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

MORGAN STANLEY CAPITAL I INC. TRUST 2006-NC2— January 2012


DEAL NAMEMorgan Stanley Capital I Inc. Trust 2006-NC2
Closing Date3/30/2006
Collateral Factor Date1/1/2012
 
Performance Summary
Current Pool Factor22.28%
 
Delinquency Status (*)
30+ Days16.93%
60+ Days12.41%
90+ Days10.24%
120+ Days0.00%
 
Bankruptcy4.05%
Foreclosure20.40%
REO2.85%
 
Cumulative Net Loss21.14%
Loss Severity73.24%
 
Prepayment Experience
1mo CPR6.54%
3mo CPR9.74%
6mo CPR11.42%
9mo CPR10.53%
12mo CPR10.82%
Life CPRNA


* Delinquency methodology: OTS