10-D 1 final_2008-01.txt 1 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-D ASSET-BACKED ISSUER DISTRIBUTION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the monthly distribution period from November 1, 2008 to November 30, 2008 Commission File Number of issuing entity: 333-145532-02 ----------------- CITICORP MORTGAGE SECURITIES TRUST, SERIES 2008-01 ------------------------------------------------------------------------ (Exact name of issuing entity as specified in its charter) Commission File Number of depositor: 333-145532 ---------------------- CITICORP MORTGAGE SECURITIES, INC. ------------------------------------------------------------------------ (Exact name of depositor as specified in its charter) CITIMORTGAGE, INC. ------------------------------------------------------------------------- (Exact name of sponsor as specified in its charter) New York ----------------------------------------------------------------------------- (State or other jurisdiction of incorporation or organization of the issuing entity) 41-2270392 and 41-2270390 ---------------------------------------------------------------------------- (I.R.S. Employer Identification No.) 1000 Technology Drive, O'Fallon, Missouri 63368-2240 ---------------------------------------- ---------- (Address of principal executive offices of the issuing entity) (Zip Code) (636) 261-1300 ------------------------------------------------------------------------- (Telephone number, including area code) -------------------------------------------------------------------------- (Former name, former address. if changed since last report.) Registered/reporting pursuant to (check one) Title Name of exchange of Class Section 12(b) Section 12(g) Section 15(d) (if Section 12(b)) Class IIA-1 { } { } {X} _____________ Class IIA-IO { } { } {X} _____________ Class IA-1 { } { } {X} _____________ Class IA-2 { } { } {X} _____________ Class IA-IO { } { } {X} _____________ Class A-PO { } { } {X} _____________ Class B-1 { } { } {X} _____________ Class B-2 { } { } {X} _____________ Class B-3 { } { } {X} _____________ Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes{X} No{ } 1 2 Part I - DISTRIBUTION INFORMATION Item 1. Distribution and Pool Performance Information On December 26, 2008 a distribution was made to holders of Citicorp Mortgage Securities, Inc. REMIC Pass-Through Certificates, Series 2008-01 issued by Citicorp Mortgage Securities Trust, Series 2008-01. The monthly distribution report is attached as an Exhibit to this Form 10-D. Please see Item 9(b), Exhibit 99.1. Part II - OTHER INFORMATION Item 7. Significant Enhancement Provider Information Not Applicable. Item 9. Exhibits (a) The following are documents filed as part of this Form 10-D: (99.1) Monthly distribution report for the month of November 2008. (b) Exhibits required to be filed by Form 10-D and Item 601 of Regulation S-K: (4.1) Pooling and Servicing Agreement, dated as of February 01, 2008, among Citicorp Mortgage Securities, Inc., CitiMortgage, Inc., U.S. Bank National Association, and Citibank, N.A. (incorporated by reference to Exhibit 4.1 to the Current Report on Form 8-K filed by the issuing entity with the Securities and Exchange Commission on March 05, 2008.) (10.1) Form of Mortgage Loan Purchase Agreement, dated February 01, 2008, between Citicorp Mortgage Securities, Inc. and CitiMortgage, Inc. (incorporated by reference to Exhibit 10.1 to the Current Report on Form 8-K filed by the issuing entity with the Securities and Exchange Commission on March 05, 2008.) (99.1) Monthly distribution report for the month of November 2008. 2 3 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. CITICORP MORTGAGE SECURITIES, INC. Depositor By: /s/ Cathy Johnson ------------------------- Cathy Johnson Assistant Vice President Dated: December 30, 2008 3 Exhibit No. Description ----------- ------------- (99.1) Monthly distribution report for the month of November 2008. 4 EXHIBIT 99.1 ------------- Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008 Issuer: Citicorp Mortgage Securities, Inc. Record Date: See footnote Determination Date: 12/18/2008 Distribution Date: 26-Dec-08 Distribution #: 10 W.A.C. 6.75% Trustee U.S. Bank National Association Diane Reynolds (651) 495-3923 Bond Administrator CitiMortgage, Inc. Valentina Polonskaya (636) 261-1342 Paying Agent: Citibank N.A. Karen Schluter (212) 816-5827

--------------------------------------------------------------------------------------------------------------------------------- Next Accrual Accrual Current Succeeding Start End Class Coupon Type Coupon Coupon Date Date Original Par CUSIP # --------------------------------------------------------------------------------------------------------------------------------- IIA-1 Fixed 5.75000% 5.75000% 0311/01/2008 0311/3130/2008 $20,602,000.00 17314BAD2 **~ IIA-IO WAC IO 0.~~42472~~41165% 0.~~42484~~41174% 0311/01/2008 0311/3130/2008 $18,344,308.07 17314BAE0 ------------------- Class A-15yr Total $20,602,000.00 IA-1 Super Senior 6.25000% 0.00000% 0311/01/2008 0311/3130/2008 $263,390,000.00 17314BAA8 IA-2 Super Snr Sup 6.25000% 6.25000% 0311/01/2008 0311/3130/2008 $11,141,000.00 17314BAB6 **~ IA-IO WAC IO 0.~~46066~~38334% 0.~~45393~~38202% 0311/01/2008 0311/3130/2008 $248,694,202.42 17314BAC4 ------------------- Class A-30yr REG/IO Total $274,531,000.00 ~ A-PO Principal Only 0.00000% 0.00000% 0311/01/2008 0311/3130/2008 $2,009,648.00 17314BAF7 ------------------- Class A-COMB Total $2,009,648.00 B-1 Subordinated 6.~~21531~~21615% 6.~~21541~~21626% 0311/01/2008 0311/3130/2008 $5,875,000.00 17314BAG5 B-2 Subordinated 6.~~21532~~21615% 6.~~21541~~21626% 0311/01/2008 0311/3130/2008 $2,010,000.00 17314BAH3 B-3 Subordinated 6.~~21532~~21616% 6.~~21541~~21626% 0311/01/2008 0311/3130/2008 $927,000.00 17314BAJ9 B-4 Subordinated 6.~~21532~~21615% 6.~~21541~~21626% 0311/01/2008 0311/3130/2008 $1,392,000.00 17314BAK6 B-5 Subordinated 6.~~21531~~21616% 6.~~21541~~21626% 0311/01/2008 0311/3130/2008 $463,000.00 17314BAL4 B-6 Subordinated 6.~~21531~~21615% 6.~~21541~~21626% 0311/01/2008 0311/3130/2008 $1,392,279.00 17314BAM2 ------------------- Class SUB Total $12,059,279.00 =================== $309,201,927.00 ** Denotes Notional Balance Record Date: For a distribution day, the close of business on (a) for a LIBOR class, the last day (whether or not a business day) of its last LIBOR accrual period preceding the distribution day, and (b) for any other class, the last day of the preceding month.

6 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificate Holders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008

---------------------------------------------------------------------------------------------------------------- Non Interest Supported * Interest Interest Principal CLASS Accrued Shortfall Shortfall Recoveries Recoveries Interest Paid ---------------------------------------------------------------------------------------------------------------- IIA-1 $9891,~~313~~103.1802 $0.00 $0.00 $0.00 $0.00 $9891,~~313~~103.1802 IIA-IO $65,~~466~~779.2792 $0.00 $0.00 $0.00 $0.00 $65,~~466~~779.2792 ----------------------------------------------------------------------------------------------------- A-15yr Total $~~104~~96,~~779~~882.4594 $0.00 $0.00 $0.00 $0.00 $~~104~~96,~~779~~882.4594 IA-1 $1,~~367~~179,~~334~~835.7725 $0.00 $0.00 $0.00 $0.00 $1,~~367~~179,~~334~~835.7725 IA-2 $5749,~~836~~905.2025 $0.00 $0.00 $0.00 $0.00 $5749,~~836~~905.2025 IA-IO $9567,~~139~~659.6908 $0.00 $0.00 $0.00 $0.00 $9567,~~139~~659.6908 ----------------------------------------------------------------------------------------------------- A-30yr REG/I $1,~~520~~297,~~310~~399.6658 $0.00 $0.00 $0.00 $0.00 $1,~~520~~297,~~310~~399.6658 A-PO $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 ----------------------------------------------------------------------------------------------------- A-COMB Total $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 RES $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 ----------------------------------------------------------------------------------------------------- RES Total $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 B-1 $30,~~402~~187.5671 $0.00 $0.00 $0.00 $0.00 $30,~~402~~187.5671 B-2 $10,~~401~~328.5605 $0.00 $0.00 $0.00 $0.00 $10,~~401~~328.5605 B-3 $4,~~797~~763.1424 $0.00 $0.00 $0.00 $0.00 $4,~~797~~763.1424 B-4 $7,~~203~~152.4756 $0.00 $0.00 $0.00 $0.00 $7,~~203~~152.4756 B-5 $2,~~395~~379.9805 $0.00 $0.00 $0.00 $0.00 $2,~~395~~379.9805 B-6 $7,~~204~~153.9199 $0.00 $0.00 $0.00 $0.00 $7,~~204~~153.9199 ----------------------------------------------------------------------------------------------------- SUB Total $6261,~~405~~964.6260 $0.00 $0.00 $0.00 $0.00 $6261,~~405~~964.6260 ====================================================================================================== Total $1,~~687~~456,~~495~~247.7312 $0.00 $0.00 $0.00 $0.00 $1,~~687~~456,~~495~~247.7312 * Regular and residual interests have equal rights to service fee to reduce non-supported prepayment interest shortfalls.

----------------------------------------------------------------------------- Interest Cum Unpaid Relief Act Paid Per Interest Interest CLASS Certificate Shortfalls Shortfalls ----------------------------------------------------------------------------- IIA-1 4.~~77202116~~42204737 $0.00 $0.00 IIA-IO 0.~~35249463~~31507975 $0.00 $0.00 -------------------------------------- A-15yr Total $0.00 $0.00 IA-1 54.~~19129341~~47942310 $0.00 $0.00 IA-2 54.~~19129342~~47942285 $0.00 $0.00 IA-IO 0.~~38255693~~27205733 $0.00 $0.00 -------------------------------------- A-30yr REG/IO $0.00 $0.00 A-PO 0.00000000 $0.00 $0.00 -------------------------------------- A-COMB Total $0.00 $0.00 RES 0.00000000 $0.00 $0.00 -------------------------------------- RES Total $0.00 $0.00 B-1 5.~~17490383~~13833362 $0.00 $0.00 B-2 5.~~17490547~~13833333 $0.00 $0.00 B-3 5.~~17490831~~13833873 $0.00 $0.00 B-4 5.~~17490661~~13833333 $0.00 $0.00 B-5 5.~~17490281~~13833693 $0.00 $0.00 B-6 5.~~17490388~~13833075 $0.00 $0.00 -------------------------------------- SUB Total $0.00 $0.00 ========================================== Total $0.00 $0.00

7 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008

--------------------------------------------------------------------------------------------------------------- Certificate Reductions not part of Principal distributions Paid Cumulative Principal to reduce Principal Per Principal CLASS Due Stated Amount Paid Certificate Loss --------------------------------------------------------------------------------------------------------------- IIA-1 $9879,~~093~~481.5427 $0.00 $9879,~~093~~481.5427 43.~~76136006~~85793952 0.00 IIA-IO $.00 $0.00 $.00 0.00000000 0.00 ---------------------------------------------------------------------------------------------------- A-15yr Total $9879,~~093~~481.5427 $0.00 $9879,~~093~~481.5427 0.00 IA-1 $51,~~630~~145,~~567~~680.7719 $0.00 $51,~~630~~145,~~567~~680.7719 214.~~37730274~~34974824 0.00 IA-2 $~~238~~48,~~164~~460.5355 $0.00 $~~238~~48,~~164~~460.5355 214.~~37730276~~34974868 0.00 IA-IO $.00 $0.00 $.00 0.00000000 0.00 ---------------------------------------------------------------------------------------------------- -30yr REG/IO Total $51,~~868~~194,~~732~~140.3074 $0.00 $51,~~868~~194,~~732~~140.3074 0.00 A-PO $2,~~383~~394.4772 $0.00 $2,~~383~~394.4772 1.~~18601367~~19161167 0.00 ---------------------------------------------------------------------------------------------------- A-COMB Total $2,~~383~~394.4772 $0.00 $2,~~383~~394.4772 0.00 B-1 $5,~~162~~428.7651 $0.00 $5,~~162~~428.7651 0.~~87876766~~92400170 0.00 B-2 $1,~~766~~857.3324 $0.00 $1,~~766~~857.3324 0.~~87877114~~92400000 0.00 B-3 $~~814~~856.6255 $0.00 $~~814~~856.6255 0.~~87877023~~92400216 0.00 B-4 $1,~~223~~286.2521 $0.00 $1,~~223~~286.2521 0.~~87877155~~92400144 0.00 B-5 $~~406~~427.8781 $0.00 $~~406~~427.8781 0.~~87876890~~92399568 0.00 B-6 $1,~~223~~286.4947 $0.00 $1,~~223~~286.4947 0.~~87876783~~92400302 0.00 ---------------------------------------------------------------------------------------------------- SUB Total $1011,~~597~~142.3279 $0.00 $1011,~~597~~142.3279 0.00 ===================================================================================================== Total $51,~~979~~287,~~806~~159.6352 $0.00 $51,~~979~~287,~~806~~159.6352 0.00

8 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008

----------------------------------------------------------------------------------------------------------------------------------- CLASS Previous Period's Ending Period's Beginning Balance Ending Balance Ending Balance Beginning Ending Prepayment Balance Balance Per Certificate Per Certificate Pool Factor Class PCT Class PCT Percentage ----------------------------------------------------------------------------------------------------------------------------------- IIA-1 $2019,~~517~~012,~~534~~804.0055 $2018,~~419~~933,~~440~~323.4628 ~~995~~922.~~90010679~~86207892 ~~991~~919.~~13874672~~00413940 0.~~99113875~~91900414 9695.~~085558480~~914981763% 9695.~~081819636~~914852773% 100.000000000% ** IIA-IO $1816,~~269~~848,~~921~~970.3828 $1816,~~182~~780,~~069~~361.2706 ~~995~~918.~~94497161~~48491727 ~~991~~914.~~15590518~~74483507 0.~~99115591~~91474484 0.000000000% 0.000000000% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- A-15yr Tot $2019,~~517~~012,~~534~~804.0055 $2018,~~419~~933,~~440~~323.4628 9695.~~085558480~~914981763% 9695.~~081819636~~914852773% 100.000000000% IA-1 $~~262~~226,528,~~276~~368.0379$~~256~~225,~~897~~382,~~708~~688.2660 ~~996~~860.~~72833452~~04923797 ~~975~~855.~~35103178~~69948973 0.~~97535103~~85569949 9291.~~165081120~~614561214% 9291.~~088083527~~596459200% 95.941806207% IA-2 $119,~~104~~581,~~550~~808.3857 $109,~~866~~533,~~385~~348.8502 ~~996~~860.~~72833498~~04923885 ~~975~~855.~~35103222~~69949017 0.~~97535103~~85569949 3.~~898444015~~875157855% 3.~~895187133~~874392165% 4.058193792% ** IA-IO $~~247~~211,~~834~~796,~~492~~647.6005$~~241~~210,~~995~~632,~~951~~240.7344 ~~996~~851.~~54310470~~63483905 ~~973~~846.~~06631749~~95275720 0.~~97306632~~84695276 0.000000000% 0.000000000% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- A-30yrREG/ $~~273~~236,~~632~~110,~~826~~177.4136$~~267~~234,~~764~~916,~~094~~036.1162 9695.~~063525135~~489719069% 95.~~983270660~~470851365% 100.000000000% A-PO $21,~~006~~939,~~760~~877.1160 $21,~~004~~937,~~376~~482.6488 ~~998~~965.~~56298715~~28227829 ~~997~~964.~~37697348~~09066662 0.~~99737697~~96409067 0.000000000% 0.000000000% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- A-COMB Tot $21,~~006~~939,~~760~~877.1160 $21,~~004~~937,~~376~~482.6488 0.000000000% 0.000000000% 0.000000000% B-1 $5,~~869~~827,~~868~~599.1895 $5,~~864~~822,~~705~~171.4244 ~~999~~991.~~12649872~~93190638 ~~998~~991.~~24773106~~00790468 0.~~99824773~~99100790 12.~~917010213~~181927343% 12.~~953458297~~190431522% 0.000000000% B-2 $21,~~008~~993,~~244~~783.2612 $21,~~006~~991,~~477~~925.9388 ~~999~~991.~~12649751~~93190050 ~~998~~991.~~24772637~~00790050 0.~~99824773~~99100790 0.~~655862217~~746497690% 0.~~668332112~~749407206% 0.000000000% B-3 $~~926~~919,~~190~~520.2687 $~~925~~918,~~375~~664.6432 ~~999~~991.~~12649407~~93189860 ~~998~~991.~~24772384~~00789644 0.~~99824772~~99100790 0.~~302479737~~344280277% 0.~~308230779~~345622128% 0.000000000% B-4 $1,~~390~~380,~~784~~769.0921 $1,~~389~~379,~~560~~483.8400 ~~999~~991.~~12650144~~93190374 ~~998~~991.~~24772989~~00790230 0.~~99824773~~99100790 0.~~454209059~~516977507% 0.~~462844927~~518992454% 0.000000000% B-5 $~~462~~459,~~595~~264.5746 $~~462~~458,~~188~~836.7065 ~~999~~991.~~12650108~~93187905 ~~998~~991.~~24773218~~00788337 0.~~99824773~~99100788 0.~~151076720~~171954439% 0.~~153949139~~172624642% 0.000000000% B-6 $1,~~391~~381,~~062~~045.8495 $1,~~389~~379,~~839~~759.3548 ~~999~~991.~~12649692~~93189727 ~~998~~991.~~24772908~~00789425 0.~~99824773~~99100789 0.~~454300095~~517081122% 0.~~462937695~~519096472% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- SUB Total $1211,~~048~~961,~~745~~983.2056 $1211,~~038~~950,~~147~~840.8877 34.~~934938043~~478718380% 4.~~009752951~~496174426% 0.000000000% ====================================================================================================================== Total $~~308~~269,~~205~~024,~~865~~843.7207 $~~302~~267,~~226~~737,~~059~~683.0955 PO Balance $21,~~006~~939,~~760~~877.1160 $21,~~004~~937,~~376~~482.6488 Non PO Bal $~~306~~267,~~199~~084,~~105~~965.6147 $~~300~~265,~~221~~800,~~682~~200.4567

9 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008 Stated Collateral Information ------------------------------- Service Fees Begin Balance Aggregate Adj Balance -------------------------------------------------------------------- $23,115.44 $269,024,843.76 $267,737,684.24 Advances ------------ Voluntary Advances $136,758.04 Trustee Advances $0.00 Advance Account Advances $0.00 Certificate Account Advances $552,045.22 Summary of Disbursements ------------------------- Withdrawals Remittances Residual and (Deposits) P&I Distributed ----------------------------------------------------------------- $2,743,406.64 $0.00 $0.00 $2,743,406.64 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008 Loans repurchased in the current period: Loan Number Scheduled Principal Balance Pool/Group -------------------------------------------------------- No repurchases for this period Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008 Loans Modified: NO MODIFICATIONS 10 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2008-01 Payment Date: 12/26/2008 COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.82% 6.74% WAM 343 333 332 AVG LTV 71 72 72 AVG LOAN SIZE $591,208 $578,548 $578,267 # OF LOANS 523 465 463 ACTUAL BALANCE $309,201,927.69 $269,246,369.65 $267,982,011.83 SCHEDULED BALANCE $309,201,927.69 $269,024,843.76 $267,737,684.24 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 86% 87% 2-4 FAMILY 2% 2% TOWNHOUSE 2% 1% CONDOMINIUM 7% 7% COOPERATIVE 3% 3% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 26% 23% CA 27% CA 24% 65.01-75% 25% 26% NY 10% NY 11% 75.01-80% 44% 46% FL 8% FL 9% OVER 80% 5% 5% TX 7% TX 7% IL 5% NJ 4% OTHER 43% OTHER 45% CREDIT ENHANCEMENT: AT ISSUE CURRENT SUBORDINATION 3.90% $12,059,279.00 4.46% $11,950,840.77 CUMULATIVE LOSS REDUCTION $0.00 PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $256,965.31 PRINCIPAL PREPAYMENTS: $1,030,194.21 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 165% 185% 0% 806% PREPAYMENT HISTORY(CPR): 4.54% 4.74% 0.00% 14.97% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 109 1.9594% $54,~~807~~725,~~722~~772.7916 1.9277% $54,~~818~~732,~~561~~498.6299 1.9377% (2) 60-89 Days 15 01.2008% $~~918~~2,~~039~~578,207.4238 0.3096% $~~920~~2,~~000~~583,256.0004 0.3096% (2) 90 + Days 08 01.0073% $03,785,026.0020 01.0041% $03,798,927.0061 01.0042% DELINQUENCY TOTAL 1122 24.1575% $611,~~725~~089,~~762~~005.2174 24.2314% $611,~~738~~114,~~561~~682.6264 24.2315% REAL ESTATE OWNED BY THE TRUST 02 0.0043% $01,074,055.0069 0.0040% $01,080,973.0070 0.0040% FORECLOSURES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 014 03.0002% $07,206,370.0060 02.0069% $07,233,952.0083 02.0070% TOTAL FORECLOSURES IN PROCESS 014 03.0002% $07,206,370.0060 02.0069% $07,233,952.0083 02.0070% BANKRUPTCIES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 01 0.0022% $0649,000.00 0.0024% $0649,000.00 0.0024% TOTAL BANKRUPTCIES IN PROCESS 01 0.0022% $0649,000.00 0.0024% $0649,000.00 0.0024% GRAND TOTAL 1139 28.1542% $620,~~725~~018,~~762~~432.2103 27.2348% $620,~~738~~078,~~561~~609.6217 27.2350% (3) CURRENT PERIOD MODIFICATIONS 0 0.00% $0.00 0.00% (3) CUMULATIVE MODIFICATIONS 0 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST, FORECLOSURES IN PROCESS AND BANKRUPTCIES IN PROCESS. (3) REPORTING THE ENDING SCHEDULED LOAN BALANCE AT THE TIME THE MODIFICATION OCCURRED. PERCENTAGES ARE BASED ON THE SECURITY'S ORIGINAL ISSUE BALANCE AND ORIGINAL NUMBER OF LOANS. ------------------------------------------------------------------------------- 30 YR REG COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.86% 6.76% WAM 355 346 345 AVG LTV 70 72 72 AVG LOAN SIZE $584,479 $568,606 $568,407 # OF LOANS 369 320 318 ACTUAL BALANCE $215,672,807.96 $182,118,045.98 $180,933,362.84 SCHEDULED BALANCE $215,672,807.96 $181,953,793.50 $180,753,374.99 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 86% 85% 2-4 FAMILY 2% 2% TOWNHOUSE 1% 1% CONDOMINIUM 7% 7% COOPERATIVE 4% 5% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 28% 24% CA 28% CA 25% 65.01-75% 26% 28% NY 10% NY 11% 75.01-80% 42% 44% IL 7% FL 8% OVER 80% 4% 4% TX 7% TX 8% FL 7% IL 4% OTHER 41% OTHER 44% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $174,393.10 PRINCIPAL PREPAYMENTS: $1,026,025.41 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 247% 209% 0% 1,023% PREPAYMENT HISTORY(CPR): 6.59% 5.17% 0.00% 18.22% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 7 12.9420% $43,~~180~~647,~~749~~473.4700 12.9902% $43,~~187~~654,~~816~~199.9683 12.9902% (2) 60-89 Days 14 01.2826% $~~918~~1,~~039~~905,207.4238 01.4405% $~~920~~1,~~000~~910,256.0004 01.4406% (2) 90 + Days 07 02.0020% $03,285,026.0020 01.0082% $03,298,927.0061 01.0083% DELINQUENCY TOTAL 818 25.2266% $58,~~098~~837,~~788~~706.8958 24.4389% $58,~~107~~863,~~816~~383.9648 24.4390% REAL ESTATE OWNED BY THE TRUST 02 0.0063% $01,074,055.0069 0.0059% $01,080,973.0070 0.0060% FORECLOSURES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 08 02.0052% $04,517,527.0010 02.0050% $04,545,109.0033 02.0051% TOTAL FORECLOSURES IN PROCESS 08 02.0052% $04,517,527.0010 02.0050% $04,545,109.0033 02.0051% BANKRUPTCIES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 0 0.00% $0.00 0.00% $0.00 0.00% TOTAL BANKRUPTCIES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% GRAND TOTAL 828 28.2281% $514,~~098~~429,~~788~~289.8937 27.4398% $514,~~107~~489,~~816~~466.9651 28.4302% (3) CURRENT PERIOD MODIFICATIONS 0 0.00% $0.00 0.00% (3) CUMULATIVE MODIFICATIONS 0 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST, FORECLOSURES IN PROCESS AND BANKRUPTCIES IN PROCESS. (3) REPORTING THE ENDING SCHEDULED LOAN BALANCE AT THE TIME THE MOFICIATION OCCURRED. PERCENTAGES ARE BASED ON THE SECURITY'S ORIGINAL ISSUE BALANCE AND ORIGINAL NUMBER OF LOANS. ------------------------------------------------------------------------------- 15 YR REG COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.34% 6.33% WAM 172 163 162 AVG LTV 67 68 68 AVG LOAN SIZE $672,563 $641,948 $639,263 # OF LOANS 32 31 31 ACTUAL BALANCE $21,522,012.46 $19,957,649.86 $19,881,505.26 SCHEDULED BALANCE $21,522,012.46 $19,900,376.45 $19,817,165.52 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 85% 84% 2-4 FAMILY 0% 0% TOWNHOUSE 3% 3% CONDOMINIUM 10% 11% COOPERATIVE 2% 2% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 35% 32% NY 21% NY 21% 65.01-75% 27% 29% TX 14% TX 15% 75.01-80% 38% 39% CA 14% CA 11% OVER 80% 0% 0% AL 8% AL 8% WA 5% WA 5% OTHER 38% OTHER 40% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $82,572.21 PRINCIPAL PREPAYMENTS: $638.72 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 11% 470% 0% 237% PREPAYMENT HISTORY(CPR): 0.35% 13.74% 0.00% 5.27% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 10 30.1300% $~~536,973~~0.3200 20.5200% $~~540,744~~0.6600 20.5300% (2) 60-89 Days 0 0.00% $0.00 0.00% $0.00 0.00% (2) 90 + Days 0 0.00% $0.00 0.00% $0.00 0.00% DELINQUENCY TOTAL 10 30.1300% $~~536,973~~0.3200 20.5200% $~~540,744~~0.6600 20.5300% REAL ESTATE OWNED BY THE TRUST 0 0.00% $0.00 0.00% $0.00 0.00% FORECLOSURES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 0 0.00% $0.00 0.00% $0.00 0.00% TOTAL FORECLOSURES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% BANKRUPTCIES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 0 0.00% $0.00 0.00% $0.00 0.00% TOTAL BANKRUPTCIES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% GRAND TOTAL 10 30.1300% $~~536,973~~0.3200 20.5200% $~~540,744~~0.6600 20.5300% (3) CURRENT PERIOD MODIFICATIONS 0 0.00% $0.00 0.00% (3) CUMULATIVE MODIFICATIONS 0 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST, FORECLOSURES IN PROCESS AND BANKRUPTCIES IN PROCESS. (3) REPORTING THE ENDING SCHEDULED LOAN BALANCE AT THE TIME THE MODIFICATION OCCURRED. PERCENTAGES ARE BASED ON THE SECURITY'S ORIGINAL ISSUE BALANCE AND ORIGINAL NUMBER OF LOANS. ------------------------------------------------------------------------------- 30 YR IO COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.86% 6.84% WAM 356 347 346 AVG LTV 74 74 74 AVG LOAN SIZE $590,222 $589,216 $589,185 # OF LOANS 122 114 114 ACTUAL BALANCE $72,007,107.27 $67,170,673.81 $67,167,143.73 SCHEDULED BALANCE $72,007,107.27 $67,170,673.81 $67,167,143.73 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 89% 89% 2-4 FAMILY 2% 2% TOWNHOUSE 2% 1% CONDOMINIUM 6% 7% COOPERATIVE 1% 1% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 19% 20% CA 25% CA 25% 65.01-75% 21% 18% FL 12% FL 12% 75.01-80% 51% 52% NY 9% NY 10% OVER 80% 9% 10% NJ 6% WA 5% WA 6% AZ 4% OTHER 42% OTHER 44% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $0.00 PRINCIPAL PREPAYMENTS: $3,530.08 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 2% 25% 0% 404% PREPAYMENT HISTORY(CPR): 0.06% 0.66% 0.00% 8.01% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 2 1.6775% $1,~~090~~078,~~000~~299.0016 1.5461% $1,~~090~~078,~~000~~299.0016 1.5461% (2) 60-89 Days 01 0.0088% $0673,000.00 01.00% $0673,000.00 01.00% (2) 90 + Days 01 0.0088% $0500,000.00 0.0074% $0500,000.00 0.0074% DELINQUENCY TOTAL 24 13.6751% $12,~~090~~251,~~000~~299.0016 13.5435% $12,~~090~~251,~~000~~299.0016 13.5435% REAL ESTATE OWNED BY THE TRUST 0 0.00% $0.00 0.00% $0.00 0.00% FORECLOSURES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 06 05.0026% $02,688,843.0050 04.00% $02,688,843.0050 04.00% TOTAL FORECLOSURES IN PROCESS 06 05.0026% $02,688,843.0050 04.00% $02,688,843.0050 04.00% BANKRUPTCIES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 01 0.0088% $0649,000.00 0.0097% $0649,000.00 0.0097% TOTAL BANKRUPTCIES IN PROCESS 01 0.0088% $0649,000.00 0.0097% $0649,000.00 0.0097% GRAND TOTAL 211 19.6765% $15,~~090~~589,~~000~~142.0066 18.5432% $15,~~090~~589,~~000~~142.0066 18.5432% (3) CURRENT PERIOD MODIFICATIONS 0 0.00% $0.00 0.00% (3) CUMULATIVE MODIFICATIONS 0 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST, FORECLOSURES IN PROCESS AND BANKRUPTCIES IN PROCESS. (3) REPORTING THE ENDING SCHEDULED LOAN BALANCE AT THE TIME THE MODIFICATION OCCURRED. PERCENTAGES ARE BASED ON THE SECURITY'S ORIGINAL ISSUE BALANCE AND ORIGINAL NUMBER OF LOANS. ------------------------------------------------------------------------------- 30 YR REG and 30 YR IO COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.86% 6.78% WAM 355 347 346 AVG LTV 71 72 72 AVG LOAN SIZE $585,906 $574,020 $573,890 # OF LOANS 491 434 432 ACTUAL BALANCE $287,679,915.23 $249,288,719.79 $248,100,506.57 SCHEDULED BALANCE $287,679,915.23 $249,124,467.31 $247,920,518.72 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 87% 86% 2-4 FAMILY 2% 2% TOWNHOUSE 1% 1% CONDOMINIUM 7% 7% COOPERATIVE 3% 4% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 26% 23% CA 28% CA 25% 65.01-75% 25% 25% NY 10% NY 11% 75.01-80% 44% 46% FL 8% FL 9% OVER 80% 5% 6% TX 6% TX 7% IL 5% NJ 4% OTHER 43% OTHER 44% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $174,393.10 PRINCIPAL PREPAYMENTS: $1,029,555.49 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 179% 157% 0% 856% PREPAYMENT HISTORY(CPR): 4.87% 3.97% 0.00% 15.67% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 9 12.8808% $54,~~270~~725,~~749~~772.4716 1.8891% $54,~~277~~732,~~816~~498.9699 1.8891% (2) 60-89 Days 15 01.2116% $~~918~~2,~~039~~578,207.4238 01.3304% $~~920~~2,~~000~~583,256.0004 01.3304% (2) 90 + Days 08 01.0085% $03,785,026.0020 01.0053% $03,798,927.0061 01.0053% DELINQUENCY TOTAL 1022 25.0809% $611,~~188~~089,~~788~~005.8974 24.2047% $611,~~197~~114,~~816~~682.9664 24.2148% REAL ESTATE OWNED BY THE TRUST 02 0.0046% $01,074,055.0069 0.0043% $01,080,973.0070 0.0044% FORECLOSURES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 014 03.0024% $07,206,370.0060 02.0091% $07,233,952.0083 02.0092% TOTAL FORECLOSURES IN PROCESS 014 03.0024% $07,206,370.0060 02.0091% $07,233,952.0083 02.0092% BANKRUPTCIES IN PROCESS Current 0 0.00% $0.00 0.00% $0.00 0.00% 30-59 Days 0 0.00% $0.00 0.00% $0.00 0.00% 60 + Days 01 0.0023% $0649,000.00 0.0026% $0649,000.00 0.0026% TOTAL BANKRUPTCIES IN PROCESS 01 0.0023% $0649,000.00 0.0026% $0649,000.00 0.0026% GRAND TOTAL 1039 29.0803% $620,~~188~~018,~~788~~432.8903 28.2007% $620,~~197~~078,~~816~~609.9617 28.2110% (3) CURRENT PERIOD MODIFICATIONS 0 0.00% $0.00 0.00% (3) CUMULATIVE MODIFICATIONS 0 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

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