8-K 1 ace04op1.txt AUGUST 8-K 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 ACE SECURITIES CORP. HOME EQUITY LOAN TRUST Asset Backed Pass-Through Certificates, Series 2004-OP1 Trust (Exact name of registrant as specified in its charter) New York (governing law of 333-110039-07 54-2151906 Pooling and Servicing Agreement) (Commission 54-2151907 (State or other File Number) IRS EIN jurisdiction of Incorporation) c/o Wells Fargo Bank, N.A. 9062 Old Annapolis Road Columbia, MD 21045 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code: (410) 884-2000 (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act(17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act(17 CFR 240.13e-4(c)) ITEM 8.01 Other Events On August 25, 2004 a distribution was made to holders of ACE SECURITIES CORP. HOME EQUITY LOAN TRUST, Asset Backed Pass-Through Certificates, Series 2004-OP1 Trust. ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Exhibit Number Description EX-99.1 Monthly report distributed to holders of Asset Backed Pass-Through Certificates, Series 2004-OP1 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. ACE SECURITIES CORP. HOME EQUITY LOAN TRUST Asset Backed Pass-Through Certificates, Series 2004-OP1 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: 8/26/04 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Asset Backed Pass-Through Certificates, Series 2004-OP1 Trust, relating to the August 25, 2004 distribution. EX-99.1
ACE Securities Corporation Home Equity Loan Trust Asset Backed Pass-Through Certificates Record Date: 7/31/04 Distribution Date: 8/25/04 ACE Series: 2004-OP1 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 004421ES8 SEN 1.66000% 1,000,671,400.12 1,384,262.10 27,950,241.67 A-2A 004421ET6 SEN 1.56000% 93,193,196.46 121,151.16 6,136,725.66 A-2B 004421EU3 SEN 1.67000% 41,704,000.00 58,038.07 0.00 A-2C 004421EV1 SEN 1.90000% 30,083,000.00 47,631.42 0.00 M-1 004421EW9 MEZ 1.97000% 103,682,000.00 170,211.28 0.00 M-2 004421EX7 MEZ 2.50000% 82,791,000.00 172,481.25 0.00 M-3 004421EY5 MEZ 2.70000% 22,439,000.00 50,487.75 0.00 M-4 004421EZ2 MEZ 3.45000% 19,344,000.00 55,614.00 0.00 M-5 004421FA6 MEZ 3.70000% 21,665,000.00 66,800.42 0.00 M-6 004421FB4 MEZ 4.95000% 20,117,000.00 82,982.63 0.00 B 004421FC2 SUB 4.95000% 27,855,000.00 114,901.87 0.00 P ACE04OP1P SEN 0.00000% 100.00 471,091.28 0.00 CE ACE4OP1CE JUN 0.00000% 15,474,950.59 6,215,803.64 0.00 Totals 1,479,019,647.17 9,011,456.87 34,086,967.33
Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses A-1 0.00 972,721,158.45 29,334,503.77 0.00 A-2A 0.00 87,056,470.80 6,257,876.82 0.00 A-2B 0.00 41,704,000.00 58,038.07 0.00 A-2C 0.00 30,083,000.00 47,631.42 0.00 M-1 0.00 103,682,000.00 170,211.28 0.00 M-2 0.00 82,791,000.00 172,481.25 0.00 M-3 0.00 22,439,000.00 50,487.75 0.00 M-4 0.00 19,344,000.00 55,614.00 0.00 M-5 0.00 21,665,000.00 66,800.42 0.00 M-6 0.00 20,117,000.00 82,982.63 0.00 B 0.00 27,855,000.00 114,901.87 0.00 P 0.00 100.00 471,091.28 0.00 CE 0.00 15,474,950.59 6,215,803.64 0.00 Totals 0.00 1,444,932,679.84 43,098,424.20 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 1,057,332,000.00 1,000,671,400.12 0.00 27,950,241.67 0.00 0.00 A-2A 105,009,000.00 93,193,196.46 0.00 6,136,725.66 0.00 0.00 A-2B 41,704,000.00 41,704,000.00 0.00 0.00 0.00 0.00 A-2C 30,083,000.00 30,083,000.00 0.00 0.00 0.00 0.00 M-1 103,682,000.00 103,682,000.00 0.00 0.00 0.00 0.00 M-2 82,791,000.00 82,791,000.00 0.00 0.00 0.00 0.00 M-3 22,439,000.00 22,439,000.00 0.00 0.00 0.00 0.00 M-4 19,344,000.00 19,344,000.00 0.00 0.00 0.00 0.00 M-5 21,665,000.00 21,665,000.00 0.00 0.00 0.00 0.00 M-6 20,117,000.00 20,117,000.00 0.00 0.00 0.00 0.00 B 27,855,000.00 27,855,000.00 0.00 0.00 0.00 0.00 P 100.00 100.00 0.00 0.00 0.00 0.00 CE 15,473,959.66 15,474,950.59 0.00 0.00 0.00 0.00 Totals 1,547,495,059.66 1,479,019,647.17 0.00 34,086,967.33 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 27,950,241.67 972,721,158.45 0.91997704 27,950,241.67 A-2A 6,136,725.66 87,056,470.80 0.82903819 6,136,725.66 A-2B 0.00 41,704,000.00 1.00000000 0.00 A-2C 0.00 30,083,000.00 1.00000000 0.00 M-1 0.00 103,682,000.00 1.00000000 0.00 M-2 0.00 82,791,000.00 1.00000000 0.00 M-3 0.00 22,439,000.00 1.00000000 0.00 M-4 0.00 19,344,000.00 1.00000000 0.00 M-5 0.00 21,665,000.00 1.00000000 0.00 M-6 0.00 20,117,000.00 1.00000000 0.00 B 0.00 27,855,000.00 1.00000000 0.00 P 0.00 100.00 1.00000000 0.00 CE 0.00 15,474,950.59 1.00006404 0.00 Totals 34,086,967.33 1,444,932,679.84 0.93372361 34,086,967.33
Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion A-1 1,057,332,000.00 946.41172321 0.00000000 26.43468813 0.00000000 A-2A 105,009,000.00 887.47818244 0.00000000 58.43999714 0.00000000 A-2B 41,704,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 A-2C 30,083,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-1 103,682,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-2 82,791,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-3 22,439,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-4 19,344,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-5 21,665,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M-6 20,117,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 B 27,855,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000 CE 15,473,959.66 1000.06403855 0.00000000 0.00000000 0.00000000
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 26.43468813 919.97703508 0.91997704 26.43468813 A-2A 0.00000000 58.43999714 829.03818530 0.82903819 58.43999714 A-2B 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 A-2C 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-1 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-2 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-3 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-4 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-5 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M-6 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 B 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 P 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 CE 0.00000000 0.00000000 1,000.06403855 1.00006404 0.00000000 (3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a Full Description.
Interest Distribution Statement Beginning Payment of Original Current Certificate/ Current Unpaid Current Face Certificate Notional Accrued Interest Interest Class Amount Rate Balance Interest Shortfall Shortfall A-1 1,057,332,000.00 1.66000% 1,000,671,400.12 1,384,262.10 0.00 0.00 A-2A 105,009,000.00 1.56000% 93,193,196.46 121,151.16 0.00 0.00 A-2B 41,704,000.00 1.67000% 41,704,000.00 58,038.07 0.00 0.00 A-2C 30,083,000.00 1.90000% 30,083,000.00 47,631.42 0.00 0.00 M-1 103,682,000.00 1.97000% 103,682,000.00 170,211.28 0.00 0.00 M-2 82,791,000.00 2.50000% 82,791,000.00 172,481.25 0.00 0.00 M-3 22,439,000.00 2.70000% 22,439,000.00 50,487.75 0.00 0.00 M-4 19,344,000.00 3.45000% 19,344,000.00 55,614.00 0.00 0.00 M-5 21,665,000.00 3.70000% 21,665,000.00 66,800.42 0.00 0.00 M-6 20,117,000.00 4.95000% 20,117,000.00 82,982.63 0.00 0.00 B 27,855,000.00 4.95000% 27,855,000.00 114,901.88 0.00 0.00 P 100.00 0.00000% 100.00 0.00 0.00 0.00 CE 15,473,959.66 0.00000% 15,474,950.59 0.00 0.00 0.00 Totals 1,547,495,059.66 2,324,561.96 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 1,384,262.10 0.00 972,721,158.45 A-2A 0.00 0.00 121,151.16 0.00 87,056,470.80 A-2B 0.00 0.00 58,038.07 0.00 41,704,000.00 A-2C 0.00 0.00 47,631.42 0.00 30,083,000.00 M-1 0.00 0.00 170,211.28 0.00 103,682,000.00 M-2 0.00 0.00 172,481.25 0.00 82,791,000.00 M-3 0.00 0.00 50,487.75 0.00 22,439,000.00 M-4 0.00 0.00 55,614.00 0.00 19,344,000.00 M-5 0.00 0.00 66,800.42 0.00 21,665,000.00 M-6 0.00 0.00 82,982.63 0.00 20,117,000.00 B 0.00 0.00 114,901.87 0.00 27,855,000.00 P 0.00 0.00 471,091.28 0.00 100.00 CE 0.00 0.00 6,215,803.64 0.00 15,474,950.59 Totals 0.00 0.00 9,011,456.87 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 1,057,332,000.00 1.66000% 946.41172321 1.30920288 0.00000000 0.00000000 A-2A 105,009,000.00 1.56000% 887.47818244 1.15372168 0.00000000 0.00000000 A-2B 41,704,000.00 1.67000% 1000.00000000 1.39166675 0.00000000 0.00000000 A-2C 30,083,000.00 1.90000% 1000.00000000 1.58333344 0.00000000 0.00000000 M-1 103,682,000.00 1.97000% 1000.00000000 1.64166663 0.00000000 0.00000000 M-2 82,791,000.00 2.50000% 1000.00000000 2.08333333 0.00000000 0.00000000 M-3 22,439,000.00 2.70000% 1000.00000000 2.25000000 0.00000000 0.00000000 M-4 19,344,000.00 3.45000% 1000.00000000 2.87500000 0.00000000 0.00000000 M-5 21,665,000.00 3.70000% 1000.00000000 3.08333349 0.00000000 0.00000000 M-6 20,117,000.00 4.95000% 1000.00000000 4.12500025 0.00000000 0.00000000 B 27,855,000.00 4.95000% 1000.00000000 4.12500018 0.00000000 0.00000000 P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000 CE 15,473,959.66 0.00000% 1000.06403855 0.00000000 0.00000000 0.00000000 (5) Per $1 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 1.30920288 0.00000000 919.97703508 A-2A 0.00000000 0.00000000 1.15372168 0.00000000 829.03818530 A-2B 0.00000000 0.00000000 1.39166675 0.00000000 1000.00000000 A-2C 0.00000000 0.00000000 1.58333344 0.00000000 1000.00000000 M-1 0.00000000 0.00000000 1.64166663 0.00000000 1000.00000000 M-2 0.00000000 0.00000000 2.08333333 0.00000000 1000.00000000 M-3 0.00000000 0.00000000 2.25000000 0.00000000 1000.00000000 M-4 0.00000000 0.00000000 2.87500000 0.00000000 1000.00000000 M-5 0.00000000 0.00000000 3.08333349 0.00000000 1000.00000000 M-6 0.00000000 0.00000000 4.12500025 0.00000000 1000.00000000 B 0.00000000 0.00000000 4.12499982 0.00000000 1000.00000000 P 0.00000000 0.00000000 4710912.80000000 0.00000000 1000.00000000 CE 0.00000000 0.00000000 401.69444516 0.00000000 1000.06403855 (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 42,973,851.41 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 216,408.23 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 471,091.28 Total Deposits 43,661,350.92 Withdrawals Reimbursement for Servicer Advances 174,684.11 Payment of Service Fee 388,242.61 Payment of Interest and Principal 43,098,424.20 Total Withdrawals (Pool Distribution Amount) 43,661,350.92 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 369,754.93 Credit Risk Manager Fee: The Murrayhill Company 15,406.44 Master Servicing Fee: Wells Fargo 3,081.24 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee 388,242.61
OTHER ACCOUNTS Beginning Current Current Ending Account Type Balance Withdrawals Deposits Balance Reserve Fund 1,000.00 0.64 0.64 1,000.00
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 16 0 0 16 2,503,547.95 0.00 0.00 2,503,547.95 30 Days 87 2 1 0 90 14,157,316.87 318,601.25 327,530.82 0.00 14,803,448.94 60 Days 49 6 44 0 99 7,721,425.87 1,006,131.34 6,190,635.61 0.00 14,918,192.82 90 Days 1 1 4 0 6 131,927.75 72,152.53 716,804.83 0.00 920,885.11 120 Days 0 0 1 0 1 0.00 0.00 74,400.00 0.00 74,400.00 150 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 137 25 50 0 212 22,010,670.49 3,900,433.07 7,309,371.26 0.00 33,220,474.82 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 0.167662% 0.000000% 0.000000% 0.167662% 0.173199% 0.000000% 0.000000% 0.173199% 30 Days 0.911663% 0.020958% 0.010479% 0.000000% 0.943100% 0.979422% 0.022041% 0.022659% 0.000000% 1.024123% 60 Days 0.513465% 0.062873% 0.461071% 0.000000% 1.037410% 0.534179% 0.069606% 0.428277% 0.000000% 1.032061% 90 Days 0.010479% 0.010479% 0.041916% 0.000000% 0.062873% 0.009127% 0.004992% 0.049590% 0.000000% 0.063708% 120 Days 0.000000% 0.000000% 0.010479% 0.000000% 0.010479% 0.000000% 0.000000% 0.005147% 0.000000% 0.005147% 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 1.435607% 0.261972% 0.523944% 0.000000% 2.221524% 1.522728% 0.269837% 0.505672% 0.000000% 2.298238%
Delinquency Status By Groups DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp I, Sub Grp I 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 2 0 0 2 379,378.23 0.00 0.00 379,378.23 30 Days 11 0 0 0 11 1,379,965.90 0.00 0.00 0.00 1,379,965.90 60 Days 7 1 4 0 12 1,166,870.60 58,253.03 726,001.59 0.00 1,951,125.22 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 18 3 4 0 25 2,546,836.50 437,631.26 726,001.59 0.00 3,710,469.35 0-29 Days 0.083542% 0.000000% 0.000000% 0.083542% 0.117656% 0.000000% 0.000000% 0.117656% 30 Days 0.459482% 0.000000% 0.000000% 0.000000% 0.459482% 0.427968% 0.000000% 0.000000% 0.000000% 0.427968% 60 Days 0.292398% 0.041771% 0.167084% 0.000000% 0.501253% 0.361881% 0.018066% 0.225154% 0.000000% 0.605101% 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 0.751880% 0.125313% 0.167084% 0.000000% 1.044277% 0.789849% 0.135722% 0.225154% 0.000000% 1.150725% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp I, Sub Grp II 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 12 0 0 12 1,808,313.55 0.00 0.00 1,808,313.55 30 Days 64 2 1 0 67 10,082,758.67 318,601.25 327,530.82 0.00 10,728,890.74 60 Days 36 3 34 0 73 5,254,681.00 501,579.57 4,861,044.17 0.00 10,617,304.74 90 Days 1 1 4 0 6 131,927.75 72,152.53 716,804.83 0.00 920,885.11 120 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 101 18 39 0 158 15,469,367.42 2,700,646.90 5,905,379.82 0.00 24,075,394.14 0-29 Days 0.193112% 0.000000% 0.000000% 0.193112% 0.196724% 0.000000% 0.000000% 0.196724% 30 Days 1.029932% 0.032185% 0.016093% 0.000000% 1.078210% 1.096889% 0.034660% 0.035632% 0.000000% 1.167181% 60 Days 0.579337% 0.048278% 0.547152% 0.000000% 1.174767% 0.571649% 0.054566% 0.528826% 0.000000% 1.155042% 90 Days 0.016093% 0.016093% 0.064371% 0.000000% 0.096556% 0.014352% 0.007849% 0.077980% 0.000000% 0.100182% 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 1.625362% 0.289668% 0.627615% 0.000000% 2.542646% 1.682891% 0.293800% 0.642438% 0.000000% 2.619129% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp II, Sub Grp I 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 1 463,894.28 0.00 0.00 0.00 463,894.28 60 Days 1 0 1 0 2 52,663.18 0.00 323,441.31 0.00 376,104.49 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 1 0 3 516,557.46 0.00 323,441.31 0.00 839,998.77 0-29 Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 30 Days 0.414938% 0.000000% 0.000000% 0.000000% 0.414938% 0.899143% 0.000000% 0.000000% 0.000000% 0.899143% 60 Days 0.414938% 0.000000% 0.414938% 0.000000% 0.829876% 0.102074% 0.000000% 0.626910% 0.000000% 0.728984% 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 0.829876% 0.000000% 0.414938% 0.000000% 1.244813% 1.001217% 0.000000% 0.626910% 0.000000% 1.628127% DELINQUENT BANKRUPTCY FORECLOSURE REO Total Grp II, Sub Grp II 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 2 0 0 2 315,856.17 0.00 0.00 315,856.17 30 Days 11 0 0 0 11 2,230,698.02 0.00 0.00 0.00 2,230,698.02 60 Days 5 2 5 0 12 1,247,211.09 446,298.74 280,148.54 0.00 1,973,658.37 90 Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 120 Days 0 0 1 0 1 0.00 0.00 74,400.00 0.00 74,400.00 150 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 16 4 6 0 26 3,477,909.11 762,154.91 354,548.54 0.00 4,594,612.56 0-29 Days 0.288184% 0.000000% 0.000000% 0.288184% 0.207495% 0.000000% 0.000000% 0.207495% 30 Days 1.585014% 0.000000% 0.000000% 0.000000% 1.585014% 1.465413% 0.000000% 0.000000% 0.000000% 1.465413% 60 Days 0.720461% 0.288184% 0.720461% 0.000000% 1.729107% 0.819331% 0.293187% 0.184038% 0.000000% 1.296556% 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% 0.144092% 0.000000% 0.144092% 0.000000% 0.000000% 0.048876% 0.000000% 0.048876% 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 2.305476% 0.576369% 0.864553% 0.000000% 3.746398% 2.284743% 0.500683% 0.232914% 0.000000% 3.018340%
OTHER INFORMATION Current Period Class A Insufficient Funds 0.00 Principal Balance of Contaminated Properties 0.00 Periodic Advance 216,408.23
COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Gross Coupon 7.244210% Weighted Average Net Coupon 6.944210% Weighted Average Pass-Through Rate 6.929210% Weighted Average Maturity(Stepdown Calculation ) 351 Beginning Scheduled Collateral Loan Count 9,734 Number Of Loans Paid In Full 191 Ending Scheduled Collateral Loan Count 9,543 Beginning Scheduled Collateral Balance 1,479,019,647.17 Ending Scheduled Collateral Balance 1,444,932,679.84 Ending Actual Collateral Balance at 31-Jul-2004 1,445,476,132.71 Monthly P &I Constant 10,221,859.91 Special Servicing Fee 0.00 Prepayment Penalties 471,091.28 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Ending Scheduled Balance for Premium Loans 1,444,932,679.84 Scheduled Principal 1,292,876.24 Unscheduled Principal 32,794,091.09 Required Overcollateralization Amount 0.00 Overcollateralized Increase Amount 6,215,803.00 Overcollateralized reduction Amount 0.00 Specified O/C Amount 15,474,950.59 Overcollateralized Amount 15,474,950.59 Overcollateralized Deficiency Amount 0.00 Base Overcollateralized Amount 7,737,475.30 Extra principal distribution Amount 0.00 Excess Cash Amount 6,215,803.00
COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Coupon Rate 7.244210% Weighted Average Net Rate 6.944210% Weighted Average Pass Through Rate 6.929210% Weighted Average Maturity 351 Record Date 07/31/2004 Principal and Interest Constant 10,221,859.91 Beginning Loan Count 9,734 Loans Paid in Full 191 Ending Loan Count 9,543 Beginning Scheduled Balance 1,479,019,647.17 Ending Scheduled Balance 1,444,932,679.84 Ending Actual Balance at 31-Jul-2004 1,445,476,132.71 Scheduled Principal 1,292,876.24 Unscheduled Principal 32,794,091.09 Scheduled Interest 8,928,983.67 Servicing Fee 369,754.93 Master Servicing Fee 3,081.24 Trustee Fee 0.00 FRY Amount 0.00 Special Hazard Fee 0.00 Other Fee 15,406.44 Pool Insurance Fee 0.00 Spread 1 0.00 Spread 2 0.00 Spread 3 0.00 Net Interest 8,540,741.06 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Percentage of Cumulative Losses 0.0000 Special Servicing Fee 0.00 Prepayment Penalties 471,091.28 Required Overcollateralized Amount 0.00 Overcollateralized Increase Amount 6,215,803.00 Overcollateralized Reduction Amount 0.00 Specified O/C Amount 15,474,950.59 Overcollateralized Amount 15,474,950.59 Overcollateralized Deficiency Amount 0.00 Base Overcollateralization Amount 7,737,475.30
Miscellaneous Reporting Required Overcollateralization Amount: 15,474,950.59 Credit Enhancement Percentage: 21.687381%
Group Level Collateral Statement Group Grp I, Sub Grp I Grp I, Sub Grp II Grp II, Sub Grp I Collateral Description Fixed 15/30 & ARM Fixed 15/30 & ARM Fixed 15/30 & ARM Weighted Average Coupon Rate 7.252733 7.278045 6.836128 Weighted Average Net Rate 6.952733 6.978045 6.536128 Weighted Average Maturity 340 354 347 Beginning Loan Count 2,425 6,352 244 Loans Paid In Full 31 138 3 Ending Loan Count 2,394 6,214 241 Beginning Scheduled Balance 327,020,344.71 942,127,568.14 52,139,864.63 Ending scheduled Balance 322,352,759.35 918,844,911.83 51,580,271.50 Record Date 07/31/2004 07/31/2004 07/31/2004 Principal And Interest Constant 2,305,936.02 6,493,729.43 348,166.64 Scheduled Principal 329,443.37 779,314.40 51,137.66 Unscheduled Principal 4,338,141.99 22,503,341.91 508,455.47 Scheduled Interest 1,976,492.65 5,714,415.03 297,028.98 Servicing Fees 81,755.10 235,531.89 13,034.97 Master Servicing Fees 681.27 1,962.76 108.62 Trustee Fee 0.00 0.00 0.00 FRY Amount 0.00 0.00 0.00 Special Hazard Fee 0.00 0.00 0.00 Other Fee 3,406.46 9,813.83 543.12 Pool Insurance Fee 0.00 0.00 0.00 Spread Fee 1 0.00 0.00 0.00 Spread Fee 2 0.00 0.00 0.00 Spread Fee 3 0.00 0.00 0.00 Net Interest 1,890,649.82 5,467,106.55 283,342.27 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 6.937733 6.963045 6.521128
Group Level Collateral Statement Group Grp II, Sub Grp II Total Collateral Description Fixed 15/30 & ARM Mixed Fixed & Arm Weighted Average Coupon Rate 7.159342 7.244210 Weighted Average Net Rate 6.859342 6.944210 Weighted Average Maturity 355 351 Beginning Loan Count 713 9,734 Loans Paid In Full 19 191 Ending Loan Count 694 9,543 Beginning Scheduled Balance 157,731,869.69 1,479,019,647.17 Ending scheduled Balance 152,154,737.16 1,444,932,679.84 Record Date 07/31/2004 07/31/2004 Principal And Interest Constant 1,074,027.82 10,221,859.91 Scheduled Principal 132,980.81 1,292,876.24 Unscheduled Principal 5,444,151.72 32,794,091.09 Scheduled Interest 941,047.01 8,928,983.67 Servicing Fees 39,432.97 369,754.93 Master Servicing Fees 328.59 3,081.24 Trustee Fee 0.00 0.00 FRY Amount 0.00 0.00 Special Hazard Fee 0.00 0.00 Other Fee 1,643.03 15,406.44 Pool Insurance Fee 0.00 0.00 Spread Fee 1 0.00 0.00 Spread Fee 2 0.00 0.00 Spread Fee 3 0.00 0.00 Net Interest 899,642.42 8,540,741.06 Realized Loss Amount 0.00 0.00 Cumulative Realized Loss 0.00 0.00 Percentage of Cumulative Losses 0.0000 0.0000 Prepayment Penalties 0.00 0.00 Special Servicing Fee 0.00 0.00 Pass-Through Rate 6.844342 6.929210