-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MmbaLLsky1Z8tF0VtPmNPzHZvIndyVmjIhh6H/1/qjIM6ZpdD2Acf86JxmFNBX9S a+J7OmiH9gAG0AwfPGwSCA== 0001056404-08-000304.txt : 20080110 0001056404-08-000304.hdr.sgml : 20080110 20080110114141 ACCESSION NUMBER: 0001056404-08-000304 CONFORMED SUBMISSION TYPE: 10-D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20071226 FILED AS OF DATE: 20080110 DATE AS OF CHANGE: 20080110 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Bear Stearns Mortgage Funding Trust 2007-AR2 CENTRAL INDEX KEY: 0001387824 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-D SEC ACT: 1934 Act SEC FILE NUMBER: 333-140247-01 FILM NUMBER: 08522657 BUSINESS ADDRESS: STREET 1: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10179 BUSINESS PHONE: 212272-2000 MAIL ADDRESS: STREET 1: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10179 10-D 1 bsf07ar2_10d-200712.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington D.C. 20549 FORM 10-D ASSET-BACKED ISSUER DISTRIBUTION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the monthly distribution period from: November 27, 2007 to December 26, 2007 Commission File Number of issuing entity: 333-140247-01 Bear Stearns Mortgage Funding Trust 2007-AR2 (Exact name of issuing entity as specified in its charter) Commission File Number of depositor: 333-140247 Structured Asset Mortgage Investments II Inc. (Exact name of depositor as specified in its charter) EMC Mortgage Corporation (Exact name of sponsor as specified in its charter) New York (State or other jurisdiction of incorporation or organization of the issuing entity) 54-2198906 54-2198907 54-2198908 54-6737512 (I.R.S. Employer Identification No.) c/o Wells Fargo Bank, N.A. 9062 Old Annapolis Road Columbia, MD 21045 (Address of principal executive offices of the issuing entity) (Zip Code) (410) 884-2000 (Telephone number, including area code) Not Applicable (Former name, former address, if changed since last report) Registered/reporting pursuant to (check one) Title of Section Section Section Name of Exchange Class 12(b) 12(g) 15(d) (If Section 12(b)) A-1 _____ _____ __X___ ____________ A-2 _____ _____ __X___ ____________ A-3 _____ _____ __X___ ____________ B-1 _____ _____ __X___ ____________ B-2 _____ _____ __X___ ____________ B-3 _____ _____ __X___ ____________ B-4 _____ _____ __X___ ____________ B-5 _____ _____ __X___ ____________ XP _____ _____ __X___ ____________ B-IO _____ _____ __X___ ____________ R _____ _____ __X___ ____________ R-X _____ _____ __X___ ____________
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes __X__ No ____ Part I - DISTRIBUTION INFORMATION Item 1. Distribution and Pool Performance Information On December 26, 2007 a distribution was made to holders of Bear Stearns Mortgage Funding Trust 2007-AR2. The distribution report is attached as an Exhibit to this Form 10-D. Please see Item 9(b), Exhibit 99.1 for the related information. Part II - OTHER INFORMATION Item 9. Exhibits. (a) The following is a list of documents filed as part of this Report on Form 10-D: (99.1) Monthly report distributed to holders of Bear Stearns Mortgage Funding Trust 2007-AR2, relating to the December 26, 2007 distribution. (b) The exhibits required to be filed by the Registrant pursuant to this Form are listed above and in the Exhibit Index that immediately follows the signature page hereof. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. Bear Stearns Mortgage Funding Trust 2007-AR2 (Issuing Entity) EMC Mortgage Corporation (Servicer) /s/ Mark Novachek Mark Novachek, Senior Vice President Date: January 9, 2008 EXHIBIT INDEX Exhibit Number Description EX-99.1 Monthly report distributed to holders of Bear Stearns Mortgage Funding Trust 2007-AR2, relating to the December 26, 2007 distribution. EX-99.1 Bear Stearns Mortgage Funding Mortgage Pass-Through Certificates Distribution Date: 12/26/2007 Bear Stearns Mortgage Funding Mortgage Pass-Through Certificates Series 2007-AR2 Contact: Customer Service - SecuritiesLink Wells Fargo Bank, N.A. Securities Administration Services 8480 Stagecoach Circle Frederick, MD 21701-4747 www.ctslink.com Telephone: 1-866-846-4526 Fax: 240-586-8675
Certificateholder Distribution Summary Class CUSIP Record Certificate Beginning Interest Date Pass-Through Certificate Distribution Rate Balance A-1 07401TAA4 12/24/2007 4.95875% 416,479,559.69 1,721,015.01 A-2 07401TAB2 12/24/2007 4.98875% 208,239,779.85 865,713.50 A-3 07401TAC0 12/24/2007 5.01875% 69,413,904.28 290,309.19 B-1 07401TAD8 12/24/2007 5.14875% 29,240,000.00 125,457.88 B-2 07401TAE6 12/24/2007 5.33875% 15,622,000.00 69,501.63 B-3 07401TAF3 12/24/2007 6.18875% 11,616,000.00 59,907.10 B-4 07401TAG1 12/24/2007 6.93875% 4,007,326.83 23,171.53 B-5 07401TAH9 11/30/2007 6.93875% 16,027,306.65 92,674.56 XP 07401TAJ5 11/30/2007 0.00000% 0.00 0.00 B-IO 07401TAK2 11/30/2007 0.00000% 6,408,867.35 733,541.53 R 07401TAL0 11/30/2007 0.00000% 0.00 0.00 R-X 07401TAM8 11/30/2007 0.00000% 0.00 0.00 Totals 777,054,744.65 3,981,291.93
Certificateholder Distribution Summary (continued) Class Principal Current Ending Total Cumulative Distribution Realized Certificate Distribution Realized Loss Balance Losses A-1 851,424.33 0.00 415,628,135.36 2,572,439.34 0.00 A-2 425,712.17 0.00 207,814,067.68 1,291,425.67 0.00 A-3 141,905.37 0.00 69,271,998.91 432,214.56 0.00 B-1 0.00 0.00 29,240,000.00 125,457.88 0.00 B-2 0.00 0.00 15,622,000.00 69,501.63 0.00 B-3 0.00 0.00 11,616,000.00 59,907.10 0.00 B-4 0.00 0.00 4,007,326.83 23,171.53 0.00 B-5 0.00 0.00 16,027,306.65 92,674.56 0.00 XP 0.00 0.00 0.00 0.00 0.00 B-IO 0.00 0.00 6,408,867.35 733,541.53 0.00 R 0.00 0.00 0.00 0.00 0.00 R-X 0.00 0.00 0.00 0.00 0.00 Totals 1,419,041.87 0.00 775,635,702.78 5,400,333.80 0.00 This report has been compiled from information provided to Wells Fargo Bank, N.A., by various third parties, which may include the Servicer, Master Servicer, Special Servicer and others. Wells Fargo Bank, N.A., has not independently confirmed the accuracy of information received from these third parties and assumes no duty to do so. Wells Fargo Bank, N.A., expressly disclaims any responsibility for the accuracy or completeness of information furnished by third parties. All Record Dates are based upon the governing documents and logic set forth as of closing.
Principal Distribution Statement Class Original Beginning Scheduled UnScheduled Accretion Face Certificate Principal Principal Amount Balance Distribution Distribution A-1 430,916,000.00 416,479,559.69 0.00 851,424.33 0.00 A-2 215,458,000.00 208,239,779.85 0.00 425,712.17 0.00 A-3 71,820,000.00 69,413,904.28 0.00 141,905.37 0.00 B-1 29,240,000.00 29,240,000.00 0.00 0.00 0.00 B-2 15,622,000.00 15,622,000.00 0.00 0.00 0.00 B-3 11,616,000.00 11,616,000.00 0.00 0.00 0.00 B-4 4,006,000.00 4,007,326.83 0.00 0.00 0.00 B-5 16,022,000.00 16,027,306.65 0.00 0.00 0.00 XP 0.00 0.00 0.00 0.00 0.00 B-IO 6,408,419.32 6,408,867.35 0.00 0.00 0.00 R 0.00 0.00 0.00 0.00 0.00 R-X 0.00 0.00 0.00 0.00 0.00 Totals 801,108,419.32 777,054,744.65 0.00 1,419,041.87 0.00
Principal Distribution Statement (continued) Class Realized Total Ending Ending Total Loss Principal Certificate Certificate Principal Reduction Balance Percentage Distribution A-1 0.00 851,424.33 415,628,135.36 0.96452240 851,424.33 A-2 0.00 425,712.17 207,814,067.68 0.96452240 425,712.17 A-3 0.00 141,905.37 69,271,998.91 0.96452240 141,905.37 B-1 0.00 0.00 29,240,000.00 1.00000000 0.00 B-2 0.00 0.00 15,622,000.00 1.00000000 0.00 B-3 0.00 0.00 11,616,000.00 1.00000000 0.00 B-4 0.00 0.00 4,007,326.83 1.00033121 0.00 B-5 0.00 0.00 16,027,306.65 1.00033121 0.00 XP 0.00 0.00 0.00 0.00000000 0.00 B-IO 0.00 0.00 6,408,867.35 1.00006991 0.00 R 0.00 0.00 0.00 0.00000000 0.00 R-X 0.00 0.00 0.00 0.00000000 0.00 Totals 0.00 1,419,041.87 775,635,702.78 0.96820316 1,419,041.87 NOTE: Accretion amount also includes Net Negative Amortization, if applicable.
Principal Distribution Factors Statement Class Original Beginning Scheduled UnScheduled Accretion Face Certificate Principal Principal Amount Balance Distribution Distribution A-1 430,916,000.00 966.49824952 0.00000000 1.97584757 0.00000000 A-2 215,458,000.00 966.49824954 0.00000000 1.97584759 0.00000000 A-3 71,820,000.00 966.49824951 0.00000000 1.97584754 0.00000000 B-1 29,240,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 B-2 15,622,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 B-3 11,616,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 B-4 4,006,000.00 1000.33121068 0.00000000 0.00000000 0.00000000 B-5 16,022,000.00 1000.33121021 0.00000000 0.00000000 0.00000000 XP 0.00 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 6,408,419.32 1000.06991272 0.00000000 0.00000000 0.00000000 R 0.00 0.00000000 0.00000000 0.00000000 0.00000000 R-X 0.00 0.00000000 0.00000000 0.00000000 0.00000000
Principal Distribution Factors Statement (continued) Class Realized Total Ending Ending Total Loss Principal Certificate Certificate Principal Reduction Balance Percentage Distribution A-1 0.00000000 1.97584757 964.52240195 0.96452240 1.97584757 A-2 0.00000000 1.97584759 964.52240195 0.96452240 1.97584759 A-3 0.00000000 1.97584754 964.52240198 0.96452240 1.97584754 B-1 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 B-2 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 B-3 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 B-4 0.00000000 0.00000000 1000.33121068 1.00033121 0.00000000 B-5 0.00000000 0.00000000 1000.33121021 1.00033121 0.00000000 XP 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 0.00000000 0.00000000 1000.06991272 1.00006991 0.00000000 R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R-X 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 NOTE: Accretion amount also includes Net Negative Amortization, if applicable. NOTE: All classes per $1,000 denomination.
Interest Distribution Statement Class Accrual Accrual Current Beginning Current Payment of Dates Days Certificate Certificate/ Accrued Unpaid Interest Rate Notional Interest Shortfall (1) Balance A-1 11/26/07 - 12/25/07 30 4.95875% 416,479,559.69 1,721,015.01 0.00 A-2 11/26/07 - 12/25/07 30 4.98875% 208,239,779.85 865,713.50 0.00 A-3 11/26/07 - 12/25/07 30 5.01875% 69,413,904.28 290,309.19 0.00 B-1 11/26/07 - 12/25/07 30 5.14875% 29,240,000.00 125,457.88 0.00 B-2 11/26/07 - 12/25/07 30 5.33875% 15,622,000.00 69,501.63 0.00 B-3 11/26/07 - 12/25/07 30 6.18875% 11,616,000.00 59,907.10 0.00 B-4 11/26/07 - 12/25/07 30 6.93875% 4,007,326.83 23,171.53 0.00 B-5 11/26/07 - 12/25/07 30 6.93875% 16,027,306.65 92,674.56 0.00 XP N/A N/A 0.00000% 0.00 0.00 0.00 B-IO N/A N/A 0.00000% 6,408,867.35 0.00 0.00 R N/A N/A 0.00000% 0.00 0.00 0.00 R-X N/A N/A 0.00000% 0.00 0.00 0.00 Totals 3,247,750.40 0.00
Interest Distribution Statement (continued) Class Current Non-Supported Total Remaining Ending Interest Interest Interest Unpaid Interest Certificate/ Shortfall(1) Shortfall Distribution Shortfall(1) Notional Balance A-1 0.00 0.00 1,721,015.01 0.00 415,628,135.36 A-2 0.00 0.00 865,713.50 0.00 207,814,067.68 A-3 0.00 0.00 290,309.19 0.00 69,271,998.91 B-1 0.00 0.00 125,457.88 0.00 29,240,000.00 B-2 0.00 0.00 69,501.63 0.00 15,622,000.00 B-3 0.00 0.00 59,907.10 0.00 11,616,000.00 B-4 0.00 0.00 23,171.53 0.00 4,007,326.83 B-5 0.00 0.00 92,674.56 0.00 16,027,306.65 XP 0.00 0.00 0.00 0.00 0.00 B-IO 0.00 0.00 733,541.53 0.00 6,408,867.35 R 0.00 0.00 0.00 0.00 0.00 R-X 0.00 0.00 0.00 0.00 0.00 Totals 0.00 0.00 3,981,291.93 0.00 (1) Amount also includes Coupon Cap or Basis Risk Shortfalls, if applicable.
Interest Distribution Factors Statement Class Original Current Beginning Current Payment of Face Certificate Certificate/ Accrued Unpaid Interest Amount Rate Notional Interest Shortfall (1) Balance A-1 430,916,000.00 4.95875% 966.49824952 3.99385265 0.00000000 A-2 215,458,000.00 4.98875% 966.49824954 4.01801511 0.00000000 A-3 71,820,000.00 5.01875% 966.49824951 4.04217753 0.00000000 B-1 29,240,000.00 5.14875% 1000.00000000 4.29062517 0.00000000 B-2 15,622,000.00 5.33875% 1000.00000000 4.44895852 0.00000000 B-3 11,616,000.00 6.18875% 1000.00000000 5.15729167 0.00000000 B-4 4,006,000.00 6.93875% 1000.33121068 5.78420619 0.00000000 B-5 16,022,000.00 6.93875% 1000.33121021 5.78420672 0.00000000 XP 0.00 0.00000% 0.00000000 0.00000000 0.00000000 B-IO 6,408,419.32 0.00000% 1000.06991272 0.00000000 0.00000000 R 0.00 0.00000% 0.00000000 0.00000000 0.00000000 R-X 0.00 0.00000% 0.00000000 0.00000000 0.00000000
Interest Distribution Factors Statement (continued) Class Current Non-Supported Total Remaining Unpaid Ending Interest Interest Interest Interest Certificate/ Shortfall(1) Shortfall Distribution Shortfall(1) Notional Balance A-1 0.00000000 0.00000000 3.99385265 0.00000000 964.52240195 A-2 0.00000000 0.00000000 4.01801511 0.00000000 964.52240195 A-3 0.00000000 0.00000000 4.04217753 0.00000000 964.52240198 B-1 0.00000000 0.00000000 4.29062517 0.00000000 1000.00000000 B-2 0.00000000 0.00000000 4.44895852 0.00000000 1000.00000000 B-3 0.00000000 0.00000000 5.15729167 0.00000000 1000.00000000 B-4 0.00000000 0.00000000 5.78420619 0.00000000 1000.33121068 B-5 0.00000000 0.00000000 5.78420672 0.00000000 1000.33121021 XP 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 0.00000000 0.00000000 114.46528284 0.00000000 1000.06991272 R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R-X 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 (1) Amount also includes Coupon Cap or Basis Risk Shortfalls, if applicable. NOTE: All classes per $1,000 denomination.
Certificateholder Account Statement CERTIFICATE ACCOUNT Beginning Balance 0.00 Deposits Payments of Interest and Principal 5,443,017.23 Reserve Funds and Credit Enhancements 0.00 Proceeds from Repurchased Loans 388,068.60 Servicer Advances 505,199.88 Gains & Subsequent Recoveries (Realized Losses) (689,237.03) Prepayment Penalties 0.00 Swap/Cap Payments 0.00 Total Deposits 5,647,048.68 Withdrawals Swap Payments 0.00 Reserve Funds and Credit Enhancements 0.00 Total Administration Fees 246,714.88 Payment of Interest and Principal 5,400,333.80 Total Withdrawals (Pool Distribution Amount) 5,647,048.68 Ending Balance 0.00 Servicer Advances are calculated as delinquent scheduled principal and interest.
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL Total Prepayment/Curtailment Interest Shortfall 0.00 Servicing Fee Support 0.00 Non-Supported Prepayment/Curtailment Interest Shortfall 0.00
ADMINISTRATION FEES Gross Servicing Fee* 242,829.61 Trustee Fee - Wells Fargo Bank, N.A. 3,885.27 Supported Prepayment/Curtailment Interest Shortfall 0.00 Total Administration Fees 246,714.88 *Servicer Payees include: EMC MORTGAGE CORPORATION
Reserve and Guaranty Funds Account Name Beginning Current Current Ending Balance Withdrawals Deposits Balance Reserve Fund 0.00 0.00 0.00 0.00 Adjustable Rate Supplemental Fund 0.00 0.00 0.00 0.00 Class XP Reserve Account 0.00 0.00 0.00 0.00 Hedge Funds Account Name Funds In (A) Funds Out(B) Net Amount(A - B) Corridor Contract Payment # 5283837 / 5283838 * 0.00 0.00 0.00 Corridor Contract Payment # 5283872 / 5283873 * 0.00 0.00 0.00 Corridor Contract Payment # 5283878 / 5283879 * 0.00 0.00 0.00 Corridor Contract Payment # 5283884 / 5283885 * 0.00 0.00 0.00 Corridor Contract Payment # 5283890 / 5283891 * 0.00 0.00 0.00 Corridor Contract Payment # 5283898 / 5283899 * 0.00 0.00 0.00 NOTE: * Corridor Counterparty: ABN AMRO BANK N.V.
Collateral Statement Total Collateral Description Mixed ARM Weighted Average Coupon Rate 7.593664 Weighted Average Net Rate 7.218664 Weighted Average Pass-Through Rate 7.212664 Weighted Average Remaining Term 350 Principal And Interest Constant 2,915,837.24 Beginning Loan Count 1,948 Loans Paid in Full 6 Ending Loan Count 1,942 Beginning Scheduled Balance 777,054,744.65 Ending Scheduled Balance 775,635,702.78 Actual Ending Collateral Balance 772,648,765.72 Scheduled Principal (2,001,406.49) Unscheduled Principal 3,420,448.36 Negative Amortized Principal 0.00 Scheduled Interest 4,917,243.73 Servicing Fees 242,829.61 Master Servicing Fees 0.00 Trustee Fee 3,885.27 FRY Amount 0.00 Special Hazard Fee 0.00 Other Fee 0.00 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 4,670,528.85 Realized Loss Amount 689,237.03 Cumulative Realized Loss 724,719.47 Percentage of Cumulative Losses 0.0905 Prepayment Penalty Waived Amount 0.00 Prepayment Penalty Waived Count 0 Prepayment Penalty Paid Amount 0.00 Prepayment Penalty Paid Count 0 Special Servicing Fee 0.00
Additional Reporting - Deal Level Informational Reporting Net Deferred Interest 0.00 Net Deferred Interest Class A-1 0.00 Net Deferred Interest Class A-2 0.00 Net Deferred Interest Class A-3 0.00 Net Deferred Interest Class B-1 0.00 Net Deferred Interest Class B-2 0.00 Net Deferred Interest Class B-3 0.00 Net Deferred Interest Class B-4 0.00 Net Deferred Interest Class B-5 0.00 Credit Enhancement Percentage 10.690779% Three Month Rolling DLQ Average 9.441296% Structural Reporting Overcollateralization Amount 6,408,867.35 Overcollateralization Deficiency 0.00 Overcollateralization Release 0.00 Overcollateralization Target Amount 6,408,867.35 Excess Spread 1,422,778.56 Extra Principal Distribution Amount 689,237.03 Trigger Event Reporting Cumulative Loss Test Trigger Result Pass Threshold Value 0.350000% Calculated Value 0.090465% Delinquency Test Trigger Result Fail Threshold Value 2.886510% Calculated Value 9.441296% Trigger Event Trigger Result Fail
Delinquency Status DELINQUENT BANKRUPTCY FORECLOSURE REO Total No. of Loans No. of Loans No. of Loans No. of Loans No. of Loans Actual Balance Actual Balance Actual Balance Actual Balance Actual Balance 0-29 Days 4 0 0 4 1,557,890.21 0.00 0.00 1,557,890.21 30 Days 51 0 0 0 51 20,682,538.73 0.00 0.00 0.00 20,682,538.73 60 Days 38 0 0 0 38 15,268,906.66 0.00 0.00 0.00 15,268,906.66 90 Days 23 2 8 0 33 11,767,485.31 1,029,053.45 3,374,663.68 0.00 16,171,202.44 120 Days 1 0 27 0 28 451,310.02 0.00 12,584,555.72 0.00 13,035,865.74 150 Days 1 1 18 2 22 425,860.33 540,045.58 8,474,604.57 545,386.81 9,985,897.29 180+ Days 3 1 23 11 38 1,695,669.00 388,970.00 10,366,089.78 5,157,743.84 17,608,472.62 Totals 117 8 76 13 214 50,291,770.05 3,515,959.24 34,799,913.75 5,703,130.65 94,310,773.69 No. of Loans No. of Loans No. of Loans No. of Loans No. of Loans Actual Balance Actual Balance Actual Balance Actual Balance Actual Balance 0-29 Days 0.205973% 0.000000% 0.000000% 0.205973% 0.201630% 0.000000% 0.000000% 0.201630% 30 Days 2.626159% 0.000000% 0.000000% 0.000000% 2.626159% 2.676836% 0.000000% 0.000000% 0.000000% 2.676836% 60 Days 1.956746% 0.000000% 0.000000% 0.000000% 1.956746% 1.976177% 0.000000% 0.000000% 0.000000% 1.976177% 90 Days 1.184346% 0.102987% 0.411946% 0.000000% 1.699279% 1.523006% 0.133185% 0.436766% 0.000000% 2.092956% 120 Days 0.051493% 0.000000% 1.390319% 0.000000% 1.441813% 0.058411% 0.000000% 1.628755% 0.000000% 1.687166% 150 Days 0.051493% 0.051493% 0.926880% 0.102987% 1.132853% 0.055117% 0.069895% 1.096825% 0.070587% 1.292424% 180+ Days 0.154480% 0.051493% 1.184346% 0.566426% 1.956746% 0.219462% 0.050342% 1.341630% 0.667541% 2.278975% Totals 6.024717% 0.411946% 3.913491% 0.669413% 11.019567% 6.509008% 0.455053% 4.503976% 0.738127% 12.206164%
Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 505,199.88
180+ Delinquency Summary Summary Days Number of Outstanding Percentage of Delinquent Loans Actual Balance(%) Balance($) 180 - 209 17 7,227,180.89 0.935 210 - 239 13 6,511,171.73 0.843 240 - 269 3 1,371,420.00 0.177 270 - 299 5 2,498,700.00 0.323 Total 38 17,608,472.62 2.278 This report includes all loans greater than 180 days delinquent regardless of status (REO, Foreclosure, Bankruptcy).
REO Detail - All Mortgage Loans in REO during Current Period
Summary 12 Month REO History* New REO Loans Month REO Percentage Loans in REO 6 Jan-07 0.000% Original Principal Balance 2,661,000.00 Feb-07 0.000% Current Actual Balance 2,680,304.90 Mar-07 0.000% Apr-07 0.000% Current REO Total May-07 0.000% Loans in REO 13 Jun-07 0.000% Original Principal Balance 5,678,900.00 Jul-07 0.000% Current Actual Balance 5,703,130.65 Aug-07 0.000% Sep-07 0.049% Oct-07 0.184% Nov-07 0.390% Dec-07 0.738% *The text reported in the above table is presented graphically on the monthly bond remittance report. The monthly bond remittance report can be viewed online at www.ctslink.com.
REO Loan Detail - All Mortgage Loans in REO during Current Period Month Loan First Original Loan Entered Payment LTV at Principal Group Number REO Date State Origination Balance Summary 0017603952 Oct-2007 01-Mar-2007 CA 80.00 424,000.00 Summary 0017937517 Dec-2007 01-Dec-2006 CA 80.00 764,000.00 Summary 0017960741 Nov-2007 01-Feb-2007 CA 80.00 840,000.00 Summary 0018016527 Dec-2007 01-Jan-2007 TX 75.44 172,000.00 Summary 0018031039 Oct-2007 01-Feb-2007 AZ 80.00 624,000.00 Summary 0018067454 Nov-2007 01-Feb-2007 NV 79.99 225,900.00 Summary 0018080770 Nov-2007 01-Feb-2007 VA 80.00 320,000.00 Summary 0018127357 Dec-2007 01-Feb-2007 CA 75.00 397,500.00 Summary 0018143149 Dec-2007 01-Feb-2007 CA 80.00 520,000.00 Summary 0018148775 Nov-2007 01-Feb-2007 VA 80.00 203,200.00 Summary 0018150524 Dec-2007 01-Feb-2007 VA 75.00 367,500.00 Summary 0018162644 Dec-2007 01-Feb-2007 CA 80.00 440,000.00 Summary 0018167676 Sep-2007 01-Feb-2007 VA 80.00 380,800.00
REO Loan Detail - All Mortgage Loans in REO during Current Period (continued) Current Paid Current Approximate Loan Actual To Months Loan Delinquent Group Number Balance Date Delinquent Rate Interest Summary 0017603952 425,060.00 01-Mar-2007 7 7.625% 23,348.12 Summary 0017937517 771,715.53 01-Mar-2007 7 7.875% 43,856.95 Summary 0017960741 840,000.00 01-Jan-2007 9 7.750% 55,410.61 Summary 0018016527 174,175.47 01-May-2007 5 7.125% 6,910.99 Summary 0018031039 624,000.00 01-Jan-2007 9 8.125% 43,335.05 Summary 0018067454 225,900.00 01-Jan-2007 9 7.875% 15,163.69 Summary 0018080770 322,416.80 01-Apr-2007 6 8.375% 17,350.17 Summary 0018127357 399,494.03 01-Mar-2007 7 7.875% 22,701.58 Summary 0018143149 522,608.53 01-Mar-2007 7 7.875% 29,697.66 Summary 0018148775 204,648.95 01-Apr-2007 6 8.000% 10,495.51 Summary 0018150524 371,211.34 01-May-2007 5 7.875% 16,365.64 Summary 0018162644 441,100.00 01-Feb-2007 8 7.500% 26,491.05 Summary 0018167676 380,800.00 01-Jan-2007 9 8.250% 26,887.49
Foreclosure Detail - All Mortgage Loans in Foreclosure during Current Period
Summary 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 16 Jan-07 0.000% Original Principal Balance 6,302,061.00 Feb-07 0.000% Current Actual Balance 6,378,770.63 Mar-07 0.000% Apr-07 0.000% Current Foreclosure Total May-07 0.000% Loans in Foreclosure 76 Jun-07 0.426% Original Principal Balance 34,452,793.00 Jul-07 0.593% Current Actual Balance 34,799,913.75 Aug-07 1.661% Sep-07 2.547% Oct-07 3.636% Nov-07 4.413% Dec-07 4.504% *The text reported in the above table is presented graphically on the monthly bond remittance report. The monthly bond remittance report can be viewed online at www.ctslink.com.
Foreclosure Loan Detail - All Mortgage Loans in Foreclosure during Current Period Month Loan First Original Loan Entered Payment LTV at Principal Group Number FC Date State Origination Balance Summary 0016208753 Nov-2007 01-Feb-2007 VA 80.00 292,000.00 Summary 0017475591 Sep-2007 01-Mar-2007 SC 80.00 648,000.00 Summary 0017477688 Dec-2007 01-Mar-2007 AZ 80.00 315,121.00 Summary 0017488529 Aug-2007 01-Feb-2007 CA 80.00 320,000.00 Summary 0017489931 Nov-2007 01-Jan-2007 CA 80.00 267,192.00 Summary 0017494089 Oct-2007 01-Feb-2007 AZ 80.00 244,000.00 Summary 0017494964 Dec-2007 01-Feb-2007 AZ 80.00 606,400.00 Summary 0017504051 Dec-2007 01-Feb-2007 AZ 80.00 617,920.00 Summary 0017515339 Sep-2007 01-Mar-2007 CA 80.00 392,000.00 Summary 0017516089 Oct-2007 01-Feb-2007 CA 78.67 472,000.00 Summary 0017522608 Oct-2007 01-Mar-2007 CA 80.00 515,200.00 Summary 0017528340 Nov-2007 01-Feb-2007 CA 80.00 464,000.00 Summary 0017538356 Dec-2007 01-Feb-2007 CA 80.00 393,600.00 Summary 0017538596 Sep-2007 01-Feb-2007 CA 80.00 318,400.00 Summary 0017538646 Nov-2007 01-Mar-2007 CA 80.00 426,400.00 Summary 0017541244 Oct-2007 01-Feb-2007 CA 80.00 556,000.00 Summary 0017547407 Dec-2007 01-Mar-2007 NV 80.00 240,000.00 Summary 0017548165 Nov-2007 01-Feb-2007 CA 80.00 364,000.00 Summary 0017549122 Sep-2007 01-Feb-2007 CA 80.00 447,200.00 Summary 0017551391 Sep-2007 01-Feb-2007 CA 80.00 484,000.00 Summary 0017553918 Oct-2007 01-Mar-2007 CA 80.00 272,000.00 Summary 0017556432 Dec-2007 01-Feb-2007 ME 80.00 148,320.00 Summary 0017561994 Nov-2007 01-Mar-2007 FL 80.00 210,120.00 Summary 0017563271 Oct-2007 01-Mar-2007 CA 80.00 712,000.00 Summary 0017566696 Nov-2007 01-Mar-2007 MN 80.00 184,800.00 Summary 0017571589 Sep-2007 01-Mar-2007 MN 80.00 534,400.00 Summary 0017575051 Nov-2007 01-Mar-2007 NJ 80.00 416,000.00 Summary 0017578006 Dec-2007 01-Mar-2007 CA 80.00 600,000.00 Summary 0017612664 Dec-2007 01-Mar-2007 AZ 80.00 400,000.00 Summary 0017858218 Nov-2007 01-Feb-2007 CA 80.00 986,400.00 Summary 0017860131 Nov-2007 01-Feb-2007 CA 76.92 1,000,000.00 Summary 0017873035 Nov-2007 01-Feb-2007 CA 80.00 740,000.00 Summary 0017933136 Nov-2007 01-Feb-2007 MD 79.01 320,000.00 Summary 0017939117 Sep-2007 01-Feb-2007 MD 80.00 292,000.00 Summary 0017941980 Oct-2007 01-Feb-2007 CA 80.00 860,000.00 Summary 0017992439 Dec-2007 01-Feb-2007 FL 79.25 158,500.00 Summary 0017996380 Oct-2007 01-Feb-2007 CA 80.00 308,000.00 Summary 0017997404 Oct-2007 01-Feb-2007 CA 80.00 476,000.00 Summary 0017998881 Nov-2007 01-Feb-2007 NV 80.00 440,000.00 Summary 0018003384 Sep-2007 01-Feb-2007 CA 80.00 336,000.00 Summary 0018010868 Nov-2007 01-Dec-2006 CA 80.00 532,000.00 Summary 0018015396 Nov-2007 01-Jan-2007 MO 80.00 472,000.00 Summary 0018018580 Aug-2007 01-Jan-2007 CA 80.00 519,200.00 Summary 0018021881 Dec-2007 01-Feb-2007 AZ 80.00 204,800.00 Summary 0018022988 Oct-2007 01-Feb-2007 FL 80.00 209,520.00 Summary 0018025239 Nov-2007 01-Jan-2007 CA 80.00 660,000.00 Summary 0018031054 Oct-2007 01-Jan-2007 CA 80.00 412,000.00 Summary 0018031104 Oct-2007 01-Feb-2007 CA 80.00 748,000.00 Summary 0018033803 Oct-2007 01-Feb-2007 CA 80.00 364,000.00 Summary 0018050658 Jul-2007 01-Feb-2007 CA 80.00 540,000.00 Summary 0018053322 Sep-2007 01-Feb-2007 CA 80.00 691,800.00 Summary 0018054098 Dec-2007 01-Feb-2007 CA 80.00 312,000.00 Summary 0018054833 Sep-2007 01-Feb-2007 AZ 67.08 711,000.00 Summary 0018061093 Nov-2007 01-Feb-2007 CA 80.00 528,000.00 Summary 0018063404 Nov-2007 01-Feb-2007 CA 80.00 616,000.00 Summary 0018070318 Oct-2007 01-Feb-2007 NV 80.00 516,000.00 Summary 0018072553 Dec-2007 01-Feb-2007 AZ 80.00 540,000.00 Summary 0018085555 Oct-2007 01-Feb-2007 CA 70.00 385,000.00 Summary 0018085852 Nov-2007 01-Feb-2007 CA 80.00 416,000.00 Summary 0018087718 Dec-2007 01-Feb-2007 NV 80.00 344,600.00 Summary 0018092080 Oct-2007 01-Feb-2007 CA 80.00 520,000.00 Summary 0018097345 Sep-2007 01-Feb-2007 CA 78.10 492,000.00 Summary 0018099622 Aug-2007 01-Feb-2007 CA 80.00 392,000.00 Summary 0018117101 Aug-2007 01-Feb-2007 FL 80.00 165,600.00 Summary 0018124768 Nov-2007 01-Feb-2007 FL 80.00 280,000.00 Summary 0018137182 Sep-2007 01-Feb-2007 CA 79.99 442,500.00 Summary 0018138347 Aug-2007 01-Feb-2007 CA 80.00 348,000.00 Summary 0018141689 Nov-2007 01-Feb-2007 FL 80.00 384,000.00 Summary 0018142737 Sep-2007 01-Feb-2007 CA 80.00 416,000.00 Summary 0018144865 Aug-2007 01-Feb-2007 CA 80.00 880,000.00 Summary 0018147264 Dec-2007 01-Feb-2007 FL 80.00 236,000.00 Summary 0018151803 Nov-2007 01-Feb-2007 CA 80.00 336,000.00 Summary 0018156513 Dec-2007 01-Feb-2007 FL 79.91 692,800.00 Summary 0018164368 Dec-2007 01-Feb-2007 MD 80.00 492,000.00 Summary 0018174573 Nov-2007 01-Feb-2007 CA 80.00 292,000.00 Summary 0018182808 Nov-2007 01-Feb-2007 CA 80.00 584,000.00
Foreclosure Loan Detail - All Mortgage Loans in Foreclosure during Current Period (continued) Current Paid Current Approximate Loan Actual To Months Loan Delinquent Group Number Balance Date Delinquent Rate Interest Summary 0016208753 295,701.29 01-Jun-2007 4 8.375% 11,904.34 Summary 0017475591 651,250.97 01-Apr-2007 6 8.125% 33,948.94 Summary 0017477688 316,701.77 01-Apr-2007 6 7.875% 15,976.61 Summary 0017488529 321,604.75 01-Mar-2007 7 7.125% 16,447.48 Summary 0017489931 271,210.86 01-Jun-2007 4 8.000% 10,406.73 Summary 0017494089 246,463.71 01-May-2007 5 7.750% 10,684.73 Summary 0017494964 615,522.69 01-Jul-2007 3 7.500% 18,367.32 Summary 0017504051 625,465.98 01-Jun-2007 4 8.250% 24,786.34 Summary 0017515339 393,967.33 01-Apr-2007 6 9.000% 22,856.35 Summary 0017516089 476,670.11 01-May-2007 5 7.875% 21,014.96 Summary 0017522608 520,402.13 01-May-2007 5 7.750% 22,560.56 Summary 0017528340 469,877.82 01-Jun-2007 4 8.000% 18,029.40 Summary 0017538356 398,494.82 01-Jun-2007 4 8.875% 17,045.50 Summary 0017538596 320,804.42 01-Apr-2007 6 8.250% 16,993.60 Summary 0017538646 430,705.46 01-Jun-2007 4 7.750% 15,983.95 Summary 0017541244 561,604.15 01-May-2007 5 7.625% 23,934.19 Summary 0017547407 241,811.13 01-May-2007 5 7.625% 10,305.00 Summary 0017548165 368,320.96 01-Jun-2007 4 7.750% 13,670.82 Summary 0017549122 450,575.70 01-Apr-2007 6 7.750% 22,352.00 Summary 0017551391 486,428.44 01-Mar-2007 7 8.375% 29,485.03 Summary 0017553918 274,053.38 01-May-2007 5 7.875% 12,081.86 Summary 0017556432 150,581.62 01-Jul-2007 3 7.875% 4,729.93 Summary 0017561994 212,241.62 01-Jun-2007 4 7.750% 7,876.54 Summary 0017563271 716,964.38 01-May-2007 5 6.875% 27,392.59 Summary 0017566696 186,665.64 01-Jun-2007 4 7.875% 7,044.82 Summary 0017571589 537,081.16 01-Apr-2007 6 8.250% 28,449.08 Summary 0017575051 420,203.06 01-Jun-2007 4 8.250% 16,651.68 Summary 0017578006 607,480.38 01-Jul-2007 3 7.500% 18,126.99 Summary 0017612664 403,019.70 01-May-2007 5 7.875% 17,767.45 Summary 0017858218 998,900.70 01-Jun-2007 4 8.250% 39,585.23 Summary 0017860131 1,012,604.31 01-Jun-2007 4 7.375% 35,668.55 Summary 0017873035 749,370.23 01-Jun-2007 4 7.750% 27,810.67 Summary 0017933136 324,051.98 01-Jun-2007 4 7.750% 12,026.25 Summary 0017939117 294,204.18 01-Apr-2007 6 7.750% 14,594.76 Summary 0017941980 868,686.40 01-May-2007 5 8.000% 38,936.37 Summary 0017992439 160,912.46 01-Jul-2007 3 7.000% 4,464.65 Summary 0017996380 310,320.87 01-Apr-2007 6 8.250% 16,438.27 Summary 0017997404 480,809.31 01-May-2007 5 8.250% 22,257.66 Summary 0017998881 445,572.66 01-Jun-2007 4 7.875% 16,816.47 Summary 0018003384 338,537.10 01-Apr-2007 6 8.125% 17,648.21 Summary 0018010868 541,495.32 01-Jun-2007 4 7.875% 20,437.75 Summary 0018015396 479,202.81 01-Jun-2007 4 8.250% 18,990.75 Summary 0018018580 523,120.42 01-Mar-2007 7 8.125% 30,719.23 Summary 0018021881 207,393.82 01-Jun-2007 4 7.875% 7,827.30 Summary 0018022988 211,635.90 01-May-2007 5 7.875% 9,330.43 Summary 0018025239 670,069.09 01-Jun-2007 4 8.125% 26,133.13 Summary 0018031054 417,216.97 01-May-2007 5 7.750% 18,087.81 Summary 0018031104 755,553.72 01-May-2007 5 7.875% 33,310.21 Summary 0018033803 367,677.14 01-May-2007 5 8.125% 16,750.30 Summary 0018050658 541,350.00 01-Feb-2007 8 8.000% 34,793.86 Summary 0018053322 695,253.03 01-Apr-2007 6 8.000% 35,658.13 Summary 0018054098 314,354.66 01-Apr-2007 6 7.500% 15,065.62 Summary 0018054833 716,367.56 01-Apr-2007 6 7.875% 36,139.81 Summary 0018061093 534,688.59 01-Jun-2007 4 8.000% 20,516.23 Summary 0018063404 623,668.22 01-Jun-2007 4 8.000% 23,930.35 Summary 0018070318 521,033.32 01-May-2007 5 7.000% 20,291.16 Summary 0018072553 548,227.63 01-Jul-2007 3 7.500% 16,359.24 Summary 0018085555 388,887.45 01-May-2007 5 7.750% 16,859.09 Summary 0018085852 420,201.80 01-Jun-2007 4 8.000% 16,122.91 Summary 0018087718 348,971.83 01-Jul-2007 3 8.125% 11,325.87 Summary 0018092080 525,250.60 01-May-2007 5 7.750% 22,770.75 Summary 0018097345 495,714.65 01-Apr-2007 6 8.000% 25,425.06 Summary 0018099622 393,882.92 01-Mar-2007 7 8.125% 23,129.48 Summary 0018117101 166,430.80 01-Mar-2007 7 8.125% 9,772.93 Summary 0018124768 282,301.19 01-Jun-2007 4 8.250% 11,186.74 Summary 0018137182 445,840.57 01-Apr-2007 6 7.875% 22,492.08 Summary 0018138347 349,745.62 01-Mar-2007 7 7.750% 19,543.24 Summary 0018141689 388,866.46 01-Jun-2007 4 8.250% 15,410.32 Summary 0018142737 419,141.17 01-Apr-2007 6 8.125% 21,850.17 Summary 0018144865 883,411.69 01-Mar-2007 7 8.250% 52,713.57 Summary 0018147264 239,594.81 01-Jul-2007 3 7.375% 7,024.11 Summary 0018151803 340,189.43 01-Jun-2007 4 7.500% 12,197.04 Summary 0018156513 703,372.26 01-Jul-2007 3 8.250% 23,198.64 Summary 0018164368 496,865.07 01-May-2007 5 7.625% 21,175.57 Summary 0018174573 295,698.22 01-Jun-2007 4 7.875% 11,160.01 Summary 0018182808 591,393.38 01-Jun-2007 4 7.625% 21,575.73
Bankruptcy Detail - All Mortgage Loans in Bankruptcy during Current Period
Summary 12 Month Bankruptcy History* New Bankruptcy Loans Month Bankruptcy Percentage Loans in Bankruptcy 3 Jan-07 0.000% Original Principal Balance 1,185,250.00 Feb-07 0.000% Current Actual Balance 1,213,239.35 Mar-07 0.000% Apr-07 0.000% Current Bankruptcy Total May-07 0.073% Loans in Bankruptcy 8 Jun-07 0.095% Original Principal Balance 3,458,850.00 Jul-07 0.193% Current Actual Balance 3,515,959.24 Aug-07 0.213% Sep-07 0.258% Oct-07 0.364% Nov-07 0.409% Dec-07 0.455% *The text reported in the above table is presented graphically on the monthly bond remittance report. The monthly bond remittance report can be viewed online at www.ctslink.com.
Bankruptcy Detail - All Mortgage Loans in Bankruptcy during Current Period Group Loan Month Loan First State LTV at Original Number Entered Payment Origination Principal Bankruptcy Date Balance Summary 0017518242 Nov-2007 01-Mar-2007 CA 80.00 536,000.00 Summary 0017550500 Sep-2007 01-Feb-2007 CA 80.00 336,000.00 Summary 0017613498 Dec-2007 01-Mar-2007 UT 80.00 231,200.00 Summary 0018050872 Dec-2007 01-Feb-2007 CA 80.00 600,000.00 Summary 0018073411 Oct-2007 01-Feb-2007 CA 80.00 492,000.00 Summary 0018099218 Jul-2007 01-Feb-2007 CA 80.00 521,600.00 Summary 0018104224 Nov-2007 01-Feb-2007 CA 80.00 388,000.00 Summary 0018182055 Dec-2007 01-Feb-2007 CA 79.99 354,050.00
Bankruptcy Detail - All Mortgage Loans in Bankruptcy during Current Period (continued) Group Loan Current Paid To Months Current Approximate Number Actual Date Delinquent Loan Rate Delinquent Balance Interest Summary 0017518242 540,045.58 01-May-2007 5 7.625% 23,014.54 Summary 0017550500 344,650.86 01-Nov-2007 0 8.625% 4,732.80 Summary 0017613498 235,947.27 01-Nov-2007 0 7.875% 2,952.80 Summary 0018050872 615,060.23 01-Nov-2007 0 6.500% 6,270.72 Summary 0018073411 499,504.09 01-Jul-2007 3 8.000% 15,951.53 Summary 0018099218 529,549.36 01-Jul-2007 3 7.625% 16,079.16 Summary 0018104224 388,970.00 01-Feb-2007 8 8.375% 26,229.86 Summary 0018182055 362,231.85 01-Oct-2007 0 8.000% 4,609.33
Realized Loss Detail Report - Loans with Losses during Current Period Summary # Loans Prior Realized Current with Actual Loss/(Gain) Loss Group Losses Balance Amount Percentage Total 15 2,348,727.05 689,237.03 0.089%
Realized Loss Loan Detail Report - Loans With Losses during Current Period Original Current Loan Principal Note LTV at Original Group Number Balance Rate State Origination Term Summary 0017528522 368,000.00 7.750% CA 80.00 360 Summary 0017566449 236,000.00 6.625% NJ 80.00 360 Summary 0017566506 400,000.00 8.625% NY 80.00 360 Summary 0017567850 376,000.00 7.750% VA 80.00 360 Summary 0017911769 302,250.00 7.500% MD 75.00 360 Summary 0017920554 252,000.00 7.250% VA 70.00 360 Summary 0017937525 341,750.00 6.625% AZ 80.00 360 Summary 0017959198 972,000.00 7.625% CA 80.00 360 Summary 0017965526 505,500.00 8.125% MD 79.94 360 Summary 0017981879 241,500.00 7.875% MO 70.00 360 Summary 0018057612 267,800.00 7.125% NJ 79.99 360 Summary 0018089409 417,900.00 7.625% WA 80.00 360 Summary 0018103036 980,000.00 7.125% CA 72.59 360 Summary 0018144337 556,000.00 7.375% UT 80.00 360 Summary 0018154823 650,000.00 7.000% WA 65.99 360
Realized Loss Loan Detail Report - Loans With Losses during Current Period (continued) Prior Cumulative Loan Actual Realized Realized Group Number Balance Loss/(Gain) Loss/(Gain) Summary 0017528522 0.00 155.00 12,205.78 Summary 0017566449 0.00 12.99 12.99 Summary 0017566506 0.00 12.50 12.50 Summary 0017567850 379,722.12 37,179.71 37,179.71 Summary 0017911769 0.00 12.99 12.99 Summary 0017920554 0.00 12.99 12.99 Summary 0017937525 0.00 12.99 12.99 Summary 0017959198 984,090.38 118,451.10 118,451.10 Summary 0017965526 0.00 12.99 12.99 Summary 0017981879 0.00 1,667.71 24,775.01 Summary 0018057612 0.00 12.99 12.99 Summary 0018089409 0.00 12.99 12.99 Summary 0018103036 984,914.55 531,654.10 531,654.10 Summary 0018144337 0.00 12.99 12.99 Summary 0018154823 0.00 12.99 12.99
Realized Loss Report - Collateral Summary MDR SDA Current Month 0.307% Current Month 17.905% 3 Month Average 0.113% 3 Month Average 6.663% 12 Month Average 0.000% 12 Month Average 0.000% MDR: Current vs. 12mo Average* SDA: Current vs. 12mo Average* Month Current 12mo Avg. Month Current 12mo Avg. Jan-2007 N/A N/A Jan-2007 N/A N/A Feb-2007 N/A N/A Feb-2007 N/A N/A Mar-2007 0.000% N/A Mar-2007 0.000% N/A Apr-2007 0.000% N/A Apr-2007 0.000% N/A May-2007 0.000% N/A May-2007 0.000% N/A Jun-2007 0.000% N/A Jun-2007 0.000% N/A Jul-2007 0.000% N/A Jul-2007 0.000% N/A Aug-2007 0.047% N/A Aug-2007 4.632% N/A Sep-2007 0.000% N/A Sep-2007 0.000% N/A Oct-2007 0.000% N/A Oct-2007 0.000% N/A Nov-2007 0.032% N/A Nov-2007 2.083% N/A Dec-2007 0.307% N/A Dec-2007 17.905% N/A *The text reported in the above table is presented *The text reported in the above table is presented graphically on the monthly bond remittance report. The graphically on the monthly bond remittance report. The monthly bond remittance report can be viewed online at monthly bond remittance report can be viewed online at www.ctslink.com. www.ctslink.com. CDR Loss Severity Current Month 3.620% Current Month (Cumulative) 4.423% 3 Month Average 1.333% 3 Month Average (Cumulative) 1.639% 12 Month Average 0.000% 12 Month Average (Cumulative) N/A CDR: Current vs. 12mo Average* Loss Severity: Curr Month(Cum) vs. 12mo Avg.(Cum) Severity* Month Current 12mo Avg. Month Current 12mo Avg. Jan-2007 N/A N/A Jan-2007 N/A N/A Feb-2007 N/A N/A Feb-2007 N/A N/A Mar-2007 0.000% N/A Mar-2007 0.000% N/A Apr-2007 0.000% N/A Apr-2007 0.000% N/A May-2007 0.000% N/A May-2007 0.000% N/A Jun-2007 0.000% N/A Jun-2007 0.000% N/A Jul-2007 0.000% N/A Jul-2007 0.003% N/A Aug-2007 0.566% N/A Aug-2007 0.260% N/A Sep-2007 0.000% N/A Sep-2007 0.259% N/A Oct-2007 0.000% N/A Oct-2007 0.142% N/A Nov-2007 0.379% N/A Nov-2007 0.353% N/A Dec-2007 3.620% N/A Dec-2007 4.423% N/A *The text reported in the above table is presented *The text reported in the above table is presented graphically on the monthly bond remittance report. The graphically on the monthly bond remittance report. The monthly bond remittance report can be viewed online at monthly bond remittance report can be viewed online at www.ctslink.com. www.ctslink.com. Calculation Methodology: Monthly Default Rate (MDR): Sum(Beg Scheduled Balance of Liquidated Loans) / Sum(Beg Scheduled Balance). Conditional Default Rate (CDR): 1-((1-MDR)^12) SDA Standard Default Assumption: If WAS is less than or equal to 30 then CDR / (WAS * 0.02) else if WAS is greater than 30 and less than or equal to 60 then CDR / 0.6 else if WAS is greater than 60 and less than or equal to 120 then CDR / (0.6 - ((WAS - 60) * 0.0095)) else if WAS is greater than 120 then CDR / 0.03 Cumulative Loss Severity: Sum(All Realized Losses) / Sum(Actual Liquidated Balance for loans that have experienced a loss). 3 Month Average and 12 Month Average will not have values until the 3rd and 12th month respectively.
Prepayment Detail - Prepayments during Current Period Summary Loans Paid In Full Repurchased Loans Original Current Original Current Principal Scheduled Principal Scheduled Group Count Balance Balance Count Balance Balance Total 1 450,000.00 461,582.67 2 376,000.00 385,679.99
Prepayment Detail - Prepayments during Current Period (continued) Summary Substitution Loans Liquidated Loans Curtailments Original Current Original Current Principal Scheduled Principal Scheduled Curtailment Group Count Balance Balance Count Balance Balance Amount Total 0 0.00 0.00 3 2,328,000.00 2,383,983.66 189,202.04
Prepayment Loan Detail - Prepayments during Current Period First Original Loan LTV at Payment Principal Prepayment Group Number State Origination Date Balance Amount Summary 0017493008 CA 74.63 01-Feb-2007 450,000.00 461,582.67 Summary 0017567850 VA 80.00 01-Mar-2007 376,000.00 384,604.94 Summary 0017959198 CA 80.00 01-Feb-2007 972,000.00 994,213.64 Summary 0018019935 FL 80.00 01-Feb-2007 204,800.00 210,071.36 Summary 0018068866 IL 80.00 01-Feb-2007 171,200.00 175,608.63 Summary 0018103036 CA 72.59 01-Feb-2007 980,000.00 1,005,165.08
Prepayment Loan Detail - Prepayments during Current Period (continued) Current Loan PIF Months Loan Original Group Number Type Delinquent Rate Term Seasoning Summary 0017493008 Loan Paid in Full 0 7.750% 360 10 Summary 0017567850 Liquidation 3 7.750% 360 10 Summary 0017959198 Liquidation 2 7.625% 360 10 Summary 0018019935 Repurchase 6 7.750% 360 10 Summary 0018068866 Repurchase 6 7.875% 360 10 Summary 0018103036 Liquidation 6 7.125% 360 10
Prepayment Penalty Detail - Prepayment Penalty Paid during Current Period Prepayment Prepayment Summary Loan Prior Penalty Penalty Count Balance Amount Waived Total 0 0.00 0.00 0.00
Prepayment Penalty Loan Detail - Prepayment Penalty Paid during Current Period Paid In Prepayment Prepayment Loan Full Prior Penalty Penalty Group Number Date Balance Amount Waived No Prepayment Penalties this Period
Prepayment Rates
Summary SMM CPR PSA Current Month 0.439% Current Month 5.143% Current Month 254.389% 3 Month Average 0.493% 3 Month Average 5.751% 3 Month Average 317.439% 12 Month Average 0.000% 12 Month Average 0.000% 12 Month Average 0.000% CPR: Current vs. 12mo Average* PSA: Current vs. 12mo Average* Month Current 12mo Avg. Month Current 12mo Avg. Jan-2007 N/A N/A Jan-2007 N/A N/A Feb-2007 N/A N/A Feb-2007 N/A N/A Mar-2007 1.848% N/A Mar-2007 836.131% N/A Apr-2007 6.188% N/A Apr-2007 1,469.313% N/A May-2007 6.589% N/A May-2007 1,061.074% N/A Jun-2007 11.372% N/A Jun-2007 1,384.830% N/A Jul-2007 6.830% N/A Jul-2007 668.745% N/A Aug-2007 11.797% N/A Aug-2007 965.883% N/A Sep-2007 4.475% N/A Sep-2007 314.839% N/A Oct-2007 4.893% N/A Oct-2007 301.726% N/A Nov-2007 7.218% N/A Nov-2007 396.201% N/A Dec-2007 5.143% N/A Dec-2007 254.389% N/A *The text reported in the above table is presented *The text reported in the above table is presented graphically on the monthly bond remittance report. The graphically on the monthly bond remittance report. The monthly bond remittance report can be viewed online at monthly bond remittance report can be viewed online at www.ctslink.com. www.ctslink.com. Calculation Methodology: Single Month Mortality (SMM): (Partial and full prepayments + Repurchases) / (Beginning Scheduled Balance - Scheduled Principal) Conditional PrePayment Rate (CPR): 1 - ((1 - SMM)^12) PSA Standard Prepayment Model: 100 * CPR / (0.2 * MIN(30,WAS)) Weighted Average Seasoning (WAS): sum((Original Term - Remaining Term)*(Current Scheduled Balance/Deal Scheduled Principal Balance))
Modifications Beginning Current Loan Scheduled Scheduled Prior Modified Prior Modified Number Balance Balance Rate Rate Payment Payment No Modifications this Period
Substitutions Loans Repurchased Loans Substituted Current Current Loan Scheduled Current Current Loan Scheduled Current Current Number Balance Rate Payment Number Balance Rate Payment No Substitutions this Period
Repurchases Due to Breaches Beginning Loan Scheduled Payoff Current Current Number Balance Balance Rate Payment 0018019935 210,071.36 210,071.36 7.750% 810.67 0018068866 175,608.63 175,608.63 7.875% 695.50 Totals 385,679.99 385,679.99
Repurchases Due to Other Beginning Loan Scheduled Payoff Current Current Number Balance Balance Rate Payment No Repurchases Due to Other this Period
Interest Rate Stratification Summary Current Number of Outstanding Percentage of Interest Rate Loans Scheduled Balance(%) Range(%) Balance($) < 5.250 0 0.00 0.000 5.250 5.499 1 418,808.61 0.054 5.500 5.749 0 0.00 0.000 5.750 5.999 4 2,019,389.26 0.260 6.000 6.249 8 4,177,129.46 0.539 6.250 6.499 13 5,104,895.92 0.658 6.500 6.749 50 18,943,088.30 2.442 6.750 6.999 137 51,552,433.31 6.646 7.000 7.249 209 80,358,545.47 10.360 7.250 7.499 268 105,757,788.52 13.635 7.500 7.749 370 145,248,934.17 18.726 7.750 7.999 409 165,566,728.21 21.346 8.000 8.249 308 126,779,522.79 16.345 8.250 8.499 120 51,279,060.10 6.611 8.500 8.749 20 7,452,492.45 0.961 8.750 8.999 11 5,513,613.92 0.711 9.000 9.249 9 3,465,137.67 0.447 9.250 9.499 1 134,597.64 0.017 9.500 9.749 3 1,378,413.11 0.178 9.750 9.999 1 485,123.87 0.063 >= 10.000 0 0.00 0.000 Total 1,942 775,635,702.78 100.000
SUPPLEMENTAL REPORTING Closing Date: February 28, 2007. Distribution Date: The 25th day of any month, beginning in the month immediately following the month of the Closing Date, or, if such 25th day is not a Business Day, the Business Day immediately following. Distribution Account Deposit Date: The second Business Day prior to each Distribution Date. Determination Date: The 15th day (or if such 15th day is not a Business Day, the Business Day immediately preceding such 15th day) of the month of the Distribution Date. Record Date: For any Distribution Date, (i) with respect to the Offered Certificates, the close of business on the Business Day prior to such Distribution Date and (ii) with respect to the Non-Offered Certificates, the last Business Day of the month preceding the month in which such Distribution Date occurs. Paying Agent: The Trustee. Trustee: Wells Fargo Bank, National Association, or its successor in interest, or any successor trustee appointed as herein provided. Sponsor: EMC, as mortgage loan seller under the Mortgage Loan Purchase Agreement. EMC: EMC Mortgage Corporation, and any successor thereto. Servicer: As of the Closing Date, EMC Mortgage Corporation and, thereafter, its respective successors in interest that meet the qualifications of this Agreement. Business Day: Any day other than (i) a Saturday or a Sunday, or (ii) a day on which the New York Stock Exchange or Federal Reserve is closed or on which banking institutions in any jurisdiction in which the Trustee, the Custodian or the Servicer are authorized or obligated by law or executive order to be closed. LIBOR Business Day: Any day other than a Saturday or a Sunday or a day on which banking institutions in the city of London, England are required or authorized by law to be closed. LIBOR Determination Date: With respect to each Class of Offered Certificates and the Class B-5 Certificates and for the first Interest Accrual Period, February 26, 2007. With respect to each Class of Offered Certificates and the Class B-5 Certificates and any Interest Accrual Period thereafter, the second LIBOR Business Day preceding the commencement of such Interest Accrual Period. One-Month LIBOR: With respect to any Interest Accrual Period, the rate determined by the Trustee on the related LIBOR Determination Date on the basis of the rate for U.S. dollar deposits for one month that appears on Telerate Screen Page 3750 as of 11:00 a.m. (London time) on such LIBOR Determination Date; provided that the parties hereto acknowledge that One-Month LIBOR for the first Interest Accrual Period shall be the rate determined by the Trustee two Business Days prior to the Closing Date. If such rate does not appear on such page (or such other page as may replace that page on that service, or if such service is no longer offered, such other service for displaying One-Month LIBOR or comparable rates as may be reasonably selected by the Trustee), One-Month LIBOR for the applicable Interest Accrual Period will be the Reference Bank Rate. If no such quotations can be obtained by the Trustee and no Reference Bank Rate is available, One-Month LIBOR will be One-Month LIBOR applicable to the preceding Interest Accrual Period. The Trustee's determination of One-Month LIBOR for any Interest Accrual Period shall, in the absence of manifest error, be final and binding. Interest Accrual Period: For each of the Offered Certificates and the Class B-5 Certificates and for any Distribution Date, the period commencing on the Distribution Date in the month preceding the month in which a Distribution Date occurs (or the Closing Date, in the case of the first Interest Accrual Period) and ending on the day immediately prior to such Distribution Date. Net Deferred Interest: On any Distribution Date, Deferred Interest on the related Mortgage Loans during the related Due Period net of Principal Prepayments in full, partial Principal Prepayments, Net Liquidation Proceeds, Repurchase Proceeds and scheduled principal payments, in that order, included in Available Funds and such Distribution Date and available to be distributed on the Certificates on such Distribution Date. With respect to any Class A Certificate or Class B Certificate as of any Distribution Date, the Net Deferred Interest will be an amount equal to the product of (1) the difference, if any between (a) the lesser of (i) the Pass-Through Rate for such Class of Certificates without regard to the Net Rate Cap on such Distribution Date and (ii) the Net Rate Cap on such Distribution Date and (b) the Adjusted Rate Cap for such Distribution Date, (2) the Current Principal Amount of such Certificate immediately prior to such Distribution Date, and (3) the actual number of days in such Interest Accrual Period divided by 360. Startup Day: February 28, 2007. Corridor Counterparty: ABN AMRO Bank N.V.
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