8-K 1 ace05sd1_10510.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington D. C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): October 25, 2005 ACE SECURITIES CORP. HOME EQUITY LOAN TRUST Asset Backed Pass-Through Certificates, Series 2005-SD1 Trust (Exact name of registrant as specified in its charter) New York (governing law of 333-119047-04 Pooling and Servicing Agreement) (Commission 54-2165616 (State or other File Number) 54-2165617 jurisdiction IRS EIN of Incorporation) c/o Wells Fargo Bank, N.A. 9062 Old Annapolis Road Columbia, MD 21045 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code: (410) 884-2000 (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act(17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act(17 CFR 240.13e-4(c)) ITEM 8.01 Other Events On October 25, 2005 a distribution was made to holders of ACE SECURITIES CORP. HOME EQUITY LOAN TRUST, Asset Backed Pass-Through Certificates, Series 2005-SD1 Trust. ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Exhibit Number Description EX-99.1 Monthly report distributed to holders of Asset Backed Pass-Through Certificates, Series 2005-SD1 Trust, relating to the October 25, 2005 distribution. 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 hereunto duly authorized. ACE SECURITIES CORP. HOME EQUITY LOAN TRUST Asset Backed Pass-Through Certificates, Series 2005-SD1 Trust (Registrant) By: Wells Fargo Bank, N.A. as Securities Administrator By: /s/ Beth Belfield as Officer By: Beth Belfield as Officer Date: 10/28/2005 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Asset Backed Pass-Through Certificates, Series 2005-SD1 Trust, relating to the October 25, 2005 distribution. EX-99.1
ACE Securities Corporation Asset Backed Pass-Through Certificates Record Date: 9/30/2005 Distribution Date: 10/25/2005 ACE Securities Corporation Asset Backed Pass-Through Certificates Series ACE 2005-SD1 Contact: Customer Service - CTSLink Wells Fargo Bank, N.A. Securities Administration Services 7485 New Horizon Way Frederick, MD 21703 www.ctslink.com Telephone: (301) 815-6600 Fax: (301) 815-6660 Certificateholder Distribution Summary Certificate Certificate Beginning Class Pass-Through Certificate Interest Class CUSIP Description Rate Balance Distribution A-1 004421KJ1 SEN 4.23000% 64,465,680.16 219,666.81 M-1 004421KK8 SEN 4.58000% 15,279,000.00 56,371.02 M-2 004421KL6 SEN 5.08000% 7,826,000.00 32,025.73 M-3 004421KM4 SEN 7.33000% 7,081,000.00 41,811.34 M-4 004421KN2 SEN 6.83000% 1,863,000.00 10,250.12 CE ACE05SD1C SEN 0.00000% 8,569,896.53 328,168.87 P ACE05SD1P SEN 0.00000% 100.00 17,415.28 R-1 ACE5SD1R1 SEN 0.00000% 0.00 0.00 Totals 105,084,676.69 705,709.17
Certificateholder Distribution Summary (continued) Current Ending Cumulative Principal Realized Certificate Total Realized Class Distribution Loss Balance Distribution Losses A-1 3,741,454.26 0.00 60,724,225.90 3,961,121.07 0.00 M-1 0.00 0.00 15,279,000.00 56,371.02 0.00 M-2 0.00 0.00 7,826,000.00 32,025.73 0.00 M-3 0.00 0.00 7,081,000.00 41,811.34 0.00 M-4 0.00 0.00 1,863,000.00 10,250.12 0.00 CE 0.00 0.00 8,569,896.53 328,168.87 0.00 P 0.00 0.00 100.00 17,415.28 0.00 R-1 0.00 0.00 0.00 0.00 0.00 Totals 3,741,454.26 0.00 101,343,222.43 4,447,163.43 0.00 All distributions required by the Pooling and Servicing Agreement have been calculated by the Certificate Administrator on behalf of the Trustee.
Principal Distribution Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Realized Class Amount Balance Distribution Distribution Accretion Loss (1) A-1 112,394,000.00 64,465,680.16 0.00 3,741,454.26 0.00 0.00 M-1 15,279,000.00 15,279,000.00 0.00 0.00 0.00 0.00 M-2 7,826,000.00 7,826,000.00 0.00 0.00 0.00 0.00 M-3 7,081,000.00 7,081,000.00 0.00 0.00 0.00 0.00 M-4 1,863,000.00 1,863,000.00 0.00 0.00 0.00 0.00 CE 4,598,579.00 8,569,896.53 0.00 0.00 0.00 0.00 P 100.00 100.00 0.00 0.00 0.00 0.00 R-1 0.00 0.00 0.00 0.00 0.00 0.00 Totals 149,041,679.00 105,084,676.69 0.00 3,741,454.26 0.00 0.00 (1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Principal Distribution Statement (continued) Total Ending Ending Total Principal Certificate Certificate Principal Class Reduction Balance Percentage Distribution A-1 3,741,454.26 60,724,225.90 0.54027996 3,741,454.26 M-1 0.00 15,279,000.00 1.00000000 0.00 M-2 0.00 7,826,000.00 1.00000000 0.00 M-3 0.00 7,081,000.00 1.00000000 0.00 M-4 0.00 1,863,000.00 1.00000000 0.00 CE 0.00 8,569,896.53 1.86359667 0.00 P 0.00 100.00 1.00000000 0.00 R-1 0.00 0.00 0.00000000 0.00 Totals 3,741,454.26 101,343,222.43 0.67996565 3,741,454.26
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion A-1 112,394,000.00 573.56869726 0.00000000 33.28873659 0.00000000 M-1 15,279,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-2 7,826,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-3 7,081,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-4 1,863,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 CE 4,598,579.00 1863.59667410 0.00000000 0.00000000 0.00000000 P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000 R-1 0.00 0.00000000 0.00000000 0.00000000 0.00000000 (2) All Classes are per $1,000 denomination
Principal Distribution Factors Statement (continued) Total Ending Ending Total Realized Principal Certificate Certificate Principal Class Loss (3) Reduction Balance Percentage Distribution A-1 0.00000000 33.28873659 540.27996067 0.54027996 33.28873659 M-1 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-2 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-3 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-4 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 CE 0.00000000 0.00000000 1,863.59667410 1.86359667 0.00000000 P 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 (3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Interest Distribution Statement Beginning Payment of Original Current Certificate/ Current Unpaid Current Face Certificate Notional Accrued Interest Interest Class Amount Rate Balance Interest Shortfall Shortfall A-1 112,394,000.00 4.23000% 64,465,680.16 219,666.81 0.00 0.00 M-1 15,279,000.00 4.58000% 15,279,000.00 56,371.02 0.00 0.00 M-2 7,826,000.00 5.08000% 7,826,000.00 32,025.73 0.00 0.00 M-3 7,081,000.00 7.33000% 7,081,000.00 41,811.34 0.00 0.00 M-4 1,863,000.00 6.83000% 1,863,000.00 10,250.12 0.00 0.00 CE 4,598,579.00 0.00000% 8,569,896.53 0.00 0.00 0.00 P 100.00 0.00000% 100.00 0.00 0.00 0.00 R-1 0.00 0.00000% 0.00 0.00 0.00 0.00 Totals 149,041,679.00 360,125.02 0.00 0.00
Interest Distribution Statement (continued) Remaining Ending Non-Supported Total Unpaid Certificate/ Interest Realized Interest Interest Notional Class Shortfall Losses (4) Distribution Shortfall Balance A-1 0.00 0.00 219,666.81 0.00 60,724,225.90 M-1 0.00 0.00 56,371.02 0.00 15,279,000.00 M-2 0.00 0.00 32,025.73 0.00 7,826,000.00 M-3 0.00 0.00 41,811.34 0.00 7,081,000.00 M-4 0.00 0.00 10,250.12 0.00 1,863,000.00 CE 0.00 0.00 328,168.87 0.00 8,569,896.53 P 0.00 0.00 17,415.28 0.00 100.00 R-1 0.00 0.00 0.00 0.00 0.00 Totals 0.00 0.00 705,709.17 0.00 (4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Interest Distribution Factors Statement Beginning Payment of Original Current Certificate/ Current Unpaid Current Face Certificate Notional Accrued Interest Interest Class (5) Amount Rate Balance Interest Shortfall Shortfall A-1 112,394,000.00 4.23000% 573.56869726 1.95443538 0.00000000 0.00000000 M-1 15,279,000.00 4.58000% 1000.00000000 3.68944434 0.00000000 0.00000000 M-2 7,826,000.00 5.08000% 1000.00000000 4.09222208 0.00000000 0.00000000 M-3 7,081,000.00 7.33000% 1000.00000000 5.90472250 0.00000000 0.00000000 M-4 1,863,000.00 6.83000% 1000.00000000 5.50194310 0.00000000 0.00000000 CE 4,598,579.00 0.00000% 1863.59667410 0.00000000 0.00000000 0.00000000 P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000 R-1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 (5) All Classes are per $1,000 denomination
Interest Distribution Factors Statement (continued) Remaining Ending Non-Supported Total Unpaid Certificate/ Interest Realized Interest Interest Notional Class Shortfall Losses (6) Distribution Shortfall Balance A-1 0.00000000 0.00000000 1.95443538 0.00000000 540.27996067 M-1 0.00000000 0.00000000 3.68944434 0.00000000 1000.00000000 M-2 0.00000000 0.00000000 4.09222208 0.00000000 1000.00000000 M-3 0.00000000 0.00000000 5.90472250 0.00000000 1000.00000000 M-4 0.00000000 0.00000000 5.50194310 0.00000000 1000.00000000 CE 0.00000000 0.00000000 71.36310369 0.00000000 1863.59667410 P 0.00000000 0.00000000 174152.80000000 0.00000000 1000.00000000 R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 (6) Amount Does Not Include Excess Special Hazard, Bankruptcy,or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
CERTIFICATEHOLDER ACCOUNT STATEMENT CERTIFICATE ACCOUNT Beginning Balance 0.00 Deposits Payments of Interest and Principal 4,493,110.63 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 0.00 Realized Loss (Gains, Subsequent Expenses & Recoveries) 3,425.45 Prepayment Penalties 0.00 Total Deposits 4,496,536.08 Withdrawals Reimbursement for Servicer Advances 0.00 Payment of Service Fee 50,134.14 Payment of Interest and Principal 4,446,401.94 Total Withdrawals (Pool Distribution Amount) 4,496,536.08 Ending Balance 0.00
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL Total Prepayment/Curtailment Interest Shortfall 0.00 Servicing Fee Support 0.00 Non-Supported Prepayment/Curtailment Interest Shortfall 0.00
SERVICING FEES Gross Servicing Fee 43,785.28 Credit Risk Manager Fee- Risk Management Group, LLC 1,751.41 Master Servicing Fee 4,597.45 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 50,134.14
OTHER ACCOUNTS Beginning Current Current Ending Account Type Balance Withdrawals Deposits Balance Reserve Fund 1,000.00 0.00 0.00 1,000.00
LOAN STATUS STRATIFICATION/CREDIT ENHANCEMENT STATEMENT DELINQUENT BANKRUPTCY FORECLOSURE REO Total No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 33 0 0 33 2,991,912.67 0.00 0.00 2,991,912.67 30 Days 81 8 0 0 89 6,250,591.46 529,879.92 0.00 0.00 6,780,471.38 60 Days 41 5 0 0 46 3,581,092.43 391,868.84 0.00 0.00 3,972,961.27 90 Days 18 7 6 0 31 1,387,748.21 839,656.43 1,178,757.85 0.00 3,406,162.49 120 Days 11 13 8 0 32 988,564.16 583,219.85 663,666.09 0.00 2,235,450.10 150 Days 7 6 4 0 17 203,497.55 353,110.78 290,792.40 0.00 847,400.73 180+ Days 16 34 33 2 85 959,830.32 2,483,204.16 3,298,998.21 232,023.42 6,974,056.11 Totals 174 106 51 2 333 13,371,324.13 8,172,852.65 5,432,214.55 232,023.42 27,208,414.75 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 3.197674% 0.000000% 0.000000% 3.197674% 2.942788% 0.000000% 0.000000% 2.942788% 30 Days 7.848837% 0.775194% 0.000000% 0.000000% 8.624031% 6.147963% 0.521180% 0.000000% 0.000000% 6.669143% 60 Days 3.972868% 0.484496% 0.000000% 0.000000% 4.457364% 3.522294% 0.385435% 0.000000% 0.000000% 3.907729% 90 Days 1.744186% 0.678295% 0.581395% 0.000000% 3.003876% 1.364963% 0.825870% 1.159404% 0.000000% 3.350237% 120 Days 1.065891% 1.259690% 0.775194% 0.000000% 3.100775% 0.972333% 0.573644% 0.652769% 0.000000% 2.198746% 150 Days 0.678295% 0.581395% 0.387597% 0.000000% 1.647287% 0.200156% 0.347313% 0.286018% 0.000000% 0.833487% 180+ Days 1.550388% 3.294574% 3.197674% 0.193798% 8.236434% 0.944071% 2.442432% 3.244832% 0.228214% 6.859549% Totals 16.860465% 10.271318% 4.941860% 0.193798% 32.267442% 13.151780% 8.038663% 5.343023% 0.228214% 26.761680%
Delinquency Status By Groups
DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 1 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 5 0 0 5 705,279.35 0.00 0.00 705,279.35 30 Days 9 0 0 0 9 1,692,744.95 0.00 0.00 0.00 1,692,744.95 60 Days 5 0 0 0 5 585,576.27 0.00 0.00 0.00 585,576.27 90 Days 3 2 2 0 7 283,237.13 380,311.13 577,822.46 0.00 1,241,370.72 120 Days 3 2 2 0 7 393,126.00 146,422.38 254,102.05 0.00 793,650.43 150 Days 1 1 1 0 3 48,520.20 118,963.20 104,023.20 0.00 271,506.60 180+ Days 2 0 8 1 11 154,112.13 0.00 1,169,122.05 174,629.13 1,497,863.31 Totals 23 10 13 1 47 3,157,316.68 1,350,976.06 2,105,069.76 174,629.13 6,787,991.63 0-29 Days 2.512563% 0.000000% 0.000000% 2.512563% 2.441070% 0.000000% 0.000000% 2.441070% 30 Days 4.522613% 0.000000% 0.000000% 0.000000% 4.522613% 5.858826% 0.000000% 0.000000% 0.000000% 5.858826% 60 Days 2.512563% 0.000000% 0.000000% 0.000000% 2.512563% 2.026761% 0.000000% 0.000000% 0.000000% 2.026761% 90 Days 1.507538% 1.005025% 1.005025% 0.000000% 3.517588% 0.980323% 1.316310% 1.999924% 0.000000% 4.296557% 120 Days 1.507538% 1.005025% 1.005025% 0.000000% 3.517588% 1.360664% 0.506788% 0.879483% 0.000000% 2.746935% 150 Days 0.502513% 0.502513% 0.502513% 0.000000% 1.507538% 0.167935% 0.411748% 0.360039% 0.000000% 0.939722% 180+ Days 1.005025% 0.000000% 4.020101% 0.502513% 5.527638% 0.533404% 0.000000% 4.046494% 0.604416% 5.184313% Totals 11.557789% 5.025126% 6.532663% 0.502513% 23.618090% 10.927912% 4.675916% 7.285939% 0.604416% 23.494183% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 2 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 28 0 0 28 2,286,633.32 0.00 0.00 2,286,633.32 30 Days 72 8 0 0 80 4,557,846.51 529,879.92 0.00 0.00 5,087,726.43 60 Days 36 5 0 0 41 2,995,516.16 391,868.84 0.00 0.00 3,387,385.00 90 Days 15 5 4 0 24 1,104,511.08 459,345.30 600,935.39 0.00 2,164,791.77 120 Days 8 11 6 0 25 595,438.16 436,797.47 409,564.04 0.00 1,441,799.67 150 Days 6 5 3 0 14 154,977.35 234,147.58 186,769.20 0.00 575,894.13 180+ Days 14 34 25 1 74 805,718.19 2,483,204.16 2,129,876.16 57,394.29 5,476,192.80 Totals 151 96 38 1 286 10,214,007.45 6,821,876.59 3,327,144.79 57,394.29 20,420,423.12 0-29 Days 3.361345% 0.000000% 0.000000% 3.361345% 3.141969% 0.000000% 0.000000% 3.141969% 30 Days 8.643457% 0.960384% 0.000000% 0.000000% 9.603842% 6.262749% 0.728086% 0.000000% 0.000000% 6.990836% 60 Days 4.321729% 0.600240% 0.000000% 0.000000% 4.921969% 4.116016% 0.538451% 0.000000% 0.000000% 4.654466% 90 Days 1.800720% 0.600240% 0.480192% 0.000000% 2.881152% 1.517663% 0.631167% 0.825721% 0.000000% 2.974551% 120 Days 0.960384% 1.320528% 0.720288% 0.000000% 3.001200% 0.818167% 0.600185% 0.562765% 0.000000% 1.981118% 150 Days 0.720288% 0.600240% 0.360144% 0.000000% 1.680672% 0.212948% 0.321733% 0.256632% 0.000000% 0.791312% 180+ Days 1.680672% 4.081633% 3.001200% 0.120048% 8.883553% 1.107104% 3.412069% 2.926575% 0.078863% 7.524611% Totals 18.127251% 11.524610% 4.561825% 0.120048% 34.333733% 14.034648% 9.373660% 4.571693% 0.078863% 28.058864%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 207,171.58
SUBORDINATION LEVEL/CREDIT ENHANCEMENT/CLASS PERCENTAGE AND PREPAYMENT PERCENTAGE Current Original $ Original % Current $ Current % Class% Prepayment% Class M-1 21,368,679.00 14.33738478% 25,339,996.53 25.00413538% 15.076489% 0.000000% Class M-2 13,542,679.00 9.08650459% 17,513,996.53 17.28186267% 7.722273% 0.000000% Class M-3 6,461,679.00 4.33548457% 10,432,996.53 10.29471560% 6.987147% 0.000000% Class M-4 4,598,679.00 3.08549865% 8,569,996.53 8.45640816% 1.838307% 0.000000% Class CE 100.00 0.00006710% 100.00 0.00009867% 8.456309% 0.000000% Class P 0.00 0.00000000% 0.00 0.00000000% 0.000099% 0.000000% Class R-I 0.00 0.00000000% 0.00 0.00000000% 0.000000% 0.000000% Please Refer to the Prospectus Supplement for a Full Description of Loss Exposure
REO Detail - All Mortgage Loans in REO during Current Period
Summary 12 Month REO History* New REO Loans Month REO Percentage Loans in REO 0 Nov-04 0.000% Original Principal Balance 0.00 Dec-04 0.000% Current Principal Balance 0.00 Jan-05 0.000% Feb-05 0.000% Current REO Total Mar-05 0.000% Loans in REO 2 Apr-05 0.000% Original Principal Balance 235,132.00 May-05 0.000% Current Principal Balance 232,023.42 Jun-05 0.048% Jul-05 0.051% Aug-05 0.000% Sep-05 0.220% Oct-05 0.228% *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. Group 1 12 Month REO History* New REO Loans Month REO Percentage Loans in REO 0 Nov-04 0.000% Original Principal Balance 0.00 Dec-04 0.000% Current Principal Balance 0.00 Jan-05 0.000% Feb-05 0.000% Current REO Total Mar-05 0.000% Loans in REO 1 Apr-05 0.000% Original Principal Balance 176,000.00 May-05 0.000% Current Principal Balance 174,629.13 Jun-05 0.000% Jul-05 0.000% Aug-05 0.000% Sep-05 0.583% Oct-05 0.604% *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. Group 2 12 Month REO History* New REO Loans Month REO Percentage Loans in REO 0 Nov-04 0.000% Original Principal Balance 0.00 Dec-04 0.000% Current Principal Balance 0.00 Jan-05 0.000% Feb-05 0.000% Current REO Total Mar-05 0.000% Loans in REO 1 Apr-05 0.000% Original Principal Balance 59,132.00 May-05 0.000% Current Principal Balance 57,394.29 Jun-05 0.070% Jul-05 0.073% Aug-05 0.000% Sep-05 0.076% Oct-05 0.079% *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 Group 1 0051052036 Sep-2005 01-May-2004 GA 80.00 176,000.00 Group 2 8000005409 Sep-2005 16-Mar-1999 MI 84.47 59,132.00
REO Loan Detail - All Mortgage Loans in REO during Current Period (continued) Current Paid Current Approximate Loan Principal To Months Loan Delinquent Group Number Balance Date Delinquent Rate Interest Group 1 0051052036 174,629.13 01-Jan-2005 7 6.840% 8,272.58 Group 2 8000005409 57,394.29 16-Sep-2004 11 10.500% 4,771.02
Foreclosure Detail - All Mortgage Loans in Foreclosure during Current Period
Summary 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 11 Nov-04 0.000% Original Principal Balance 1,775,346.00 Dec-04 0.000% Current Principal Balance 1,691,285.49 Jan-05 0.032% Feb-05 0.924% Current Foreclosure Total Mar-05 3.528% Loans in Foreclosure 51 Apr-05 3.050% Original Principal Balance 5,721,519.00 May-05 3.132% Current Principal Balance 5,432,214.55 Jun-05 2.768% Jul-05 3.627% Aug-05 3.004% Sep-05 4.586% Oct-05 5.343% *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. Group 1 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 3 Nov-04 0.000% Original Principal Balance 735,675.00 Dec-04 0.000% Current Principal Balance 726,767.09 Jan-05 0.077% Feb-05 1.666% Current Foreclosure Total Mar-05 5.028% Loans in Foreclosure 13 Apr-05 6.184% Original Principal Balance 2,123,375.00 May-05 6.003% Current Principal Balance 2,105,069.76 Jun-05 6.718% Jul-05 7.348% Aug-05 5.488% Sep-05 5.446% Oct-05 7.286% *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. Group 2 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 8 Nov-04 0.000% Original Principal Balance 1,039,671.00 Dec-04 0.000% Current Principal Balance 964,518.40 Jan-05 0.010% Feb-05 0.566% Current Foreclosure Total Mar-05 2.813% Loans in Foreclosure 38 Apr-05 1.565% Original Principal Balance 3,598,144.00 May-05 1.791% Current Principal Balance 3,327,144.79 Jun-05 1.010% Jul-05 2.061% Aug-05 2.034% Sep-05 4.244% Oct-05 4.572% *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 Group 1 0001219957 Feb-2005 01-Feb-2004 GA 100.00 285,000.00 Group 1 0001260726 Oct-2005 01-Feb-2004 IN 95.00 97,375.00 Group 1 0041058678 Apr-2005 01-May-2004 IN 80.00 50,000.00 Group 1 0209039536 Mar-2005 01-Nov-2002 UT 80.00 102,400.00 Group 1 0261045257 Feb-2005 01-May-2004 MI 95.00 132,050.00 Group 1 0321017687 Aug-2005 01-May-2004 CO 83.51 81,000.00 Group 1 0511028579 Oct-2005 01-May-2004 CO 88.73 488,000.00 Group 1 1000160918 Mar-2005 01-May-2004 NY 80.00 288,000.00 Group 1 5000089082 Sep-2005 01-May-2004 IA 75.00 105,000.00 Group 1 6000094382 Apr-2005 01-May-2004 RI 69.04 133,250.00 Group 1 7000095397 Sep-2005 01-May-2004 DE 50.48 106,000.00 Group 1 7000098437 Aug-2005 01-May-2004 WA 51.22 105,000.00 Group 1 8000009977 Oct-2005 01-Jun-2004 MA 90.00 150,300.00 Group 2 0000124283 Jul-2005 01-Aug-2002 NJ 77.16 14,267.00 Group 2 0000130699 Aug-2005 30-Nov-2000 NY 93.33 42,000.00 Group 2 0000169654 Oct-2005 01-Oct-2003 NC 91.54 49,982.00 Group 2 0000254247 Jun-2005 01-Apr-2004 IL 105.40 64,291.00 Group 2 0000261274 Oct-2005 05-Apr-2004 MI 99.75 89,773.00 Group 2 0001275867 Sep-2005 01-Mar-2004 IN 80.00 68,000.00 Group 2 0006331029 Oct-2005 01-Nov-1993 CA 80.00 248,000.00 Group 2 0006609697 Sep-2005 01-Jan-1994 FL 74.47 350,000.00 Group 2 0031979354 Oct-2005 01-Apr-1999 CA 67.02 382,000.00 Group 2 0031987340 Sep-2005 01-Apr-1999 IL 90.00 130,500.00 Group 2 0061051147 Feb-2005 01-Apr-2004 OH 90.00 76,500.00 Group 2 0137021713 May-2005 01-May-2004 NY 84.51 29,663.00 Group 2 0300002079 Sep-2005 01-Apr-2003 TX 95.00 15,105.00 Group 2 1001001016 Sep-2005 01-Dec-1998 PA 66.37 59,733.00 Group 2 2000000762 Sep-2005 25-Aug-2000 GA 29.26 19,900.00 Group 2 2101101125 Aug-2005 01-Oct-2003 MS 90.00 79,200.00 Group 2 7000097937 Sep-2005 01-Jun-2004 NY 83.47 500,000.00 Group 2 8000000297 Apr-2005 02-Apr-1996 OH 83.83 39,817.00 Group 2 8000001846 Sep-2005 01-Aug-1999 OH 95.25 135,260.00 Group 2 8000002715 May-2005 13-Jun-1998 OH 77.42 57,288.00 Group 2 8000003220 Apr-2005 22-Dec-1997 OH 94.04 61,126.00 Group 2 8000003716 Oct-2005 01-Nov-1998 OH 93.49 68,251.00 Group 2 8000004013 Oct-2005 07-Jan-1999 OH 92.33 92,332.00 Group 2 8000005749 Jul-2005 02-Dec-1999 OH 85.48 115,399.00 Group 2 8000006211 Oct-2005 09-Dec-1999 NE 77.50 44,173.00 Group 2 8000006250 Sep-2005 05-May-2000 NE 90.24 72,193.00 Group 2 8000007393 Oct-2005 10-May-1999 KY 97.98 65,160.00 Group 2 8000007454 Mar-2005 03-Jan-2000 KY 61.10 26,882.00 Group 2 8000007792 Jun-2005 14-Sep-1999 KY 88.41 60,386.00 Group 2 8000008504 Jul-2005 02-Feb-2000 PA 79.60 58,105.00 Group 2 8000034281 Sep-2005 30-Apr-1999 IN 95.76 58,414.00 Group 2 8000034353 Jun-2005 11-Sep-1999 IN 95.69 62,201.00 Group 2 8000034688 Jul-2005 05-Dec-1998 IN 8.66 64,945.00 Group 2 8000035064 Jul-2005 09-Jan-2000 IN 95.74 38,007.00 Group 2 8000035289 Sep-2005 02-Sep-1999 IN 85.29 51,175.00 Group 2 8000035323 Aug-2005 15-Jan-2000 IN 76.75 59,100.00 Group 2 8000038599 Aug-2005 13-Jul-2000 KY 66.01 23,102.00 Group 2 8000040744 Jul-2005 01-Aug-2000 IL 96.49 125,914.00
Foreclosure Loan Detail - All Mortgage Loans in Foreclosure during Current Period (continued) Current Paid Current Approximate Loan Principal To Months Loan Delinquent Group Number Balance Date Delinquent Rate Interest Group 1 0001219957 283,086.04 01-Sep-2004 11 7.250% 15,851.05 Group 1 0001260726 96,151.12 01-May-2005 3 7.450% 2,781.99 Group 1 0041058678 49,661.53 01-Dec-2004 8 7.150% 2,741.72 Group 1 0209039536 100,522.11 01-Aug-2004 12 7.500% 5,840.75 Group 1 0261045257 131,695.08 01-Sep-2004 11 9.150% 9,452.60 Group 1 0321017687 80,294.42 01-Feb-2005 6 7.250% 3,602.49 Group 1 0511028579 481,671.34 01-May-2005 3 6.150% 11,315.47 Group 1 1000160918 286,549.30 01-Sep-2004 11 5.990% 13,035.62 Group 1 5000089082 104,558.49 01-Jan-2005 7 9.900% 7,360.34 Group 1 6000094382 132,755.08 01-Nov-2004 9 9.250% 9,661.56 Group 1 7000095397 105,157.42 01-Apr-2005 4 8.250% 4,067.67 Group 1 7000098437 104,023.20 01-Mar-2005 5 6.990% 3,934.57 Group 1 8000009977 148,944.63 01-Apr-2005 4 7.150% 4,950.20 Group 2 0000124283 11,393.33 01-May-2005 3 10.500% 462.63 Group 2 0000130699 41,156.95 28-Apr-2005 4 12.000% 2,340.72 Group 2 0000169654 49,479.64 01-Apr-2005 4 9.500% 2,205.88 Group 2 0000254247 63,812.12 01-Dec-2004 8 7.500% 3,692.41 Group 2 0000261274 89,390.65 05-Apr-2005 4 11.650% 4,931.94 Group 2 0001275867 65,807.14 01-Feb-2005 6 9.450% 3,886.22 Group 2 0006331029 208,114.37 01-May-2005 3 7.625% 6,152.52 Group 2 0006609697 258,085.85 01-Dec-2004 8 7.000% 13,870.50 Group 2 0031979354 352,520.25 01-May-2005 3 6.875% 9,350.64 Group 2 0031987340 119,477.21 01-Jan-2005 7 8.625% 7,221.73 Group 2 0061051147 76,132.91 01-Sep-2004 11 7.200% 4,224.00 Group 2 0137021713 28,907.44 01-May-2005 3 7.125% 789.99 Group 2 0300002079 14,876.13 01-Apr-2005 4 9.000% 626.49 Group 2 1001001016 59,733.79 01-Nov-2002 33 11.000% 5,218.80 Group 2 2000000762 15,172.27 25-Nov-2004 9 14.750% 1,748.95 Group 2 2101101125 78,486.72 01-Mar-2005 5 9.750% 4,230.32 Group 2 7000097937 499,209.74 01-Jul-2004 13 7.200% 27,666.36 Group 2 8000000297 36,184.00 10-Nov-2004 9 10.500% 3,009.13 Group 2 8000001846 132,605.40 01-Mar-2004 17 11.350% 11,880.65 Group 2 8000002715 50,630.69 13-Dec-2004 8 10.250% 4,095.20 Group 2 8000003220 43,507.04 22-Oct-2004 10 8.750% 2,932.89 Group 2 8000003716 71,313.37 10-Feb-2005 6 9.000% 4,034.96 Group 2 8000004013 89,724.81 07-Apr-2005 4 9.990% 4,245.71 Group 2 8000005749 112,544.47 02-Nov-2004 9 9.990% 8,878.42 Group 2 8000006211 41,374.75 09-May-2004 15 10.250% 3,323.33 Group 2 8000006250 71,181.28 05-Jan-2005 7 12.250% 6,262.93 Group 2 8000007393 62,600.56 10-Mar-2005 5 9.500% 3,284.62 Group 2 8000007454 24,895.30 15-Sep-2004 11 13.000% 2,566.00 Group 2 8000007792 55,670.69 14-Aug-2004 12 7.375% 3,121.93 Group 2 8000008504 58,105.75 15-Feb-2005 6 11.490% 4,250.39 Group 2 8000034281 45,681.92 28-Mar-2005 5 10.000% 2,529.05 Group 2 8000034353 60,672.88 11-Jan-2005 7 11.000% 4,765.47 Group 2 8000034688 48,591.27 05-Jan-2005 7 8.500% 2,865.44 Group 2 8000035064 35,752.32 09-Feb-2005 6 12.000% 2,734.26 Group 2 8000035289 49,405.97 02-Dec-2004 8 13.000% 5,121.46 Group 2 8000035323 59,100.00 15-Feb-2004 18 13.000% 6,150.25 Group 2 8000038599 20,909.95 13-Nov-2004 9 14.250% 2,517.54 Group 2 8000040744 124,935.86 01-Apr-2005 4 10.000% 5,915.97
COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Gross Coupon 8.168241% Weighted Average Net Coupon 7.668241% Weighted Average Pass-Through Rate 7.595757% Weighted Average Maturity(Stepdown Calculation) 272 Beginning Scheduled Collateral Loan Count 1,058 Number Of Loans Paid In Full 26 Ending Scheduled Collateral Loan Count 1,032 Beginning Scheduled Collateral Balance 105,084,676.69 Ending Scheduled Collateral Balance 101,343,222.43 Ending Actual Collateral Balance at 30-Sep-2005 101,669,307.80 Monthly P&I Constant 942,494.13 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount (3,425.45) Cumulative Realized Loss 33,587.53 Scheduled Principal 227,196.65 Unscheduled Principal 3,514,257.61 Required Overcollateralization Amount 0.00 Overcollateralized Increase Amount 0.00 Overcollateralized reduction Amount 2,664.02 Specified O/C Amount 8,569,896.53 Overcollateralized Amount 8,569,896.53 Overcollateralized Deficiency Amount 0.00 Base Overcollateralized Amount 0.00
COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Coupon Rate 8.168241% Weighted Average Net Rate 7.668241% Weighted Average Pass Through Rate 7.595757% Weighted Average Maturity 272 Record Date 09/30/2005 Principal and Interest Constant 942,494.13 Beginning Loan Count 1,058 Loans Paid in Full 26 Ending Loan Count 1,032 Beginning Scheduled Balance 105,084,676.69 Ending Scheduled Balance 101,343,222.43 Ending Actual Balance at 30-Sep-2005 101,669,307.80 Scheduled Principal 227,196.65 Unscheduled Principal 3,514,257.61 Scheduled Interest 715,297.48 Servicing Fee 43,785.28 Master Servicing Fee 4,597.45 Trustee Fee 0.00 FRY Amount 0.00 Special Hazard Fee 0.00 Other Fee 1,751.41 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 665,163.34 Realized Loss Amount (3,425.45) Cumulative Realized Loss 33,587.53 Percentage of Cumulative Losses 0.0225 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Required Overcollateralized Amount 0.00 Overcollateralized Increase Amount 0.00 Overcollateralized Reduction Amount 2,664.02 Specified O/C Amount 8,569,896.53 Overcollateralized Amount 8,569,896.53 Overcollateralized Deficiency Amount 0.00 Base Overcollateralization Amount 0.00
Miscellaneous Reporting Interest Arrearage Amount 26416.72
Group Level Collateral Statement Group Group 1 Group 2 Total Collateral Description Fixed 15/30 & ARM Fixed 15/30 & ARM Mixed Fixed & Arm Weighted Average Coupon Rate 7.474614 8.444845 8.168241 Weighted Average Net Rate 6.974614 7.944845 7.668241 Weighted Average Maturity 333 241 272 Beginning Loan Count 204 854 1,058 Loans Paid In Full 5 21 26 Ending Loan Count 199 833 1,032 Beginning Scheduled Balance 29,958,680.92 75,125,995.77 105,084,676.69 Ending Scheduled Balance 28,855,067.86 72,488,154.57 101,343,222.43 Record Date 09/30/2005 09/30/2005 09/30/2005 Principal And Interest Constant 210,787.02 731,707.11 942,494.13 Scheduled Principal 24,179.05 203,017.60 227,196.65 Unscheduled Principal 1,079,434.01 2,434,823.60 3,514,257.61 Scheduled Interest 186,607.97 528,689.51 715,297.48 Servicing Fees 12,482.78 31,302.50 43,785.28 Master Servicing Fees 1,310.69 3,286.76 4,597.45 Trustee Fee 0.00 0.00 0.00 FRY Amount 0.00 0.00 0.00 Special Hazard Fee 0.00 0.00 0.00 Other Fee 499.31 1,252.10 1,751.41 Pool Insurance Fee 0.00 0.00 0.00 Spread 1 0.00 0.00 0.00 Spread 2 0.00 0.00 0.00 Spread 3 0.00 0.00 0.00 Net Interest 172,315.19 492,848.15 665,163.34 Realized Loss Amount (3,171.41) (254.04) (3,425.45) Cumulative Realized Loss (54.46) 33,641.99 33,587.53 Percentage of Cumulative Losses (0.0001) 0.0338 0.0225 Prepayment Penalties 0.00 0.00 0.00 Special Servicing Fee 0.00 0.00 0.00 Pass-Through Rate 6.902114 7.872367 7.595757
Prepayment Detail - Prepayments during Current Period Summary Loans Paid In Full Repurchased Loans Original Current Original Current Principal Principal Principal Principal Group Count Balance Balance Count Balance Balance Group 1 5 1,076,600.00 1,062,124.94 0 0.00 0.00 Group 2 22 2,923,544.00 2,454,525.29 0 0.00 0.00 Total 27 4,000,144.00 3,516,650.23 0 0.00 0.00
Prepayment Detail - Prepayments during Current Period (continued) Summary Substitution Loans Liquidated Loans Curtailments Original Current Original Current Principal Principal Principal Principal Curtailment Group Count Balance Balance Count Balance Balance Amount Group 1 0 0.00 0.00 0 0.00 0.00 17,920.99 Group 2 0 0.00 0.00 0 0.00 0.00 (12,585.03) Total 0 0.00 0.00 0 0.00 0.00 5,335.96
Prepayment Loan Detail - Prepayments during Current Period First Original Loan LTV at Payment Principal Prepayment Group Number State Origination Date Balance Amount Group 1 0001240796 NV 90.00 01-Feb-2004 297,000.00 286,828.23 Group 1 0001347237 CA 55.14 01-Apr-2004 102,000.00 100,502.86 Group 1 0731003139 GA 95.00 01-May-2004 152,000.00 150,530.21 Group 1 1000160877 CA 88.00 01-May-2004 396,000.00 396,000.00 Group 1 6000093194 FL 80.00 01-May-2004 129,600.00 127,651.72 Group 2 0000222333 TX 91.21 04-Oct-2003 21,891.00 19,438.45 Group 2 0000278905 NY 80.00 01-May-2003 380,000.00 364,030.52 Group 2 0000279188 CA 94.92 01-Aug-2000 187,000.00 175,574.32 Group 2 0001212809 WA 100.00 01-Jan-2004 25,200.00 24,114.00 Group 2 0001235792 AZ 100.00 01-Feb-2004 32,000.00 30,977.30 Group 2 0001394114 CA 100.00 01-Apr-2004 40,500.00 39,446.32 Group 2 0001400267 AZ 100.00 01-Apr-2004 54,000.00 53,499.93 Group 2 0006918783 TX 94.74 01-May-1994 315,000.00 265,466.12 Group 2 0007571318 NY 79.48 01-Aug-1997 214,601.00 24,726.65 Group 2 0022082069 FL 77.78 18-Jun-1998 84,000.00 87,533.73 Group 2 0030771182 GA 94.24 01-Apr-1997 216,750.00 199,159.80 Group 2 0031803448 AZ 95.00 01-Nov-1998 102,600.00 94,006.54 Group 2 0080081045 CA 68.22 01-Jun-1999 307,000.00 194,537.06 Group 2 0080124449 NJ 80.00 01-Jun-1999 400,000.00 369,521.22 Group 2 1000150635 CA 95.00 01-Apr-2004 19,229.00 17,488.52 Group 2 5000092014 MI 80.86 01-May-2004 283,000.00 279,051.84 Group 2 7000097554 CA 100.00 01-May-2004 42,000.00 41,054.37 Group 2 8000000784 OH 94.11 15-Jul-1998 47,053.00 34,868.87 Group 2 8000002523 OH 100.00 24-Jun-1999 10,034.00 3,442.29 Group 2 8000002942 OH 100.00 10-Nov-1997 11,293.00 7,897.45 Group 2 8000006931 KY 93.46 03-Oct-1998 72,898.00 72,686.31 Group 2 8000007524 KY 100.00 08-Jun-1997 57,495.00 48,887.02
Prepayment Loan Detail - Prepayments during Current Period (continued) Current Loan PIF Months Loan Original Group Number Type Delinquent Rate Term Seasoning Group 1 0001240796 Loan Paid in Full 0 6.600% 360 20 Group 1 0001347237 Loan Paid in Full 2 7.300% 360 18 Group 1 0731003139 Loan Paid in Full 0 9.400% 360 17 Group 1 1000160877 Loan Paid in Full (1) 6.500% 360 17 Group 1 6000093194 Loan Paid in Full 4 6.850% 360 17 Group 2 0000222333 Loan Paid in Full 10 11.250% 132 24 Group 2 0000278905 Loan Paid in Full 0 7.625% 360 29 Group 2 0000279188 Loan Paid in Full 0 8.625% 360 62 Group 2 0001212809 Loan Paid in Full 0 9.800% 240 21 Group 2 0001235792 Loan Paid in Full 0 9.500% 240 20 Group 2 0001394114 Loan Paid in Full 0 10.300% 240 18 Group 2 0001400267 Loan Paid in Full 0 9.900% 360 18 Group 2 0006918783 Loan Paid in Full 0 7.750% 360 137 Group 2 0007571318 Loan Paid in Full 0 7.875% 120 98 Group 2 0022082069 Loan Paid in Full 1 9.300% 360 87 Group 2 0030771182 Loan Paid in Full 0 6.000% 360 102 Group 2 0031803448 Loan Paid in Full 1 7.250% 360 83 Group 2 0080081045 Loan Paid in Full 0 6.875% 180 76 Group 2 0080124449 Loan Paid in Full 0 7.250% 360 76 Group 2 1000150635 Loan Paid in Full 2 11.990% 120 18 Group 2 5000092014 Loan Paid in Full 0 7.700% 360 17 Group 2 7000097554 Loan Paid in Full 7 10.490% 240 17 Group 2 8000000784 Loan Paid in Full 0 11.000% 182 87 Group 2 8000002523 Loan Paid in Full 0 12.500% 96 75 Group 2 8000002942 Loan Paid in Full 1 11.750% 180 95 Group 2 8000006931 Loan Paid in Full 1 12.750% 363 84 Group 2 8000007524 Loan Paid in Full 0 12.490% 240 100
Prepayment - Voluntary Prepayments
Summary SMM CPR PSA Current Month 3.351% Current Month 33.573% Current Month 559.553% 3 Month Average 2.880% 3 Month Average 28.777% 3 Month Average 479.618% 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. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 45.965% N/A Jan-2005 766.080% N/A Feb-2005 27.282% N/A Feb-2005 454.696% N/A Mar-2005 30.825% N/A Mar-2005 513.750% N/A Apr-2005 41.963% N/A Apr-2005 699.384% N/A May-2005 26.049% N/A May-2005 434.142% N/A Jun-2005 38.987% N/A Jun-2005 649.779% N/A Jul-2005 50.022% N/A Jul-2005 833.702% N/A Aug-2005 39.728% N/A Aug-2005 662.131% N/A Sep-2005 13.030% N/A Sep-2005 217.169% N/A Oct-2005 33.573% N/A Oct-2005 559.553% 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. Group 1 SMM CPR PSA Current Month 3.606% Current Month 35.642% Current Month 878.791% 3 Month Average 4.282% 3 Month Average 34.858% 3 Month Average 923.721% 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. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 51.856% N/A Jan-2005 2,252.969% N/A Feb-2005 35.419% N/A Feb-2005 1,404.836% N/A Mar-2005 37.198% N/A Mar-2005 1,359.864% N/A Apr-2005 45.912% N/A Apr-2005 1,551.220% N/A May-2005 34.790% N/A May-2005 1,121.505% N/A Jun-2005 59.691% N/A Jun-2005 1,786.889% N/A Jul-2005 69.129% N/A Jul-2005 1,955.677% N/A Aug-2005 68.673% N/A Aug-2005 1,885.649% N/A Sep-2005 0.258% N/A Sep-2005 6.723% N/A Oct-2005 35.642% N/A Oct-2005 878.791% 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. Group 2 SMM CPR PSA Current Month 3.250% Current Month 32.730% Current Month 545.493% 3 Month Average 2.277% 3 Month Average 23.893% 3 Month Average 398.209% 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. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 42.800% N/A Jan-2005 713.330% N/A Feb-2005 22.957% N/A Feb-2005 382.620% N/A Mar-2005 27.532% N/A Mar-2005 458.862% N/A Apr-2005 39.979% N/A Apr-2005 666.309% N/A May-2005 21.523% N/A May-2005 358.711% N/A Jun-2005 26.238% N/A Jun-2005 437.304% N/A Jul-2005 38.384% N/A Jul-2005 639.736% N/A Aug-2005 21.329% N/A Aug-2005 355.482% N/A Sep-2005 17.619% N/A Sep-2005 293.653% N/A Oct-2005 32.730% N/A Oct-2005 545.493% 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))
Realized Loss Detail Report - Loans with Losses during Current Period Summary # Loans Prior Realized Current with Principal Loss/(Gain) Loss Group Losses Balance Amount Percentage Group 1 1 0.00 (3,171.41) (0.011)% Group 2 1 0.00 (254.04) 0.000% Total 2 0.00 (3,425.45) (0.003)%
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 Group 1 3000403935 96,500.00 6.7500% MD 74.23 360 Group 2 2000000948 14,894.00 14.0000% OH 100.00 120
Realized Loss Loan Detail Report - Loans With Losses during Current Period (continued) Prior Cumulative Loan Principal Realized Realized Group Number Balance Loss/(Gain) Loss/(Gain) Group 1 3000403935 0.00 (3,171.41) (54.46) Group 2 2000000948 0.00 (254.04) 10,412.90
Realized Loss Report - Collateral Summary
MDR SDA Current Month 0.000% Current Month 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 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. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 0.000% N/A Jan-2005 0.000% N/A Feb-2005 0.000% N/A Feb-2005 0.000% N/A Mar-2005 0.000% N/A Mar-2005 0.000% N/A Apr-2005 0.000% N/A Apr-2005 0.000% N/A May-2005 0.069% N/A May-2005 1.374% N/A Jun-2005 0.020% N/A Jun-2005 0.393% N/A Jul-2005 0.136% N/A Jul-2005 2.700% N/A Aug-2005 0.000% N/A Aug-2005 0.000% N/A Sep-2005 0.000% N/A Sep-2005 0.000% N/A Oct-2005 0.000% N/A Oct-2005 0.000% 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 Approximation Current Month 0.000% Current Month 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 12 Month Average 0.000% 12 Month Average 0.000% CDR: Current vs 12mo Average* Loss Severity: Current vs 12mo Average* Month Current 12mo Avg. Month Current 12mo Avg. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 0.000% N/A Jan-2005 0.000% N/A Feb-2005 0.000% N/A Feb-2005 0.000% N/A Mar-2005 0.000% N/A Mar-2005 0.000% N/A Apr-2005 0.000% N/A Apr-2005 0.000% N/A May-2005 0.825% N/A May-2005 3.539% N/A Jun-2005 0.236% N/A Jun-2005 99.084% N/A Jul-2005 1.620% N/A Jul-2005 6.619% N/A Aug-2005 0.000% N/A Aug-2005 0.000% N/A Sep-2005 0.000% N/A Sep-2005 0.000% N/A Oct-2005 0.000% N/A Oct-2005 0.000% 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. Group 1 MDR SDA Current Month 0.000% Current Month 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 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. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 0.000% N/A Jan-2005 0.000% N/A Feb-2005 0.000% N/A Feb-2005 0.000% N/A Mar-2005 0.000% N/A Mar-2005 0.000% N/A Apr-2005 0.000% N/A Apr-2005 0.000% N/A May-2005 0.214% N/A May-2005 8.188% N/A Jun-2005 0.000% N/A Jun-2005 0.000% N/A Jul-2005 0.000% N/A Jul-2005 0.000% N/A Aug-2005 0.000% N/A Aug-2005 0.000% N/A Sep-2005 0.000% N/A Sep-2005 0.000% N/A Oct-2005 0.000% N/A Oct-2005 0.000% 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 Approximation Current Month 0.000% Current Month 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 12 Month Average 0.000% 12 Month Average 0.000% CDR: Current vs 12mo Average* Loss Severity: Current vs 12mo Average* Month Current 12mo Avg. Month Current 12mo Avg. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 0.000% N/A Jan-2005 0.000% N/A Feb-2005 0.000% N/A Feb-2005 0.000% N/A Mar-2005 0.000% N/A Mar-2005 0.000% N/A Apr-2005 0.000% N/A Apr-2005 0.000% N/A May-2005 2.540% N/A May-2005 3.539% N/A Jun-2005 0.000% N/A Jun-2005 0.000% N/A Jul-2005 0.000% N/A Jul-2005 0.000% N/A Aug-2005 0.000% N/A Aug-2005 0.000% N/A Sep-2005 0.000% N/A Sep-2005 0.000% N/A Oct-2005 0.000% N/A Oct-2005 0.000% 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. Group 2 MDR SDA Current Month 0.000% Current Month 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 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. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 0.000% N/A Jan-2005 0.000% N/A Feb-2005 0.000% N/A Feb-2005 0.000% N/A Mar-2005 0.000% N/A Mar-2005 0.000% N/A Apr-2005 0.000% N/A Apr-2005 0.000% N/A May-2005 0.000% N/A May-2005 0.000% N/A Jun-2005 0.029% N/A Jun-2005 0.749% N/A Jul-2005 0.197% N/A Jul-2005 5.287% N/A Aug-2005 0.000% N/A Aug-2005 0.000% N/A Sep-2005 0.000% N/A Sep-2005 0.000% N/A Oct-2005 0.000% N/A Oct-2005 0.000% 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 Approximation Current Month 0.000% Current Month 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 12 Month Average 0.000% 12 Month Average 0.000% CDR: Current vs 12mo Average* Loss Severity: Current vs 12mo Average* Month Current 12mo Avg. Month Current 12mo Avg. Nov-2004 N/A N/A Nov-2004 N/A N/A Dec-2004 N/A N/A Dec-2004 N/A N/A Jan-2005 0.000% N/A Jan-2005 0.000% N/A Feb-2005 0.000% N/A Feb-2005 0.000% N/A Mar-2005 0.000% N/A Mar-2005 0.000% N/A Apr-2005 0.000% N/A Apr-2005 0.000% N/A May-2005 0.000% N/A May-2005 0.000% N/A Jun-2005 0.346% N/A Jun-2005 99.084% N/A Jul-2005 2.335% N/A Jul-2005 6.619% N/A Aug-2005 0.000% N/A Aug-2005 0.000% N/A Sep-2005 0.000% N/A Sep-2005 0.000% N/A Oct-2005 0.000% N/A Oct-2005 0.000% 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 Principal Balance of Liquidated Loans)/ sum(Beg Principal 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 Loss Severity Approximation for current period: sum(Realized Loss Amount)/sum(Beg Principal Balance of Liquidated Loans)