Fitch Rates Thornburg Mortgage Securities $1.54B, Series 2006-3.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch rates Thornburg Mortgage Securities Trust's $1.54B mortgage loan pass-through Certificates Pass-Through Certificates (PTCs) are instruments that evidence the ownership of two or more Equipment Trust Certificates. In other words, Equipment Trust Certificates may be bundled into a pass-through structure as a means of diversifying the asset pool and/or increasing the size , Series 2006-3 as follows: -- $1.493B classes A and A-X A-X Ajax, Ontario certificates (senior certificates) 'AAA'; -- $16.96 million class B-1 'AA+'; -- $11.56 million class B-2 'AA-'; -- $6.94 million class B-3 'A'; -- $3.85 million class B-4 'BBB'; -- $3.08 million class B-5 'BB'. The 'AAA' ratings on senior certificates reflect the 3.15% subordination provided by the 2.05% class B-1, the 1.3% class B-2, the 0.85% class B-3, the 0.60% privately offered class B-4 certificates, and the 0.40% privately offered class B-5 certificates. The ratings on class B-1, B-2, B-3, B-4 and B-5 certificates reflect each certificates' respective level of subordination. The ratings also reflect the quality of the underlying mortgage collateral, the master servicing capabilities of Wells Fargo Bank, N.A. (rated 'RMS1'by Fitch) and Fitch's confidence in the integrity of the legal and financial structure of the transaction. The mortgage pool consists of 2,082 conventional, hybrid and adjustable rate Adjustable rate Applies mainly to convertible securities. Refers to interest rate or dividend that is adjusted periodically, usually according to a standard market rate outside the control of the bank or savings institution, such as that prevailing on Treasury bonds or notes. , first lien, mortgage loans on one- to four- family residential properties with an aggregate principal balance of $1,541,263,255.76 as of the cut-off date. Approximately 95.68% of the loans require an interest-only payment during the initial years after origination ranging from three to ten years. The mortgage pool has a weighted average original loan-to-value ratio Loan-to-value ratio (LTV) The ratio of money borrowed on a property to the property's fair market value. of 67%. The weighted average FICO score FICO Score A standard credit score which makes up a substantial portion of a credit report that credit bureaus sell to lenders so they can asses an applicant's credit risk and whether to extend them credit. of the pool is 744. Loans originated under a reduced loan documentation program account for approximately 12.8% of the pool, cash-out refinance loans account for 27.1%, second homes account for 17.4%, and investment properties account for 11.7%. The average loan balance of the pool loans is $743,007. The three states that represent the largest geographic concentration of the mortgaged properties are California (32.47%), Colorado (10.79%) and New York (8.18%). Greenwich Capital; Acceptance, Inc., deposited the loans in the trust, which issued the certificates, representing undivided beneficial ownership in the trust. Approximately 82.64% and 12.24% of the mortgage loans were originated by Thornburg Mortgage Home Loans, Inc. and First Republic Bank respectively. For federal income tax purposes, elections will be made to treat the trust fund as one or more real estate mortgage investment conduits Real Estate Mortgage Investment Conduit (REMIC) A pass-through tax entity that can hold mortgages secured by any type of real property and can issue multiple classes of ownership interests to investors in the form of pass-through certificates, bonds, or other legal forms. (REMICs). LaSalle Bank, N.A. will act as Trustee and Wells Fargo Bank, N.A. will act as securities administrator and master servicer for the trust. The trust will enter into three cap agreements with Credit Suisse International to protect against certain interest rate risk. The ratings do not address the likelihood that any available funds cap shortfall amount will be repaid to the holders of the certificates. None of the mortgage loans are 'high cost' loans as defined under any local, state or federal laws. For additional information on Fitch's rating criteria regarding predatory lending legislation, please see the press release issued May 1, 2003 entitled 'Fitch Revises Rating Criteria in Wake of Predatory Lending Legislation', available on the Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. website at 'www.fitchratings.com'. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. 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