-----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, SK3yHoC4xvG3lD7yKb453OuoLOriPIT1UFrWjYEvZeUJQzDflqsxnO0EVe0sgGWT FO4nQ3ZHavCUB/B4eShd7w== 0001056404-04-002894.txt : 20040903 0001056404-04-002894.hdr.sgml : 20040903 20040903115137 ACCESSION NUMBER: 0001056404-04-002894 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040825 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20040903 DATE AS OF CHANGE: 20040903 FILER: COMPANY DATA: COMPANY CONFORMED NAME: STRUCTURED ASSET MORT INVESTMENT THORNBURG SEC TRUST 2004-1 CENTRAL INDEX KEY: 0001285683 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: 333-106323-22 FILM NUMBER: 041015736 BUSINESS ADDRESS: STREET 1: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10179 8-K 1 thb04001.txt AUGUST 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): August 25, 2004 THORNBURG MORTGAGE SECURITIES TRUST Mortgage Pass-Through Certificates, Series 2004-1 Trust (Exact name of registrant as specified in its charter) Delaware (governing law of 333-106323-22 54-2150458 Pooling and Servicing Agreement) (Commission 54-2150459 (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 August 25, 2004 a distribution was made to holders of THORNBURG MORTGAGE SECURITIES TRUST, Mortgage Pass-Through Certificates, Series 2004-1 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 2004-1 Trust, relating to the August 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. THORNBURG MORTGAGE SECURITIES TRUST Mortgage Pass-Through Certificates, Series 2004-1 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: 9/1/2004 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2004-1 Trust, relating to the August 25, 2004 distribution. EX-99.1
Thornburg Mortgage Home Loans, Inc. Mortgage Pass-Through Certificates Record Date: 7/31/2004 Distribution Date: 8/25/2004 THB Series: 2004-1 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-1A 885220ET6 SEN 1.72000% 106,882,345.95 153,198.03 2,527,114.66 I-2A 885220EU3 SEN 1.90000% 220,170,823.45 348,603.81 5,488,944.07 I-M 885220EZ2 SUB 2.03000% 8,357,500.00 14,138.10 0.00 II-1A 885220EV1 SEN 2.66129% 178,733,070.91 396,383.80 3,267,366.27 II-2A 885220EW9 SEN 3.34923% 282,858,832.54 789,465.95 2,736,075.34 II-3A 885220EX7 SEN 3.70066% 102,972,553.19 317,555.41 295,018.85 II-4A 885220EY5 SEN 4.26122% 86,012,313.75 305,431.10 1,168,036.53 II-M 885220FA6 SUB 4.17147% 17,471,000.00 60,733.20 0.00 B-IO 885220FD0 SEN 0.00000% 389.20 1,009,532.37 0.00 R-1 885220FB4 SEN 0.00000% 0.00 0.00 0.00 R-2 885220FC2 SEN 0.00000% 0.00 0.00 0.00 Totals 1,003,458,828.99 3,395,041.77 15,482,555.72
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-1A 0.00 104,355,231.29 2,680,312.69 0.00 I-2A 0.00 214,681,879.39 5,837,547.88 0.00 I-M 0.00 8,357,500.00 14,138.10 0.00 II-1A 0.00 175,465,704.63 3,663,750.07 0.00 II-2A 0.00 280,122,757.20 3,525,541.29 0.00 II-3A 0.00 102,677,534.35 612,574.26 0.00 II-4A 0.00 84,844,277.22 1,473,467.63 0.00 II-M 0.00 17,471,000.00 60,733.20 0.00 B-IO 0.00 389.20 1,009,532.37 0.00 R-1 0.00 0.00 0.00 0.00 R-2 0.00 0.00 0.00 0.00 Totals 0.00 987,976,273.28 18,877,597.49 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-1A 109,478,000.00 106,882,345.95 0.00 2,527,114.66 0.00 0.00 I-2A 245,489,000.00 220,170,823.45 0.00 5,488,944.07 0.00 0.00 I-M 8,357,500.00 8,357,500.00 0.00 0.00 0.00 0.00 II-1A 197,987,000.00 178,733,070.91 0.00 3,267,366.27 0.00 0.00 II-2A 320,096,000.00 282,858,832.54 0.00 2,736,075.34 0.00 0.00 II-3A 110,737,000.00 102,972,553.19 0.00 295,018.85 0.00 0.00 II-4A 97,092,000.00 86,012,313.75 0.00 1,168,036.53 0.00 0.00 II-M 17,471,000.00 17,471,000.00 0.00 0.00 0.00 0.00 B-IO 389.20 389.20 0.00 0.00 0.00 0.00 R-1 50.00 0.00 0.00 0.00 0.00 0.00 R-2 50.00 0.00 0.00 0.00 0.00 0.00 Totals 1,106,707,989.20 1,003,458,828.99 0.00 15,482,555.72 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-1A 2,527,114.66 104,355,231.29 0.95320732 2,527,114.66 I-2A 5,488,944.07 214,681,879.39 0.87450712 5,488,944.07 I-M 0.00 8,357,500.00 1.00000000 0.00 II-1A 3,267,366.27 175,465,704.63 0.88624862 3,267,366.27 II-2A 2,736,075.34 280,122,757.20 0.87512108 2,736,075.34 II-3A 295,018.85 102,677,534.35 0.92721976 295,018.85 II-4A 1,168,036.53 84,844,277.22 0.87385446 1,168,036.53 II-M 0.00 17,471,000.00 1.00000000 0.00 B-IO 0.00 389.20 1.00000000 0.00 R-1 0.00 0.00 0.00000000 0.00 R-2 0.00 0.00 0.00000000 0.00 Totals 15,482,555.72 987,976,273.28 0.89271631 15,482,555.72
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-1A 109,478,000.00 976.29063328 0.00000000 23.08331044 0.00000000 I-2A 245,489,000.00 896.86635022 0.00000000 22.35922616 0.00000000 I-M 8,357,500.00 1000.00000000 0.00000000 0.00000000 0.00000000 II-1A 197,987,000.00 902.75154889 0.00000000 16.50293337 0.00000000 II-2A 320,096,000.00 883.66875106 0.00000000 8.54767114 0.00000000 II-3A 110,737,000.00 929.88389779 0.00000000 2.66413981 0.00000000 II-4A 97,092,000.00 885.88466352 0.00000000 12.03020362 0.00000000 II-M 17,471,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 B-IO 389.20 1000.00000000 0.00000000 0.00000000 0.00000000 R-1 50.00 0.00000000 0.00000000 0.00000000 0.00000000 R-2 50.00 0.00000000 0.00000000 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 I-1A 0.00000000 23.08331044 953.20732284 0.95320732 23.08331044 I-2A 0.00000000 22.35922616 874.50712411 0.87450712 22.35922616 I-M 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 II-1A 0.00000000 16.50293337 886.24861546 0.88624862 16.50293337 II-2A 0.00000000 8.54767114 875.12107993 0.87512108 8.54767114 II-3A 0.00000000 2.66413981 927.21975808 0.92721976 2.66413981 II-4A 0.00000000 12.03020362 873.85445989 0.87385446 12.03020362 II-M 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 B-IO 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R-2 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-1A 109,478,000.00 1.72000% 106,882,345.95 153,198.03 0.00 0.00 I-2A 245,489,000.00 1.90000% 220,170,823.45 348,603.80 0.00 0.00 I-M 8,357,500.00 2.03000% 8,357,500.00 14,138.10 0.00 0.00 II-1A 197,987,000.00 2.66129% 178,733,070.91 396,383.80 0.00 0.00 II-2A 320,096,000.00 3.34923% 282,858,832.54 789,465.94 0.00 0.00 II-3A 110,737,000.00 3.70066% 102,972,553.19 317,555.41 0.00 0.00 II-4A 97,092,000.00 4.26122% 86,012,313.75 305,431.10 0.00 0.00 II-M 17,471,000.00 4.17147% 17,471,000.00 60,733.20 0.00 0.00 B-IO 389.20 0.00000% 1,006,225,598.72 0.00 0.00 0.00 R-1 50.00 0.00000% 0.00 0.00 0.00 0.00 R-2 50.00 0.00000% 0.00 0.00 0.00 0.00 Totals 1,106,707,989.20 2,385,509.38 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-1A 0.00 0.00 153,198.03 0.00 104,355,231.29 I-2A (0.01) 0.00 348,603.81 0.00 214,681,879.39 I-M 0.00 0.00 14,138.10 0.00 8,357,500.00 II-1A (0.01) 0.00 396,383.80 0.00 175,465,704.63 II-2A (0.01) 0.00 789,465.95 0.00 280,122,757.20 II-3A 0.00 0.00 317,555.41 0.00 102,677,534.35 II-4A 0.00 0.00 305,431.10 0.00 84,844,277.22 II-M 0.00 0.00 60,733.20 0.00 17,471,000.00 B-IO 0.00 0.00 1,009,532.37 0.00 990,742,653.80 R-1 0.00 0.00 0.00 0.00 0.00 R-2 0.00 0.00 0.00 0.00 0.00 Totals (0.03) 0.00 3,395,041.77 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 I-1A 109,478,000.00 1.72000% 976.29063328 1.39934992 0.00000000 0.00000000 I-2A 245,489,000.00 1.90000% 896.86635022 1.42003837 0.00000000 0.00000000 I-M 8,357,500.00 2.03000% 1000.00000000 1.69166617 0.00000000 0.00000000 II-1A 197,987,000.00 2.66129% 902.75154889 2.00206983 0.00000000 0.00000000 II-2A 320,096,000.00 3.34923% 883.66875106 2.46634116 0.00000000 0.00000000 II-3A 110,737,000.00 3.70066% 929.88389779 2.86765408 0.00000000 0.00000000 II-4A 97,092,000.00 4.26122% 885.88466352 3.14579059 0.00000000 0.00000000 II-M 17,471,000.00 4.17147% 1000.00000000 3.47622918 0.00000000 0.00000000 B-IO 389.20 0.00000% 585368958.68448000 0.00000000 0.00000000 0.00000000 R-1 50.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 R-2 50.00 0.00000% 0.00000000 0.00000000 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 I-1A 0.00000000 0.00000000 1.39934992 0.00000000 953.20732284 I-2A (0.00000004) 0.00000000 1.42003841 0.00000000 874.50712411 I-M 0.00000000 0.00000000 1.69166617 0.00000000 1000.00000000 II-1A (0.00000005) 0.00000000 2.00206983 0.00000000 886.24861546 II-2A (0.00000003) 0.00000000 2.46634119 0.00000000 875.12107993 II-3A 0.00000000 0.00000000 2.86765408 0.00000000 927.21975808 II-4A 0.00000000 0.00000000 3.14579059 0.00000000 873.85445989 II-M 0.00000000 0.00000000 3.47622918 0.00000000 1000.00000000 B-IO 0.00000000 0.00000000 2593865.28776978 0.00000000 545587496.91675000 R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R-2 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 19,127,621.60 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 13,027.80 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 19,140,649.40 Withdrawals Reimbursement for Servicer Advances 22,178.65 Payment of Service Fee 240,873.26 Payment of Interest and Principal 18,877,597.49 Total Withdrawals (Pool Distribution Amount) 19,140,649.40 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 227,792.30 Master Servicing Fee - Well Fargo 12,577.80 Trustee Fee - Deutsche Bank 503.16 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 240,873.26
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 3,168,827.96 0.00 0.00 0.00 3,168,827.96 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 3,168,827.96 0.00 0.00 0.00 3,168,827.96 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 0.276370% 0.000000% 0.000000% 0.000000% 0.276370% 0.319804% 0.000000% 0.000000% 0.000000% 0.319804% 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 0.276370% 0.000000% 0.000000% 0.000000% 0.276370% 0.319804% 0.000000% 0.000000% 0.000000% 0.319804%
Delinquency Status By Groups DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp I-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 Grp I-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 Grp II-1, 3 Yr Hbr 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 1,400,000.00 0.00 0.00 0.00 1,400,000.00 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 1 0 0 0 1 1,400,000.00 0.00 0.00 0.00 1,400,000.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.216450% 0.000000% 0.000000% 0.000000% 0.216450% 0.774521% 0.000000% 0.000000% 0.000000% 0.774521% 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 0.216450% 0.000000% 0.000000% 0.000000% 0.216450% 0.774521% 0.000000% 0.000000% 0.000000% 0.774521% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp II-2, 5 Yr Hbr 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 3 796,490.42 0.00 0.00 0.00 796,490.42 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 3 796,490.42 0.00 0.00 0.00 796,490.42 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.443131% 0.000000% 0.000000% 0.000000% 0.443131% 0.275728% 0.000000% 0.000000% 0.000000% 0.275728% 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 0.443131% 0.000000% 0.000000% 0.000000% 0.443131% 0.275728% 0.000000% 0.000000% 0.000000% 0.275728% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp II-3, 7 Yr Hbr 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 1 548,009.17 0.00 0.00 0.00 548,009.17 60 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 150 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 180 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals 1 0 0 0 1 548,009.17 0.00 0.00 0.00 548,009.17 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.478469% 0.000000% 0.000000% 0.000000% 0.478469% 0.519412% 0.000000% 0.000000% 0.000000% 0.519412% 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 0.478469% 0.000000% 0.000000% 0.000000% 0.478469% 0.519412% 0.000000% 0.000000% 0.000000% 0.519412% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp II-4,10 Yr Hbr 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 1 424,328.37 0.00 0.00 0.00 424,328.37 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 1 424,328.37 0.00 0.00 0.00 424,328.37 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.740741% 0.000000% 0.000000% 0.000000% 0.740741% 0.485376% 0.000000% 0.000000% 0.000000% 0.485376% 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 0.740741% 0.000000% 0.000000% 0.000000% 0.740741% 0.485376% 0.000000% 0.000000% 0.000000% 0.485376%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 13,027.80
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 4.335800% Weighted Average Net Coupon 4.064140% Weighted Average Pass-Through Rate 4.048379% Weighted Average Maturity(Stepdown Calculation ) 355 Beginning Scheduled Collateral Loan Count 2,202 Number Of Loans Paid In Full 31 Ending Scheduled Collateral Loan Count 2,171 Beginning Scheduled Collateral Balance 1,006,225,598.72 Ending Scheduled Collateral Balance 990,742,653.80 Ending Actual Collateral Balance at 31-Jul-2004 990,865,130.14 Monthly P &I Constant 3,816,957.40 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Ending Scheduled Balance for Premium Loans 990,742,653.80 Scheduled Principal 181,296.83 Unscheduled Principal 15,301,648.09
3 Year Hybrid Loan Ending Scheduled Balance $180,739,949.99 5 Year Hybrid Loan Ending Scheduled Balance $288,795,042.17 7 Year Hybrid Loan Ending Scheduled Balance $105,489,668.63 10 Year Hybrid Loan Ending Scheduled Balanc $87,415,070.85
Miscellaneous Reporting 3 Month Rolling Delinquency Grp I 0.00 Excess Cashflow Group I 338,897.57 Overcollateralization Amount Group I 908,311.49 Overcollateralization Deficiency Grp I 0.00 Overcollateralized Reduction Amt Grp I 94.26 Target Overcollateralized Amount Grp I 908,311.49 3 Month Rolling Delinquency Grp II 0.00 Excess Cashflow Group II 670,245.66 Overcollateralization Amount Group II 1,858,458.24 Overcollateralization Deficiency Grp II 0.00 Overcollateralized Reduction Amt Grp II 294.94 Target Overcollateralized Amount Grp II 1,858,458.24
Group Level Collateral Statement Group Grp I-1 Grp I-2 Grp II-1, 3 Yr Hbr Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 3.144571 3.447669 4.238627 Weighted Average Net Rate 2.867791 3.161263 3.981890 Weighted Average Maturity 355 355 355 Beginning Loan Count 203 500 469 Loans Paid In Full 4 11 7 Ending Loan Count 199 489 462 Beginning Scheduled Balance 109,521,884.71 226,797,190.44 184,007,445.33 Ending scheduled Balance 106,994,740.33 221,308,181.83 180,739,949.99 Record Date 07/31/2004 07/31/2004 07/31/2004 Principal And Interest Constant 290,201.96 659,905.35 686,713.36 Scheduled Principal 3,202.55 8,304.06 36,764.22 Unscheduled Principal 2,523,941.83 5,480,704.55 3,230,731.12 Scheduled Interest 286,999.41 651,601.29 649,949.14 Servicing Fees 25,261.17 54,129.92 39,367.95 Master Servicing Fees 1,369.03 2,834.96 2,300.09 Trustee Fee 54.76 113.42 92.00 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 260,314.45 594,522.99 608,189.10 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 2.852191 3.145663 3.966290
Group Level Collateral Statement Group Grp II-2, 5 Yr Hbr Grp II-3, 7 Yr Hbr Grp II-4,10 Yr Hbr Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 4.890720 5.158306 5.475819 Weighted Average Net Rate 4.630384 4.848261 5.225819 Weighted Average Maturity 354 351 353 Beginning Loan Count 684 210 136 Loans Paid In Full 7 1 1 Ending Loan Count 677 209 135 Beginning Scheduled Balance 291,531,225.59 105,784,699.13 88,583,153.52 Ending scheduled Balance 288,795,042.17 105,489,668.63 87,415,070.85 Record Date 07/31/2004 07/31/2004 07/31/2004 Principal And Interest Constant 1,289,469.07 475,911.29 414,756.37 Scheduled Principal 101,304.30 21,186.44 10,535.26 Unscheduled Principal 2,634,879.12 273,844.06 1,157,547.41 Scheduled Interest 1,188,164.77 454,724.85 404,221.11 Servicing Fees 63,246.75 27,331.67 18,454.84 Master Servicing Fees 3,644.12 1,322.31 1,107.29 Trustee Fee 145.78 52.90 44.30 FRY Amount 0.00 0.00 0.00 Special Hazard Fee 0.00 0.00 0.00 Other Fee 134.82 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 1,120,993.30 426,017.97 384,614.68 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 4.614229 4.832661 5.210219
Group Level Collateral Statement Group Total Collateral Description Mixed ARM Weighted Average Coupon Rate 4.335800 Weighted Average Net Rate 4.064140 Weighted Average Maturity 355.00 Record Date 07/31/2004 Principal And Interest Constant 3,816,957.40 Beginning Loan Count 2,202 Loans Paid In Full 31 Ending Loan Count 2,171 Beginning Scheduled Balance 1,006,225,598.72 Ending Scheduled Balance 990,742,653.80 Scheduled Principal 181,296.83 Unscheduled Principal 15,301,648.09 Scheduled Interest 3,635,660.57 Servicing Fee 227,792.30 Master Servicing Fee 12,577.80 Trustee Fee 503.16 Fry Amount 0.00 Special Hazard Fee 0.00 Other Fee 134.82 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 3,394,652.49 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Percentage of Cumulative Losses 0.0000 Prepayment Penalties 0.00 Special Servicing Fee 0.00 Pass-Through Rate 4.048379
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