8-K 1 abs04he2_dec.txt DECEMBER 8K 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): December 27, 2004 ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST Asset Backed Pass-Through Certificates, Series 2004-HE2 Trust (Exact name of registrant as specified in its charter) New York (governing law of 333-109307-05 54-2151902 Pooling and Servicing Agreement) (Commission 54-2151903 (State or other File Number) 54-2151904 jurisdiction 54-2151905 of Incorporation) IRS EIN 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 December 27, 2004 a distribution was made to holders of ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST, Asset Backed Pass-Through Certificates , Series 2004-HE2 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 2004-HE2 Trust, relating to the December 27, 2004 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. ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST Asset Backed Pass-Through Certificates, Series 2004-HE2 Trust (Registrant) By: Wells Fargo Bank, N.A. as Trustee By: /s/ Beth Belfield as Assistant Vice President By: Beth Belfield as Assistant Vice President Date: 12/30/2004 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Asset Backed Pass-Through Certificates, Series 2004-HE2 Trust, relating to the December 27, 2004 distribution. EX-99.1

Asset Backed Securities Corp Home Equity Loan Trust ~~Mortgage~~Asset Backed Pass-Through Certificates Record Date: 1011/3130/2004 Distribution Date: 1112/2627/2004 ~~ABSC~~Asset Backed Securities Corp Home Equity Loan Trust Asset Backed Pass-Through Certificates Series: 2004-HE2 Contact: Customer Service - SecuritiesLink Wells Fargo Bank, N.A. Securities Administration Services 7485 New Horizon Way Frederick, MD 21703 Telephone: (301) 846-8130 Fax: (301) 815-6660 Certificateholder Distribution Summary Certificate Certificate Beginning Class Pass-Through Certificate Interest Principal Class CUSIP Description Rate Balance Distribution Distribution R 04541GJF0 RES 0.00000% 0.00 0.00 0.00 B-IO 04541GJC7 SUB IO 0.00000% 0.00 0.00 0.00 A-1 04541GHS4 SEN 2.~~26750~~51500% ~~239~~228,~~506~~194,~~431~~610.5490 ~~482~~494,~~738~~199.5181 1113,~~311~~786,~~820~~306.6437 A-2 04541GHT2 SEN 2.~~26750~~51500% ~~200~~191,~~427~~751,~~729~~339.2864 ~~403~~415,~~973~~274.2282 812,~~676~~179,~~389~~239.6591 A-2-A 04541GHU9 SEN 2.~~32250~~57000% 2221,~~269~~305,~~747~~704.7040 4547,~~974~~150.6671 ~~964~~1,~~043~~353,248.2988 A-3 04541GHV7 SEN 2.~~23250~~48000% ~~140~~134,~~233~~008,~~532~~980.7498 ~~278~~286,~~285~~183.6563 68,~~224~~782,~~551~~855.7603 M-1 04541GHW5 MEZ 2.~~48250~~73000% 56,250,000.00 ~~124~~132,~~125~~234.0038 0.00 M-2 04541GHX3 MEZ 3.~~18250~~43000% 47,250,000.00 ~~133~~139,~~665~~558.0013 0.00 M-3 04541GHY1 MEZ 3.~~38250~~63000% 13,500,000.00 4042,~~590~~198.0075 0.00 M-4 04541GHZ8 MEZ 3.~~63250~~88000% 13,500,000.00 4345,~~590~~105.00 0.00 M-5-A 04541GJA1 MEZ 34.~~88250~~13000% 7,100,000.00 2425,~~502~~250.8936 0.00 M-5-B 04541GJG8 MEZ 4.~~33250~~58000% 4,150,000.00 1516,~~982~~367.1114 0.00 M-6 04541GJB9 MEZ 5.~~43250~~68000% 11,231,000.00 54,~~233~~932.2507 0.00 X 04541GJD5 SEN OC 0.00000% 22,492,027.66 2,~~563~~329,~~225~~880.5804 0.00 P 04541GJE3 SEN 0.00000% 100.00 ~~503~~806,~~718~~736.9567 0.00 Totals ~~777~~750,~~910~~733,~~568~~763.9258 4,~~714~~835,~~604~~071.8251 2736,~~176~~101,~~805~~650.3419

Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses R 0.00 0.00 0.00 0.00 B-IO 0.00 0.00 0.00 0.00 A-1 0.00 ~~228~~214,~~194~~408,~~610~~304.9053 1114,~~794~~280,~~559~~506.1518 0.00 A-2 0.00 ~~191~~179,~~751~~572,~~339~~099.6473 912,~~080~~594,~~362~~514.8773 0.00 A-2-A 0.00 2119,~~305~~952,~~704~~455.4053 1,~~010~~400,~~017~~399.9559 0.00 A-3 0.00 ~~134~~125,~~008~~226,~~980~~125.9895 69,~~502~~069,~~837~~038.4166 0.00 M-1 0.00 56,250,000.00 ~~124~~132,~~125~~234.0038 0.00 M-2 0.00 47,250,000.00 ~~133~~139,~~665~~558.0013 0.00 M-3 0.00 13,500,000.00 4042,~~590~~198.0075 0.00 M-4 0.00 13,500,000.00 4345,~~590~~105.00 0.00 M-5-A 0.00 7,100,000.00 2425,~~502~~250.8936 0.00 M-5-B 0.00 4,150,000.00 1516,~~982~~367.1114 0.00 M-6 0.00 11,231,000.00 54,~~233~~932.2507 0.00 X 0.00 22,492,027.66 2,~~563~~329,~~225~~880.5804 0.00 P 0.00 100.00 ~~503~~806,~~718~~736.9567 0.00 Totals 0.00 ~~750~~714,~~733~~632,~~763~~113.5840 3140,~~891~~936,~~410~~721.1670 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) R 0.00 0.00 0.00 0.00 0.00 0.00 B-IO 0.00 0.00 0.00 0.00 0.00 0.00 A-1 285,000,000.00 ~~239~~228,~~506~~194,~~431~~610.5490 0.00 1113,~~311~~786,~~820~~306.6437 0.00 0.00 A-2 238,500,000.00 ~~200~~191,~~427~~751,~~729~~339.2864 0.00 812,~~676~~179,~~389~~239.6591 0.00 0.00 A-2-A 26,500,000.00 2221,~~269~~305,~~747~~704.7040 0.00 ~~964~~1,~~043~~353,248.2988 0.00 0.00 A-3 174,200,000.00 ~~140~~134,~~233~~008,~~532~~980.7498 0.00 68,~~224~~782,~~551~~855.7603 0.00 0.00 M-1 56,250,000.00 56,250,000.00 0.00 0.00 0.00 0.00 M-2 47,250,000.00 47,250,000.00 0.00 0.00 0.00 0.00 M-3 13,500,000.00 13,500,000.00 0.00 0.00 0.00 0.00 M-4 13,500,000.00 13,500,000.00 0.00 0.00 0.00 0.00 M-5-A 7,100,000.00 7,100,000.00 0.00 0.00 0.00 0.00 M-5-B 4,150,000.00 4,150,000.00 0.00 0.00 0.00 0.00 M-6 11,231,000.00 11,231,000.00 0.00 0.00 0.00 0.00 X 22,500,106.46 22,492,027.66 0.00 0.00 0.00 0.00 P 100.00 100.00 0.00 0.00 0.00 0.00 Totals 899,681,206.46 ~~777~~750,~~910~~733,~~568~~763.9258 0.00 2736,~~176~~101,~~805~~650.3419 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 R 0.00 0.00 0.00000000 0.00 B-IO 0.00 0.00 0.00000000 0.00 A-1 1113,~~311~~786,~~820~~306.6437 ~~228~~214,~~194~~408,~~610~~304.9053 0.~~80068285~~75230984 1113,~~311~~786,~~820~~306.6437 A-2 812,~~676~~179,~~389~~239.6591 ~~191~~179,~~751~~572,~~339~~099.6473 0.~~80398885~~75292285 812,~~676~~179,~~389~~239.6591 A-2-A ~~964~~1,~~043~~353,248.2988 2119,~~305~~952,~~704~~455.4053 0.~~80398885~~75292285 ~~964~~1,~~043~~353,248.2988 A-3 68,~~224~~782,~~551~~855.7603 ~~134~~125,~~008~~226,~~980~~125.9895 0.~~76928232~~71886410 68,~~224~~782,~~551~~855.7603 M-1 0.00 56,250,000.00 1.00000000 0.00 M-2 0.00 47,250,000.00 1.00000000 0.00 M-3 0.00 13,500,000.00 1.00000000 0.00 M-4 0.00 13,500,000.00 1.00000000 0.00 M-5-A 0.00 7,100,000.00 1.00000000 0.00 M-5-B 0.00 4,150,000.00 1.00000000 0.00 M-6 0.00 11,231,000.00 1.00000000 0.00 X 0.00 22,492,027.66 0.99964094 0.00 P 0.00 100.00 1.00000000 0.00 Totals 2736,~~176~~101,~~805~~650.3419 ~~750~~714,~~733~~632,~~763~~113.5840 0.~~83444420~~79431704 2736,~~176~~101,~~805~~650.3419

Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion R 0.00 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 A-1 285,000,000.00 ~~840~~800.~~37344400~~68284526 0.00000000 3948.~~69059874~~37300481 0.00000000 A-2 238,500,000.00 ~~840~~803.~~36783765~~98884545 0.00000000 3651.~~37899224~~06599543 0.00000000 A-2-A 26,500,000.00 ~~840~~803.~~36783774~~98884528 0.00000000 3651.~~37899208~~06599547 0.00000000 A-3 174,200,000.00 ~~805~~769.~~01453927~~28232480 0.00000000 3550.~~73221447~~41822635 0.00000000 M-1 56,250,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-2 47,250,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-3 13,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-4 13,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-5-A 7,100,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-5-B 4,150,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-6 11,231,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 X 22,500,106.46 999.64094392 0.00000000 0.00000000 0.00000000 P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000

Principal Distribution Factors Statement (continued) Total Ending Ending Total Realized Principal Certificate Certificate Principal Class Loss (3) Reduction Balance Percentage Distribution R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 A-1 0.00000000 3948.~~69059874~~37300481 ~~800~~752.~~68284526~~30984046 0.~~80068285~~75230984 3948.~~69059874~~37300481 A-2 0.00000000 3651.~~37899224~~06599543 ~~803~~752.~~98884545~~92285002 0.~~80398885~~75292285 3651.~~37899224~~06599543 A-2-A 0.00000000 3651.~~37899208~~06599547 ~~803~~752.~~98884528~~92285019 0.~~80398885~~75292285 3651.~~37899208~~06599547 A-3 0.00000000 3550.~~73221447~~41822635 ~~769~~718.~~28232480~~86409845 0.~~76928232~~71886410 3550.~~73221447~~41822635 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 M-5-A 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-5-B 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-6 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 X 0.00000000 0.00000000 999.64094392 0.99964094 0.00000000 P 0.00000000 0.00000000 1,000.00000000 1.00000000 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 R 0.00 0.00000% 0.00 0.00 0.00 0.00 B-IO 0.00 0.00000% 0.00 0.00 0.00 0.00 A-1 285,000,000.00 2.~~26750~~51500% ~~239~~228,~~506~~194,~~431~~610.5490 ~~482~~494,~~738~~199.5280 0.00 0.00 A-2 238,500,000.00 2.~~26750~~51500% ~~200~~191,~~427~~751,~~729~~339.2864 ~~403~~415,~~973~~274.2281 0.00 0.00 A-2-A 26,500,000.00 2.~~32250~~57000% 2221,~~269~~305,~~747~~704.7040 4547,~~974~~150.6671 0.00 0.00 A-3 174,200,000.00 2.~~23250~~48000% ~~140~~134,~~233~~008,~~532~~980.7498 ~~278~~286,~~285~~183.6562 0.00 0.00 M-1 56,250,000.00 2.~~48250~~73000% 56,250,000.00 ~~124~~132,~~125~~234.0038 0.00 0.00 M-2 47,250,000.00 3.~~18250~~43000% 47,250,000.00 ~~133~~139,~~665~~558.0013 0.00 0.00 M-3 13,500,000.00 3.~~38250~~63000% 13,500,000.00 4042,~~590~~198.0075 0.00 0.00 M-4 13,500,000.00 3.~~63250~~88000% 13,500,000.00 4345,~~590~~105.00 0.00 0.00 M-5-A 7,100,000.00 34.~~88250~~13000% 7,100,000.00 2425,~~502~~250.8936 0.00 0.00 M-5-B 4,150,000.00 4.~~33250~~58000% 4,150,000.00 1516,~~982~~367.1114 0.00 0.00 M-6 11,231,000.00 5.~~43250~~68000% 11,231,000.00 54,~~233~~932.2507 0.00 0.00 X 22,500,106.46 0.00000% 22,492,027.66 0.00 0.00 0.00 P 100.00 0.00000% 100.00 0.00 0.00 0.00 Totals 899,681,206.46 1,~~647~~698,~~660~~454.3077 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 R 0.00 0.00 0.00 0.00 0.00 B-IO 0.00 0.00 0.00 0.00 0.00 A-1 0.00 0.00 ~~482~~494,~~738~~199.5181 0.00 ~~228~~214,~~194~~408,~~610~~304.9053 A-2 0.00 0.00 ~~403~~415,~~973~~274.2282 0.00 ~~191~~179,~~751~~572,~~339~~099.6473 A-2-A 0.00 0.00 4547,~~974~~150.6671 0.00 2119,~~305~~952,~~704~~455.4053 A-3 0.00 0.00 ~~278~~286,~~285~~183.6563 0.00 ~~134~~125,~~008~~226,~~980~~125.9895 M-1 0.00 0.00 ~~124~~132,~~125~~234.0038 0.00 56,250,000.00 M-2 0.00 0.00 ~~133~~139,~~665~~558.0013 0.00 47,250,000.00 M-3 0.00 0.00 4042,~~590~~198.0075 0.00 13,500,000.00 M-4 0.00 0.00 4345,~~590~~105.00 0.00 13,500,000.00 M-5-A 0.00 0.00 2425,~~502~~250.8936 0.00 7,100,000.00 M-5-B 0.00 0.00 1516,~~982~~367.1114 0.00 4,150,000.00 M-6 0.00 0.00 54,~~233~~932.2507 0.00 11,231,000.00 X 0.00 0.00 2,~~563~~329,~~225~~880.5804 0.00 22,492,027.66 P 0.00 0.00 ~~503~~806,~~718~~736.9567 0.00 100.00 Totals 0.00 0.00 4,~~714~~835,~~604~~071.8251 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 R 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 A-1 285,000,000.00 2.~~26750~~51500% ~~840~~800.~~37344400~~68284526 1.~~69381937~~73403439 0.00000000 0.00000000 A-2 238,500,000.00 2.~~26750~~51500% ~~840~~803.~~36783765~~98884545 1.~~69380805~~74119417 0.00000000 0.00000000 A-2-A 26,500,000.00 2.~~32250~~57000% ~~840~~803.~~36783774~~98884528 1.~~73489283~~77927208 0.00000000 0.00000000 A-3 174,200,000.00 2.~~23250~~48000% ~~805~~769.~~01453927~~28232480 1.~~59750660~~64284512 0.00000000 0.00000000 M-1 56,250,000.00 2.~~48250~~73000% 1000.00000000 2.~~20666667~~35083342 0.00000000 0.00000000 M-2 47,250,000.00 3.~~18250~~43000% 1000.00000000 2.~~82888889~~95361122 0.00000000 0.00000000 M-3 13,500,000.00 3.~~38250~~63000% 1000.00000000 3.~~00666667~~12583333 0.00000000 0.00000000 M-4 13,500,000.00 3.~~63250~~88000% 1000.00000000 3.~~22888889~~34111111 0.00000000 0.00000000 M-5-A 7,100,000.00 34.~~88250~~13000% 1000.00000000 3.~~45111127~~55638873 0.00000000 0.00000000 M-5-B 4,150,000.00 4.~~33250~~58000% 1000.00000000 3.~~85111084~~94388916 0.00000000 0.00000000 M-6 11,231,000.00 5.~~43250~~68000% 1000.00000000 4.~~82888879~~89111121 0.00000000 0.00000000 X 22,500,106.46 0.00000% 999.64094392 0.00000000 0.00000000 0.00000000 P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000 (5) Per $1 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 R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-IO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 A-1 0.00000000 0.00000000 1.~~69381933~~73403442 0.00000000 ~~800~~752.~~68284526~~30984046 A-2 0.00000000 0.00000000 1.~~69380805~~74119421 0.00000000 ~~803~~752.~~98884545~~92285002 A-2-A 0.00000000 0.00000000 1.~~73489283~~77927208 0.00000000 ~~803~~752.~~98884528~~92285019 A-3 0.00000000 0.00000000 1.~~59750660~~64284518 0.00000000 ~~769~~718.~~28232480~~86409845 M-1 0.00000000 0.00000000 2.~~20666667~~35083342 0.00000000 1000.00000000 M-2 0.00000000 0.00000000 2.~~82888889~~95361122 0.00000000 1000.00000000 M-3 0.00000000 0.00000000 3.~~00666667~~12583333 0.00000000 1000.00000000 M-4 0.00000000 0.00000000 3.~~22888889~~34111111 0.00000000 1000.00000000 M-5-A 0.00000000 0.00000000 3.~~45111127~~55638873 0.00000000 1000.00000000 M-5-B 0.00000000 0.00000000 3.~~85111084~~94388916 0.00000000 1000.00000000 M-6 0.00000000 0.00000000 4.~~82888879~~89111121 0.00000000 1000.00000000 X 0.00000000 0.00000000 ~~113~~103.~~92059787~~54973405 0.00000000 999.64094392 P 0.00000000 0.00000000 ~~5037189~~8067366.~~50000000~~70000000 0.00000000 1000.00000000 (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 3140,~~677~~511,~~254~~857.8340 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) ~~272~~252,~~961~~274.9794 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0(31,604.0047) Prepayment Penalties ~~503~~806,~~718~~736.9567 Total Deposits 3241,~~453~~539,~~935~~264.7554 Withdrawals Reimbursement for Servicer Advances ~~221~~272,~~204~~961.0097 Payment of Service Fee ~~341~~329,~~321~~580.5987 Payment of Interest and Principal 3140,~~891~~936,~~410~~721.1670 Total Withdrawals (Pool Distribution Amount) 3241,~~453~~539,~~935~~264.7554 Ending Balance 0.00

SERVICING FEES Gross Servicing Fee ~~324~~312,~~129~~805.3564 Strip Amount 1716,~~192~~775.2423 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee ~~341~~329,~~321~~580.5987

LOAN STATUS STRATIFICATION/CREDIT ENHANCEMENT STATEMENT DELINQUENCY STATUS 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 25 10 0 2625 4,~~032~~047,~~276~~025.7390 ~~59,528~~0.9900 0.00 4,~~091~~047,~~805~~025.7290 30 Days ~~131~~113 1 0 0 ~~132~~114 1916,~~807~~924,~~052~~206.3504 ~~265~~99,~~875~~279.9045 0.00 0.00 2017,~~072~~023,~~928~~485.2549 60 Days 3732 30 60 0 4632 64,~~008~~659,~~394~~213.4936 ~~235,013~~0.1700 ~~1,045,178~~0.7400 0.00 74,~~288~~659,~~586~~213.4036 90 Days 523 40 200 0 2923 ~~596~~4,~~183~~438,482.2591 ~~377,773~~0.6600 ~~3,068,131~~0.2800 0.00 4,~~042~~438,~~088~~482.1991 120 Days 527 30 180 10 27 14,~~096~~331,~~696~~217.8456 ~~634,954~~0.3700 ~~3,005,246~~0.9300 ~~87,949~~0.4200 4,~~824~~331,~~847~~217.56 150 Days 20 0 10 90 220 123,096,467.97 0.00 ~~50,769~~0.5100 ~~1,219,820~~0.9200 ~~210~~3,~~841.46 1~~096,~~481,431~~467.8997 180+ Days 331 20 130 20 2031 ~~268~~4,~~466~~441,374.0593 ~~157,104~~0.5900 ~~1,740,165~~0.4700 ~~706,612~~0.3300 24,~~872~~441,~~348~~374.4493 Totals ~~181~~246 3926 670 50 ~~292~~272 2737,~~776~~890,~~792~~962.9877 54,~~753~~146,~~767~~305.9335 ~~10,138,072~~0.3300 ~~1,005,403~~0.2100 4442,~~674~~037,~~036~~268.4512 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 0.~~543715~~565227% 0.~~021749~~000000% 0.000000% 0.~~565463~~565227% 0.~~537111~~566309% 0.~~007929~~000000% 0.000000% 0.~~545041~~566309% 30 Days 2.~~849065~~554827% 0.~~021749~~022609% 0.000000% 0.000000% 2.~~870813~~577436% 2.~~638359~~368240% 0.~~035415~~013892% 0.000000% 0.000000% 2.~~673775~~382133% 60 Days 0.~~804698~~723491% 0.~~065246~~000000% 0.~~130492~~000000% 0.000000% 10.~~000435~~723491% 0.~~800336~~651974% 0.~~031304~~000000% 0.~~139221~~000000% 0.000000% 0.~~970862~~651974% 90 Days 0.~~108743~~520009% 0.~~086994~~000000% 0.~~434972~~000000% 0.000000% 0.~~630709~~520009% 0.~~079413~~621086% 0.~~050321~~000000% 0.~~408684~~000000% 0.000000% 0.~~538418~~621086% 120 Days 0.~~108743~~610445% 0.~~065246~~000000% 0.~~391475~~000000% 0.~~021749~~000000% 0.~~587212~~610445% 0.~~146083~~606077% 0.~~084578~~000000% 0.~~400308~~000000% 0.~~011715~~000000% 0.~~642684~~606077% 150 Days 0.~~000000~~452182% 0.~~021749~~000000% 0.~~195737~~000000% 0.~~043497~~000000% 0.~~260983~~452182% 0.~~000000~~433295% 0.~~006763~~000000% 0.~~162484~~000000% 0.~~028085~~000000% 0.~~197331~~433295% 180+ Days 0.~~065246~~700882% 0.~~043497~~000000% 0.~~282732~~000000% 0.~~043497~~000000% 0.~~434972~~700882% 0.~~035760~~621491% 0.~~020927~~000000% 0.~~231795~~000000% 0.~~094123~~000000% 0.~~382605~~621491% Totals 35.~~936494~~561836% 0.~~848195~~587836% 10.~~457155~~000000% 0.~~108743~~000000% 6.~~350587~~149672% 35.~~699953~~302163% 0.~~766419~~580201% 10.~~350422~~000000% 0.~~133923~~000000% 5.~~950716~~882365%

Delinquency Status By Groups DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp 1 Fixed 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 12 10 0 2 55166,~~046~~071.9721 ~~59,528~~0.9900 0.00 ~~114~~166,~~575~~071.9621 30 Days 84 0 0 0 84 ~~902~~340,~~386~~242.7999 0.00 0.00 0.00 ~~902~~340,~~386~~242.7999 60 Days 34 10 10 0 54 ~~381~~444,~~049~~777.2691 ~~109,834~~0.9000 ~~111,701~~0.4500 0.00 ~~602~~444,~~585~~777.6191 90 Days 3 0 0 2 0 23 276,472.03 0.00 0.00 ~~151,842.12~~ 0.00 ~~151~~276,~~842~~472.1203 120 Days 1 0 0 3 0 31 83,607.42 0.00 0.00 ~~333,806.40~~ 0.00 ~~333~~83,~~806~~607.4042 150 Days 3 0 0 20 1 3 333,464.84 0.00 0.00 ~~348,178~~0.3100 69333,~~555~~464.7484 ~~417,734.05~~ 180 Days 5 0 10 1 0 25 518,023.46 0.00 ~~58,717~~0.3900 ~~42,012.96~~ 0.00 ~~100~~518,~~730~~023.3546 Totals 1120 32 100 10 2522 1,~~283~~996,~~436~~588.0565 ~~223~~166,~~599~~071.2621 ~~1,047,070~~0.2300 ~~69,555~~0.7400 2,~~623~~162,~~661~~659.2886 0-29 Days 0.~~155280~~317460% 0.~~155280~~000000% 0.000000% 0.~~310559~~317460% 0.~~065217~~202771% 0.~~070527~~000000% 0.000000% 0.~~135744~~202771% 30 Days 10.~~242236~~634921% 0.000000% 0.000000% 0.000000% 10.~~242236~~634921% 10.~~069105~~415432% 0.000000% 0.000000% 0.000000% 10.~~069105~~415432% 60 Days 0.~~465839~~634921% 0.~~155280~~000000% 0.~~155280~~000000% 0.000000% 0.~~776398~~634921% 0.~~451449~~543068% 0.~~130127~~000000% 0.~~132339~~000000% 0.000000% 0.~~713915~~543068% 90 Days 0.~~000000~~476190% 0.000000% 0.~~310559~~000000% 0.000000% 0.~~310559~~476190% 0.~~000000~~337569% 0.000000% 0.~~179895~~000000% 0.000000% 0.~~179895~~337569% 120 Days 0.~~000000~~158730% 0.000000% 0.~~465839~~000000% 0.000000% 0.~~465839~~158730% 0.~~000000~~102084% 0.000000% 0.~~395478~~000000% 0.000000% 0.~~395478~~102084% 150 Days 0.~~000000~~476190% 0.000000% 0.~~310559~~000000% 0.~~155280~~000000% 0.~~465839~~476190% 0.~~000000~~407156% 0.000000% 0.~~412505~~000000% 0.~~082406~~000000% 0.~~494912~~407156% 180 Days 0.~~000000~~793651% 0.~~155280~~000000% 0.~~155280~~000000% 0.000000% 0.~~310559~~793651% 0.~~000000~~632500% 0.~~069566~~000000% 0.~~049775~~000000% 0.000000% 0.~~119341~~632500% Totals 13.~~708075~~174603% 0.~~465839~~317460% 10.~~552795~~000000% 0.~~155280~~000000% 3.~~881988~~492063% 12.~~520555~~437808% 0.~~264910~~202771% 10.~~240520~~000000% 0.~~082406~~000000% 32.~~108391~~640579% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp 1 ARM 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 9 0 0 9 1,~~306~~305,~~598~~561.3033 0.00 0.00 1,~~306~~305,~~598~~561.3033 30 Days 4341 1 0 0 4442 65,~~114~~237,~~701~~522.7808 ~~265~~99,~~875~~279.9045 0.00 0.00 65,~~380~~336,~~577~~801.6853 60 Days 9 0 20 0 119 1,~~230~~216,~~306~~418.9205 0.00 ~~249,691~~0.6400 0.00 1,~~479~~216,~~998~~418.5605 90 Days 25 10 50 0 85 ~~338~~959,~~365~~344.4832 ~~49,855~~0.3400 ~~549,935~~0.8200 0.00 ~~938~~959,~~156~~344.6432 120 Days 16 10 60 0 86 ~~104~~790,~~935~~058.0820 ~~200,308~~0.4600 ~~755,430~~0.1900 0.00 1790,~~060,673~~058.7320 150 Days 6 0 0 5 0 56 657,421.24 0.00 0.00 ~~780,489.23~~ 0.00 ~~780~~657,~~489~~421.2324 180 Days 110 10 40 0 610 ~~198~~1,~~304~~279,988.9778 ~~98,387~~0.2000 ~~402,076~~0.2900 0.00 ~~698~~1,~~768~~279,988.4678 Totals 5677 1310 220 0 9187 710,~~986~~140,~~614~~752.2367 1,~~921~~404,~~025~~840.2078 ~~2,737,623~~0.1700 0.00 1211,~~645~~545,~~262~~593.6045 0-29 Days 0.~~672143~~702576% 0.000000% 0.000000% 0.~~672143~~702576% 0.~~613822~~647622% 0.000000% 0.000000% 0.~~613822~~647622% 30 Days 3.~~211352~~200625% 0.~~074683~~078064% 0.000000% 0.000000% 3.~~286034~~278689% 2.~~872604~~598064% 0.~~124905~~049247% 0.000000% 0.000000% 2.~~997509~~647312% 60 Days 0.~~672143~~702576% 0.000000% 0.~~149365~~000000% 0.000000% 0.~~821509~~702576% 0.~~577982~~603402% 0.000000% 0.~~117302~~000000% 0.000000% 0.~~695283~~603402% 90 Days 0.~~149365~~390320% 0.~~074683~~000000% 0.~~373413~~000000% 0.000000% 0.~~597461~~390320% 0.~~158960~~475881% 0.~~023421~~000000% 0.~~258352~~000000% 0.000000% 0.~~440733~~475881% 120 Days 0.~~074683~~468384% 0.~~074683~~000000% 0.~~448096~~000000% 0.000000% 0.~~597461~~468384% 0.~~049297~~391907% 0.~~094102~~000000% 0.~~354891~~000000% 0.000000% 0.~~498290~~391907% 150 Days 0.~~000000~~468384% 0.000000% 0.~~373413~~000000% 0.000000% 0.~~373413~~468384% 0.~~000000~~326113% 0.000000% 0.~~366663~~000000% 0.000000% 0.~~366663~~326113% 180 Days 0.~~074683~~780640% 0.~~074683~~000000% 0.~~298730~~000000% 0.000000% 0.~~448096~~780640% 0.~~093161~~634936% 0.~~046221~~000000% 0.~~188890~~000000% 0.000000% 0.~~328272~~634936% Totals 46.~~182226~~010929% 0.~~970874~~780640% 10.~~643017~~000000% 0.000000% 6.~~796117~~791569% 35.~~752003~~030304% 0.~~902472~~696869% 10.~~286098~~000000% 0.000000% 5.~~940573~~727173% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp 2 Fixed 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 2 554,~~650~~065.5221 0.00 0.00 554,~~650~~065.5221 30 Days 145 0 0 0 145 1375,~~691,906~~466.1105 0.00 0.00 0.00 1375,~~691,906~~466.1105 60 Days 12 10 0 0 2 ~~194~~147,~~696~~123.7685 ~~53,554~~0.4500 0.00 0.00 ~~248~~147,~~251~~123.2185 90 Days 12 0 10 0 2 92248,~~096~~054.3269 0.00 ~~40,271~~0.0900 0.00 ~~132~~248,~~367~~054.4169 120 Days 12 0 10 0 2 ~~138~~132,~~954~~343.6856 0.00 ~~61,706~~0.0300 0.00 ~~200~~132,~~660~~343.7156 150 Days 2 0 1 0 0 12 112,266.33 0.00 ~~50,769.51~~ 0.00 0.00 50112,~~769~~266.5133 180 Days 1 0 0 1 0 1 105,587.02 0.00 0.00 ~~105,649.57~~ 0.00 105,~~649~~587.5702 Totals 1714 42 30 0 2416 21,~~117~~120,~~653~~841.8750 ~~658~~554,~~974~~065.4821 ~~207,626~~0.6900 0.00 21,~~984~~674,~~255~~906.0471 0-29 Days 0.~~346620~~352734% 0.000000% 0.000000% 0.~~346620~~352734% 0.~~694301~~709390% 0.000000% 0.000000% 0.~~694301~~709390% 30 Days 20.~~426343~~881834% 0.000000% 0.000000% 0.000000% 20.~~426343~~881834% 20.~~117895~~480723% 0.000000% 0.000000% 0.000000% 20.~~117895~~480723% 60 Days 0.~~173310~~352734% 0.~~173310~~000000% 0.000000% 0.000000% 0.~~346620~~352734% 0.~~243718~~188368% 0.~~067038~~000000% 0.000000% 0.000000% 0.~~310756~~188368% 90 Days 0.~~173310~~352734% 0.000000% 0.~~173310~~000000% 0.000000% 0.~~346620~~352734% 0.~~115284~~317593% 0.000000% 0.~~050411~~000000% 0.000000% 0.~~165695~~317593% 120 Days 0.~~173310~~352734% 0.000000% 0.~~173310~~000000% 0.000000% 0.~~346620~~352734% 0.~~173941~~169444% 0.000000% 0.~~077242~~000000% 0.000000% 0.~~251183~~169444% 150 Days 0.~~000000~~352734% 0.~~173310~~000000% 0.000000% 0.000000% 0.~~173310~~352734% 0.~~000000~~143739% 0.~~063552~~000000% 0.000000% 0.000000% 0.~~063552~~143739% 180 Days 0.~~000000~~176367% 0.000000% 0.~~173310~~000000% 0.000000% 0.~~173310~~176367% 0.~~000000~~135187% 0.000000% 0.~~132250~~000000% 0.000000% 0.~~132250~~135187% Totals 2.~~946274~~469136% 0.~~693241~~352734% 0.~~519931~~000000% 0.000000% 42.~~159445~~821869% 21.~~650838~~435054% 0.~~824891~~709390% 0.~~259903~~000000% 0.000000% 32.~~735632~~144443% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp 2 ARM 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 98 0 0 98 1,~~673~~579,~~784~~405.8191 0.00 0.00 1,~~673~~579,~~784~~405.8191 30 Days 4035 0 0 0 4035 65,~~503~~628,~~865~~031.6236 0.00 0.00 0.00 65,~~503~~628,~~865~~031.6236 60 Days 1711 10 20 0 2011 21,~~871~~523,~~007~~953.9284 ~~71,623~~0.8200 ~~347,247~~0.6300 0.00 31,~~289~~523,~~879~~953.3784 90 Days 19 0 70 0 89 801,~~977~~796,045.7872 0.00 ~~1,268,044~~0.8200 0.00 1,~~349~~796,~~022~~045.6072 120 Days 18 10 40 10 78 ~~236~~1,~~725~~512,073.6900 ~~90,762~~0.3800 ~~719,778~~0.7000 ~~87,949~~0.4200 1,~~135~~512,~~216~~073.1900 150 Days 5 0 0 10 15 2851,053.39 0.00 0.00 ~~56,060~~0.5000 ~~141~~851,~~285~~053.7239 ~~197,346.22~~ 180 Days 7 0 0 40 17 5852,780.67 0.00 0.00 ~~373,212~~0.4600 ~~286~~852,~~837~~780.8067 ~~660,050.26~~ Totals 5975 118 180 30 9183 912,~~692~~163,~~577~~937.0198 1,~~836~~579,~~171~~405.0191 ~~2,764,344~~0.1100 ~~516,072~~0.9400 1413,~~809~~743,~~165~~343.0789 0-29 Days 0.~~769889~~720721% 0.000000% 0.000000% 0.~~769889~~720721% 0.~~849789~~852692% 0.000000% 0.000000% 0.~~849789~~852692% 30 Days 3.~~421728~~153153% 0.000000% 0.000000% 0.000000% 3.~~421728~~153153% 3.~~302044~~038469% 0.000000% 0.000000% 0.000000% 3.~~302044~~038469% 60 Days 10.~~454234~~990991% 0.~~085543~~000000% 0.~~171086~~000000% 0.000000% 10.~~710864~~990991% 10.~~457625~~822754% 0.~~036364~~000000% 0.~~176299~~000000% 0.000000% 10.~~670288~~822754% 90 Days 0.~~085543~~810811% 0.000000% 0.~~598802~~000000% 0.000000% 0.~~684346~~810811% 0.~~041113~~969652% 0.000000% 0.~~643793~~000000% 0.000000% 0.~~684905~~969652% 120 Days 0.~~085543~~720721% 0.~~085543~~000000% 0.~~342173~~000000% 0.~~085543~~000000% 0.~~598802~~720721% 0.~~120187~~816340% 0.~~046081~~000000% 0.~~365435~~000000% 0.~~044652~~000000% 0.~~576355~~816340% 150 Days 0.~~000000~~450450% 0.000000% 0.~~085543~~000000% 0.~~085543~~000000% 0.~~171086~~450450% 0.~~000000~~459468% 0.000000% 0.~~028462~~000000% 0.~~071731~~000000% 0.~~100194~~459468% 180 Days 0.~~000000~~630631% 0.000000% 0.~~342173~~000000% 0.~~085543~~000000% 0.~~427716~~630631% 0.~~000000~~460400% 0.000000% 0.~~189482~~000000% 0.~~145629~~000000% 0.~~335111~~460400% Totals 56.~~047049~~756757% 0.~~940975~~720721% 10.~~539778~~000000% 0.~~256630~~000000% 7.~~784431~~477477% 46.~~920969~~567083% 0.~~932233~~852692% 10.~~403471~~000000% 0.~~262013~~000000% 7.~~518685~~419775% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp 3 Fixed 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 0 0 0 0 0.00 0.00 0.00 0.00 30 Days 76 0 0 0 76 ~~724~~407,~~378~~981.2478 0.00 0.00 0.00 ~~724~~407,~~378~~981.2478 60 Days 13 0 0 0 13 ~~347~~591,~~328~~382.1106 0.00 0.00 0.00 ~~347~~591,~~328~~382.1106 90 Days 1 10 10 0 31 84347,~~743~~051.6765 ~~45,439~~0.8000 ~~46,543~~0.0600 0.00 ~~176~~347,~~726~~051.5365 120 Days 03 0 0 0 03 0176,641.0082 0.00 0.00 0.00 0176,641.0082 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 2 0 0 0 2 70140,~~161~~025.0883 0.00 0.00 0.00 70140,~~161~~025.0883 Totals 1115 10 10 0 1315 1,~~226~~663,~~611~~083.1014 ~~45,439~~0.8000 ~~46,543~~0.0600 0.00 1,~~318~~663,~~593~~083.9614 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 21.~~215190~~967213% 0.000000% 0.000000% 0.000000% 21.~~215190~~967213% 10.~~634784~~942401% 0.000000% 0.000000% 0.000000% 10.~~634784~~942401% 60 Days 0.~~316456~~983607% 0.000000% 0.000000% 0.000000% 0.~~316456~~983607% 01.~~783854~~366038% 0.000000% 0.000000% 0.000000% 01.~~783854~~366038% 90 Days 0.~~316456~~327869% 0.~~316456~~000000% 0.~~316456~~000000% 0.000000% 0.~~949367~~327869% 0.~~191250~~801658% 0.~~102549~~000000% 0.~~105039~~000000% 0.000000% 0.~~398838~~801658% 120 Days 0.~~000000~~983607% 0.000000% 0.000000% 0.000000% 0.~~000000~~983607% 0.~~000000~~408026% 0.000000% 0.000000% 0.000000% 0.~~000000~~408026% 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.~~632911~~655738% 0.000000% 0.000000% 0.000000% 0.~~632911~~655738% 0.~~158340~~323447% 0.000000% 0.000000% 0.000000% 0.~~158340~~323447% Totals 34.~~481013~~918033% 0.~~316456~~000000% 0.~~316456~~000000% 0.000000% 4.~~113924~~918033% 23.~~768229~~841570% 0.~~102549~~000000% 0.~~105039~~000000% 0.000000% 23.~~975817~~841570% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp 3 ARM 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 4 0 0 4 ~~442~~441,~~196~~922.1324 0.00 0.00 ~~442~~441,~~196~~922.1324 30 Days 1922 0 0 0 1922 34,~~869~~934,~~813~~961.8178 0.00 0.00 0.00 34,~~869~~934,~~813~~961.8178 60 Days 63 0 10 0 73 ~~984~~735,~~005~~557.5265 0.00 ~~336,538~~0.0200 0.00 1735,~~320,543~~557.5465 90 Days 3 0 20 4 0 63 811,514.50 0.00 ~~282,478~~0.5200 ~~1,011,494.37~~ 0.00 1811,~~293,972~~514.8950 120 Days 27 10 40 0 7 ~~616~~1,~~081~~636,493.3956 ~~343,883~~0.5300 ~~1,134,525~~0.6100 0.00 21,~~094~~636,~~490~~493.5356 150 Days 4 0 0 1 0 4 1,142,262.17 0.00 0.00 ~~35,092.88~~ 0.00 351,~~092~~142,262.8817 180 Days 6 0 0 30 6 1,544,969.17 4 0.00 0.00 ~~817,214~~0.1900 ~~419,774.53~~ 1,~~236~~544,~~988~~969.7217 Totals 2745 74 130 10 4849 510,~~469~~805,~~900~~758.7283 1441,~~068,558~~922.1824 ~~3,334,865~~0.0700 ~~419,774~~0.5300 1011,~~293~~247,~~098~~681.5007 0-29 Days 0.~~723327~~754717% 0.000000% 0.000000% 0.~~723327~~754717% 0.~~334227~~354913% 0.000000% 0.000000% 0.~~334227~~354913% 30 Days 34.~~435805~~150943% 0.000000% 0.000000% 0.000000% 34.~~435805~~150943% 23.~~924942~~963324% 0.000000% 0.000000% 0.000000% 23.~~924942~~963324% 60 Days 10.~~084991~~566038% 0.000000% 0.~~180832~~000000% 0.000000% 10.~~265823~~566038% 0.~~743746~~590735% 0.000000% 0.~~254367~~000000% 0.000000% 0.~~998114~~590735% 90 Days 0.~~000000~~566038% 0.~~361664~~000000% 0.~~723327~~000000% 0.000000% 10.~~084991~~566038% 0.~~000000~~651736% 0.~~213507~~000000% 0.~~764523~~000000% 0.000000% 0.~~978030~~651736% 120 Days 01.~~361664~~320755% 0.~~180832~~000000% 0.~~723327~~000000% 0.000000% 1.~~265823~~320755% 01.~~465656~~314287% 0.~~259919~~000000% 0.~~857515~~000000% 0.000000% 1.~~583090~~314287% 150 Days 0.~~000000~~754717% 0.000000% 0.~~180832~~000000% 0.000000% 0.~~180832~~754717% 0.~~000000~~917364% 0.000000% 0.~~026524~~000000% 0.000000% 0.~~026524~~917364% 180 Days 01.~~000000~~132075% 0.000000% 0.~~542495~~000000% 0.~~180832~~000000% 01.~~723327~~132075% 01.~~000000~~240782% 0.000000% 0.~~617679~~000000% 0.~~317280~~000000% 01.~~934960~~240782% Totals 48.~~882459~~490566% 10.~~265823~~754717% 20.~~350814~~000000% 0.~~180832~~000000% 89.~~679928~~245283% 48.~~134344~~678227% 0.~~807654~~354913% 20.~~520609~~000000% 0.~~317280~~000000% 79.~~779888~~033140%

OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance ~~272~~252,~~961~~274.9794

COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Gross Coupon 7.~~022207~~016368% Weighted Average Net Coupon 6.~~522207~~516368% Weighted Average Pass-Through Rate 6.~~495686~~489554% Weighted Average Maturity(Stepdown Calculation ) ~~344~~343 Beginning Scheduled Collateral Loan Count 4,~~740~~598 Number Of Loans Paid In Full ~~142~~175 Ending Scheduled Collateral Loan Count 4,~~598~~423 Beginning Scheduled Collateral Balance ~~777~~750,~~910~~733,~~568~~763.9258 Ending Scheduled Collateral Balance ~~750~~714,~~733~~632,~~763~~113.5840 Ending Actual Collateral Balance at 3130-~~Oct~~Nov-2004 ~~750~~714,~~733~~632,~~763~~113.5840 Monthly P &I Constant 5,~~300~~119,~~578~~677.6005 Special Servicing Fee 0.00 Prepayment Penalties ~~503~~806,~~718~~736.9567 Realized Loss Amount 031,604.0047 Cumulative Realized Loss 031,604.0047 Ending Scheduled Balance for Premium Loans ~~750~~714,~~733~~632,~~763~~113.5840 Scheduled Principal ~~748~~730,~~371~~035.0912 Unscheduled Principal 2635,~~428~~371,~~434~~615.2506

Miscellaneous Reporting Credit Enhancement Percentage 2324.~~373536~~554316% Net WAC Rate 6.~~114569~~489554% Overcollateralized Amt 22,492,027.66 Overcollateralization Deficiency 031,604.0047 Overcollateralization Increase 031,604.0047 Overcollateralization Release 0.00 Overcollateralization Target 22,492,027.66 Net Monthly Excess Cash Amount 2,~~563~~361,~~225~~484.62 Payment under CAP Agreement 0.00 Has Stepdown Date Occurred NO In Trigger Event NO A1 PTR (excl CAP) for Next Distribution 2.~~515000~~752500% A2 PTR (excl CAP) for Next Distribution 2.~~515000~~752500% A2A PTR (excl CAP) for Next Distribution 2.~~570000~~807500% A3 PTR (excl CAP) for Next Distribution 2.~~480000~~717500% M1 PTR (excl CAP) for Next Distribution 2.~~730000~~967500% M2 PTR (excl CAP) for Next Distribution 3.~~430000~~667500% M3 PTR (excl CAP) for Next Distribution 3.~~630000~~867500% M4 PTR (excl CAP) for Next Distribution 34.~~880000~~117500% M5A PTR (excl CAP) for Next Distribution 4.~~130000~~367500% M5B PTR (excl CAP) for Next Distribution 4.~~580000~~817500% M6 PTR (excl CAP) for Next Distribution 5.~~680000~~917500%

Group Level Collateral Statement Group Grp 1 Fixed Grp 1 ARM Grp 2 Fixed Collateral Description Mixed Fixed Mixed ARM Mixed Fixed Weighted Average Coupon Rate 7.~~105950~~097035 7.~~034269~~029576 7.~~099090~~092795 Weighted Average Net Rate 6.~~605950~~597035 6.~~534269~~529576 6.~~599090~~592795 Weighted Average Maturity ~~344~~343 343 344 ~~345~~ Beginning Loan Count ~~656~~644 1,~~391~~339 ~~589~~577 Loans Paid In Full 1214 5258 1210 Ending Loan Count ~~644~~630 1,~~339~~281 ~~577~~567 Beginning Scheduled Balance 8684,~~315~~405,~~748~~778.8727 ~~222~~212,~~264~~862,~~531~~681.6056 8179,~~503~~886,~~433~~213.9060 Ending scheduled Balance 8481,~~405~~900,~~778~~978.2732 ~~212~~201,~~862~~593,~~681~~244.5609 7978,~~886~~104,~~213~~503.6002 Record Date 1011/3130/2004 1011/3130/2004 1011/3130/2004 Principal And Interest Constant ~~613~~600,~~911~~976.1338 1,~~497~~434,~~630~~911.7510 ~~577~~566,~~090~~303.6154 Scheduled Principal ~~102~~101,~~781~~784.6508 ~~194~~187,~~740~~965.3071 94,~~923~~123.7409 Unscheduled Principal 12,~~807~~403,~~188~~015.9587 911,~~207~~081,~~109~~471.7476 1,~~522~~687,~~296~~587.5649 Scheduled Interest ~~511~~499,~~129~~192.4830 1,~~302~~246,~~890~~945.4539 ~~482~~472,~~166~~180.8745 Servicing Fees 35,~~964~~169.8908 9288,~~610~~692.2378 33,~~959~~285.7693 Master Servicing Fees 0.00 0.00 0.00 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 0.00 0.00 0.00 Pool Insurance Fee 0.00 0.00 0.00 Spread Fee 1 0.00 0.00 0.00 Spread Fee 2 0.00 0.00 0.00 Spread Fee 3 0.00 0.00 0.00 Net Interest ~~475~~464,~~164~~023.5922 1,~~210~~158,~~280~~252.2261 ~~448~~438,~~207~~894.1152 Realized Loss Amount 0.00 0.00 0.00 Cumulative Realized Loss 0.00 0.00 0.00 Percentage of Cumulative Losses 0.0000 0.0000 0.0000 Prepayment Penalties 0.00 0.00 0.00 Special Servicing Fee 0.00 0.00 0.00 Pass-Through Rate 6.~~605950~~597035 6.~~534269~~529576 6.~~599090~~592795

Group Level Collateral Statement Group Grp 2 ARM Grp 3 Fixed Grp 3 ARM Collateral Description Mixed ARM Mixed Fixed Mixed ARM Weighted Average Coupon Rate 7.~~079083~~068681 7.~~215605~~172715 6.~~758096~~768368 Weighted Average Net Rate 6.~~579083~~568681 6.~~715605~~672715 6.~~258096~~268368 Weighted Average Maturity ~~345~~ 344 ~~344~~343 343 Beginning Loan Count 1,~~208~~169 ~~323~~316 ~~573~~553 Loans Paid In Full 3959 711 2023 Ending Loan Count 1,~~169~~110 ~~316~~305 ~~553~~530 Beginning Scheduled Balance ~~204~~196,~~988~~964,~~037~~824.0339 44,~~710~~310,~~080~~321.7521 ~~138~~132,~~128~~303,~~736~~944.7755 Ending scheduled Balance ~~196~~185,~~964~~225,~~824~~892.3993 4443,~~310~~291,~~321~~758.2101 ~~132~~124,~~303~~515,~~944~~737.5503 Record Date 1011/3130/2004 1011/3130/2004 1011/3130/2004 Principal And Interest Constant 1,~~387~~333,~~348~~423.9807 ~~319~~315,~~710~~585.9178 ~~904~~868,~~886~~477.2218 Scheduled Principal ~~178~~173,~~076~~188.2653 50,~~869~~731.0037 ~~126~~122,~~980~~242.1434 Unscheduled Principal 711,~~845~~565,~~136~~742.3893 ~~348~~967,~~890~~831.5483 57,~~697~~665,~~812~~965.0818 Scheduled Interest 1,~~209~~160,~~272~~234.7254 ~~268~~264,~~841~~854.9141 ~~777~~746,~~906~~234.0884 Servicing Fees 8582,~~411~~068.7067 18,~~629~~462.2063 5755,~~553~~126.6364 Master Servicing Fees 0.00 0.00 0.00 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 0.00 0.00 0.00 Pool Insurance Fee 0.00 0.00 0.00 Spread Fee 1 0.00 0.00 0.00 Spread Fee 2 0.00 0.00 0.00 Spread Fee 3 0.00 0.00 0.00 Net Interest 1,~~123~~078,~~861~~165.0287 ~~250~~246,~~212~~391.7178 ~~720~~691,~~352~~108.4520 Realized Loss Amount 0.00 031,604.0047 0.00 Cumulative Realized Loss 0.00 031,604.0047 0.00 Percentage of Cumulative Losses 0.0000 0.~~0000~~0671 0.0000 Prepayment Penalties 0.00 0.00 0.00 Special Servicing Fee 0.00 0.00 0.00 Pass-Through Rate 6.~~579083~~568681 6.~~715605~~672715 6.~~258096~~268368

Group Level Collateral Statement Group Total Collateral Description Mixed Fixed & Arm Weighted Average Coupon Rate 7.~~022207~~016368 Weighted Average Net Rate 6.~~522207~~516368 Weighted Average Maturity ~~344~~343.00 Record Date 1011/3130/2004 Principal And Interest Constant 5,~~300~~119,~~578~~677.6005 Beginning Loan Count 4,~~740~~598 Loans Paid In Full ~~142~~175 Ending Loan Count 4,~~598~~423 Beginning Scheduled Balance ~~777~~750,~~910~~733,~~568~~763.9258 Ending Scheduled Balance ~~750~~714,~~733~~632,~~763~~113.5840 Scheduled Principal ~~748~~730,~~371~~035.0912 Unscheduled Principal 2635,~~428~~371,~~434~~615.2506 Scheduled Interest 4,~~552~~389,~~207~~641.5193 Servicing Fee ~~324~~312,~~129~~805.4173 Master Servicing Fee 0.00 Trustee Fee 0.00 Fry Amount 0.00 Special Hazard Fee 0.00 Other Fee 0.00 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 4,~~228~~076,~~078~~836.1020 Realized Loss Amount 031,604.0047 Cumulative Realized Loss 031,604.0047 Percentage of Cumulative Losses 0.~~0000~~0035 Prepayment Penalties 0.00 Special Servicing Fee 0.00 Pass-Through Rate 6.~~495686~~489554

Filing Compare · ASSET BACKED SEC CORP ASSET BACK PASS-THR CERTS SER 2004-HE2