.631 | 682 | 528,249.67 | 80.30 | |||||||||||||||||||||
Massachusetts | 6 | 3,703,610.00 | 1.23 | 7.027 | 722 | 617,268.33 | 73.10 | |||||||||||||||||||||
Hawaii | 3 | 2,921,923.20 | 0.97 | 6.38 | 701 | 973,974.40 | 75.51 | |||||||||||||||||||||
South Carolina | 4 | 2,861,684.37 | 0.95 | 6.749 | 701 | 715,421.09 | 75.77 | |||||||||||||||||||||
Idaho | 2 | 2,242,125.10 | 0.74 | 6.165 | 693 | 1,121,062.55 | 72.10 | |||||||||||||||||||||
North Carolina | 3 | 2,240,617.90 | 0.74 | 6.286 | 709 | 746,872.63 | 75.71 | |||||||||||||||||||||
Minnesota | 4 | 2,055,036.06 | 0.68 | 6.456 | 680 | 513,759.02 | 77.43 | |||||||||||||||||||||
New Jersey | 4 | 1,986,600.00 | 0.66 | 6.297 | 687 | 496,650.00 | 72.79 | |||||||||||||||||||||
Texas | 3 | 1,606,431.15 | 0.53 | 6.219 | 690 | 535,477.05 | 78.42 | |||||||||||||||||||||
Ohio | 3 | 1,478,782.00 | 0.49 | 6.213 | 676 | 492,927.33 | 82.95 | |||||||||||||||||||||
Tennessee | 2 | 1,416,724.00 | 0.47 | 6.234 | 702 | 708,362.00 | 76.14 | |||||||||||||||||||||
Wisconsin | 2 | 1,247,000.00 | 0.41 | 6.749 | 711 | 623,500.00 | 51.59 | |||||||||||||||||||||
District of Columbia | 2 | 1,152,444.70 | 0.38 | 6.568 | 724 | 576,222.35 | 77.43 | |||||||||||||||||||||
Wyoming | 1 | 950,000.00 | 0.32 | 5.875 | 775 | 950,000.00 | 48.72 | |||||||||||||||||||||
Oregon | 2 | 933,500.00 | 0.31 | 7.094 | 697 | 466,750.00 | 78.15 | |||||||||||||||||||||
Iowa | 1 | 782,578.68 | 0.26 | 6.500 | 668 | 782,578.68 | 74.67 | |||||||||||||||||||||
Michigan | 1 | 681,201.46 | 0.23 | 6.250 | 670 | 681,201.46 | 70.00 | |||||||||||||||||||||
Pennsylvania | 1 | 558,000.00 | 0.19 | 8.125 | 702 | 558,000.00 | 88.37 | |||||||||||||||||||||
Indiana | 1 | 420,000.00 | 0.14 | 5.500 | 666 | 420,000.00 | 80.00 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | No more than approximately 2.1% of the mortgage loans are secured by mortgaged properties in any one postal zip code area. |
A-5
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Primary Residence | 432 | $ | 254,191,894.87 | 84.43 | % | 6.381 | % | 693 | $ | 588,407.16 | 76.50 | % | ||||||||||||||||
Second Home | 25 | 17,759,177.64 | 5.90 | 6.585 | 703 | 710,367.11 | 75.83 | |||||||||||||||||||||
Investment Property | 48 | 29,106,269.53 | 9.67 | 7.048 | 702 | 606,380.62 | 73.79 | |||||||||||||||||||||
Total | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | Based upon representations of the related borrowers at the time of origination. |
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Single Family | 269 | $ | 159,098,384.08 | 52.85 | % | 6.481 | % | 691 | $ | 591,443.81 | 75.41 | % | ||||||||||||||||
Condominium | 58 | 35,431,509.92 | 11.77 | 6.465 | 704 | 610,888.10 | 76.68 | |||||||||||||||||||||
Two – to – Four Family | 17 | 11,302,920.70 | 3.75 | 6.722 | 701 | 664,877.69 | 75.92 | |||||||||||||||||||||
Cooperative | 1 | 433,599.98 | 0.14 | 5.875 | 785 | 433,599.98 | 80.00 | |||||||||||||||||||||
Planned Unit Development | 160 | 94,790,927.36 | 31.49 | 6.386 | 695 | 592,443.30 | 77.36 | |||||||||||||||||||||
Total | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Purchase | 342 | $ | 201,104,413.98 | 66.80 | % | 6.518 | % | 700 | $ | 588,024.60 | 77.76 | % | ||||||||||||||||
Refinance (Rate Term) | 46 | 29,478,778.77 | 9.79 | 6.226 | 695 | 640,843.02 | 72.33 | |||||||||||||||||||||
Refinance (Cash-out) | 117 | 70,474,149.29 | 23.41 | 6.380 | 678 | 602,343.16 | 73.38 | |||||||||||||||||||||
Total | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
A-6
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Prepayment Penalty (Years) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
No Penalty | 380 | $ | 224,851,080.85 | 74.69 | % | 6.474 | % | 695 | $ | 591,713.37 | 76.39 | % | ||||||||||||||||
1 Year | 80 | 47,668,061.29 | 15.83 | 6.289 | 692 | 595,850.77 | 76.35 | |||||||||||||||||||||
3 Years | 22 | 14,886,217.71 | 4.94 | 6.586 | 691 | 676,646.26 | 74.79 | |||||||||||||||||||||
5 Years | 23 | 13,651,982.19 | 4.53 | 6.632 | 697 | 593,564.44 | 74.01 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Interest Only Period (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
0 | 49 | $ | 31,728,628.88 | 10.54 | % | 6.407 | % | 684 | $ | 647,523.04 | 73.24 | % | ||||||||||||||||
60 | 456 | 269,328,713.16 | 89.46 | 6.463 | 695 | 590,633.14 | 76.55 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Full/Alternative Documentation | 87 | $ | 49,416,151.06 | 16.41 | % | 6.062 | % | 655 | $ | 568,001.74 | 77.90 | % | ||||||||||||||||
Reduced Documentation | 396 | 239,067,247.34 | 79.41 | 6.520 | 701 | 603,705.17 | 76.05 | |||||||||||||||||||||
Stated Income/Stated Assets | 11 | 6,782,849.39 | 2.25 | 6.637 | 701 | 616,622.67 | 72.36 | |||||||||||||||||||||
No Income/No Asset | 11 | 5,791,094.25 | 1.92 | 7.028 | 721 | 526,463.11 | 72.57 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
A-7
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
2.250 | 502 | $ | 298,846,690.85 | 99.27 | % | 6.457 | % | 694 | $ | 595,312.13 | 76.22 | % | ||||||||||||||||
2.750 | 2 | 1,769,769.30 | 0.59 | 6.425 | 681 | 884,884.65 | 69.58 | |||||||||||||||||||||
3.500 | 1 | 440,881.89 | 0.15 | 6.875 | 662 | 440,881.89 | 90.00 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average margin of the mortgage loans is approximately 2.255%. |
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
5.000 | 504 | $ | 300,637,342.04 | 99.86 | % | 6.458 | % | 694 | $ | 596,502.66 | 76.19 | % | ||||||||||||||||
6.000 | 1 | 420,000.00 | 0.14 | 5.750 | 794 | 420,000.00 | 80.00 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average initial periodic cap of the mortgage loans is approximately 5.001% per annum. |
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Subsequent Periodic Cap (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
2.000 | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average subsequent periodic cap of the mortgage loans is approximately 2.000% per annum. |
A-8
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
9.750 | 2 | $ | 1,020,963.96 | 0.34 | % | 4.750 | % | 669 | $ | 510,481.98 | 80.00 | % | ||||||||||||||||
10.000 | 2 | 911,236.00 | 0.30 | 5.000 | 696 | 455,618.00 | 79.99 | |||||||||||||||||||||
10.125 | 1 | 556,307.00 | 0.18 | 5.125 | 681 | 556,307.00 | 80.00 | |||||||||||||||||||||
10.250 | 1 | 504,000.00 | 0.17 | 5.250 | 639 | 504,000.00 | 80.00 | |||||||||||||||||||||
10.375 | 7 | 4,299,979.01 | 1.43 | 5.375 | 709 | 614,282.72 | 76.52 | |||||||||||||||||||||
10.500 | 19 | 11,412,407.69 | 3.79 | 5.500 | 696 | 600,653.04 | 78.90 | |||||||||||||||||||||
10.625 | 13 | 7,642,111.95 | 2.54 | 5.625 | 702 | 587,854.77 | 79.22 | |||||||||||||||||||||
10.750 | 24 | 14,102,818.37 | 4.68 | 5.750 | 668 | 587,617.43 | 76.01 | |||||||||||||||||||||
10.875 | 50 | 30,384,054.59 | 10.09 | 5.875 | 695 | 607,681.09 | 74.20 | |||||||||||||||||||||
11.000 | 31 | 18,206,978.64 | 6.05 | 6.000 | 679 | 587,321.89 | 75.27 | |||||||||||||||||||||
11.125 | 23 | 12,991,623.37 | 4.32 | 6.125 | 701 | 564,853.19 | 75.93 | |||||||||||||||||||||
11.250 | 28 | 17,965,098.64 | 5.97 | 6.250 | 693 | 641,610.67 | 76.12 | |||||||||||||||||||||
11.375 | 36 | 21,442,504.01 | 7.12 | 6.375 | 695 | 595,625.11 | 76.48 | |||||||||||||||||||||
11.500 | 64 | 38,713,477.62 | 12.86 | 6.500 | 693 | 604,898.09 | 76.93 | |||||||||||||||||||||
11.625 | 28 | 16,825,669.06 | 5.59 | 6.625 | 711 | 600,916.75 | 74.99 | |||||||||||||||||||||
11.750 | 47 | 27,926,375.32 | 9.28 | 6.735 | 699 | 594,178.20 | 76.21 | |||||||||||||||||||||
11.875 | 39 | 21,991,379.70 | 7.30 | 6.875 | 700 | 563,881.53 | 75.73 | |||||||||||||||||||||
12.000 | 16 | 9,072,606.51 | 3.01 | 7.000 | 691 | 567,037.91 | 72.85 | |||||||||||||||||||||
12.125 | 11 | 7,102,955.34 | 2.36 | 7.125 | 699 | 645,723.21 | 77.62 | |||||||||||||||||||||
12.250 | 19 | 9,855,422.93 | 3.27 | 7.250 | 697 | 518,706.47 | 78.48 | |||||||||||||||||||||
12.375 | 16 | 9,580,666.14 | 3.18 | 7.375 | 689 | 598,791.63 | 76.13 | |||||||||||||||||||||
12.500 | 9 | 5,527,215.97 | 1.84 | 7.500 | 686 | 614,135.11 | 79.14 | |||||||||||||||||||||
12.625 | 6 | 3,627,594.60 | 1.20 | 7.625 | 696 | 604,599.10 | 74.84 | |||||||||||||||||||||
12.750 | 4 | 2,650,640.62 | 0.88 | 7.750 | 711 | 662,660.16 | 78.55 | |||||||||||||||||||||
12.875 | 2 | 1,319,800.00 | 0.44 | 7.875 | 704 | 659,900.00 | 73.37 | |||||||||||||||||||||
13.000 | 2 | 2,012,000.00 | 0.67 | 8.000 | 695 | 1,006,000.00 | 80.00 | |||||||||||||||||||||
13.125 | 1 | 558,000.00 | 0.19 | 8.125 | 702 | 558,000.00 | 88.37 | |||||||||||||||||||||
13.250 | 4 | 2,853,455.00 | 0.95 | 8.250 | 677 | 713,363.75 | 71.10 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average maximum mortgage rate of the mortgage loans is approximately 11.459% per annum. |
A-9
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
April 2010 | 1 | $ | 420,000.00 | 0.14 | % | 6.625 | % | 661 | $ | 420,000.00 | 62.69 | % | ||||||||||||||||
July 2010 | 3 | 2,755,372.83 | 0.92 | 6.444 | 696 | 918,457.61 | 71.87 | |||||||||||||||||||||
August 2010 | 3 | 2,352,640.62 | 0.78 | 6.373 | 712 | 784,213.54 | 71.82 | |||||||||||||||||||||
September 2010 | 1 | 420,000.00 | 0.14 | 5.750 | 794 | 420,000.00 | 80.00 | |||||||||||||||||||||
October 2010 | 46 | 26,926,470.98 | 8.94 | 6.470 | 697 | 585,358.06 | 76.11 | |||||||||||||||||||||
November 2010 | 223 | 130,582,593.14 | 43.37 | 6.383 | 694 | 585,572.17 | 76.03 | |||||||||||||||||||||
December 2010 | 195 | 116,334,483.47 | 38.64 | 6.484 | 695 | 596,587.09 | 76.32 | |||||||||||||||||||||
January 2011 | 33 | 21,265,781.00 | 7.06 | 6.769 | 687 | 644,417.61 | 77.95 | |||||||||||||||||||||
Total: | 505 | $ | 301,057,342.04 | 100.00 | % | 6.457 | % | 694 | $ | 596,153.15 | 76.20 | % | ||||||||||||||||
(1) | As of the cut-off date, the weighted average months to the next adjustment date of the mortgage loans is approximately 58 months. |
A-10
TAX DOCUMENTATION PROCEDURES
B-1
B-2
B-3
B-4
B-5
B-6
• | fixed rate mortgage loans secured by senior and junior liens on one- to four-family residential properties; | |
• | adjustable rate mortgage loans secured by senior and junior liens on one- to four-family residential properties; | |
• | mortgage pass-through securities issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac; | |
• | private mortgage-backed securities; and | |
• | other assets described in the prospectus supplement. |
Summary of Prospectus | 4 | |||
Risk Factors | 8 | |||
The Depositor | 13 | |||
The Trust | 13 | |||
Use of Proceeds | 28 | |||
Loan Program | 28 | |||
Description of the Securities | 31 | |||
Credit Enhancement | 46 | |||
Yield and Prepayment Considerations | 53 | |||
The Agreements | 56 | |||
Certain Legal Aspects of the Loans | 73 | |||
Federal Income Tax Consequences | 84 | |||
State Tax Considerations | 104 | |||
ERISA Considerations | 104 | |||
Legal Investment | 111 | |||
Method of Distribution | 112 | |||
Legal Matters | 113 | |||
Financial Information | 113 | |||
Available Information | 113 | |||
Incorporation of Certain Documents by Reference | 114 | |||
Rating | 114 | |||
Index of Defined Terms | 116 |
2
PROSPECTUS AND EACH ACCOMPANYING
PROSPECTUS SUPPLEMENT
• | this prospectus, which provides general information, some of which may not apply to a particular series; and | ||
• | the accompanying prospectus supplement for a particular series, which describes the specific terms of the securities of that series. |
3
• | This summary highlights material information from this prospectus and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the securities, carefully read this entire prospectus and the accompanying prospectus supplement. | |
• | This summary provides an overview of the structural elements, calculations, cash flows and other information to aid your understanding and is qualified by the full description of these calculations, cash flows and other information in this prospectus and the accompanying prospectus supplement. | |
• | There are material risks associated with an investment in the securities. You should read the section entitled “Risk Factors” beginning on page 8 of this prospectus and in the accompanying prospectus supplement, and consider the risk factors described in those sections, before making a decision to invest in the securities. |
• | certificates representing interests in the assets of the trust related to a certain series; or | ||
• | notes or bonds which are secured by the pledge of the trust assets related to a certain series. |
4
• | are stripped of regular interest payments and entitled only to principal distributions, with disproportionate, nominal or no interest distributions; | ||
• | are stripped of regular principal payments and entitled only to interest distributions, with disproportionate, nominal or no principal distributions; | ||
• | have different terms including different interest rates and different timing, sequential order or priority of payments, amount of principal or interest or both; | ||
• | will not distribute accrued interest but rather will add the accrued interest to the note principal balance, or nominal balance, in the manner described in the related prospectus supplement; | ||
• | are senior or subordinate to one or more other classes of securities in respect of distributions of principal and interest and allocations of losses on receivables; or | ||
• | have a feature entitling the class to a portion of or no principal distri- butions for an initial period and then all or a different portion of the principal distributions during subsequent periods. |
• | upon the occurrence of specified events; | ||
• | in accordance with a schedule or formula; or | ||
• | on the basis of collections from designated portions of the related trust assets. |
• | fixed rate mortgage loans secured by senior and junior liens on one-to four-family residential properties; | ||
• | adjustable rate mortgage loans secured by senior and junior liens on one- to four-family residential properties; | ||
• | mortgage pass-through securities issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac; | ||
• | private mortgage-backed securities; | ||
• | closed-end and/or revolving home equity loans or certain balances thereof secured by senior and junior liens on one- to four-family residential properties; and | ||
• | other assets as described in detail elsewhere in the prospectus supplement. |
5
• | the subordination of one or more classes of the securities of such series; | ||
• | a limited financial guaranty policy issued by an entity named in the prospectus supplement; | ||
• | the establishment of one or more reserve accounts; | ||
• | the use of a cross-collateralization feature; | ||
• | use of a mortgage pool insurance policy; | ||
• | excess spread, | ||
• | over-collateralization; | ||
• | letter of credit; | ||
• | guaranteed investment contract; | ||
• | primary mortgage insurance, | ||
• | other pledged assets, | ||
• | corporate guarantees, | ||
• | surety bond; | ||
• | special hazard insurance policy; | ||
• | bankruptcy bond; | ||
• | FHA insurance or VA guarantee; | ||
• | any other method of credit enhancement contemplated in this prospectus and described in the prospectus supplement; and | ||
• | any combination of the foregoing. |
6
• | regular interests or residual interests in a trust treated as a real estate mortgage investment conduit or REMIC under Sections 860A through 860G of the Internal Revenue Code, or | ||
• | indebtedness issued by a real estate investment trust or its taxable subsidiary. | ||
• | You should consult your own tax advisor concerning your investment. |
7
8
• | the amortization schedules of the loans; | ||
• | the rate of principal prepayments (including partial prepayments and prepayments resulting from refinancing) by borrowers; | ||
• | liquidations or repurchases of defaulted loans by the servicer; | ||
• | repurchases of loans by the seller as a result of defective documentation or breaches of representations and warranties; and | ||
• | the mandatory or optional purchase by the servicer or other entity with such rights of all of the loans or some or all of the securities in connection with an optional redemption of securities or termination of the trust. |
• | If you are purchasing a security at a discount, in particular, a principal-only security, your yield may be lower than expected if principal payments on the loans occur at a slower rate than you expected; | ||
• | If you are purchasing a security at a premium, in particular, an interest-only security, your yield may be lower than expected if principal payments on the loans occur at a faster rate than you expected and you could lose your initial investment; and | ||
• | The earlier a payment of principal occurs, the greater the impact on your yield. For example, if you purchase a security 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. |
9
• | there may be a delay in payments to securityholders while a deficiency judgment against the borrower is sought; and | ||
• | securityholders may incur a loss if a deficiency judgment cannot be obtained or is not realized upon. |
10
11
12
13
14
• | Interest may be payable at a Fixed rate, a rate adjustable from time to time in relation to an index, a rate that is fixed for a period of time or under certain circumstances and is followed by an adjustable rate, a rate that otherwise varies from time to time, a rate that is convertible from an adjustable rate to a fixed rate, or a rate that is convertible from one index to another, in each case as specified in the prospectus supplement. Changes to an adjustable rate may be subject to periodic limitations, maximum rates, minimum rates or a combination of such limitations. Accrued interest may be deferred and added to the principal of a loan for such periods and under such circumstances as may be specified in the prospectus supplement. | ||
• | Principal may be payable on a level debt service basis to fully amortize the loan over its term, may be calculated on the basis of an assumed amortization schedule that is significantly longer than the original term to maturity or on an interest rate that is different from the loan rate or may not be amortized during all or a portion of the original term. Certain loans may provide for monthly payments of interest but no payments of principal for either the first five or ten years or any other period specified after origination. Certain loans may require payment of all or a substantial portion of the principal upon maturity, commonly referred to as a “balloon payment”. Principal may include interest that has been deferred and added to the principal balance of the loan. | ||
• | Monthly payments of principal and interest may be fixed for the life of the loan, may increase over a specified period of time or may change from period to period. |
15
Loans may include limits on periodic increases or decreases in the amount of monthly payments and may include maximum or minimum amounts of monthly payments. | |||
• | Prepayments of principal may be subject to a prepayment fee, which may be fixed for the life of the loan or may change over time. Certain loans may permit prepayments after expiration of certain periods, commonly referred to as “lockout periods”. Other loans may permit prepayments without payment of a fee unless the prepayment occurs during specified time periods. The loans may include “due on sale” clauses which permit the mortgagee to demand payment of the entire loan in connection with the sale or certain transfers of the related property. Other loans may be assumable by persons meeting the then applicable standards set forth in the underlying loan documents. |
16
17
• | the aggregate outstanding principal balance and the average outstanding principal balance of the loans as of the applicable cut-off date; | ||
• | the type of property securing the loan (e.g., single family residences, individual units in condominium apartment buildings, two- to four-family dwelling units, other real property or home improvements); | ||
• | the original terms to maturity of the loans; | ||
• | the largest principal balance of any of the loans; | ||
• | the smallest principal balance of any of the loans; | ||
• | the earliest origination date and latest maturity date of any of the loans; | ||
• | the loan-to-value ratios or combined loan-to-value ratios, as applicable, of the loans; | ||
• | the loan rates or annual percentage rates or range of loan rates or annual percentage rates borne by the loans; | ||
• | the maximum and minimum per annum loan rates; and | ||
• | the geographical location of real property related to the loans. |
18
19
20
21
22
23
24
25
• | pass-through certificates or participation certificates evidencing an undivided interest in a pool of single family loans, home equity loans, multifamily loans, manufactured housing contracts or home improvement contracts, | ||
• | collateralized mortgage obligations secured by single family loans, home equity loans, multifamily loans, manufactured housing contracts or home improvement contracts, or | ||
• | other private mortgage-backed securities. |
26
• | the aggregate approximate principal amount and type of private mortgage-backed securities to be included in the trust fund, | ||
• | the maximum original term-to-stated maturity of the private mortgage-backed securities, | ||
• | the weighted average term-to-stated maturity of the private mortgage-backed securities, | ||
• | the pass-through or certificate rate of the private mortgage-backed securities, | ||
• | the weighted average pass-through of interest rate of the private mortgage-backed securities, | ||
• | the issuer, the servicer (if other than the issuer) and the trustee, | ||
• | certain characteristics of any credit support such as reserve funds, insurance policies, surety bonds, letters of credit or guaranties relating to the loans underlying the private mortgage-backed securities themselves, | ||
• | the terms on which the loans underlying the private mortgage-backed securities may, or are required to, be purchased prior to their stated maturity or the stated maturity of the private mortgage-backed securities, and |
27
• | the terms on which mortgage loans may be substituted for those originally underlying the private mortgage-backed securities. |
• | the payment features of the mortgage loans, | ||
• | the approximate aggregate principal balance, if known, of underlying loans insured or guaranteed by a governmental entity, | ||
• | the servicing fee or range of servicing fees with respect to the loans, and | ||
• | the minimum and maximum stated maturities of the underlying loans at origination. |
28
• | to meet the borrower’s monthly obligations on the proposed mortgage loan (generally determined on the basis of the monthly payments due in the year of origination) and other expenses related to the property (such as property taxes and hazard insurance), and | ||
• | to meet monthly housing expenses and other financial obligations and monthly living expenses. |
29
• | that title insurance (or in the case of properties located in areas where such policies are generally not available, an attorney’s certificate of title) and any required hazard insurance policy were effective at origination of each loan and that each policy (or certificate of title as applicable) remained in effect on the date of purchase of the loan from the seller by or on behalf of the depositor; | ||
• | that the seller had good title to each such loan and such loan was subject to no offsets, defenses, counterclaims or rights of rescission except to the extent that any buydown agreement may forgive certain indebtedness of a borrower; |
30
• | that each loan constituted a valid lien on, or a perfected security interest with respect to, the property (subject only to permissible liens disclosed, if applicable, title insurance exceptions, if applicable, and certain other exceptions described in the Agreement) and that the property was free from damage and was in acceptable condition; | ||
• | that there were no delinquent tax or assessment liens against the property; | ||
• | that no required payment on a loan was delinquent more than the number of days specified in the prospectus supplement; and | ||
• | that each loan was made in compliance with, and is enforceable under, all applicable state and federal laws and regulations in all material respects. |
31
• | will be issued in book-entry or fully registered form, in the authorized denominations specified in the prospectus supplement; | ||
• | will, in the case of certificates, evidence specified beneficial ownership interests in the assets of the trust; | ||
• | will, in the case of notes or bonds, be secured by the assets of the trust; and | ||
• | will not be entitled to payments in respect of the assets included in any other trust established by the depositor. |
• | the trust assets subject to the related Agreement, including all payments of interest and principal received with respect to the loans after the cut-off date; | ||
• | such assets as from time to time are required to be deposited in the related Collection Account; | ||
• | property which secured a loan and which is acquired on behalf of the securityholders by foreclosure or deed in lieu of foreclosure; and | ||
• | any insurance policies or other forms of credit enhancement required to be maintained pursuant to the related Agreement. |
32
33
34
35
36
37
• | the amount of the distribution made on that payment date that is allocable to principal, separately identifying the aggregate amount of any principal prepayments and, if specified in the prospectus supplement, any applicable prepayment penalties included therein; | ||
• | the amount of the distribution made on that payment date that is allocable to interest; | ||
• | the amount of any advance made during the related due period; | ||
• | the aggregate amount (a) otherwise allocable to the subordinated securityholders on that payment date, and (b) withdrawn from the reserve account, if any, that is included in the amounts distributed to the senior securityholders; | ||
• | the outstanding principal balance or notional amount, as applicable, of each class of the related series after giving effect to all distributions of principal on that payment date; | ||
• | the percentage or amount of principal payments on the loans (excluding prepayments), if any, which each class will be entitled to receive on the related payment date; | ||
• | the percentage or amount of principal prepayments on the loans, if any, which each such class will be entitled to receive on the related payment date; | ||
• | the amount of the servicing compensation retained or withdrawn from the collection account by the servicer, and the amount of additional servicing compensation received by the servicer attributable to penalties, fees, excess liquidation proceeds and other similar charges and items; | ||
• | the number and aggregate principal balances of loans which are: |
• | not in foreclosure but are delinquent (A) 31 to 60 days, (B) 61 to 90 days and (C) 91 or more days, as of the close of business on the last day of the calendar month preceding that payment date; and | ||
• | in foreclosure and are delinquent (A) 31 to 60 days, (B) 61 to 90 days and (C) 91 or more days, as of the close of business on the last day of the calendar month preceding that payment date; |
• | the remaining principal balance of any loan secured by real estate acquired through foreclosure or grant of a deed in lieu of foreclosure and held as of the last day of the calendar month preceding that payment date; |
38
• | the pass-through rate or interest rate, as applicable, if adjusted from the date of the last statement, of any such class expected to be applicable to the next distribution to such class; | ||
• | if applicable, the amount remaining in any reserve account at the close of business on that payment date; | ||
• | the pass-through rate or interest rate, as applicable, as of the day prior to the immediately preceding payment date; and | ||
• | any amounts remaining under letters of credit, pool insurance policies or other forms of credit enhancement after distributions made on that payment date. |
PRINCIPAL TYPES | ||
CATEGORIES OF CLASSES | DEFINITION | |
Accretion Directed | A class that receives principal payments that are funded from collections that would have otherwise funded interest payments on the accreted interest from specified accrual classes. An accretion directed class also may receive principal payments from principal paid on the trust assets. | |
Component Securities | A class consisting of “components.” The components of a class of component securities may have different principal and/or interest payment characteristics but together constitute a single class. Each component of a class of component securities may be identified as falling into one or more of the categories in this chart. |
39
CATEGORIES OF CLASSES | DEFINITION | |
Notional Amount Securities | A class having no principal balance and bearing interest on the related notional amount. The notional amount is used for purposes of the determination of interest distributions. | |
Planned Principal Class or PACs | A class that is designed to receive principal payments using a predetermined principal balance schedule derived by assuming two constant prepayment rates for the trust assets. These two rates are the endpoints for the “structuring range’’ for the planned principal class. The planned principal classes in any series of securities may be subdivided into different categories (e.g., primary planned principal classes, secondary planned principal classes and so forth) having different effective structuring ranges and different principal payment priorities. The structuring range for the secondary planned principal class of a series of securities will be narrower than that for the primary planned principal class of such series. | |
Scheduled Principal Class | A class that is designated to receive principal payments using a predetermined principal balance schedule but is not designated as a planned principal class or targeted principal class. In many cases, the schedule is derived by assuming two constant prepayment rates for the trust assets. Theses two rates are the endpoints for the “structuring range’’ for the scheduled principal class. | |
Sequential Pay | Classes that receive principal payments in a prescribed sequence, that do not have predetermined principal balance schedules and that receive payments of principal, when amounts are available to make payments of principal, continuously from the First payment date on which they receive principal until they are retired. A single class that receives principal payments before or after all other classes in the same series of securities may be identified as a sequential pay class. |
40
CATEGORIES OF CLASSES | DEFINITION | |
Strip | A class that receives a constant proportion, or “strip,” of the principal payments on the trust assets. The constant proportion of such principal payments may or may not vary for each trust asset included in the trust and will be calculated in the manner described in the prospectus supplement. These classes may also receive payments of interest. | |
Support Class (or companion class) | A class that receives principal payments on any payment date only if scheduled payments have been made on specified planned principal classes, targeted principal classes and/or scheduled principal classes. | |
Targeted Principal Class | A class that is designated to receive principal payments using a predetermined principal balance schedule derived by assuming a single constant prepayment rate for the trust assets. | |
INTEREST TYPES | ||
Accrual | A class that adds accrued interest otherwise distributable on the class to the principal balance of the class on each applicable payment date. The accretion may continue until some specified event has occurred or until the class is retired. | |
Fixed Rate | A class with a pass-through rate or interest rate that is Fixed throughout the life of the class. | |
Floating Rate | A class with an interest rate that resets periodically based upon a designated index and that varies directly with changes in that index. | |
Inverse Floating Rate | A class with an interest rate that resets periodically based upon a designated index and that varies inversely with changes in such index. |
41
CATEGORIES OF CLASSES | DEFINITION | |
Interest Only or IO | A class that receives some or all of the interest payments made on the trust assets and little or no principal. Interest only certificates have either a nominal principal balance or a notional amount. A nominal principal balance represents actual principal that will be paid on the class. It is referred to as nominal since it is extremely small compared to other classes. A notional amount is an amount used as a reference to calculate the amount of interest due on an interest only security but is never actually paid out as principal on the class. | |
Partial Accrual | A class that adds a portion of the amount of accrued interest thereon to the principal balance of the class on each applicable payment date, with the remainder of the accrued interest to be distributed currently as interest on the class on each applicable payment date. The accretion of designated amounts of the interest may continue until a specified event has occurred or until the class is retired. | |
Principal Only or PO | A class that does not bear interest and is entitled to receive only distributions in respect of principal. | |
Variable Rate | A class with a pass-through rate of interest rate that resets periodically and is calculated by reference to the rate or rates of interest applicable to specified assets or instruments (e.g., the loan rates borne by the loans in the trust). |
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• | the subordination of one or more classes of the securities of such series; | ||
• | a limited financial guaranty policy issued by an entity named in the prospectus supplement; | ||
• | the establishment of one or more reserve accounts; |
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• | the use of a cross-collateralization feature; | ||
• | use of a mortgage pool insurance policy; | ||
• | excess spread, | ||
• | over-collateralization; | ||
• | letter of credit; | ||
• | guaranteed investment contract; | ||
• | primary mortgage insurance, | ||
• | other pledged assets, | ||
• | corporate guarantees, | ||
• | surety bond; | ||
• | special hazard insurance policy; | ||
• | bankruptcy bond; | ||
• | FHA insurance or V A guarantee; | ||
• | another method of credit enhancement contemplated in this prospectus and described in the prospectus supplement; and | ||
• | any combination of the foregoing. |
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• | in the order of their scheduled final payment dates; | ||
• | in accordance with a schedule or formula; | ||
• | in relation to the occurrence of events; or | ||
• | otherwise, as specified in the prospectus supplement. |
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• | maintaining timely payments or providing additional protection against losses on the assets included in such trust; | ||
• | paying administrative expenses; or | ||
• | establishing a minimum reinvestment rate on the payments made in respect of those assets or principal payment rate on those assets. |
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• | cash, United States Treasury securities, instruments evidencing ownership of principal or interest payments thereon, letters of credit, demand notes, certificates of deposit or a combination of the foregoing in an aggregate amount specified in the prospectus supplement; or | ||
• | amounts generated by the trust assets deposited from time to time to which the subordinate securityholders, if any, would otherwise be entitled. |
• | any required primary mortgage insurance policy is in effect for the defaulted loan and a claim thereunder has been submitted and settled; | ||
• | hazard insurance on the related property has been kept in force and real estate taxes and other protection and preservation expenses have been paid; |
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• | if there has been physical loss or damage to the property, it has been restored to its physical condition (reasonable wear and tear excepted) at the time of issuance of the policy; and | ||
• | the insured has acquired good-and merchantable title to the property free and clear of liens except certain permitted encumbrances. |
• | to purchase the property securing the defaulted loan at a price equal to the principal balance thereof plus accrued and unpaid interest at the loan rate to the date of such purchase and certain expenses incurred by the servicer on behalf of the trustee and securityholders, net of certain amounts paid or assumed to have been paid under the related primary mortgage insurance policy; or | ||
• | to pay the amount by which the sum of the principal balance of the defaulted loan plus accrued and unpaid interest at the loan rate to the date of payment of the claim and the aforementioned expenses exceeds the proceeds received from an approved sale of the property, net of certain amounts paid or assumed to have been paid under the related primary mortgage insurance policy. |
• | fraud or negligence in the origination or servicing of a loan, including misrepresentation by the borrower, the originator or persons involved in the origination of the loan; | ||
• | failure to construct a property in accordance with plans and specifications or | ||
• | losses arising from special hazards, such as earthquakes, floods, mudslides or vandalism. |
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• | maintaining timely payments or providing additional protection against losses on the assets included in the trust; | ||
• | paying administrative expenses; or | ||
• | establishing a minimum reinvestment rate on the payments made in respect of those assets or principal payment rate on those assets. |
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• | general economic conditions; | ||
• | prevailing interest rate levels; | ||
• | availability of alternative financing; | ||
• | homeowner mobility; | ||
• | for junior liens, the amounts of, and interest rates on, the underlying senior mortgage loans; and | ||
• | the use of first mortgage loans as long-term financing for home purchase and subordinate mortgage loans as shorter-term financing for a variety of purposes, including home improvement, education expenses and purchases of consumer durables such as automobiles. |
• | make payments during any month as low as the minimum monthly payment for that month or, during the interest-only period for certain revolving credit line loans and, in more limited circumstances, closed-end loans, with respect to which an interest-only payment option has been selected, the interest and the fees and charges for such month; | ||
• | make payments as high as the entire outstanding principal balance plus accrued interest and the fees and charges thereon; | ||
• | fail to make the required periodic payments; or | ||
• | vary payments month to month due to seasonal purchasing and other personal payment habits. |
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• | the mortgage note or credit line agreement endorsed without recourse in blank or to the order of the trustee; | ||
• | the mortgage, deed of trust or similar instrument with evidence of recording indicated thereon, except that in the case of any mortgage not returned form the public recording office, the depositor will deliver or cause to be delivered a copy of such mortgage together with a certificate that the original of the mortgage was delivered to such recording office; |
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• | an assignment of the mortgage to the trustee, which assignment will be in recordable form in the case of a mortgage assignment; and | ||
• | all other security documents, including those relating to any senior interests in the property, that are specified in the prospectus supplement or the related Agreement. |
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• | maintained with a depository institution the short-term debt obligations of which (or, in the case of a depository institution that is the principal subsidiary of a holding company, the short-term debt obligations of such holding company) are rated in one of the two highest short-term rating categories by the rating agency that rated one or more classes of the related series of securities; | ||
• | an account or accounts the deposits in which are fully insured by the FDIC; | ||
• | an account or accounts the deposits in which are insured by the FDIC to the limits established by the FDIC and the uninsured deposits in which are otherwise secured such that, as evidenced by an opinion of counsel, securityholders have a claim with respect to the funds in such account or accounts, or a perfected first-priority security interest against any collateral securing those funds, that is superior to the claims of any other depositors or general creditors of the depository institution with which such account or accounts are maintained; or | ||
• | an account or accounts otherwise acceptable to the rating agency. |
• | all payments on account of principal and interest (which may be net of the applicable servicing compensation), including principal prepayments and, if specified in the prospectus supplement, any applicable prepayment penalties, on the loans; | ||
• | all net insurance proceeds, less any incurred and unreimbursed advances made by the servicer, of the hazard insurance policies and any primary mortgage insurance policies, to the extent such proceeds are not applied to the restoration of the |
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property or released to the mortgagor in accordance with the servicer’s normal servicing procedures; | |||
• | all proceeds received in connection with the liquidation of defaulted loans, less any expenses of liquidation and any unreimbursed advances made by the servicer with respect to the liquidated loans; | ||
• | any net proceeds received on a monthly basis with respect to any properties acquired on behalf of the securityholders by foreclosure or deed in lieu of foreclosure; | ||
• | all advances as described in this prospectus under “Description of the Securities — Advances ”; | ||
• | all proceeds of any loan or property in respect thereof repurchased by any seller as described under “Loan Program — Representations by Sellers; Repurchases” or “— Assignment of Trust Assets” above and all proceeds of any loan repurchased as described under “— Termination; Optional Termination” below; | ||
• | all payments required to be deposited in the collection account with respect to any deductible clause in any blanket insurance policy described under “— Hazard Insurance” below; | ||
• | any amount required to be deposited by the servicer in connection with losses realized on investments for the benefit of the servicer of funds held in the collection account and, to the extent specified in the prospectus supplement, any payments required to be made by the servicer in connection with prepayment interest shortfalls; and | ||
• | all other amounts required to be deposited in the collection account pursuant to the related agreement. |
• | to transfer funds for the trustee for distribution of payments due on the securities and other purposes set forth in the prospectus supplement; | ||
• | to pay to the servicer the purchase price of any additional balances transferred to the trustee resulting from draws under revolving lines of credit as set forth in the prospectus supplement; | ||
• | to pay to the servicer the servicing fees described in the prospectus supplement and, as additional servicing compensation, earnings on or investment income with respect to funds in the collection account credited thereto; | ||
• | to reimburse the servicer for advances made with respect to a loan, but only from amounts received that represent late payments of principal on, late payments of interest on, insurance proceeds received with respect to or liquidation proceeds received with respect to the same loan; | ||
• | to reimburse the servicer for any advances previously made which the servicer has determined to be nonrecoverable; |
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• | to reimburse the servicer from insurance proceeds for expenses incurred by the servicer and covered by insurance policies; | ||
• | to reimburse the servicer for unpaid servicing fees and unreimbursed out-of-pocket costs and expenses incurred by the servicer in the performance of its servicing obligations, such right of reimbursement being limited to amounts received representing late recoveries of the payments for which the original advances were made; | ||
• | to pay to the servicer, with respect to each loan or property acquired in respect thereof that has been purchased by the servicer pursuant to the Agreement, all amounts received thereon and not taken into account in determining the principal balance of that repurchased loan, | ||
• | to reimburse the servicer or the depositor for expenses incurred and reimbursable pursuant to the Agreement; | ||
• | to pay or reimburse the trustee or any other party as provided in the prospectus supplement; | ||
• | to withdraw any amount deposited in the collection account that was not required to be deposited therein; and | ||
• | to clear and terminate the collection account upon termination of the Agreement. |
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• | waive any prepayment charge, assumption fee, late payment or other charge in connection with a loan; and | ||
• | to the extent not inconsistent with the rules applicable to REMIC, and with the coverage of an individual loan by a pool insurance policy, primary mortgage insurance policy, FHA insurance, VA guaranty, bankruptcy bond or alternative arrangements, if applicable, suspend or reduce regular monthly payment on the |
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loan for a period of up to six months, or arrange with the related borrower a schedule for the liquidation of delinquencies. |
• | the maximum insurable value of the improvements securing the loan from time to time; and | ||
• | either the combined principal balance owing on the loan and any mortgage loan senior to such loan or an amount such that the proceeds of the policy shall be sufficient to prevent the mortgagor or obligor and/or the lender from becoming a co-insurer, whichever is greater. |
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• | war; | ||
• | revolution; | ||
• | governmental actions; | ||
• | floods and other water-related causes; | ||
• | earth movement, including earthquakes, landslides and mud flows; | ||
• | nuclear reactions; | ||
• | wet or dry rot; | ||
• | vermin, rodents, insects or domestic animals; or | ||
• | theft and, in certain cases, vandalism. |
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• | all rents or other payments collected or received by the insured (other than the proceeds of hazard insurance) that are derived from or in any way related to the property; | ||
• | hazard insurance proceeds in excess of the amount required to restore the property and which have not been applied to the payment of the loan; | ||
• | amounts expended but not approved by the insurer of the related primary mortgage insurance policy; | ||
• | claim payments previously made by the insurer; and | ||
• | unpaid premiums. |
Primary mortgage insurance policies reimburse certain losses sustained by reason of default in payments by borrowers. Primary mortgage insurance policies will not insure against, and exclude from coverage, losses sustained by reason of a default arising from or involving certain matters, including: |
• | fraud or negligence in origination or servicing of the loans, including misrepresentation by the originator, mortgagor (or obligor) or other persons involved in the origination of the loan; | ||
• | failure to construct the property subject to the loan in accordance with specified plans; |
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• | physical damage to the property; and | ||
• | the related subservicer not being approved as a servicer by the insurer. |
• | First, to reimburse the servicer for any unreimbursed expenses incurred by it to restore the related property and any unreimbursed servicing compensation payable to the servicer with respect to the loan; | ||
• | second, to reimburse the servicer for any unreimbursed advances with respect to the loan; | ||
• | third, to accrued and unpaid interest (to the extent no advance has been made for that amount) on the loan; and | ||
• | fourth, as a recovery of principal of the loan. |
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• | any failure by the servicer to make an Advance which continues unremedied for one business day; | ||
• | any failure by the servicer to make or cause to be made any other required payment pursuant to the Agreement which continues unremedied for one business day after written notice of such failure to the servicer in the manner specified in the Agreement; | ||
• | any failure by the servicer duly to observe or perform in any material respect any of its other covenants or agreements in the Agreement which continues unremedied for sixty days after written notice of the failure to the servicer in the manner specified in the Agreement; and | ||
• | certain events of insolvency, readjustment of debt, marshalling of assets and liabilities or similar proceedings and certain actions by or on behalf of the servicer indicating its insolvency, reorganization or inability to pay its obligations. |
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• | a default in the payment of any principal of or interest on any note or bond as specified in the prospectus supplement; | ||
• | failure to perform in any material respect any other covenant of the depositor or the trust in the indenture which continues for a period of thirty (30) days after notice thereof is given in accordance with the procedures described in the prospectus supplement; | ||
• | certain events of bankruptcy, insolvency, receivership or liquidation of the depositor or the trust; or | ||
• | any other event of default provided with respect to notes or bonds of that series including, but not limited to, certain defaults on the part of the trust, if any, of a credit enhancement instrument supporting such notes or bonds. |
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• | the holders of 100% of the aggregate voting rights of the bonds of such series consent to the sale; | ||
• | the proceeds of the sale or liquidation are sufficient to pay in full the principal of and accrued interest, due and unpaid, on the outstanding notes or bonds of the series at the date of the sale; or | ||
• | the trustee determines that the collateral would not be sufficient on an ongoing basis to make all payments on the notes or bonds as those payments would have become due if the notes or bonds had not been declared due and payable, and the trustee obtains the consent of the holders of 662/3% of the aggregate voting rights of the notes or bonds of that series. |
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• | to cure any ambiguity; | ||
• | to correct a defective provision or correct or supplement any provision therein which may be inconsistent with any other provision therein; | ||
• | to make any other revisions with respect to matters or questions arising under the Agreement which are not inconsistent with the provisions thereof; or | ||
• | to comply with any requirements imposed by the Code or any regulation thereunder; provided, however, that no such amendments (except those pursuant to this clause) will adversely affect in any material respect the interests of any security holder. |
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(a) | the final payment of or other liquidation of the last of the trust assets subject thereto or the disposition of all property acquired upon foreclosure of any such trust assets remaining in the trust; and | ||
(b) | the purchase by the servicer or, if REMIC treatment has been elected and if specified in the prospectus supplement, by the holder of the residual interest or any other party specified to have such rights (see “Federal Income Tax Consequences” below), from the related trust of all of the remaining trust assets and all property acquired in respect of the related trust assets. |
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• | Prohibited Transaction Class Exemption (“PTCE”) 84-14, which exempts certain transactions effected on behalf of a Plan by a “qualified professional asset manager”; | ||
• | PTCE 90-1, which exempts certain transactions involving insurance company pooled separate accounts; | ||
• | PTCE 91-38, which exempts certain transactions involving bank collective investment funds; |
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• | PTCE 95-60, which exempts certain transactions involving insurance company general accounts; or | ||
• | PTCE 96-23, which exempts certain transactions effected on behalf of a Plan by certain “in-house asset managers.” |
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• | the maintenance of a system of insurance or other protection for the pooled mortgage loans and property securing such loans, and for indemnifying certificate-holders against reductions in pass-through payments due to property damage or defaults in loan payments in an amount not less than the greater of one percent of the aggregate principal balance of all covered pooled mortgage loans or the principal balance of the largest covered pooled mortgage loan; | ||
• | the existence of a pool trustee who is not an affiliate of the pool depositor; and | ||
• | a limitation on the amount of the payment retained by the pool depositor, together with other funds inuring to its benefit, to not more than adequate consideration for selling the mortgage loans plus reasonable compensation for services provided by the pool depositor to the pool. |
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• | certain types of secured receivables, secured loans and other secured obligations, including home equity loans, obligations secured by shares issued by a cooperative housing association, and obligations that bear interest or are purchased at a discount and which are secured by single-family residential real property and/or multi-family residential real property (including obligations secured by leasehold interests on residential real property); | ||
• | property securing a permitted obligation; | ||
• | undistributed cash, cash credited to a “pre-funding account” or a “capitalized interest account”, and certain temporary investments made therewith; and | ||
• | certain types of credit support arrangements, including yield supplement agreements and interest-rate swaps that meet certain requirements set forth in exemptions. |
• | the plan must acquire the securities on terms, including the security price, that are at least as favorable to the plan as they would be in an arm’s-length transaction with an unrelated party; | ||
• | the securities must not be subordinated to any other class of securities issued by the same issuer, unless the securities are issued in a “designated transaction”; | ||
• | at the time of acquisition, the securities acquired by the plan must have received a rating in one of the three (or, in the case of designated transactions, four) highest generic rating categories from Standard and Poor’s Rating Services, Moody’s Investors Service, Inc. or Fitch Ratings, each referred to herein as a “rating agency”; | ||
• | the trustee must not be an affiliate of any other member of the “restricted group “; | ||
• | the sum of all payments made to and retained by the underwriter must not total more than reasonable compensation for underwriting the securities, the sum of all payments made to and retained by the issuer’s depositor for assigning the obligations to the issuer must not total more than the fair market value of the obligations, and the sum of all payments made to and retained by any servicer |
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must not total more than reasonable compensation and expense reimbursement for its services; | |||
• | the plan must be an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the commission under the Securities Act of 1933; and | ||
• | in the event that all of the obligations used to fund the issuer have not been transferred to the issuer on the closing date, additional obligations having an aggregate value equal to no more than 25% of the total principal amount of the securities being offered may be transferred to the issuer under a pre-funding feature within ninety days or three months following the closing date. |
• | the assets of the issuer must consist solely of assets of the type that have been included in other investment pools; | ||
• | securities evidencing interests in other investment pools must have been rated in one of the three (or in the case of designated transactions, four) highest rating categories by a rating agency for at least one year prior to the plan’s acquisition of securities; and | ||
• | investors other than plans must have purchased securities evidencing interests in the other investment pools for at least one year prior to the plan’s acquisition of securities. |
• | the securities acquired by a plan in the designated transaction are not subordinated to any other class of securities issued by the same issuer; | ||
• | at the time of acquisition, the securities acquired by the plan must have received a rating in one of the two highest generic rating categories from a rating agency; and | ||
• | the obligations must be secured by collateral whose fair market value on the closing date of the designated transaction is at least equal to 80% of the sum of (i) the outstanding principal balance due under the obligation and (ii) the outstanding principal balance of any other obligations of higher priority (whether or not held by the issuer) which are secured by the same collateral. |
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• | in the case of an acquisition in connection with the initial issuance of the securities, at least fifty percent of each class of securities in which plans have invested is acquired by persons independent of the restricted group and at least fifty percent of the aggregate interest in the issuer is acquired by persons independent of the restricted group; | ||
• | the fiduciary, or its affiliate, is an obligor with respect to five percent or less of the fair market value of the obligations or receivables contained in the issuer; | ||
• | the plan’s investment in each class of securities does not exceed twenty-five percent of all of the securities of that class outstanding at the time of acquisition; and | ||
• | immediately after the plan acquires the securities, no more than twenty-five percent of the plan’s assets for which the person is a fiduciary are invested in certificates representing an interest in one or more trusts containing assets sold or serviced by the same entity. |
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• | by negotiated firm commitment underwriting and public reoffering by underwriters; | ||
• | by agency placements through one or more placement agents primarily with institutional investors and dealers; and | ||
• | by placement directly by the depositor with institutional investors. |
• | the identity of any underwriters thereof; | ||
• | either the price at which such series is being offered, the nature and amount of any underwriting discounts or additional compensation to the underwriters and the proceeds of the offering to the depositor or the method by which the price at which the underwriters will sell the securities will be determined; | ||
• | information regarding the nature of the underwriters’ obligations; | ||
• | any material relationship between the depositor and any underwriter; and | ||
• | where appropriate, information regarding any discounts or concessions to be allowed or reallowed to dealers or others and any arrangements to stabilize the market for the securities so offered. |
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Chicago Regional Office, | New York Regional Office | |
500 West Madison Street, Suite 1400 | 233 Broadway | |
Chicago, Illinois 60661 | New York, New York 10279 |
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accrual securities | 35 | |||
accrued period | 87 | |||
acquisition premium | 88 | |||
adjusted issue price | 87,96 | |||
Agreement | 14 | |||
backup withholding | 103 | |||
balloon payment | 15 | |||
beneficial owners | 42 | |||
buydown | 21 | |||
capital asset | 84 | |||
CERCLA | 77 | |||
class security balance | 34 | |||
Code | 33,84 | |||
collateral value | 18 | |||
collection account | 58 | |||
components | 39 | |||
contingent interest payment | 86 | |||
cut-off date | 13 | |||
daily portions | 87 | |||
disqualified organization | 98 | |||
DOL | 105 | |||
DTC | 11 | |||
due on sale | 16 | |||
EPA | 77 | |||
ERISA | 33 | |||
evidences of indebtedness | 92,96 | |||
Exchange Act | 106 | |||
FASIT | 92 | |||
FHA loans | 19 | |||
Garn-St. Germain Act | 80 | |||
government securities | 85,92 | |||
indemnified party | 67 | |||
IRS | 85 | |||
lockout periods | 16 | |||
Lower Tier REMIC | 91 | |||
mortgage related securities | 7,111 | |||
NCUA | 11l | |||
noneconomic residual interest | 98 | |||
non-REMIC Securities | 84 | |||
OID Regulations | 85 |
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Parties in Interest | 104 | |||
passive losses | 95 | |||
permitted assets | 92 | |||
permitted investments | 50 | |||
Plans | 104 | |||
Policy Statement | 11l | |||
portfolio income | 95 | |||
PTCE | 105 | |||
qualified mortgages | 92 | |||
RCRA | 78 | |||
refinance loan | 18 | |||
regular interest securities | 91 | |||
REIT | 92 | |||
Relief Act | 82 | |||
REMIC | 84 | |||
REMIC Regulations | 84 | |||
residual interest securities | 94 | |||
secured creditor exclusion | 77 | |||
single family securities | 106 | |||
SMMEA | 111 | |||
strip | 41 | |||
structuring range | 40 | |||
Tax Prepayment Assumption | 87 | |||
thrift institutions | 97 | |||
Title V | 81 | |||
Upper Tier REMIC | 91 | |||
US person | 102 | |||
VA loans | 19 | |||
withholding agent | 102 |
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Sponsor and Seller
Depositor
Issuing Entity