POOLING AND SERVICING AGREEMENT

Exhibit 10.1

SG MORTGAGE SECURITIES, LLC

Depositor

OPTION ONE MORTGAGE CORPORATION

Servicer

WELLS FARGO BANK, N.A.

Master Servicer, Securities Administrator and Custodian

HSBC BANK USA, NATIONAL ASSOCIATION

Trustee

POOLING AND SERVICING AGREEMENT

Dated as of December 1, 2006

SG Mortgage Securities Trust 2006-OPT2

Asset Backed Certificates, Series 2006-OPT2

TABLE OF CONTENTS

 

 

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EXHIBITS

 

 

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This Pooling and Servicing Agreement, is dated and effective as of December 1, 2006, among SG MORTGAGE SECURITIES, LLC, as Depositor, OPTION ONE MORTGAGE CORPORATION, as Servicer, WELLS FARGO BANK, N.A., as Master Servicer, Securities Administrator and Custodian and HSBC BANK USA, NATIONAL ASSOCIATION, as Trustee.

PRELIMINARY STATEMENT:

The Depositor intends to sell pass-through certificates to be issued hereunder in multiple classes, which in the aggregate will evidence the entire beneficial ownership interest of the Trust Fund created hereunder. The Trust Fund will consist of a segregated pool of assets comprised of the Mortgage Loans and certain other related assets subject to this Agreement.

REMIC I

As provided herein, the Trustee shall make an election to treat the segregated pool of assets consisting of the Mortgage Loans and certain other related assets subject to this Agreement (but exclusive of the Reserve Fund, the Servicer Prepayment Charge Payment Amounts, the Swap Account and the Interest Rate Swap Agreement) as a real estate investment conduit (a “REMIC”) for federal income tax purposes, and such segregated pool of assets will be designated as “REMIC I.” The Class R-I Interest will represent the sole class of “residual interests” in REMIC I for purposes of the REMIC Provisions. The following table irrevocably sets forth the designation, the Uncertificated REMIC I Pass-Through Rate, the initial Uncertificated Principal Balance, and for purposes of satisfying Treasury regulation Section 1.860G-1(a)(4)(iii), the “latest possible maturity date” for each of the REMIC I Regular Interests. None of the REMIC I Regular Interests will be certificated.

 

 

(1)	Calculated in accordance with the definition of “Uncertificated REMIC I Pass-Through Rate” herein.

 

(2)

Each REMIC I Class A Interest will have an uncertificated principal balance initially equal to 0.10% of the Subordinate Component of its corresponding Loan Group. The initial principal balance of each REMIC I Class B Interest will be equal to the excess of the initial aggregate principal balance of its corresponding Loan Group over the initial aggregate principal balance of the REMIC I Class A Interest corresponding to such Loan Group. Principal Distribution Amounts and Realized Losses with respect to each Loan Group shall be allocated, first, to cause the Loan Group’s corresponding REMIC I Class A Interest to equal 0.10% of the Subordinate Component of the corresponding Loan Group.

REMIC II

As provided herein, the Trustee shall make an election to treat the segregated pool of assets consisting of the REMIC I Regular Interests as a REMIC for federal income tax purposes, and such segregated pool of assets will be designated as “REMIC II”. The Class R-II Interest will represent the sole class of “residual interests” in REMIC II for purposes of the REMIC Provisions. The following table irrevocably sets forth the designation, Uncertificated REMIC II Pass-Through Rate, aggregate Initial Uncertificated Principal Balance and for purposes of satisfying Treasury Regulation Section 1.860G-1(a)(4)(iii), the “latest possible maturity date” for each of the REMIC II Regular Interests. None of the REMIC II Regular Interests shall be certificated.

 

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(1)	Calculated in accordance with the definition of “Uncertificated REMIC II Pass-Through Rate” herein.

 

(2)	Calculated in accordance with the definition of “Uncertificated Subordinate REMIC II Pass-Through Rate” herein.

 

(3)	The Uncertificated REMIC II Regular Interest MT-P will not accrue interest.

REMIC III

As provided herein, the Trustee shall make an election to treat the segregated pool of assets consisting of the REMIC II Regular Interests as a REMIC for federal income tax purposes, and such segregated pool of assets will be designated as “REMIC III.” The Class R-III Interest represents the sole class of “residual interests” in REMIC III for purposes of the REMIC Provisions.

 

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The following table sets forth (or describes) the Class designation, Pass-Through Rate and Initial Certificate Principal Balance for each Class of Certificates that represents one or more of the “regular interests” in REMIC III, and the sole class of “residual interests” in each REMIC created hereunder:

 

 

*	For purposes of Section 1.860G-1a)(4)(iii) of the Treasury regulations, the Distribution Date immediately following the maturity date for the Mortgage Loans with the latest maturity date has been designated as the “latest possible maturity date” for each Class of Certificates.

 

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(1)

The Class A and Mezzanine Certificates will represent ownership of the related REMIC III Regular Interests, together with (x) certain additional rights to receive payments from amounts received under the Interest Rate Swap Agreement, from amounts received by the Class CE Certificates attributable to such Certificates’ related REMIC III Regular Interests, and from amounts received under a Cap Agreement and (y) the obligation in certain instances to make payments under a notional principal contract to the Class CE Certificates in favor of the Swap Provider, all of which additional rights and obligations will be treated for federal income tax purposes as arising and occurring outside of REMIC III.

 

(2)

The REMIC III Regular Interests, ownership of which is represented by the Class A and Mezzanine Certificates, will accrue interest as a per annum rate equal to LIBOR plus the applicable Margin, in each case subject to payment caps as described in the definition of “Pass-Through Rate,” and the provision for payment of Net WAC Carryover Shortfall Amounts described herein, which amounts will not be part of the entitlement of the REMIC III Regular Interests related to such Certificates.

 

(3)

The Class CE Certificates will be comprised of two REMIC III Regular Interests, a principal only regular interest designated REMIC III Regular Interest Class CE-PO and an interest only regular interest designated REMIC III Regular Interest CE-IO, each of which will be entitled to distributions as set forth herein.

 

(4)

The Class CE Interest will accrue interest at its variable Pass-Through Rate on the Notional Amount of the Class CE Interest outstanding from time to time which shall equal the aggregate of the Uncertificated Principal Balances of the REMIC III Regular Interests (other than REMIC III Regular Interest LTP). The Class CE Interest will not accrue interest on its Class Certificate Principal Balance.

 

(5)	The Class P Certificates will not accrue interest.

ARTICLE I

DEFINITIONS

Section 1.01 Defined Terms .

Whenever used in this Agreement, including, without limitation, in the Preliminary Statement hereto, the following words and phrases, unless the context otherwise requires, shall have the meanings specified in this Article. Unless otherwise specified, all calculations in respect of interest on the Class A Certificates and the Mezzanine Certificates shall be made on the basis of the actual number of days elapsed on the basis of a 360-day year and all calculations in respect of interest on the Class CE Certificates and all other calculations of interest described herein shall be made on the basis of a 360-day year consisting of twelve 30-day months. The Class P Certificates and the Residual Certificates are not entitled to distributions in respect of interest and, accordingly, will not accrue interest.

“10-K Filing Deadline”: has the meaning set forth in Section 5.09(a)(ii).

“Accepted Master Servicing Practices”: With respect to any Mortgage Loan, as applicable, either (x) those customary mortgage master servicing practices of prudent mortgage servicing institutions that master service mortgage loans of the same type and quality as such Mortgage Loan in the jurisdiction where the related Mortgaged Property is located, to the extent applicable to the Master Servicer (except in its capacity as successor to the Servicer), or (y) as provided in Section 4.01 hereof, but in no event below the standard set forth in clause (x).

 

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“Accepted Servicing Practices”: As defined in Section 3.01.

“Account”: The Collection Account and the Distribution Account as the context may require.

“Accrual Period”: With respect to the Class A Certificates and the Mezzanine Certificates and each Distribution Date, the period commencing on the preceding Distribution Date (or in the case of the first such Accrual Period, commencing on the Closing Date) and ending on the day preceding the current Distribution Date. With respect to the Class CE Certificates and each Distribution Date, the calendar month prior to the month of such Distribution Date.

“Accrued Certificate Interest”: With respect to any Class A Certificate, Mezzanine Certificate or Class CE Certificate and each Distribution Date, interest accrued during the related Accrual Period at the Pass-Through Rate for such Certificate for such Distribution Date on the Certificate Principal Balance, in the case of the Class A Certificates and the Mezzanine Certificates, or on the Notional Amount in the case of the Class CE Certificates, of such Certificate immediately prior to such Distribution Date. The Class P Certificates are not entitled to distributions in respect of interest, and accordingly, will not accrue interest. All distributions of interest on the Class A Certificates and the Mezzanine Certificates will be calculated on the basis of a 360-day year and the actual number of days in the applicable Accrual Period. All distributions of interest on the Class CE Certificates will be based on a 360-day year consisting of twelve 30-day months. Accrued Certificate Interest with respect to each Distribution Date, as to any Class A Certificate, Mezzanine Certificate or Class CE Certificate shall be reduced by an amount equal to the portion allocable to such Certificate pursuant to Section 1.02 hereof, if any, of the sum of (a) the aggregate Prepayment Interest Shortfall, if any, for such Distribution Date to the extent not covered by payments pursuant to Section 3.22 or Section 4.18 of this Agreement and (b) the aggregate amount of any Relief Act Interest Shortfall, if any, for such Distribution Date. In addition, Accrued Certificate Interest with respect to each Distribution Date, as to any Class CE Certificate, shall be reduced by an amount equal to the portion allocable to such Class CE Certificate of Realized Losses, if any, pursuant to Section 1.02 and the Preliminary Statement hereof.

“Additional Disclosure Notification”: has the meaning set forth in Section 5.09(a)(i).

“Additional Form 10-D Disclosure”: has the meaning set forth in Section 5.09(a)(i).

“Additional Form 10-K Disclosure”: has the meaning set forth in Section 5.09(a)(iii).

“Adjustable Rate Mortgage Loan”: A first lien Mortgage Loan which provides at any period during the life of such loan for the adjustment of the Mortgage Rate payable in respect thereto. The Adjustable Rate Mortgage Loans are identified as such on the Mortgage Loan Schedule.

“Adjusted Net Maximum Mortgage Rate”: With respect to any Distribution Date and any Mortgage Loan (or the related REO Property) in the Trust Fund as of the close of business on the last day of the preceding Prepayment Period, a per annum rate of interest equal to the applicable Maximum Mortgage Rate for such Mortgage Loan (or the Mortgage Rate in the case

 

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of any Fixed Rate Mortgage Loan) as of the first day of the month preceding the month in which the Distribution Date occurs (or the Cut-Off Date with respect to the first Distribution Date) minus the Servicing Fee Rate and the Credit Risk Manager Fee Rate.

“Adjusted Net Mortgage Rate”: With respect to any Distribution Date and any Mortgage Loan (or the related REO Property) in the Trust Fund as of the close of business on the last day of the preceding Prepayment Period, a per annum rate of interest equal to the applicable Mortgage Rate for such Mortgage Loan as of the first day of the month preceding the month in which such Distribution Date occurs (or the Cut-Off Date with respect to the first Distribution Date) minus the Servicing Fee Rate and the Credit Risk Manager Fee Rate.

“Adjustment Date”: With respect to each Adjustable Rate Mortgage Loan, each adjustment date, on which the Mortgage Rate of such Mortgage Loan changes pursuant to the related Mortgage Note. The first Adjustment Date following the Cut-off Date as to each Adjustable Rate Mortgage Loan is set forth in the Mortgage Loan Schedule.

“Affiliate”: With respect to any specified Person, any other Person controlling or controlled by or under common control with such specified Person. For the purposes of this definition, “control” when used with respect to any specified Person means the power to direct the management and policies of such Person, directly or indirectly, whether through the ownership of voting securities, by contract or otherwise, and the terms “controlling” and “controlled” have meanings correlative to the foregoing.

“Agreement”: This Pooling and Servicing Agreement, including all exhibits and schedules hereto and all amendments hereof and supplements hereto.

“Allocated Realized Loss Amount”: With respect to any Distribution Date and any Class of Mezzanine Certificates, the sum of (i) any Realized Losses allocated to such Class of Certificates on such Distribution Date and (ii) the amount of any Allocated Realized Loss Amount for such Class of Certificates remaining unpaid from the previous Distribution Date as reduced by an amount equal to the increase in the related Certificate Principal Balance due to the receipt of Subsequent Recoveries.

“Amounts Held for Future Distribution”: As to any Distribution Date, the aggregate amount held in the Collection Account at the close of business on the immediately preceding Determination Date on account of (i) all Monthly Payments or portions thereof received in respect of the Mortgage Loans due after the related Due Period and (ii) Principal Prepayments and Liquidation Proceeds received in respect of such Mortgage Loans after the last day of the related Prepayment Period.

“Appraised Value”: With respect to any Mortgaged Property, the lesser of (i) the value thereof as determined by an appraisal made for the originator of the Mortgage Loan at the time of origination of the Mortgage Loan by an appraiser who met the minimum requirements of Fannie Mae and Freddie Mac; provided , however , that in accordance with the Underwriting Guidelines, such value may be reduced to reflect the results of a desk review of such appraisal, and (ii) the purchase price paid for the related Mortgaged Property by the Mortgagor with the proceeds of the Loan, provided , however , in the case of a Refinanced Mortgage Loan, such value of the Mortgaged Property is based solely upon clause (i) above.

 

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“Assignment”: An assignment of Mortgage, notice of transfer or equivalent instrument, in recordable form, which is sufficient under the laws of the jurisdiction wherein the related Mortgaged Property is located to reflect of record the sale of the Mortgage, which assignment, notice of transfer or equivalent instrument may be in the form of one or more blanket assignments covering Mortgages secured by Mortgaged Properties located in the same county, if permitted by law.

“Available Distribution Amount”: With respect to any Distribution Date, an amount equal to (i) the sum of (a) the aggregate amount of monthly payments on the Mortgage Loans due on the related Due Date and received by the Master Servicer as of the close of business on the related Determination Date, and the Principal Prepayments, Insurance Proceeds, Net Liquidation Proceeds, Subsequent Recoveries and other unscheduled recoveries of principal and interest in respect of the Mortgage Loans received during the related Prepayment Period, and proceeds from repurchases of and substitutions for such Mortgage Loans occurring during the related Prepayment Period, (b) the amount of any Prepayment Charges collected by the Servicer in connection with the full or partial prepayment of any Mortgage Loans and any Servicer Prepayment Charge Payment Amount, (c) the aggregate of any amounts received in respect of a related REO Property withdrawn from any REO Account and deposited in the Distribution Account for such Distribution Date, (d) the aggregate of any amounts deposited in the Distribution Account by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for such Distribution Date pursuant to Section 3.22 or Section 4.18 of this Agreement, (e) the aggregate of any P&I Advances for such Distribution Date made by the Servicer pursuant to Section 5.03 of this Agreement, and (f) the aggregate of any P&I Advances made by a successor Servicer (including the Master Servicer) for such Distribution Date pursuant to Section 8.02, reduced (to not less than zero) by (ii) the sum of (a) amounts reimbursable or payable to the Master Servicer pursuant to Section 7.01, to the Servicer pursuant to Section 3.09(a) or the Securities Administrator or the Custodian pursuant to Section 9.05 of this Agreement or otherwise payable in respect of Extraordinary Trust Fund Expenses, pursuant to Section 3.09(b), (b) amounts deposited in the Collection Account or the Distribution Account pursuant to clauses (a) through (d) above, as the case may be, in error, (c) the amount of any Prepayment Charges collected by the Servicer in connection with the full or partial Principal Prepayment of any of the Mortgage Loans and any Servicer Prepayment Charge Payment Amount, (d) the Credit Risk Manager Fee payable from the Distribution Account, and (e) any indemnification payments or expense reimbursements made by the Trust Fund pursuant to Section 9.05.

“Back-Up Certification”: has the meaning set forth in Section 5.09(a)(iii)(C).

“Bankruptcy Code”: The Bankruptcy Reform Act of 1978 (Title 11 of the United States Code), as amended.

“Book-Entry Certificates”: The Offered Certificates for so long as the Certificates of such Class shall be registered in the name of the Depository or its nominee.

 

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“Business Day”: Any day other than a Saturday, a Sunday or a day on which banking or savings and loan institutions in the States of New York, New Jersey, Florida, Pennsylvania, California, Maryland, Minnesota or in any city in which the Corporate Trust Office of the Trustee or the Securities Administrator is located, are authorized or obligated by law or executive order to be closed.

“Cap Agreement”: The interest rate cap confirmation dated as of November 8, 2006 between the Cap Agreement Provider and the Securities Administrator on behalf of the Trust which incorporates by reference the 1992 ISDA Master Agreement (Multicurrency Cross-Border).

“Cap Agreement Provider”: The Bank of New York.

“Cash-Out Refinancing”: A Refinanced Mortgage Loan the proceeds of which are more than a nominal amount in excess of the principal balance of any existing first mortgage plus any subordinate mortgage on the related Mortgaged Property and related closing costs.

“Certificate”: Any one of SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class A-1, Class A-2, Class A-3A, Class A-3B, Class A-3C, Class A-3D, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11, Class CE, Class P, Class R-I and Class R-II issued under this Agreement.

“Certificate Margin”: With respect to each Class of Class A and Mezzanine Certificates and for purposes of the Marker Rate and the related REMIC II Regular Interest Maximum Interest Deferral Amount, the specified REMIC III Regular Interest, as follows:

 

(1)	For the Accrual Period for each Distribution Date on or prior to the Optional Termination Date.

 

(2)	For each other Accrual Period.

“Certificate Owner”: With respect to a Book-Entry Certificate, the Person who is the beneficial owner of such Certificate as reflected on the books of the Depository or on the books of a Depository Participant or on the books of an indirect participating brokerage firm for which a Depository Participant acts as agent.

 

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“Certificate Principal Balance”: With respect to any Class of Regular Certificates (other than the Class CE Certificates) immediately prior to any Distribution Date, the Initial Certificate Principal Balance thereof (A) increased, in the case of a Mezzanine Certificate by the amount of any Subsequent Recoveries added to the Certificate Principal Balance of such Class pursuant to Section 5.01, (B) reduced by the sum of all amounts actually distributed in respect of principal of such Class and (C) further reduced, in the case of a Mezzanine Certificate by Realized Losses allocated thereto on all prior Distribution Dates. With respect to the Class CE Certificates as of any date of determination, an amount equal to the excess, if any, of (A) the then aggregate Uncertificated Principal Balance of the REMIC II Regular Interests over (B) the then aggregate Certificate Principal Balances of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates then outstanding.

“Certificate Register”: The register maintained pursuant to Section 6.02.

“Certificateholder” or “Holder”: The Person in whose name a Certificate is registered in the Certificate Register, except that a Disqualified Organization or a Non-United States Person shall not be a Holder of a Residual Certificate for any purposes hereof, and solely for the purposes of giving any consent pursuant to this Agreement, any Certificate registered in the name of or beneficially owned by the Depositor, the Seller, the Servicer, the Master Servicer, the Securities Administrator, the Trustee or any Affiliate thereof shall be deemed not to be outstanding and the Voting Rights to which it is entitled shall not be taken into account in determining whether the requisite percentage of Voting Rights necessary to effect any such consent has been obtained, except as otherwise provided in Section 12.01. The Trustee and the Securities Administrator may conclusively rely upon a certificate of the Depositor, the Seller, the Master Servicer, the Securities Administrator or the Servicer in determining whether a Certificate is held by an Affiliate thereof. All references herein to “Holders” or “Certificateholders” shall reflect the rights of Certificate Owners as they may indirectly exercise such rights through the Depository and participating members thereof, except as otherwise specified herein; provided, however, that the Trustee and the Securities Administrator shall be required to recognize as a “Holder” or “Certificateholder” only the Person in whose name a Certificate is registered in the Certificate Register.

“Certification Parties”: has the meaning set forth in Section 5.09(a)(iii)(C).

“Certifying Person”: has the meaning set forth in Section 5.09(a)(iii)(C).

“Class”: Collectively, all of the Certificates bearing the same class designation.

“Class A Certificateholder”: Any Holder of a Class A Certificate.

“Class A Certificates”: Any Class A-1 Certificate, Class A-2 Certificate or Class A-3 Certificate.

 

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“Class A Principal Distribution Amount”: An amount equal to the sum of the Class A-1 Principal Distribution Amount, Class A-2 Principal Distribution Amount and the Class A-3 Principal Distribution Amount.

“Class A-1 Allocation Percentage”: With respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is (x) the Group I Principal Remittance Amount for such Distribution Date and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date.

“Class A-1 Certificate”: Any one of the Class A-1 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-1, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class A-1 Principal Distribution Amount”: An amount equal to the excess of (x) the aggregate Certificate Principal Balance of the Class A-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 52.10% and (ii) the aggregate Stated Principal Balance of the Group I Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the excess of (i) the aggregate Stated Principal Balance of the Group I Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) over (ii) the product of (x) 0.50% and (y) aggregate Stated Principal Balance of the Group I Mortgage Loans as of the last day of the Cut-Off Date.

“Class A-2 Allocation Percentage”: With respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is (x) the Group II Principal Remittance Amount for such Distribution Date and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date.

“Class A-2 Certificate”: Any one of the Class A-2 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-2, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class A-2 Principal Distribution Amount”: An amount equal to the excess of (x) the aggregate Certificate Principal Balance of the Class A-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 52.10% and (ii) the aggregate Stated Principal Balance of the Group II Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the excess of (i) the aggregate Stated Principal Balance of the Group II Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled

 

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payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) over (ii) the product of (x) 0.50% and (y) aggregate Stated Principal Balance of the Group II Mortgage Loans as of the last day of the Cut-Off Date.

“Class A-3 Allocation Percentage”: With respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is (x) the Group III Principal Remittance Amount for such Distribution Date and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date.

“Class A-3 Certificate”: Any one of the Class A-3A, Class A-3B, Class A-3C or Class A-3D Certificates.

“Class A-3A Certificate”: Any one of the Class A-3A Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-3, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class A-3B Certificate”: Any one of the Class A-3B Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-4, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class A-3C Certificate”: Any one of the Class A-3C Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-5, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class A-3D Certificate”: Any one of the Class A-3D Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-6, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class A-3 Principal Distribution Amount”: An amount equal to the excess of (x) the aggregate Certificate Principal Balance of the Class A-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 52.10% and (ii) the aggregate Stated Principal Balance of the Group III Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the excess of (i) the aggregate Stated Principal Balance of the Group III Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) over (ii) the product of (x) 0.50% and (y) aggregate Stated Principal Balance of the Group III Mortgage Loans as of the last day of the Cut-Off Date.

 

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“Class CE Certificate”: Any one of the Class CE Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-9, representing (i) ownership of two Regular Interests in REMIC III, the Class CE-PO Interest and the Class CE-IO Interest, (ii) the obligation to pay Net WAC Rate Carryover Amounts and Swap Termination Payments and (iii) the right to receive the Class IO Distribution Amount.

“Class CE-PO Interest”: An uncertificated interest in the Trust held by the Securities Administrator on behalf of the Holders of the Class CE Certificates, evidencing a Regular Interest in REMIC III for purposes of the REMIC Provisions.

“Class CE-IO Interest”: An uncertificated interest in the Trust held by the Securities Administrator on behalf of the Holders of the Class CE Certificates, evidencing a Regular Interest in REMIC III for purposes of the REMIC Provisions.

“Class IO Distribution Amount”: As defined in Section 5.04 hereof. For purposes of clarity, the Class IO Distribution Amount for any Distribution Date shall equal the amount payable to the Trust on such Distribution Date in excess of the amount payable on the Class CE Certificates on such Distribution Date, all as further provided in Section 5.04 hereof.

“Class M-1 Certificate”: Any one of the Class M-1 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-2 Certificate”: Any one of the Class M-2 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-3 Certificate”: Any one of the Class M-3 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-4 Certificate”: Any one of the Class M-4 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

 

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“Class M-4 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), and (iii) the Certificate Principal Balance of the Class M-4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 79.40% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class M-5 Certificate”: Any one of the Class M-5 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-5 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 82.80% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class M-6 Certificate”: Any one of the Class M-6 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

 

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“Class M-6 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 84.80% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class M-7 Certificate”: Any one of the Class M-7 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-7 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 87.50% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

 

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“Class M-8 Certificate”: Any one of the Class M-8 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-8 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 89.00% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class M-9 Certificate”: Any one of the Class M-9 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-7, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-9 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal

 

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Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (vii) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the payment of the Class M-8 Principal Distribution Amount on such Distribution Date) and (viii) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 91.60% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class M-10 Certificate”: Any one of the Class M-10 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-8, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-10 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (vii) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (viii) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the payment of the Class M-9 Principal Distribution Amount on such Distribution Date) and (ix) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 94.70% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to

 

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the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class M-11 Certificate”: Any one of the Class M-11 Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-8, representing (i) a Regular Interest in REMIC III, (ii) the right to receive the Net WAC Rate Carryover Amount and (iii) the obligation to pay the Class IO Distribution Amount.

“Class M-11 Principal Distribution Amount”: An amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the aggregate Certificate Principal Balance of the Class M-1, Class M-2 and Class M-3 Certificates (after taking into account the payment of the Sequential Class M Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (vii) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (viii) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the payment of the Class M-9 Principal Distribution Amount on such Distribution Date), (ix) the Certificate Principal Balance of the Class M-10 Certificates (after taking into account the payment of the Class M-10 Principal Distribution Amount on such Distribution Date) and (x) the Certificate Principal Balance of the Class M-11 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 97.10% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the positive difference, if any, of the aggregate Stated Principal Balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during that Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus the Overcollateralization Floor.

“Class P Certificate”: Any one of the Class P Certificates executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-10, representing the right to distributions as set forth herein and therein and evidencing a Regular Interest in REMIC III.

“Class R Certificate”: Any Class R-I Certificate, Class R-II Certificate or Class R-III Certificate.

 

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“Class R-I Certificate”: The Class R-I Certificate executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-11 and evidencing the ownership of the Class R-I Interest.

“Class R-I Interest”: The certificated Residual Interest in REMIC I.

“Class R-II Certificate”: The Class R-II Certificate executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-12 and evidencing the ownership of the Class R-II Interest.

“Class R-II Interest”: The certificated Residual Interest in REMIC II.

“Class R-III Certificate”: The Class R-III Certificate executed by the Securities Administrator, and authenticated and delivered by the Certificate Registrar, substantially in the form annexed hereto as Exhibit A-13 and evidencing the ownership of the Class R-III Interest.

“Class R-III Interest”: The certificated Residual Interest in REMIC III.

“Closing Date”: December 14, 2006.

“Code”: The Internal Revenue Code of 1986, as amended from time to time.

“Collection Account”: The account or accounts created and maintained, or caused to be created and maintained, by the Servicer pursuant to Section 3.08(a), which shall be entitled “Option One Mortgage Corporation, as Servicer for HSBC Bank USA, National Association, as Trustee, in trust for the registered holders of SG Mortgage Securities Trust 2006-OPT2, Asset Backed Certificates, Series 2006-OPT2”. The Collection Account maintained by the Servicer must be an Eligible Account.

“Combined Loan-to-Value Ratio or CLTV”: With respect to any Second Lien Mortgage Loan, the fraction, expressed as a percentage, the numerator of which is the sum of (a) the original principal balance of such Second Lien Mortgage Loan, plus (b) the unpaid principal balance, as of the date of origination of the Second Lien Mortgage Loan, of any and all mortgage loans which are senior or subordinate in lien priority to such Second Lien Mortgage Loan and the denominator of which is the Appraised Value of the related Mortgaged Property.

“Commission”: The Securities and Exchange Commission.

“Compensating Interest”: As defined in Section 3.22.

“Corporate Trust Office”: The principal corporate trust office of the Trustee which office at the date of the execution of this instrument is located at 452 Fifth Avenue, New York, New York 10018, Attention: Corporate Trust & Loan Agency, SG Mortgage Securities, LLC, SG Mortgage Securities Trust 2006-OPT2, or at such other address as the Trustee may designate from time to time by notice to the Certificateholders, the Depositor, the Master Servicer, the Securities Administrator and the Servicer. The office of the Securities Administrator, which for purposes of Certificate transfers and surrender is located at Wells Fargo Bank, N.A., Wells Fargo Center, Sixth Street and Marquette Avenue, Minneapolis, Minnesota 55479, Attention:

 

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Corporate Trust Services-SGMS 2006-OPT2 and for all other purposes is located at 9062 Old Annapolis Road, Columbia, Maryland 21045, Attention: Corporate Trust Services-SGMS 2006-OPT2.

“Corresponding Certificate”: With respect to each REMIC II Regular Interest set forth below, the corresponding Regular Certificate set forth in the table below:

 

“Credit Enhancement Percentage”: For any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the aggregate Certificate Principal Balance of the Mezzanine Certificates and the Class CE Certificates, and the denominator of which is the aggregate Stated Principal Balance of the Mortgage Loans, calculated prior to taking into account payments of principal on the Mortgage Loans and distribution of the Principal Distribution Amount to the Holders of the Certificates then entitled to distributions of principal on such Distribution Date.

“Credit Risk Management Agreement”: The Limited Trust Oversight Agreement, dated as of December 14, 2006 among the Credit Risk Manager, as trust oversight manager, the Depositor, and the Servicer, as the same may be amended, supplemented or otherwise modified from time to time.

“Credit Risk Management Fee”: The amount payable to the Credit Risk Manager on each Distribution Date as compensation for all services rendered by it in the exercise and performance of any and all powers and duties of the Credit Risk Manager under the Credit Risk Management Agreement, which amount shall equal one twelfth of the product of (i) the Credit Risk Management Fee Rate multiplied by (ii) the Stated Principal Balance of the Mortgage Loans and any related REO Properties as of the first day of the related Due Period.

 

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“Credit Risk Management Fee Rate”: 0.015% per annum.

“Credit Risk Manager”: Pentalpha Surveillance LLC, a Delaware corporation, and its successors and assigns.

“Custodian”: Wells Fargo, as custodian of the Mortgage Files, any successor in interest thereto or any successor appointed hereunder.

“Cut-off Date”: With respect to each Mortgage Loan, December 1, 2006. With respect to all Qualified Substitute Mortgage Loans, their respective dates of substitution. References herein to the “Cut-off Date,” when used with respect to more than one Mortgage Loan, shall be to the respective Cut-off Dates for such Mortgage Loans.

“Cut-off Date Principal Balance”: The aggregate principal balance of the Mortgage Loans as of the Cut-off Date.

“DBRS”: Dominion Bond Rating Service, Inc.

“Debt Service Reduction”: With respect to any Mortgage Loan, a reduction in the scheduled Monthly Payment for such Mortgage Loan by a court of competent jurisdiction in a proceeding under the Bankruptcy Code, except such a reduction resulting from a Deficient Valuation.

“Deficient Valuation”: With respect to any Mortgage Loan, a valuation of the related Mortgaged Property by a court of competent jurisdiction in an amount less than the then outstanding principal balance of the Mortgage Loan, which valuation results from a proceeding initiated under the Bankruptcy Code.

“Definitive Certificates”: As defined in Section 6.02(c).

“Deleted Mortgage Loan”: A Mortgage Loan replaced or to be replaced by a Qualified Substitute Mortgage Loan.

“Depositor”: SG Mortgage Securities, LLC, a Delaware limited liability company, or its successor in interest.

“Depository”: The Depository Trust Company, or any successor Depository hereafter named. The nominee of the initial Depository, for purposes of registering those Certificates that are to be Book-Entry Certificates, is CEDE & Co. The Depository shall at all times be a “clearing corporation” as defined in Section 8-102(3) of the Uniform Commercial Code of the State of New York and a “clearing agency” registered pursuant to the provisions of Section 17A of the Securities Exchange Act of 1934, as amended.

“Depository Institution”: Any depository institution or trust company, including the Trustee, that (a) is incorporated under the laws of the United States of America or any State thereof, (b) is subject to supervision and examination by federal or state banking authorities and (c) has outstanding unsecured commercial paper or other short-term unsecured debt obligations (or, in the case of a depository institution that is the principal subsidiary of a holding company,

 

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such holding company has unsecured commercial paper or other short-term unsecured debt obligations) that are rated at least A-1+ by S&P, F-1+ by Fitch and P-1 by Moody’s (or, if such Rating Agencies are no longer rating the Offered Certificates, comparable ratings by any other nationally recognized statistical rating agency then rating the Offered Certificates).

“Depository Participant”: A broker, dealer, bank or other financial institution or other Person for whom from time to time a Depository effects book-entry transfers and pledges of securities deposited with the Depository.

“Determination Date”: With respect to each Distribution Date, the 15th day of the calendar month in which such Distribution Date occurs, or if such 15th day is not a Business Day, the Business Day immediately preceding such 15th day.

“Directly Operate”: With respect to any REO Property, the furnishing or rendering of services to the tenants thereof, the management or operation of such REO Property, the holding of such REO Property primarily for sale to customers, the performance of any construction work thereon or any use of such REO Property in a trade or business conducted by REMIC I other than through an Independent Contractor; provided, however, that the Servicer, on behalf of the Trustee, shall not be considered to Directly Operate an REO Property solely because the Servicer establishes rental terms, chooses tenants, enters into or renews leases, deals with taxes and insurance, or makes decisions as to repairs or capital expenditures with respect to such REO Property.

“Disqualified Organization”: Any of the following: (i) the United States, any State or political subdivision thereof, any possession of the United States, or any agency or instrumentality of any of the foregoing (other than an instrumentality which is a corporation if all of its activities are subject to tax and, except for Freddie Mac, a majority of its board of directors is not selected by such governmental unit), (ii) any foreign government, any international organization, or any agency or instrumentality of any of the foregoing, (iii) any organization (other than certain farmers’ cooperatives described in Section 521 of the Code) which is exempt from the tax imposed by Chapter 1 of the Code (including the tax imposed by Section 511 of the Code on unrelated business taxable income), (iv) rural electric and telephone cooperatives described in Section 1381(a)(2)(C) of the Code, (v) an “electing large partnership” and (vi) any other Person so designated by the Trustee based upon an Opinion of Counsel that the holding of an Ownership Interest in a Residual Certificate by such Person may cause any Trust REMIC or any Person having an Ownership Interest in any Class of Certificates (other than such Person) to incur a liability for any federal tax imposed under the Code that would not otherwise be imposed but for the Transfer of an Ownership Interest in a Residual Certificate to such Person. The terms “United States,” “State” and “international organization” shall have the meanings set forth in Section 7701 of the Code or successor provisions.

“Distribution Account”: The trust account or accounts created and maintained by the Securities Administrator pursuant to Section 3.08(b) in the name of the Securities Administrator for the benefit of the Certificateholders and designated “Distribution Account, Wells Fargo Bank, N.A., in trust for registered holders of SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2.” Funds in the Distribution Account shall be held in trust for the Certificateholders for the uses and purposes set forth in this Agreement. The Distribution Account must be an Eligible Account.

 

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“Distribution Date”: The 25th day of any month, or if such 25th day is not a Business Day, the Business Day immediately following such 25th day, commencing in January 2007.

“Due Date”: With respect to each Mortgage Loan and any Distribution Date, the first day of the calendar month in which such Distribution Date occurs on which the Monthly Payment for such Mortgage Loan was due (or, in the case of any Mortgage Loan under the terms of which the Monthly Payment for such Mortgage Loan was due on a day other than the first day of the calendar month in which such Distribution Date occurs, the day during the related Due Period on which such Monthly Payment was due), exclusive of any days of grace.

“Due Period”: With respect to any Distribution Date, the period commencing on the second day of the month immediately preceding the month in which such Distribution Date occurs and ending on the first day of the month in which such Distribution Date occurs.

“Eligible Account”: Any of (i) an account or accounts maintained with a Depository Institution, (ii) an account or accounts the deposits in which are fully insured by the FDIC or (iii) a trust account or accounts maintained with a federal depository institution or state chartered depository institution acting in its fiduciary capacity. Eligible Accounts may bear interest.

“ERISA”: The Employee Retirement Income Security Act of 1974, as amended from time to time.

“Escrow Payments”: The amounts constituting ground rents, taxes, assessments, water charges, sewer rents, fire and hazard insurance premiums and other payments required to be escrowed by the Mortgagor with the mortgagee pursuant to the terms of any Mortgage Note or Mortgage.

“Estate in Real Property”: A fee simple estate in a parcel of land.

“Exchange Act”: means the Securities Exchange Act of 1934, as amended, and the rules and regulations thereunder.

“Extraordinary Trust Fund Expense”: Any amounts payable or reimbursable to the Trustee, the Master Servicer, the Securities Administrator, the Custodian or any director, officer, employee or agent of any such Person from the Trust Fund pursuant to the terms of this Agreement and any amounts payable from the Distribution Account in respect of taxes pursuant to Section 11.01.

“Fannie Mae”: Fannie Mae, formerly known as the Federal National Mortgage Association, or any successor thereto.

“FDIC”: Federal Deposit Insurance Corporation or any successor thereto.

 

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“Final Recovery Determination”: With respect to any defaulted Mortgage Loan or any REO Property (other than a Mortgage Loan or REO Property purchased by the Originator, the Seller or the Master Servicer pursuant to or as contemplated by Section 2.03, 3.26 or Section 10.01), a determination made by the Servicer that all Insurance Proceeds, Liquidation Proceeds and other payments or recoveries which the Servicer, in its reasonable good faith judgment, expects to be finally recoverable in respect thereof have been so recovered, which determination shall be evidenced by a certificate of a Servicing Officer delivered to the Master Servicer and maintained in its records.

“First Lien”: With respect to any second lien Mortgage Loan, the mortgage loan relating to the corresponding Mortgaged Property having a first priority lien.

“First Lien Mortgage Loan”: A Mortgage Loan with respect to which the lien of the related Mortgage securing the principal amount of the Mortgage Loan is indicated on the related Mortgage Loan Schedule as the first priority lien.

“Fitch”: Fitch Ratings or any successor in interest.

“Fixed Swap Payment”: With respect to any Distribution Date, the amount calculated based on a fixed rate as set forth in the Interest Rate Swap Agreement.

“Floating Swap Payment”: With respect to any Distribution Date, the amount equal to the product of (i) Swap LIBOR, (ii) the related Notional Amount (as defined in the Interest Rate Swap Agreement) and (iii) a fraction, the numerator of which is the actual number of days elapsed from and including the previous Floating Rate Payer Payment Date (as defined in the Interest Rate Swap Agreement) to but excluding the current Distribution Date, and the denominator of which is 360.

“Form 8-K Disclosure Information”: has the meaning set forth in Section 5.09(a)(iv).

“Formula Rate”: For any Distribution Date and any Class of the Class A Certificates and the Mezzanine Certificates, the lesser of (i) LIBOR plus the related Certificate Margin and (ii) the applicable Maximum Cap Rate.

“Freddie Mac”: Freddie Mac, formerly known as the Federal Home Loan Mortgage Corporation, or any successor thereto.

“Global Securities”: The global certificates representing the Book-Entry Certificates.

“Gross Margin”: With respect to each Adjustable Rate Mortgage Loan, the fixed percentage set forth in the related Mortgage Note that is added to the Index on each Adjustment Date in accordance with the terms of the related Mortgage Note used to determine the Mortgage Rate for such Adjustable Rate Mortgage Loan.

“Group I Allocation Percentage”: For any Distribution Date, the aggregate Stated Principal Balance of the Group I Mortgage Loans as of the close of business on the last day of the immediately preceding Due Period (after giving effect to scheduled payments of principal due on the Group I Mortgage Loans during that Due Period, to the extent received or advanced

 

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and unscheduled collections of principal received on the Group I Mortgage Loans during the related Prepayment Period) divided by the aggregate Stated Principal Balance of the Mortgage Loans as of the close of business on the last day of the immediately preceding Due Period (after giving effect to scheduled payments of principal due on the Mortgage Loans during that Due Period, to the extent received or advanced and unscheduled collections of principal received on the Mortgage Loans during the related Prepayment Period).

“Group I Interest Remittance Amount”: With respect to any Distribution Date, the portion of the Available Distribution Amount for such Distribution Date that represents interest received, recovered or advanced on the Group I Mortgage Loans (net of the Servicing Fee, the Credit Risk Management Fee, any Prepayment Charges and after taking into account any other amounts payable or reimbursable to the Trustee, the Custodian, the Securities Administrator, the Credit Risk Manager, the Master Servicer or the Servicer with respect to the Group I Mortgage Loans pursuant to this Agreement or the Custodial Agreements).

“Group I Mortgage Loans”: Those Mortgage Loans identified on the Mortgage Loan Schedule as Group I Mortgage Loans.

“Group I Principal Distribution Amount”: With respect to any Distribution Date, the sum of (i) the principal portion of all Monthly Payments on the Group I Mortgage Loans due during the related Due Period, whether or not received on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group I Mortgage Loan or, in the case of a substitution, the Substitution Shortfall Amount, during the related Prepayment Period pursuant to or as contemplated by Section 2.03 and Section 10.01 of this Agreement; (iii) the principal portion of all other unscheduled collections, including Insurance Proceeds, Liquidation Proceeds and all Principal Prepayments in full and in part, received during the related Prepayment Period, to the extent applied as recoveries of principal on the Group I Mortgage Loans; and (iv) the Class A-1 Allocation Percentage of any Overcollateralization Increase Amount for such Distribution Date minus, (v) the Class A-1 Allocation Percentage of any Overcollateralization Reduction Amount for such Distribution Date and (vi) amounts payable or reimbursable to the Servicer, the Trustee, the Custodian, the Credit Risk Manager, the Master Servicer or the Securities Administrator.

“Group I Principal Remittance Amount”: With respect to any Distribution Date, the sum of (a) the amounts described in clauses (i) through (iii) of the definition of Group I Principal Distribution Amount net of amounts payable or reimbursable to the Servicer, the Trustee, the Custodian, the Credit Risk Manager, the Master Servicer or the Securities Administrator.

Group I REMIC Net WAC Cap Rate: With respect to any Distribution Date and the REMIC III Regular Interests the ownership of which is represented by the A-1 Certificates, a per annum rate equal to the weighted average (adjusted for the actual number of days elapsed in the related Accrual Period) of the Uncertificated REMIC II Pass-Through Rate for the REMIC II Group I Regular Interests I-AA and A-I-1, weighted on the basis of the Uncertificated Principal Balance of such REMIC II Group I Regular Interests immediately prior to such Distribution Date, multiplied by a fraction, the numerator of which is 30, and the denominator of which is the actual number of days in the related Accrual Period.

 

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“Group II Allocation Percentage”: For any Distribution Date, the aggregate Stated Principal Balance of the Group II Mortgage Loans as of the close of business on the last day of the immediately preceding Due Period (after giving effect to scheduled payments of principal due on the Group II Mortgage Loans during that Due Period, to the extent received or advanced and unscheduled collections of principal received on the Group II Mortgage Loans during the related Prepayment Period) divided by the aggregate Stated Principal Balance of the Mortgage Loans as of the close of business on the last day of the immediately preceding Due Period (after giving effect to scheduled payments of principal due on the Mortgage Loans during that Due Period, to the extent received or advanced, and unscheduled collections of principal received on the Mortgage Loans during the related Prepayment Period).

“Group II Interest Remittance Amount”: With respect to any Distribution Date, the portion of the Available Distribution Amount for such Distribution Date that represents interest received, recovered or advanced on the Group II Mortgage Loans (and net of the Servicing Fee, the Credit Risk Management Fee, any Prepayment Charges and after taking into account any other amounts payable or reimbursable to the Trustee, the Custodian, the Securities Administrator, the Credit Risk Manager, the Master Servicer or the Servicer with respect to the Group II Mortgage Loans pursuant to this Agreement or the Custodial Agreements).

“Group II Mortgage Loans”: Those Mortgage Loans identified on the Mortgage Loan Schedule as Group II Mortgage Loans.

“Group II Principal Distribution Amount”: With respect to any Distribution Date, the sum of (i) the principal portion of all Monthly Payments on the Group II Mortgage Loans due during the related Due Period, whether or not received on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group II Mortgage Loan or, in the case of a substitution, the Substitution Shortfall Amount, during the related Prepayment Period pursuant to or as contemplated by Section 2.03 and Section 10.01 of this Agreement; (iii) the principal portion of all other unscheduled collections, including Insurance Proceeds, Liquidation Proceeds and all Principal Prepayments in full and in part, received during the related Prepayment Period, to the extent applied as recoveries of principal on the Group II Mortgage Loans; and (iv) the Class A-2 Allocation Percentage of any Overcollateralization Increase Amount for such Distribution Date, minus (v) the Class A-2 Allocation Percentage of any Overcollateralization Reduction Amount for such Distribution Date and (vi) amounts payable or reimbursable to the Servicer, the Trustee, the Custodian, the Credit Risk Manager, the Master Servicer or the Securities Administrator.

“Group II Principal Remittance Amount”: With respect to any Distribution Date, the sum of the amounts described in clauses (i) through (iii) of the definition of Group II Principal Distribution Amount net of amounts payable or reimbursable to the Servicer, the Trustee, the Custodian, the Credit Risk Manager, the Master Servicer or the Securities Administrator.

Group II REMIC Net WAC Cap Rate: With respect to any Distribution Date and the REMIC III Regular Interests the ownership of which is represented by the A-2 Certificates, a per annum rate equal to the weighted average (adjusted for the actual number of days elapsed in the related Accrual Period) of the Uncertificated REMIC II Pass-Through Rate for the REMIC II Group II Regular Interests II-AA and A-II-2, weighted on the basis of the Uncertificated

 

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Principal Balance of such REMIC II Group II Regular Interests immediately prior to such Distribution Date, multiplied by a fraction, the numerator of which is 30, and the denominator of which is the actual number of days in the related Accrual Period.

“Group III Allocation Percentage”: For any Distribution Date, the aggregate Stated Principal Balance of the Group III Mortgage Loans as of the close of business on the last day of the immediately preceding Due Period (after giving effect to scheduled payments of principal due on the Group III Mortgage Loans during that Due Period, to the extent received or advanced and unscheduled collections of principal received on the Group III Mortgage Loans during the related Prepayment Period) divided by the aggregate Stated Principal Balance of the Mortgage Loans as of the close of business on the last day of the immediately preceding Due Period (after giving effect to scheduled payments of principal due on the Mortgage Loans during that Due Period, to the extent received or advanced, and unscheduled collections of principal received on the Mortgage Loans during the related Prepayment Period).

“Group III Interest Remittance Amount”: With respect to any Distribution Date, the portion of the Available Distribution Amount for such Distribution Date that represents interest received, recovered or advanced on the Group III Mortgage Loans (and net of the Servicing Fee, the Credit Risk Management Fee, any Prepayment Charges and after taking into account any other amounts payable or reimbursable to the Trustee, the Custodian, the Securities Administrator, the Credit Risk Manager, the Master Servicer or the Servicer with respect to the Group III Mortgage Loans pursuant to this Agreement or the Custodial Agreements).

“Group III Mortgage Loans”: Those Mortgage Loans identified on the Mortgage Loan Schedule as Group III Mortgage Loans.

“Group III Principal Distribution Amount”: With respect to any Distribution Date, the sum of (i) the principal portion of all Monthly Payments on the Group III Mortgage Loans due during the related Due Period, whether or not received on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group III Mortgage Loan or, in the case of a substitution, the Substitution Shortfall Amount, during the related Prepayment Period pursuant to or as contemplated by Section 2.03 and Section 10.01 of this Agreement; (iii) the principal portion of all other unscheduled collections, including Insurance Proceeds, Liquidation Proceeds and all Principal Prepayments in full and in part, received during the related Prepayment Period, to the extent applied as recoveries of principal on the Group III Mortgage Loans; and (iv) the Class A-3 Allocation Percentage of any Overcollateralization Increase Amount for such Distribution Date, minus (v) the Class A-3 Allocation Percentage of any Overcollateralization Reduction Amount for such Distribution Date and (vi) amounts payable or reimbursable to the Servicer, the Trustee, the Custodian, the Credit Risk Manager, the Master Servicer or the Securities Administrator.

“Group III Principal Remittance Amount”: With respect to any Distribution Date, the sum of the amounts described in clauses (i) through (iii) of the definition of Group III Principal Distribution Amount net of amounts payable or reimbursable to the Servicer, the Trustee, the Custodian, the Credit Risk Manager, the Master Servicer or the Securities Administrator.

 

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Group III REMIC Net WAC Cap Rate: With respect to any Distribution Date and the REMIC III Regular Interests the ownership of which is represented by the A-3A, A-3B, A-3C and A-3D Certificates, a per annum rate equal to the weighted average (adjusted for the actual number of days elapsed in the related Accrual Period) of the Uncertificated REMIC II Pass-Through Rate for the REMIC II Group III Regular Interests III-AA, A-III-3A, A-III-3B, A-III-3C and A-III-3D, weighted on the basis of the Uncertificated Principal Balance of such REMIC II Group III Regular Interests immediately prior to such Distribution Date, multiplied by a fraction, the numerator of which is 30, and the denominator of which is the actual number of days in the related Accrual Period.

“Highest Priority”: As of any date of determination, the Class of Mezzanine Certificates then outstanding with a Certificate Principal Balance greater than zero, with the highest priority for payments pursuant to Section 5.01, in the following order: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates.

“HUD”: The United States Department of Housing and Urban Development or any successor thereto.

“Indenture”: An indenture relating to the issuance of notes secured by the Class CE Certificates, the Class P Certificates and/or Residual Certificates (or any portion thereof).

“Independent”: When used with respect to any specified Person, any such Person who (a) is in fact independent of the Depositor, the Master Servicer, the Securities Administrator, the Servicer, the Seller, the Originator and their respective Affiliates, (b) does not have any direct financial interest in or any material indirect financial interest in the Depositor, the Master Servicer, the Securities Administrator, the Servicer, the Seller, the Originator or any Affiliate thereof, and (c) is not connected with the Depositor, the Master Servicer, the Securities Administrator, the Servicer, the Seller, the Originator or any Affiliate thereof as an officer, employee, promoter, underwriter, trustee, partner, director or Person performing similar functions; provided, however, that a Person shall not fail to be Independent of the Depositor, the Master Servicer, the Securities Administrator, the Servicer, the Seller, the Originator or any Affiliate thereof merely because such Person is the beneficial owner of 1% or less of any class of securities issued by the Depositor, the Master Servicer, the Securities Administrator, the Servicer, the Seller, the Originator or any Affiliate thereof, as the case may be.

“Independent Contractor”: Either (i) any Person (other than the Servicer) that would be an “independent contractor” with respect to any of the REMICs created hereunder within the meaning of Section 856(d)(3) of the Code if such REMIC were a real estate investment trust (except that the ownership tests set forth in that section shall be considered to be met by any Person that owns, directly or indirectly, 35% or more of any Class of Certificates), so long as each such REMIC does not receive or derive any income from such Person and provided that the relationship between such Person and such REMIC is at arm’s length, all within the meaning of Treasury Regulation Section 1.856-4(b)(5), or (ii) any other Person (including the Servicer) if the Trustee has received an Opinion of Counsel to the effect that the taking of any action in respect of any REO Property by such Person, subject to any conditions therein specified, that is otherwise herein contemplated to be taken by an Independent Contractor will not cause such

 

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REO Property to cease to qualify as “foreclosure property” within the meaning of Section 860G(a)(8) of the Code (determined without regard to the exception applicable for purposes of Section 860D(a) of the Code), or cause any income realized in respect of such REO Property to fail to qualify as Rents from Real Property.

“Index”: With respect to each Adjustable Rate Mortgage Loan and with respect to each related Adjustment Date, the index as specified in the related Mortgage Note.

“Initial Certificate Principal Balance”: With respect to any Regular Certificate, the amount designated “Initial Certificate Principal Balance” on the face thereof.

“Insurance Proceeds”: Proceeds of any title policy, hazard policy or other insurance policy covering a Mortgage Loan or the related Mortgaged Property, to the extent such proceeds are not to be applied to the restoration of the related Mortgaged Property or released to the Mortgagor or a senior lienholder in accordance with Accepted Servicing Practices, subject to the terms and conditions of the related Mortgage Note and Mortgage.

“Interest Carry Forward Amount”: With respect to any Distribution Date and any Class of Class A Certificate or Mezzanine Certificate, the sum of (i) the amount, if any, by which (a) the Interest Distribution Amount for such Class as of the immediately preceding Distribution Date exceeded (b) the actual amount distributed on such Class in respect of interest on such immediately preceding Distribution Date and (ii) the amount of any Interest Carry Forward Amount for such Class remaining unpaid from the previous Distribution Date, and (iii) accrued interest on such sum calculated at the related Pass-Through Rate for the most recently ended Accrual Period.

“Interest Determination Date”: With respect to the Class A Certificates and the Mezzanine Certificates and any Accrual Period therefor, the second London Business Day preceding the commencement of such Accrual Period.

“Interest Distribution Amount”: With respect to any Distribution Date and any Class A Certificates, any Mezzanine Certificates and any Class CE Certificates, the aggregate Accrued Certificate Interest on the Certificates of such Class for such Distribution Date.

“Interest Rate Swap Agreement”: The confirmation dated as of November 8, 2006 between the Swap Provider and the Securities Administrator on behalf of the Trust, which incorporates by reference the 1992 ISDA Master Agreement (Multicurrency-Cross Border).

“Interest Remittance Amount”: With respect to any Distribution Date, the sum of: (i) the Group I Interest Remittance Amount, (ii) the Group II Interest Remittance Amount and (iii) the Group III Interest Remittance Amount.

“Late Collections”: With respect to any Mortgage Loan and any Due Period, all amounts received subsequent to the Determination Date immediately following such Due Period with respect to such Mortgage Loan, whether as late payments of Monthly Payments or as Insurance Proceeds, Liquidation Proceeds, Subsequent Recoveries or otherwise, which represent late payments or collections of principal and/or interest due (without regard to any acceleration of payments under the related Mortgage and Mortgage Note) but delinquent for such Due Period and not previously recovered.

 

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“LIBOR”: With respect to each Accrual Period for the Class A Certificates and the Mezzanine Certificates, the rate determined by the Securities Administrator on the related Interest Determination Date on the basis of the London interbank offered rate for one-month United States dollar deposits, as such rate appears on the Telerate Page 3750, as of 11:00 a.m. (London time) on such Interest Determination Date. If such rate does not appear on Telerate Page 3750, the rate for such Interest Determination Date will be determined on the basis of the offered rates of the Reference Banks for one-month United States dollar deposits, as of 11:00 a.m. (London time) on such Interest Determination Date. The Securities Administrator will request the principal London office of each of the Reference Banks to provide a quotation of its rate. On such Interest Determination Date, LIBOR for the related Accrual Period for the Class A Certificates and the Mezzanine Certificates will be established by the Securities Administrator as follows:

(i) If on such Interest Determination Date two or more Reference Banks provide such offered quotations, LIBOR for the related Accrual Period shall be the arithmetic mean of such offered quotations (rounded upwards if necessary to the nearest whole multiple of 1/16 of 1%); and

(ii) If on such Interest Determination Date fewer than two Reference Banks provide such offered quotations, LIBOR for the related Accrual Period shall be the higher of (i) LIBOR as determined on the previous Interest Determination Date and (ii) the Reserve Interest Rate.

The establishment of One-Month LIBOR by the Securities Administrator and the Securities Administrator’s subsequent calculation of the One-Month LIBOR Pass-Through Rates for the relevant Accrual Period, shall, in the absence of manifest error, be final and binding.

Notwithstanding the foregoing, LIBOR for the Class A and Mezzanine Certificates for the first Accrual Period will be 5.3500%.

“Liquidated Mortgage Loan”: As to any Distribution Date, any Mortgage Loan in respect of which the Servicer has determined, in accordance with the servicing procedures specified herein, as of the end of the related Prepayment Period, that all Liquidation Proceeds which it expects to recover with respect to the liquidation of the Mortgage Loan or disposition of the related REO Property have been recovered.

“Liquidation Event”: With respect to any Mortgage Loan, any of the following events: (i) such Mortgage Loan is paid in full; (ii) a Final Recovery Determination is made as to such Mortgage Loan or (iii) such Mortgage Loan is removed from the Trust Fund by reason of its being purchased, sold or replaced pursuant to or as contemplated by Section 2.03 or Section 10.01. With respect to any REO Property, either of the following events: (i) a Final Recovery Determination is made as to such REO Property or (ii) such REO Property is removed from the Trust Fund by reason of its being purchased pursuant to Section 10.01.

“Liquidation Proceeds”: The amount (other than Insurance Proceeds, amounts received in respect of the rental of any REO Property prior to REO Disposition, or required to be released

 

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to a Mortgagor or a senior lienholder in accordance with applicable law or the terms of the related Mortgage Loan Documents) received by the Servicer in connection with (i) the taking of all or a part of a Mortgaged Property by exercise of the power of eminent domain or condemnation (other than amounts required to be released to the Mortgagor or a senior lienholder), (ii) the liquidation of a defaulted Mortgage Loan through a trustee’s sale, foreclosure sale or otherwise, (iii) the repurchase, substitution or sale of a Mortgage Loan or an REO Property pursuant to or as contemplated by Section 2.03, Section 3.21 or Section 10.01 of this Agreement or (iv) any Subsequent Recoveries.

“Loan Group”: Either of the Group I Mortgage Loans, Group II Mortgage Loans or the Group III Mortgage Loans.

“Loan-to-Value Ratio”: As of any date of determination, the fraction, expressed as a percentage, the numerator of which is the principal balance of the related Mortgage Loan at such date and the denominator of which is the Appraised Value of the related Mortgaged Property.

“London Business Day”: Any day on which banks in the City of London and the City of New York are open and conducting transactions in United States dollars.

“Loss Severity Percentage”: With respect to any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the amount of Realized Losses incurred on a Mortgage Loan and the denominator of which is the principal balance of such Mortgage Loan immediately prior to the liquidation of such Mortgage Loan.

“Marker Rate”: With respect to the Class CE Interest Certificates or the Class CE-IO Interest, and any Distribution Date, a per annum rate equal to two (2) multiplied by the weighted average of the Uncertificated REMIC I Pass-Through Rates for the REMIC I Regular Interests (other than REMIC II Group I Regular Interest I-AA, REMIC II Group II Regular Interest II-AA and REMIC II Group III Regular Interest III-AA), with the rate on each such REMIC I Regular Interest (other than REMIC II Group I Regular Interest I-ZZ, REMIC II Group II Regular Interest II-ZZ and REMIC II Group III Regular Interest III-ZZ), subject to a cap equal to LIBOR plus the related Certificate Margin applicable to the Corresponding Certificate and with the rate on REMIC II Group I Regular Interest I-ZZ, REMIC II Group II Regular Interest II-ZZ and REMIC II Group III Regular Interest III-ZZ, each subject to a cap of zero; provided, however, that for purposes of the calculations, LIBOR plus the related Certificate Margin shall be multiplied by a fraction, the numerator of which is the actual number of days elapsed in the related Accrual Period and the denominator of which is 30.

“Master Servicer”: As of the Closing Date, Wells Fargo and thereafter, any successor in interest who meets the qualifications of this Agreement and any successor appointed hereunder. The Master Servicer and the Securities Administrator shall at all times be the same Person.

“Master Servicer Event of Default”: Any of the events described in Section 8.01(b).

“Maximum Cap Rate”: For any Distribution Date, a per annum rate equal to the sum of (i) the product of (x) the weighted average of the Adjusted Net Maximum Mortgage Rates of the Mortgage Loans and (y) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days elapsed in the related Accrual Period and (ii) an amount, expressed as

 

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a percentage, equal to a fraction, the numerator of which is equal to the Net Swap Payment made by the Swap Provider and the denominator of which is equal to the aggregate Stated Principal Balance of the Mortgage Loans, multiplied by 12.

“Maximum Mortgage Rate”: With respect to each Adjustable Rate Mortgage Loan, the percentage set forth in the related Mortgage Note as the maximum Mortgage Rate thereunder.

“MERS”: Mortgage Electronic Registration Systems, Inc., a corporation organized and existing under the laws of the State of Delaware, or any successor thereto.

“MERS Loan”: Any Mortgage Loan registered with MERS on the MERS System.

“MERS System”: The system of recording transfers of mortgages electronically maintained by MERS.

“Mezzanine Certificate”: Any Class M-1 Certificate, Class M-2 Certificate, Class M-3 Certificate, Class M-4 Certificate, Class M-5 Certificate, Class M-6 Certificate, Class M-7 Certificate, Class M-8 Certificate, Class M-9 Certificate, Class M-10 Certificate or Class M-11 Certificate.

“MIN”: The Mortgage Identification Number for any MERS Loan.

“Minimum Mortgage Rate”: With respect to each Adjustable Rate Mortgage Loan, the percentage set forth in the related Mortgage Note as the minimum Mortgage Rate thereunder.

“MOM Loan”: Any Mortgage Loan as to which MERS is acting as mortgagee, solely as nominee for the originator of such Mortgage Loan and its successors and assigns.

“Monthly Payment”: With respect to any Mortgage Loan, the scheduled monthly payment of principal and interest on such Mortgage Loan which is payable by the related Mortgagor from time to time under the related Mortgage Note, determined: (a) after giving effect to (i) any Deficient Valuation and/or Debt Service Reduction with respect to such Mortgage Loan and (ii) any reduction in the amount of interest collectible from the related Mortgagor pursuant to the Relief Act or similar state laws; (b) without giving effect to any extension granted or agreed to by the Servicer pursuant to Section 3.01 of this Agreement; and (c) on the assumption that all other amounts, if any, due under such Mortgage Loan are paid when due.

“Monthly Statement”: A monthly statement required to be delivered to Certificateholders pursuant to Section 5.02.

“Moody’s”: Moody’s Investors Service, Inc. or any successor in interest.

“Mortgage”: The mortgage, deed of trust or other instrument creating a first lien on, or first priority security interest in, a Mortgaged Property securing a Mortgage Note.

“Mortgage File”: For each Mortgage Loan, the related mortgage documents listed on Exhibit 2 to the Mortgage Loan Purchase Agreement.

 

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“Mortgage Loan”: Each mortgage loan transferred and assigned to the Trustee and the related Mortgage File, as held from time to time as a part of the Trust Fund, the Mortgage Loans so held being identified in the Mortgage Loan Schedule.

“Mortgage Loan Documents”: The documents identified in Exhibit 3 of the Mortgage Loan Purchase Agreement evidencing or relating to each Mortgage Loan.

“Mortgage Loan Purchase Agreement”: The Mortgage Loan Purchase Agreement dated as of November 13, 2006, among the Originator, the Depositor and the Seller and acknowledged and agreed by Wells Fargo, as interim trustee and as Master Servicer.

“Mortgage Loan Schedule”: As of any date, the list of Mortgage Loans included in the Trust on such date, attached hereto as Exhibit D. The Depositor shall deliver or cause the delivery of the initial Mortgage Loan Schedule to the Servicer, the Master Servicer, the Custodian and the Trustee on the Closing Date. The Mortgage Loan Schedule shall set forth the following information with respect to each Mortgage Loan:

(i) the Mortgage Loan identifying number;

(ii) [reserved];

(iii) the state and zip code of the Mortgaged Property including;

(iv) a code indicating whether the Mortgaged Property is owner-occupied;

(v) the type of Residential Dwelling constituting the Mortgaged Property;

(vi) the original months to maturity;

(vii) the original date of the Mortgage Loan and the remaining months to maturity from the Cut-off Date, based on the original amortization schedule;

(viii) the Loan-to-Value Ratio or CLTV at origination;

(ix) the Mortgage Rate in effect immediately following the Cut-off Date;

(x) the date on which the first Monthly Payment was due on the Mortgage Loan;

(xi) the stated maturity date;

(xii) the amount of the Monthly Payment at origination;

(xiii) the amount of the Monthly Payment as of the Cut-off Date;

(xiv) the last Due Date on which a Monthly Payment was actually applied to the unpaid Stated Principal Balance;

(xv) the original principal amount of the Mortgage Loan;

 

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(xvi) the Stated Principal Balance of the Mortgage Loan as of the close of business on the Cut-off Date;

(xvii) with respect to each Adjustable Rate Mortgage Loan, the first Adjustment Date;

(xviii) with respect to each Adjustable Rate Mortgage Loan, the Gross Margin;

(xix) a code indicating the purpose of the loan (i.e., purchase financing, rate/term refinancing, cash-out refinancing);

(xx) with respect to each Adjustable Rate Mortgage Loan, the Maximum Mortgage Rate under the terms of the Mortgage Note;

(xxi) with respect to each Adjustable Rate Mortgage Loan, the Minimum Mortgage Rate under the terms of the Mortgage Note;

(xxii) the Mortgage Rate at origination;

(xxiii) with respect to each Adjustable Rate Mortgage Loan, the Periodic Rate Cap;

(xxiv) with respect to each Adjustable Rate Mortgage Loan, the first Adjustment Date immediately following the Cut-off Date;

(xxv) with respect to each Adjustable Rate Mortgage Loan, the Index;

(xxvi) the date on which the first Monthly Payment was due on the Mortgage Loan and, if such date is not consistent with the Due Date currently in effect, such Due Date;

(xxvii) a code indicating whether the Mortgage Loan is an Adjustable Rate Mortgage Loan or a fixed rate Mortgage Loan;

(xxviii) a code indicating the documentation style (i.e., full, stated or limited);

(xxix) a code indicating if the Mortgage Loan is subject to a primary insurance policy or lender paid mortgage insurance policy and the name of the insurer;

(xxx) the Appraised Value of the Mortgaged Property;

(xxxi) the sale price of the Mortgaged Property, if applicable;

(xxxii) a code indicating whether the Mortgage Loan is subject to a Prepayment Charge, the term of such Prepayment Charge and the amount of such Prepayment Charge;

(xxxiii) the product type (e.g., 2/28, 15 year fixed, 30 year fixed, 15/30 balloon, etc.);

 

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(xxxiv) the Mortgagor’s debt to income ratio;

(xxxv) the rounding code;

(xxxvi) the program code;

(xxxvii) a code indicating the lien priority for Mortgage Loans;

(xxxviii) [reserved]; and

(xxxix) the total amount of points and fees charged such Mortgage Loan.

The Mortgage Loan Schedule shall set forth the following information with respect to the Mortgage Loans in the aggregate as of the Cut-off Date: (1) the number of Mortgage Loans; (2) the current principal balance of the Mortgage Loans; (3) the weighted average Mortgage Rate of the Mortgage Loans; and (4) the weighted average maturity of the Mortgage Loans. The Mortgage Loan Schedule shall be amended from time to time by the Depositor in accordance with the provisions of this Agreement. With respect to any Qualified Substitute Mortgage Loan, the Cut-off Date shall refer to the related Cut-off Date for such Mortgage Loan, determined in accordance with the definition of Cut-off Date herein.

“Mortgage Note”: The original executed note or other evidence of the indebtedness of a Mortgagor under a Mortgage Loan.

“Mortgage Rate”: With respect to each Mortgage Loan, the annual rate at which interest accrues on such Mortgage Loan from time to time in accordance with the provisions of the related Mortgage Note, which rate with respect to each Adjustable Rate Mortgage Loan (A) as of any date of determination until the first Adjustment Date following the Cut-off Date shall be the rate set forth in the Mortgage Loan Schedule as the Mortgage Rate in effect immediately following the Cut-off Date and (B) as of any date of determination thereafter shall be the rate as adjusted on the most recent Adjustment Date equal to the sum, rounded to the nearest 0.125% as provided in the Mortgage Note, of the Index, as most recently available as of a date prior to the Adjustment Date as set forth in the related Mortgage Note, plus the related Gross Margin; provided that the Mortgage Rate on such Adjustable Rate Mortgage Loan on any Adjustment Date shall never be more than the lesser of (i) the sum of the Mortgage Rate in effect immediately prior to the Adjustment Date plus the related Periodic Rate Cap, if any, and (ii) the related Maximum Mortgage Rate, and shall never be less than the greater of (i) the Mortgage Rate in effect immediately prior to the Adjustment Date less the Periodic Rate Cap, if any, and (ii) the related Minimum Mortgage Rate. With respect to each Mortgage Loan that becomes an REO Property, as of any date of determination, the annual rate determined in accordance with the immediately preceding sentence as of the date such Mortgage Loan became an REO Property.

“Mortgaged Property”: The underlying property securing a Mortgage Loan, including any REO Property, consisting of an Estate in Real Property improved by a Residential Dwelling.

“Mortgagor”: The obligor on a Mortgage Note.

 

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“Net Liquidation Proceeds”: With respect to any Liquidated Mortgage Loan or any other disposition of related Mortgaged Property (including REO Property) the related Liquidation Proceeds and Insurance Proceeds net of P&I Advances, Servicing Advances, Servicing Fees and any other accrued and unpaid servicing fees received and retained in connection with the liquidation of such Mortgage Loan or Mortgaged Property.

“Net Monthly Excess Cashflow”: With respect to any Distribution Date, the sum of (i) any Overcollateralization Reduction Amount for such Distribution Date and (ii) the excess of (x) the Available Distribution Amount for such Distribution Date over (y) the sum for such Distribution Date of (A) the aggregate Senior Interest Distribution Amounts payable to the Holders of the Class A Certificates, (B) the aggregate Interest Distribution Amounts payable to the Holders of the Mezzanine Certificates, (C) the Principal Remittance Amount and (D) any Net Swap Payment or Swap Termination Payment (not caused by a Swap Provider Trigger Event) owed to the Swap Provider.

“Net Mortgage Rate”: With respect to any Mortgage Loan (or the related REO Property) as of any date of determination, a per annum rate of interest equal to the then applicable Mortgage Rate for such Mortgage Loan minus the Servicing Fee Rate and the Credit Risk Manager Fee Rate.

“Net Prepayment Interest Shortfall”: With respect to any Distribution Date and Loan Group, the excess, if any, of any Prepayment Interest Shortfalls for such Loan Group for such date over the sum of (i) the related Compensating Interest and (ii) the excess, if any, of the aggregate Compensating Interest for the other Loan Groups over the Prepayment Interest Shortfalls for such other Loan Groups.

“Net Swap Payment”: In the case of payments made by the Trust, the excess, if any, of (x) the Fixed Swap Payment over (y) the Floating Swap Payment and in the case of payments made by the Swap Provider, the excess, if any, of (x) the Floating Swap Payment over (y) the Fixed Swap Payment. In each case, the Net Swap Payment shall not be less than zero.

“Net WAC Pass-Through Rate”: With respect to the Class A-1 Certificates and any Distribution Date, a rate per annum (adjusted for the actual number of days elapsed in the related Accrual Period) equal to a fraction, expressed as a percentage, the numerator of which is the amount of interest that accrued on the Group I Mortgage Loans in the prior calendar month minus the Servicing Fees and Credit Risk Manager Fees with respect to the Group I Mortgage Loans for such Distribution Date and the Group I Allocation Percentage of any Net Swap Payment payable to the Swap Provider or Swap Termination Payment payable to the Swap Provider which was not caused by the occurrence of a Swap Provider Trigger Event, in each case for such Distribution Date and the denominator of which is the aggregate Stated Principal Balance of the Group I Mortgage Loans as of the first day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date), after giving effect to Principal Prepayments received during the related Prepayment Period. For federal income tax purposes, however, the per annum Net WAC Pass- Through Rate with respect to the Class A-1 Certificates and any Distribution Date shall be equal to the Group I REMIC Net WAC Cap Rate.

 

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With respect to the Class A-2 Certificates and any Distribution Date, a rate per annum (adjusted for the actual number of days elapsed in the related Accrual Period) equal to a fraction, expressed as a percentage, the numerator of which is the amount of interest that accrued on the Group II Mortgage Loans in the prior calendar month minus the Servicing Fees and Credit Risk Manager Fees with respect to the Group II Mortgage Loans for such Distribution Date and the Group II Allocation Percentage of any Net Swap Payment payable to the Swap Provider or Swap Termination Payment payable to the Swap Provider which was not caused by the occurrence of a Swap Provider Trigger Event, in each case for such Distribution Date and the denominator of which is the aggregate Stated Principal Balance of the Group II Mortgage Loans as of the first day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date), after giving effect to Principal Prepayments received during the related Prepayment Period. For federal income tax purposes, however, the per annum Net WAC Pass-Through Rate with respect to the Class A-2 Certificates and any Distribution Date shall be equal to the Group II REMIC Net WAC Cap Rate.

With respect to the Class A-3 Certificates and any Distribution Date, a rate per annum (adjusted for the actual number of days elapsed in the related Accrual Period) equal to a fraction, expressed as a percentage, the numerator of which is the amount of interest that accrued on the Group III Mortgage Loans in the prior calendar month minus the Servicing Fees and Credit Risk Manager Fees with respect to the Group III Mortgage Loans for such Distribution Date and the Group III Allocation Percentage of any Net Swap Payment payable to the Swap Provider or Swap Termination Payment payable to the Swap Provider which was not caused by the occurrence of a Swap Provider Trigger Event, in each case for such Distribution Date and the denominator of which is the aggregate Stated Principal Balance of the Group III Mortgage Loans as of the first day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date), after giving effect to Principal Prepayments received during the related Prepayment Period. For federal income tax purposes, however, the per annum Net WAC Pass-Through Rate with respect to the Class A-3 Certificates and any Distribution Date shall be equal to the Group III REMIC Net WAC Cap Rate.

With respect to the Mezzanine Certificates and any Distribution Date a rate per annum equal to the weighted average (weighted in proportion to the results of subtracting from the Stated Principal Balance of each Loan Group, the aggregate Certificate Principal Balance of the related Classes of Class A Certificates) of (i) the Net WAC Pass-Through Rate for the Class A-1 Certificates, (ii) the Net WAC Pass-Through Rate for the Class A-2 Certificates and (iii) the Net WAC Pass-Through Rate for the Class A-3 Certificates. For federal income tax purposes, however, the per annum Net WAC Pass-Through Rate with respect to the Mezzanine Certificates and any Distribution Date shall be equal to the Subordinate Net WAC Cap Rate.

“Net WAC Rate Carryover Amount”: With respect to any Class of Class A Certificates or Mezzanine Certificates and any Distribution Date, an amount equal to the sum of (i) the excess of (x) the amount of interest such Class would have been entitled to receive on such Distribution Date without taking into account the applicable Net WAC Pass-Through Rate over (y) the amount of interest distributed to such Class on such Distribution Date at the applicable Net WAC Pass-Through Rate plus (ii) the related Net WAC Rate Carryover Amount for the previous Distribution Date not previously distributed to such Class together with interest thereon

 

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at a rate equal to the Pass-Through Rate for such Class for the most recently ended Accrual Period without taking into account the applicable Net WAC Pass-Through Rate.

“New Lease”: Any lease of REO Property entered into on behalf of the Trust, including any lease renewed or extended on behalf of the Trust if the Trust has the right to renegotiate the terms of such lease.

“Nonrecoverable P&I Advance”: Any P&I Advance previously made or proposed to be made in respect of a Mortgage Loan or REO Property that, in the good faith business judgment of the Servicer or a successor Servicer (including the Trustee or the Master Servicer) will not or, in the case of a proposed P&I Advance, would not be ultimately recoverable from related Late Collections, Insurance Proceeds or Liquidation Proceeds on such Mortgage Loan or REO Property as provided herein.

“Nonrecoverable Servicing Advance”: Any Servicing Advance previously made or proposed to be made in respect of a Mortgage Loan or REO Property that, in the good faith business judgment of the Servicer, will not or, in the case of a proposed Servicing Advance, would not be ultimately recoverable from related Late Collections, Insurance Proceeds or Liquidation Proceeds on such Mortgage Loan or REO Property as provided herein.

“Non-United States Person”: Any Person other than a United States Person.

“Notional Amount”: Immediately prior to any Distribution Date, with respect to the Class CE Interest, the aggregate of the Uncertificated Principal Balances of the REMIC II Regular Interests (other than REMIC II Regular Interest MT-P).

“Offered Certificates”: The Class A Certificates, the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates and the Class M-9 Certificates offered to the public pursuant to the Prospectus Supplement.

“Officer’s Certificate”: A certificate signed by the Chairman of the Board, the Vice Chairman of the Board, the President or a vice president (however denominated), or by the Treasurer, the Secretary, or one of the assistant treasurers or assistant secretaries of the Servicer, the Master Servicer, the Seller or the Depositor, as applicable.

“Opinion of Counsel”: A written opinion of counsel, who may, without limitation, be salaried counsel for the Depositor, the Servicer, the Securities Administrator or the Master Servicer, acceptable to the Trustee, except that any opinion of counsel relating to (a) the qualification of any REMIC as a REMIC or (b) compliance with the REMIC Provisions must be an opinion of Independent counsel.

“Optional Termination Date”: The Distribution Date on which the aggregate principal balance of the Mortgage Loans (and properties acquired in respect thereof) remaining in the Trust Fund is reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date.

 

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“Original Notional Amount”: With respect to the Class CE IO Interest, the aggregate Initial Uncertificated REMIC I Principal Balance of the REMIC I Regular Interests.

“Originator”: Option One Mortgage Corporation, a California corporation.

“Overcollateralization Amount”: With respect to any Distribution Date, the excess, if any, of (a) the aggregate Stated Principal Balances of the Mortgage Loans and REO Properties immediately following such Distribution Date over (b) the sum of the aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates as of such Distribution Date (after taking into account the payment of the Principal Remittance Amount on such Distribution Date).

“Overcollateralization Deficiency Amount”: With respect to any Distribution Date, the amount, if any, by which the Required Overcollateralization Amount exceeds the Overcollateralized Amount on such Distribution Date (after giving effect to distributions in respect of the Principal Remittance Amount).

“Overcollateralization Floor”: An amount equal to the product of (i) 0.50% and (ii) the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-off Date.

“Overcollateralization Increase Amount”: With respect to any Distribution Date, the lesser of (i) the Net Monthly Excess Cashflow for such Distribution Date and (ii) the Overcollateralization Deficiency Amount.