Saxon Asset Securities Trust

Transcription

1 External Parties Seller Saxon Funding Management Inc Servicer(s) Saxon Mortgage Services, Inc. Underwriter(s) Morgan Stanley Morgan Stanley Swap Counterparty MorganStanleyCapitalSrv Inc Table of Contents Page 1. Certificate Payment Report 2 2. Collection Account Report 6 3. Credit Enhancement Report 8 4. Collateral Report 9 5. Delinquency Report REO Report Foreclosure Report Prepayment Report Prepayment Detail Report Realized Loss Report Realized Loss Detail Report Triggers and Adj. Cert. Report Additional Certificate Report 28 Total Number of Pages 28 Dates Contacts Cut-Off Date: July 1, 27 Close Date: August 3, 27 First Distribution Date: August 27, 27 Distribution Date: November 26, 27 Alice Tatusian Administrator (714) Alice.D.Tatusian@db.com Address: 1761 East St. Andrew Place, Santa Ana, CA 9275 Record Date: October 31, 27 November 23, 27 November 26, 27 Factor Information: Main Phone Number: (8) (714) Page 1 of 28

2 Certificate Payment Report Current Period Distribution - REMIC III Class Class Type Original Face Value Prior Principal Current Total Realized Deferred Principal Interest Principal Distribution Loss Interest (1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6) 1-A SR 569,917,. 558,78, ,573,67.2 7,41,1.58 9,614, ,739, A1 SR 241,27,. 231,34, ,47, ,38, ,427, ,923, A2 SR 64,75,. 64,75,. 298, , ,75,. 2-A3 SR 84,13,. 84,13,. 394, , ,13,. 2-A4 SR 27,578,. 27,578,. 131, , ,578,. 1-M1 SUB 36,69,. 36,69,. 184, , ,69,. 2-M1 SUB 26,892,. 26,892,. 135, , ,892,. 1-M2 SUB 33,21,. 33,21,. 169, , ,21,. 2-M2 SUB 24,23,. 24,23,. 124, , ,23,. 1-M3 SUB 21,198,. 21,198,. 111, , ,198,. 2-M3 SUB 15,538,. 15,538,. 82, , ,538,. 1-M4 SUB 17,937,. 17,937,. 15, , ,937,. 2-M4 SUB 13,148,. 13,148,. 77, , ,148,. 1-M5 SUB 17,937,. 17,937,. 19, , ,937,. 2-M5 SUB 13,148,. 13,148,. 8, , ,148,. 1-M6 SUB 16,37,. 16,37,. 13, , ,37,. 2-M6 SUB 11,952,. 11,952,. 75, , ,952,. B-1 SUB 28,259,. 28,259,. 178, , ,259,. B-2 SUB 24,2,. 24,2,. 152, , ,2,. B-3 SUB 23,313,. 23,313,. 147, , ,313,. R NOF/RES OC NOF 11,732, ,731, ,783, ,783, ,731, P NOF.. 66, , L-IO NOF Total 1,412,94, ,391,838, ,134, ,421, ,556, ,38,416, Page 2 of 28

3 Interest Accrual Detail Current Period Factor Information per $1, of Original Face Value Class Period Starting Period Ending Method Cusip Orig. Principal Prior Current (with Notional) Principal Total Principal Interest Principal Distribution (1) 1-A 1/25/7 11/25/7 A-Act/ BAA2 569,917, A1 1/25/7 11/25/7 A-Act/ BAB 241,27, A2 1/25/7 11/25/7 A-Act/ BAC8 64,75,. 1, ,. 2-A3 1/25/7 11/25/7 A-Act/ BAD6 84,13,. 1, ,. 2-A4 1/25/7 11/25/7 A-Act/ BAE4 27,578,. 1, ,. 1-M1 1/25/7 11/25/7 A-Act/ BAF1 36,69,. 1, ,. 2-M1 1/25/7 11/25/7 A-Act/ BAG9 26,892,. 1, ,. 1-M2 1/25/7 11/25/7 A-Act/ BAH7 33,21,. 1, ,. 2-M2 1/25/7 11/25/7 A-Act/ BAJ3 24,23,. 1, ,. 1-M3 1/25/7 11/25/7 A-Act/ BAK 21,198,. 1, ,. 2-M3 1/25/7 11/25/7 A-Act/ BAL8 15,538,. 1, ,. 1-M4 1/25/7 11/25/7 A-Act/ BAM6 17,937,. 1, ,. 2-M4 1/25/7 11/25/7 A-Act/ BAN4 13,148,. 1, ,. 1-M5 1/25/7 11/25/7 A-Act/ BAP9 17,937,. 1, ,. 2-M5 1/25/7 11/25/7 A-Act/ BAQ7 13,148,. 1, ,. 1-M6 1/25/7 11/25/7 A-Act/ BAR5 16,37,. 1, ,. 2-M6 1/25/7 11/25/7 A-Act/ BAS3 11,952,. 1, ,. B-1 1/25/7 11/25/7 A-Act/ BAT1 28,259,. 1, ,. B-2 1/25/7 11/25/7 A-Act/ BAU8 24,2,. 1, ,. B-3 1/25/7 11/25/7 A-Act/ BAV6 23,313,. 1, ,. R 1/25/7 11/25/7 A-Act/ OC 1/25/7 11/25/7 A-Act/36 11,732, P 1/25/7 11/25/7 A-Act/36 1,. 1,. 66, , ,. L-IO 1/25/7 11/24/7 A-3/36 1,. 1,.... 1,. (1) (2) (3) (4)=(2)+(3) (5) Page 3 of 28

4 Distribution to Date - REMIC III Class Original Face Value (1) Interest (2) Unscheduled Principal (3) Scheduled Principal (4) Total Principal (5)=(3)+(4) Total Distribution (6)=(2)+(5) Realized Loss (7) Deferred Interest (8) Current Principal (9)=(1)-(5)-(7)+(8) 1-A 569,917,. 9,921, ,855, ,321, ,177, ,98, ,739, A1 241,27,. 4,87, ,76, , ,346, ,433, ,923, A2 64,75,. 1,14, ,14, ,75,. 2-A3 84,13,. 1,53, ,53, ,13,. 2-A4 27,578,. 5, , ,578,. 1-M1 36,69,. 72, ,97.39 (639,97.39). 72, ,69,. 2-M1 26,892,. 514, ,321,221.8 (1,321,221.8). 514, ,892,. 1-M2 33,21,. 642, , ,21,. 2-M2 24,23,. 471, , ,23,. 1-M3 21,198,. 422, , ,198,. 2-M3 15,538,. 312, , ,538,. 1-M4 17,937,. 397, , ,937,. 2-M4 13,148,. 291, , ,148,. 1-M5 17,937,. 412, , ,937,. 2-M5 13,148,. 34, , ,148,. 1-M6 16,37,. 387, , ,37,. 2-M6 11,952,. 284, , ,952,. B-1 28,259,. 671, , ,259,. B-2 24,2,. 571, , ,2,. B-3 23,313,. 554, , ,313,. R OC 11,732, ,931, ,932, ,731, P. 154, , L-IO Total 1,412,94, ,182, ,523, ,524, ,76, ,38,416, Page 4 of 28

5 Interest Detail - REMIC III Class Pass Through Rate Prior Principal (with Notional) Accrued Interest (1) Non- Supported Interest SF (2) Prior Unpaid Interest (3) Unscheduled Interest Adjustment (4) Optimal Interest (5)=(1)-(2)+(3)+(4) Paid or Deferred Interest (6) Current Unpaid Interest (7)=(5)-(6) 1-A % 558,78, ,574, ,573, ,573, A % 231,34, ,47, ,47, ,47, A % 64,75,. 298, , , A % 84,13,. 394, , , A % 27,578,. 131, , , M % 36,69,. 184, , , M % 26,892,. 135, , , M % 33,21,. 169, , , M % 24,23,. 124, , , M % 21,198,. 111, , , M % 15,538,. 82, , , M % 17,937,. 15, , , M % 13,148,. 77, , , M % 17,937,. 19, , , M % 13,148,. 8, ,94.3 8, M % 16,37,. 13, , , M % 11,952,. 75, , , B % 28,259,. 178, , , B % 24,2,. 152, , , B % 23,313,. 147, , , R.% OC % 11,731, ,783, P.% 1, , L-IO.% 1, Total 1,391,849, ,285, ,284, ,134, Page 5 of 28

6 Collection Account Report SUMMARY Principal Collections 4,38, ,41, ,421, Principal Withrawals... Principal Other Accounts... TOTAL NET PRINCIPAL 4,38, ,41, ,421, Interest Collections 4,1, ,59,98. 9,61,475.6 Interest Withdrawals... Interest Other Accounts 15, ,35.4 (83,933.6) Interest Fees (156,64.13) (236,87.2) (392,151.32) TOTAL NET INTEREST 3,96, ,324, ,134,39.68 TOTAL AVAILABLE FUNDS FOR DISTRIBUTION 8,341, ,365, ,556, PRINCIPAL - COLLECTIONS Scheduled Principal Received 166, , ,5.7 Curtailments 12, , , Prepayments In Full 4,21, ,67, ,872, Repurchased/Substitutions... Liquidations... Other Additional Principal... Delinquent Principal (59,55.97) (89,515.28) (149,66.25) Realized Losses... Advanced Principal 59, , ,66.25 TOTAL PRINCIPAL COLLECTED 4,38, ,41, ,421, PRINCIPAL - WITHDRAWALS SPACE INTENTIONALLY LEFT BLANK PRINCIPAL - OTHER ACCOUNTS TOTAL PRINCIPAL OTHER ACCOUNTS... Page 6 of 28

7 INTEREST - COLLECTIONS Scheduled Interest 4,19, ,611, ,81,822.8 Repurchased/Substitution Interest... Liquidation Interest... Other Additional Interest... Prepayment Interest Shortfalls (2,391.55) (2,337.14) (4,728.69) Delinquent Interest (1,594,453.53) (1,754,5.82) (3,348,459.35) Compensating Interest 2, , , Civil Relief Act Shortfalls. (666.26) (666.26) Interest Advanced 1,54, ,653, ,157, TOTAL INTEREST COLLECTED 4,1, ,59,98. 9,61,475.6 INTEREST - WITHDRAWALS Realized Losses of Interest... Non Recoverable Advances... Modification Loss... TOTAL INTEREST WITHDRAWALS... INTEREST - OTHER ACCOUNTS Prepayment Charges 15, , , Payments to and from the Swap Account (15,165.76) Swap Receipt 5,112, Swap Payment (5,262,359.7) Swap Termination Payment. Inflow from Reserve Fund/Interest Earnings. Inflow from Supp Int Trust/Interest Earnings. TOTAL INTEREST OTHER ACCOUNTS 15, ,35.4 (83,933.6) INTEREST FEES Current Servicing Fees 154, , , Trustee Fees 1, , , TOTAL INTEREST FEES 156, , , Page 7 of 28

8 Credit Enhancement Report ACCOUNTS Distribution Account Beginning. Amount Deposited 2,71,3.67 Amount Withdrawn (2,71,3.67) Ending. Excess Reserve Fund Account Beginning. Amount Deposited. Amount Withdrawn. Ending. Swap Account Beginning. Amount Deposited 15, Amount Withdrawn (15,165.76) Ending. INSURANCE SPACE INTENTIONALLY LEFT BLANK STRUCTURAL FEATURES Extra Principal Distribution Amount. Overcollateralization Amount 11,731, Overcollateralization Target Amount 11,731, Overcollateralization Deficiency Amount. Overcollateralization Release Amount. Page 8 of 28

9 Collateral Report COLLATERAL Loan Count: Original 1,585 3,873 5,458 Prior 1,562 3,822 5,384 Prefunding Scheduled Paid Offs Full Voluntary Prepayments (13) (32) (45) Repurchases Liquidations Current 1,549 3,79 5,339 Principal : Original 597,67, ,332, ,412,94, Prior 587,642, ,196, ,391,838, Prefunding... Scheduled Principal (166,969.29) (333,53.78) (5,5.7) Partial Prepayments (12,199.53) (37,69.35) (49,268.88) Full Voluntary Prepayments (4,21,71.91) (6,67,41.45) (1,872,112.36) Repurchases... Liquidations... Current 583,261, ,155, ,38,416, PREFUNDING SPACE INTENTIONALLY LEFT BLANK Current Principal by Groups Total Current Principal 1,M 1,6M 1,4M 8M 1,2M 6M 1,M 8M 4M 6M 2M 4M 2M M M Group 1 Group 2 Page 9 of 28

10 CHARACTERISTICS Weighted Average Coupon Original % % % Weighted Average Coupon Prior % % % Weighted Average Coupon Current % % % Weighted Average Months to Maturity Original Weighted Average Months to Maturity Prior Weighted Average Months to Maturity Current Weighted Avg Remaining Amortization Term Original Weighted Avg Remaining Amortization Term Prior Weighted Avg Remaining Amortization Term Current Weighted Average Seasoning Original Weighted Average Seasoning Prior Weighted Average Seasoning Current Weighted Average Coupon by Groups Total Weighted Average Coupon % 8.% 6.% 6.% 4.% 4.% 2.% 2.% Group 1 Group 2 Weighted Average Amortization Term by Groups Total Weighted Average Amortization Term Group 1 Group 2 Page 1 of 28

11 ARM CHARACTERISTICS Weighted Average Margin Original % % 6.176% Weighted Average Margin Prior % % % Weighted Average Margin Current % % % Weighted Average Max Rate Original % % % Weighted Average Max Rate Prior % % % Weighted Average Max Rate Current % % % Weighted Average Min Rate Original % % % Weighted Average Min Rate Prior % % % Weighted Average Min Rate Current % % % Weighted Average Cap Up Original 1.24% 1.183% 1.193% Weighted Average Cap Up Prior 1.27% 1.184% 1.195% Weighted Average Cap Up Current 1.28% 1.185% 1.196% Weighted Average Cap Down Original 1.24% 1.183% 1.193% Weighted Average Cap Down Prior 1.27% 1.184% 1.195% Weighted Average Cap Down Current 1.28% 1.185% 1.196% SERVICING FEES & ADVANCES Current Servicing Fees 154, , , Delinquent Servicing Fees 9,11.5 1, ,68.95 TOTAL SERVICING FEES 244, , , Servicing Fees 244, , , Compensating Interest (2,391.55) (2,337.14) (4,728.69) Delinquent Servicing Fees (9,11.5) (1,669.9) (19,68.95) COLLECTED SERVICING FEES 153, , , Total Advanced Interest 1,54, ,653, ,157, Total Advanced Principal 59, , ,66.25 TOTAL ADVANCES FOR CURRENT PERIOD 2, , ,36, ADDITIONAL COLLATERAL INFORMATION Prepayment Interest Shortfall (PPIS) 2, , , Compensating Interest (2,391.55) (2,337.14) (4,728.69) Net Prepayment Interest Shortfall (PPIS)... Net Mortgage Rate % % % Net WAC Cap 7.431% % % of Loans that adjust based on 6mo LIBOR 476,671, ,126, ,797, Largest Mortgage Loan 2,,. 776,986.4 Page 11 of 28

12 Delinquency Report TOTAL < 1 PAYMENT 1 PAYMENT 2 PAYMENTS 3+ PAYMENTS TOTAL DELINQUENT % % 38,885, % % 3,76, % % 4,377, % 13.24% 73,34, % % FORECLOSURE % %.. 164, % 1.2% 9,564, % 41.77% 9,729, % 42.79% BANKRUPTCY % % 625, % 3.6% 372, % 3.6% 144, % 1.2% 97, % 1.2% 1,239, % 8.15% REO % % , % 2.4% 517, % 2.4% TOTAL % % 625, % 3.6% 39,258, % % 3,385, % % 14,557, % % 84,826, % % 1 or 2 Payments Delinquent 3 or More Payments Delinquent 5.%.35%.3% 4.%.25% 3.%.2% 2.%.15%.1% 1.%.5% Total Total Total Foreclosure Total Bankruptcy and REO.8%.14%.7%.12%.6%.1%.5%.4%.3%.8%.6%.2%.4%.1%.2% Total Total Page 12 of 28

13 GROUP 1 < 1 PAYMENT 1 PAYMENT 2 PAYMENTS 3+ PAYMENTS TOTAL DELINQUENT % % 17,397, % % 12,349, % % 1,416, % 6.16% 31,163, % % FORECLOSURE % %... 4,678, % 26.69% 4,678, % 26.69% BANKRUPTCY % % 67, % 1.3% 372, % 3.8% 144, % 1.3%. 584, % 5.13% REO % % , % 2.5% 517, % 2.5% TOTAL % % 67, % 1.3% 17,769, % % 12,493, % % 6,612, % 34.9% 36,944, % % 1 or 2 Payments Delinquent 3 or More Payments Delinquent 4.%.18% 3.5%.16% 3.%.14% 2.5% 2.% 1.5%.12%.1%.8%.6% 1.%.4%.5%.2% Group 1 Group 1 Total Foreclosure.6% Total Bankruptcy and REO.14%.5%.12%.1%.4%.8%.3%.6%.2%.4%.1%.2% Dec-5 Jun-6 Dec-6 Jun-7 Group 1 REO Bankruptcy Page 13 of 28

14 GROUP 2 < 1 PAYMENT 1 PAYMENT 2 PAYMENTS 3+ PAYMENTS TOTAL DELINQUENT % % 21,488, % % 17,727, % % 2,96, % 7.45% 42,177, % % FORECLOSURE % %.. 164, % 1.6% 4,886, % 15.97% 5,5, % % BANKRUPTCY % % 557, % 2.13%.. 97, % 1.6% 654, % 3.19% REO % %..... TOTAL % % 557, % 2.13% 21,488, % % 17,891, % % 7,944, % % 47,882, % % 1 or 2 Payments Delinquent 3 or More Payments Delinquent 7.%.6% 6.%.5% 5.%.4% 4.%.3% 3.% 2.%.2% 1.%.1% Group 2 Group 2 Total Foreclosure 1.% Total Bankruptcy and REO.12%.8%.1%.8%.6%.6%.4%.4%.2%.2% Dec-5 Jun-6 Dec-6 Jun-7 Group 2 REO Bankruptcy Page 14 of 28

15 REO Report Loan Number & Loan Group Original Principal Stated Principal Paid to Date Current Note Rate State & LTV at Origination Original Term First Payment Date Became REO Property this Period: , , May % MI - 95.% 36 1-Jan ,8. 324, May % MD Feb-27 TOTAL 52, , Page 15 of 28

16 Foreclosure Report Loan Number & Loan Group Original Principal Stated Principal Paid to Date Current Note Rate State & LTV at Origination Original Term First Payment Date Became Foreclosure Property this Period: ,. 25, May % GA % 36 1-Dec ,. 69, Jun % VA Jan ,95. 9, Jun % TN - 85.% 36 1-Apr ,5. 111, Jun % MI % 36 1-May ,4. 194, Jun % TN May , , Jun % FL % 36 1-Apr ,25. 83, Jun % KY Jun ,. 316,. 1-Jun % CA Jun ,5. 139, Jun % GA % 36 1-Jun ,6. 137, Jun % CO Jun ,. 431, Jun % CA Jun ,. 424, May % CO - 85.% 36 1-Jun ,5. 13, Jun % FL - 75.% 36 1-Jun ,. 98, Jun % IL Jul ,9. 117, Jun % OH Jun ,. 283, Jun % CA % 36 1-Jun ,. 565, Jun % NH Jul ,. 219, Jun % WA Jul , , May % CA - 85.% 36 1-Jun ,. 188, Jun % FL Jul ,. 187, Jun % FL Jul ,4. 257, Jun % FL % 36 1-Jul ,9. 276, Jun % CA - 78.% 36 1-Jul , , Jun % CA - 85.% 36 1-Jul , ,75. 1-Jun % NJ - 85.% 36 1-Jul ,. 133, May % SC Dec ,. 118, Jun % KY Dec ,. 79, May % GA Jan ,. 164, Jun % SC Jan ,. 283, Jun % IL Mar-27 TOTAL 7,369,532. 7,357, Became Foreclosure Property in a Prior Period: ,. 91, Jun % NY Apr ,5. 76, May % OH Apr , ,75. 1-May % FL % 36 1-Jun ,. 355, May % CO - 85.% 36 1-Jun , , May % FL - 75.% 36 1-Jun , , May % IA Jun ,51. 75, May % IA Jun ,. 7, May % CA - 95.% 36 1-Jun ,5. 13, May % WI Jun , , May % IL - 95.% 36 1-Jun-27 Page 16 of 28

17 Loan Number & Loan Group Original Principal Stated Principal Paid to Date Current Note Rate State & LTV at Origination Original Term First Payment Date , , May % NC Nov ,9. 84, May % IN Jan-27 TOTAL 2,378,391. 2,372,66.59 TOTAL 9,747,923. 9,729, Page 17 of 28

18 Prepayment Report VOLUNTARY PREPAYMENTS Current Number of Paid in Full Loans Number of Repurchased Loans Total Number of Loans Prepaid in Full Curtailments Amount 12, , , Paid in Full 4,21, ,67, ,872, Repurchased Loans... Total Prepayment Amount 4,213, ,77, ,921, Cumulative Number of Paid in Full Loans Number of Repurchased Loans Total Number of Loans Prepaid in Full Paid in Full 13,634, ,72, ,336,83.18 Repurchased Loans... Curtailments Amount 72, , ,257.5 Total Prepayment Amount 13,76, ,856, ,563,6.68 Total Prepayments by Groups Total Prepayments 7,K 12,K 6,K 1,K 5,K 8,K 4,K 3,K 6,K 2,K 4,K 1,K 2,K K K Group 1 Group 2 Page 18 of 28

19 PREPAYMENTS RATES SMM.72%.83%.78% 3 Months Avg SMM.66%.55%.6% 12 Months Avg SMM.58%.52%.55% Avg SMM Since Cut-off.58%.52%.55% CPR 8.28% 9.57% 9.2% 3 Months Avg CPR 7.61% 6.45% 6.94% 12 Months Avg CPR 6.73% 6.8% 6.36% Avg CPR Since Cut-off 6.73% 6.8% 6.36% PSA 795.9% % 87.1% 3 Months Avg PSA Approximation 94.96% 773.2% 829.4% 12 Months Avg PSA Approximation % % % Avg PSA Since Cut-off Approximation % % % CPR by Groups Total CPR % 8.% 6.% 6.% 4.% 4.% 2.% 2.% Group 1 Group 2 PSA by Groups Total PSA 1,4 1,2 1,2 1, 1, Group 1 Group 2 Page 19 of 28

20 CPR Avg since Cut-Off by Groups Total CPR Avg since Cut-Off 7.% 7.% 6.% 6.% 5.% 5.% 4.% 4.% 3.% 3.% 2.% 2.% 1.% 1.% Group 1 Group 2 PSA Avg since Cut-Off by Groups Total PSA Avg since Cut-Off 1,2 1,2 1, 1, Group 1 Group 2 PREPAYMENT CALCULATION METHODOLOGY Single Monthly Mortality (SMM): (Voluntary partial and full prepayments + Repurchases + Liquidation )/(Beg Principal - Sched Principal) Conditional Prepayment Rate (CPR): 1-((1-SMM)^12) PSA Standard Prepayment Model: CPR/(.2%*min(3,WAS)) Average SMM over period between nth month and mth month (AvgSMMn,m): 1 - [(1-SMMn)*(1-SMMn+1)*...*(1-SMMm)]^(1/months in period n,m) Average CPR over period between the nth month and mth month (AvgCPRn,m): 1-((1-AvgSMMn,m)^12) Average PSA Approximation over period between the nth month and mth month: AvgCPRn,m/(.2%*Avg WASn,m)) Average WASn,m: (min(3,wasn)+min(3,wasn+1)+...+min(3,wasm)/(number of months in the period n,m) Weighted Average Seasoning (WAS) Note: Prepayment rates are calculated since deal issue date and include partial and full voluntary prepayments and repurchases. Dates correspond to distribution dates. Page 2 of 28

21 Prepayment Detail Report Prepayment Detail Report - Mortgage Loans Prepaid in Full During Current Distribution Loan Number & Loan Group Loan Status Original Principal Prepayment Amount Prepayment Date Current State & Type Prepayment Note LTV at & Rate Origination Original Term First Payment Date ,. 158, Oct % WI % Paid Off Nov ,. 19, Nov-27 7.% WA % Paid Off Jan ,8. 295, Oct % IL % Paid Off Aug ,. 97, Nov % WV - 56.% Paid Off May ,. 332, Nov-27 9.% OR % Paid Off Jul , , Nov % MD - 9 Paid Off Jun ,. 255, Nov % MA - 8 Paid Off Jun FCL 862,5. 862,5. 26-Oct % CA - 75.% Paid Off Jun ,. 466, Nov % MD - 9 Paid Off Jun ,9. 249, Oct % IL - 85.% Paid Off Jul , , Nov % IL % Paid Off Jul ,. 152, Oct % MD % Paid Off Aug ,. 83, Oct % GA - 7 Paid Off Jul , , Oct % WI - 95.% Paid Off Jul ,. 19, Nov % VA % Paid Off Jul ,. 125,. 6-Nov % IL - 1 Paid Off Jul ,. 129, Nov % MN % Paid Off Jul ,. 293, Nov % MD % Paid Off Jul ,. 284, Nov % NC - 95.% Paid Off Jul ,. 85,. 23-Oct % MA - 85.% Paid Off Jul ,. 142, Nov % FL % Paid Off Jun , , Nov % IN - 85.% Paid Off Jul ,4. 237, Nov % MD - 8 Paid Off Jul ,. 236, Nov % MA - 79.% Paid Off Aug , , Nov % TX - 75.% Paid Off Jul ,. 227, Oct % MD - 8 Paid Off Aug ,8. 262, Nov % CA - 9 Paid Off Aug ,. 354, Nov % CA % Paid Off Aug ,. 358,. 23-Oct % MD % Paid Off Aug ,. 84, Nov % WI - 85.% Paid Off Aug ,5. 14, Oct % PA % Paid Off Aug ,5. 142, Nov % CA % Paid Off Aug ,5. 265, Nov % MD - 9 Paid Off Aug ,. 129, Oct % KS % Paid Off Sep ,95. 17, Nov % WI - 85.% Paid Off Aug ,5. 214, Oct % NJ - 85.% Paid Off Aug ,5. 175, Oct % MD - 9 Paid Off Aug ,5. 157, Nov % MA - 75.% Paid Off Aug ,6. 227, Nov % TN - 8 Paid Off Aug , , Nov % CA % Paid Off Aug-27 Page 21 of 28

22 Prepayment Detail Report - Mortgage Loans Prepaid in Full During Current Distribution Loan Number & Loan Group Loan Status Original Principal Prepayment Amount Prepayment Date Current State & Type Prepayment Note LTV at & Rate Origination Original Term First Payment Date ,5. 278, Nov % NY % Paid Off Sep ,5. 77,4.5 5-Nov % WI % Paid Off Aug ,. 149, Nov % DC % Paid Off Sep ,. 121, Nov % NC - 1 Paid Off Dec ,5. 125, Nov % MO - 1 Paid Off Dec-26 TOTAL Page 22 of 28 1,888,817. 1,872,112.36

23 Realized Loss Report COLLATERAL REALIZED LOSSES Current Number of Loans Liquidated Subsequent Recoveries... Collateral Principal Realized Loss/(Gain) Amount... Collateral Interest Realized Loss/(Gain) Amount... Net Liquidation Proceeds... Cumulative Number of Loans Liquidated Collateral Realized Loss/(Gain) Amount... Net Liquidation Proceeds... Subsequent Recoveries... Collateral Loss Severity Approximation by Groups Collateral Loss Severity Approximation Group 1 Group 2 Page 23 of 28

24 DEFAULT SPEEDS MDR 3 Months Avg MDR 12 Months Avg MDR Avg MDR Since Cut-off CDR 3 Months Avg CDR 12 Months Avg CDR Avg CDR Since Cut-off SDA 3 Months Avg SDA Approximation 12 Months Avg SDA Approximation Avg SDA Since Cut-off Approximation Loss Severity Approximation for Current Period 3 Months Avg Loss Severity Approximation 12 Months Avg Loss Severity Approximation Avg Loss Severity Approximation Since Cut-off CDR by Groups Total CDR Group 1 Group 2 SDA by Groups Total SDA Group 1 Group Page 24 of 28

25 CDR Avg since Cut-Off by Groups Total CDR Avg since Cut-Off Group 1 Group 2 SDA Avg since Cut-Off by Groups Total SDA Avg since Cut-Off Group 1 Group 2 COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY Monthly Default Rate (MDR): (Beg Principal of Liquidated Loans)/(Total Beg Principal ) Conditional Default Rate (CDR): 1-((1-MDR)^12) SDA Standard Default Assumption: CDR/IF(WAS<61,MIN(3,WAS)*.2%,MAX(.3%,MIN(3,WAS)*.2%-.95%*(WAS-6))) Average MDR over period between nth month and mth month (AvgMDRn,m): [(1-MDRn)*(1-MDRn+1)*...*(1-MDRm)]^(1/months in period n,m) Average CDR over period between the nth month and mth month (AvgCDRn,m): 1-((1-AvgMDRn,m)^12) Average SDA Approximation over period between the nth month and mth month: AvgCDRn,m/IF(Avg WASn,m<61,MIN(3,Avg WASn,m)*.2%,MAX(.3%,MIN(3,Avg WASn,m)*.2%-.95%*(Avg WASn,m-6))) Average WASn,m: (WASn + WASn WASm )/(number of months in the period n,m) Loss Severity Approximation for current period: sum(realized Loss Amount)/sum(Beg Principal of Liquidated Loans) Average Loss Severity Approximation over period between nth month and mth month: Avg(Loss Severityn,m) Note: Default rates are calculated since deal issue date and include realized gains and additional realized losses and gains from prior periods. Dates correspond to distribution dates. Charged off or Partially Charged off Loans assumed to have a minimum 1% Loss Severity Percentage. Page 25 of 28

26 Realized Loss Detail Report Loan Number & Loan Group Loan Status Current Note Rate State & LTV at Origination Original Term Prior Principal Realized Loss/(Gain) Revision Realized Loss/(Gain) Cumulative Realized Loss/(Gain) TOTAL Page 26 of 28

27 Triggers and Adj. Cert. Report TRIGGER EVENTS Stepdown Date Occurred? No Does a Trigger Event Exists? Does a Delinquency Trigger Event Exists? Does a Loss Trigger Event Exists? No No No Rolling three month average 22,211,662.8 Ending Collateral 1,38,416, Delinquency Percentage 1.61% Prior Period Senior Enhancement Percentage 3.56% Applicable % 26.58% Prior Period M-1 Enhancement Percentage 25.99% Applicable % (After Agg.Sr.Cert.Bal becomes ) 31.25% Cumulative Loss Percentage.% ADJUSTABLE RATE CERTIFICATE INFORMATION SPACE INTENTIONALLY LEFT BLANK ADDITIONAL INFORMATION Libor for Current Period % Libor Rate Determination Date 1/23/27 Libor for Next Period.% Libor Next Rate Determination Date 11/21/27 Page 27 of 28

28 Additional Certificate Report ADDITIONAL CERTIFICATE REPORT CLASS NET WAC Shortfall Prior (1) Interest on Prior SF(2) Curr NET WAC SF (3) Total NET WAC SF (1+2+3) NET WAC Shortfall Paid NET WAC Shortfall UnPaid 1-A $. $. $. $. $. $. 2-A1 $. $. $. $. $. $. 2-A2 $. $. $. $. $. $. 2-A3 $. $. $. $. $. $. 2-A4 $. $. $. $. $. $. 1-M1 $. $. $. $. $. $. 2-M1 $. $. $. $. $. $. 1-M2 $. $. $. $. $. $. 2-M2 $. $. $. $. $. $. 1-M3 $. $. $. $. $. $. 2-M3 $. $. $. $. $. $. 1-M4 $. $. $. $. $. $. 2-M4 $. $. $. $. $. $. 1-M5 $. $. $. $. $. $. 2-M5 $. $. $. $. $. $. 1-M6 $. $. $. $. $. $. 2-M6 $. $. $. $. $. $. B-1 $. $. $. $. $. $. B-2 $. $. $. $. $. $. B-3 $. $. $. $. $. $. Page 28 of 28