-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GQSmkXn/VjXIs9asGfc83wOWMznXBvSrfaSOxiaxU/aKp7jkI4DDXHwvigN6Zt6H eXQa1ARqhgX0PdkkzB/SzQ== 0001056404-05-003408.txt : 20051004 0001056404-05-003408.hdr.sgml : 20051004 20051004105410 ACCESSION NUMBER: 0001056404-05-003408 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20050926 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20051004 DATE AS OF CHANGE: 20051004 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp Series 2005 SD1 CENTRAL INDEX KEY: 0001314417 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-119047-04 FILM NUMBER: 051119943 BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 8-K 1 ace05sd1_10509.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): September 26, 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 September 26, 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 September 26, 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: 9/27/2005 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 September 26, 2005 distribution. EX-99.1
ACE Securities Corporation Asset Backed Pass-Through Certificates Record Date: 8/31/2005 Distribution Date: 9/26/2005 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 4.04125% 65,925,007.04 236,817.28 M-1 004421KK8 SEN 4.39125% 15,279,000.00 59,639.03 M-2 004421KL6 SEN 4.89125% 7,826,000.00 34,025.71 M-3 004421KM4 SEN 7.14125% 7,081,000.00 44,948.61 M-4 004421KN2 SEN 6.64125% 1,863,000.00 10,997.91 CE ACE05SD1C SEN 0.00000% 8,569,896.53 295,882.52 P ACE05SD1P SEN 0.00000% 100.00 2,616.80 R-1 ACE5SD1R1 SEN 0.00000% 0.00 0.00 Totals 106,544,003.57 684,927.86
Certificateholder Distribution Summary (continued) Current Ending Cumulative Principal Realized Certificate Total Realized Class Distribution Loss Balance Distribution Losses A-1 1,459,326.88 0.00 64,465,680.16 1,696,144.16 0.00 M-1 0.00 0.00 15,279,000.00 59,639.03 0.00 M-2 0.00 0.00 7,826,000.00 34,025.71 0.00 M-3 0.00 0.00 7,081,000.00 44,948.61 0.00 M-4 0.00 0.00 1,863,000.00 10,997.91 0.00 CE 0.00 0.00 8,569,896.53 295,882.52 0.00 P 0.00 0.00 100.00 2,616.80 0.00 R-1 0.00 0.00 0.00 0.00 0.00 Totals 1,459,326.88 0.00 105,084,676.69 2,144,254.74 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 65,925,007.04 0.00 1,459,326.88 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 149,041,679.00 106,544,003.57 0.00 1,459,326.88 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 1,459,326.88 64,465,680.16 0.57356870 1,459,326.88 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 1,459,326.88 105,084,676.69 0.70506906 1,459,326.88
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion A-1 112,394,000.00 586.55272559 0.00000000 12.98402833 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 12.98402833 573.56869726 0.57356870 12.98402833 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 4.04125% 65,925,007.04 236,817.28 0.00 0.00 M-1 15,279,000.00 4.39125% 15,279,000.00 59,639.03 0.00 0.00 M-2 7,826,000.00 4.89125% 7,826,000.00 34,025.71 0.00 0.00 M-3 7,081,000.00 7.14125% 7,081,000.00 44,948.61 0.00 0.00 M-4 1,863,000.00 6.64125% 1,863,000.00 10,997.91 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 149,041,679.00 386,428.54 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 0.00 236,817.28 0.00 64,465,680.16 M-1 0.00 0.00 59,639.03 0.00 15,279,000.00 M-2 0.00 0.00 34,025.71 0.00 7,826,000.00 M-3 0.00 0.00 44,948.61 0.00 7,081,000.00 M-4 0.00 0.00 10,997.91 0.00 1,863,000.00 CE 0.00 0.00 295,882.52 0.00 8,569,896.53 P 0.00 0.00 2,616.80 0.00 100.00 R-1 0.00 0.00 0.00 0.00 0.00 Totals 0.00 0.00 684,927.86 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 4.04125% 586.55272559 2.10702778 0.00000000 0.00000000 M-1 15,279,000.00 4.39125% 1000.00000000 3.90333333 0.00000000 0.00000000 M-2 7,826,000.00 4.89125% 1000.00000000 4.34777792 0.00000000 0.00000000 M-3 7,081,000.00 7.14125% 1000.00000000 6.34777715 0.00000000 0.00000000 M-4 1,863,000.00 6.64125% 1000.00000000 5.90333333 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 2.10702778 0.00000000 573.56869726 M-1 0.00000000 0.00000000 3.90333333 0.00000000 1000.00000000 M-2 0.00000000 0.00000000 4.34777792 0.00000000 1000.00000000 M-3 0.00000000 0.00000000 6.34777715 0.00000000 1000.00000000 M-4 0.00000000 0.00000000 5.90333333 0.00000000 1000.00000000 CE 0.00000000 0.00000000 64.34216309 0.00000000 1863.59667410 P 0.00000000 0.00000000 26168.00000000 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 2,191,926.88 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) 541.42 Prepayment Penalties 2,616.80 Total Deposits 2,195,085.10 Withdrawals Reimbursement for Servicer Advances 0.00 Payment of Service Fee 50,830.36 Payment of Interest and Principal 2,144,254.74 Total Withdrawals (Pool Distribution Amount) 2,195,085.10 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 44,393.33 Credit Risk Manager Fee- Risk Management Group, LLC 1,775.73 Master Servicing Fee 4,661.30 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 50,830.36
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 32 0 0 32 2,938,003.99 0.00 0.00 2,938,003.99 30 Days 74 11 1 0 86 6,148,552.14 911,415.05 65,822.39 0.00 7,125,789.58 60 Days 44 7 0 0 51 4,215,784.35 756,493.99 0.00 0.00 4,972,278.34 90 Days 20 7 9 0 36 1,596,783.44 531,898.05 671,284.78 0.00 2,799,966.27 120 Days 8 11 8 0 27 382,434.84 664,631.83 836,939.95 0.00 1,884,006.62 150 Days 7 10 3 0 20 341,015.09 617,467.32 181,853.88 0.00 1,140,336.29 180+ Days 12 30 30 2 74 616,241.72 2,137,410.25 3,078,376.69 232,023.42 6,064,052.08 Totals 165 108 51 2 326 13,300,811.58 8,557,320.48 4,834,277.69 232,023.42 26,924,433.17 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 3.024575% 0.000000% 0.000000% 3.024575% 2.787029% 0.000000% 0.000000% 2.787029% 30 Days 6.994329% 1.039698% 0.094518% 0.000000% 8.128544% 5.832598% 0.864580% 0.062440% 0.000000% 6.759618% 60 Days 4.158790% 0.661626% 0.000000% 0.000000% 4.820416% 3.999149% 0.717620% 0.000000% 0.000000% 4.716769% 90 Days 1.890359% 0.661626% 0.850662% 0.000000% 3.402647% 1.514730% 0.504566% 0.636790% 0.000000% 2.656085% 120 Days 0.756144% 1.039698% 0.756144% 0.000000% 2.551985% 0.362783% 0.630479% 0.793932% 0.000000% 1.787194% 150 Days 0.661626% 0.945180% 0.283554% 0.000000% 1.890359% 0.323491% 0.585738% 0.172509% 0.000000% 1.081738% 180+ Days 1.134216% 2.835539% 2.835539% 0.189036% 6.994329% 0.584575% 2.027576% 2.920189% 0.220100% 5.752440% Totals 15.595463% 10.207940% 4.820416% 0.189036% 30.812854% 12.617326% 8.117587% 4.585860% 0.220100% 25.540873%
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 2 0 0 2 251,847.46 0.00 0.00 251,847.46 30 Days 5 0 0 0 5 1,082,233.23 0.00 0.00 0.00 1,082,233.23 60 Days 8 2 0 0 10 1,162,996.40 380,311.13 0.00 0.00 1,543,307.53 90 Days 5 0 2 0 7 611,763.00 0.00 160,615.99 0.00 772,378.99 120 Days 1 2 3 0 6 48,520.20 300,969.24 302,937.82 0.00 652,427.26 150 Days 1 1 1 0 3 106,663.89 91,099.68 80,294.42 0.00 278,057.99 180+ Days 1 0 7 1 9 47,448.24 0.00 1,088,827.63 174,629.13 1,310,905.00 Totals 21 7 13 1 42 3,059,624.96 1,024,227.51 1,632,675.86 174,629.13 5,891,157.46 0-29 Days 0.980392% 0.000000% 0.000000% 0.980392% 0.840109% 0.000000% 0.000000% 0.840109% 30 Days 2.450980% 0.000000% 0.000000% 0.000000% 2.450980% 3.610098% 0.000000% 0.000000% 0.000000% 3.610098% 60 Days 3.921569% 0.980392% 0.000000% 0.000000% 4.901961% 3.879506% 1.268636% 0.000000% 0.000000% 5.148143% 90 Days 2.450980% 0.000000% 0.980392% 0.000000% 3.431373% 2.040710% 0.000000% 0.535780% 0.000000% 2.576490% 120 Days 0.490196% 0.980392% 1.470588% 0.000000% 2.941176% 0.161853% 1.003969% 1.010536% 0.000000% 2.176357% 150 Days 0.490196% 0.490196% 0.490196% 0.000000% 1.470588% 0.355808% 0.303889% 0.267845% 0.000000% 0.927542% 180+ Days 0.490196% 0.000000% 3.431373% 0.490196% 4.411765% 0.158277% 0.000000% 3.632095% 0.582525% 4.372898% Totals 10.294118% 3.431373% 6.372549% 0.490196% 20.588235% 10.206252% 3.416603% 5.446256% 0.582525% 19.651636% 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 30 0 0 30 2,686,156.53 0.00 0.00 2,686,156.53 30 Days 69 11 1 0 81 5,066,318.91 911,415.05 65,822.39 0.00 6,043,556.35 60 Days 36 5 0 0 41 3,052,787.95 376,182.86 0.00 0.00 3,428,970.81 90 Days 15 7 7 0 29 985,020.44 531,898.05 510,668.79 0.00 2,027,587.28 120 Days 7 9 5 0 21 333,914.64 363,662.59 534,002.13 0.00 1,231,579.36 150 Days 6 9 2 0 17 234,351.20 526,367.64 101,559.46 0.00 862,278.30 180+ Days 11 30 23 1 65 568,793.48 2,137,410.25 1,989,549.06 57,394.29 4,753,147.08 Totals 144 101 38 1 284 10,241,186.62 7,533,092.97 3,201,601.83 57,394.29 21,033,275.71 0-29 Days 3.512881% 0.000000% 0.000000% 3.512881% 3.560696% 0.000000% 0.000000% 3.560696% 30 Days 8.079625% 1.288056% 0.117096% 0.000000% 9.484778% 6.715774% 1.208147% 0.087252% 0.000000% 8.011173% 60 Days 4.215457% 0.585480% 0.000000% 0.000000% 4.800937% 4.046692% 0.498658% 0.000000% 0.000000% 4.545350% 90 Days 1.756440% 0.819672% 0.819672% 0.000000% 3.395785% 1.305716% 0.705069% 0.676929% 0.000000% 2.687714% 120 Days 0.819672% 1.053864% 0.585480% 0.000000% 2.459016% 0.442628% 0.482061% 0.707859% 0.000000% 1.632548% 150 Days 0.702576% 1.053864% 0.234192% 0.000000% 1.990632% 0.310650% 0.697739% 0.134624% 0.000000% 1.143013% 180+ Days 1.288056% 3.512881% 2.693208% 0.117096% 7.611241% 0.753977% 2.833293% 2.637292% 0.076080% 6.300642% Totals 16.861827% 11.826698% 4.449649% 0.117096% 33.255269% 13.575437% 9.985662% 4.243956% 0.076080% 27.881135%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 205,873.00
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 24.11388352% 14.539703% 0.000000% Class M-2 13,542,679.00 9.08650459% 17,513,996.53 16.66655604% 7.447327% 0.000000% Class M-3 6,461,679.00 4.33548457% 10,432,996.53 9.92818064% 6.738375% 0.000000% Class M-4 4,598,679.00 3.08549865% 8,569,996.53 8.15532464% 1.772856% 0.000000% Class CE 100.00 0.00006710% 100.00 0.00009516% 8.155229% 0.000000% Class P 0.00 0.00000000% 0.00 0.00000000% 0.000095% 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 2 Oct-04 0.000% Original Principal Balance 235,132.00 Nov-04 0.000% Current Principal Balance 232,023.42 Dec-04 0.000% Jan-05 0.000% Current REO Total Feb-05 0.000% Loans in REO 2 Mar-05 0.000% Original Principal Balance 235,132.00 Apr-05 0.000% Current Principal Balance 232,023.42 May-05 0.000% Jun-05 0.048% Jul-05 0.051% Aug-05 0.000% Sep-05 0.220% *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 1 Oct-04 0.000% Original Principal Balance 176,000.00 Nov-04 0.000% Current Principal Balance 174,629.13 Dec-04 0.000% Jan-05 0.000% Current REO Total Feb-05 0.000% Loans in REO 1 Mar-05 0.000% Original Principal Balance 176,000.00 Apr-05 0.000% Current Principal Balance 174,629.13 May-05 0.000% Jun-05 0.000% Jul-05 0.000% Aug-05 0.000% Sep-05 0.583% *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 1 Oct-04 0.000% Original Principal Balance 59,132.00 Nov-04 0.000% Current Principal Balance 57,394.29 Dec-04 0.000% Jan-05 0.000% Current REO Total Feb-05 0.000% Loans in REO 1 Mar-05 0.000% Original Principal Balance 59,132.00 Apr-05 0.000% Current Principal Balance 57,394.29 May-05 0.000% Jun-05 0.070% Jul-05 0.073% Aug-05 0.000% Sep-05 0.076% *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 6 6.840% 7,356.71 Group 2 8000005409 57,394.29 16-Sep-2004 10 10.500% 4,295.39
Foreclosure Detail - All Mortgage Loans in Foreclosure during Current Period
Summary 12 Month Foreclosure History* New Foreclosure Loans Month Foreclosure Percentage Loans in Foreclosure 17 Oct-04 0.000% Original Principal Balance 2,209,830.00 Nov-04 0.000% Current Principal Balance 2,020,957.72 Dec-04 0.000% Jan-05 0.032% Current Foreclosure Total Feb-05 0.924% Loans in Foreclosure 51 Mar-05 3.528% Original Principal Balance 5,127,668.00 Apr-05 3.050% Current Principal Balance 4,834,277.69 May-05 3.132% Jun-05 2.768% Jul-05 3.627% Aug-05 3.004% Sep-05 4.586% *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 2 Oct-04 0.000% Original Principal Balance 211,000.00 Nov-04 0.000% Current Principal Balance 209,715.91 Dec-04 0.000% Jan-05 0.077% Current Foreclosure Total Feb-05 1.666% Loans in Foreclosure 13 Mar-05 5.028% Original Principal Balance 1,644,110.00 Apr-05 6.184% Current Principal Balance 1,632,675.86 May-05 6.003% Jun-05 6.718% Jul-05 7.348% Aug-05 5.488% Sep-05 5.446% *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 15 Oct-04 0.000% Original Principal Balance 1,998,830.00 Nov-04 0.000% Current Principal Balance 1,811,241.81 Dec-04 0.000% Jan-05 0.010% Current Foreclosure Total Feb-05 0.566% Loans in Foreclosure 38 Mar-05 2.813% Original Principal Balance 3,483,558.00 Apr-05 1.565% Current Principal Balance 3,201,601.83 May-05 1.791% Jun-05 1.010% Jul-05 2.061% Aug-05 2.034% Sep-05 4.244% *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 0041058678 Apr-2005 01-May-2004 IN 80.00 50,000.00 Group 1 0121031238 Aug-2005 01-May-2004 IA 90.00 55,800.00 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 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 6000092022 Aug-2005 01-May-2004 FL 90.00 71,010.00 Group 1 6000093194 Jul-2005 01-May-2004 FL 80.00 129,600.00 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 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 0000222333 Mar-2005 04-Oct-2003 TX 91.21 21,891.00 Group 2 0000254247 Jun-2005 01-Apr-2004 IL 105.40 64,291.00 Group 2 0001275867 Sep-2005 01-Mar-2004 IN 80.00 68,000.00 Group 2 0004126322 Sep-2005 01-Aug-1990 NJ 66.67 100,000.00 Group 2 0006609697 Sep-2005 01-Jan-1994 FL 74.47 350,000.00 Group 2 0015978482 Sep-2005 01-Oct-1996 CT 51.37 75,000.00 Group 2 0030235089 Sep-2005 01-Jan-1995 PA 51.41 110,000.00 Group 2 0030821664 Jul-2005 01-Jun-1997 TN 75.00 247,500.00 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 0080048481 Sep-2005 01-May-1999 MD 79.99 253,550.00 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 1001001769 Apr-2005 01-May-1999 OH 93.46 75,144.00 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 7000097554 Jun-2005 01-May-2004 CA 100.00 42,000.00 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 8000005749 Jul-2005 02-Dec-1999 OH 85.48 115,399.00 Group 2 8000006250 Sep-2005 05-May-2000 NE 90.24 72,193.00 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 10 7.250% 14,272.23 Group 1 0041058678 49,661.53 01-Dec-2004 7 7.150% 2,468.65 Group 1 0121031238 55,458.57 01-Apr-2005 3 9.550% 2,088.98 Group 1 0209039536 100,522.11 01-Aug-2004 11 7.500% 5,259.11 Group 1 0261045257 131,695.08 01-Sep-2004 10 9.150% 8,509.85 Group 1 0321017687 80,294.42 01-Feb-2005 5 7.250% 3,153.54 Group 1 1000160918 286,549.30 01-Sep-2004 10 5.990% 11,738.45 Group 1 5000089082 104,558.49 01-Jan-2005 6 9.900% 6,544.17 Group 1 6000092022 70,553.18 01-Mar-2005 4 8.850% 2,944.64 Group 1 6000093194 128,361.44 01-Mar-2005 4 6.850% 4,069.86 Group 1 6000094382 132,755.08 01-Nov-2004 8 9.250% 8,697.93 Group 1 7000095397 105,157.42 01-Apr-2005 3 8.250% 3,390.93 Group 1 7000098437 104,023.20 01-Mar-2005 4 6.990% 3,373.99 Group 2 0000124283 11,485.34 01-Apr-2005 3 10.500% 466.57 Group 2 0000130699 41,156.95 28-Apr-2005 3 12.000% 1,951.20 Group 2 0000222333 20,739.18 04-Sep-2004 10 11.250% 1,619.84 Group 2 0000254247 63,812.12 01-Dec-2004 7 7.500% 3,324.87 Group 2 0001275867 65,807.14 01-Feb-2005 5 9.450% 3,405.55 Group 2 0004126322 82,281.62 01-Apr-2005 3 10.125% 3,292.17 Group 2 0006609697 258,085.85 01-Dec-2004 7 7.000% 12,504.35 Group 2 0015978482 65,822.39 01-Jun-2005 1 6.875% 1,058.54 Group 2 0030235089 97,053.13 01-Apr-2005 3 8.625% 3,274.88 Group 2 0030821664 226,791.88 01-Mar-2005 4 8.375% 8,900.29 Group 2 0031987340 119,477.21 01-Jan-2005 6 8.625% 6,423.76 Group 2 0061051147 76,132.91 01-Sep-2004 10 7.200% 3,803.25 Group 2 0080048481 234,847.97 01-Apr-2005 3 7.125% 6,465.36 Group 2 0137021713 28,967.65 01-Apr-2005 3 7.125% 791.70 Group 2 0300002079 14,876.13 01-Apr-2005 3 9.000% 522.27 Group 2 1001001016 59,733.79 01-Oct-2002 33 11.000% 4,697.90 Group 2 1001001769 69,715.09 01-Nov-2004 8 11.250% 5,586.30 Group 2 2000000762 15,172.27 25-Nov-2004 8 14.750% 1,581.82 Group 2 2101101125 78,486.72 01-Mar-2005 4 9.750% 3,626.99 Group 2 7000097554 41,571.96 01-Dec-2004 7 10.490% 3,103.00 Group 2 7000097937 499,209.74 01-Jul-2004 12 7.200% 24,911.52 Group 2 8000000297 36,184.00 10-Nov-2004 8 10.500% 2,709.11 Group 2 8000001846 132,605.40 01-Mar-2004 16 11.350% 10,702.74 Group 2 8000002715 50,630.69 13-Dec-2004 7 10.250% 3,690.43 Group 2 8000003220 43,507.04 22-Oct-2004 9 8.750% 2,648.80 Group 2 8000005749 112,544.47 02-Nov-2004 8 9.990% 7,993.31 Group 2 8000006250 71,181.28 05-Jan-2005 6 12.250% 5,568.17 Group 2 8000007454 24,895.30 15-Sep-2004 10 13.000% 2,312.81 Group 2 8000007792 55,670.69 14-Aug-2004 11 7.375% 2,815.59 Group 2 8000008504 58,105.75 15-Mar-2005 4 11.490% 3,187.80 Group 2 8000034281 45,681.92 28-Mar-2005 4 10.000% 2,173.77 Group 2 8000034353 60,672.88 11-Jan-2005 6 11.000% 4,237.40 Group 2 8000034688 48,591.27 05-Jan-2005 6 8.500% 2,555.16 Group 2 8000035064 35,752.32 09-Feb-2005 5 12.000% 2,394.08 Group 2 8000035289 49,405.97 02-Dec-2004 7 13.000% 4,612.44 Group 2 8000035323 59,100.00 15-Feb-2004 17 13.000% 5,535.97 Group 2 8000038599 20,909.95 13-Nov-2004 8 14.250% 2,246.23 Group 2 8000040744 124,935.86 01-Mar-2005 4 10.000% 5,919.38
COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Gross Coupon 8.168946% Weighted Average Net Coupon 7.668946% Weighted Average Pass-Through Rate 7.596446% Weighted Average Maturity(Stepdown Calculation) 273 Beginning Scheduled Collateral Loan Count 1,074 Number Of Loans Paid In Full 16 Ending Scheduled Collateral Loan Count 1,058 Beginning Scheduled Collateral Balance 106,544,003.57 Ending Scheduled Collateral Balance 105,084,676.69 Ending Actual Collateral Balance at 31-Aug-2005 105,417,044.04 Monthly P&I Constant 954,919.87 Special Servicing Fee 0.00 Prepayment Penalties 2,616.80 Realized Loss Amount (541.42) Cumulative Realized Loss 37,012.98 Scheduled Principal 229,626.34 Unscheduled Principal 1,229,700.54 Required Overcollateralization Amount 0.00 Overcollateralized Increase Amount 0.00 Overcollateralized reduction Amount 541.42 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 8.168946% Weighted Average Net Rate 7.668946% Weighted Average Pass Through Rate 7.596446% Weighted Average Maturity 273 Record Date 08/31/2005 Principal and Interest Constant 954,919.87 Beginning Loan Count 1,074 Loans Paid in Full 16 Ending Loan Count 1,058 Beginning Scheduled Balance 106,544,003.57 Ending Scheduled Balance 105,084,676.69 Ending Actual Balance at 31-Aug-2005 105,417,044.04 Scheduled Principal 229,626.34 Unscheduled Principal 1,229,700.54 Scheduled Interest 725,293.53 Servicing Fee 44,393.33 Master Servicing Fee 4,661.30 Trustee Fee 0.00 FRY Amount 0.00 Special Hazard Fee 0.00 Other Fee 1,775.73 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 674,463.17 Realized Loss Amount (541.42) Cumulative Realized Loss 37,012.98 Percentage of Cumulative Losses 0.0248 Special Servicing Fee 0.00 Prepayment Penalties 2,616.80 Required Overcollateralized Amount 0.00 Overcollateralized Increase Amount 0.00 Overcollateralized Reduction Amount 541.42 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 7812.04
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 7.454480 8.448827 8.168946 Weighted Average Net Rate 6.954480 7.948827 7.668946 Weighted Average Maturity 334 242 273 Beginning Loan Count 204 870 1,074 Loans Paid In Full 0 16 16 Ending Loan Count 204 854 1,058 Beginning Scheduled Balance 29,989,181.31 76,554,822.26 106,544,003.57 Ending Scheduled Balance 29,958,680.92 75,125,995.77 105,084,676.69 Record Date 08/31/2005 08/31/2005 08/31/2005 Principal And Interest Constant 210,340.77 744,579.10 954,919.87 Scheduled Principal 24,045.97 205,580.37 229,626.34 Unscheduled Principal 6,454.42 1,223,246.12 1,229,700.54 Scheduled Interest 186,294.80 538,998.73 725,293.53 Servicing Fees 12,495.49 31,897.84 44,393.33 Master Servicing Fees 1,312.03 3,349.27 4,661.30 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 499.82 1,275.91 1,775.73 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 171,987.46 502,475.71 674,463.17 Realized Loss Amount 0.00 (541.42) (541.42) Cumulative Realized Loss 3,116.95 33,896.03 37,012.98 Percentage of Cumulative Losses 0.0063 0.0340 0.0248 Prepayment Penalties 0.00 0.00 0.00 Special Servicing Fee 0.00 0.00 0.00 Pass-Through Rate 6.881980 7.876327 7.596446
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 0 0.00 0.00 0 0.00 0.00 Group 2 15 1,514,215.00 1,205,783.35 0 0.00 0.00 Total 15 1,514,215.00 1,205,783.35 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 6,454.42 Group 2 0 0.00 0.00 0 0.00 0.00 21,308.27 Total 0 0.00 0.00 0 0.00 0.00 27,762.69
Prepayment Loan Detail - Prepayments during Current Period First Original Loan LTV at Payment Principal Prepayment Group Number State Origination Date Balance Amount Group 2 0000184060 CO 113.96 22-Sep-2001 50,000.00 47,284.20 Group 2 0000274355 WA 100.00 01-Oct-2003 36,000.00 35,114.61 Group 2 0001315224 NJ 40.27 01-Apr-2004 60,000.00 59,486.70 Group 2 0004219424 PA 75.00 01-Nov-1990 59,250.00 584.90 Group 2 0006751879 MO 59.09 01-Mar-1994 234,000.00 189,250.22 Group 2 0022086839 MD 85.00 10-Jul-1998 82,875.00 77,905.57 Group 2 0061051706 PA 67.50 01-Jun-2004 135,000.00 133,185.31 Group 2 0061051906 OH 78.41 01-May-2004 69,000.00 68,152.85 Group 2 0311019481 NY 72.26 01-May-2004 112,000.00 110,838.36 Group 2 0311020529 ME 78.60 01-May-2004 224,000.00 220,728.58 Group 2 0708213921 NC 90.00 01-May-1994 278,100.00 91,584.74 Group 2 1000161212 VA 95.00 01-May-2004 17,375.00 16,734.51 Group 2 2000001457 OH 90.48 29-Sep-2000 57,000.00 55,948.44 Group 2 5000094840 IL 95.00 01-Jun-2004 12,500.00 11,533.55 Group 2 8000074720 FL 91.70 12-Jan-2001 87,115.00 83,605.31
Prepayment Loan Detail - Prepayments during Current Period (continued) Current Loan PIF Months Loan Original Group Number Type Delinquent Rate Term Seasoning Group 2 0000184060 Loan Paid in Full 0 10.780% 300 47 Group 2 0000274355 Loan Paid in Full 0 12.500% 180 23 Group 2 0001315224 Loan Paid in Full 0 10.000% 360 17 Group 2 0004219424 Loan Paid in Full 0 9.750% 180 178 Group 2 0006751879 Loan Paid in Full 0 7.250% 360 138 Group 2 0022086839 Loan Paid in Full 0 10.450% 180 86 Group 2 0061051706 Loan Paid in Full (1) 8.740% 360 15 Group 2 0061051906 Loan Paid in Full 0 7.900% 360 16 Group 2 0311019481 Loan Paid in Full (1) 8.750% 360 16 Group 2 0311020529 Loan Paid in Full (1) 7.000% 360 16 Group 2 0708213921 Loan Paid in Full 0 6.500% 180 136 Group 2 1000161212 Loan Paid in Full 0 11.999% 180 16 Group 2 2000001457 Loan Paid in Full 6 12.250% 360 59 Group 2 5000094840 Loan Paid in Full 0 11.500% 120 15 Group 2 8000074720 Loan Paid in Full 0 10.990% 240 56
Prepayment - Voluntary Prepayments
Summary SMM CPR PSA Current Month 1.157% Current Month 13.030% Current Month 217.169% 3 Month Average 3.635% 3 Month Average 34.260% 3 Month Average 571.001% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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 0.022% Current Month 0.258% Current Month 6.723% 3 Month Average 6.190% 3 Month Average 46.020% 3 Month Average 1,282.683% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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 1.602% Current Month 17.619% Current Month 293.653% 3 Month Average 2.512% 3 Month Average 25.777% 3 Month Average 429.624% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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 0 0.00 0.00 0.000% Group 2 2 0.00 (541.42) (0.001)% Total 2 0.00 (541.42) (0.001)%
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 2 0030411292 221,000.00 8.2500% AZ 94.97 360 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 2 0030411292 0.00 (33.52) (33.52) Group 2 2000000948 0.00 (507.90) 10,666.94
Realized Loss Report - Collateral Summary
MDR SDA Current Month 0.000% Current Month 0.000% 3 Month Average 0.045% 3 Month Average 0.900% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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 0.540% 3 Month Average 2.206% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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 0.066% 3 Month Average 1.762% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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 0.778% 3 Month Average 2.206% 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. Oct-2004 N/A N/A Oct-2004 N/A N/A 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 *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)
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