-----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, VopkrMR/rwx7YiAWI+z4oHgLmw8BjOHvEqEhKXLKQH3nsJtHGE9bRHqNpu9pn2l1 r5YxaJJdgoFRZtT7MqY1cA== 0001056404-04-004271.txt : 20041203 0001056404-04-004271.hdr.sgml : 20041203 20041203152004 ACCESSION NUMBER: 0001056404-04-004271 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20041126 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20041203 DATE AS OF CHANGE: 20041203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: THORNBURG MORTGAGE SECURITIES TRUST 2002-4 CENTRAL INDEX KEY: 0001207971 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 000000000 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: 041183583 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_nov.txt NOVEMBER 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): November 26, 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 90-0191888 (State or other File Number) IRS EIN 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 November 26, 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 November 26, 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: 12/1/2004 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 November 26, 2004 distribution. EX-99.1
Thornburg Mortgage Home Loans, Inc. Mortgage Pass-Through Certificates Record Date: 10/31/2004 Distribution Date: 11/26/2004 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 3.36804% 228,190,150.68 642,024.38 7,866,467.33 II-A 885220CB7 SEN 4.32851% 57,788,416.58 209,004.86 3,639,640.33 III-A 885220CC5 SEN 4.89459% 75,285,937.09 307,927.39 3,797,680.37 IV-A 885220CD3 SEN 5.59362% 11,213,388.35 52,418.80 446,542.14 B-1 885220CE1 SUB 4.17523% 9,958,341.39 34,740.20 224,651.47 B-2 885220CF8 SUB 4.17523% 5,809,016.50 20,265.06 131,046.33 B-3 885220CG6 SUB 4.17523% 3,734,354.06 13,027.49 84,243.76 B-4 885220CK7 SUB 4.17523% 1,244,912.47 4,342.94 28,084.14 B-5 885220CL5 SUB 4.17523% 829,749.97 2,894.63 18,718.43 B-6 885220CM3 SUB 4.17523% 2,489,836.44 8,681.87 56,168.53 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 396,544,103.53 1,295,327.62 16,293,242.83
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-A 0.00 220,323,683.35 8,508,491.71 0.00 II-A 0.00 54,148,776.25 3,848,645.19 0.00 III-A 0.00 71,488,256.72 4,105,607.76 0.00 IV-A 0.00 10,766,846.21 498,960.94 0.00 B-1 0.00 9,733,689.92 259,391.67 0.00 B-2 0.00 5,677,970.18 151,311.39 0.00 B-3 0.00 3,650,110.30 97,271.25 0.00 B-4 0.00 1,216,828.33 32,427.08 0.00 B-5 0.00 811,031.54 21,613.06 0.00 B-6 0.00 2,433,667.91 64,850.40 0.00 R-I 0.00 0.00 0.00 0.00 R-II 0.00 0.00 0.00 0.00 Totals 0.00 380,250,860.71 17,588,570.45 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 328,742,400.00 228,190,150.68 8,670.16 7,857,797.17 0.00 0.00 II-A 191,023,000.00 57,788,416.58 16,291.90 3,623,348.43 0.00 0.00 III-A 305,617,600.00 75,285,937.09 34,963.28 3,762,717.10 0.00 0.00 IV-A 15,424,900.00 11,213,388.35 3,336.10 443,206.05 0.00 0.00 B-1 10,391,000.00 9,958,341.39 2,499.98 222,151.49 0.00 0.00 B-2 6,061,400.00 5,809,016.50 1,458.32 129,588.01 0.00 0.00 B-3 3,896,600.00 3,734,354.06 937.49 83,306.27 0.00 0.00 B-4 1,299,000.00 1,244,912.47 312.53 27,771.61 0.00 0.00 B-5 865,800.00 829,749.97 208.30 18,510.13 0.00 0.00 B-6 2,598,012.00 2,489,836.44 625.06 55,543.47 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 865,919,812.00 396,544,103.53 69,303.12 16,223,939.73 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 7,866,467.33 220,323,683.35 0.67020160 7,866,467.33 II-A 3,639,640.33 54,148,776.25 0.28346731 3,639,640.33 III-A 3,797,680.37 71,488,256.72 0.23391407 3,797,680.37 IV-A 446,542.14 10,766,846.21 0.69801725 446,542.14 B-1 224,651.47 9,733,689.92 0.93674237 224,651.47 B-2 131,046.33 5,677,970.18 0.93674237 131,046.33 B-3 84,243.76 3,650,110.30 0.93674237 84,243.76 B-4 28,084.14 1,216,828.33 0.93674236 28,084.14 B-5 18,718.43 811,031.54 0.93674237 18,718.43 B-6 56,168.53 2,433,667.91 0.93674237 56,168.53 R-I 0.00 0.00 0.00000000 0.00 R-II 0.00 0.00 0.00000000 0.00 Totals 16,293,242.83 380,250,860.71 0.43912942 16,293,242.83
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-A 328,742,400.00 694.13057360 0.02637372 23.90259720 0.00000000 II-A 191,023,000.00 302.52072567 0.08528764 18.96812651 0.00000000 III-A 305,617,600.00 246.34031905 0.11440205 12.31184690 0.00000000 IV-A 15,424,900.00 726.96668050 0.21628017 28.73315548 0.00000000 B-1 10,391,000.00 958.36217785 0.24059090 21.37922144 0.00000000 B-2 6,061,400.00 958.36217705 0.24059128 21.37922097 0.00000000 B-3 3,896,600.00 958.36217728 0.24059180 21.37922035 0.00000000 B-4 1,299,000.00 958.36217860 0.24059276 21.37922248 0.00000000 B-5 865,800.00 958.36217371 0.24058674 21.37922153 0.00000000 B-6 2,598,012.00 958.36217847 0.24059165 21.37921996 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 23.92897092 670.20160268 0.67020160 23.92897092 II-A 0.00000000 19.05341414 283.46731153 0.28346731 19.05341414 III-A 0.00000000 12.42624891 233.91407013 0.23391407 12.42624891 IV-A 0.00000000 28.94943500 698.01724549 0.69801725 28.94943500 B-1 0.00000000 21.61981234 936.74236551 0.93674237 21.61981234 B-2 0.00000000 21.61981225 936.74236645 0.93674237 21.61981225 B-3 0.00000000 21.61981214 936.74236514 0.93674237 21.61981214 B-4 0.00000000 21.61981524 936.74236336 0.93674236 21.61981524 B-5 0.00000000 21.61980827 936.74236544 0.93674237 21.61980827 B-6 0.00000000 21.61981161 936.74236686 0.93674237 21.61981161 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 3.36804% 228,190,150.68 640,462.07 0.00 0.00 II-A 191,023,000.00 4.32851% 57,788,416.58 208,447.97 0.00 0.00 III-A 305,617,600.00 4.89459% 75,285,937.09 307,078.07 0.00 0.00 IV-A 15,424,900.00 5.59362% 11,213,388.35 52,269.52 0.00 0.00 B-1 10,391,000.00 4.17523% 9,958,341.39 34,648.67 0.00 0.00 B-2 6,061,400.00 4.17523% 5,809,016.50 20,211.67 0.00 0.00 B-3 3,896,600.00 4.17523% 3,734,354.06 12,993.17 0.00 0.00 B-4 1,299,000.00 4.17523% 1,244,912.47 4,331.50 0.00 0.00 B-5 865,800.00 4.17523% 829,749.97 2,887.00 0.00 0.00 B-6 2,598,012.00 4.17523% 2,489,836.44 8,663.04 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 1,291,992.68 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 670.43 0.00 642,024.38 0.00 220,323,683.35 II-A 169.78 0.00 209,004.86 0.00 54,148,776.25 III-A 221.19 0.00 307,927.39 0.00 71,488,256.72 IV-A 32.95 0.00 52,418.80 0.00 10,766,846.21 B-1 29.26 0.00 34,740.20 0.00 9,733,689.92 B-2 17.07 0.00 20,265.06 0.00 5,677,970.18 B-3 10.97 0.00 13,027.49 0.00 3,650,110.30 B-4 3.66 0.00 4,342.94 0.00 1,216,828.33 B-5 2.44 0.00 2,894.63 0.00 811,031.54 B-6 7.32 0.00 8,681.87 0.00 2,433,667.91 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 1,165.07 0.00 1,295,327.62 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 3.36804% 694.13057360 1.94821864 0.00000000 0.00000000 II-A 191,023,000.00 4.32851% 302.52072567 1.09121922 0.00000000 0.00000000 III-A 305,617,600.00 4.89459% 246.34031905 1.00477875 0.00000000 0.00000000 IV-A 15,424,900.00 5.59362% 726.96668050 3.38864563 0.00000000 0.00000000 B-1 10,391,000.00 4.17523% 958.36217785 3.33448850 0.00000000 0.00000000 B-2 6,061,400.00 4.17523% 958.36217705 3.33448873 0.00000000 0.00000000 B-3 3,896,600.00 4.17523% 958.36217728 3.33448904 0.00000000 0.00000000 B-4 1,299,000.00 4.17523% 958.36217860 3.33448807 0.00000000 0.00000000 B-5 865,800.00 4.17523% 958.36217371 3.33448833 0.00000000 0.00000000 B-6 2,598,012.00 4.17523% 958.36217847 3.33448806 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 0.00203938 0.00000000 1.95297102 0.00000000 670.20160268 II-A 0.00088879 0.00000000 1.09413453 0.00000000 283.46731153 III-A 0.00072375 0.00000000 1.00755778 0.00000000 233.91407013 IV-A 0.00213616 0.00000000 3.39832349 0.00000000 698.01724549 B-1 0.00281590 0.00000000 3.34329708 0.00000000 936.74236551 B-2 0.00281618 0.00000000 3.34329693 0.00000000 936.74236645 B-3 0.00281527 0.00000000 3.34329672 0.00000000 936.74236514 B-4 0.00281755 0.00000000 3.34329484 0.00000000 936.74236336 B-5 0.00281820 0.00000000 3.34330099 0.00000000 936.74236544 B-6 0.00281754 0.00000000 3.34173591 0.00000000 936.74236686 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 17,695,437.51 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 7,984.58 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 4,500.00 Total Deposits 17,707,922.09 Withdrawals Reimbursement for Servicer Advances 4,100.25 Payment of Service Fee 115,251.39 Payment of Interest and Principal 17,588,570.45 Total Withdrawals (Pool Distribution Amount) 17,707,922.09 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 1,165.07
SERVICING FEES Gross Servicing Fee 108,642.34 Master Servicing Fee- Wells Fargo 6,278.59 Trustee Fee - Deutsche Bank 330.46 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 115,251.39 Original $ Original % Current $ Current % Bankruptcy 169,214.00 0.01954153 % 169,214.00 0.04450062 % Fraud 8,659,197.00 0.99999987 % 3,802,508.61 1.00000000 % Special Hazard 12,000,000.00 1.38580961 % 5,025,249.94 1.32156175 % Limit of Subordinate's Exposure to Certain Types of Losses
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 2 580,245.97 0.00 0.00 0.00 580,245.97 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 2 580,245.97 0.00 0.00 0.00 580,245.97 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.378072% 0.000000% 0.000000% 0.000000% 0.378072% 0.252618% 0.000000% 0.000000% 0.000000% 0.252618% 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 0.378072% 0.000000% 0.000000% 0.000000% 0.378072% 0.252618% 0.000000% 0.000000% 0.000000% 0.252618% 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 0.581395% 0.000000% 0.000000% 0.000000% 0.581395% 0.248832% 0.000000% 0.000000% 0.000000% 0.248832% 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 0.581395% 0.000000% 0.000000% 0.000000% 0.581395% 0.248832% 0.000000% 0.000000% 0.000000% 0.248832% 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 3 0 0 0 3 1,270,650.57 0.00 0.00 0.00 1,270,650.57 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 3 0 0 0 3 1,270,650.57 0.00 0.00 0.00 1,270,650.57 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 1.250000% 0.000000% 0.000000% 0.000000% 1.250000% 1.589878% 0.000000% 0.000000% 0.000000% 1.589878% 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 1.250000% 0.000000% 0.000000% 0.000000% 1.250000% 1.589878% 0.000000% 0.000000% 0.000000% 1.589878% 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 4.258525% Weighted Average Net Coupon 3.929757% Weighted Average Pass-Through Rate 3.909757% Weighted Average Maturity(Stepdown Calculation ) 337 Beginning Scheduled Collateral Loan Count 992 Number Of Loans Paid In Full 32 Ending Scheduled Collateral Loan Count 960 Beginning Scheduled Collateral Balance 396,544,104.01 Ending Scheduled Collateral Balance 380,250,861.18 Ending Actual Collateral Balance at 31-Oct-2004 380,298,275.54 Monthly P &I Constant 1,476,547.19 Special Servicing Fee 0.00 Prepayment Penalties 4,500.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 16,958,587.81 Ending Scheduled Balance for Premium Loans 380,250,861.18 Scheduled Principal 69,303.10 Unscheduled Principal 16,223,939.73
Miscellaneous Reporting Senior Percentage Group 1 95.994478% Senior PrePayment Percentage Grp 1 97.997239% Subordinate Percentage Group 1 4.005522% Subordinate PrePayment Percentage Grp 1 2.002761% Senior Percentage Group 2 91.351726% Senior PrePayment Percentage Grp 2 95.675863% Subordinate Percentage Group 2 8.648274% Subordinate PrePayment Percentage Grp 2 4.324137% Senior Percentage Group 3 89.730784% Senior PrePayment Percentage Grp 3 94.865392% Subordinate Percentage Group 3 10.269216% Subordinate PrePayment Percentage Grp 3 5.134608% Senior Percentage Group 4 96.078343% Senior PrePayment Percentage Grp 4 98.039171% Subordinate Percentage Group 4 3.921657% Subordinate PrePayment Percentage Grp 4 1.960829%
Group Level Collateral Statement Group Group 1 Group 2 Group 3 Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 3.762587 4.603266 5.180420 Weighted Average Net Rate 3.388044 4.348507 4.914588 Weighted Average Maturity 337 339 336 Beginning Loan Count 542 183 247 Loans Paid In Full 13 11 7 Ending Loan Count 529 172 240 Beginning Scheduled Balance 237,711,749.06 63,259,249.94 83,902,016.56 Ending scheduled Balance 229,684,330.84 59,454,307.51 79,896,677.02 Record Date 10/31/2004 10/31/2004 10/31/2004 Principal And Interest Constant 754,374.60 260,500.23 401,171.07 Scheduled Principal 9,031.94 17,834.25 38,964.64 Unscheduled Principal 8,018,386.28 3,787,108.18 3,966,374.90 Scheduled Interest 745,342.66 242,665.98 362,206.43 Servicing Fees 74,194.42 13,429.89 18,586.54 Master Servicing Fees 3,763.78 1,001.61 1,328.42 Trustee Fee 198.09 52.71 69.93 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 667,186.37 228,181.77 342,221.54 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 3.368044 4.328507 4.894588
Group Level Collateral Statement Group Group 4 Total Collateral Description Mixed ARM Mixed ARM Weighted Average Coupon Rate 5.863620 4.258525 Weighted Average Net Rate 5.613618 3.929757 Weighted Average Maturity 335 337 Beginning Loan Count 20 992 Loans Paid In Full 1 32 Ending Loan Count 19 960 Beginning Scheduled Balance 11,671,088.45 396,544,104.01 Ending scheduled Balance 11,215,545.81 380,250,861.18 Record Date 10/31/2004 10/31/2004 Principal And Interest Constant 60,501.29 1,476,547.19 Scheduled Principal 3,472.27 69,303.10 Unscheduled Principal 452,070.37 16,223,939.73 Scheduled Interest 57,029.02 1,407,244.09 Servicing Fees 2,431.49 108,642.34 Master Servicing Fees 184.78 6,278.59 Trustee Fee 9.73 330.46 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 54,403.02 1,291,992.70 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 5.593620 3.909757
-----END PRIVACY-ENHANCED MESSAGE-----