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Morgan Stanley ABS Static Pool Information (Last Update: May 23 2012)

MORGAN STANLEY CAPITAL I INC. TRUST 2006-HE2— January 2012


DEAL NAMEMorgan Stanley Capital I Inc. Trust 2006-HE2
Closing Date4/28/2006
Collateral Factor Date1/1/2012
 
Performance Summary
Current Pool Factor21.29%
 
Delinquency Status (*)
30+ Days16.47%
60+ Days11.31%
90+ Days8.86%
120+ Days7.40%
 
Bankruptcy4.83%
Foreclosure24.49%
REO3.49%
 
Cumulative Net Loss25.44%
Loss Severity89.10%
 
Prepayment Experience
1mo CPR11.83%
3mo CPR9.97%
6mo CPR11.75%
9mo CPR12.10%
12mo CPR11.80%
Life CPR22.94%


* Delinquency methodology: OTS