-----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, I/UqfIBmN6xlx/Di4ab37kdWvktPW1ZGHZwTv1SuLMdlO3evBhZOFDeon1jf5UQm 2AYWQx2yE0CWlDYXr8O2GA== 0001056404-04-004270.txt : 20041203 0001056404-04-004270.hdr.sgml : 20041203 20041203151933 ACCESSION NUMBER: 0001056404-04-004270 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 2003 5 CENTRAL INDEX KEY: 0001268685 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: 333-106323-04 FILM NUMBER: 041183577 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_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 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 November 26, 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 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 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: 12/1/2004 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 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: 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 3.57227% 125,350,111.90 373,154.05 4,811,548.48 II-A 885220EC3 SEN 3.68865% 134,839,150.90 414,478.84 1,927,613.53 III-A 885220ED1 SEN 4.08650% 392,903,714.69 1,338,000.32 2,691,843.23 IV-A 885220EE9 SEN 4.55661% 194,620,212.10 739,006.38 581,212.36 B-1 885220EH2 SUB 4.03684% 12,567,695.56 42,278.17 3,057.33 B-2 885220EJ8 SUB 4.03684% 5,529,682.35 18,602.05 1,345.20 B-3 885220EK5 SUB 4.03684% 4,524,194.91 15,219.55 1,100.60 B-4 885220EL3 SUB 4.03684% 1,005,487.44 3,382.50 244.60 B-5 885220EM1 SUB 4.03684% 2,010,675.74 6,763.98 489.14 B-6 885220EN9 SUB 4.03684% 2,011,062.62 6,765.29 489.23 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 875,361,988.21 2,957,651.13 10,018,943.70
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-A 0.00 120,538,563.42 5,184,702.53 0.00 II-A 0.00 132,911,537.37 2,342,092.37 0.00 III-A 0.00 390,211,871.45 4,029,843.55 0.00 IV-A 0.00 194,038,999.73 1,320,218.74 0.00 B-1 0.00 12,564,638.23 45,335.50 0.00 B-2 0.00 5,528,337.15 19,947.25 0.00 B-3 0.00 4,523,094.31 16,320.15 0.00 B-4 0.00 1,005,242.83 3,627.10 0.00 B-5 0.00 2,010,186.61 7,253.12 0.00 B-6 0.00 2,010,573.39 7,254.52 0.00 R-I 0.00 0.00 0.00 0.00 R-II 0.00 0.00 0.00 0.00 Totals 0.00 865,343,044.49 12,976,594.83 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 152,635,500.00 125,350,111.90 4,784.31 4,806,764.17 0.00 0.00 II-A 168,720,200.00 134,839,150.90 34,810.15 1,892,803.38 0.00 0.00 III-A 452,531,300.00 392,903,714.69 111,980.01 2,579,863.22 0.00 0.00 IV-A 206,700,500.00 194,620,212.10 56,756.25 524,456.11 0.00 0.00 B-1 12,604,100.00 12,567,695.56 3,057.33 0.00 0.00 0.00 B-2 5,545,700.00 5,529,682.35 1,345.20 0.00 0.00 0.00 B-3 4,537,300.00 4,524,194.91 1,100.60 0.00 0.00 0.00 B-4 1,008,400.00 1,005,487.44 244.60 0.00 0.00 0.00 B-5 2,016,500.00 2,010,675.74 489.14 0.00 0.00 0.00 B-6 2,016,888.00 2,011,062.62 489.23 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 1,008,316,488.00 875,361,988.21 215,056.82 9,803,886.88 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 4,811,548.48 120,538,563.42 0.78971513 4,811,548.48 II-A 1,927,613.53 132,911,537.37 0.78776304 1,927,613.53 III-A 2,691,843.23 390,211,871.45 0.86228703 2,691,843.23 IV-A 581,212.36 194,038,999.73 0.93874470 581,212.36 B-1 3,057.33 12,564,638.23 0.99686913 3,057.33 B-2 1,345.20 5,528,337.15 0.99686913 1,345.20 B-3 1,100.60 4,523,094.31 0.99686913 1,100.60 B-4 244.60 1,005,242.83 0.99686913 244.60 B-5 489.14 2,010,186.61 0.99686913 489.14 B-6 489.23 2,010,573.39 0.99686913 489.23 R-I 0.00 0.00 0.00000000 0.00 R-II 0.00 0.00 0.00000000 0.00 Totals 10,018,943.70 865,343,044.49 0.85820579 10,018,943.70
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-A 152,635,500.00 821.23825650 0.03134467 31.49178382 0.00000000 II-A 168,720,200.00 799.18795082 0.20631880 11.21859374 0.00000000 III-A 452,531,300.00 868.23544513 0.24745252 5.70096084 0.00000000 IV-A 206,700,500.00 941.55656179 0.27458206 2.53727548 0.00000000 B-1 12,604,100.00 997.11169857 0.24256631 0.00000000 0.00000000 B-2 5,545,700.00 997.11169915 0.24256631 0.00000000 0.00000000 B-3 4,537,300.00 997.11169859 0.24256717 0.00000000 0.00000000 B-4 1,008,400.00 997.11170171 0.24256248 0.00000000 0.00000000 B-5 2,016,500.00 997.11169849 0.24256881 0.00000000 0.00000000 B-6 2,016,888.00 997.11169882 0.24256677 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 31.52312850 789.71512800 0.78971513 31.52312850 II-A 0.00000000 11.42491255 787.76303827 0.78776304 11.42491255 III-A 0.00000000 5.94841336 862.28703175 0.86228703 5.94841336 IV-A 0.00000000 2.81185754 938.74470420 0.93874470 2.81185754 B-1 0.00000000 0.24256631 996.86913227 0.99686913 0.24256631 B-2 0.00000000 0.24256631 996.86913284 0.99686913 0.24256631 B-3 0.00000000 0.24256717 996.86913142 0.99686913 0.24256717 B-4 0.00000000 0.24256248 996.86912931 0.99686913 0.24256248 B-5 0.00000000 0.24256881 996.86913464 0.99686913 0.24256881 B-6 0.00000000 0.24256677 996.86913205 0.99686913 0.24256677 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 3.57227% 125,350,111.90 373,154.04 0.00 0.00 II-A 168,720,200.00 3.68865% 134,839,150.90 414,478.83 0.00 0.00 III-A 452,531,300.00 4.08650% 392,903,714.69 1,338,000.30 0.00 0.00 IV-A 206,700,500.00 4.55661% 194,620,212.10 739,006.37 0.00 0.00 B-1 12,604,100.00 4.03684% 12,567,695.56 42,278.17 0.00 0.00 B-2 5,545,700.00 4.03684% 5,529,682.35 18,602.05 0.00 0.00 B-3 4,537,300.00 4.03684% 4,524,194.91 15,219.55 0.00 0.00 B-4 1,008,400.00 4.03684% 1,005,487.44 3,382.50 0.00 0.00 B-5 2,016,500.00 4.03684% 2,010,675.74 6,763.98 0.00 0.00 B-6 2,016,888.00 4.03684% 2,011,062.62 6,765.29 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 1,008,316,488.00 2,957,651.08 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) 0.00 373,154.05 0.00 120,538,563.42 II-A (0.01) 0.00 414,478.84 0.00 132,911,537.37 III-A (0.03) 0.00 1,338,000.32 0.00 390,211,871.45 IV-A (0.01) 0.00 739,006.38 0.00 194,038,999.73 B-1 0.00 0.00 42,278.17 0.00 12,564,638.23 B-2 0.00 0.00 18,602.05 0.00 5,528,337.15 B-3 0.00 0.00 15,219.55 0.00 4,523,094.31 B-4 0.00 0.00 3,382.50 0.00 1,005,242.83 B-5 0.00 0.00 6,763.98 0.00 2,010,186.61 B-6 0.00 0.00 6,765.29 0.00 2,010,573.39 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 (0.06) 0.00 2,957,651.13 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 3.57227% 821.23825650 2.44473953 0.00000000 0.00000000 II-A 168,720,200.00 3.68865% 799.18795082 2.45660466 0.00000000 0.00000000 III-A 452,531,300.00 4.08650% 868.23544513 2.95670222 0.00000000 0.00000000 IV-A 206,700,500.00 4.55661% 941.55656179 3.57525197 0.00000000 0.00000000 B-1 12,604,100.00 4.03684% 997.11169857 3.35431883 0.00000000 0.00000000 B-2 5,545,700.00 4.03684% 997.11169915 3.35431956 0.00000000 0.00000000 B-3 4,537,300.00 4.03684% 997.11169859 3.35431865 0.00000000 0.00000000 B-4 1,008,400.00 4.03684% 997.11170171 3.35432368 0.00000000 0.00000000 B-5 2,016,500.00 4.03684% 997.11169849 3.35431689 0.00000000 0.00000000 B-6 2,016,888.00 4.03684% 997.11169882 3.35432111 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 2.44473959 0.00000000 789.71512800 II-A (0.00000006) 0.00000000 2.45660472 0.00000000 787.76303827 III-A (0.00000007) 0.00000000 2.95670227 0.00000000 862.28703175 IV-A (0.00000005) 0.00000000 3.57525202 0.00000000 938.74470420 B-1 0.00000000 0.00000000 3.35431883 0.00000000 996.86913227 B-2 0.00000000 0.00000000 3.35431956 0.00000000 996.86913284 B-3 0.00000000 0.00000000 3.35431865 0.00000000 996.86913142 B-4 0.00000000 0.00000000 3.35432368 0.00000000 996.86912931 B-5 0.00000000 0.00000000 3.35431689 0.00000000 996.86913464 B-6 0.00000000 0.00000000 3.35432111 0.00000000 996.86913205 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 13,177,915.01 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 32,267.99 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 13,210,183.00 Withdrawals Reimbursement for Servicer Advances 31,995.46 Payment of Service Fee 201,592.71 Payment of Interest and Principal 12,976,594.83 Total Withdrawals (Pool Distribution Amount) 13,210,183.00 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 188,352.85 Master Servicing Fee- Wells Fargo 12,765.74 Trustee Fee - Deutsche Bank 474.12 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 201,592.71 Original $ Original % Current $ Current % Bankruptcy 100,000.00 0.00991752 % 100,000.00 0.01155611 % Fraud 10,187,911.00 1.01038822 % 8,753,619.89 1.01157800 % Special Hazard 10,187,911.00 1.01038822 % 10,000,000.00 1.15561107 % 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 1 0 0 0 1 204,250.00 0.00 0.00 0.00 204,250.00 60 Days 1 0 0 0 1 49,881.89 0.00 0.00 0.00 49,881.89 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 2 254,131.89 0.00 0.00 0.00 254,131.89 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.392157% 0.000000% 0.000000% 0.000000% 0.392157% 0.163588% 0.000000% 0.000000% 0.000000% 0.163588% 60 Days 0.392157% 0.000000% 0.000000% 0.000000% 0.392157% 0.039951% 0.000000% 0.000000% 0.000000% 0.039951% 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 0.784314% 0.000000% 0.000000% 0.000000% 0.784314% 0.203539% 0.000000% 0.000000% 0.000000% 0.203539% 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 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 1 0 1 0.00 0.00 454,700.00 0.00 454,700.00 150 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 1 0 1 0.00 0.00 454,700.00 0.00 454,700.00 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% 0.328947% 0.000000% 0.328947% 0.000000% 0.000000% 0.330224% 0.000000% 0.330224% 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% 0.328947% 0.000000% 0.328947% 0.000000% 0.000000% 0.330224% 0.000000% 0.330224% 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 1 263,994.94 0.00 0.00 0.00 263,994.94 60 Days 1 0 0 0 1 4,999,999.00 0.00 0.00 0.00 4,999,999.00 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 1 0 1 0.00 0.00 999,000.00 0.00 999,000.00 150 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 1 0 3 5,263,993.94 0.00 999,000.00 0.00 6,262,993.94 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.128700% 0.000000% 0.000000% 0.000000% 0.128700% 0.065499% 0.000000% 0.000000% 0.000000% 0.065499% 60 Days 0.128700% 0.000000% 0.000000% 0.000000% 0.128700% 1.240528% 0.000000% 0.000000% 0.000000% 1.240528% 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% 0.128700% 0.000000% 0.128700% 0.000000% 0.000000% 0.247858% 0.000000% 0.247858% 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 0.257400% 0.000000% 0.128700% 0.000000% 0.386100% 1.306027% 0.000000% 0.247858% 0.000000% 1.553884% 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 3 0 0 0 3 846,718.12 0.00 0.00 0.00 846,718.12 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 3 846,718.12 0.00 0.00 0.00 846,718.12 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.787402% 0.000000% 0.000000% 0.000000% 0.787402% 0.423565% 0.000000% 0.000000% 0.000000% 0.423565% 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 0.787402% 0.000000% 0.000000% 0.000000% 0.787402% 0.423565% 0.000000% 0.000000% 0.000000% 0.423565%
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 4.330885% Weighted Average Net Coupon 4.072680% Weighted Average Pass-Through Rate 4.054530% Weighted Average Maturity(Stepdown Calculation ) 347 Beginning Scheduled Collateral Loan Count 1,735 Number Of Loans Paid In Full 18 Ending Scheduled Collateral Loan Count 1,717 Beginning Scheduled Collateral Balance 875,361,988.57 Ending Scheduled Collateral Balance 865,343,044.87 Ending Actual Collateral Balance at 31-Oct-2004 865,507,883.45 Monthly P &I Constant 3,374,300.56 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 12,876,857.14 Ending Scheduled Balance for Premium Loans 865,343,044.87 Scheduled Principal 215,056.82 Unscheduled Principal 9,803,886.88
Miscellaneous Reporting Senior Percentage Group 1 96.673038% Senior Percentage Group 2 96.592302% Senior Percentage Group 3 96.856006% Senior Percentage Group 4 97.094423% Subordinate Percentage Group 1 3.326962% Subordinate Percentage Group 2 3.407698% Subordinate Percentage Group 3 3.143994% Subordinate Percentage Group 4 2.905577% 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 3.846706 3.964530 4.360838 Weighted Average Net Rate 3.590423 3.706801 4.104648 Weighted Average Maturity 347 351 347 Beginning Loan Count 261 309 783 Loans Paid In Full 6 5 6 Ending Loan Count 255 304 777 Beginning Scheduled Balance 129,663,983.67 139,596,166.44 405,657,564.32 Ending scheduled Balance 124,852,270.54 137,667,324.84 402,962,086.16 Record Date 10/31/2004 10/31/2004 10/31/2004 Principal And Interest Constant 420,598.36 497,232.53 1,589,787.23 Scheduled Principal 4,948.96 36,038.22 115,614.94 Unscheduled Principal 4,806,764.17 1,892,803.38 2,579,863.22 Scheduled Interest 415,649.40 461,194.31 1,474,172.29 Servicing Fees 27,692.25 29,981.62 86,604.30 Master Servicing Fees 1,890.94 2,035.78 5,915.86 Trustee Fee 70.22 75.61 219.73 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 385,995.99 429,101.30 1,381,432.40 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 3.572273 3.688651 4.086498
Group Level Collateral Statement Group Group 4 Total Collateral Description Mixed ARM Mixed ARM Weighted Average Coupon Rate 4.838618 4.330885 Weighted Average Net Rate 4.574756 4.072680 Weighted Average Maturity 344 347 Beginning Loan Count 382 1,735 Loans Paid In Full 1 18 Ending Loan Count 381 1,717 Beginning Scheduled Balance 200,444,274.14 875,361,988.57 Ending scheduled Balance 199,861,363.33 865,343,044.87 Record Date 10/31/2004 10/31/2004 Principal And Interest Constant 866,682.44 3,374,300.56 Scheduled Principal 58,454.70 215,056.82 Unscheduled Principal 524,456.11 9,803,886.88 Scheduled Interest 808,227.74 3,159,243.74 Servicing Fees 44,074.68 188,352.85 Master Servicing Fees 2,923.16 12,765.74 Trustee Fee 108.56 474.12 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 761,121.34 2,957,651.03 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 4.556606 4.054530
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