-----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, C7JA9c9QMYKvGE/syVHrBgbcFKL96xBH+6TU5YN+TKFDeRklqSUMX96I53IEGpgC dYhc9NChvasccyrpPM1GJw== 0001056404-04-001685.txt : 20040524 0001056404-04-001685.hdr.sgml : 20040524 20040524103335 ACCESSION NUMBER: 0001056404-04-001685 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040425 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20040524 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: 04825709 BUSINESS ADDRESS: STREET 1: 60 WALL STREET CITY: NEW YORK STATE: NY ZIP: 10260 8-K 1 jpa040a1.txt APRIL 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): April 26, 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 IRS EIN of Incorporation) 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 April 26, 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 April 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. 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: 4/29/04 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 April 26, 2004 distribution. EX-99.1
J.P. Morgan Mortgage Trust Mortgage Pass-Through Certificates Record Date: 3/31/04 Distribution Date: 4/26/04 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 466247BL6 SEN 4.86628% 81,713,261.16 331,366.02 164,618.76 A-R 466247BV4 SEN 4.87291% 0.00 0.00 0.00 2-A-1 466247BM4 SEN 4.55359% 42,190,424.26 160,098.10 534,055.64 2-A-2 466247BN2 SEN 4.55359% 1,439,824.89 5,463.64 18,225.62 3-A-1 466247BP7 SEN 5.09009% 17,775,646.77 74,940.49 1,078,257.16 3-A-2 466247BQ5 SEN 5.09009% 606,654.18 2,557.60 36,799.18 4-A-1 466247BR3 SEN 4.50000% 89,198,419.18 334,494.07 99,258.52 4-A-2 466247BS1 IO 4.50000% 0.00 12,899.26 0.00 5-A-1 466247BT9 SEN 3.95000% 161,416,007.50 531,327.69 7,662,076.89 5-A-2 466247BU6 IO 3.95000% 0.00 106,937.63 0.00 B-1 466247BW2 SUB 4.74924% 6,578,746.11 26,029.37 4,738.59 B-2 466247BX0 SUB 4.74924% 2,672,614.98 10,574.43 1,925.05 B-3 466247BY8 SUB 4.74924% 1,439,098.84 5,693.92 1,036.57 B-4 466247BZ5 SUB 4.74924% 1,233,506.15 4,880.47 888.48 B-5 466247CA9 SUB 4.74924% 616,748.08 2,440.21 444.24 B-6 466247CB7 SUB 4.74924% 1,028,127.31 4,067.87 740.55 Totals 407,909,079.41 1,613,770.77 9,603,065.25
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses 1-A-1 0.00 81,548,642.40 495,984.78 0.00 A-R 0.00 0.00 0.00 0.00 2-A-1 0.00 41,656,368.62 694,153.74 0.00 2-A-2 0.00 1,421,599.27 23,689.26 0.00 3-A-1 0.00 16,697,389.61 1,153,197.65 0.00 3-A-2 0.00 569,855.00 39,356.78 0.00 4-A-1 0.00 89,099,160.66 433,752.59 0.00 4-A-2 0.00 0.00 12,899.26 0.00 5-A-1 0.00 153,753,930.61 8,193,404.58 0.00 5-A-2 0.00 0.00 106,937.63 0.00 B-1 0.00 6,574,007.52 30,767.96 0.00 B-2 0.00 2,670,689.93 12,499.48 0.00 B-3 0.00 1,438,062.27 6,730.49 0.00 B-4 0.00 1,232,617.67 5,768.95 0.00 B-5 0.00 616,303.84 2,884.45 0.00 B-6 0.00 1,027,386.77 4,808.42 0.00 Totals 0.00 398,306,014.17 11,216,836.02 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 81,713,261.16 760.66 163,858.10 0.00 0.00 A-R 100.00 0.00 0.00 0.00 0.00 0.00 2-A-1 42,248,300.00 42,190,424.26 53,452.15 480,603.49 0.00 0.00 2-A-2 1,441,800.00 1,439,824.89 1,824.15 16,401.47 0.00 0.00 3-A-1 17,797,500.00 17,775,646.77 20,517.40 1,057,739.76 0.00 0.00 3-A-2 607,400.00 606,654.18 700.23 36,098.95 0.00 0.00 4-A-1 89,323,800.00 89,198,419.18 3,939.35 95,319.17 0.00 0.00 4-A-2 0.00 0.00 0.00 0.00 0.00 0.00 5-A-1 163,371,600.00 161,416,007.50 202,965.88 7,459,111.01 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 6,578,746.11 4,738.59 0.00 0.00 0.00 B-2 2,674,530.00 2,672,614.98 1,925.05 0.00 0.00 0.00 B-3 1,440,130.00 1,439,098.84 1,036.57 0.00 0.00 0.00 B-4 1,234,390.00 1,233,506.15 888.48 0.00 0.00 0.00 B-5 617,190.00 616,748.08 444.24 0.00 0.00 0.00 B-6 1,028,864.00 1,028,127.31 740.55 0.00 0.00 0.00 Totals 411,466,264.00 407,909,079.41 293,933.30 9,309,131.95 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-1 164,618.76 81,548,642.40 0.98136450 164,618.76 A-R 0.00 0.00 0.00000000 0.00 2-A-1 534,055.64 41,656,368.62 0.98598923 534,055.64 2-A-2 18,225.62 1,421,599.27 0.98598923 18,225.62 3-A-1 1,078,257.16 16,697,389.61 0.93818736 1,078,257.16 3-A-2 36,799.18 569,855.00 0.93818736 36,799.18 4-A-1 99,258.52 89,099,160.66 0.99748511 99,258.52 4-A-2 0.00 0.00 0.00000000 0.00 5-A-1 7,662,076.89 153,753,930.61 0.94113010 7,662,076.89 5-A-2 0.00 0.00 0.00000000 0.00 B-1 4,738.59 6,574,007.52 0.99856421 4,738.59 B-2 1,925.05 2,670,689.93 0.99856421 1,925.05 B-3 1,036.57 1,438,062.27 0.99856421 1,036.57 B-4 888.48 1,232,617.67 0.99856421 888.48 B-5 444.24 616,303.84 0.99856420 444.24 B-6 740.55 1,027,386.77 0.99856421 740.55 Totals 9,603,065.25 398,306,014.17 0.96801621 9,603,065.25
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion 1-A-1 83,097,200.00 983.34554185 0.00915386 1.97188473 0.00000000 A-R 100.00 0.00000000 0.00000000 0.00000000 0.00000000 2-A-1 42,248,300.00 998.63010488 1.26519055 11.37568825 0.00000000 2-A-2 1,441,800.00 998.63010820 1.26518935 11.37569011 0.00000000 3-A-1 17,797,500.00 998.77211799 1.15282483 59.43192920 0.00000000 3-A-2 607,400.00 998.77211064 1.15283174 59.43192295 0.00000000 4-A-1 89,323,800.00 998.59633356 0.04410191 1.06711951 0.00000000 4-A-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 5-A-1 163,371,600.00 988.02978914 1.24235718 45.65732973 0.00000000 5-A-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 B-1 6,583,460.00 999.28397985 0.71977197 0.00000000 0.00000000 B-2 2,674,530.00 999.28397887 0.71977132 0.00000000 0.00000000 B-3 1,440,130.00 999.28398131 0.71977530 0.00000000 0.00000000 B-4 1,234,390.00 999.28397832 0.71977252 0.00000000 0.00000000 B-5 617,190.00 999.28398062 0.71977835 0.00000000 0.00000000 B-6 1,028,864.00 999.28397728 0.71977443 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 1.98103859 981.36450326 0.98136450 1.98103859 A-R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2-A-1 0.00000000 12.64087880 985.98922608 0.98598923 12.64087880 2-A-2 0.00000000 12.64087946 985.98922874 0.98598923 12.64087946 3-A-1 0.00000000 60.58475404 938.18736396 0.93818736 60.58475404 3-A-2 0.00000000 60.58475469 938.18735594 0.93818736 60.58475469 4-A-1 0.00000000 1.11122142 997.48511214 0.99748511 1.11122142 4-A-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5-A-1 0.00000000 46.89968691 941.13010223 0.94113010 46.89968691 5-A-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-1 0.00000000 0.71977197 998.56420788 0.99856421 0.71977197 B-2 0.00000000 0.71977132 998.56420754 0.99856421 0.71977132 B-3 0.00000000 0.71977530 998.56420601 0.99856421 0.71977530 B-4 0.00000000 0.71977252 998.56420580 0.99856421 0.71977252 B-5 0.00000000 0.71977835 998.56420227 0.99856420 0.71977835 B-6 0.00000000 0.71977443 998.56421257 0.99856421 0.71977443 (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 4.86628% 81,713,261.16 331,366.02 0.00 0.00 A-R 100.00 4.87291% 0.00 0.00 0.00 0.00 2-A-1 42,248,300.00 4.55359% 42,190,424.26 160,098.10 0.00 0.00 2-A-2 1,441,800.00 4.55359% 1,439,824.89 5,463.64 0.00 0.00 3-A-1 17,797,500.00 5.09009% 17,775,646.77 75,399.77 0.00 0.00 3-A-2 607,400.00 5.09009% 606,654.18 2,573.27 0.00 0.00 4-A-1 89,323,800.00 4.50000% 89,198,419.18 334,494.07 0.00 0.00 4-A-2 0.00 4.50000% 3,439,803.76 12,899.26 0.00 0.00 5-A-1 163,371,600.00 3.95000% 161,416,007.50 531,327.69 0.00 0.00 5-A-2 0.00 3.95000% 32,487,382.19 106,937.63 0.00 0.00 B-1 6,583,460.00 4.74924% 6,578,746.11 26,036.70 0.00 0.00 B-2 2,674,530.00 4.74924% 2,672,614.98 10,577.41 0.00 0.00 B-3 1,440,130.00 4.74924% 1,439,098.84 5,695.52 0.00 0.00 B-4 1,234,390.00 4.74924% 1,233,506.15 4,881.85 0.00 0.00 B-5 617,190.00 4.74924% 616,748.08 2,440.90 0.00 0.00 B-6 1,028,864.00 4.74924% 1,028,127.31 4,069.02 0.00 0.00 Totals 411,466,264.00 1,614,260.85 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 0.00 331,366.02 0.00 81,548,642.40 A-R 0.00 0.00 0.00 0.00 0.00 2-A-1 0.00 0.00 160,098.10 0.00 41,656,368.62 2-A-2 0.00 0.00 5,463.64 0.00 1,421,599.27 3-A-1 (459.28) 0.00 74,940.49 0.00 16,697,389.61 3-A-2 (15.67) 0.00 2,557.60 0.00 569,855.00 4-A-1 0.00 0.00 334,494.07 0.00 89,099,160.66 4-A-2 0.00 0.00 12,899.26 0.00 3,436,968.29 5-A-1 0.00 0.00 531,327.69 0.00 153,753,930.61 5-A-2 0.00 0.00 106,937.63 0.00 30,957,814.06 B-1 (7.33) 0.00 26,029.37 0.00 6,574,007.52 B-2 (2.98) 0.00 10,574.43 0.00 2,670,689.93 B-3 (1.60) 0.00 5,693.92 0.00 1,438,062.27 B-4 (1.37) 0.00 4,880.47 0.00 1,232,617.67 B-5 (0.69) 0.00 2,440.21 0.00 616,303.84 B-6 (1.14) 0.00 4,067.87 0.00 1,027,386.77 Totals (490.06) 0.00 1,613,770.77 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 4.86628% 983.34554185 3.98769176 0.00000000 0.00000000 A-R 100.00 4.87291% 0.00000000 0.00000000 0.00000000 0.00000000 2-A-1 42,248,300.00 4.55359% 998.63010488 3.78945662 0.00000000 0.00000000 2-A-2 1,441,800.00 4.55359% 998.63010820 3.78945762 0.00000000 0.00000000 3-A-1 17,797,500.00 5.09009% 998.77211799 4.23653715 0.00000000 0.00000000 3-A-2 607,400.00 5.09009% 998.77211064 4.23653276 0.00000000 0.00000000 4-A-1 89,323,800.00 4.50000% 998.59633356 3.74473623 0.00000000 0.00000000 4-A-2 0.00 4.50000% 995.77517125 3.73415571 0.00000000 0.00000000 5-A-1 163,371,600.00 3.95000% 988.02978914 3.25226471 0.00000000 0.00000000 5-A-2 0.00 3.95000% 984.77549568 3.24155258 0.00000000 0.00000000 B-1 6,583,460.00 4.74924% 999.28397985 3.95486568 0.00000000 0.00000000 B-2 2,674,530.00 4.74924% 999.28397887 3.95486684 0.00000000 0.00000000 B-3 1,440,130.00 4.74924% 999.28398131 3.95486519 0.00000000 0.00000000 B-4 1,234,390.00 4.74924% 999.28397832 3.95486840 0.00000000 0.00000000 B-5 617,190.00 4.74924% 999.28398062 3.95485993 0.00000000 0.00000000 B-6 1,028,864.00 4.74924% 999.28397728 3.95486673 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 3.98769176 0.00000000 981.36450326 A-R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2-A-1 0.00000000 0.00000000 3.78945662 0.00000000 985.98922608 2-A-2 0.00000000 0.00000000 3.78945762 0.00000000 985.98922874 3-A-1 (0.02580587) 0.00000000 4.21073128 0.00000000 938.18736396 3-A-2 (0.02579849) 0.00000000 4.21073428 0.00000000 938.18735594 4-A-1 0.00000000 0.00000000 3.74473623 0.00000000 997.48511214 4-A-2 0.00000000 0.00000000 3.73415571 0.00000000 994.95434226 5-A-1 0.00000000 0.00000000 3.25226471 0.00000000 941.13010223 5-A-2 0.00000000 0.00000000 3.24155258 0.00000000 938.41038062 B-1 (0.00111340) 0.00000000 3.95375228 0.00000000 998.56420788 B-2 (0.00111421) 0.00000000 3.95375262 0.00000000 998.56420754 B-3 (0.00111101) 0.00000000 3.95375417 0.00000000 998.56420601 B-4 (0.00110986) 0.00000000 3.95375044 0.00000000 998.56420580 B-5 (0.00111797) 0.00000000 3.95374196 0.00000000 998.56420227 B-6 (0.00110802) 0.00000000 3.95374899 0.00000000 998.56421257 (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 11,317,847.02 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 12,140.79 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 11,329,987.81 Withdrawals Reimbursement for Servicer Advances 0.00 Payment of Service Fee 113,151.79 Payment of Interest and Principal 11,216,836.02 Total Withdrawals (Pool Distribution Amount) 11,329,987.81 Ending Balance 0.00
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL Total Prepayment/Curtailment Interest Shortfall (490.07) Servicing Fee Support 0.00 Non-Supported Prepayment/Curtailment Interest Shortfall (490.07)
SERVICING FEES Gross Servicing Fee 109,558.99 LPMI 193.56 Master Servicing Fee 3,399.24 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 113,151.79
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 6 0 0 0 6 2,343,708.14 0.00 0.00 0.00 2,343,708.14 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 6 0 0 0 6 2,343,708.14 0.00 0.00 0.00 2,343,708.14 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 0.715137% 0.000000% 0.000000% 0.000000% 0.715137% 0.588129% 0.000000% 0.000000% 0.000000% 0.588129% 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 0.715137% 0.000000% 0.000000% 0.000000% 0.715137% 0.588129% 0.000000% 0.000000% 0.000000% 0.588129%
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 1 366,550.71 0.00 0.00 0.00 366,550.71 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 1 366,550.71 0.00 0.00 0.00 366,550.71 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.952381% 0.000000% 0.000000% 0.000000% 0.952381% 0.821729% 0.000000% 0.000000% 0.000000% 0.821729% 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 0.952381% 0.000000% 0.000000% 0.000000% 0.952381% 0.821729% 0.000000% 0.000000% 0.000000% 0.821729% 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 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 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 5 0 0 0 5 1,977,157.43 0.00 0.00 0.00 1,977,157.43 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 5 0 0 0 5 1,977,157.43 0.00 0.00 0.00 1,977,157.43 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 1.461988% 0.000000% 0.000000% 0.000000% 1.461988% 1.239973% 0.000000% 0.000000% 0.000000% 1.239973% 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 1.461988% 0.000000% 0.000000% 0.000000% 1.461988% 1.239973% 0.000000% 0.000000% 0.000000% 1.239973%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 12,140.79
SUBORDINATION LEVEL/CLASS PERCENTAGE AND PREPAYMENT PERCENTAGE Current Original $ Original % Current $ Current % Class% Prepayment% Class A 411,466,164.00 99.99997570% 398,306,014.17 99.99999992% 96.595816% 0.000000% Class 1-A-1 328,368,964.00 79.80458976% 316,757,371.77 79.52613324% 20.473867% 601.432506% Class 2-A-1 286,120,664.00 69.53684640% 275,101,003.15 69.06775021% 10.458383% 307.221474% Class 2-A-2 284,678,864.00 69.18644101% 273,679,403.88 68.71083889% 0.356911% 10.484491% Class 3-A-1 266,881,364.00 64.86105602% 256,982,014.27 64.51873809% 4.192101% 123.145556% Class 3-A-2 266,273,964.00 64.71343760% 256,412,159.27 64.37566844% 0.143070% 4.202759% Class 4-A-1 176,950,164.00 43.00478058% 167,312,998.61 42.00614415% 22.369524% 657.118621% Class 4-A-2 176,950,164.00 43.00478058% 167,312,998.61 42.00614415% 0.000000% 0.000000% Class B-1 6,995,104.00 1.70004314% 6,985,060.48 1.75369194% 1.650492% 48.484214% Class B-2 4,320,574.00 1.05004332% 4,314,370.55 1.08317987% 0.670512% 19.696707% Class B-3 2,880,444.00 0.70004378% 2,876,308.28 0.72213529% 0.361045% 10.605908% Class B-4 1,646,054.00 0.40004592% 1,643,690.61 0.41267030% 0.309465% 9.090726% Class B-5 1,028,864.00 0.25004820% 1,027,386.77 0.25793906% 0.154731% 4.545326% Class B-6 0.00 0.00000000% 0.00 0.00000000% 0.257939% 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 0.02510632% Fraud 12,343,987.00 2.99999978% 12,343,987.00 3.09912142% Special Hazard 4,114,663.00 1.00000009% 3,983,060.14 1.00000000% Limit of Subordinate's Exposure to Certain Types of Losses
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 5.081758% Weighted Average Net Coupon 4.759454% Weighted Average Pass-Through Rate 4.748884% Weighted Average Maturity(Stepdown Calculation ) 354 Beginning Scheduled Collateral Loan Count 857 Number Of Loans Paid In Full 18 Ending Scheduled Collateral Loan Count 839 Beginning Scheduled Collateral Balance 407,909,079.73 Ending Scheduled Collateral Balance 398,306,014.48 Ending Actual Collateral Balance at 31-Mar-2004 398,502,467.10 Monthly P &I Constant 2,021,345.94 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Class A Optimal Amount 11,153,851.22 Ending Scheduled Balance for Premium Loans 398,306,014.48 Scheduled Principal 293,933.30 Unscheduled Principal 9,309,131.95
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 5.251275 4.943734 5.442370 Weighted Average Net Rate 4.876275 4.568734 5.100094 Weighted Average Maturity 354 353 354 Beginning Loan Count 170 106 41 Loans Paid In Full 1 1 1 Ending Loan Count 169 105 40 Beginning Scheduled Balance 84,549,042.06 45,119,380.28 19,009,674.07 Ending scheduled Balance 84,384,396.90 44,565,212.40 17,893,893.59 Record Date 03/31/2004 03/31/2004 03/31/2004 Principal And Interest Constant 370,778.97 243,044.76 108,156.51 Scheduled Principal 787.06 57,162.92 21,941.77 Unscheduled Principal 163,858.10 497,004.96 1,093,838.71 Scheduled Interest 369,991.91 185,881.84 86,214.74 Servicing Fees 26,421.58 14,099.81 5,422.14 Master Servicing Fees 704.57 375.99 158.42 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 0.00 193.56 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 342,865.76 171,212.48 80,634.18 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 4.866275 4.553586 5.090094
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 5.058536 5.004996 5.081758 Weighted Average Net Rate 4.683536 4.754997 4.759454 Weighted Average Maturity 354 354 354 Beginning Loan Count 183 357 857 Loans Paid In Full 0 15 18 Ending Loan Count 183 342 839 Beginning Scheduled Balance 92,246,620.08 166,984,363.24 407,909,079.73 Ending scheduled Balance 92,147,226.94 159,315,284.65 398,306,014.48 Record Date 03/31/2004 03/31/2004 03/31/2004 Principal And Interest Constant 392,934.66 906,431.04 2,021,345.94 Scheduled Principal 4,073.97 209,967.58 293,933.30 Unscheduled Principal 95,319.17 7,459,111.01 9,309,131.95 Scheduled Interest 388,860.69 696,463.46 1,727,412.64 Servicing Fees 28,827.06 34,788.40 109,558.99 Master Servicing Fees 768.73 1,391.53 3,399.24 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 0.00 193.56 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 359,264.90 660,283.53 1,614,260.85 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 4.673536 4.744996 4.748884
Miscellaneous Reporting Group Group 1 Senior Percentage 96.645993% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.354007% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0 Group Group 2 Senior Percentage 96.699575% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300425% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0 Group Group 3 Senior Percentage 96.699717% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.300283% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0
Miscellaneous Reporting Group Group 4 Senior Percentage 96.695596% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.304404% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0 Group Group 5 Senior Percentage 96.665343% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.334657% Subordinate Prepayment Percentage 0.000000% Interest Transfer 0 Principal Transfer 0
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