-----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, HxCYDPKGtHmMElyGzsEAzMQaX7on8FCt98D2gZJx+Rda6TEXTkuAQGcxjRo18DOs iZfPGBYo9CI+SJHy59FeuA== 0001056404-04-001400.txt : 20040408 0001056404-04-001400.hdr.sgml : 20040408 20040408152732 ACCESSION NUMBER: 0001056404-04-001400 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040225 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20040408 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MORTGAGE TRUST 2004-A1 MORT PASS THRU CERTS CENTRAL INDEX KEY: 0001281190 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: 333-109775-02 FILM NUMBER: 04724837 BUSINESS ADDRESS: STREET 1: 60 WALL STREET CITY: NEW YORK STATE: NY ZIP: 10260 8-K 1 jpa040a1_march.txt MARCH 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): March 25, 2004 J.P. MORGAN MORTGAGE TRUST Mortgage Pass-Through Certificates, Series 2004-A1 Trust (Exact name of registrant as specified in its charter) New York (governing law of 333-109775-02 54-2147311 Pooling and Servicing Agreement) (Commission 54-2147312 (State or other File Number) 54-2147313 jurisdiction of Incorporation) IRS EIN c/o Wells Fargo Bank, N.A. 9062 Old Annapolis Road Columbia, Maryland 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) ITEM 5. Other Events On March 25, 2004 a distribution was made to holders of J.P. MORGAN MORTGAGE TRUST, Mortgage Pass-Through Certificates, Series 2004-A1 Trust. ITEM 7. Financial Statements and Exhibits (c) Exhibits furnished in accordance with Item 601(a) of Regulation S-K Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2004-A1 Trust, relating to the March 25, 2004 distribution. Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. J.P. MORGAN MORTGAGE TRUST Mortgage Pass-Through Certificates, Series 2004-A1 Trust 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: 4/5/04 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2004-A1 Trust, relating to the March 25, 2004 distribution. EX-99.1
J.P. MORGAN MORTGAGE TRUST Mortgage Pass-Through Certificates Record Date: 2/29/04 Distribution Date: 3/25/04 JPMMT Series: 2004-A1 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 1-A-1 466247AS2 SEN 4.87907% 83,097,200.00 337,864.22 1,383,938.84 A-R 466247BD4 SEN 4.87907% 100.00 0.41 100.00 2-A-1 466247AU7 SEN 4.55355% 42,248,300.00 160,316.27 57,875.74 2-A-2 466247AV5 SEN 4.55355% 1,441,800.00 5,471.08 1,975.11 3-A-1 466247AZ6 SEN 5.09006% 17,797,500.00 75,491.91 21,853.23 3-A-2 466247AZ6 SEN 5.09006% 607,400.00 2,576.42 745.82 4-A-1 466247BA0 SEN 4.50000% 89,323,800.00 334,964.25 125,380.82 4-A-2 466247BB8 IO 4.50000% 0.00 12,958.66 0.00 5-A-1 466247BC6 SEN 3.95000% 163,371,600.00 537,764.85 1,955,592.50 5-A-2 466247BC6 IO 3.95000% 0.00 108,591.35 0.00 B-1 466247BE2 SUB 4.75310% 6,583,460.00 26,076.52 4,713.89 B-2 466247BF9 SUB 4.75310% 2,674,530.00 10,593.59 1,915.02 B-3 466247BG7 SUB 4.75310% 1,440,130.00 5,704.23 1,031.16 B-4 466247BH5 SUB 4.75310% 1,234,390.00 4,889.31 883.85 B-5 466247BJ1 SUB 4.75310% 617,190.00 2,444.64 441.92 B-6 466247BK8 SUB 4.75310% 1,028,864.00 4,075.24 736.69 Totals 411,466,264.00 1,629,782.95 3,557,184.59
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses 1-A-1 0.00 81,713,261.16 1,721,803.06 0.00 A-R 0.00 0.00 100.41 0.00 2-A-1 0.00 42,190,424.26 218,192.01 0.00 2-A-2 0.00 1,439,824.89 7,446.19 0.00 3-A-1 0.00 17,775,646.77 97,345.14 0.00 3-A-2 0.00 606,654.18 3,322.24 0.00 4-A-1 0.00 89,198,419.18 460,345.07 0.00 4-A-2 0.00 0.00 12,958.66 0.00 5-A-1 0.00 161,416,007.50 2,493,357.35 0.00 5-A-2 0.00 0.00 108,591.35 0.00 B-1 0.00 6,578,746.11 30,790.41 0.00 B-2 0.00 2,672,614.98 12,508.61 0.00 B-3 0.00 1,439,098.84 6,735.39 0.00 B-4 0.00 1,233,506.15 5,773.16 0.00 B-5 0.00 616,748.08 2,886.56 0.00 B-6 0.00 1,028,127.31 4,811.93 0.00 Totals 0.00 407,909,079.41 5,186,967.54 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) 1-A-1 83,097,200.00 83,097,200.00 757.69 1,383,181.15 0.00 0.00 A-R 100.00 100.00 0.05 99.95 0.00 0.00 2-A-1 42,248,300.00 42,248,300.00 53,216.04 4,659.70 0.00 0.00 2-A-2 1,441,800.00 1,441,800.00 1,816.09 159.02 0.00 0.00 3-A-1 17,797,500.00 17,797,500.00 20,419.12 1,434.11 0.00 0.00 3-A-2 607,400.00 607,400.00 696.87 48.94 0.00 0.00 4-A-1 89,323,800.00 89,323,800.00 3,921.11 121,459.71 0.00 0.00 4-A-2 0.00 0.00 0.00 0.00 0.00 0.00 5-A-1 163,371,600.00 163,371,600.00 204,068.12 1,751,524.38 0.00 0.00 5-A-2 0.00 0.00 0.00 0.00 0.00 0.00 B-1 6,583,460.00 6,583,460.00 4,713.89 0.00 0.00 0.00 B-2 2,674,530.00 2,674,530.00 1,915.02 0.00 0.00 0.00 B-3 1,440,130.00 1,440,130.00 1,031.16 0.00 0.00 0.00 B-4 1,234,390.00 1,234,390.00 883.85 0.00 0.00 0.00 B-5 617,190.00 617,190.00 441.92 0.00 0.00 0.00 B-6 1,028,864.00 1,028,864.00 736.69 0.00 0.00 0.00 Totals 411,466,264.00 411,466,264.00 294,617.62 3,262,566.96 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 1-A-1 1,383,938.84 81,713,261.16 0.98334554 1,383,938.84 A-R 100.00 0.00 0.00000000 100.00 2-A-1 57,875.74 42,190,424.26 0.99863010 57,875.74 2-A-2 1,975.11 1,439,824.89 0.99863011 1,975.11 3-A-1 21,853.23 17,775,646.77 0.99877212 21,853.23 3-A-2 745.82 606,654.18 0.99877211 745.82 4-A-1 125,380.82 89,198,419.18 0.99859633 125,380.82 4-A-2 0.00 0.00 0.00000000 0.00 5-A-1 1,955,592.50 161,416,007.50 0.98802979 1,955,592.50 5-A-2 0.00 0.00 0.00000000 0.00 B-1 4,713.89 6,578,746.11 0.99928398 4,713.89 B-2 1,915.02 2,672,614.98 0.99928398 1,915.02 B-3 1,031.16 1,439,098.84 0.99928398 1,031.16 B-4 883.85 1,233,506.15 0.99928398 883.85 B-5 441.92 616,748.08 0.99928398 441.92 B-6 736.69 1,028,127.31 0.99928398 736.69 Totals 3,557,184.59 407,909,079.41 0.99135486 3,557,184.59
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion 1-A-1 83,097,200.00 1000.00000000 0.00911812 16.64534004 0.00000000 A-R 100.00 1000.00000000 0.50000000 999.50000000 0.00000000 2-A-1 42,248,300.00 1000.00000000 1.25960192 0.11029320 0.00000000 2-A-2 1,441,800.00 1000.00000000 1.25959911 0.11029269 0.00000000 3-A-1 17,797,500.00 1000.00000000 1.14730271 0.08057929 0.00000000 3-A-2 607,400.00 1000.00000000 1.14729997 0.08057293 0.00000000 4-A-1 89,323,800.00 1000.00000000 0.04389771 1.35976873 0.00000000 4-A-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 5-A-1 163,371,600.00 1000.00000000 1.24910401 10.72110685 0.00000000 5-A-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 B-1 6,583,460.00 1000.00000000 0.71602015 0.00000000 0.00000000 B-2 2,674,530.00 1000.00000000 0.71602113 0.00000000 0.00000000 B-3 1,440,130.00 1000.00000000 0.71601869 0.00000000 0.00000000 B-4 1,234,390.00 1000.00000000 0.71602168 0.00000000 0.00000000 B-5 617,190.00 1000.00000000 0.71601938 0.00000000 0.00000000 B-6 1,028,864.00 1000.00000000 0.71602272 0.00000000 0.00000000 (2) All Classes are Per $1,000 Denomination.
Principal Distribution Factors Statement (continued) Total Ending Ending Total Realized Principal Certificate Certificate Principal Class Loss (3) Reduction Balance Percentage Distribution 1-A-1 0.00000000 16.65445815 983.34554185 0.98334554 16.65445815 A-R 0.00000000 1,000.00000000 0.00000000 0.00000000 1,000.00000000 2-A-1 0.00000000 1.36989512 998.63010488 0.99863010 1.36989512 2-A-2 0.00000000 1.36989180 998.63010820 0.99863011 1.36989180 3-A-1 0.00000000 1.22788201 998.77211799 0.99877212 1.22788201 3-A-2 0.00000000 1.22788936 998.77211064 0.99877211 1.22788936 4-A-1 0.00000000 1.40366644 998.59633356 0.99859633 1.40366644 4-A-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5-A-1 0.00000000 11.97021086 988.02978914 0.98802979 11.97021086 5-A-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-1 0.00000000 0.71602015 999.28397985 0.99928398 0.71602015 B-2 0.00000000 0.71602113 999.28397887 0.99928398 0.71602113 B-3 0.00000000 0.71601869 999.28398131 0.99928398 0.71601869 B-4 0.00000000 0.71602168 999.28397832 0.99928398 0.71602168 B-5 0.00000000 0.71601938 999.28398062 0.99928398 0.71601938 B-6 0.00000000 0.71602272 999.28397728 0.99928398 0.71602272 (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 1-A-1 83,097,200.00 4.87907% 83,097,200.00 337,864.22 0.00 0.00 A-R 100.00 4.87907% 100.00 0.41 0.00 0.00 2-A-1 42,248,300.00 4.55355% 42,248,300.00 160,316.27 0.00 0.00 2-A-2 1,441,800.00 4.55355% 1,441,800.00 5,471.08 0.00 0.00 3-A-1 17,797,500.00 5.09006% 17,797,500.00 75,491.91 0.00 0.00 3-A-2 607,400.00 5.09006% 607,400.00 2,576.42 0.00 0.00 4-A-1 89,323,800.00 4.50000% 89,323,800.00 334,964.25 0.00 0.00 4-A-2 0.00 4.50000% 3,455,642.00 12,958.66 0.00 0.00 5-A-1 163,371,600.00 3.95000% 163,371,600.00 537,764.85 0.00 0.00 5-A-2 0.00 3.95000% 32,989,778.38 108,591.35 0.00 0.00 B-1 6,583,460.00 4.75310% 6,583,460.00 26,076.52 0.00 0.00 B-2 2,674,530.00 4.75310% 2,674,530.00 10,593.59 0.00 0.00 B-3 1,440,130.00 4.75310% 1,440,130.00 5,704.23 0.00 0.00 B-4 1,234,390.00 4.75310% 1,234,390.00 4,889.31 0.00 0.00 B-5 617,190.00 4.75310% 617,190.00 2,444.64 0.00 0.00 B-6 1,028,864.00 4.75310% 1,028,864.00 4,075.24 0.00 0.00 Totals 411,466,264.00 1,629,782.95 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 1-A-1 0.00 0.00 337,864.22 0.00 81,713,261.16 A-R 0.00 0.00 0.41 0.00 0.00 2-A-1 0.00 0.00 160,316.27 0.00 42,190,424.26 2-A-2 0.00 0.00 5,471.08 0.00 1,439,824.89 3-A-1 0.00 0.00 75,491.91 0.00 17,775,646.77 3-A-2 0.00 0.00 2,576.42 0.00 606,654.18 4-A-1 0.00 0.00 334,964.25 0.00 89,198,419.18 4-A-2 0.00 0.00 12,958.66 0.00 3,450,791.43 5-A-1 0.00 0.00 537,764.85 0.00 161,416,007.50 5-A-2 0.00 0.00 108,591.35 0.00 32,532,159.75 B-1 0.00 0.00 26,076.52 0.00 6,578,746.11 B-2 0.00 0.00 10,593.59 0.00 2,672,614.98 B-3 0.00 0.00 5,704.23 0.00 1,439,098.84 B-4 0.00 0.00 4,889.31 0.00 1,233,506.15 B-5 0.00 0.00 2,444.64 0.00 616,748.08 B-6 0.00 0.00 4,075.24 0.00 1,028,127.31 Totals 0.00 0.00 1,629,782.95 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 1-A-1 83,097,200.00 4.87907% 1000.00000000 4.06589175 0.00000000 0.00000000 A-R 100.00 4.87907% 1000.00000000 4.10000000 0.00000000 0.00000000 2-A-1 42,248,300.00 4.55355% 1000.00000000 3.79462061 0.00000000 0.00000000 2-A-2 1,441,800.00 4.55355% 1000.00000000 3.79461784 0.00000000 0.00000000 3-A-1 17,797,500.00 5.09006% 1000.00000000 4.24171429 0.00000000 0.00000000 3-A-2 607,400.00 5.09006% 1000.00000000 4.24171880 0.00000000 0.00000000 4-A-1 89,323,800.00 4.50000% 1000.00000000 3.75000000 0.00000000 0.00000000 4-A-2 0.00 4.50000% 1000.36012063 3.75135118 0.00000000 0.00000000 5-A-1 163,371,600.00 3.95000% 1000.00000000 3.29166667 0.00000000 0.00000000 5-A-2 0.00 3.95000% 1000.00440684 3.29168106 0.00000000 0.00000000 B-1 6,583,460.00 4.75310% 1000.00000000 3.96091417 0.00000000 0.00000000 B-2 2,674,530.00 4.75310% 1000.00000000 3.96091650 0.00000000 0.00000000 B-3 1,440,130.00 4.75310% 1000.00000000 3.96091325 0.00000000 0.00000000 B-4 1,234,390.00 4.75310% 1000.00000000 3.96091187 0.00000000 0.00000000 B-5 617,190.00 4.75310% 1000.00000000 3.96091965 0.00000000 0.00000000 B-6 1,028,864.00 4.75310% 1000.00000000 3.96091223 0.00000000 0.00000000 (5) All Classes are Per $1,000 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 1-A-1 0.00000000 0.00000000 4.06589175 0.00000000 983.34554185 A-R 0.00000000 0.00000000 4.10000000 0.00000000 0.00000000 2-A-1 0.00000000 0.00000000 3.79462061 0.00000000 998.63010488 2-A-2 0.00000000 0.00000000 3.79461784 0.00000000 998.63010820 3-A-1 0.00000000 0.00000000 4.24171429 0.00000000 998.77211799 3-A-2 0.00000000 0.00000000 4.24171880 0.00000000 998.77211064 4-A-1 0.00000000 0.00000000 3.75000000 0.00000000 998.59633356 4-A-2 0.00000000 0.00000000 3.75135118 0.00000000 998.95594833 5-A-1 0.00000000 0.00000000 3.29166667 0.00000000 988.02978914 5-A-2 0.00000000 0.00000000 3.29168106 0.00000000 986.13281785 B-1 0.00000000 0.00000000 3.96091417 0.00000000 999.28397985 B-2 0.00000000 0.00000000 3.96091650 0.00000000 999.28397887 B-3 0.00000000 0.00000000 3.96091325 0.00000000 999.28398131 B-4 0.00000000 0.00000000 3.96091187 0.00000000 999.28397832 B-5 0.00000000 0.00000000 3.96091965 0.00000000 999.28398062 B-6 0.00000000 0.00000000 3.96091223 0.00000000 999.28397728 (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 5,290,040.44 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 11,015.28 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 5,301,055.72 Withdrawals Reimbursement for Servicer Advances 0.00 Payment of Service Fee 114,088.18 Payment of Interest and Principal 5,186,967.54 Total Withdrawals (Pool Distribution Amount) 5,301,055.72 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 110,465.51 LPMI 193.79 Master Servicing Fee 3,428.88 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 114,088.18
LOAN STATUS STRATIFICATION/CREDIT ENHANCEMENT STATEMENT DELINQUENCY STATUS DELINQUENT BANKRUPTCY FORECLOSURE REO Total 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 4 0 0 0 4 1,580,359.25 0.00 0.00 0.00 1,580,359.25 60 Days 1 0 0 0 1 404,000.00 0.00 0.00 0.00 404,000.00 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 5 0 0 0 5 1,984,359.25 0.00 0.00 0.00 1,984,359.25 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 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.466744% 0.000000% 0.000000% 0.000000% 0.466744% 0.387203% 0.000000% 0.000000% 0.000000% 0.387203% 60 Days 0.116686% 0.000000% 0.000000% 0.000000% 0.116686% 0.098984% 0.000000% 0.000000% 0.000000% 0.098984% 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 0.583431% 0.000000% 0.000000% 0.000000% 0.583431% 0.486187% 0.000000% 0.000000% 0.000000% 0.486187%
Delinquency Status By Groups DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 1 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 0 0 0 0 0.00 0.00 0.00 0.00 30 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 60 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 60 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 90 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 180 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 2 No of Loans No of Loans No of Loans No of Loans No of Loans Principal Balance Principal Balance Principal Balance Principal Balance Principal Balance 0-29 Days 0 0 0 0 0.00 0.00 0.00 0.00 30 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 60 Days 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 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 1 349,703.83 0.00 0.00 0.00 349,703.83 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 1 349,703.83 0.00 0.00 0.00 349,703.83 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 2.439024% 0.000000% 0.000000% 0.000000% 2.439024% 1.838052% 0.000000% 0.000000% 0.000000% 1.838052% 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 2.439024% 0.000000% 0.000000% 0.000000% 2.439024% 1.838052% 0.000000% 0.000000% 0.000000% 1.838052% 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% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Group 5 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 1,230,655.42 0.00 0.00 0.00 1,230,655.42 60 Days 1 0 0 0 1 404,000.00 0.00 0.00 0.00 404,000.00 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 4 0 0 0 4 1,634,655.42 0.00 0.00 0.00 1,634,655.42 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.840336% 0.000000% 0.000000% 0.000000% 0.840336% 0.736237% 0.000000% 0.000000% 0.000000% 0.736237% 60 Days 0.280112% 0.000000% 0.000000% 0.000000% 0.280112% 0.241692% 0.000000% 0.000000% 0.000000% 0.241692% 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 1.120448% 0.000000% 0.000000% 0.000000% 1.120448% 0.977929% 0.000000% 0.000000% 0.000000% 0.977929%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 11,015.28
SUBORDINATION LEVEL/CLASS PERCENTAGE AND PREPAYMENT PERCENTAGE Current Original $ Original % Current $ Current % Class% Prepayment% Class A 411,466,164.00 99.99997570% 407,909,079.41 99.99999992% 96.673562% 0.000000% Class 1-A-1 328,368,964.00 79.80458976% 326,195,818.25 79.96777578% 20.032224% 602.212513% Class 2-A-1 286,120,664.00 69.53684640% 284,005,393.99 69.62468062% 10.343095% 310.936084% Class 2-A-2 284,678,864.00 69.18644101% 282,565,569.10 69.27170371% 0.352977% 10.611259% Class 3-A-1 266,881,364.00 64.86105602% 264,789,922.33 64.91395644% 4.357747% 131.003423% Class 3-A-2 266,273,964.00 64.71343760% 264,183,268.15 64.76523355% 0.148723% 4.470936% Class 4-A-1 176,950,164.00 43.00478058% 174,984,848.97 42.89800293% 21.867231% 657.376825% Class 4-A-2 176,950,164.00 43.00478058% 174,984,848.97 42.89800293% 0.000000% 0.000000% Class B-1 6,995,104.00 1.70004314% 6,990,095.36 1.71364054% 1.612797% 48.484214% Class B-2 4,320,574.00 1.05004332% 4,317,480.38 1.05844184% 0.655199% 19.696707% Class B-3 2,880,444.00 0.70004378% 2,878,381.54 0.70564292% 0.352799% 10.605908% Class B-4 1,646,054.00 0.40004592% 1,644,875.39 0.40324559% 0.302397% 9.090726% Class B-5 1,028,864.00 0.25004820% 1,028,127.31 0.25204816% 0.151197% 4.545326% Class B-6 0.00 0.00000000% 0.00 0.00000000% 0.252048% 7.577119% Please Refer to the Prospectus Supplement for a Full Description of Loss Exposure
CREDIT ENHANCEMENT Original $ Original % Current $ Current % Bankruptcy 100,000.00 0.02430333% 100,000.00 0.02451527% Fraud 12,343,987.00 2.99999978% 12,343,987.00 3.02616137% Special Hazard 4,114,663.00 1.00000009% 4,114,663.00 1.00872062% Limit of Subordinate's Exposure to Certain Types of Losses
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 5.085825% Weighted Average Net Coupon 4.763663% Weighted Average Pass-Through Rate 4.753098% Weighted Average Maturity(Stepdown Calculation ) 355 Beginning Scheduled Collateral Loan Count 862 Number Of Loans Paid In Full 5 Ending Scheduled Collateral Loan Count 857 Beginning Scheduled Collateral Balance 411,466,264.00 Ending Scheduled Collateral Balance 407,909,079.73 Ending Actual Collateral Balance at 29-Feb-2004 408,147,326.76 Monthly P &I Constant 2,038,488.79 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 5,123,461.48 Ending Scheduled Balance for Premium Loans 407,909,079.73 Scheduled Principal 294,617.62 Unscheduled Principal 3,262,566.96
Group Level Collateral Statement Group Group 1 Group 2 Group 3 Collateral Description 10/1 CMT ARM 7/1 CMT ARM 10/1 CMT ARM Weighted Average Coupon Rate 5.264070 4.943692 5.442333 Weighted Average Net Rate 4.889070 4.568692 5.100057 Weighted Average Maturity 355 354 355 Beginning Loan Count 172 106 41 Loans Paid In Full 2 0 0 Ending Loan Count 170 106 41 Beginning Scheduled Balance 85,933,107.00 45,181,109.00 19,032,994.00 Ending scheduled Balance 84,549,042.06 45,119,380.28 19,009,674.07 Record Date 02/29/2004 02/29/2004 02/29/2004 Principal And Interest Constant 377,748.52 243,044.77 108,156.52 Scheduled Principal 783.60 56,910.21 21,836.61 Unscheduled Principal 1,383,281.10 4,818.72 1,483.05 Scheduled Interest 376,964.92 186,134.56 86,319.91 Servicing Fees 26,854.08 14,119.09 5,428.78 Master Servicing Fees 716.11 376.50 158.61 Trustee Fee 0.00 0.00 0.00 FRY Amount 0.00 0.00 0.00 Special Hazard Fee 0.00 0.00 0.00 Other Fee 0.00 193.79 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 349,394.73 171,445.18 80,732.52 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 4.879070 4.553545 5.090057
Group Level Collateral Statement Group Group 4 Group 5 Total Collateral Description 7/1 CMT ARM 5/1 CMT ARM Mixed ARM Weighted Average Coupon Rate 5.059090 5.007627 5.085825 Weighted Average Net Rate 4.684090 4.757627 4.763663 Weighted Average Maturity 355 355 355 Beginning Loan Count 183 360 862 Loans Paid In Full 0 3 5 Ending Loan Count 183 357 857 Beginning Scheduled Balance 92,372,135.00 168,946,920.00 411,466,265.00 Ending scheduled Balance 92,246,620.08 166,984,363.24 407,909,079.73 Record Date 02/29/2004 02/29/2004 02/29/2004 Principal And Interest Constant 393,487.39 916,051.59 2,038,488.79 Scheduled Principal 4,054.93 211,032.27 294,617.62 Unscheduled Principal 121,459.71 1,751,524.38 3,262,566.96 Scheduled Interest 389,432.46 705,019.32 1,743,871.17 Servicing Fees 28,866.29 35,197.27 110,465.51 Master Servicing Fees 769.77 1,407.89 3,428.88 Trustee Fee 0.00 0.00 0.00 FRY Amount 0.00 0.00 0.00 Special Hazard Fee 0.00 0.00 0.00 Other Fee 0.00 0.00 193.79 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 359,796.40 668,414.16 1,629,782.99 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 4.674090 4.747627 4.753098
Miscellaneous Reporting Group Group 1 Senior Percentage 96.699983% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300017% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0 Group Group 2 Senior Percentage 96.699928% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300072% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0 Group Group 3 Senior Percentage 96.699974% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300026% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0
Miscellaneous Reporting Group Group 4 Senior Percentage 96.699941% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300059% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0 Group Group 5 Senior Percentage 96.699958% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300042% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0
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