-----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, EuYk+GiQjH8oy9hI9cPcLMG0hS7yt2TMvxjJNTV15P9Gdqdc/RzNTQDs85Q8BG71 nDUbTcC4Q1/zkEhzq7AdOw== 0001056404-04-004275.txt : 20041203 0001056404-04-004275.hdr.sgml : 20041203 20041203152133 ACCESSION NUMBER: 0001056404-04-004275 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20041126 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20041203 DATE AS OF CHANGE: 20041203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: STRUCTURED ASSET MORT INVESTMENT THORNBURG SEC TRUST 2004-1 CENTRAL INDEX KEY: 0001285683 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-106323-22 FILM NUMBER: 041183590 BUSINESS ADDRESS: STREET 1: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10179 8-K 1 thb04001_nov.txt NOVEMBER 8K UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington D. C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): November 26, 2004 THORNBURG MORTGAGE SECURITIES TRUST Mortgage Pass-Through Certificates, Series 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 November 26, 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 November 26, 2004 distribution. Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. THORNBURG MORTGAGE SECURITIES TRUST Mortgage Pass-Through Certificates, Series 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: 12/1/2004 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 November 26, 2004 distribution. EX-99.1
Thornburg Mortgage Home Loans, Inc. Mortgage Pass-Through Certificates Record Date: 10/31/2004 Distribution Date: 11/26/2004 THB Series: 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 2.20250% 97,810,850.55 179,523.67 3,987,629.54 I-2A 885220EU3 SEN 2.38250% 202,501,702.61 402,050.26 3,606,168.55 I-M 885220EZ2 SUB 2.51250% 8,357,500.00 17,498.52 0.00 II-1A 885220EV1 SEN 2.65965% 170,374,394.06 377,614.13 1,856,853.93 II-2A 885220EW9 SEN 3.34518% 274,365,871.29 764,835.88 5,304,940.47 II-3A 885220EX7 SEN 3.69876% 101,715,619.15 313,517.91 1,068,457.66 II-4A 885220EY5 SEN 4.23321% 81,101,932.51 286,101.30 58,460.82 II-M 885220FA6 SUB 4.16521% 17,471,000.00 60,642.01 0.00 B-IO 885220FD0 SEN 0.00000% 389.20 907,460.13 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 953,699,259.37 3,309,243.81 15,882,510.97
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses I-1A 0.00 93,823,221.01 4,167,153.21 0.00 I-2A 0.00 198,895,534.06 4,008,218.81 0.00 I-M 0.00 8,357,500.00 17,498.52 0.00 II-1A 0.00 168,517,540.13 2,234,468.06 0.00 II-2A 0.00 269,060,930.82 6,069,776.35 0.00 II-3A 0.00 100,647,161.49 1,381,975.57 0.00 II-4A 0.00 81,043,471.69 344,562.12 0.00 II-M 0.00 17,471,000.00 60,642.01 0.00 B-IO 0.00 389.20 907,460.13 0.00 R-1 0.00 0.00 0.00 0.00 R-2 0.00 0.00 0.00 0.00 Totals 0.00 937,816,748.40 19,191,754.78 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 97,810,850.55 0.00 3,987,629.54 0.00 0.00 I-2A 245,489,000.00 202,501,702.61 0.00 3,606,168.55 0.00 0.00 I-M 8,357,500.00 8,357,500.00 0.00 0.00 0.00 0.00 II-1A 197,987,000.00 170,374,394.06 0.00 1,856,853.93 0.00 0.00 II-2A 320,096,000.00 274,365,871.29 0.00 5,304,940.47 0.00 0.00 II-3A 110,737,000.00 101,715,619.15 0.00 1,068,457.66 0.00 0.00 II-4A 97,092,000.00 81,101,932.51 0.00 58,460.82 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 1,106,707,989.20 953,699,259.37 0.00 15,882,510.97 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 3,987,629.54 93,823,221.01 0.85700525 3,987,629.54 I-2A 3,606,168.55 198,895,534.06 0.81020141 3,606,168.55 I-M 0.00 8,357,500.00 1.00000000 0.00 II-1A 1,856,853.93 168,517,540.13 0.85115457 1,856,853.93 II-2A 5,304,940.47 269,060,930.82 0.84056324 5,304,940.47 II-3A 1,068,457.66 100,647,161.49 0.90888467 1,068,457.66 II-4A 58,460.82 81,043,471.69 0.83470803 58,460.82 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 15,882,510.97 937,816,748.40 0.84739313 15,882,510.97
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion I-1A 109,478,000.00 893.42927849 0.00000000 36.42402620 0.00000000 I-2A 245,489,000.00 824.89114628 0.00000000 14.68973579 0.00000000 I-M 8,357,500.00 1000.00000000 0.00000000 0.00000000 0.00000000 II-1A 197,987,000.00 860.53323733 0.00000000 9.37866592 0.00000000 II-2A 320,096,000.00 857.13620692 0.00000000 16.57296708 0.00000000 II-3A 110,737,000.00 918.53327388 0.00000000 9.64860580 0.00000000 II-4A 97,092,000.00 835.31014409 0.00000000 0.60211779 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 36.42402620 857.00525229 0.85700525 36.42402620 I-2A 0.00000000 14.68973579 810.20141049 0.81020141 14.68973579 I-M 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 II-1A 0.00000000 9.37866592 851.15457141 0.85115457 9.37866592 II-2A 0.00000000 16.57296708 840.56323984 0.84056324 16.57296708 II-3A 0.00000000 9.64860580 908.88466809 0.90888467 9.64860580 II-4A 0.00000000 0.60211779 834.70802630 0.83470803 0.60211779 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 2.20250% 97,810,850.55 179,523.67 0.00 0.00 I-2A 245,489,000.00 2.38250% 202,501,702.61 402,050.26 0.00 0.00 I-M 8,357,500.00 2.51250% 8,357,500.00 17,498.52 0.00 0.00 II-1A 197,987,000.00 2.65965% 170,374,394.06 377,614.13 0.00 0.00 II-2A 320,096,000.00 3.34518% 274,365,871.29 764,835.88 0.00 0.00 II-3A 110,737,000.00 3.69876% 101,715,619.15 313,517.91 0.00 0.00 II-4A 97,092,000.00 4.23321% 81,101,932.51 286,101.30 0.00 0.00 II-M 17,471,000.00 4.16521% 17,471,000.00 60,642.00 0.00 0.00 B-IO 389.20 0.00000% 956,465,639.89 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 2,401,783.67 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 0.00 179,523.67 0.00 93,823,221.01 I-2A 0.00 0.00 402,050.26 0.00 198,895,534.06 I-M 0.00 0.00 17,498.52 0.00 8,357,500.00 II-1A 0.00 0.00 377,614.13 0.00 168,517,540.13 II-2A 0.00 0.00 764,835.88 0.00 269,060,930.82 II-3A 0.00 0.00 313,517.91 0.00 100,647,161.49 II-4A 0.00 0.00 286,101.30 0.00 81,043,471.69 II-M 0.00 0.00 60,642.01 0.00 17,471,000.00 B-IO 0.00 0.00 907,460.13 0.00 940,583,128.92 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 0.00 0.00 3,309,243.81 0.00 (4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Interest Distribution Factors Statement Beginning Payment of Original Current Certificate/ Current Unpaid Current Face Certificate Notional Accrued Interest Interest Class (5) Amount Rate Balance Interest Shortfall Shortfall I-1A 109,478,000.00 2.20250% 893.42927849 1.63981503 0.00000000 0.00000000 I-2A 245,489,000.00 2.38250% 824.89114628 1.63775265 0.00000000 0.00000000 I-M 8,357,500.00 2.51250% 1000.00000000 2.09375052 0.00000000 0.00000000 II-1A 197,987,000.00 2.65965% 860.53323733 1.90726730 0.00000000 0.00000000 II-2A 320,096,000.00 3.34518% 857.13620692 2.38939531 0.00000000 0.00000000 II-3A 110,737,000.00 3.69876% 918.53327388 2.83119382 0.00000000 0.00000000 II-4A 97,092,000.00 4.23321% 835.31014409 2.94670313 0.00000000 0.00000000 II-M 17,471,000.00 4.16521% 1000.00000000 3.47100910 0.00000000 0.00000000 B-IO 389.20 0.00000% 457517060.35457000 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 1.63981503 0.00000000 857.00525229 I-2A 0.00000000 0.00000000 1.63775265 0.00000000 810.20141049 I-M 0.00000000 0.00000000 2.09375052 0.00000000 1000.00000000 II-1A 0.00000000 0.00000000 1.90726730 0.00000000 851.15457141 II-2A 0.00000000 0.00000000 2.38939531 0.00000000 840.56323984 II-3A 0.00000000 0.00000000 2.83119382 0.00000000 908.88466809 II-4A 0.00000000 0.00000000 2.94670313 0.00000000 834.70802630 II-M 0.00000000 0.00000000 3.47100967 0.00000000 1000.00000000 B-IO 0.00000000 0.00000000 2331603.62281603 0.00000000 416708964.33710000 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 19,398,099.25 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 39,146.72 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 19,437,245.97 Withdrawals Reimbursement for Servicer Advances 16,649.95 Payment of Service Fee 228,841.24 Payment of Interest and Principal 19,191,754.78 Total Withdrawals (Pool Distribution Amount) 19,437,245.97 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 216,407.18 Master Servicing Fee - Well Fargo 11,955.78 Trustee Fee - Deutsche Bank 478.28 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 228,841.24
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 13 0 0 0 13 9,747,518.95 0.00 0.00 0.00 9,747,518.95 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 13 0 0 0 13 9,747,518.95 0.00 0.00 0.00 9,747,518.95 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 0.627716% 0.000000% 0.000000% 0.000000% 0.627716% 1.036188% 0.000000% 0.000000% 0.000000% 1.036188% 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 0.627716% 0.000000% 0.000000% 0.000000% 0.627716% 1.036188% 0.000000% 0.000000% 0.000000% 1.036188%
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 1 0 0 0 1 619,500.00 0.00 0.00 0.00 619,500.00 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 1 619,500.00 0.00 0.00 0.00 619,500.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.529101% 0.000000% 0.000000% 0.000000% 0.529101% 0.642204% 0.000000% 0.000000% 0.000000% 0.642204% 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 0.529101% 0.000000% 0.000000% 0.000000% 0.529101% 0.642204% 0.000000% 0.000000% 0.000000% 0.642204% 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 3 0 0 0 3 2,819,902.06 0.00 0.00 0.00 2,819,902.06 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 2,819,902.06 0.00 0.00 0.00 2,819,902.06 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.662252% 0.000000% 0.000000% 0.000000% 0.662252% 1.372028% 0.000000% 0.000000% 0.000000% 1.372028% 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 0.662252% 0.000000% 0.000000% 0.000000% 0.662252% 1.372028% 0.000000% 0.000000% 0.000000% 1.372028% 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 3 0 0 0 3 836,654.08 0.00 0.00 0.00 836,654.08 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 3 836,654.08 0.00 0.00 0.00 836,654.08 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.677201% 0.000000% 0.000000% 0.000000% 0.677201% 0.481364% 0.000000% 0.000000% 0.000000% 0.481364% 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 0.677201% 0.000000% 0.000000% 0.000000% 0.677201% 0.481364% 0.000000% 0.000000% 0.000000% 0.481364% 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 5 0 0 0 5 4,968,825.51 0.00 0.00 0.00 4,968,825.51 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 4,968,825.51 0.00 0.00 0.00 4,968,825.51 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.766871% 0.000000% 0.000000% 0.000000% 0.766871% 1.788573% 0.000000% 0.000000% 0.000000% 1.788573% 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 0.766871% 0.000000% 0.000000% 0.000000% 0.766871% 1.788573% 0.000000% 0.000000% 0.000000% 1.788573% 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 1 502,637.30 0.00 0.00 0.00 502,637.30 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 1 502,637.30 0.00 0.00 0.00 502,637.30 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.487805% 0.000000% 0.000000% 0.000000% 0.487805% 0.485751% 0.000000% 0.000000% 0.000000% 0.485751% 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 0.487805% 0.000000% 0.000000% 0.000000% 0.487805% 0.485751% 0.000000% 0.000000% 0.000000% 0.485751% 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 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%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 39,146.72
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 4.439118% Weighted Average Net Coupon 4.167609% Weighted Average Pass-Through Rate 4.151840% Weighted Average Maturity(Stepdown Calculation ) 352 Beginning Scheduled Collateral Loan Count 2,101 Number Of Loans Paid In Full 30 Ending Scheduled Collateral Loan Count 2,071 Beginning Scheduled Collateral Balance 956,465,639.89 Ending Scheduled Collateral Balance 940,583,128.92 Ending Actual Collateral Balance at 31-Oct-2004 940,709,807.03 Monthly P &I Constant 3,713,932.39 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 940,583,128.92 Scheduled Principal 175,712.59 Unscheduled Principal 15,706,798.38
Miscellaneous Reporting 3 Month Rolling Delinquency Grp I 0.00 Excess Cashflow Group I 260,337.39 Overcollateralization Amount Group I 908,311.49 Overcollateralization Deficiency Grp I 0.00 Overcollateralized Reduction Amt Grp I 0.00 Target Overcollateralized Amount Grp I 908,311.49 3 Month Rolling Delinquency Grp II 0.00 Excess Cashflow Group II 647,122.79 Overcollateralization Amount Group II 1,858,458.24 Overcollateralization Deficiency Grp II 0.00 Overcollateralized Reduction Amt Grp II 0.00 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 3.596546 3.645575 4.236687 Weighted Average Net Rate 3.321359 3.359136 3.980254 Weighted Average Maturity 352 352 352 Beginning Loan Count 192 463 447 Loans Paid In Full 3 10 4 Ending Loan Count 189 453 443 Beginning Scheduled Balance 100,450,359.59 209,128,005.05 175,648,639.42 Ending scheduled Balance 96,462,730.05 205,521,836.50 173,791,785.49 Record Date 10/31/2004 10/31/2004 10/31/2004 Principal And Interest Constant 303,964.56 642,497.93 656,197.91 Scheduled Principal 2,902.60 7,171.44 36,057.62 Unscheduled Principal 3,984,726.94 3,598,997.11 1,820,796.31 Scheduled Interest 301,061.96 635,326.49 620,140.29 Servicing Fees 23,035.50 49,918.64 37,535.11 Master Servicing Fees 1,255.61 2,614.11 2,195.60 Trustee Fee 50.22 104.58 87.82 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 276,720.63 582,689.16 580,321.76 Realized Loss Amount 0.00 0.00 0.00 Cumulative Realized Loss 0.00 0.00 0.00 Percentage of Cumulative Losses 0.0000 0.0000 0.0000 Prepayment Penalties 0.00 0.00 0.00 Special Servicing Fee 0.00 0.00 0.00 Pass-Through Rate 3.305759 3.343536 3.964654
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 4.886792 5.156979 5.447811 Weighted Average Net Rate 4.626351 4.846358 5.197811 Weighted Average Maturity 351 348 350 Beginning Loan Count 664 206 129 Loans Paid In Full 12 1 0 Ending Loan Count 652 205 129 Beginning Scheduled Balance 283,038,156.26 104,527,753.43 83,672,726.14 Ending scheduled Balance 277,733,215.79 103,459,295.77 83,614,265.32 Record Date 10/31/2004 10/31/2004 10/31/2004 Principal And Interest Constant 1,251,377.18 470,508.81 389,386.00 Scheduled Principal 98,753.26 21,302.64 9,525.03 Unscheduled Principal 5,206,187.21 1,047,155.02 48,935.79 Scheduled Interest 1,152,623.92 449,206.17 379,860.97 Servicing Fees 61,429.06 27,057.05 17,431.82 Master Servicing Fees 3,537.95 1,306.59 1,045.92 Trustee Fee 141.55 52.28 41.83 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 1,087,380.54 420,790.25 361,341.40 Realized Loss Amount 0.00 0.00 0.00 Cumulative Realized Loss 0.00 0.00 0.00 Percentage of Cumulative Losses 0.0000 0.0000 0.0000 Prepayment Penalties 0.00 0.00 0.00 Special Servicing Fee 0.00 0.00 0.00 Pass-Through Rate 4.610179 4.830758 5.182211
Group Level Collateral Statement Group Total Collateral Description Mixed ARM Weighted Average Coupon Rate 4.439118 Weighted Average Net Rate 4.167609 Weighted Average Maturity 352.00 Record Date 10/31/2004 Principal And Interest Constant 3,713,932.39 Beginning Loan Count 2,101 Loans Paid In Full 30 Ending Loan Count 2,071 Beginning Scheduled Balance 956,465,639.89 Ending Scheduled Balance 940,583,128.92 Scheduled Principal 175,712.59 Unscheduled Principal 15,706,798.38 Scheduled Interest 3,538,219.80 Servicing Fee 216,407.18 Master Servicing Fee 11,955.78 Trustee Fee 478.28 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 3,309,243.74 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 4.151840
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