-----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, SVPMswAzyONmsewn76uEWG1h9EKwckkdGZiiTZKIdTF5wEhDrEfpid6s8MlLFbiF xuJAKolrfG9q95Y2zXm0oA== 0001056404-04-003417.txt : 20041005 0001056404-04-003417.hdr.sgml : 20041005 20041005164907 ACCESSION NUMBER: 0001056404-04-003417 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040925 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20041005 DATE AS OF CHANGE: 20041005 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: 041066503 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_sep.txt SEPTEMBER 8-K UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington D. C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): September 27, 2004 THORNBURG MORTGAGE SECURITIES TRUST 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 September 27, 2004 a distribution was made to holders of THORNBURG MORTGAGE SECURITIES TRUST 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 September 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. THORNBURG MORTGAGE SECURITIES TRUST 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: 10/5/2004 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 September 27, 2004 distribution. EX-99.1
Thornburg Mortgage Securities Trust Mortgage Pass-Through Certificates Record Date: 8/31/2004 Distribution Date: 9/27/2004 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 2.91611% 242,423,885.66 588,752.45 10,691,309.75 II-A 885220CB7 SEN 4.38601% 62,114,185.20 226,935.50 3,386,547.70 III-A 885220CC5 SEN 4.90867% 83,268,359.31 340,490.15 1,160,565.04 IV-A 885220CD3 SEN 5.59354% 11,224,387.73 52,303.34 5,997.78 B-1 885220CE1 SUB 4.01985% 10,328,048.81 34,582.31 174,928.52 B-2 885220CF8 SUB 4.01985% 6,024,678.57 20,172.96 102,041.36 B-3 885220CG6 SUB 4.01985% 3,872,993.45 12,968.28 65,597.77 B-4 885220CK7 SUB 4.01985% 1,291,130.34 4,323.20 21,868.17 B-5 885220CL5 SUB 4.01985% 860,554.77 2,881.47 14,575.41 B-6 885220CM3 SUB 4.01985% 2,582,272.61 8,646.45 43,736.54 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 423,990,496.45 1,292,056.11 15,667,168.04
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-A 0.00 231,732,575.91 11,280,062.20 0.00 II-A 0.00 58,727,637.50 3,613,483.20 0.00 III-A 0.00 82,107,794.27 1,501,055.19 0.00 IV-A 0.00 11,218,389.95 58,301.12 0.00 B-1 0.00 10,153,120.29 209,510.83 0.00 B-2 0.00 5,922,637.22 122,214.32 0.00 B-3 0.00 3,807,395.68 78,566.05 0.00 B-4 0.00 1,269,262.17 26,191.37 0.00 B-5 0.00 845,979.36 17,456.88 0.00 B-6 0.00 2,538,536.07 52,382.99 0.00 R-I 0.00 0.00 0.00 0.00 R-II 0.00 0.00 0.00 0.00 Totals 0.00 408,323,328.42 16,959,224.15 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 328,742,400.00 242,423,885.66 16,007.96 10,675,301.79 0.00 0.00 II-A 191,023,000.00 62,114,185.20 16,676.48 3,369,871.22 0.00 0.00 III-A 305,617,600.00 83,268,359.31 37,745.74 1,122,819.30 0.00 0.00 IV-A 15,424,900.00 11,224,387.73 3,283.59 2,714.19 0.00 0.00 B-1 10,391,000.00 10,328,048.81 2,646.84 172,281.68 0.00 0.00 B-2 6,061,400.00 6,024,678.57 1,543.99 100,497.37 0.00 0.00 B-3 3,896,600.00 3,872,993.45 992.56 64,605.21 0.00 0.00 B-4 1,299,000.00 1,291,130.34 330.89 21,537.28 0.00 0.00 B-5 865,800.00 860,554.77 220.54 14,354.87 0.00 0.00 B-6 2,598,012.00 2,582,272.61 661.78 43,074.76 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 865,919,812.00 423,990,496.45 80,110.37 15,587,057.67 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 10,691,309.75 231,732,575.91 0.70490626 10,691,309.75 II-A 3,386,547.70 58,727,637.50 0.30743752 3,386,547.70 III-A 1,160,565.04 82,107,794.27 0.26866186 1,160,565.04 IV-A 5,997.78 11,218,389.95 0.72729094 5,997.78 B-1 174,928.52 10,153,120.29 0.97710714 174,928.52 B-2 102,041.36 5,922,637.22 0.97710714 102,041.36 B-3 65,597.77 3,807,395.68 0.97710714 65,597.77 B-4 21,868.17 1,269,262.17 0.97710714 21,868.17 B-5 14,575.41 845,979.36 0.97710714 14,575.41 B-6 43,736.54 2,538,536.07 0.97710714 43,736.54 R-I 0.00 0.00 0.00000000 0.00 R-II 0.00 0.00 0.00000000 0.00 Totals 15,667,168.04 408,323,328.42 0.47154866 15,667,168.04
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-A 328,742,400.00 737.42810681 0.04869454 32.47315159 0.00000000 II-A 191,023,000.00 325.16600200 0.08730090 17.64118049 0.00000000 III-A 305,617,600.00 272.45930637 0.12350643 3.67393534 0.00000000 IV-A 15,424,900.00 727.67977296 0.21287593 0.17596159 0.00000000 B-1 10,391,000.00 993.94175825 0.25472428 16.57989414 0.00000000 B-2 6,061,400.00 993.94175768 0.25472498 16.57989408 0.00000000 B-3 3,896,600.00 993.94175692 0.25472463 16.57989273 0.00000000 B-4 1,299,000.00 993.94175520 0.25472671 16.57989222 0.00000000 B-5 865,800.00 993.94175329 0.25472395 16.57989143 0.00000000 B-6 2,598,012.00 993.94175624 0.25472554 16.57989263 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 32.52184613 704.90626068 0.70490626 32.52184613 II-A 0.00000000 17.72848139 307.43752061 0.30743752 17.72848139 III-A 0.00000000 3.79744177 268.66186460 0.26866186 3.79744177 IV-A 0.00000000 0.38883753 727.29093544 0.72729094 0.38883753 B-1 0.00000000 16.83461842 977.10713983 0.97710714 16.83461842 B-2 0.00000000 16.83461906 977.10714026 0.97710714 16.83461906 B-3 0.00000000 16.83461736 977.10713956 0.97710714 16.83461736 B-4 0.00000000 16.83461894 977.10713626 0.97710714 16.83461894 B-5 0.00000000 16.83461538 977.10713791 0.97710714 16.83461538 B-6 0.00000000 16.83461816 977.10713807 0.97710714 16.83461816 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 2.91611% 242,423,885.66 589,112.66 0.00 0.00 II-A 191,023,000.00 4.38601% 62,114,185.20 227,027.79 0.00 0.00 III-A 305,617,600.00 4.90867% 83,268,359.31 340,613.88 0.00 0.00 IV-A 15,424,900.00 5.59354% 11,224,387.73 52,320.02 0.00 0.00 B-1 10,391,000.00 4.01985% 10,328,048.81 34,597.66 0.00 0.00 B-2 6,061,400.00 4.01985% 6,024,678.57 20,181.91 0.00 0.00 B-3 3,896,600.00 4.01985% 3,872,993.45 12,974.04 0.00 0.00 B-4 1,299,000.00 4.01985% 1,291,130.34 4,325.12 0.00 0.00 B-5 865,800.00 4.01985% 860,554.77 2,882.75 0.00 0.00 B-6 2,598,012.00 4.01985% 2,582,272.61 8,650.29 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 1,292,686.12 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 360.21 0.00 588,752.45 0.00 231,732,575.91 II-A 92.29 0.00 226,935.50 0.00 58,727,637.50 III-A 123.73 0.00 340,490.15 0.00 82,107,794.27 IV-A 16.68 0.00 52,303.34 0.00 11,218,389.95 B-1 15.35 0.00 34,582.31 0.00 10,153,120.29 B-2 8.95 0.00 20,172.96 0.00 5,922,637.22 B-3 5.75 0.00 12,968.28 0.00 3,807,395.68 B-4 1.92 0.00 4,323.20 0.00 1,269,262.17 B-5 1.28 0.00 2,881.47 0.00 845,979.36 B-6 3.84 0.00 8,646.45 0.00 2,538,536.07 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 630.00 0.00 1,292,056.11 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 2.91611% 737.42810681 1.79201910 0.00000000 0.00000000 II-A 191,023,000.00 4.38601% 325.16600200 1.18848406 0.00000000 0.00000000 III-A 305,617,600.00 4.90867% 272.45930637 1.11451003 0.00000000 0.00000000 IV-A 15,424,900.00 5.59354% 727.67977296 3.39191956 0.00000000 0.00000000 B-1 10,391,000.00 4.01985% 993.94175825 3.32957944 0.00000000 0.00000000 B-2 6,061,400.00 4.01985% 993.94175768 3.32957898 0.00000000 0.00000000 B-3 3,896,600.00 4.01985% 993.94175692 3.32957963 0.00000000 0.00000000 B-4 1,299,000.00 4.01985% 993.94175520 3.32957660 0.00000000 0.00000000 B-5 865,800.00 4.01985% 993.94175329 3.32957958 0.00000000 0.00000000 B-6 2,598,012.00 4.01985% 993.94175624 3.32958046 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 0.00109572 0.00000000 1.79092338 0.00000000 704.90626068 II-A 0.00048314 0.00000000 1.18800092 0.00000000 307.43752061 III-A 0.00040485 0.00000000 1.11410518 0.00000000 268.66186460 IV-A 0.00108137 0.00000000 3.39083819 0.00000000 727.29093544 B-1 0.00147724 0.00000000 3.32810220 0.00000000 977.10713983 B-2 0.00147656 0.00000000 3.32810242 0.00000000 977.10714026 B-3 0.00147565 0.00000000 3.32810142 0.00000000 977.10713956 B-4 0.00147806 0.00000000 3.32809854 0.00000000 977.10713626 B-5 0.00147840 0.00000000 3.32810118 0.00000000 977.10713791 B-6 0.00147805 0.00000000 3.32810241 0.00000000 977.10713807 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 17,077,650.21 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 7,285.36 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 17,084,935.57 Withdrawals Reimbursement for Servicer Advances 2,646.13 Payment of Service Fee 123,065.29 Payment of Interest and Principal 16,959,224.15 Total Withdrawals (Pool Distribution Amount) 17,084,935.57 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 630.00
SERVICING FEES Gross Servicing Fee 115,998.76 Master Servicing Fee- Wells Fargo 6,713.20 Trustee Fee - Deutsche Bank 353.33 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 123,065.29
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 2 0 0 0 2 1,304,793.46 0.00 0.00 0.00 1,304,793.46 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 2 0 0 0 2 1,304,793.46 0.00 0.00 0.00 1,304,793.46 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.363636% 0.000000% 0.000000% 0.000000% 0.363636% 0.540654% 0.000000% 0.000000% 0.000000% 0.540654% 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 0.363636% 0.000000% 0.000000% 0.000000% 0.363636% 0.540654% 0.000000% 0.000000% 0.000000% 0.540654% 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 1 0 0 0 1 147,969.17 0.00 0.00 0.00 147,969.17 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 1 147,969.17 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 0.534759% 0.000000% 0.000000% 0.000000% 0.534759% 0.230293% 0.000000% 0.000000% 0.000000% 0.230293% 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 0.534759% 0.000000% 0.000000% 0.000000% 0.534759% 0.230293% 0.000000% 0.000000% 0.000000% 0.230293% 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 2 0 0 0 2 579,150.00 0.00 0.00 0.00 579,150.00 60 Days 1 0 0 0 1 460,000.00 0.00 0.00 0.00 460,000.00 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 3 0 0 0 3 1,039,150.00 0.00 0.00 0.00 1,039,150.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.778210% 0.000000% 0.000000% 0.000000% 0.778210% 0.635677% 0.000000% 0.000000% 0.000000% 0.635677% 60 Days 0.389105% 0.000000% 0.000000% 0.000000% 0.389105% 0.504898% 0.000000% 0.000000% 0.000000% 0.504898% 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 1.167315% 0.000000% 0.000000% 0.000000% 1.167315% 1.140575% 0.000000% 0.000000% 0.000000% 1.140575% 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%
CREDIT ENHANCEMENT Original $ Original % Current $ Current % Bankruptcy 169,214.00 0.01954153% 169,214.00 0.04144118% Fraud 8,659,197.00 1.99999987% 5,245,530.11 1.28465109% Special Hazard 12,000,000.00 1.38580961% 6,274,400.00 1.53662540% Limit of Subordinate's Exposure to Certain Types of Losses
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 4.006933% Weighted Average Net Coupon 3.678627% Weighted Average Pass-Through Rate 3.658628% Weighted Average Maturity(Stepdown Calculation) 339 Beginning Scheduled Collateral Loan Count 1,038 Number Of Loans Paid In Full 24 Ending Scheduled Collateral Loan Count 1,014 Beginning Scheduled Collateral Balance 423,990,496.93 Ending Scheduled Collateral Balance 408,323,328.89 Ending Actual Collateral Balance at 31-Aug-2004 408,375,616.35 Monthly P &I Constant 1,495,861.71 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 16,453,494.60 Ending Scheduled Balance for Premium Loans 408,323,328.89 Scheduled Principal 80,110.37 Unscheduled Principal 15,587,057.67
Miscellaneous Reporting Senior Percentage Group 1 96.112284% Senior PrePayment Percentage Grp 1 98.056142% Subordinate Percentage Group 1 3.887716% Subordinate PrePayment Percentage Grp 1 1.943858% Senior Percentage Group 2 91.645801% Senior PrePayment Percentage Grp 2 95.822901% Subordinate Percentage Group 2 8.354199% Subordinate PrePayment Percentage Grp 2 4.177099% Senior Percentage Group 3 90.213122% Senior PrePayment Percentage Grp 3 95.106561% Subordinate Percentage Group 3 9.786878% Subordinate PrePayment Percentage Grp 3 4.893439% Senior Percentage Group 4 96.079097% Senior PrePayment Percentage Grp 4 98.039548% Subordinate Percentage Group 4 3.920903% Subordinate PrePayment Percentage Grp 4 1.960452%
Group Level Collateral Statement Group Group 1 Group 2 Group 3 Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 3.310681 4.660815 5.194430 Weighted Average Net Rate 2.936112 4.406008 4.928667 Weighted Average Maturity 339 341 338 Beginning Loan Count 562 195 261 Loans Paid In Full 12 8 4 Ending Loan Count 550 187 257 Beginning Scheduled Balance 252,229,867.61 67,776,357.11 92,301,827.14 Ending scheduled Balance 241,326,283.92 64,241,390.23 91,079,395.72 Record Date 08/31/2004 08/31/2004 08/31/2004 Principal And Interest Constant 712,532.76 281,440.91 441,386.75 Scheduled Principal 16,655.48 18,196.67 41,840.63 Unscheduled Principal 10,886,928.21 3,516,770.21 1,180,590.79 Scheduled Interest 695,877.28 263,244.24 399,546.12 Servicing Fees 78,731.34 14,391.57 20,442.00 Master Servicing Fees 3,993.65 1,073.13 1,461.46 Trustee Fee 210.18 56.48 76.93 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 612,942.11 247,723.06 377,565.73 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 2.916112 4.386009 4.908667
Group Level Collateral Statement Group Group 4 Total Collateral Description Mixed ARM Mixed ARM Weighted Average Coupon Rate 5.863536 4.006933 Weighted Average Net Rate 5.613535 3.678627 Weighted Average Maturity 337 339 Beginning Loan Count 20 1,038 Loans Paid In Full 0 24 Ending Loan Count 20 1,014 Beginning Scheduled Balance 11,682,445.07 423,990,496.93 Ending scheduled Balance 11,676,259.02 408,323,328.89 Record Date 08/31/2004 08/31/2004 Principal And Interest Constant 60,501.29 1,495,861.71 Scheduled Principal 3,417.59 80,110.37 Unscheduled Principal 2,768.46 15,587,057.67 Scheduled Interest 57,083.70 1,415,751.34 Servicing Fees 2,433.85 115,998.76 Master Servicing Fees 184.96 6,713.20 Trustee Fee 9.74 353.33 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 54,455.15 1,292,686.05 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 5.593536 3.658628
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