Sequoia Mortgage Trust 6 Collateralized Mortgage Bonds March 2004 Distribution Report

Summary

This report details the March 19, 2004 distribution of payments for the Sequoia Mortgage Trust 6 Collateralized Mortgage Bonds. The involved parties include Redwood Trust (Seller), Cendant Mortgage Corporation and Morgan Stanley Dean Witter (Servicers), and Deutsche Bank (Administrator). The document outlines the principal and interest payments made to various bond classes, the remaining balances, and other financial details relevant to bondholders. It serves as an official record of the payment allocations and outstanding amounts for this period.

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EX-10.1 3 f97895aexv10w1.htm EXHIBIT 10.1 exv10w1  

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:
Certificate Insurer:
Servicer(s): 		  Redwood Trust

Cendant Mortgage Corporation
Morgan Stanley Dean Witter 		  Cut-Off Date:
Closing Date:
First Payment Date: 		  April 1, 2002
April 26, 2002
May 20, 2002
 
                
  Underwriter(s):   Greenwich Capital Markets, Inc.
Bear, Stearns & Co. Inc. 		  Distribution Date:
Record Date: 		  March 19, 2004
March 18, 2004
February 27, 2004

 

SEQUOIA MORTGAGE TRUST 6
Collateralized Mortgage Bonds
Bond Payment Report for March 19, 2004 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       391,063,128.63       797,304.43       5,448,487.24  
LT-A2
             100.00       —       —       —  
LT-X
             100.00       —       —       —  
LT-B-1
             5,915,000.00       5,915,000.00       12,059.58       —  
LT-B-2
             5,143,000.00       5,143,000.00       10,485.61       —  
 
          
 		      
 		      
 		      
 		  
LT-B-3
             2,315,000.00       2,315,000.00       4,719.85       —  
LT-B-4
             1,534,000.00       1,534,000.00       3,127.54       —  
LT-B-5
             1,028,000.00       1,028,000.00       2,095.90       —  
LT-B-6
             2,068,996.83       2,068,996.83       4,218.30       —  
LT-R
             —       —       —       —  
 
          
 		      
 		      
 		      
 		  
Total
             514,382,196.83       409,067,125.46       834,011.21       5,448,487.24  
 
          
 		      
 		      
 		      
 		  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                 
                            Current
    Total   Realized   Deferred   Principal
Class
   Distribution
   Losses
   Interest
   Balance
    (4)=(2)+(3)   (5)   (6)   (7)=(1)-(3)-(5)+(6)
LT-A
     6,245,791.67       —       —       385,614,641.39  
LT-A2
     —       —       —       —  
LT-X
     —       —       —       —  
LT-B-1
     12,059.58       —       —       5,915,000.00  
LT-B-2
     10,485.61       —       —       5,143,000.00  
 
    
 		      
 		      
 		      
 		  
LT-B-3
     4,719.85       —       —       2,315,000.00  
LT-B-4
     3,127.54       —       —       1,534,000.00  
LT-B-5
     2,095.90       —       —       1,028,000.00  
LT-B-6
     4,218.30       —       —       2,068,996.83  
LT-R
     —       —       —       —  
 
    
 		      
 		      
 		      
 		  
Total
     6,282,498.45       —       —       403,618,638.22  
 
    
 		      
 		      
 		      
 		  

          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
LT-A
                     A-30/360               496,378,000.00  
LT-A2
                     A-30/360               100.00  
LT-X
                     A-30/360               100.00  
LT-B-1
                     A-30/360               5,915,000.00  
LT-B-2
                     A-30/360               5,143,000.00  
 
                
 		            
 		  
LT-B-3
                     A-30/360               2,315,000.00  
LT-B-4
                     A-30/360               1,534,000.00  
LT-B-5
                     A-30/360               1,028,000.00  
LT-B-6
                     A-30/360               2,068,996.83  
LT-R
                     A-30/360               —  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                         
    Prior                           Current
    Principal                   Total   Principal
Class
   Balance
   Interest
   Principal
   Distribution
   Balance
    (1)   (2)   (3)   (4)=(2)+(3)   (5)
LT-A
     787.833322       1.606244       10.976488       12.582733       776.856834  
LT-A2
     —       —       —       —       —  
LT-X
     —       —       —       —       —  
LT-B-1
     1,000.000000       2.038813       —       2.038813       1,000.000000  
LT-B-2
     1,000.000000       2.038812       —       2.038812       1,000.000000  
 
    
 		      
 		      
 		      
 		      
 		  
LT-B-3
     1,000.000000       2.038812       —       2.038812       1,000.000000  
LT-B-4
     1,000.000000       2.038814       —       2.038814       1,000.000000  
LT-B-5
     1,000.000000       2.038813       —       2.038813       1,000.000000  
LT-B-6
     1,000.000000       2.038814       —       2.038814       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       24,605,843.23       110,763,358.61       —       110,763,358.61  
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       323,386.04       —       —       —  
LT-B-2
     5,143,000.00       281,179.10       —       —       —  
LT-B-3
     2,315,000.00       126,566.12       —       —       —  
LT-B-4
     1,534,000.00       83,867.12       —       —       —  
LT-B-5
     1,028,000.00       56,203.03       —       —       —  
LT-B-6
     2,068,996.83       113,116.62       —       —       —  
LT-R
     —       —       —       —       —  
 
    
 		      
 		      
 		      
 		      
 		  
Total
     514,382,196.83       25,590,161.53       110,763,558.61       —       110,763,558.61  
 
    
 		      
 		      
 		      
 		      
 		  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                 
                            Current
    Total   Realized   Deferred   Principal
Class
   Distribution
   Losses
   Interest
   Balance
    (6)=(2)+(5)   (7)   (8)   (9)=(1)-(5)-(7)+(8)
LT-A
     135,369,201.84       —       —       385,614,641.39  
LT-A2  
     100.27       —       —       —  
LT-X
     100.00       —       —       —  
LT-B-1
     323,386.04       —       —       5,915,000.00  
LT-B-2
     281,179.10       —       —       5,143,000.00  
LT-B-3
     126,566.12       —       —       2,315,000.00  
LT-B-4
     83,867.12       —       —       1,534,000.00  
LT-B-5
     56,203.03       —       —       1,028,000.00  
LT-B-6
     113,116.62       —       —       2,068,996.83  
LT-R
     —       —       —       —  
 
    
 		      
 		      
 		      
 		  
Total
     136,353,720.14       —       —       403,618,638.22  
 
    
 		      
 		      
 		      
 		  

          Interest Detail

                                         
    Pass-   Prior Principal           Non-   Prior
    Through   (with Notional)   Accrued   Supported   Unpaid
Class
   Rate
   Balance
   Interest
   Interest SF
   Interest
                    (1)   (2)   (3)
LT-A
     2.44658 %     391,063,128.63       797,304.43       —       —  
LT-A2  
     2.44658 %     —       —       —       —  
LT-X
             —       —       —       —  
LT-B-1
     2.44658 %     5,915,000.00       12,059.58       —       —  
LT-B-2
     2.44658 %     5,143,000.00       10,485.61       —       —  
 
    
 		      
 		      
 		      
 		      
 		  
LT-B-3
     2.44658 %     2,315,000.00       4,719.85       —       —  
LT-B-4
     2.44658 %     1,534,000.00       3,127.54       —       —  
LT-B-5
     2.44658 %     1,028,000.00       2,095.90       —       —  
LT-B-6
     2.44658 %     2,068,996.83       4,218.30       —       —  
LT-R
             —       —       —       —  
 
    
 		      
 		      
 		      
 		      
 		  
Total
             409,067,125.46       834,011.21       —       —  
 
    
 		      
 		      
 		      
 		      
 		  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                 
    Unscheduled           Paid or   Current
    Interest   Optimal   Deferred   Unpaid
Class
   Adjustments
   Interest
   Interest
   Interest
    (4)   (5)=(1)-(2)-(3)+(4)   (6)   (7)=(5)-(6)
LT-A
     —       797,304.43       797,304.43       —  
LT-A2  
     —       —       —       —  
LT-X
     —       —       —       —  
LT-B-1
     —       12,059.58       12,059.58       —  
LT-B-2
     —       10,485.61       10,485.61       —  
 
    
 		      
 		      
 		      
 		  
LT-B-3
     —       4,719.85       4,719.85       —  
LT-B-4
     —       3,127.54       3,127.54       —  
LT-B-5
     —       2,095.90       2,095.90       —  
LT-B-6
     —       4,218.30       4,218.30       —  
LT-R
     —       —       —       —  
 
    
 		      
 		      
 		      
 		  
Total
     —       834,011.21       834,011.21       —  
 
    
 		      
 		      
 		      
 		  

 

 

          Distribution in Dollars - Current Period

                                         
                    Prior        
    Class   Original   Principal        
Class
   Type
   Face Value
   Balance
   Interest
   Principal
                    (1)   (2)   (3)
A
   FLT     496,378,000.00       391,063,128.63       459,906.53       5,448,487.24  
X
   CSTR     100.00       —       344,707.16       —  
A-R
     R       100.00       —       —       —  
B-1
   SUB     5,915,000.00       5,915,000.00       8,829.37       —  
B-2
   SUB     5,143,000.00       5,143,000.00       7,677.00       —  
 
          
 		      
 		      
 		      
 		  
B-3
   SUB     2,315,000.00       2,315,000.00       3,455.62       —  
B-4
   SUB     1,534,000.00       1,534,000.00       3,127.54       —  
B-5
   SUB     1,028,000.00       1,028,000.00       2,095.90       —  
B-6
   SUB     2,068,996.00       2,068,996.00       4,218.30       —  
 
          
 		      
 		      
 		      
 		  
Total
             514,382,196.00       409,067,124.63       834,017.42       5,448,487.24  
 
          
 		      
 		      
 		      
 		  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                 
                            Current
    Total   Realized   Deferred   Principal
Class
   Distribution
   Losses
   Interest
   Balance
    (4)=(2)+(3)   (5)   (6)   (7)=(1)-(3)-(5)+(6)
A
     5,908,393.77       —       —       385,614,641.39  
X
     344,707.16       —       —       —  
A-R
     —       —       —       —  
B-1
     8,829.37       —       —       5,915,000.00  
B-2
     7,677.00       —       —       5,143,000.00  
 
    
 		      
 		      
 		      
 		  
B-3
     3,455.62       —       —       2,315,000.00  
B-4
     3,127.54       —       —       1,534,000.00  
B-5
     2,095.90       —       —       1,028,000.00  
B-6
     4,218.30       —       —       2,068,996.00  
 
    
 		      
 		      
 		      
 		  
Total
     6,282,504.66       —       —       403,618,637.39  
 
    
 		      
 		      
 		      
 		  

Definitive Bond Record Date: 2/27/04

          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
     02/19/04       03/18/04       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
     02/19/04       03/18/04       A-30/360       81743XAB5       5,915,000.00  
B-2
     02/19/04       03/18/04       A-30/360       81743XAD1       5,143,000.00  
 
    
 		      
 		      
 		      
 		      
 		  
B-3
     02/19/04       03/18/04       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  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                         
    Prior                           Current
    Principal                   Total   Principal
Class
   Balance
   Interest
   Principal
   Distribution
   Balance
    (1)   (2)   (3)   (4)=(2)+(3)   (5)
A
     787.833322       0.926525       10.976488       11.903013       776.856834  
X
     —       3,447,071.600000       —       3,447,071.600000       —  
A-R
     —       —       —       —       —  
B-1
     1,000.000000       1.492708       —       1.492708       1,000.000000  
B-2
     1,000.000000       1.492709       —       1.492709       1,000.000000  
 
    
 		      
 		      
 		      
 		      
 		  
B-3
     1,000.000000       1.492708       —       1.492708       1,000.000000  
B-4
     1,000.000000       2.038814       —       2.038814       1,000.000000  
B-5
     1,000.000000       2.038813       —       2.038813       1,000.000000  
B-6
     1,000.000000       2.038815       —       2.038815       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       14,685,022.27       110,763,358.61       —       110,763,358.61  
X
     100.00       10,119,883.24       100.00       —       100.00  
A-R
     100.00       0.27       100.00       —       100.00  
B-1
     5,915,000.00       235,414.74       —       —       —  
B-2
     5,143,000.00       204,689.48       —       —       —  
B-3
     2,315,000.00       92,136.10       —       —       —  
B-4
     1,534,000.00       83,867.12       —       —       —  
B-5
     1,028,000.00       56,203.03       —       —       —  
B-6
     2,068,996.00       113,116.58       —       —       —  
 
    
 		      
 		      
 		      
 		      
 		  
Total
     514,382,196.00       25,590,332.83       110,763,558.61       —       110,763,558.61  
 
    
 		      
 		      
 		      
 		      
 		  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                 
                            Current
    Total   Realized   Deferred   Principal
Class
   Distribution
   Losses
   Interest
   Balance
    (6)=(2)+(5)   (7)   (8)   (9)=(1)-(5)-(7)+(8)
A
     125,448,380.88       —       —       385,614,641.39  
X
     10,119,983.24       —       —       —  
A-R
     100.27       —       —       —  
B-1
     235,414.74       —       —       5,915,000.00  
B-2
     204,689.48       —       —       5,143,000.00  
B-3
     92,136.10       —       —       2,315,000.00  
B-4
     83,867.12       —       —       1,534,000.00  
B-5
     56,203.03       —       —       1,028,000.00  
B-6
     113,116.58       —       —       2,068,996.00  
 
    
 		      
 		      
 		      
 		  
Total
     136,353,891.44       —       —       403,618,637.39  
 
    
 		      
 		      
 		      
 		  

          Interest Detail

                                         
    Pass-   Prior Principal           Non-   Prior
    Through   (with Notional)   Accrued   Supported   Unpaid
Class
   Rate
   Balance
   Interest
   Interest SF
   Interest
                    (1)   (2)   (3)
A
     1.41125 %     391,063,128.63       459,906.53       —       —  
X
     1.02276 %     —       344,707.16       —       —  
A-R
     2.44658 %     —       —       —       —  
B-1
     1.79125 %     5,915,000.00       8,829.37       —       —  
B-2
     1.79125 %     5,143,000.00       7,677.00       —       —  
 
    
 		      
 		      
 		      
 		      
 		  
B-3
     1.79125 %     2,315,000.00       3,455.62       —       —  
B-4
     2.44658 %     1,534,000.00       3,127.54       —       —  
B-5
     2.44658 %     1,028,000.00       2,095.90       —       —  
B-6
     2.44658 %     2,068,996.00       4,218.30       —       —  
 
    
 		      
 		      
 		      
 		      
 		  
Total
             409,067,124.63       834,017.42       —       —  
 
    
 		      
 		      
 		      
 		      
 		  

     

[Additional columns below]

[Continued from above table, first column(s) repeated]

                                 
    Unscheduled           Paid or   Current
    Interest   Optimal   Deferred   Unpaid
Class
   Adjustments
   Interest
   Interest
   Interest
    (4)   (5)=(1)-(2)+(3)+(4)   (6)   (7)=(5)-(6)
A
     —       459,906.53       459,906.53       —  
X
     —       344,707.16       344,707.16       —  
A-R
     —       —       —       —  
B-1
     —       8,829.37       8,829.37       —  
B-2
     —       7,677.00       7,677.00       —  
 
    
 		      
 		      
 		      
 		  
B-3
     —       3,455.62       3,455.62       —  
B-4
     —       3,127.54       3,127.54       —  
B-5
     —       2,095.90       2,095.90       —  
B-6
     —       4,218.30       4,218.30       —  
 
    
 		      
 		      
 		      
 		  
Total
     —       834,017.42       834,017.42       —  
 
    
 		      
 		      
 		      
 		  

 

 

Collection Account Report

         
SUMMARY
   TOTAL
Principal Collections
     5,448,487.24  
Principal Withdrawals
     0.00  
Principal Other Accounts
     0.00  
TOTAL PRINCIPAL
     5,448,487.24  
Interest Collected
     843,200.81  
Interest Withdrawals
     0.00  
Interest Other Accounts
     6.21  
Fees
     (9,189.59 )
TOTAL INTEREST
     834,017.43  
TOTAL AVAILABLE TO CERTIFICATEHOLDERS
     6,282,504.67  
         
PRINCIPAL - COLLECTIONS
   TOTAL
Scheduled Principal
     0.00  
Curtailments
     490,931.88  
Prepayments In Full
     4,957,555.36  
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
     5,448,487.24  

 

 

                 
PRINCIPAL - WITHDRAWALS
           TOTAL
 
   SPACE INTENTIONALLY LEFT BLANK        
         
PRINCIPAL - OTHER ACCOUNTS
   TOTAL
Amounts remaining in Pre-Funding Account
     0.00  
         
INTEREST - COLLECTIONS
   TOTAL
Scheduled Interest
     963,729.62  
Repurchased Interest
     0.00  
Substitution Interest Amount
     0.00  
Liquidation Interest
     0.00  
Insurance Interest
     0.00  
Other Interest
     0.00  
Delinquent Interest
     (904,809.38 )
Interest Advanced
     784,280.57  
Prepayment Interest Shortfalls
     (5,405.15 )
Compensating Interest
     5,405.15  
Civil Relief Act Shortfalls
     0.00  
TOTAL INTEREST COLLECTED
     843,200.81  
         
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
     6.21  
TOTAL INTEREST OTHER ACCOUNTS
     6.21  
         
INTEREST - FEES
   TOTAL
Current Servicing Fees
     7,826.03  
Trustee Fee
     1,363.56  
TOTAL FEES
     9,189.59  

 

 

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
     6.21  
Ending Balance
     10,000.00  
                 
INSURANCE
           TOTAL
 
   SPACE INTENTIONALLY LEFT BLANK        
         
STRUCTURAL FEATURES
   TOTAL
Pro Rata Senior Percentage
     95.598767 %
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
     1,004  
Prefunding
     —  
Scheduled Paid Offs
     —  
Full Voluntary Prepayments
     (8 )
Repurchases
     —  
Liquidations
     —  
 
    
 		  
Current
     996  
Principal Balance:
        
Original
     514,382,196.83  
Prior
     409,067,125.46  
Prefunding
     —  
Scheduled Principal
     —  
Partial and Full Voluntary Prepayments
     (5,448,487.24 )
Repurchases
     —  
Liquidations
     —  
 
    
 		  
Current
     403,618,638.22  
                 
    PREFUNDING
   TOTAL
  SPACE INTENTIONALLY LEFT BLANK        

 

 

         
CHARACTERISTICS
   TOTAL
Weighted Average Coupon Original
     3.667751 %
Weighted Average Coupon Prior
     2.767223 %
Weighted Average Coupon Current
     2.827105 %
 
    
 		  
Weighted Average Months to Maturity Original
     297  
Weighted Average Months to Maturity Prior
     276  
Weighted Average Months to Maturity Current
     275  
 
    
 		  
Weighted Avg Remaining Amortization Term Original
     296  
Weighted Avg Remaining Amortization Term Prior
     275  
Weighted Avg Remaining Amortization Term Current
     274  
 
    
 		  
Weighted Average Seasoning Original
     3.66  
Weighted Average Seasoning Prior
     24.63  
Weighted Average Seasoning Current
     25.63  

Note: Original information refers to deal issue.

         
ARM CHARACTERISTICS
   TOTAL
Weighted Average Margin Original
     1.652 %
Weighted Average Margin Prior
     1.642 %
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
     1.642 %
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
     7,826.03  
Delinquent Servicing Fees
     120,528.82  
TOTAL SERVICING FEES
     128,354.85  
Total Servicing Fees
     128,354.85  
Compensating Interest
     (5,405.15 )
Delinquent Servicing Fees
     (120,528.82 )
COLLECTED SERVICING FEES
     2,420.88  
Prepayment Interest Shortfall
     5,405.15  
Total Advanced Interest
     784,280.57  
 
    
 		  
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             1,234,243.85       —       —       1,234,243.85  
 
   % Balance             0.31 %     0.00 %     0.00 %     0.31 %
 
   # Loans             3       —       —       3  
 
   % # Loans             0.30 %     0.00 %     0.00 %     0.30 %
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     —       1,234,243.85       —       —       1,234,243.85  
 
   % Balance     0.00 %     0.31 %     0.00 %     0.00 %     0.31 %
 
   # Loans     —       3       —       —       3  
 
   % # Loans     0.00 %     0.30 %     0.00 %     0.00 %     0.30 %

     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; 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
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
     8  
Number of Repurchased Loans
     —  
 
    
 
Total Number of Loans Prepaid in Full
     8  
Paid in Full Balance
     4,957,555.36  
Repurchased Loans Balance
     —  
Curtailments Amount
     490,931.88  
 
    
 
Total Prepayment Amount
     5,448,487.24  
Cumulative
       
Number of Paid in Full Loans
     257  
Number of Repurchased Loans
     —  
Total Number of Loans Prepaid in Full
     257  
 
    
 
Paid in Full Balance
     95,831,535.23  
Repurchased Loans Balance
     —  
Curtailments Amount
     14,932,023.38  
 
    
 
Total Prepayment Amount
     110,763,558.61  

SPACE INTENTIONALLY LEFT BLANK

 

 

         
VOLUNTARY PREPAYMENT RATES
   TOTAL
SMM
     1.33 %
3 Months Avg SMM
     1.29 %
12 Months Avg SMM
     1.22 %
Avg SMM Since Cut-off
     1.05 %
CPR
     14.86 %
3 Months Avg CPR
     14.45 %
12 Months Avg CPR
     13.69 %
Avg CPR Since Cut-off
     11.88 %
PSA
     289.95 %
3 Months Avg PSA Approximation
     293.37 %
12 Months Avg PSA Approximation
     339.89 %
Avg PSA Since Cut-off Approximation
     405.93 %

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

Total Loan Count = 8

Total Original Principal Balance = 4,997,083.20
Total Prepayment Amount = 4,957,555.36

LOAN GROUP

Loan Group 1 = MSDW

                                                                 
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
390439059 1
             432,000.00       431,882.73     Feb-20-04     2.875 %   MO - 67.40%   Paid Off - 300   Dec-11-01
390442058 1
             935,000.00       935,000.00     Feb-19-04     3.375 %   WA - 79.24%   Paid Off - 300   Nov-21-01
390442197 1
             480,000.00       474,528.64     Feb-09-04     2.875 %   CO - 80.00%   Paid Off - 300   Oct-01-01
390443991 1
             244,000.00       241,196.00     Feb-18-04     2.875 %   FL - 80.00%   Paid Off - 300   Dec-31-01
390444746 1
             704,083.20       689,324.01     Feb-12-04     3.125 %   CA - 80.00%   Paid Off - 300   Nov-28-01
390446290 1
             152,000.00       135,623.98     Feb-25-04     2.625 %   MT - 80.00%   Paid Off - 300   Jan-30-02
390446328 1
             1,450,000.00       1,450,000.00     Feb-17-04     3.125 %   MI - 45.31%   Paid Off - 300   Jan-31-02
390446503 1
             600,000.00       600,000.00     Feb-23-04     2.625 %   CA - 37.27%   Paid Off - 300   Jan-29-02

 

 

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)^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
Total Loan Count Current Losses = 0
Total Loan Count Revisions = 0
Total Prior Principal Balance = 0.00
Total Current Realized Loss Amount = 0.00
Total Revisions Amount = 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 GROUP

Loan Group 1 = MSDW

 
Loan Number     Current     State &           Prior     Realized           Cumulative
          &   Loan     Note     LTV at     Original     Principal     Loss/(Gain)     Realized     Realized
Loan Group
   Status
     Rate
     Origination
     Term
     Balance
     Revisions
     Loss/(Gain)
     Loss/(Gain)

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