-----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, QXPogYIHMD4dHzrK264fKJQCMFHUoLiUSDyPZIzVRlHcTFtpzQ6DPj5aS04W4zHD SQ8aTuPVnGTUCaGgbDjslA== 0000950149-04-000561.txt : 20040308 0000950149-04-000561.hdr.sgml : 20040308 20040305182928 ACCESSION NUMBER: 0000950149-04-000561 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20040219 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20040308 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: 04653203 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 f97107be8vk.txt FORM 8-K 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 February 19, 2004 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.)
One Belvedere Place, Suite 320, Mill Valley, CA 94941 ----------------------------------------------------- (Address of Principal Executive Offices) (415) 381-1765 -------------- (Registrant's Telephone Number, Including Area Code) 591 Redwood Highway, Suite 3120, Mill Valley, CA 94941 ------------------------------------------------------ (Former Name or Former Address, if Changed Since Last Report) 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, February 19, 2004. 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: March 5, 2004 SEQUOIA MORTGAGE FUNDING CORPORATION By: /s/ Harold F. Zagunis ----------------------------------- Harold F. Zagunis Chief Financial Officer, Treasurer and Secretary EXHIBIT INDEX
Exhibit Number Page Number - -------------- ----------- 10.1 Monthly Payment Date Statement relating to the distribution to Bondholders, February 19, 2004..................................... 5
EX-10.1 3 f97107bexv10w1.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: February 19, 2004 Bear, Stearns & Co. Inc. Record Date: February 18, 2004 January 30, 2003
SEQUOIA MORTGAGE TRUST 6 COLLATERALIZED MORTGAGE BONDS BOND PAYMENT REPORT FOR FEBRUARY 19, 2004 DISTRIBUTION Distribution in Dollars - Current Period
Prior Current Class Original Principal Total Realized Deferred Principal Class Type Face Value Balance Interest Principal Distribution Losses Interest Balance - -------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6) - -------------------------------------------------------------------------------------------------------------------------------- LT-A 496,378,000.00 395,162,710.18 785,948.51 4,099,581.55 4,885,530.06 - - 391,063,128.63 LT-A2 100.00 - - - - - - - LT-X 100.00 - - - - - - - LT-B-1 5,915,000.00 5,915,000.00 11,764.48 - 11,764.48 - - 5,915,000.00 LT-B-2 5,143,000.00 5,143,000.00 10,229.03 - 10,229.03 - - 5,143,000.00 - ----------------------------------------------------------------------------------------------------------------------------- LT-B-3 2,315,000.00 2,315,000.00 4,604.36 - 4,604.36 - - 2,315,000.00 LT-B-4 1,534,000.00 1,534,000.00 3,051.01 - 3,051.01 - - 1,534,000.00 LT-B-5 1,028,000.00 1,028,000.00 2,044.61 - 2,044.61 - - 1,028,000.00 LT-B-6 2,068,996.83 2,068,996.83 4,115.08 - 4,115.08 - - 2,068,996.83 LT-R - - - - - - - - - ----------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------- Total 514,382,196.83 413,166,707.01 821,757.08 4,099,581.55 4,921,338.63 - - 409,067,125.46 - -----------------------------------------------------------------------------------------------------------------------------
Interest Accrual Detail Current Period Factor Information per $1,000 of Original Face
Orig. Principal Prior Current Period Period (with Notional) Principal Total Principal Class Starting Ending Method Cusip Balance Balance Interest Principal Distribution Balance - ---------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4)=(2)+(3) (5) - ---------------------------------------------------------------------------------------------------------------------------------- LT-A A-30/360 496,378,000.00 796.092313 1.583367 8.258991 9.842358 787.833322 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 1.988923 - 1.988923 1,000.000000 LT-B-2 A-30/360 5,143,000.00 1,000.000000 1.988923 - 1.988923 1,000.000000 - ---------------------------------------------------------------------------------------------------------------------------------- LT-B-3 A-30/360 2,315,000.00 1,000.000000 1.988924 - 1.988924 1,000.000000 LT-B-4 A-30/360 1,534,000.00 1,000.000000 1.988924 - 1.988924 1,000.000000 LT-B-5 A-30/360 1,028,000.00 1,000.000000 1.988920 - 1.988920 1,000.000000 LT-B-6 A-30/360 2,068,996.83 1,000.000000 1.988925 - 1.988925 1,000.000000 LT-R A-30/360 - - - - - - - ----------------------------------------------------------------------------------------------------------------------------------
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 23,808,538.80 105,314,871.37 - 105,314,871.37 LT-A2 100.00 0.27 100.00 - 100.00 LT-X 100.00 - 100.00 - 100.00 LT-B-1 5,915,000.00 311,326.46 - - - LT-B-2 5,143,000.00 270,693.49 - - - LT-B-3 2,315,000.00 121,846.27 - - - LT-B-4 1,534,000.00 80,739.58 - - - LT-B-5 1,028,000.00 54,107.13 - - - LT-B-6 2,068,996.83 108,898.32 - - - LT-R - - - - - - ---------------------------------------------------------------------------------- Total 514,382,196.83 24,756,150.32 105,315,071.37 - 105,315,071.37 - ---------------------------------------------------------------------------------- Current Total Realized Deferred Principal Class Distribution Losses Interest Balance - -------------------------------------------------------------------- (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8) - -------------------------------------------------------------------- LT-A 129,123,410.17 - - 391,063,128.63 LT-A2 100.27 - - - LT-X 100.00 - - - LT-B-1 311,326.46 - - 5,915,000.00 LT-B-2 270,693.49 - - 5,143,000.00 LT-B-3 121,846.27 - - 2,315,000.00 LT-B-4 80,739.58 - - 1,534,000.00 LT-B-5 54,107.13 - - 1,028,000.00 LT-B-6 108,898.32 - - 2,068,996.83 LT-R - - - - - -------------------------------------------------------------------- Total 130,071,221.69 - - 409,067,125.46 - --------------------------------------------------------------------
Interest Detail
Pass- Prior Principal Non- Prior Unscheduled Paid or Current Through (with Notional) Accrued Supported Unpaid Interest Optimal Deferred Unpaid Class Rate Balance Interest Interest SF Interest Adjustments Interest Interest Interest - ---------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4) (5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6) - ---------------------------------------------------------------------------------------------------------------------------------- LT-A 2.38671% 395,162,710.18 785,948.51 - - - 785,948.51 785,948.51 - LT-A2 2.38671% - - - - - - - - LT-X - - - - - - - - LT-B-1 2.38671% 5,915,000.00 11,764.48 - - - 11,764.48 11,764.48 - LT-B-2 2.38671% 5,143,000.00 10,229.03 - - - 10,229.03 10,229.03 - - ---------------------------------------------------------------------------------------------------------------------------------- LT-B-3 2.38671% 2,315,000.00 4,604.36 - - - 4,604.36 4,604.36 - LT-B-4 2.38671% 1,534,000.00 3,051.01 - - - 3,051.01 3,051.01 - LT-B-5 2.38671% 1,028,000.00 2,044.61 - - - 2,044.61 2,044.61 - LT-B-6 2.38671% 2,068,996.83 4,115.08 - - - 4,115.08 4,115.08 - LT-R - - - - - - - - - ---------------------------------------------------------------------------------------------------------------------------------- Total 413,166,707.01 821,757.08 - - - 821,757.08 821,757.08 - - ----------------------------------------------------------------------------------------------------------------------------------
Distribution in Dollars - Current Period
Prior Current Class Original Principal Total Realized Deferred Principal Class Type Face Value Balance Interest Principal Distribution Losses Interest Balance - -------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6) - -------------------------------------------------------------------------------------------------------------------------------- A FLT 496,378,000.00 395,162,710.18 467,609.21 4,099,581.55 4,567,190.76 - - 391,063,128.63 X CSTR 100.00 - 324,884.46 - 324,884.46 - - - A-R R 100.00 - - - - - - - B-1 SUB 5,915,000.00 5,915,000.00 8,872.50 - 8,872.50 - - 5,915,000.00 B-2 SUB 5,143,000.00 5,143,000.00 7,714.50 - 7,714.50 - - 5,143,000.00 - -------------------------------------------------------------------------------------------------------------------------------- B-3 SUB 2,315,000.00 2,315,000.00 3,472.50 - 3,472.50 - - 2,315,000.00 B-4 SUB 1,534,000.00 1,534,000.00 3,051.01 - 3,051.01 - - 1,534,000.00 B-5 SUB 1,028,000.00 1,028,000.00 2,044.61 - 2,044.61 - - 1,028,000.00 B-6 SUB 2,068,996.00 2,068,996.00 4,115.08 - 4,115.08 - - 2,068,996.00 - -------------------------------------------------------------------------------------------------------------------------------- Total 514,382,196.00 413,166,706.18 821,763.87 4,099,581.55 4,921,345.42 - - 409,067,124.63 - --------------------------------------------------------------------------------------------------------------------------------
Definitive Bond Record Date: 1/30/04 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 - ------------------------------------------------------------------------------------ (1) - ------------------------------------------------------------------------------------ A 01/20/04 02/18/04 A-30/360 81743XAA7 496,378,000.00 796.092313 X A-30/360 SQ0201UPX 100.00 - A-R A-30/360 81743XAC3 100.00 - B-1 01/20/04 02/18/04 A-30/360 81743XAB5 5,915,000.00 1,000.000000 B-2 01/20/04 02/18/04 A-30/360 81743XAD1 5,143,000.00 1,000.000000 - ------------------------------------------------------------------------------------ B-3 01/20/04 02/18/04 A-30/360 81743XAE9 2,315,000.00 1,000.000000 B-4 A-30/360 SQ0201UB4 1,534,000.00 1,000.000000 B-5 A-30/360 SQ0201UB5 1,028,000.00 1,000.000000 B-6 A-30/360 SQ0201UB6 2,068,996.00 1,000.000000 - ------------------------------------------------------------------------------------ Current Total Principal Class Interest Principal Distribution Balance - --------------------------------------------------------------------- (2) (3) (4)=(2)+(3) (5) - --------------------------------------------------------------------- A 0.942043 8.258991 9.201034 787.833322 X 3,248,844.600000 - 3,248,844.600000 - A-R - - - - B-1 1.500000 - 1.500000 1,000.000000 B-2 1.500000 - 1.500000 1,000.000000 - --------------------------------------------------------------------- B-3 1.500000 - 1.500000 1,000.000000 B-4 1.988924 - 1.988924 1,000.000000 B-5 1.988920 - 1.988920 1,000.000000 B-6 1.988926 - 1.988926 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
Current Original Unscheduled Scheduled Total Class Face Value Interest Principal Principal Principal - -------------------------------------------------------------------------------- (1) (2) (3) (4) (5)=(3)+(4) - -------------------------------------------------------------------------------- A 496,378,000.00 14,225,115.74 105,314,871.37 - 105,314,871.37 X 100.00 9,775,176.08 100.00 - 100.00 A-R 100.00 0.27 100.00 - 100.00 B-1 5,915,000.00 226,585.37 - - - B-2 5,143,000.00 197,012.48 - - - B-3 2,315,000.00 88,680.48 - - - B-4 1,534,000.00 80,739.58 - - - B-5 1,028,000.00 54,107.13 - - - B-6 2,068,996.00 108,898.28 - - - - -------------------------------------------------------------------------------- Total 514,382,196.00 24,756,315.41 105,315,071.37 - 105,315,071.37 - -------------------------------------------------------------------------------- Current Total Realized Deferred Principal Class Distribution Losses Interest Balance - ---------------------------------------------------------------- (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8) - ---------------------------------------------------------------- A 119,539,987.11 - - 391,063,128.63 X 9,775,276.08 - - - A-R 100.27 - - - B-1 226,585.37 - - 5,915,000.00 B-2 197,012.48 - - 5,143,000.00 B-3 88,680.48 - - 2,315,000.00 B-4 80,739.58 - - 1,534,000.00 B-5 54,107.13 - - 1,028,000.00 B-6 108,898.28 - - 2,068,996.00 - ---------------------------------------------------------------- Total 130,071,386.78 - - 409,067,124.63 - ----------------------------------------------------------------
Interest Detail
Pass- Prior Principal Non- Prior Unscheduled Paid or Current Through (with Notional) Accrued Supported Unpaid Interest Optimal Deferred Unpaid Class Rate Balance Interest Interest SF Interest Adjustments Interest Interest Interest - ------------------------------------------------------------------------------------------------------------------------------ (1) (2) (3) (4) (5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6) - ------------------------------------------------------------------------------------------------------------------------------ A 1.42000% 395,162,710.18 467,609.21 - - - 467,609.21 467,609.21 - X 0.95427% - 324,884.46 - - - 324,884.46 324,884.46 - A-R 2.38671% - - - - - - - - B-1 1.80000% 5,915,000.00 8,872.50 - - - 8,872.50 8,872.50 - B-2 1.80000% 5,143,000.00 7,714.50 - - - 7,714.50 7,714.50 - - ------------------------------------------------------------------------------------------------------------------------------ B-3 1.80000% 2,315,000.00 3,472.50 - - - 3,472.50 3,472.50 - B-4 2.38671% 1,534,000.00 3,051.01 - - - 3,051.01 3,051.01 - B-5 2.38671% 1,028,000.00 2,044.61 - - - 2,044.61 2,044.61 - B-6 2.38671% 2,068,996.00 4,115.08 - - - 4,115.08 4,115.08 - - ------------------------------------------------------------------------------------------------------------------------------ Total 413,166,706.18 821,763.87 - - - 821,763.87 821,763.87 - - ------------------------------------------------------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
SUMMARY TOTAL - -------------------------------------------------------------------------------- Principal Collections 4,099,581.55 Principal Withdrawals 0.00 Principal Other Accounts 0.00 TOTAL PRINCIPAL 4,099,581.55 Interest Collected 829,170.53 Interest Withdrawals 0.00 Interest Other Accounts 6.78 Fees (7,413.44) TOTAL INTEREST 821,763.87 TOTAL AVAILABLE TO CERTIFICATEHOLDERS 4,921,345.42 - --------------------------------------------------------------------------------
PRINCIPAL - COLLECTIONS TOTAL - -------------------------------------------------------------------------------- Scheduled Principal 0.00 Curtailments 568,242.70 Prepayments In Full 3,531,338.85 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 4,099,581.55 - --------------------------------------------------------------------------------
PRINCIPAL - WITHDRAWALS TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
PRINCIPAL - OTHER ACCOUNTS TOTAL - -------------------------------------------------------------------------------- Amounts remaining in Pre-Funding Account 0.00
INTEREST - COLLECTIONS TOTAL - -------------------------------------------------------------------------------- Scheduled Interest 952,770.38 Repurchased Interest 0.00 Substitution Interest Amount 0.00 Liquidation Interest 0.00 Insurance Interest 0.00 Other Interest 0.00 Delinquent Interest (908,680.28) Interest Advanced 785,080.43 Prepayment Interest Shortfalls (2,924.83) Compensating Interest 2,924.83 Civil Relief Act Shortfalls 0.00 TOTAL INTEREST COLLECTED 829,170.53 - --------------------------------------------------------------------------------
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 6.78 TOTAL INTEREST OTHER ACCOUNTS 6.78 - ----------------------------------------------------------------------------
INTEREST - FEES TOTAL - ---------------------------------------------------------------------------- Current Servicing Fees 6,036.22 Trustee Fee 1,377.22 TOTAL FEES 7,413.44 - ----------------------------------------------------------------------------
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 6.78 Ending Balance 10,000.00 - ----------------------------------------------------------------------------
INSURANCE TOTAL - ---------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
STRUCTURAL FEATURES TOTAL - ---------------------------------------------------------------------------- Pro Rata Senior Percentage 95.642438% 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 1,015 Prefunding - Scheduled Paid Offs - Full Voluntary Prepayments (11) Repurchases - Liquidations - -------------------------------------------------------------------- Current 1,004 PRINCIPAL BALANCE: Original 514,382,196.83 Prior 413,166,707.01 Prefunding - Scheduled Principal - Partial and Full Voluntary Prepayments (4,099,581.55) Repurchases - Liquidations - -------------------------------------------------------------------- Current 409,067,125.46 - --------------------------------------------------------------------------------
PREFUNDING TOTAL - -------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK
CHARACTERISTICS TOTAL - ----------------------------------------------------------------------------------------- Weighted Average Coupon Original 3.667751% Weighted Average Coupon Prior 2.767021% Weighted Average Coupon Current 2.767223% - ---------------------------------------------------------------------------------------- Weighted Average Months to Maturity Original 297 Weighted Average Months to Maturity Prior 277 Weighted Average Months to Maturity Current 276 - ---------------------------------------------------------------------------------------- Weighted Avg Remaining Amortization Term Original 296 Weighted Avg Remaining Amortization Term Prior 276 Weighted Avg Remaining Amortization Term Current 275 - ---------------------------------------------------------------------------------------- Weighted Average Seasoning Original 3.66 Weighted Average Seasoning Prior 23.64 Weighted Average Seasoning Current 24.63 - ----------------------------------------------------------------------------------------
Note: Original information refers to deal issue.
ARM CHARACTERISTICS TOTAL - ----------------------------------------------------------------------------------------- Weighted Average Margin Original 1.652% Weighted Average Margin Prior 1.641% Weighted Average Margin Current 1.642% - ---------------------------------------------------------------------------------------- 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 1.641% Weighted Average Min Rate Current 1.642% - ---------------------------------------------------------------------------------------- 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 6,036.22 Delinquent Servicing Fees 123,599.85 TOTAL SERVICING FEES 129,636.07 Total Servicing Fees 129,636.07 Compensating Interest (2,924.83) Delinquent Servicing Fees (123,599.85) COLLECTED SERVICING FEES 3,111.39 Prepayment Interest Shortfall 2,924.83 Total Advanced Interest 785,080.43 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 - - - - % Balance 0.00% 0.00% 0.00% 0.00% # Loans - - - - % # Loans 0.00% 0.00% 0.00% 0.00% - ------------------------------------------------------------------------------------ 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 - - - - - % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans - - - - - % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - ------------------------------------------------------------------------------------
Note: <1 Payment = 0-29days, 1 Payment = 30-59days, 2 Payments = 60-89days, 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 11 Number of Repurchased Loans - - -------------------------------------------------------------------------------------- Total Number of Loans Prepaid in Full 11 Paid in Full Balance 3,531,338.85 Repurchased Loans Balance - Curtailments Amount 568,242.70 - -------------------------------------------------------------------------------------- Total Prepayment Amount 4,099,581.55 CUMULATIVE Number of Paid in Full Loans 249 Number of Repurchased Loans - - -------------------------------------------------------------------------------------- Total Number of Loans Prepaid in Full 249 Paid in Full Balance 90,873,979.87 Repurchased Loans Balance - Curtailments Amount 14,441,091.50 - -------------------------------------------------------------------------------------- Total Prepayment Amount 105,315,071.37 SPACE INTENTIONALLY LEFT BLANK
VOLUNTARY PREPAYMENT RATES TOTAL - ------------------------------------------------------------------------------- SMM 0.99% 3 Months Avg SMM 1.10% 12 Months Avg SMM 1.15% Avg SMM Since Cut-off 1.04% CPR 11.28% 3 Months Avg CPR 12.41% 12 Months Avg CPR 12.99% Avg CPR Since Cut-off 11.75% PSA 228.95% 3 Months Avg PSA Approximation 262.50% 12 Months Avg PSA Approximation 339.35% Avg PSA Since Cut-off Approximation 415.40% - -------------------------------------------------------------------------------
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)to the power of 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)]to the power of (1/months in period n,m) Average CPR over period between the nth month and mth month (AvgCPRn,m): 1-((1-AvgSMMn,m)to the power of 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 = 11 Loan Group 1 = MSDW Group Total Original Principal Balance = 3,559,000.00 Total Prepayment Amount = 3,531,338.85
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 - -------------------------------------------------------------------------------------------------------------- 390440278 1 342,300.00 339,437.46 Jan-12-04 2.875% NY - 56.58% Paid Off - 300 Nov-21-01 390440572 1 308,000.00 308,000.00 Jan-12-04 2.875% IN - 53.10% Paid Off - 300 Dec-24-01 390441127 1 616,600.00 616,583.79 Jan-21-04 2.875% NJ - 80.00% Paid Off - 300 Sep-28-01 390442340 1 188,600.00 188,600.00 Jan-23-04 2.750% CA - 35.38% Paid Off - 300 Oct-22-01 390442691 1 615,000.00 615,000.00 Jan-26-04 2.750% FL - 50.00% Paid Off - 300 Oct-22-01 390444132 1 155,000.00 153,998.96 Jan-29-04 3.125% AZ - 62.00% Paid Off - 300 Dec-27-01 390445482 1 76,400.00 76,031.60 Jan-27-04 2.875% GA - 37.36% Paid Off - 300 Dec-20-01 390446587 1 285,000.00 262,700.00 Jan-29-04 2.625% CA - 30.00% Paid Off - 300 Jan-18-02 390446594 1 333,600.00 333,600.00 Jan-20-04 2.625% CA - 100.00% Paid Off - 300 Jan-04-02 390447524 1 131,500.00 130,538.09 Jan-20-04 3.000% CA - 42.42% Paid Off - 300 Feb-21-02 390448168 1 507,000.00 506,848.95 Jan-22-04 2.750% CA - 79.22% Paid Off - 300 Feb-14-02
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 periods. 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)to the power of 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)]to the power of (1/months in period n,m) Average CDR over period between the nth month and mth month (AvgCDRn,m): 1-((1-AvgMDRn,m)to the power of 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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