-----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, JdYXjkUXWUTQM4VCxeHjyHUxkvZP4n0cK/lO7lJsJYRR2wQvd+Zc+i0o1CXdRhSG +72VDdR/a9i3f/b1B/FpzA== 0001056404-04-002834.txt : 20040903 0001056404-04-002834.hdr.sgml : 20040903 20040903085418 ACCESSION NUMBER: 0001056404-04-002834 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 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Thornburg Mortgage Securities Trust 2004-2 CENTRAL INDEX KEY: 0001296039 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: 333-111379-16 FILM NUMBER: 041015220 BUSINESS ADDRESS: STREET 1: C/O NORWEST BANK MINNESOTA NA STREET 2: 11000 BROKEN LAND PARKWAY CITY: COLUMBIA STATE: MD ZIP: 21044 BUSINESS PHONE: 2036222700 MAIL ADDRESS: STREET 1: 600 STEAMBOAT ROAD STREET 2: GREENWICH CAPITAL MARKETS INC CITY: GREENWICH STATE: CT ZIP: 06830 8-K 1 thb04002.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 Loan Pass-Through Certificates, Series 2004-2 Trust (Exact name of registrant as specified in its charter) Delaware (governing law of 333-111379-16 54-2155170 Pooling and Servicing Agreement) (Commission 54-2155171 (State or other File Number) 54-2155172 jurisdiction 54-2155173 of Incorporation) IRS EIN 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 Loan Pass-Through Certificates, Series 2004-2 Trust . ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Loan Pass-Through Certificates, Series 2004-2 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 Loan Pass-Through Certificates, Series 2004-2 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 Loan Pass-Through Certificates, Series 2004-2 Trust, relating to the August 25, 2004 distribution. EX-99.1
Thornburg Mortgage Securities Trust Mortgage Loan Pass-Through Certificates Record Date: 7/31/2004 Distribution Date: 8/25/2004 THB Series: 2004-2 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 A-1 885220FE8 SEN 1.76000% 656,066,726.65 962,231.20 8,606,124.32 A-2 885220FF5 SEN 1.60000% 133,914,082.84 178,552.11 5,001,657.78 A-3 885220FG3 SEN 1.73000% 78,750,000.00 113,531.25 0.00 A-4 885220FH1 SEN 1.79000% 168,625,000.00 251,532.29 0.00 A-X 885220FJ7 SEN 0.96382% 0.00 861,787.14 0.00 A-R 885220FK4 SEN 3.90168% 0.00 0.09 0.00 B-1 885220FL2 SUB 2.05000% 16,185,459.33 27,650.16 1,544.89 B-2 885220FM0 SUB 2.45000% 7,553,281.02 15,421.28 720.95 B-3 885220FN8 SUB 2.45000% 3,776,640.51 7,710.64 360.48 B-4 885220FP3 SUB 2.45000% 3,776,640.51 7,710.64 360.48 B-5 885220FQ1 SUB 2.45000% 2,157,794.60 4,405.50 205.96 B-6 885220FR9 SUB 2.45000% 2,160,379.47 4,410.77 206.21 Totals 1,072,966,004.93 2,434,943.07 13,611,181.07
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses A-1 0.00 647,460,602.32 9,568,355.52 0.00 A-2 0.00 128,912,425.05 5,180,209.89 0.00 A-3 0.00 78,750,000.00 113,531.25 0.00 A-4 0.00 168,625,000.00 251,532.29 0.00 A-X 0.00 0.00 861,787.14 0.00 A-R 0.00 0.00 0.09 0.00 B-1 0.00 16,183,914.45 29,195.05 0.00 B-2 0.00 7,552,560.06 16,142.23 0.00 B-3 0.00 3,776,280.03 8,071.12 0.00 B-4 0.00 3,776,280.03 8,071.12 0.00 B-5 0.00 2,157,588.64 4,611.46 0.00 B-6 0.00 2,160,173.26 4,616.98 0.00 Totals 0.00 1,059,354,823.84 16,046,124.14 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) A-1 660,000,000.00 656,066,726.65 62,620.98 8,543,503.35 0.00 0.00 A-2 136,200,000.00 133,914,082.84 36,393.70 4,965,264.08 0.00 0.00 A-3 78,750,000.00 78,750,000.00 0.00 0.00 0.00 0.00 A-4 168,625,000.00 168,625,000.00 0.00 0.00 0.00 0.00 A-X 0.00 0.00 0.00 0.00 0.00 0.00 A-R 100.00 0.00 0.00 0.00 0.00 0.00 B-1 16,187,000.00 16,185,459.33 1,544.89 0.00 0.00 0.00 B-2 7,554,000.00 7,553,281.02 720.95 0.00 0.00 0.00 B-3 3,777,000.00 3,776,640.51 360.48 0.00 0.00 0.00 B-4 3,777,000.00 3,776,640.51 360.48 0.00 0.00 0.00 B-5 2,158,000.00 2,157,794.60 205.96 0.00 0.00 0.00 B-6 2,160,585.00 2,160,379.47 206.21 0.00 0.00 0.00 Totals 1,079,188,685.00 1,072,966,004.93 102,413.65 13,508,767.43 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 A-1 8,606,124.32 647,460,602.32 0.98100091 8,606,124.32 A-2 5,001,657.78 128,912,425.05 0.94649358 5,001,657.78 A-3 0.00 78,750,000.00 1.00000000 0.00 A-4 0.00 168,625,000.00 1.00000000 0.00 A-X 0.00 0.00 0.00000000 0.00 A-R 0.00 0.00 0.00000000 0.00 B-1 1,544.89 16,183,914.45 0.99980938 1,544.89 B-2 720.95 7,552,560.06 0.99980938 720.95 B-3 360.48 3,776,280.03 0.99980938 360.48 B-4 360.48 3,776,280.03 0.99980938 360.48 B-5 205.96 2,157,588.64 0.99980938 205.96 B-6 206.21 2,160,173.26 0.99980943 206.21 Totals 13,611,181.07 1,059,354,823.84 0.98162151 13,611,181.07
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion A-1 660,000,000.00 994.04049492 0.09488027 12.94470205 0.00000000 A-2 136,200,000.00 983.21646725 0.26720778 36.45568341 0.00000000 A-3 78,750,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 A-4 168,625,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 A-X 0.00 0.00000000 0.00000000 0.00000000 0.00000000 A-R 100.00 0.00000000 0.00000000 0.00000000 0.00000000 B-1 16,187,000.00 999.90482053 0.09544017 0.00000000 0.00000000 B-2 7,554,000.00 999.90482129 0.09543950 0.00000000 0.00000000 B-3 3,777,000.00 999.90482129 0.09544083 0.00000000 0.00000000 B-4 3,777,000.00 999.90482129 0.09544083 0.00000000 0.00000000 B-5 2,158,000.00 999.90481928 0.09544022 0.00000000 0.00000000 B-6 2,160,585.00 999.90487299 0.09544174 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 A-1 0.00000000 13.03958230 981.00091261 0.98100091 13.03958230 A-2 0.00000000 36.72289119 946.49357599 0.94649358 36.72289119 A-3 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 A-4 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 A-X 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 A-R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 B-1 0.00000000 0.09544017 999.80938098 0.99980938 0.09544017 B-2 0.00000000 0.09543950 999.80938046 0.99980938 0.09543950 B-3 0.00000000 0.09544083 999.80938046 0.99980938 0.09544083 B-4 0.00000000 0.09544083 999.80938046 0.99980938 0.09544083 B-5 0.00000000 0.09544022 999.80937905 0.99980938 0.09544022 B-6 0.00000000 0.09544174 999.80943124 0.99980943 0.09544174 (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 A-1 660,000,000.00 1.76000% 656,066,726.65 962,231.20 0.00 0.00 A-2 136,200,000.00 1.60000% 133,914,082.84 178,552.11 0.00 0.00 A-3 78,750,000.00 1.73000% 78,750,000.00 113,531.25 0.00 0.00 A-4 168,625,000.00 1.79000% 168,625,000.00 251,532.29 0.00 0.00 A-X 0.00 0.96382% 1,072,966,005.03 861,787.14 0.00 0.00 A-R 100.00 3.90168% 0.00 0.00 0.00 0.00 B-1 16,187,000.00 2.05000% 16,185,459.33 27,650.16 0.00 0.00 B-2 7,554,000.00 2.45000% 7,553,281.02 15,421.28 0.00 0.00 B-3 3,777,000.00 2.45000% 3,776,640.51 7,710.64 0.00 0.00 B-4 3,777,000.00 2.45000% 3,776,640.51 7,710.64 0.00 0.00 B-5 2,158,000.00 2.45000% 2,157,794.60 4,405.50 0.00 0.00 B-6 2,160,585.00 2.45000% 2,160,379.47 4,410.77 0.00 0.00 Totals 1,079,188,685.00 2,434,942.98 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 A-1 0.00 0.00 962,231.20 0.00 647,460,602.32 A-2 0.00 0.00 178,552.11 0.00 128,912,425.05 A-3 0.00 0.00 113,531.25 0.00 78,750,000.00 A-4 0.00 0.00 251,532.29 0.00 168,625,000.00 A-X 0.00 0.00 861,787.14 0.00 1,059,354,823.96 A-R 0.00 0.00 0.09 0.00 0.00 B-1 0.00 0.00 27,650.16 0.00 16,183,914.45 B-2 0.00 0.00 15,421.28 0.00 7,552,560.06 B-3 0.00 0.00 7,710.64 0.00 3,776,280.03 B-4 0.00 0.00 7,710.64 0.00 3,776,280.03 B-5 0.00 0.00 4,405.50 0.00 2,157,588.64 B-6 0.00 0.00 4,410.77 0.00 2,160,173.26 Totals 0.00 0.00 2,434,943.07 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 A-1 660,000,000.00 1.76000% 994.04049492 1.45792606 0.00000000 0.00000000 A-2 136,200,000.00 1.60000% 983.21646725 1.31095529 0.00000000 0.00000000 A-3 78,750,000.00 1.73000% 1000.00000000 1.44166667 0.00000000 0.00000000 A-4 168,625,000.00 1.79000% 1000.00000000 1.49166666 0.00000000 0.00000000 A-X 0.00 0.96382% 994.23392761 0.79855094 0.00000000 0.00000000 A-R 100.00 3.90168% 0.00000000 0.00000000 0.00000000 0.00000000 B-1 16,187,000.00 2.05000% 999.90482053 1.70817075 0.00000000 0.00000000 B-2 7,554,000.00 2.45000% 999.90482129 2.04147207 0.00000000 0.00000000 B-3 3,777,000.00 2.45000% 999.90482129 2.04147207 0.00000000 0.00000000 B-4 3,777,000.00 2.45000% 999.90482129 2.04147207 0.00000000 0.00000000 B-5 2,158,000.00 2.45000% 999.90481928 2.04147359 0.00000000 0.00000000 B-6 2,160,585.00 2.45000% 999.90487299 2.04147025 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 A-1 0.00000000 0.00000000 1.45792606 0.00000000 981.00091261 A-2 0.00000000 0.00000000 1.31095529 0.00000000 946.49357599 A-3 0.00000000 0.00000000 1.44166667 0.00000000 1000.00000000 A-4 0.00000000 0.00000000 1.49166666 0.00000000 1000.00000000 A-X 0.00000000 0.00000000 0.79855094 0.00000000 981.62150750 A-R 0.00000000 0.00000000 0.90000000 0.00000000 0.00000000 B-1 0.00000000 0.00000000 1.70817075 0.00000000 999.80938098 B-2 0.00000000 0.00000000 2.04147207 0.00000000 999.80938046 B-3 0.00000000 0.00000000 2.04147207 0.00000000 999.80938046 B-4 0.00000000 0.00000000 2.04147207 0.00000000 999.80938046 B-5 0.00000000 0.00000000 2.04147359 0.00000000 999.80937905 B-6 0.00000000 0.00000000 2.04147025 0.00000000 999.80943124 (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 16,281,272.05 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 32,420.44 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 16,313,692.49 Withdrawals Reimbursement for Servicer Advances 21,552.29 Payment of Service Fee 246,016.06 Payment of Interest and Principal 16,046,124.14 Total Withdrawals (Pool Distribution Amount) 16,313,692.49 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 232,022.81 Master Servicing Fee - Well Fargo 13,412.06 Trustee Fee - Deutsche Bank 581.19 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 246,016.06
OTHER ACCOUNTS Beginning Current Current Ending Account Type Balance Withdrawals Deposits Balance Reserve Fund 2,500.00 0.00 0.00 2,500.00
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 9 0 0 0 9 7,667,349.06 0.00 0.00 0.00 7,667,349.06 60 Days 1 0 0 0 1 870,000.00 0.00 0.00 0.00 870,000.00 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 10 0 0 0 10 8,537,349.06 0.00 0.00 0.00 8,537,349.06 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 0.422734% 0.000000% 0.000000% 0.000000% 0.422734% 0.723721% 0.000000% 0.000000% 0.000000% 0.723721% 60 Days 0.046970% 0.000000% 0.000000% 0.000000% 0.046970% 0.082119% 0.000000% 0.000000% 0.000000% 0.082119% 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 0.469704% 0.000000% 0.000000% 0.000000% 0.469704% 0.805840% 0.000000% 0.000000% 0.000000% 0.805840%
Delinquency Status By Groups DELINQUENT BANKRUPTCY FORECLOSURE REO Total Mixed Loan Types 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 1 650,000.00 0.00 0.00 0.00 650,000.00 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 1 650,000.00 0.00 0.00 0.00 650,000.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.170648% 0.000000% 0.000000% 0.000000% 0.170648% 0.221115% 0.000000% 0.000000% 0.000000% 0.221115% 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 0.170648% 0.000000% 0.000000% 0.000000% 0.170648% 0.221115% 0.000000% 0.000000% 0.000000% 0.221115% DELINQUENT BANKRUPTCY FORECLOSURE REO Total 3 Yr Hybrid Loans 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 2 0 0 0 2 1,168,000.00 0.00 0.00 0.00 1,168,000.00 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 2 0 0 0 2 1,168,000.00 0.00 0.00 0.00 1,168,000.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.353982% 0.000000% 0.000000% 0.000000% 0.353982% 0.479138% 0.000000% 0.000000% 0.000000% 0.479138% 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 0.353982% 0.000000% 0.000000% 0.000000% 0.353982% 0.479138% 0.000000% 0.000000% 0.000000% 0.479138% DELINQUENT BANKRUPTCY FORECLOSURE REO Total 5 Yr Hybrid Loans 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 4,766,949.06 0.00 0.00 0.00 4,766,949.06 60 Days 1 0 0 0 1 870,000.00 0.00 0.00 0.00 870,000.00 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 5,636,949.06 0.00 0.00 0.00 5,636,949.06 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.676819% 0.000000% 0.000000% 0.000000% 0.676819% 1.666843% 0.000000% 0.000000% 0.000000% 1.666843% 60 Days 0.169205% 0.000000% 0.000000% 0.000000% 0.169205% 0.304210% 0.000000% 0.000000% 0.000000% 0.304210% 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 0.846024% 0.000000% 0.000000% 0.000000% 0.846024% 1.971052% 0.000000% 0.000000% 0.000000% 1.971052% DELINQUENT BANKRUPTCY FORECLOSURE REO Total 7 Yr Hybrid Loans 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 1 999,500.00 0.00 0.00 0.00 999,500.00 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 1 999,500.00 0.00 0.00 0.00 999,500.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.617284% 0.000000% 0.000000% 0.000000% 0.617284% 1.108814% 0.000000% 0.000000% 0.000000% 1.108814% 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 0.617284% 0.000000% 0.000000% 0.000000% 0.617284% 1.108814% 0.000000% 0.000000% 0.000000% 1.108814% DELINQUENT BANKRUPTCY FORECLOSURE REO Total 10 Yr Hybrid Loans 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 82,900.00 0.00 0.00 0.00 82,900.00 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 82,900.00 0.00 0.00 0.00 82,900.00 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.444444% 0.000000% 0.000000% 0.000000% 0.444444% 0.056949% 0.000000% 0.000000% 0.000000% 0.056949% 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 0.444444% 0.000000% 0.000000% 0.000000% 0.444444% 0.056949% 0.000000% 0.000000% 0.000000% 0.056949%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 32,420.44
COLLATERAL STATEMENT Collateral Description Mixed ARM Weighted Average Gross Coupon 4.170595% Weighted Average Net Coupon 3.911101% Weighted Average Pass-Through Rate 3.895449% Weighted Average Maturity(Stepdown Calculation ) 357 Beginning Scheduled Collateral Loan Count 2,151 Number Of Loans Paid In Full 22 Ending Scheduled Collateral Loan Count 2,129 Beginning Scheduled Collateral Balance 1,072,966,004.92 Ending Scheduled Collateral Balance 1,059,354,823.85 Ending Actual Collateral Balance at 31-Jul-2004 1,059,434,223.72 Monthly P &I Constant 3,831,580.48 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Scheduled Principal 102,412.52 Unscheduled Principal 13,508,768.55
Miscellaneous Reporting Senior Percentage 96.681144% Senior Prepayment Percentage 100.000000% Subordinate Percentage 3.318856% Original Senior Percentage 96.699967% Original Subordinate Percentage 3.300033% Cap Payment, 3 Year Hybrids 0.00 Swap Payment, 5 year Hybrids $574,834.34 Swap Payment, 7 year Hybrids $181,750.93 Swap Payment, 10 year Hybrids $291,544.46
Group Level Collateral Statement Group Mixed Loan Types 3 Yr Hybrid Loans 5 Yr Hybrid Loans Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 3.141469 4.067188 4.637988 Weighted Average Net Rate 2.862971 3.816182 4.386788 Weighted Average Maturity 357 357 357 Beginning Loan Count 597 574 593 Loans Paid In Full 11 9 2 Ending Loan Count 586 565 591 Beginning Scheduled Balance 301,568,816.58 248,602,608.16 286,834,766.03 Ending scheduled Balance 293,958,913.66 243,748,112.45 285,959,166.56 Record Date 07/31/2004 07/31/2004 07/31/2004 Principal And Interest Constant 798,228.35 876,469.12 1,143,940.98 Scheduled Principal 8,674.80 33,874.56 35,327.48 Unscheduled Principal 7,601,228.12 4,820,621.15 840,271.99 Scheduled Interest 789,553.55 842,594.56 1,108,613.50 Servicing Fees 69,988.37 52,000.54 60,044.17 Master Servicing Fees 3,769.61 3,107.53 3,585.43 Trustee Fee 163.35 134.66 155.37 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 715,632.22 787,351.83 1,044,828.53 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 2.847319 3.800532 4.371138
Group Level Collateral Statement Group 7 Yr Hybrid Loans 10 Yr Hybrid Loans Total Collateral Description Mixed ARM Mixed ARM Mixed ARM Weighted Average Coupon Rate 4.881328 5.116564 4.170595 Weighted Average Net Rate 4.620266 4.866564 3.911101 Weighted Average Maturity 356 357 357 Beginning Loan Count 162 225 2,151 Loans Paid In Full 0 0 22 Ending Loan Count 162 225 2,129 Beginning Scheduled Balance 90,189,994.72 145,769,819.43 1,072,966,004.92 Ending scheduled Balance 90,135,579.99 145,553,051.19 1,059,354,823.85 Record Date 07/31/2004 07/31/2004 07/31/2004 Principal And Interest Constant 373,686.14 639,255.89 3,831,580.48 Scheduled Principal 6,813.66 17,722.02 102,412.52 Unscheduled Principal 47,601.07 199,046.22 13,508,768.55 Scheduled Interest 366,872.48 621,533.87 3,729,167.96 Servicing Fees 19,621.02 30,368.71 232,022.81 Master Servicing Fees 1,127.37 1,822.12 13,412.06 Trustee Fee 48.85 78.96 581.19 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 346,075.24 589,264.08 3,483,151.90 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 4.604616 4.850914 3.895449
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