-----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, RSNI2E0CLOElhrrpkgKtt766g/Eol2F0A3ko+w7lSnmTE5VUlq888o73tvvxCWoI oiN1SK+TnLBkuSbfqXnNhw== 0000950149-03-001959.txt : 20030815 0000950149-03-001959.hdr.sgml : 20030815 20030815170536 ACCESSION NUMBER: 0000950149-03-001959 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20030721 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20030815 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEQUOIA MORTGAGE FUNDING CORP CENTRAL INDEX KEY: 0001033146 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 911771827 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-22681 FILM NUMBER: 03851256 BUSINESS ADDRESS: STREET 1: 591 REDWOOD HWY STREET 2: STE 3120 CITY: MILL VALLEY STATE: CA ZIP: 94941 BUSINESS PHONE: 4153811765 MAIL ADDRESS: STREET 1: 591 REDWOOD HIGHWAY STREET 2: STE 3120 CITY: MILL VALLEY STATE: CA ZIP: 94941 8-K 1 f92526ae8vk.htm 8-K e8vk
Table of Contents

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

July 21, 2003
Date of Report (Date of Earliest Event Reported)

SEQUOIA MORTGAGE FUNDING CORPORATION
(as Depositor of Sequoia Mortgage Trust 6, the Issuer of Collateralized Mortgage
Bonds under an Indenture dated as of April 1, 2002)

SEQUOIA MORTGAGE FUNDING CORPORATION

(Exact Name of Registrant as Specified in Its Charter)
         
Delaware   333-22681   91-1771827
(State or Other Jurisdiction of Incorporation)   (Commission File Number)   (I.R.S. Employer Identification No.)

591 Redwood Highway, Suite 3120, Mill Valley, CA 94941
(Address of Principal Executive Offices)

(415) 381-1765
(Registrant’s Telephone Number,
Including Area Code)

Not Applicable
(Former Name or Former Address, if Changed Since Last Report)

 

Item 5. Other Events
Item 7(c). Exhibits
SIGNATURE
EXHIBIT INDEX
Exhibit 10.1

Table of Contents

INFORMATION TO BE INCLUDED IN THE REPORT

     
Item 5.   Other Events
     
    Sequoia Mortgage Funding Corporation has previously registered the offer and sale of Collateralized Mortgage Bonds issued by Sequoia Mortgage Trust 6 (the “Bonds”).
     
    The following exhibit which relates specifically to the Bonds is included with this Current Report:
     
Item 7(c).   Exhibits
     
 
10.1                     Monthly Payment Date Statement relating to the distribution to Bondholders, July 21, 2003.

 

Table of Contents

SIGNATURE

     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 thereunto duly authorized.

         
Date: August 15, 2003        
         
         
    SEQUOIA MORTGAGE FUNDING
CORPORATION
         
         
    By:   /s/ Harold F. Zagunis
Harold F. Zagunis
Chief Financial Officer, Treasurer
and Secretary

 

Table of Contents

EXHIBIT INDEX

         
Exhibit Number       Page Number
     
         
10.1   Monthly Payment Date Statement relating to the distribution to Bondholders, June 21, 2003   5

  EX-10.1 3 f92526aexv10w1.txt EXHIBIT 10.1 EXHIBIT 10.1 CONTACTS Administrator: Kumar X. Khambhaita Direct Phone No: (714) 247-6327 Address: Deutsche Bank 1761 E. St. Andrew Place Santa Ana, CA 92705 Web Site: http://www-apps.gis.deutsche-bank.com/invr Factor Information: (800) 735-7777 Main Phone No: (714) 247-6000 ISSUANCE INFORMATION Seller: Redwood Trust Cut-Off Date: April 1, 2002 Certificate Insurer: Closing Date: April 26, 2002 Servicer(s): Cendant Mortgage Corporation First Payment Date: May 20, 2002 Morgan Stanley Dean Witter Underwriter(s): Greenwich Capital Markets, Inc. Distribution Date: July 21, 2003 Bear, Stearns & Co. Inc. Record Date: July 18, 2003 June 30, 2003
SEQUOIA MORTGAGE TRUST 6 COLLATERALIZED MORTGAGE BONDS BOND PAYMENT REPORT FOR JULY 21, 2003 DISTRIBUTION Distribution in Dollars - Current Period
Prior Class Original Principal Class Type Face Value Balance Interest Principal - ------------ ------- -------------- ---------------- ---------- ------------- (1) (2) (3) - ------------ ------- -------------- ---------------- ---------- ------------- LT-A 496,378,000.00 433,037,396.86 946,778.43 3,218,735.49 LT-A2 100.00 -- -- -- LT-X 100.00 -- -- -- LT-B-1 5,915,000.00 5,915,000.00 12,932.36 -- LT-B-2 5,143,000.00 5,143,000.00 11,244.48 -- - ------------ ------- -------------- --------------- ---------- ------------- LT-B-3 2,315,000.00 2,315,000.00 5,061.44 -- LT-B-4 1,534,000.00 1,534,000.00 3,353.89 -- LT-B-5 1,028,000.00 1,028,000.00 2,247.58 -- LT-B-6 2,068,996.83 2,068,996.83 4,523.59 -- LT-R -- -- -- -- - ------------ ------- -------------- --------------- ---------- ------------- Total 514,382,196.83 451,041,393.69 986,141.77 3,218,735.49 - ------------ ------- -------------- --------------- ---------- -------------
Current Total Realized Deferred Principal Class Distribution Losses Interest Balance - ------------ ------------- --------- -------- ------------------- (4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6) - ------------ ------------- --------- -------- ------------------- LT-A 4,165,513.92 -- -- 429,818,661.37 LT-A2 -- -- -- -- LT-X -- -- -- -- LT-B-1 12,932.36 -- -- 5,915,000.00 LT-B-2 11,244.48 -- -- 5,143,000.00 - ------------ ------------- --------- -------- ------------------- LT-B-3 5,061.44 -- -- 2,315,000.00 LT-B-4 3,353.89 -- -- 1,534,000.00 LT-B-5 2,247.58 -- -- 1,028,000.00 LT-B-6 4,523.59 -- -- 2,068,996.83 LT-R -- -- -- -- - ------------ ------------- --------- -------- ------------------- Total 4,204,877.26 -- -- 447,822,658.20 - ------------ ------------- --------- -------- -------------------
Interest Accrual Detail Current Period Factor Information per $1,000 of Original Face
Orig. Principal Prior Period Period (with Notional) Principal Class Starting Ending Method Cusip Balance Balance Interest - ------------ -------- ------ --------- ------ ----------------- ------------ ------------ (1) (2) - ------------ -------- ------ --------- ------ ----------------- ------------ ------------ LT-A A-30/360 496,378,000.00 872.394419 1.907374 LT-A2 A-30/360 100.00 -- -- LT-X A-30/360 100.00 -- -- LT-B-1 A-30/360 5,915,000.00 1,000.000000 2.186367 LT-B-2 A-30/360 5,143,000.00 1,000.000000 2.186366 - ------------ -------- ------ --------- ------ ----------------- ------------ ------------ LT-B-3 A-30/360 2,315,000.00 1,000.000000 2.186367 LT-B-4 A-30/360 1,534,000.00 1,000.000000 2.186369 LT-B-5 A-30/360 1,028,000.00 1,000.000000 2.186362 LT-B-6 A-30/360 2,068,996.83 1,000.000000 2.186369 - ------------ -------- ------ --------- ------ ----------------- ------------ ------------ LT-R A-30/360 -- -- -- - ------------ -------- ------ --------- ------ ----------------- ------------ ------------
Current Total Principal Class Principal Distribution Balance - ------------ --------- ------------ --------------- (3) (4)=(2)+(3) (5) LT-A 6.484444 8.391818 865.909975 LT-A2 -- -- -- LT-X -- -- -- LT-B-1 -- 2.186367 1,000.000000 LT-B-2 -- 2.186366 1,000.000000 - ------------ --------- ------------ --------------- LT-B-3 -- 2.186367 1,000.000000 LT-B-4 -- 2.186369 1,000.000000 LT-B-5 -- 2.186362 1,000.000000 LT-B-6 -- 2.186369 1,000.000000 - ------------ --------- ------------ --------------- LT-R -- -- -- - ------------ --------- ------------ ---------------
Distribution in Dollars - to Date
Original Unscheduled Scheduled Total Class Face Value Interest Principal Principal Principal - ------------ -------------- ------------- ------------- ----------- -------------- (1) (2) (3) (4) (5)=(3)+(4) - ------------ -------------- ------------- ------------- ----------- -------------- LT-A 496,378,000.00 17,936,390.84 66,559,338.63 -- 66,559,338.63 LT-A2 100.00 0.27 100.00 -- 100.00 LT-X 100.00 -- 100.00 -- 100.00 LT-B-1 5,915,000.00 227,104.17 -- -- -- LT-B-2 5,143,000.00 197,463.53 -- -- -- LT-B-3 2,315,000.00 88,883.55 -- -- -- LT-B-4 1,534,000.00 58,897.32 -- -- -- LT-B-5 1,028,000.00 39,469.68 -- -- -- LT-B-6 2,068,996.83 79,438.36 -- -- -- LT-R -- -- -- -- -- - ------------ -------------- ------------- ------------- ----------- -------------- Total 514,382,196.83 18,627,647.72 66,559,538.63 -- 66,559,538.63 - ------------ -------------- ------------- ------------- ----------- --------------
Current Total Realized Deferred Principal Class Distribution Losses Interest Balance - ------------ --------------- ----------- ---------- ------------------ (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8) - ------------ --------------- ----------- ---------- ------------------ LT-A 84,495,729.47 -- -- 429,818,661.37 LT-A2 100.27 -- -- -- LT-X 100.00 -- -- -- LT-B-1 227,104.17 -- -- 5,915,000.00 LT-B-2 197,463.53 -- -- 5,143,000.00 LT-B-3 88,883.55 -- -- 2,315,000.00 LT-B-4 58,897.32 -- -- 1,534,000.00 LT-B-5 39,469.68 -- -- 1,028,000.00 LT-B-6 79,438.36 -- -- 2,068,996.83 LT-R -- -- -- -- - ------------ --------------- ----------- ---------- ------------------ Total 85,187,186.35 -- -- 447,822,658.20 - ------------ --------------- ----------- ---------- ------------------
Interest Detail
Pass- Prior Principal Non- Prior Unscheduled Through (with Notional) Accrued Supported Unpaid Interest Class Rate Balance Interest Interest SF Interest Adjustments - ---------- -------- ----------------- ---------- ---------- -------- ----------- (1) (2) (3) (4) - ---------- -------- ----------------- ---------- ---------- -------- ----------- LT-A 2.62364% 433,037,396.86 946,778.43 -- -- -- LT-A2 2.62364% -- -- -- -- -- LT-X -- -- -- -- -- LT-B-1 2.62364% 5,915,000.00 12,932.36 -- -- -- LT-B-2 2.62364% 5,143,000.00 11,244.48 -- -- -- - ---------- -------- ----------------- ---------- ---------- -------- ----------- LT-B-3 2.62364% 2,315,000.00 5,061.44 -- -- -- LT-B-4 2.62364% 1,534,000.00 3,353.89 -- -- -- LT-B-5 2.62364% 1,028,000.00 2,247.58 -- -- -- LT-B-6 2.62364% 2,068,996.83 4,523.59 -- -- -- LT-R -- -- -- -- -- - ---------- -------- ----------------- ---------- ---------- -------- ----------- Total 451,041,393.69 986,141.77 -- -- -- - ---------- -------- ----------------- ---------- ---------- -------- -----------
Paid or Current Optimal Deferred Unpaid Class Interest Interest Interest - ---------- ------------------- ---------- ----------- (5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6) - ---------- ------------------- ---------- ----------- LT-A 946,778.43 946,778.43 -- LT-A2 -- -- -- LT-X -- -- -- LT-B-1 12,932.36 12,932.36 -- LT-B-2 11,244.48 11,244.48 -- - ---------- ------------------- ---------- ----------- LT-B-3 5,061.44 5,061.44 -- LT-B-4 3,353.89 3,353.89 -- LT-B-5 2,247.58 2,247.58 -- LT-B-6 4,523.59 4,523.59 -- LT-R -- -- -- - ---------- ------------------- ---------- ----------- Total 986,141.77 986,141.77 -- - ---------- ------------------- ---------- -----------
Distribution in Dollars - Current Period
Prior Class Original Principal Total Class Type Face Value Balance Interest Principal Distribution - --------- ----- -------------- -------------- ---------- ------------ ------------ (1) (2) (3) (4)=(2)+(3) - --------- ----- -------------- -------------- ---------- ------------ ------------ A FLT 496,378,000.00 433,037,396.86 509,721.10 3,218,735.49 3,728,456.59 X CSTR 100.00 -- 446,327.25 -- 446,327.25 A-R R 100.00 -- -- -- -- B-1 SUB 5,915,000.00 5,915,000.00 8,835.53 -- 8,835.53 B-2 SUB 5,143,000.00 5,143,000.00 7,682.36 -- 7,682.36 - --------- ----- -------------- -------------- ---------- ------------ ------------ B-3 SUB 2,315,000.00 2,315,000.00 3,458.03 -- 3,458.03 B-4 SUB 1,534,000.00 1,534,000.00 3,353.89 -- 3,353.89 B-5 SUB 1,028,000.00 1,028,000.00 2,247.58 -- 2,247.58 B-6 SUB 2,068,996.00 2,068,996.00 4,523.58 -- 4,523.58 - --------- ----- -------------- -------------- ---------- ------------ ------------ Total 514,382,196.00 451,041,392.86 986,149.32 3,218,735.49 4,204,884.81 - --------- ----- -------------- -------------- ---------- ------------ ------------
Current Realized Deferred Principal Class Losses Interest Balance - --------- -------- --------- ------------------- (5) (6) (7)=(1)-(3)-(5)+(6) - --------- -------- --------- ------------------- A -- -- 429,818,661.37 X -- -- -- A-R -- -- -- B-1 -- -- 5,915,000.00 B-2 -- -- 5,143,000.00 - --------- -------- --------- ------------------- B-3 -- -- 2,315,000.00 B-4 -- -- 1,534,000.00 B-5 -- -- 1,028,000.00 B-6 -- -- 2,068,996.00 - --------- -------- --------- ------------------- Total -- -- 447,822,657.37 - --------- -------- --------- -------------------
Definitive Bond Record Date: 6/30/03 Interest Accrual Detail Current Period Factor Information per $1,000 of Original Face
Orig. Principal Period Period (with Notional) Class Starting Ending Method Cusip Balance - --------- -------- -------- -------- --------- --------------- - --------- -------- -------- -------- --------- --------------- A 06/19/03 07/18/03 A-30/360 81743XAA7 496,378,000.00 X A-30/360 SQ0201UPX 100.00 A-R A-30/360 81743XAC3 100.00 B-1 06/19/03 07/18/03 A-30/360 81743XAB5 5,915,000.00 B-2 06/19/03 07/18/03 A-30/360 81743XAD1 5,143,000.00 - --------- -------- -------- -------- --------- --------------- B-3 06/19/03 07/18/03 A-30/360 81743XAE9 2,315,000.00 B-4 A-30/360 SQ0201UB4 1,534,000.00 B-5 A-30/360 SQ0201UB5 1,028,000.00 B-6 A-30/360 SQ0201UB6 2,068,996.00 - --------- -------- -------- -------- --------- ---------------
Prior Current Principal Total Principal Class Balance Interest Principal Distribution Balance - --------- ------------- ---------------- -------- ---------------- ------------- (1) (2) (3) (4)=(2)+(3) (5) - --------- ------------- ---------------- -------- ---------------- ------------- A 872.394419 1.026881 6.484444 7.511325 865.909975 X -- 4,463,272.500000 -- 4,463,272.500000 -- A-R -- -- -- -- -- B-1 1,000.000000 1.493750 -- 1.493750 1,000.000000 B-2 1,000.000000 1.493751 -- 1.493751 1,000.000000 - --------- ------------- ---------------- -------- ---------------- ------------- B-3 1,000.000000 1.493749 -- 1.493749 1,000.000000 B-4 1,000.000000 2.186369 -- 2.186369 1,000.000000 B-5 1,000.000000 2.186362 -- 2.186362 1,000.000000 B-6 1,000.000000 2.186365 -- 2.186365 1,000.000000 - --------- ------------- ---------------- -------- ---------------- -------------
Interest will accrue on all Bonds on the basis of a 360-day year consisting of twelve 30-day months. Distribution in Dollars - to Date
Original Unscheduled Scheduled Total Class Face Value Interest Principal Principal Principal - ------------ -------------- ------------- ------------- ---------- ------------- (1) (2) (3) (4) (5)=(3)+(4) - ------------ -------------- ------------- ------------- ---------- ------------- A 496,378,000.00 10,770,632.73 66,559,338.63 -- 66,559,338.63 X 100.00 7,308,804.59 100.00 -- 100.00 A-R 100.00 0.27 100.00 -- 100.00 B-1 5,915,000.00 163,886.38 -- -- -- B-2 5,143,000.00 142,496.67 -- -- -- B-3 2,315,000.00 64,141.49 -- -- -- B-4 1,534,000.00 58,897.32 -- -- -- B-5 1,028,000.00 39,469.68 -- -- -- B-6 2,068,996.00 79,438.32 -- -- -- - ------------ -------------- ------------- ------------- ---------- ------------- Total 514,382,196.00 18,627,767.45 66,559,538.63 -- 66,559,538.63 - ------------ -------------- ------------- ------------- ---------- -------------
Current Total Realized Deferred Principal Class Distribution Losses Interest Balance - ------------ ------------- -------- -------- ------------------- (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8) - ------------ ------------- -------- -------- ------------------- A 77,329,971.36 -- -- 429,818,661.37 X 7,308,904.59 -- -- -- A-R 100.27 -- -- -- B-1 163,886.38 -- -- 5,915,000.00 B-2 142,496.67 -- -- 5,143,000.00 B-3 64,141.49 -- -- 2,315,000.00 B-4 58,897.32 -- -- 1,534,000.00 B-5 39,469.68 -- -- 1,028,000.00 B-6 79,438.32 -- -- 2,068,996.00 - ------------ ------------- -------- -------- ------------------- Total 85,187,306.08 -- -- 447,822,657.37 - ------------ ------------- -------- -------- -------------------
Interest Detail
Pass- Prior Principal Non- Prior Unscheduled Through (with Notional) Accrued Supported Unpaid Interest Class Rate Balance Interest Interest SF Interest Adjustments - ----------- -------- --------------- ---------- ----------- -------- ------------ (1) (2) (3) (4) - ----------- -------- --------------- ---------- ----------- -------- ------------ A 1.41250% 433,037,396.86 509,721.10 -- -- -- X 1.19976% -- 446,327.25 -- -- -- A-R 2.62364% -- -- -- -- -- B-1 1.79250% 5,915,000.00 8,835.53 -- -- -- B-2 1.79250% 5,143,000.00 7,682.36 -- -- -- - ----------- -------- --------------- ---------- ----------- -------- ------------ B-3 1.79250% 2,315,000.00 3,458.03 -- -- -- B-4 2.62364% 1,534,000.00 3,353.89 -- -- -- B-5 2.62364% 1,028,000.00 2,247.58 -- -- -- B-6 2.62364% 2,068,996.00 4,523.58 -- -- -- - ----------- -------- --------------- ---------- ----------- -------- ------------ Total 451,041,392.86 986,149.32 -- -- -- - ----------- -------- --------------- ---------- ----------- -------- ------------
Paid or Current Optimal Deferred Unpaid Class Interest Interest Interest - ----------- ------------------- ---------- ----------- (5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6) - ----------- ------------------- ---------- ----------- A 509,721.10 509,721.10 -- X 446,327.25 446,327.25 -- A-R -- -- -- B-1 8,835.53 8,835.53 -- B-2 7,682.36 7,682.36 -- - ----------- ------------------- ---------- ----------- B-3 3,458.03 3,458.03 -- B-4 3,353.89 3,353.89 -- B-5 2,247.58 2,247.58 -- B-6 4,523.58 4,523.58 -- - ----------- ------------------- ---------- ----------- Total 986,149.32 986,149.32 -- - ----------- ------------------- ---------- -----------
COLLECTION ACCOUNT REPORT
SUMMARY TOTAL - ------- ----- Principal Collections 3,218,735.49 Principal Withdrawals 0.00 Principal Other Accounts 0.00 TOTAL PRINCIPAL 3,218,735.49 Interest Collected 1,008,561.57 Interest Withdrawals 0.00 Interest Other Accounts 7.56 Fees (22,419.80) TOTAL INTEREST 986,149.33 TOTAL AVAILABLE TO CERTIFICATEHOLDERS 4,204,884.82 ------------
PRINCIPAL - COLLECTIONS TOTAL ----- Scheduled Principal 0.00 Curtailments 501,658.77 Prepayments In Full 2,717,076.72 Repurchased Principal Amounts 0.00 Substitution Principal Amount 0.00 Liquidations 0.00 Insurance Principal 0.00 Other Principal 0.00 Total Realized Loss Of Principal 0.00 TOTAL PRINCIPAL COLLECTED 3,218,735.49 ------------
PRINCIPAL - WITHDRAWALS TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
PRINCIPAL - OTHER ACCOUNTS TOTAL - -------------------------------------------------------------------------------- Amounts remaining in Pre-Funding Account 0.00
INTEREST - COLLECTIONS TOTAL - -------------------------------------------------------------------------------- Scheduled Interest 1,129,154.76 Repurchased Interest 0.00 Substitution Interest Amount 0.00 Liquidation Interest 0.00 Insurance Interest 0.00 Other Interest 0.00 Delinquent Interest (962,555.04) Interest Advanced 841,961.85 Prepayment Interest Shortfalls (3,234.58) Compensating Interest 3,234.58 Civil Relief Act Shortfalls 0.00 TOTAL INTEREST COLLECTED 1,008,561.57
INTEREST - WITHDRAWALS TOTAL - -------------------------------------------------------------------------------- Current Nonrecoverable Advances 0.00 TOTAL INTEREST WITHDRAWALS 0.00
INTEREST - OTHER ACCOUNTS TOTAL - -------------------------------------------------------------------------------- Basis Risk Shortfall 0.00 Basis Risk Reserve Fund Interest Earnings 7.56 TOTAL INTEREST OTHER ACCOUNTS 7.56
INTEREST - FEES TOTAL - -------------------------------------------------------------------------------- Current Servicing Fees 20,916.33 Trustee Fee 1,503.47 TOTAL FEES 22,419.80
CREDIT ENHANCEMENT REPORT
ACCOUNTS TOTAL - -------------------------------------------------------------------------------- BASIS RISK RESERVE FUND Beginning Balance 10,000.00 Basis Risk Deposit 0.00 Basis Risk Shortfall paid 0.00 Investment Earnings distributed to the Class X Bondholder 7.56 Ending Balance 10,000.00
INSURANCE TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
STRUCTURAL FEATURES TOTAL - -------------------------------------------------------------------------------- Pro Rata Senior Percentage 96.008349% Senior Percentage 100.000000% Subordinate Percentage 0.000000% Senior Prepayment Percentage 100.000000% Subordinate Percentage 0.000000%
COLLATERAL REPORT
COLLATERAL TOTAL - -------------------------------------------------------------------------------- Loan Count: ORIGINAL 1254 Prior 1,111 Prefunding -- Scheduled Paid Offs -- Full Voluntary Prepayments (6) Repurchases -- Liquidations -- - -------------------------------------------------------------------------------- Current 1,105 PRINCIPAL BALANCE: Original 514,382,196.83 Prior 451,041,393.69 Prefunding -- Scheduled Principal -- Partial and Full Voluntary Prepayments (3,218,735.49) Repurchases -- Liquidations -- - -------------------------------------------------------------------------------- Current 447,822,658.20
PREFUNDING TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
CHARACTERISTICS TOTAL - -------------------------------------------------------------------------------- Weighted Average Coupon Original 3.667751% Weighted Average Coupon Prior 3.034141% Weighted Average Coupon Current 3.004127% - -------------------------------------------------------------------------------- Weighted Average Months to Maturity Original 297 Weighted Average Months to Maturity Prior 284 Weighted Average Months to Maturity Current 283 - -------------------------------------------------------------------------------- Weighted Avg Remaining Amortization Term Original 296 Weighted Avg Remaining Amortization Term Prior 283 Weighted Avg Remaining Amortization Term Current 282 - -------------------------------------------------------------------------------- Weighted Average Seasoning Original 3.66 Weighted Average Seasoning Prior 16.63 Weighted Average Seasoning Current 17.62
Note: Original information refers to deal issue.
ARM CHARACTERISTICS TOTAL - -------------------------------------------------------------------------------- Weighted Average Margin Original 1.652% Weighted Average Margin Prior 1.643% Weighted Average Margin Current 1.643% - -------------------------------------------------------------------------------- Weighted Average Max Rate Original 12.000% Weighted Average Max Rate Prior 12.000% Weighted Average Max Rate Current 12.000% - -------------------------------------------------------------------------------- Weighted Average Min Rate Original 1.652% Weighted Average Min Rate Prior 1.643% Weighted Average Min Rate Current 1.643% - -------------------------------------------------------------------------------- Weighted Average Cap Up Original 0.000% Weighted Average Cap Up Prior 0.000% Weighted Average Cap Up Current 0.000% - -------------------------------------------------------------------------------- Weighted Average Cap Down Original 0.000% Weighted Average Cap Down Prior 0.000% Weighted Average Cap Down Current 0.000%
Note: Original information refers to deal issue.
SERVICING FEES / ADVANCES TOTAL - -------------------------------------------------------------------------------- Current Servicing Fees 20,916.33 Delinquent Servicing Fees 120,593.19 TOTAL SERVICING FEES 141,509.52 Total Servicing Fees 141,509.52 Compensating Interest (3,234.58) Delinquent Servicing Fees (120,593.19) COLLECTED SERVICING FEES 17,681.75 Prepayment Interest Shortfall 3,234.58 Total Advanced Interest 841,961.85 Current Nonrecoverable Advances 0.00
ADDITIONAL COLLATERAL INFORMATION TOTAL - -------------------------------------------------------------------------------- Mortgage Loans which adjust based on One-Month LIBOR 0.00 Mortgage Loans which adjust based on Six-Month LIBOR 0.00 Special Hazard Loss Coverage Amount 5,800,000.00 Current Special Hazard Losses 0.00 Cumulative Special Hazard Losses 0.00 Bankruptcy Loss Coverage Amount 100,000.00 Current Bankruptcy Losses 0.00 Cumulative Bankruptcy Losses 0.00 Fraud Loss Coverage Amount 9,267,516.97 Current Fraud Losses 0.00 Cumulative Fraud Losses 0.00
DELINQUENCY REPORT - TOTAL
<1 PAYMENT 1 PAYMENT 2 PAYMENTS 3+ PAYMENTS TOTAL - --------------------------------------------------------------------------------------------------------------- DELINQUENT Balance -- 204,930.00 -- 204,930.00 % Balance 0.00% 0.05% 0.00% 0.05% # Loans -- 1 -- 1 % # Loans 0.00% 0.09% 0.00% 0.09% FORECLOSURE Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% BANKRUPTCY Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% REO Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% TOTAL Balance -- -- 204,930.00 -- 204,930.00 % Balance 0.00% 0.00% 0.05% 0.00% 0.05% # Loans -- -- 1 -- 1 % # Loans 0.00% 0.00% 0.09% 0.00% 0.09%
Note: <1 Payment = 0-29 days, 1 Payment = 30-59 days, 2 Payments = 60-89 days, 3+ Payments = 90+ REO REPORT - MORTGAGE LOANS THAT BECOME REO DURING CURRENT DISTRIBUTION
SUMMARY LOAN GROUP - ----------------------------------------------------------------------------------------------------------------------------- Total Loan Count = 0 Loan Group 1 = MSDW Group; REO Book Value = 000.00 Total Original Principal Balance = 000.00 Total Current Balance = 000.00 REO Book Value = 000.00
REO Book Value reported corresponds to total REO loans, including loans that become REO during current distribution.
Loan Number Original Stated Current State & & Principal Principal Paid to Note LTV at Original Origination Loan Group Balance Balance Date Rate Origination Term Date - ----------------------------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
FORECLOSURE REPORT - MORTGAGE LOANS THAT BECOME FORECLOSURE DURING CURRENT DISTRIBUTION
SUMMARY LOAN GROUP - ----------------------------------------------------------------------------------------------------------------------------- Total Loan Count = 0 Loan Group 1 = MSDW Group Total Original Principal Balance = 000.00 Total Current Balance = 000.00
Loan Number Original Stated Current State & & Principal Principal Paid to Note LTV at Original Origination Loan Group Balance Balance Date Rate Origination Term Date - ----------------------------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
VOLUNTARY PREPAYMENTS TOTAL - -------------------------------------------------------------------------------- CURRENT Number of Paid in Full Loans 6 Number of Repurchased Loans -- --------------------------------------------------------------------------- Total Number of Loans Prepaid in Full 6 Paid in Full Balance 2,717,076.72 Repurchased Loans Balance -- Curtailments Amount 501,658.77 --------------------------------------------------------------------------- Total Prepayment Amount 3,218,735.49 CUMULATIVE Number of Paid in Full Loans 149 Number of Repurchased Loans -- --------------------------------------------------------------------------- Total Number of Loans Prepaid in Full 149 Paid in Full Balance 56,902,561.14 Repurchased Loans Balance -- Curtailments Amount 9,656,977.49 --------------------------------------------------------------------------- Total Prepayment Amount 66,559,538.63 SPACE INTENTIONALLY LEFT BLANK
VOLUNTARY PREPAYMENT RATES TOTAL - -------------------------------------------------------------------------------- SMM 0.71% 3 Months Avg SMM 1.13% 12 Months Avg SMM 0.92% Avg SMM Since Cut-off 0.92% CPR 8.24% 3 Months Avg CPR 12.77% 12 Months Avg CPR 10.45% Avg CPR Since Cut-off 10.49% PSA 233.69% 3 Months Avg PSA Approximation 383.87% 12 Months Avg PSA Approximation 430.42% Avg PSA Since Cut-off Approximation 493.10%
PREPAYMENT CALCULATION METHODOLOGY Single Monthly Mortality (SMM): (Voluntary partial and full prepayments + Repurchases)/(Beg Principal Balance - Sched Principal) Conditional Prepayment Rate (CPR): 1-((1-SMM) 12) PSA Standard Prepayment Model: CPR/(0.02*min(30,WAS)) Average SMM over period between nth month and mth month (AvgSMMn,m): [(1-SMMn) * (1-SMMn+1) *.......*(1-SMMm)] (1/months in period n,m) Average CPR over period between the nth month and mth month (AvgCPRn,m): 1-((1-AvgSMMn,m) 12) Average PSA Approximation over period between the nth month and mth month: AvgCPRn,m/(0.02*Avg WASn,m)) Average WASn,m: (min(30,WASn)+min(30,WASn+1)+.......+min(30,WASm)/(number of months in the period n,m) Weighted Average Seasoning (WAS) Note: Prepayment rates are calculated since deal issue date and include partial and full voluntary prepayments and repurchases. Dates correspond to distribution dates. PREPAYMENT DETAIL REPORT - LOANS PREPAID IN FULL DURING CURRENT DISTRIBUTION
SUMMARY LOAN GROUP - ----------------------------------------------------------------------------------------------------------------------------- Total Loan Count = 6 Loan Group 1 = MSDW Group Total Original Principal Balance = 2,725,100.00 Total Prepayment Amount = 2,717,076.72
Loan Number Original Current State & Type Prepayment & Loan Principal Prepayment Prepayment Note LTV at & Origination Loan Group Status Balance Amount Date Rate Origination Original Term Date - ------------------------------------------------------------------------------------------------------------------------------------ 390440866 1 265,600.00 265,103.71 Jun-24-03 2.875% IL - 80.00% Paid Off - 300 Oct-24-01 390441723 1 600,000.00 597,095.55 Jun-16-03 2.875% IL - 32.43% Paid Off - 300 Oct-26-01 390442410 1 1,140,000.00 1,135,427.25 Jun-12-03 2.875% IL - 100.00% Paid Off - 300 Oct-23-01 390445664 1 239,000.00 238,950.21 Jun-11-03 3.250% FL - 62.89% Paid Off - 300 Dec-26-01 390446708 1 308,000.00 308,000.00 Jun-30-03 3.500% CA - 80.00% Paid Off - 300 Jan-16-02 390448040 1 172,500.00 172,500.00 Jun-18-03 3.000% MD - 75.00% Paid Off - 300 Jan-31-02
REALIZED LOSS REPORT - COLLATERAL
COLLATERAL REALIZED LOSSES TOTAL - -------------------------------------------------------------------------------- CURRENT Number of Loans Liquidated -- Collateral Realized Loss/(Gain) Amount -- Net Liquidation Proceeds -- CUMULATIVE Number of Loans Liquidated -- Collateral Realized Loss/(Gain) Amount -- Net Liquidation Proceeds -- Note: Collateral Realized Loss Amount may include adjustments to loans liquidated in prior SPACE INTENTIONALLY LEFT BLANK
DEFAULT SPEEDS TOTAL - -------------------------------------------------------------------------------- MDR 0.00% 3 Months Avg MDR 0.00% 12 Months Avg MDR 0.00% Avg MDR Since Cut-off 0.00% CDR 0.00% 3 Months Avg CDR 0.00% 12 Months Avg CDR 0.00% Avg CDR Since Cut-off 0.00% SDA 0.00% 3 Months Avg SDA Approximation 0.00% 12 Months Avg SDA Approximation 0.00% Avg SDA Since Cut-off Approximation 0.00% Loss Severity Approximation for Current Period 3 Months Avg Loss Severity Approximation 12 Months Avg Loss Severity Approximation Avg Loss Severity Approximation Since Cut-off
COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY Monthly Default Rate (MDR): (Beg Principal Balance of Liquidated Loans)/(Total Beg Principal Balance) Conditional Default Rate (CDR): 1-((1-MDR) 12) SDA Standard Default Assumption: CDR/IF(WAS<61,MIN(30,WAS)*0.02,MAX(0.03,MIN(30,WAS)*0.02-0.0095*(WAS-60))) Average MDR over period between nth month and mth month (AvgMDRn,m): [(1-MDRn) * (1-MDRn+1) *.......*(1-MDRm)] (1/months in period n,m) Average CDR over period between the nth month and mth month (AvgCDRn,m): 1-((1-AvgMDRn,m) 12) Average SDA Approximation over period between the nth month and mth month: AvgCDRn,m/IF(Avg WASn,m<61,MIN(30,Avg WASn,m)*0.02,MAX(0.03,MIN(30,Avg WASn,m)*0.02-0.0095*(Avg WASn,m-60))) Average WASn,m: (WASn + WASn+1 +.......+ WASm )/(number of months in the period n,m) Loss Severity Approximation for current period: sum(Realized Loss Amount)/sum(Beg Principal Balance of Liquidated Loans) Average Loss Severity Approximation over period between nth month and mth month: Avg(Loss Severityn,m) Note: Default rates are calculated since deal issue date and include realized gains and additional realized losses and gains from prior periods. Dates correspond to distribution dates. REALIZED LOSS DETAIL REPORT - LOANS LIQUIDATED DURING CURRENT DISTRIBUTION
SUMMARY LOAN GROUP - ----------------------------------------------------------------------------------------------------------------------------- Total Loan Count = 0 Loan Group 1 = MSDW Group Total Original Principal Balance = 0.00 Total Prior Principal Balance = 0.00 Total Realized Loss Amount = 0.00 Total Net Liquidation Proceeds = 0.00
Note: Total Realized Loss Amount may include adjustments to loans liquidated in prior periods.
Loan Number Original Prior Current State & & Loan Principal Principal Realized Note LTV at Original Origination Loan Group Status Balance Balance Loss/(Gain) Rate Origination Term Date - ------------------------------------------------------------------------------------------------------------------------------------ SPACE INTENTIONALLY LEFT BLANK
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT
TRIGGER EVENTS TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
ADJUSTABLE RATE CERTIFICATE INFORMATION TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
ADDITIONAL INFORMATION TOTAL - -------------------------------------------------------------------------------- Basis Risk Shortfall Class A 0.00 Class B-1 0.00 Class B-2 0.00 Class B-3 0.00 Unpaid Basis Risk Shortfall Class A 0.00 Class B-1 0.00 Class B-2 0.00 Class B-3 0.00
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