-----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, P1HQ76ZI/wYa8URyVOVajY7uLDNDvVNYkpvrluZN+pxdy7XSObfPtZFFEN9FfMmQ VECumFoolQt/Uc5FW3gFWw== 0001056404-04-003419.txt : 20041005 0001056404-04-003419.hdr.sgml : 20041005 20041005164929 ACCESSION NUMBER: 0001056404-04-003419 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 2003 5 CENTRAL INDEX KEY: 0001268685 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: 333-106323-04 FILM NUMBER: 041066506 BUSINESS ADDRESS: STREET 1: C/O STROOCK & STROOCK & LAVAN STREET 2: 180 MAIDEN LN CITY: NEW YORK STATE: NY ZIP: 10038 BUSINESS PHONE: 2128066402 MAIL ADDRESS: STREET 1: C/O STROOCK & STROOCK & LAVAN STREET 2: 180 MAIDEN LN CITY: NEW YORK STATE: NY ZIP: 10038 FORMER COMPANY: FORMER CONFORMED NAME: STRUCTURED ASSET MORT INV II INC THORNBURG MORT SEC TR 03 5 DATE OF NAME CHANGE: 20031030 8-K 1 thb03005_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 2003-5 Trust (Exact name of registrant as specified in its charter) Delaware (governing law of 333-106323-04 54-2132888 Pooling and Servicing Agreement) (Commission 54-2132889 (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 September 27, 2004 a distribution was made to holders of THORNBURG MORTGAGE SECURITIES TRUST Mortgage Pass-Through Certificates, Series 2003-5 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 2003-5 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 2003-5 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 2003-5 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: 2003-5 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 885220EB5 SEN 3.29126% 132,211,986.57 362,620.13 3,030,499.24 II-A 885220EC3 SEN 3.68951% 144,060,049.06 442,925.50 7,542,847.90 III-A 885220ED1 SEN 4.08289% 400,741,769.16 1,363,488.38 2,976,941.52 IV-A 885220EE9 SEN 4.55904% 196,713,805.19 747,354.91 688,393.95 B-1 885220EH2 SUB 3.99205% 12,573,759.15 41,829.24 3,039.63 B-2 885220EJ8 SUB 3.99205% 5,532,350.27 18,404.52 1,337.41 B-3 885220EK5 SUB 3.99205% 4,526,377.72 15,057.94 1,094.22 B-4 885220EL3 SUB 3.99205% 1,005,972.56 3,346.58 243.19 B-5 885220EM1 SUB 3.99205% 2,011,645.84 6,692.16 486.30 B-6 885220EN9 SUB 3.99205% 2,012,032.90 6,693.45 486.40 R-I 885220EF6 SEN 0.00000% 0.00 0.00 0.00 R-II 885220EG4 SEN 0.00000% 0.00 0.00 0.00 Totals 901,389,748.42 3,008,412.81 14,245,369.76
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-A 0.00 129,181,487.33 3,393,119.37 0.00 II-A 0.00 136,517,201.16 7,985,773.40 0.00 III-A 0.00 397,764,827.64 4,340,429.90 0.00 IV-A 0.00 196,025,411.24 1,435,748.86 0.00 B-1 0.00 12,570,719.52 44,868.87 0.00 B-2 0.00 5,531,012.86 19,741.93 0.00 B-3 0.00 4,525,283.49 16,152.16 0.00 B-4 0.00 1,005,729.37 3,589.77 0.00 B-5 0.00 2,011,159.54 7,178.46 0.00 B-6 0.00 2,011,546.51 7,179.85 0.00 R-I 0.00 0.00 0.00 0.00 R-II 0.00 0.00 0.00 0.00 Totals 0.00 887,144,378.66 17,253,782.57 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 152,635,500.00 132,211,986.57 5,980.59 3,024,518.65 0.00 0.00 II-A 168,720,200.00 144,060,049.06 36,016.90 7,506,831.00 0.00 0.00 III-A 452,531,300.00 400,741,769.16 113,944.03 2,862,997.49 0.00 0.00 IV-A 206,700,500.00 196,713,805.19 56,498.18 631,895.77 0.00 0.00 B-1 12,604,100.00 12,573,759.15 3,039.63 0.00 0.00 0.00 B-2 5,545,700.00 5,532,350.27 1,337.41 0.00 0.00 0.00 B-3 4,537,300.00 4,526,377.72 1,094.22 0.00 0.00 0.00 B-4 1,008,400.00 1,005,972.56 243.19 0.00 0.00 0.00 B-5 2,016,500.00 2,011,645.84 486.30 0.00 0.00 0.00 B-6 2,016,888.00 2,012,032.90 486.40 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 1,008,316,488.00 901,389,748.42 219,126.85 14,026,242.91 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 3,030,499.24 129,181,487.33 0.84633973 3,030,499.24 II-A 7,542,847.90 136,517,201.16 0.80913371 7,542,847.90 III-A 2,976,941.52 397,764,827.64 0.87897749 2,976,941.52 IV-A 688,393.95 196,025,411.24 0.94835480 688,393.95 B-1 3,039.63 12,570,719.52 0.99735162 3,039.63 B-2 1,337.41 5,531,012.86 0.99735162 1,337.41 B-3 1,094.22 4,525,283.49 0.99735162 1,094.22 B-4 243.19 1,005,729.37 0.99735162 243.19 B-5 486.30 2,011,159.54 0.99735162 486.30 B-6 486.40 2,011,546.51 0.99735162 486.40 R-I 0.00 0.00 0.00000000 0.00 R-II 0.00 0.00 0.00000000 0.00 Totals 14,245,369.76 887,144,378.66 0.87982731 14,245,369.76
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-A 152,635,500.00 866.19421150 0.03918217 19.81530280 0.00000000 II-A 168,720,200.00 853.83996143 0.21347118 44.49278154 0.00000000 III-A 452,531,300.00 885.55591439 0.25179259 6.32662866 0.00000000 IV-A 206,700,500.00 951.68519278 0.27333354 3.05705971 0.00000000 B-1 12,604,100.00 997.59277933 0.24116200 0.00000000 0.00000000 B-2 5,545,700.00 997.59277819 0.24116162 0.00000000 0.00000000 B-3 4,537,300.00 997.59277985 0.24116104 0.00000000 0.00000000 B-4 1,008,400.00 997.59278064 0.24116422 0.00000000 0.00000000 B-5 2,016,500.00 997.59277957 0.24116043 0.00000000 0.00000000 B-6 2,016,888.00 997.59277659 0.24116361 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 19.85448497 846.33972654 0.84633973 19.85448497 II-A 0.00000000 44.70625272 809.13370871 0.80913371 44.70625272 III-A 0.00000000 6.57842125 878.97749314 0.87897749 6.57842125 IV-A 0.00000000 3.33039325 948.35479953 0.94835480 3.33039325 B-1 0.00000000 0.24116200 997.35161733 0.99735162 0.24116200 B-2 0.00000000 0.24116162 997.35161657 0.99735162 0.24116162 B-3 0.00000000 0.24116104 997.35161660 0.99735162 0.24116104 B-4 0.00000000 0.24116422 997.35161642 0.99735162 0.24116422 B-5 0.00000000 0.24116043 997.35161914 0.99735162 0.24116043 B-6 0.00000000 0.24116361 997.35161794 0.99735162 0.24116361 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 152,635,500.00 3.29126% 132,211,986.57 362,620.12 0.00 0.00 II-A 168,720,200.00 3.68951% 144,060,049.06 442,925.49 0.00 0.00 III-A 452,531,300.00 4.08289% 400,741,769.16 1,363,488.35 0.00 0.00 IV-A 206,700,500.00 4.55904% 196,713,805.19 747,354.90 0.00 0.00 B-1 12,604,100.00 3.99205% 12,573,759.15 41,829.24 0.00 0.00 B-2 5,545,700.00 3.99205% 5,532,350.27 18,404.52 0.00 0.00 B-3 4,537,300.00 3.99205% 4,526,377.72 15,057.94 0.00 0.00 B-4 1,008,400.00 3.99205% 1,005,972.56 3,346.58 0.00 0.00 B-5 2,016,500.00 3.99205% 2,011,645.84 6,692.16 0.00 0.00 B-6 2,016,888.00 3.99205% 2,012,032.90 6,693.45 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 1,008,316,488.00 3,008,412.75 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) 0.00 362,620.13 0.00 129,181,487.33 II-A (0.01) 0.00 442,925.50 0.00 136,517,201.16 III-A (0.03) 0.00 1,363,488.38 0.00 397,764,827.64 IV-A (0.02) 0.00 747,354.91 0.00 196,025,411.24 B-1 0.00 0.00 41,829.24 0.00 12,570,719.52 B-2 0.00 0.00 18,404.52 0.00 5,531,012.86 B-3 0.00 0.00 15,057.94 0.00 4,525,283.49 B-4 0.00 0.00 3,346.58 0.00 1,005,729.37 B-5 0.00 0.00 6,692.16 0.00 2,011,159.54 B-6 0.00 0.00 6,693.45 0.00 2,011,546.51 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 (0.07) 0.00 3,008,412.81 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 152,635,500.00 3.29126% 866.19421150 2.37572596 0.00000000 0.00000000 II-A 168,720,200.00 3.68951% 853.83996143 2.62520724 0.00000000 0.00000000 III-A 452,531,300.00 4.08289% 885.55591439 3.01302551 0.00000000 0.00000000 IV-A 206,700,500.00 4.55904% 951.68519278 3.61564147 0.00000000 0.00000000 B-1 12,604,100.00 3.99205% 997.59277933 3.31870106 0.00000000 0.00000000 B-2 5,545,700.00 3.99205% 997.59277819 3.31870098 0.00000000 0.00000000 B-3 4,537,300.00 3.99205% 997.59277985 3.31870055 0.00000000 0.00000000 B-4 1,008,400.00 3.99205% 997.59278064 3.31870290 0.00000000 0.00000000 B-5 2,016,500.00 3.99205% 997.59277957 3.31870072 0.00000000 0.00000000 B-6 2,016,888.00 3.99205% 997.59277659 3.31870188 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 (0.00000007) 0.00000000 2.37572603 0.00000000 846.33972654 II-A (0.00000006) 0.00000000 2.62520730 0.00000000 809.13370871 III-A (0.00000007) 0.00000000 3.01302557 0.00000000 878.97749314 IV-A (0.00000010) 0.00000000 3.61564152 0.00000000 948.35479953 B-1 0.00000000 0.00000000 3.31870106 0.00000000 997.35161733 B-2 0.00000000 0.00000000 3.31870098 0.00000000 997.35161657 B-3 0.00000000 0.00000000 3.31870055 0.00000000 997.35161660 B-4 0.00000000 0.00000000 3.31870290 0.00000000 997.35161642 B-5 0.00000000 0.00000000 3.31870072 0.00000000 997.35161914 B-6 0.00000000 0.00000000 3.31870188 0.00000000 997.35161794 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 17,478,392.66 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 7,388.35 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 17,485,781.01 Withdrawals Reimbursement for Servicer Advances 24,394.90 Payment of Service Fee 207,603.54 Payment of Interest and Principal 17,253,782.57 Total Withdrawals (Pool Distribution Amount) 17,485,781.01 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 193,969.98 Master Servicing Fee- Wells Fargo 13,145.31 Trustee Fee - Deutsche Bank 488.25 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 207,603.54
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 1 0 0 0 1 465,337.56 0.00 0.00 0.00 465,337.56 60 Days 1 0 0 0 1 454,700.00 0.00 0.00 0.00 454,700.00 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 2 920,037.56 0.00 0.00 0.00 920,037.56 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.319489% 0.000000% 0.000000% 0.000000% 0.319489% 0.329319% 0.000000% 0.000000% 0.000000% 0.329319% 60 Days 0.319489% 0.000000% 0.000000% 0.000000% 0.319489% 0.321791% 0.000000% 0.000000% 0.000000% 0.321791% 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 0.638978% 0.000000% 0.000000% 0.000000% 0.638978% 0.651110% 0.000000% 0.000000% 0.000000% 0.651110% 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 2 455,920.00 0.00 0.00 0.00 455,920.00 60 Days 1 0 0 0 1 999,000.00 0.00 0.00 0.00 999,000.00 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 1,454,920.00 0.00 0.00 0.00 1,454,920.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.251889% 0.000000% 0.000000% 0.000000% 0.251889% 0.111036% 0.000000% 0.000000% 0.000000% 0.111036% 60 Days 0.125945% 0.000000% 0.000000% 0.000000% 0.125945% 0.243299% 0.000000% 0.000000% 0.000000% 0.243299% 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 0.377834% 0.000000% 0.000000% 0.000000% 0.377834% 0.354334% 0.000000% 0.000000% 0.000000% 0.354334% 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 100,000.00 0.00991752% 100,000.00 0.01127212% Fraud 10,187,911.00 1.01038822% 10,083,164.00 1.13658658% Special Hazard 10,187,911.00 1.01038822% 10,000,000.00 1.12721224% Limit of Subordinate's Exposure to Certain Types of Losses
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 4.281410% Weighted Average Net Coupon 4.023183% Weighted Average Pass-Through Rate 4.005033% Weighted Average Maturity(Stepdown Calculation) 349 Beginning Scheduled Collateral Loan Count 1,788 Number Of Loans Paid In Full 25 Ending Scheduled Collateral Loan Count 1,763 Beginning Scheduled Collateral Balance 901,389,748.79 Ending Scheduled Collateral Balance 887,144,379.03 Ending Actual Collateral Balance at 31-Aug-2004 887,301,518.79 Monthly P &I Constant 3,435,143.12 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 17,155,071.47 Ending Scheduled Balance for Premium Loans 887,144,379.03 Scheduled Principal 219,126.85 Unscheduled Principal 14,026,242.91
Miscellaneous Reporting Senior Percentage Group 1 96.839978% Senior Percentage Group 2 96.801898% Senior Percentage Group 3 96.913910% Senior Percentage Group 4 97.122850% Subordinate Percentage Group 1 3.160022% Subordinate Percentage Group 2 3.198102% Subordinate Percentage Group 3 3.086090% Subordinate Percentage Group 4 2.877150% Senior PrePayment Percentage Grp 1 100.000000% Senior PrePayment Percentage Grp 2 100.000000% Senior PrePayment Percentage Grp 3 100.000000% Senior PrePayment Percentage Grp 4 100.000000% Subordinate PrePayment Percentage Grp 1 0.000000% Subordinate PrePayment Percentage Grp 1 0.000000% Subordinate PrePayment Percentage Grp 1 0.000000% Subordinate PrePayment Percentage Grp 1 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 3.565873 3.965587 4.357257 Weighted Average Net Rate 3.309411 3.707657 4.101044 Weighted Average Maturity 349 353 349 Beginning Loan Count 275 326 799 Loans Paid In Full 5 13 5 Ending Loan Count 270 313 794 Beginning Scheduled Balance 136,526,246.12 148,819,446.33 413,502,837.08 Ending scheduled Balance 133,495,551.72 141,275,408.52 410,522,267.17 Record Date 08/31/2004 08/31/2004 08/31/2004 Principal And Interest Constant 411,871.77 529,003.91 1,619,020.99 Scheduled Principal 6,175.75 37,206.81 117,572.42 Unscheduled Principal 3,024,518.65 7,506,831.00 2,862,997.49 Scheduled Interest 405,696.02 491,797.10 1,501,448.57 Servicing Fees 29,178.12 31,987.54 88,287.59 Master Servicing Fees 1,991.02 2,170.25 6,030.29 Trustee Fee 73.94 80.59 224.00 FRY Amount 0.00 0.00 0.00 Special Hazard Fee 0.00 0.00 0.00 Other Fee 0.00 0.00 0.00 Pool Insurance Fee 0.00 0.00 0.00 Spread Fee 1 0.00 0.00 0.00 Spread Fee 2 0.00 0.00 0.00 Spread Fee 3 0.00 0.00 0.00 Net Interest 374,452.94 457,558.72 1,406,906.69 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 3.291261 3.689507 4.082894
Group Level Collateral Statement Group Group 4 Total Collateral Description Mixed ARM Mixed ARM Weighted Average Coupon Rate 4.840938 4.281410 Weighted Average Net Rate 4.577189 4.023183 Weighted Average Maturity 346 349 Beginning Loan Count 388 1,788 Loans Paid In Full 2 25 Ending Loan Count 386 1,763 Beginning Scheduled Balance 202,541,219.26 901,389,748.79 Ending scheduled Balance 201,851,151.62 887,144,379.03 Record Date 08/31/2004 08/31/2004 Principal And Interest Constant 875,246.45 3,435,143.12 Scheduled Principal 58,171.87 219,126.85 Unscheduled Principal 631,895.77 14,026,242.91 Scheduled Interest 817,074.58 3,216,016.27 Servicing Fees 44,516.73 193,969.98 Master Servicing Fees 2,953.75 13,145.31 Trustee Fee 109.72 488.25 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 769,494.38 3,008,412.73 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 4.559039 4.005033
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