10-D/A 1 ace07he4_10da-200705.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington D.C. 20549 FORM 10-D/A Amendment No.1 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: April 30, 2007 to May 25, 2007 Commission File Number of issuing entity: 333-131727-29 ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE4 (Exact name of issuing entity as specified in its charter) Commission File Number of depositor: 333-131727 ACE Securities Corp. (Exact name of depositor as specified in its charter) DB Structured Products, Inc. (Exact name of sponsor as specified in its charter) New York (State or other jurisdiction of incorporation or organization of the issuing entity) 54-2199803 54-2199558 54-2199559 54-2199560 (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-2A _____ _____ __X___ ____________ A-2B _____ _____ __X___ ____________ A-2C _____ _____ __X___ ____________ A-2D _____ _____ __X___ ____________ M-1 _____ _____ __X___ ____________ M-2 _____ _____ __X___ ____________ M-3 _____ _____ __X___ ____________ M-4 _____ _____ __X___ ____________ M-5 _____ _____ __X___ ____________ M-6 _____ _____ __X___ ____________ M-7 _____ _____ __X___ ____________ M-8 _____ _____ __X___ ____________ M-9 _____ _____ __X___ ____________ P _____ _____ __X___ ____________ CE-1 _____ _____ __X___ ____________ CE-2 _____ _____ __X___ ____________ IO Interest _____ _____ __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 June 14, 2007 an amendment was made to the May 25, 2007 distribution which was made to holders of ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4. The reason for this amendment is Group I and II were missing beginning scheduled balances in the Collateral Statement. It is a prefunded deal, so the Collateral Summary was different than the total deal. No modifications were made to the cash distributions to the bondholders The revised distribution report is attached as an Exhibit to this Form 10-D/A. Please see Item 9(b), Exhibit 99.1 for the related information. Part II - OTHER INFORMATION Item 8. Other Information. Pursuant to a pooling and servicing agreement (the "Pooling Agreement"), dated as of April 1, 2007 among ACE Securities Corp. as depositor (the "Depositor"), Wells Fargo Bank, N.A. as master servicer and securities administrator, Ocwen Loan Servicing, LLC and GMAC Mortgage, LLC as servicers and HSBC Bank USA, National Association as trustee (the "Trustee"), a trust (the "Trust") was established and a series of certificates entitled ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Asset Backed Pass-Through Certificates (the "Certificates") were issued. Capitalized terms used herein but not otherwise defined shall have the meanings assigned to them in the Pooling Agreement. On May 21, 2007, following the closing of the initial issuance of the Certificates, the Trustee, on behalf of the Trust, purchased from the Depositor certain Subsequent Mortgage Loans having an aggregate principal balance as of the Subsequent Cut-Off Date equal to $784,470.96 using funds on deposit in the pre-funding account established pursuant to the Pooling Agreement at a purchase price equal to the aggregate principal balance thereof. The Subsequent Mortgage Loans were conveyed to the Trust pursuant to a Subsequent Transfer Instrument dated as of May 21, 2007 between the Depositor and the Trustee. The Subsequent Transfer Instrument is attached hereto as Exhibit 99.2. Item 9. Exhibits. (a) The following is a list of documents filed as part of this Report on Form 10-D/A: (99.1) Amended monthly report distributed to holders of ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE4, relating to the May 25, 2007 distribution. (99.2) Subsequent Transfer Instrument (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. ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE4 (Issuing Entity) Wells Fargo Bank, N.A. (Master Servicer) /s/ Kelly Rentz Kelly Rentz, Officer Date: June 28, 2007 EXHIBIT INDEX Exhibit Number Description EX-99.1 Amended monthly report distributed to holders of ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE4, relating to the May 25, 2007 distribution. EX-99.2 Subsequent Transfer Instrument EX-99.1 ACE Securities Corporation Mortgage-Backed Pass-Through Certificate Distribution Date: 5/25/2007 ACE Securities Corporation Mortgage-Backed Pass-Through Certificate Series 2007-HE4 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 Class CUSIP Record Certificate Beginning Interest Date Pass-Through Certificate Distribution Rate Balance A-1 00442LAA7 05/24/2007 5.54000% 320,222,000.00 1,231,965.19 A-2A 00442LAB5 05/24/2007 5.45000% 241,327,000.00 913,355.66 A-2B 00442LAC3 05/24/2007 5.56000% 98,413,000.00 379,983.53 A-2C 00442LAD1 05/24/2007 5.62000% 64,431,000.00 251,459.88 A-2D 00442LAE9 05/24/2007 5.68000% 29,975,000.00 118,234.72 M-1 00442LAF6 05/24/2007 5.79000% 52,135,000.00 209,626.15 M-2 00442LAG4 05/24/2007 5.87000% 47,347,000.00 193,004.78 M-3 00442LAH2 05/24/2007 6.02000% 27,664,000.00 115,650.89 M-4 00442LAJ8 05/24/2007 6.57000% 25,004,000.00 114,080.75 M-5 00442LAK5 05/24/2007 6.92000% 23,940,000.00 115,045.00 M-6 00442LAL3 05/24/2007 7.22000% 20,748,000.00 104,028.17 M-7 00442LAM1 05/24/2007 7.82000% 20,216,000.00 109,784.11 M-8 00442LAN9 05/24/2007 7.82000% 19,152,000.00 104,006.00 M-9 00442LAP4 05/24/2007 7.82000% 16,492,000.00 89,560.72 P ACE07HE4P 04/30/2007 0.00000% 100.00 39,353.89 CE-1 ACE7HE4C1 04/30/2007 0.00000% 56,921,074.75 2,667,796.31 CE-2 ACE7HE4C2 04/30/2007 0.00000% 0.00 32,053.08 IO Interest ACE07HE4R 04/30/2007 0.00000% 0.00 0.00 Totals 1,063,987,174.75 6,788,988.83
Certificateholder Distribution Summary (continued) Class Principal Current Ending Total Cumulative Distribution Realized Certificate Distribution Realized Loss Balance Losses A-1 3,104,849.49 0.00 317,117,150.51 4,336,814.68 0.00 A-2A 3,010,396.81 0.00 238,316,603.19 3,923,752.47 0.00 A-2B 0.00 0.00 98,413,000.00 379,983.53 0.00 A-2C 0.00 0.00 64,431,000.00 251,459.88 0.00 A-2D 0.00 0.00 29,975,000.00 118,234.72 0.00 M-1 0.00 0.00 52,135,000.00 209,626.15 0.00 M-2 0.00 0.00 47,347,000.00 193,004.78 0.00 M-3 0.00 0.00 27,664,000.00 115,650.89 0.00 M-4 0.00 0.00 25,004,000.00 114,080.75 0.00 M-5 0.00 0.00 23,940,000.00 115,045.00 0.00 M-6 0.00 0.00 20,748,000.00 104,028.17 0.00 M-7 0.00 0.00 20,216,000.00 109,784.11 0.00 M-8 0.00 0.00 19,152,000.00 104,006.00 0.00 M-9 0.00 0.00 16,492,000.00 89,560.72 0.00 P 0.00 0.00 100.00 39,353.89 0.00 CE-1 0.00 0.00 56,923,313.85 2,667,796.31 0.00 CE-2 0.00 0.00 0.00 32,053.08 0.00 IO Interest 0.00 0.00 0.00 0.00 0.00 Totals 6,115,246.30 0.00 1,057,874,167.55 12,904,235.13 0.00 As Master Servicer, Wells Fargo Bank, N.A. has independently calculated collateral information based on loan level data received from external parties, which may include the Servicers, Issuer and other parties to the transaction. Wells Fargo Bank, N.A. expressly disclaims any responsibility for the accuracy or completeness of information furnished to it by those 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-1 320,222,000.00 320,222,000.00 0.00 3,104,849.49 0.00 A-2A 241,327,000.00 241,327,000.00 0.00 3,010,396.81 0.00 A-2B 98,413,000.00 98,413,000.00 0.00 0.00 0.00 A-2C 64,431,000.00 64,431,000.00 0.00 0.00 0.00 A-2D 29,975,000.00 29,975,000.00 0.00 0.00 0.00 M-1 52,135,000.00 52,135,000.00 0.00 0.00 0.00 M-2 47,347,000.00 47,347,000.00 0.00 0.00 0.00 M-3 27,664,000.00 27,664,000.00 0.00 0.00 0.00 M-4 25,004,000.00 25,004,000.00 0.00 0.00 0.00 M-5 23,940,000.00 23,940,000.00 0.00 0.00 0.00 M-6 20,748,000.00 20,748,000.00 0.00 0.00 0.00 M-7 20,216,000.00 20,216,000.00 0.00 0.00 0.00 M-8 19,152,000.00 19,152,000.00 0.00 0.00 0.00 M-9 16,492,000.00 16,492,000.00 0.00 0.00 0.00 P 100.00 100.00 0.00 0.00 0.00 CE-1 56,921,074.75 56,921,074.75 0.00 0.00 0.00 CE-2 0.00 0.00 0.00 0.00 0.00 IO Interest 0.00 0.00 0.00 0.00 0.00 Totals 1,063,987,174.75 1,063,987,174.75 0.00 6,115,246.30 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 3,104,849.49 317,117,150.51 0.99030407 3,104,849.49 A-2A 0.00 3,010,396.81 238,316,603.19 0.98752565 3,010,396.81 A-2B 0.00 0.00 98,413,000.00 1.00000000 0.00 A-2C 0.00 0.00 64,431,000.00 1.00000000 0.00 A-2D 0.00 0.00 29,975,000.00 1.00000000 0.00 M-1 0.00 0.00 52,135,000.00 1.00000000 0.00 M-2 0.00 0.00 47,347,000.00 1.00000000 0.00 M-3 0.00 0.00 27,664,000.00 1.00000000 0.00 M-4 0.00 0.00 25,004,000.00 1.00000000 0.00 M-5 0.00 0.00 23,940,000.00 1.00000000 0.00 M-6 0.00 0.00 20,748,000.00 1.00000000 0.00 M-7 0.00 0.00 20,216,000.00 1.00000000 0.00 M-8 0.00 0.00 19,152,000.00 1.00000000 0.00 M-9 0.00 0.00 16,492,000.00 1.00000000 0.00 P 0.00 0.00 100.00 1.00000000 0.00 CE-1 0.00 0.00 56,923,313.85 1.00003934 0.00 CE-2 0.00 0.00 0.00 0.00000000 0.00 IO Interest 0.00 0.00 0.00 0.00000000 0.00 Totals $0.00 6,115,246.30 1,057,874,167.55 0.99425462 6,115,246.30
Principal Distribution Factors Statement Class Original Beginning Scheduled UnScheduled Accretion Face Certificate Principal Principal Amount Balance Distribution Distribution A-1 320,222,000.00 1000.00000000 0.00000000 9.69592811 0.00000000 A-2A 241,327,000.00 1000.00000000 0.00000000 12.47434730 0.00000000 A-2B 98,413,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 A-2C 64,431,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 A-2D 29,975,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-1 52,135,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-2 47,347,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-3 27,664,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-4 25,004,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-5 23,940,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-6 20,748,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-7 20,216,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-8 19,152,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-9 16,492,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000 CE-1 56,921,074.75 1000.00000000 0.00000000 0.00000000 0.00000000 CE-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 IO Interest 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 9.69592811 990.30407189 0.99030407 9.69592811 A-2A 0.00000000 12.47434730 987.52565270 0.98752565 12.47434730 A-2B 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 A-2C 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 A-2D 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-1 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-2 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-3 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-4 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-5 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-6 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-7 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-8 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 M-9 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 P 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000 CE-1 0.00000000 0.00000000 1000.03933692 1.00003934 0.00000000 CE-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 IO Interest 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 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 04/30/07 - 05/24/07 25 5.54000% 320,222,000.00 1,231,965.19 0.00 A-2A 04/30/07 - 05/24/07 25 5.45000% 241,327,000.00 913,355.66 0.00 A-2B 04/30/07 - 05/24/07 25 5.56000% 98,413,000.00 379,983.53 0.00 A-2C 04/30/07 - 05/24/07 25 5.62000% 64,431,000.00 251,459.88 0.00 A-2D 04/30/07 - 05/24/07 25 5.68000% 29,975,000.00 118,234.72 0.00 M-1 04/30/07 - 05/24/07 25 5.79000% 52,135,000.00 209,626.15 0.00 M-2 04/30/07 - 05/24/07 25 5.87000% 47,347,000.00 193,004.78 0.00 M-3 04/30/07 - 05/24/07 25 6.02000% 27,664,000.00 115,650.89 0.00 M-4 04/30/07 - 05/24/07 25 6.57000% 25,004,000.00 114,080.75 0.00 M-5 04/30/07 - 05/24/07 25 6.92000% 23,940,000.00 115,045.00 0.00 M-6 04/30/07 - 05/24/07 25 7.22000% 20,748,000.00 104,028.17 0.00 M-7 04/30/07 - 05/24/07 25 7.82000% 20,216,000.00 109,784.11 0.00 M-8 04/30/07 - 05/24/07 25 7.82000% 19,152,000.00 104,006.00 0.00 M-9 04/30/07 - 05/24/07 25 7.82000% 16,492,000.00 89,560.72 0.00 P N/A N/A 0.00000% 100.00 0.00 0.00 CE-1 N/A N/A 0.00000% 56,921,074.75 0.00 0.00 CE-2 N/A N/A 0.00000% 1,063,987,174.76 0.00 0.00 IO Interest N/A N/A 0.00000% 0.00 0.00 0.00 Totals 4,049,785.55 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 1,231,965.19 0.00 317,117,150.51 A-2A 0.00 0.00 913,355.66 0.00 238,316,603.19 A-2B 0.00 0.00 379,983.53 0.00 98,413,000.00 A-2C 0.00 0.00 251,459.88 0.00 64,431,000.00 A-2D 0.00 0.00 118,234.72 0.00 29,975,000.00 M-1 0.00 0.00 209,626.15 0.00 52,135,000.00 M-2 0.00 0.00 193,004.78 0.00 47,347,000.00 M-3 0.00 0.00 115,650.89 0.00 27,664,000.00 M-4 0.00 0.00 114,080.75 0.00 25,004,000.00 M-5 0.00 0.00 115,045.00 0.00 23,940,000.00 M-6 0.00 0.00 104,028.17 0.00 20,748,000.00 M-7 0.00 0.00 109,784.11 0.00 20,216,000.00 M-8 0.00 0.00 104,006.00 0.00 19,152,000.00 M-9 0.00 0.00 89,560.72 0.00 16,492,000.00 P 0.00 0.00 39,353.89 0.00 100.00 CE-1 0.00 0.00 2,667,796.31 0.00 56,923,313.85 CE-2 0.00 0.00 32,053.08 0.00 1,057,874,167.55 IO Interest 0.00 0.00 0.00 0.00 0.00 Totals 0.00 0.00 6,788,988.83 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-1 320,222,000.00 5.54000% 1000.00000000 3.84722221 0.00000000 A-2A 241,327,000.00 5.45000% 1000.00000000 3.78472222 0.00000000 A-2B 98,413,000.00 5.56000% 1000.00000000 3.86111113 0.00000000 A-2C 64,431,000.00 5.62000% 1000.00000000 3.90277786 0.00000000 A-2D 29,975,000.00 5.68000% 1000.00000000 3.94444437 0.00000000 M-1 52,135,000.00 5.79000% 1000.00000000 4.02083341 0.00000000 M-2 47,347,000.00 5.87000% 1000.00000000 4.07638879 0.00000000 M-3 27,664,000.00 6.02000% 1000.00000000 4.18055560 0.00000000 M-4 25,004,000.00 6.57000% 1000.00000000 4.56250000 0.00000000 M-5 23,940,000.00 6.92000% 1000.00000000 4.80555556 0.00000000 M-6 20,748,000.00 7.22000% 1000.00000000 5.01388905 0.00000000 M-7 20,216,000.00 7.82000% 1000.00000000 5.43055550 0.00000000 M-8 19,152,000.00 7.82000% 1000.00000000 5.43055556 0.00000000 M-9 16,492,000.00 7.82000% 1000.00000000 5.43055542 0.00000000 P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 CE-1 56,921,074.75 0.00000% 1000.00000000 0.00000000 0.00000000 CE-2 0.00 0.00000% 1000.00000001 0.00000000 0.00000000 IO Interest 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 3.84722221 0.00000000 990.30407189 A-2A 0.00000000 0.00000000 3.78472222 0.00000000 987.52565270 A-2B 0.00000000 0.00000000 3.86111113 0.00000000 1000.00000000 A-2C 0.00000000 0.00000000 3.90277786 0.00000000 1000.00000000 A-2D 0.00000000 0.00000000 3.94444437 0.00000000 1000.00000000 M-1 0.00000000 0.00000000 4.02083341 0.00000000 1000.00000000 M-2 0.00000000 0.00000000 4.07638879 0.00000000 1000.00000000 M-3 0.00000000 0.00000000 4.18055560 0.00000000 1000.00000000 M-4 0.00000000 0.00000000 4.56250000 0.00000000 1000.00000000 M-5 0.00000000 0.00000000 4.80555556 0.00000000 1000.00000000 M-6 0.00000000 0.00000000 5.01388905 0.00000000 1000.00000000 M-7 0.00000000 0.00000000 5.43055550 0.00000000 1000.00000000 M-8 0.00000000 0.00000000 5.43055556 0.00000000 1000.00000000 M-9 0.00000000 0.00000000 5.43055542 0.00000000 1000.00000000 P 0.00000000 0.00000000 393538.90000000 0.00000000 1000.00000000 CE-1 0.00000000 0.00000000 46.86834045 0.00000000 1000.03933692 CE-2 0.00000000 0.00000000 0.03012544 0.00000000 994.25462323 IO Interest 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 12,269,331.80 Reserve Funds and Credit Enhancements 0.00 Proceeds from Repurchased Loans 0.00 Servicer Advances 1,015,534.71 Gains & Subsequent Recoveries (Realized Losses) 0.00 Prepayment Penalties 39,353.89 Swap/Cap Payments 0.00 Total Deposits 13,324,220.40 Withdrawals Swap Payments 0.00 Reserve Funds and Credit Enhancements 0.00 Reimbursement for Servicer Advances 0.00 Total Administration Fees 419,985.27 Payment of Interest and Principal 12,904,235.13 Total Withdrawals (Pool Distribution Amount) 13,324,220.40 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* 408,101.06 Credit Risk Management Fee - Clayton Fixed Income 11,884.21 Supported Prepayment/Curtailment Interest Shortfall 0.00 Total Administration Fees 419,985.27 *Servicer Payees include: COUNTRYWIDE HOME LOANS SERVICING LP; GMAC MORTGAGE CORPORATION; OCWEN LOAN SERVICING, LLC
Reserve and Guaranty Funds Account Name Beginning Current Current Ending Balance Withdrawals Deposits Balance Capitalized Interest Account - Wells Fargo Bank 0.00 0.00 0.00 0.00 Reserve Fund - Wells Fargo Bank 1,000.00 0.00 0.00 1,000.00 Pre-Funding Account - Wells Fargo Bank 7,614,437.83 0.00 0.00 7,614,437.83 Supplemental Interest Trust - Wells Fargo Bank 0.00 0.00 0.00 0.00 Hedge Funds Account Name Funds In (A) Funds Out(B) Net Amount(A - B) Group I Cap Agreement - Deutsche Bank - N606257N 0.00 0.00 0.00 Group II Cap Agreement - Deutsche Bank - N606258N 0.00 0.00 0.00 Swap Agreement - Deutsche Bank - N606256N 0.00 0.00 0.00
Collateral Statement Group Group I Group II Collateral Description Fixed 15/30 & ARM Fixed 15/30 & ARM Weighted Average Coupon Rate 8.182737 8.127832 Weighted Average Net Rate 7.729976 7.662024 Weighted Average Pass-Through Rate 7.714641 7.644439 Weighted Average Remaining Term 351 344 Principal And Interest Constant 3,205,524.85 4,241,577.53 Beginning Loan Count 2,323 2,404 Loans Paid in Full 14 11 Ending Loan Count 2,309 2,393 Beginning Scheduled Balance 451,652,330.80 612,334,843.95 Ending Scheduled Balance 446,643,368.31 603,616,361.40 Actual Ending Collateral Balance 446,776,972.52 603,770,223.11 Scheduled Principal 138,928.36 136,314.27 Unscheduled Principal 2,964,784.29 2,872,980.29 Negative Amortized Principal 0.00 0.00 Scheduled Interest 3,066,596.49 4,105,263.26 Servicing Fees 170,408.87 237,692.19 Master Servicing Fees 0.00 0.00 Trustee Fee 0.00 0.00 FRY Amount 0.00 0.00 Special Hazard Fee 0.00 0.00 Other Fee 5,059.69 6,824.52 Pool Insurance Fee 0.00 0.00 Spread 1 0.00 0.00 Spread 2 0.00 0.00 Spread 3 0.00 0.00 Net Interest 2,891,127.93 3,860,746.55 Realized Loss Amount 0.00 0.00 Cumulative Realized Loss 0.00 0.00 Percentage of Cumulative Losses 0.0000 0.0000 Prepayment Penalty Waived Amount 0.00 0.00 Prepayment Penalty Waived Count 0 0 Prepayment Penalty Paid Amount 33,064.42 6,289.47 Prepayment Penalty Paid Count 6 1 Special Servicing Fee 0.00 0.00 Ending Scheduled Balance for Premium Loans * * * This data is currently not provided for reporting.
Collateral Statement Group Total Collateral Description Mixed Fixed & Arm Weighted Average Coupon Rate 8.146965 Weighted Average Net Rate 7.686695 Weighted Average Pass-Through Rate 7.669877 Weighted Average Remaining Term 347 Principal And Interest Constant 7,447,102.38 Beginning Loan Count 4,727 Loans Paid in Full 25 Ending Loan Count 4,702 Beginning Scheduled Balance 1,063,987,174.75 Ending Scheduled Balance 1,050,259,729.71 Actual Ending Collateral Balance 1,050,547,195.63 Scheduled Principal 275,242.63 Unscheduled Principal 5,837,764.58 Negative Amortized Principal 0.00 Scheduled Interest 7,171,859.75 Servicing Fees 408,101.06 Master Servicing Fees 0.00 Trustee Fee 0.00 FRY Amount 0.00 Special Hazard Fee 0.00 Other Fee 11,884.21 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 6,751,874.48 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Percentage of Cumulative Losses 0.0000 Prepayment Penalty Waived Amount 0.00 Prepayment Penalty Waived Count 0 Prepayment Penalty Paid Amount 39,353.89 Prepayment Penalty Paid Count 7 Special Servicing Fee 0.00 Ending Scheduled Balance for Premium Loans 1,050,259,729.71 * This data is currently not provided for reporting.
Additional Reporting - Deal Level Informational Reporting One-Month LIBOR Rate 5.320000% Class A-1 Net WAC Rate 7.713498% Class A-2 Net WAC Rate 7.636298% Mezzanine Net WAC Rate 7.668593% Extraordinary Trust Fund Expenses 0.00 Relief Act Interest Shortfalls 0.00 Prefunding Reporting Capitalized Interest Beginning Balance 0.00 Capitalized Interest Ending Balance 0.00 Capitalized Interest Requirement 0.00 Prefunding Amount In Loans 0.00 Prefunding Beginning Balance 7,614,437.84 Prefunding Amount As Principal 0.00 Structural Reporting Net Monthly Excess Cashflow 2,715,887.29 Extra Principal Distribution Amount 2,239.09 Overcollateralization Amount 56,923,313.85 Overcollateralization Deficiency Amount 0.00 Overcollateralization Reduction Amount 0.00 Overcollateralization Increase Amount 0.00 Credit Enhancement Percentage 29.268265% Required Overcollateralization Amount 56,923,313.85 Trigger Event Reporting Stepdown Occurred NO Trigger Event Occured NO Enhancement Delinquency Trigger Trigger Result Pass Threshold Value 8.002472% Calculated Value 1.275716% Cumulative Loss Trigger Trigger Result Pass Threshold Value 2.150000% Calculated Value 0.000000% Trigger Trigger Result Pass
Additional Reporting - Group Level Prefunding Reporting Group I Prefunding Amount In Loans 0.00 Prefunding Beginning Balance 1,905,249.84 Prefunding Amount As Principal 0.00 Group II Prefunding Amount In Loans 0.00 Prefunding Beginning Balance 5,709,188.00 Prefunding Amount As Principal 0.00
Delinquency Status - OTS Delinquency Calculation Method 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 3 0 0 3 131,755.78 0.00 0.00 131,755.78 30 Days 152 0 0 0 152 35,956,649.48 0.00 0.00 0.00 35,956,649.48 60 Days 69 0 0 0 69 13,202,588.94 0.00 0.00 0.00 13,202,588.94 90 Days 0 0 1 0 1 0.00 0.00 177,600.00 0.00 177,600.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180+ Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 221 3 1 0 225 49,159,238.42 131,755.78 177,600.00 0.00 49,468,594.20 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 0.063803% 0.000000% 0.000000% 0.063803% 0.012542% 0.000000% 0.000000% 0.012542% 30 Days 3.232667% 0.000000% 0.000000% 0.000000% 3.232667% 3.422659% 0.000000% 0.000000% 0.000000% 3.422659% 60 Days 1.467461% 0.000000% 0.000000% 0.000000% 1.467461% 1.256734% 0.000000% 0.000000% 0.000000% 1.256734% 90 Days 0.000000% 0.000000% 0.021268% 0.000000% 0.021268% 0.000000% 0.000000% 0.016905% 0.000000% 0.016905% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 4.700128% 0.063803% 0.021268% 0.000000% 4.785198% 4.679394% 0.012542% 0.016905% 0.000000% 4.708841% Please refer to CTSLink.com for a list of delinquency code descriptions.
Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 1,015,534.71
Delinquency Status By Group DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group I - OTS 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 0 0 0 0.00 0.00 0.00 0.00 30 Days 40 0 0 0 40 6,847,007.11 0.00 0.00 0.00 6,847,007.11 60 Days 16 0 0 0 16 2,343,743.40 0.00 0.00 0.00 2,343,743.40 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180+ Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 56 0 0 0 56 9,190,750.51 0.00 0.00 0.00 9,190,750.51 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 1.732352% 0.000000% 0.000000% 0.000000% 1.732352% 1.532534% 0.000000% 0.000000% 0.000000% 1.532534% 60 Days 0.692941% 0.000000% 0.000000% 0.000000% 0.692941% 0.524589% 0.000000% 0.000000% 0.000000% 0.524589% 90 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 2.425292% 0.000000% 0.000000% 0.000000% 2.425292% 2.057123% 0.000000% 0.000000% 0.000000% 2.057123% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group II - OTS 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 3 0 0 3 131,755.78 0.00 0.00 131,755.78 30 Days 112 0 0 0 112 29,109,642.37 0.00 0.00 0.00 29,109,642.37 60 Days 53 0 0 0 53 10,858,845.54 0.00 0.00 0.00 10,858,845.54 90 Days 0 0 1 0 1 0.00 0.00 177,600.00 0.00 177,600.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180+ Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 165 3 1 0 169 39,968,487.91 131,755.78 177,600.00 0.00 40,277,843.69 0-29 Days 0.125366% 0.000000% 0.000000% 0.125366% 0.021822% 0.000000% 0.000000% 0.021822% 30 Days 4.680318% 0.000000% 0.000000% 0.000000% 4.680318% 4.821311% 0.000000% 0.000000% 0.000000% 4.821311% 60 Days 2.214793% 0.000000% 0.000000% 0.000000% 2.214793% 1.798506% 0.000000% 0.000000% 0.000000% 1.798506% 90 Days 0.000000% 0.000000% 0.041789% 0.000000% 0.041789% 0.000000% 0.000000% 0.029415% 0.000000% 0.029415% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 6.895111% 0.125366% 0.041789% 0.000000% 7.062265% 6.619818% 0.021822% 0.029415% 0.000000% 6.671055% Please refer to CTSLink.com for a list of delinquency code descriptions.
REO Detail - All Mortgage Loans in REO during Current Period Summary - No REO Information to report this period. Group I - No REO Information to report this period. Group II - No REO Information to report this period.
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 No REO Loans this Period
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 No REO Loans this Period
Foreclosure Detail - All Mortgage Loans in Foreclosure during Current Period
Summary 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 0 Jun-06 0.000% Original Principal Balance 0.00 Jul-06 0.000% Current Actual Balance 0.00 Aug-06 0.000% Sep-06 0.000% Current Foreclosure Total Oct-06 0.000% Loans in Foreclosure 1 Nov-06 0.000% Original Principal Balance 177,600.00 Dec-06 0.000% Current Actual Balance 177,600.00 Jan-07 0.000% Feb-07 0.000% Mar-07 0.000% Apr-07 0.000% May-07 0.017% *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 I - No Foreclosure Information to report this period. Group II 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 0 Jun-06 0.000% Original Principal Balance 0.00 Jul-06 0.000% Current Actual Balance 0.00 Aug-06 0.000% Sep-06 0.000% Current Foreclosure Total Oct-06 0.000% Loans in Foreclosure 1 Nov-06 0.000% Original Principal Balance 177,600.00 Dec-06 0.000% Current Actual Balance 177,600.00 Jan-07 0.000% Feb-07 0.000% Mar-07 0.000% Apr-07 0.000% May-07 0.029% *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 II 0114210104 May-2007 01-Jan-2007 AZ 80.00 177,600.00
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 Group II 0114210104 177,600.00 01-Dec-2006 3 7.340% 1,012.32
Bankruptcy Detail - All Mortgage Loans in Bankruptcy during Current Period
Summary 12 Month Bankruptcy History* New Bankruptcy Loans Month Bankruptcy Percentage Loans in Bankruptcy 0 Jun-06 0.000% Original Principal Balance 0.00 Jul-06 0.000% Current Actual Balance 0.00 Aug-06 0.000% Sep-06 0.000% Current Bankruptcy Total Oct-06 0.000% Loans in Bankruptcy 3 Nov-06 0.000% Original Principal Balance 132,100.00 Dec-06 0.000% Current Actual Balance 131,755.78 Jan-07 0.000% Feb-07 0.000% Mar-07 0.000% Apr-07 0.000% May-07 0.013% *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 I - No Bankruptcy Information to report this period. Group II 12 Month Bankruptcy History* New Bankruptcy Loans Month Bankruptcy Percentage Loans in Bankruptcy 0 Jun-06 0.000% Original Principal Balance 0.00 Jul-06 0.000% Current Actual Balance 0.00 Aug-06 0.000% Sep-06 0.000% Current Bankruptcy Total Oct-06 0.000% Loans in Bankruptcy 1 Nov-06 0.000% Original Principal Balance 95,920.00 Dec-06 0.000% Current Actual Balance 95,846.16 Jan-07 0.000% Feb-07 0.000% Mar-07 0.000% Apr-07 0.000% May-07 0.022% *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 Group II 0110457143 May-2007 01-May-2005 TN 100.00 12,200.00 Group II 0114948589 May-2007 01-Dec-2006 AR 76.43 95,920.00 Group II 0114948591 May-2007 01-Dec-2006 AR 95.54 23,980.00
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 Group II 0110457143 12,030.20 01-Mar-2007 0 8.670% 81.85 Group II 0114948589 95,846.16 01-Apr-2007 0 9.435% 713.65 Group II 0114948591 23,879.42 01-Apr-2007 0 12.400% 236.80
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 Group I 0 0.00 0.00 0.000% Group II 0 0.00 0.00 0.000% Total 0 0.00 0.00 0.000%
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 No Losses this Period
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) No Losses this Period
Realized Loss Report - Collateral Summary - No Realized Loss Information to report this period. Group I - No Realized Loss Information to report this period. Group II - No Realized Loss Information to report this period. 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 (Realized Losses) / Sum (Ending Actual Balance for loans that have experienced a loss).
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 Group I 14 2,951,507.00 2,948,342.37 0 0.00 0.00 Group II 11 2,953,466.00 2,870,054.01 0 0.00 0.00 Total 25 5,904,973.00 5,818,396.38 0 0.00 0.00
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 Group I 0 0.00 0.00 0 0.00 0.00 17,397.93 Group II 0 0.00 0.00 0 0.00 0.00 4,969.09 Total 0 0.00 0.00 0 0.00 0.00 22,367.02
Prepayment Loan Detail - Prepayments during Current Period First Original Loan LTV at Payment Principal Prepayment Group Number State Origination Date Balance Amount Group I 0113408776 CO 100.00 01-Nov-2006 35,000.00 34,912.31 Group I 0113507710 FL 100.00 01-Nov-2006 68,500.00 68,313.48 Group I 0113992610 OH 90.00 01-Dec-2006 288,000.00 287,716.75 Group I 0114017796 WA 80.00 01-Jan-2007 332,000.00 331,152.92 Group I 0114265796 CA 58.38 01-Feb-2007 140,100.00 140,019.75 Group I 0114333981 CA 35.56 01-Feb-2007 160,000.00 159,530.01 Group I 0114375088 CA 65.00 01-Feb-2007 195,000.00 195,000.00 Group I 0114582239 PA 72.40 01-Nov-2006 181,000.00 180,697.66 Group I 0114582518 MD 90.00 01-Mar-2007 229,500.00 229,179.57 Group I 0114582524 GA 95.00 01-Mar-2007 196,650.00 196,650.00 Group I 0114818860 CA 70.00 01-Mar-2007 360,500.00 360,283.91 Group I 0114827113 CA 93.00 01-Mar-2007 344,007.00 343,646.09 Group I 0114827118 CO 95.00 01-Apr-2007 166,250.00 166,127.63 Group I 0114948622 IL 85.00 01-Jan-2007 255,000.00 254,156.28 Group II 0113285841 IL 100.00 01-Oct-2006 93,000.00 12,663.03 Group II 0113350825 CA 100.00 01-Oct-2006 86,666.00 86,501.31 Group II 0114011370 UT 100.00 01-Oct-2006 27,800.00 27,786.40 Group II 0114011373 MA 75.00 01-Jan-2007 187,500.00 186,980.16 Group II 0114011374 MA 90.00 01-Jan-2007 37,500.00 37,460.85 Group II 0114334006 WA 80.00 01-Feb-2007 460,000.00 459,482.80 Group II 0114582399 NY 90.00 01-Jan-2007 477,000.00 475,207.74 Group II 0114723838 CA 89.98 01-Mar-2007 413,000.00 412,303.84 Group II 0114839823 WA 80.00 01-Mar-2007 320,000.00 319,785.59 Group II 0114948421 IL 87.07 01-Dec-2006 653,000.00 652,271.59 Group II 0114948924 SC 84.26 01-Feb-2007 198,000.00 197,567.89
Prepayment Loan Detail - Prepayments during Current Period (continued) Current Loan PIF Months Loan Original Group Number Type Delinquent Rate Term Seasoning Group I 0113408776 Loan Paid in Full 0 11.150% 180 6 Group I 0113507710 Loan Paid in Full 0 10.895% 360 6 Group I 0113992610 Loan Paid in Full 0 9.950% 360 5 Group I 0114017796 Loan Paid in Full 0 9.400% 360 4 Group I 0114265796 Loan Paid in Full 0 6.875% 360 3 Group I 0114333981 Loan Paid in Full 0 7.600% 360 3 Group I 0114375088 Loan Paid in Full 0 7.750% 360 3 Group I 0114582239 Loan Paid in Full 0 8.700% 360 6 Group I 0114582518 Loan Paid in Full 0 9.800% 360 2 Group I 0114582524 Loan Paid in Full 0 9.050% 360 2 Group I 0114818860 Loan Paid in Full 0 9.250% 360 2 Group I 0114827113 Loan Paid in Full 0 7.325% 360 2 Group I 0114827118 Loan Paid in Full 0 10.875% 360 1 Group I 0114948622 Loan Paid in Full 0 8.135% 360 4 Group II 0113285841 Loan Paid in Full 0 12.870% 180 7 Group II 0113350825 Loan Paid in Full 0 13.000% 180 7 Group II 0114011370 Loan Paid in Full 0 18.250% 180 7 Group II 0114011373 Loan Paid in Full 0 9.000% 360 4 Group II 0114011374 Loan Paid in Full 0 13.500% 360 4 Group II 0114334006 Loan Paid in Full 0 8.100% 360 3 Group II 0114582399 Loan Paid in Full 0 7.500% 360 4 Group II 0114723838 Loan Paid in Full 0 8.900% 360 2 Group II 0114839823 Loan Paid in Full 0 8.875% 360 2 Group II 0114948421 Loan Paid in Full 0 7.005% 360 5 Group II 0114948924 Loan Paid in Full 0 9.060% 360 3
Prepayment Penalty Detail - Prepayment Penalty Paid during Current Period Prepayment Prepayment Summary Loan Prior Penalty Penalty Count Balance Amount Waived Group I 6 872,674.60 33,064.42 0.00 Group II 1 23,329.80 6,289.47 0.00 Total 7 896,004.40 39,353.89 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 Group I 0112668874 Active 21,901.37 12,459.50 0.00 Group I 0113507710 05/07/2007 68,339.92 2,976.52 0.00 Group I 0113992610 04/05/2007 287,764.94 2,880.00 0.00 Group I 0114265796 05/03/2007 140,019.75 3,852.75 0.00 Group I 0114333981 04/27/2007 159,648.62 4,850.65 0.00 Group I 0114375088 05/09/2007 195,000.00 6,045.00 0.00 Group II 0114727941 Active 23,329.80 6,289.47 0.00
Prepayment Rates
Summary SMM CPR PSA Current Month 0.553% Current Month 6.435% Current Month 1,145.530% 3 Month Average 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 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. Jun-2006 N/A N/A Jun-2006 N/A N/A Jul-2006 N/A N/A Jul-2006 N/A N/A Aug-2006 N/A N/A Aug-2006 N/A N/A Sep-2006 N/A N/A Sep-2006 N/A N/A Oct-2006 N/A N/A Oct-2006 N/A N/A Nov-2006 N/A N/A Nov-2006 N/A N/A Dec-2006 N/A N/A Dec-2006 N/A N/A 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 N/A N/A Mar-2007 N/A N/A Apr-2007 N/A N/A Apr-2007 N/A N/A May-2007 6.435% N/A May-2007 1,145.530% 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 I SMM CPR PSA Current Month 0.659% Current Month 7.632% Current Month 1,356.325% 3 Month Average 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 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. Jun-2006 N/A N/A Jun-2006 N/A N/A Jul-2006 N/A N/A Jul-2006 N/A N/A Aug-2006 N/A N/A Aug-2006 N/A N/A Sep-2006 N/A N/A Sep-2006 N/A N/A Oct-2006 N/A N/A Oct-2006 N/A N/A Nov-2006 N/A N/A Nov-2006 N/A N/A Dec-2006 N/A N/A Dec-2006 N/A N/A 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 N/A N/A Mar-2007 N/A N/A Apr-2007 N/A N/A Apr-2007 N/A N/A May-2007 7.632% N/A May-2007 1,356.325% 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 II SMM CPR PSA Current Month 0.474% Current Month 5.539% Current Month 987.169% 3 Month Average 0.000% 3 Month Average 0.000% 3 Month Average 0.000% 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. Jun-2006 N/A N/A Jun-2006 N/A N/A Jul-2006 N/A N/A Jul-2006 N/A N/A Aug-2006 N/A N/A Aug-2006 N/A N/A Sep-2006 N/A N/A Sep-2006 N/A N/A Oct-2006 N/A N/A Oct-2006 N/A N/A Nov-2006 N/A N/A Nov-2006 N/A N/A Dec-2006 N/A N/A Dec-2006 N/A N/A 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 N/A N/A Mar-2007 N/A N/A Apr-2007 N/A N/A Apr-2007 N/A N/A May-2007 5.539% N/A May-2007 987.169% 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 Current Loan Scheduled Current Current Number Balance Rate Payment No Repurchases this Period
Breaches Current Loan Scheduled Current Current Number Balance Rate Payment No Breaches this Period
Interest Rate Stratification Summary Group I Current Number of Outstanding Percentage of Number of Outstanding Percentage of Interest Rate Loans Scheduled Balance(%) Loans Scheduled Balance(%) Range(%) Balance($) Balance($) < 3.750 0 0.00 0.000 0 0.00 0.000 3.750 4.249 0 0.00 0.000 0 0.00 0.000 4.250 4.749 0 0.00 0.000 0 0.00 0.000 4.750 5.249 0 0.00 0.000 0 0.00 0.000 5.250 5.749 10 4,406,543.04 0.420 4 1,295,809.90 0.290 5.750 6.249 51 18,590,666.67 1.770 20 5,160,254.21 1.155 6.250 6.749 266 89,185,423.76 8.492 130 35,537,937.63 7.957 6.750 7.249 545 169,512,074.46 16.140 287 69,552,014.94 15.572 7.250 7.749 675 198,841,607.36 18.933 321 74,463,623.41 16.672 7.750 8.249 625 170,808,908.26 16.263 335 74,111,390.64 16.593 8.250 8.749 486 130,053,140.76 12.383 275 59,826,088.26 13.395 8.750 9.249 366 82,934,857.64 7.897 217 44,350,954.10 9.930 9.250 9.749 305 59,676,438.50 5.682 161 31,133,955.37 6.971 9.750 10.249 212 35,939,039.44 3.422 124 20,029,898.72 4.485 10.250 10.749 157 19,943,595.10 1.899 81 9,936,895.85 2.225 10.750 11.249 272 21,480,800.44 2.045 102 7,778,127.72 1.741 11.250 11.749 170 13,909,858.54 1.324 52 3,964,171.56 0.888 11.750 12.249 237 15,546,132.96 1.480 87 4,369,820.80 0.978 12.250 12.749 284 17,126,453.36 1.631 97 4,476,831.49 1.002 12.750 13.249 27 1,803,470.32 0.172 11 513,498.27 0.115 13.250 13.749 3 81,018.31 0.008 0 0.00 0.000 >= 13.750 11 419,700.79 0.040 5 142,095.44 0.032 Total 4,702 1,050,259,729.71 100.000 2,309 446,643,368.31 100.000
Interest Rate Stratification (continued) Group II Current Number of Outstanding Percentage of Interest Rate Loans Scheduled Balance(%) Range(%) Balance($) < 3.750 0 0.00 0.000 3.750 4.249 0 0.00 0.000 4.250 4.749 0 0.00 0.000 4.750 5.249 0 0.00 0.000 5.250 5.749 6 3,110,733.14 0.515 5.750 6.249 31 13,430,412.46 2.225 6.250 6.749 136 53,647,486.13 8.888 6.750 7.249 258 99,960,059.52 16.560 7.250 7.749 354 124,377,983.95 20.605 7.750 8.249 290 96,697,517.62 16.020 8.250 8.749 211 70,227,052.50 11.634 8.750 9.249 149 38,583,903.54 6.392 9.250 9.749 144 28,542,483.13 4.729 9.750 10.249 88 15,909,140.72 2.636 10.250 10.749 76 10,006,699.25 1.658 10.750 11.249 170 13,702,672.72 2.270 11.250 11.749 118 9,945,686.98 1.648 11.750 12.249 150 11,176,312.16 1.852 12.250 12.749 187 12,649,621.87 2.096 12.750 13.249 16 1,289,972.05 0.214 13.250 13.749 3 81,018.31 0.013 >= 13.750 6 277,605.35 0.046 Total 2,393 603,616,361.40 100.000
SUPPLEMENTAL REPORTING Closing Date March 2, 2007. Determination Date With respect to each Distribution Date and Ocwen and GMAC, the 15th day of the calendar month in which such Distribution Date occurs, or if such 15th day is not a Business Day, the Business Day immediately preceding such 15th day. With respect to each Distribution Date and Countrywide the date specified in the Servicing Agreement. The Determination Date for purposes of Article X hereof shall mean the 15th day of the month, or if such 15th day is not a Business Day, the first Business Day following such 15th day. Distribution Date The 25th day of any month, or if such 25th day is not a Business Day, the Business Day immediately following such 25th day, commencing in May 2007. Interest Determination Date With respect to the Class A Certificates, the Mezzanine Certificates, REMIC I Regular Interests and REMIC II Regular Interests (other than REMIC II Regular Interest P) and any Interest Accrual Period therefor, the second London Business Day preceding the commencement of such Interest Accrual Period. Record Date With respect to each Distribution Date and the Class A Certificates and the Mezzanine Certificates, the Business Day immediately preceding such Distribution Date for so long as such Certificates are Book-Entry Certificates. With respect to each Distribution Date and any other Class of Certificates, including any Definitive Certificates, the last day of the calendar month immediately preceding the month in which such Distribution Date occurs. Business Day Any day other than a Saturday, a Sunday or a day on which banking or savings and loan institutions in the States of New York, Maryland, Minnesota, Florida or in the city in which the Corporate Trust Office of the Trustee is located, are authorized or obligated by law or executive order to be closed. Servicer Remittance Date With respect to any Distribution Date and the GMAC Mortgage Loans, by 12:00 p.m. New York time on the 18th day of the month in which such Distribution Date occurs; provided that if such 18th day of a given month is not a Business Day, the Servicer Remittance Date for such month shall be the Business Day immediately preceding such 18th day. With respect to any Distribution Date and the Ocwen Mortgage Loans, by 12:00 p.m. New York time on the 22nd day of each month in which such Distribution Date occurs; provided that if such 22nd day of a given month is not a Business Day, the Servicer Remittance Date for such month shall be the Business Day immediately preceding such 22nd day. With respect to any Distribution Date and the Countrywide Mortgage Loans, the 22nd day of each month in which such Distribution Date occurs; provided that if the 22nd day of a given month is not a business day, the Servicer Remittance Date for such month shall be the business day immediately preceding such 22nd day; provided, further, that if the Servicer Remittance Date falls on a Friday, the Servicer Remittance Date shall be the business day immediately preceding such Friday.
EX-99.2 SUBSEQUENT TRANSFER INSTRUMENT Pursuant to this Subsequent Transfer Instrument, dated May 21, 2007 (the "Instrument"), between ACE Securities Corp. as seller (the "Depositor"), and HSBC Bank USA, National Association as trustee of the ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Asset Backed Pass-Through Certificates, as purchaser (the "Trustee"), and pursuant to the Pooling and Servicing Agreement, dated as of April 1, 2007 (the "Pooling and Servicing Agreement"), among the Depositor, Ocwen Loan Servicing, LLC as a servicer, GMAC Mortgage, LLC as a servicer, Wells Fargo Bank, N.A. as Master Servicer and Securities Administrator and the Trustee, the Depositor and the Trustee agree to the sale by the Depositor and the purchase by the Trustee in trust, on behalf of the Trust, of the Mortgage Loans listed on the attached Schedule of Mortgage Loans (the "Subsequent Mortgage Loans"). Capitalized terms used but not otherwise defined herein shall have the meanings set forth in the Pooling and Servicing Agreement. Section 1. Conveyance of Subsequent Mortgage Loans. (a) The Depositor does hereby sell, transfer, assign, set over and convey to the Trustee in trust, on behalf of the Trust, without recourse, all of its right, title and interest in and to the Subsequent Mortgage Loans, and including all amounts due on the Subsequent Mortgage Loans after the subsequent cut-off date (the "Subsequent Cut-off Date") set forth in the Subsequent Mortgage Loan Purchase Agreement (defined below), and all items with respect to the Subsequent Mortgage Loans to be delivered pursuant to Section 2.01 of the Pooling and Servicing Agreement; provided, however that the Depositor reserves and retains all right, title and interest in and to amounts due on the Subsequent Mortgage Loans on or prior to the related Subsequent Cut-off Date. The Depositor, contemporaneously with the delivery of this Agreement, has delivered or caused to be delivered to the Trustee (or the Custodian on its behalf) each item set forth in Section 2.01 of the Pooling and Servicing Agreement. The transfer to the Trustee by the Depositor of the Subsequent Mortgage Loans identified on the Mortgage Loan Schedule shall be absolute and is intended by the Depositor, the Trustee and the Certificateholders to constitute and to be treated as a sale by the Depositor to the Trust Fund. (b) The Depositor, concurrently with the execution and delivery hereof, does hereby transfer, assign, set over and otherwise convey to the Trustee without recourse for the benefit of the Certificateholders all the right, title and interest of the Depositor, in, to and under the Subsequent Mortgage Loan Purchase Agreement, dated the date hereof, between the Depositor as purchaser and DB Structured Products, Inc. as seller (the "Subsequent Mortgage Loan Purchase Agreement"), to the extent of the Subsequent Mortgage Loans. (c) Additional terms of the sale are set forth on Attachment A hereto. Section 2. Representations and Warranties; Conditions Precedent. (a) The Depositor hereby confirms that each of the conditions and the representations and warranties set forth in Section 2.09 of the Pooling and Servicing Agreement are satisfied as of the date hereof. (page) (b) All terms and conditions of the Pooling and Servicing Agreement are hereby ratified and confirmed; provided, however, that in the event of any conflict, the provisions of this Instrument shall control over the conflicting provisions of the Pooling and Servicing Agreement. Section 3. Recordation of Instrument. To the extent permitted by applicable law, this Instrument, or a memorandum thereof if permitted under applicable law, is subject to recordation in all appropriate public offices for real property records in all of the counties or other comparable jurisdictions in which any or all of the properties subject to the Mortgages are situated, and in any other appropriate public recording office or elsewhere, such recordation to be effected by the Depositor at the Certificateholders' expense on direction of the related Certificateholders, but only when accompanied by an Opinion of Counsel to the effect that such recordation materially and beneficially affects the interests of the Certificateholders or is necessary for the administration or servicing of the Subsequent Mortgage Loans. Section 4. Governing Law. This Instrument shall be construed in accordance with the laws of the State of New York and the obligations, rights and remedies of the parties hereunder shall be determined in accordance with such laws, without giving effect to principles of conflicts of law. The parties hereto intend that the provisions of Section 5-1401 of the New York General Obligations Law shall apply to this Instrument. Section 5. Counterparts. This Instrument may be executed in one or more counterparts and by the different parties hereto on separate counterparts, each of which, when so executed, shall be deemed to be an original; such counterparts, together, shall constitute one and the same instrument. Section 6. Successors and Assigns. This Instrument shall inure to the benefit of and be binding upon the Depositor and the Trustee and their respective successors and assigns. [signature page follows] (page) Subsequent Transfer Instrument (ACE 2007-HE4) ACE SECURITIES CORP. By: Name: Title: By: Name: Title: HSBC BANK USA, NATIONAL ASSOCIATION, as Trustee for ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Asset Backed Pass-Through Certificates By: Name: Title: Attachments A. Additional terms of sale. B. Schedule of Subsequent Mortgage Loans. (page) ATTACHMENT A ADDITIONAL TERMS OF SALE None. (page) ATTACHMENT B SCHEDULE OF SUBSEQUENT MORTGAGE LOANS (To be provided upon request)