-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KJTugAU2lEMwnd+HXlTsWchUTsHfG3pn7iC+dCdaWvlRJEMkXsuIhMQn2Rir+qSJ Qgmpjyoh8aTYGz3y3uLmwQ== 0001056404-04-002898.txt : 20040903 0001056404-04-002898.hdr.sgml : 20040903 20040903115248 ACCESSION NUMBER: 0001056404-04-002898 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040825 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20040903 DATE AS OF CHANGE: 20040903 FILER: COMPANY DATA: COMPANY CONFORMED NAME: THORNBURG MORTGAGE SECURITIES TRUST 2002-4 CENTRAL INDEX KEY: 0001207971 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-56240-09 FILM NUMBER: 041015745 BUSINESS ADDRESS: STREET 1: 245 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 11201 FORMER COMPANY: FORMER CONFORMED NAME: STRUCTURED ASSET MORT INV INC MORT PASS THR CERT SER 2002-4 DATE OF NAME CHANGE: 20021127 8-K 1 thb02004.txt AUGUST 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): August 25, 2004 THORNBURG MORTGAGE SECURITIES CORPORATION Mortgage Pass-Through Certificates, Series 2002-4 Trust (Exact name of registrant as specified in its charter) Delaware (governing law of 333-56240-09 90-0073156 Pooling and Servicing Agreement) (Commission IRS EIN (State or other File Number) jurisdiction of Incorporation) c/o Wells Fargo Bank, N.A. 9062 Old Annapolis Road Columbia, MD 21045 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code: (410) 884-2000 (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act(17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act(17 CFR 240.13e-4(c)) ITEM 8.01 Other Events On August 25, 2004 a distribution was made to holders of THORNBURG MORTGAGE SECURITIES CORPORATION, Mortgage Pass-Through Certificates, Series 2002-4 Trust. ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2002-4 Trust, relating to the August 25, 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. THORNBURG MORTGAGE SECURITIES CORPORATION Mortgage Pass-Through Certificates, Series 2002-4 Trust (Registrant) By: Wells Fargo Bank, N.A. as Securities Administrator By: /s/ Beth Belfield as Assistant Vice President By: Beth Belfield as Assistant Vice President Date: 9/1/2004 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2002-4 Trust, relating to the August 25, 2004 distribution. EX-99.1
Thornburg Mortgage Securities Corporation Mortgage Pass-Through Certificates Record Date: 7/31/2004 Distribution Date: 8/25/2004 THB Series: 2002-4 Contact: Customer Service - CTSLink Wells Fargo Bank, N.A. Securities Administration Services 7485 New Horizon Way Frederick, MD 21703 Telephone: (301) 815-6600 Fax: (301) 815-6660 Certificateholder Distribution Summary Certificate Certificate Beginning Class Pass-Through Certificate Interest Principal Class CUSIP Description Rate Balance Distribution Distribution I-A 885220CA9 SEN 2.77103% 245,472,347.34 568,462.40 3,048,461.68 II-A 885220CB7 SEN 4.39439% 64,342,267.35 236,294.38 2,228,082.15 III-A 885220CC5 SEN 4.92519% 88,211,022.55 363,081.05 4,942,663.24 IV-A 885220CD3 SEN 5.59771% 11,602,871.21 54,279.27 378,483.49 B-1 885220CE1 SUB 3.97097% 10,330,741.34 34,283.59 2,692.53 B-2 885220CF8 SUB 3.97097% 6,026,249.21 19,998.71 1,570.64 B-3 885220CG6 SUB 3.97097% 3,874,003.15 12,856.26 1,009.69 B-4 885220CK7 SUB 3.97097% 1,291,466.94 4,285.86 336.60 B-5 885220CL5 SUB 3.97097% 860,779.12 2,856.58 224.35 B-6 885220CM3 SUB 3.97097% 2,582,945.82 8,571.76 673.20 R-I 885220CH4 SEN 0.00000% 0.00 0.00 0.00 R-II 885220CJ0 SEN 0.00000% 0.00 0.00 0.00 Totals 434,594,694.03 1,304,969.86 10,604,197.57
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-A 0.00 242,423,885.66 3,616,924.08 0.00 II-A 0.00 62,114,185.20 2,464,376.53 0.00 III-A 0.00 83,268,359.31 5,305,744.29 0.00 IV-A 0.00 11,224,387.73 432,762.76 0.00 B-1 0.00 10,328,048.81 36,976.12 0.00 B-2 0.00 6,024,678.57 21,569.35 0.00 B-3 0.00 3,872,993.45 13,865.95 0.00 B-4 0.00 1,291,130.34 4,622.46 0.00 B-5 0.00 860,554.77 3,080.93 0.00 B-6 0.00 2,582,272.61 9,244.96 0.00 R-I 0.00 0.00 0.00 0.00 R-II 0.00 0.00 0.00 0.00 Totals 0.00 423,990,496.45 11,909,167.43 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) I-A 328,742,400.00 245,472,347.34 15,924.69 3,032,536.99 0.00 0.00 II-A 191,023,000.00 64,342,267.35 17,334.05 2,210,748.10 0.00 0.00 III-A 305,617,600.00 88,211,022.55 41,150.83 4,901,512.41 0.00 0.00 IV-A 15,424,900.00 11,602,871.21 3,263.74 375,219.75 0.00 0.00 B-1 10,391,000.00 10,330,741.34 2,692.53 0.00 0.00 0.00 B-2 6,061,400.00 6,026,249.21 1,570.64 0.00 0.00 0.00 B-3 3,896,600.00 3,874,003.15 1,009.69 0.00 0.00 0.00 B-4 1,299,000.00 1,291,466.94 336.60 0.00 0.00 0.00 B-5 865,800.00 860,779.12 224.35 0.00 0.00 0.00 B-6 2,598,012.00 2,582,945.82 673.20 0.00 0.00 0.00 R-I 50.00 0.00 0.00 0.00 0.00 0.00 R-II 50.00 0.00 0.00 0.00 0.00 0.00 Totals 865,919,812.00 434,594,694.03 84,180.32 10,520,017.25 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 I-A 3,048,461.68 242,423,885.66 0.73742811 3,048,461.68 II-A 2,228,082.15 62,114,185.20 0.32516600 2,228,082.15 III-A 4,942,663.24 83,268,359.31 0.27245931 4,942,663.24 IV-A 378,483.49 11,224,387.73 0.72767977 378,483.49 B-1 2,692.53 10,328,048.81 0.99394176 2,692.53 B-2 1,570.64 6,024,678.57 0.99394176 1,570.64 B-3 1,009.69 3,872,993.45 0.99394176 1,009.69 B-4 336.60 1,291,130.34 0.99394176 336.60 B-5 224.35 860,554.77 0.99394175 224.35 B-6 673.20 2,582,272.61 0.99394176 673.20 R-I 0.00 0.00 0.00000000 0.00 R-II 0.00 0.00 0.00000000 0.00 Totals 10,604,197.57 423,990,496.45 0.48964176 10,604,197.57
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-A 328,742,400.00 746.70120842 0.04844124 9.22466037 0.00000000 II-A 191,023,000.00 336.82994901 0.09074326 11.57320375 0.00000000 III-A 305,617,600.00 288.63201121 0.13464810 16.03805674 0.00000000 IV-A 15,424,900.00 752.21694857 0.21158905 24.32558720 0.00000000 B-1 10,391,000.00 994.20087961 0.25912136 0.00000000 0.00000000 B-2 6,061,400.00 994.20087933 0.25912166 0.00000000 0.00000000 B-3 3,896,600.00 994.20088025 0.25912077 0.00000000 0.00000000 B-4 1,299,000.00 994.20087760 0.25912240 0.00000000 0.00000000 B-5 865,800.00 994.20087780 0.25912451 0.00000000 0.00000000 B-6 2,598,012.00 994.20088129 0.25912120 0.00000000 0.00000000 R-I 50.00 0.00000000 0.00000000 0.00000000 0.00000000 R-II 50.00 0.00000000 0.00000000 0.00000000 0.00000000 (2) All Classes Are Per $1000 Denomination.
Principal Distribution Factors Statement (continued) Total Ending Ending Total Realized Principal Certificate Certificate Principal Class Loss (3) Reduction Balance Percentage Distribution I-A 0.00000000 9.27310161 737.42810681 0.73742811 9.27310161 II-A 0.00000000 11.66394701 325.16600200 0.32516600 11.66394701 III-A 0.00000000 16.17270484 272.45930637 0.27245931 16.17270484 IV-A 0.00000000 24.53717625 727.67977296 0.72767977 24.53717625 B-1 0.00000000 0.25912136 993.94175825 0.99394176 0.25912136 B-2 0.00000000 0.25912166 993.94175768 0.99394176 0.25912166 B-3 0.00000000 0.25912077 993.94175692 0.99394176 0.25912077 B-4 0.00000000 0.25912240 993.94175520 0.99394176 0.25912240 B-5 0.00000000 0.25912451 993.94175329 0.99394175 0.25912451 B-6 0.00000000 0.25912120 993.94175624 0.99394176 0.25912120 R-I 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R-II 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 (3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Interest Distribution Statement Beginning Payment of Original Current Certificate/ Current Unpaid Current Face Certificate Notional Accrued Interest Interest Class Amount Rate Balance Interest Shortfall Shortfall I-A 328,742,400.00 2.77103% 245,472,347.34 566,842.35 0.00 0.00 II-A 191,023,000.00 4.39439% 64,342,267.35 235,620.98 0.00 0.00 III-A 305,617,600.00 4.92519% 88,211,022.55 362,046.32 0.00 0.00 IV-A 15,424,900.00 5.59771% 11,602,871.21 54,124.58 0.00 0.00 B-1 10,391,000.00 3.97097% 10,330,741.34 34,185.89 0.00 0.00 B-2 6,061,400.00 3.97097% 6,026,249.21 19,941.71 0.00 0.00 B-3 3,896,600.00 3.97097% 3,874,003.15 12,819.63 0.00 0.00 B-4 1,299,000.00 3.97097% 1,291,466.94 4,273.65 0.00 0.00 B-5 865,800.00 3.97097% 860,779.12 2,848.44 0.00 0.00 B-6 2,598,012.00 3.97097% 2,582,945.82 8,547.33 0.00 0.00 R-I 50.00 0.00000% 0.00 0.00 0.00 0.00 R-II 50.00 0.00000% 0.00 0.00 0.00 0.00 Totals 865,919,812.00 1,301,250.88 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 I-A (0.01) 0.00 568,462.40 0.00 242,423,885.66 II-A 0.00 0.00 236,294.38 0.00 62,114,185.20 III-A 0.00 0.00 363,081.05 0.00 83,268,359.31 IV-A 0.00 0.00 54,279.27 0.00 11,224,387.73 B-1 0.00 0.00 34,283.59 0.00 10,328,048.81 B-2 0.00 0.00 19,998.71 0.00 6,024,678.57 B-3 0.00 0.00 12,856.26 0.00 3,872,993.45 B-4 0.00 0.00 4,285.86 0.00 1,291,130.34 B-5 0.00 0.00 2,856.58 0.00 860,554.77 B-6 0.00 0.00 8,571.76 0.00 2,582,272.61 R-I 0.00 0.00 0.00 0.00 0.00 R-II 0.00 0.00 0.00 0.00 0.00 Totals (0.01) 0.00 1,304,969.86 0.00 (4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Interest Distribution Factors Statement Beginning Payment of Original Current Certificate/ Current Unpaid Current Face Certificate Notional Accrued Interest Interest Class (5) Amount Rate Balance Interest Shortfall Shortfall I-A 328,742,400.00 2.77103% 746.70120842 1.72427515 0.00000000 0.00000000 II-A 191,023,000.00 4.39439% 336.82994901 1.23346916 0.00000000 0.00000000 III-A 305,617,600.00 4.92519% 288.63201121 1.18463832 0.00000000 0.00000000 IV-A 15,424,900.00 5.59771% 752.21694857 3.50890962 0.00000000 0.00000000 B-1 10,391,000.00 3.97097% 994.20087961 3.28995188 0.00000000 0.00000000 B-2 6,061,400.00 3.97097% 994.20087933 3.28995117 0.00000000 0.00000000 B-3 3,896,600.00 3.97097% 994.20088025 3.28995278 0.00000000 0.00000000 B-4 1,299,000.00 3.97097% 994.20087760 3.28995381 0.00000000 0.00000000 B-5 865,800.00 3.97097% 994.20087780 3.28995149 0.00000000 0.00000000 B-6 2,598,012.00 3.97097% 994.20088129 3.28995016 0.00000000 0.00000000 R-I 50.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 R-II 50.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 (5) All Classes Are Per $1000 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 I-A (0.00000003) 0.00000000 1.72920317 0.00000000 737.42810681 II-A 0.00000000 0.00000000 1.23699439 0.00000000 325.16600200 III-A 0.00000000 0.00000000 1.18802402 0.00000000 272.45930637 IV-A 0.00000000 0.00000000 3.51893821 0.00000000 727.67977296 B-1 0.00000000 0.00000000 3.29935425 0.00000000 993.94175825 B-2 0.00000000 0.00000000 3.29935493 0.00000000 993.94175768 B-3 0.00000000 0.00000000 3.29935328 0.00000000 993.94175692 B-4 0.00000000 0.00000000 3.29935335 0.00000000 993.94175520 B-5 0.00000000 0.00000000 3.29935320 0.00000000 993.94175329 B-6 0.00000000 0.00000000 3.29935351 0.00000000 993.94175624 R-I 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R-II 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 (6) Amount Does Not Include Excess Special Hazard, Bankruptcy,or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
CERTIFICATEHOLDER ACCOUNT STATEMENT CERTIFICATE ACCOUNT Beginning Balance 0.00 Deposits Payments of Interest and Principal 12,031,495.82 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 2,646.13 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 3,718.98 Total Deposits 12,037,860.93 Withdrawals Reimbursement for Servicer Advances 2,751.28 Payment of Service Fee 125,942.22 Payment of Interest and Principal 11,909,167.43 Total Withdrawals (Pool Distribution Amount) 12,037,860.93 Ending Balance 0.00
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL Total Prepayment/Curtailment Interest Shortfall 0.00 Servicing Fee Support 0.00 Non-Supported Prepayment/Curtailment Interest Shortfall 0.00
SERVICING FEES Gross Servicing Fee 118,698.98 Master Servicing Fee- Wells Fargo 6,881.09 Trustee Fee - Deutsche Bank 362.15 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 125,942.22
Delinquency Status By Groups DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 1 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 0 0 0 0 0.00 0.00 0.00 0.00 30 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 60 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 60 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 90 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 2 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 0 0 0 0 0.00 0.00 0.00 0.00 30 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 60 Days 1 0 0 0 1 147,969.17 0.00 0.00 0.00 147,969.17 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 1 0 0 0 1 147,969.17 0.00 0.00 0.00 147,969.17 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 60 Days 0.512821% 0.000000% 0.000000% 0.000000% 0.512821% 0.218284% 0.000000% 0.000000% 0.000000% 0.218284% 90 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 0.512821% 0.000000% 0.000000% 0.000000% 0.512821% 0.218284% 0.000000% 0.000000% 0.000000% 0.218284% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 3 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 1 0 0 0 1 460,000.00 0.00 0.00 0.00 460,000.00 60 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 1 0 0 0 1 460,000.00 0.00 0.00 0.00 460,000.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.383142% 0.000000% 0.000000% 0.000000% 0.383142% 0.498207% 0.000000% 0.000000% 0.000000% 0.498207% 60 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 90 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 0.383142% 0.000000% 0.000000% 0.000000% 0.383142% 0.498207% 0.000000% 0.000000% 0.000000% 0.498207% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 4 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 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 60 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 60 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 90 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000%
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 3.940756% Weighted Average Net Coupon 3.613005% Weighted Average Pass-Through Rate 3.593005% Weighted Average Maturity(Stepdown Calculation ) 340 Beginning Scheduled Collateral Loan Count 1,066 Number Of Loans Paid In Full 28 Ending Scheduled Collateral Loan Count 1,038 Beginning Scheduled Collateral Balance 434,594,694.50 Ending Scheduled Collateral Balance 423,990,496.93 Ending Actual Collateral Balance at 31-Jul-2004 424,042,405.68 Monthly P &I Constant 1,511,373.43 Special Servicing Fee 0.00 Prepayment Penalties 3,718.98 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 11,816,324.80 Ending Scheduled Balance for Premium Loans 423,990,496.93 Scheduled Principal 84,180.32 Unscheduled Principal 10,520,017.25
Miscellaneous Reporting Senior Percentage Group 1 96.158470% Senior PrePayment Percentage Grp 1 100.000000% Subordinate Percentage Group 1 3.841530% Subordinate PrePayment Percentage Grp 1 0.000000% Senior Percentage Group 2 91.909693% Senior PrePayment Percentage Grp 2 100.000000% Subordinate Percentage Group 2 8.090307% Subordinate PrePayment Percentage Grp 2 0.000000% Senior Percentage Group 3 90.706629% Senior PrePayment Percentage Grp 3 100.000000% Subordinate Percentage Group 3 9.293371% Subordinate PrePayment Percentage Grp 3 0.000000% Senior Percentage Group 4 96.201111% Senior PrePayment Percentage Grp 4 100.000000% Subordinate Percentage Group 4 3.798889% Subordinate PrePayment Percentage Grp 4 0.000000%
Group Level Collateral Statement Group Group 1 Group 2 Group 3 Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 3.165511 4.669049 5.212525 Weighted Average Net Rate 2.791028 4.414392 4.945185 Weighted Average Maturity 340 342 339 Beginning Loan Count 570 203 272 Loans Paid In Full 8 8 11 Ending Loan Count 562 195 261 Beginning Scheduled Balance 255,278,965.48 70,005,965.08 97,248,706.50 Ending scheduled Balance 252,229,867.61 67,776,357.11 92,301,827.14 Record Date 07/31/2004 07/31/2004 07/31/2004 Principal And Interest Constant 689,967.83 291,244.30 467,793.03 Scheduled Principal 16,560.88 18,859.87 45,366.95 Unscheduled Principal 3,032,536.99 2,210,748.10 4,901,512.41 Scheduled Interest 673,406.95 272,384.43 422,426.08 Servicing Fees 79,664.60 14,856.26 21,665.41 Master Servicing Fees 4,041.93 1,108.43 1,539.77 Trustee Fee 212.72 58.34 81.04 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 589,487.70 256,361.40 399,139.86 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 2.771028 4.394392 4.925185
Group Level Collateral Statement Group Group 4 Total Collateral Description Mixed ARM Mixed ARM Weighted Average Coupon Rate 5.867709 3.940756 Weighted Average Net Rate 5.617710 3.613005 Weighted Average Maturity 338 340 Beginning Loan Count 21 1,066 Loans Paid In Full 1 28 Ending Loan Count 20 1,038 Beginning Scheduled Balance 12,061,057.44 434,594,694.50 Ending scheduled Balance 11,682,445.07 423,990,496.93 Record Date 07/31/2004 07/31/2004 Principal And Interest Constant 62,368.27 1,511,373.43 Scheduled Principal 3,392.62 84,180.32 Unscheduled Principal 375,219.75 10,520,017.25 Scheduled Interest 58,975.65 1,427,193.11 Servicing Fees 2,512.71 118,698.98 Master Servicing Fees 190.96 6,881.09 Trustee Fee 10.05 362.15 FRY Amount 0.00 0.00 Special Hazard Fee 0.00 0.00 Other Fee 0.00 0.00 Pool Insurance Fee 0.00 0.00 Spread Fee 1 0.00 0.00 Spread Fee 2 0.00 0.00 Spread Fee 3 0.00 0.00 Net Interest 56,261.93 1,301,250.89 Realized Loss Amount 0.00 0.00 Cumulative Realized Loss 0.00 0.00 Percentage of Cumulative Losses 0.0000 0.0000 Prepayment Penalties 0.00 0.00 Special Servicing Fee 0.00 0.00 Pass-Through Rate 5.597709 3.593005
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