Sequoia Mortgage Trust 6 Collateralized Mortgage Bonds January 2004 Bond Payment Report (Redwood Trust, Deutsche Bank, Cendant Mortgage, Greenwich Capital, Bear Stearns)

Summary

This report details the January 20, 2004 payment distribution for Sequoia Mortgage Trust 6 Collateralized Mortgage Bonds. The involved parties include Redwood Trust (seller), Deutsche Bank (administrator), Cendant Mortgage Corporation (servicer), and underwriters Greenwich Capital Markets and Bear Stearns. The document outlines principal and interest payments, outstanding balances, and payment factors for each bond class as of the record date. It provides investors with a breakdown of distributions, accrued interest, and remaining principal, ensuring transparency in the trust's financial operations.

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EX-10.1 3 f96265bexv10w1.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: January 20, 2004 Bear, Stearns & Co. Inc. Record Date: January 16, 2004 December 31, 2003
SEQUOIA MORTGAGE TRUST 6 COLLATERALIZED MORTGAGE BONDS BOND PAYMENT REPORT FOR JANUARY 20, 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 496,378,000.00 401,678,390.30 798,847.93 6,515,680.12 7,314,528.05 -- -- 395,162,710.18 LT-A2 100.00 -- -- -- -- -- -- -- LT-X 100.00 -- -- -- -- -- -- -- LT-B-1 5,915,000.00 5,915,000.00 11,763.60 -- 11,763.60 -- -- 5,915,000.00 LT-B-2 5,143,000.00 5,143,000.00 10,228.27 -- 10,228.27 -- -- 5,143,000.00 LT-B-3 2,315,000.00 2,315,000.00 4,604.01 -- 4,604.01 -- -- 2,315,000.00 LT-B-4 1,534,000.00 1,534,000.00 3,050.78 -- 3,050.78 -- -- 1,534,000.00 LT-B-5 1,028,000.00 1,028,000.00 2,044.46 -- 2,044.46 -- -- 1,028,000.00 LT-B-6 2,068,996.83 2,068,996.83 4,114.77 -- 4,114.77 -- -- 2,068,996.83 LT-R -- -- -- -- -- -- -- -- -------------- -------------- ---------- ------------ ------------ -------- ------- -------------- Total 514,382,196.83 419,682,387.13 834,653.82 6,515,680.12 7,350,333.94 -- -- 413,166,707.01 ============== ============== ========== ============ ============ ======== ======= ==============
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-30/360 496,378,000.00 809.218761 1.609354 13.126448 14.735802 796.092313 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 1.988774 -- 1.988774 1,000.000000 LT-B-2 A-30/360 5,143,000.00 1,000.000000 1.988775 -- 1.988775 1,000.000000 LT-B-3 A-30/360 2,315,000.00 1,000.000000 1.988773 -- 1.988773 1,000.000000 LT-B-4 A-30/360 1,534,000.00 1,000.000000 1.988774 -- 1.988774 1,000.000000 LT-B-5 A-30/360 1,028,000.00 1,000.000000 1.988774 -- 1.988774 1,000.000000 LT-B-6 A-30/360 2,068,996.83 1,000.000000 1.988775 -- 1.988775 1,000.000000 LT-R A-30/360 -- -- -- -- -- --
Distribution in Dollars - to Date Current Original Unscheduled Scheduled Total Total Realized Deferred Principal Class Face Value Interest Principal Principal Principal Distribution Losses Interest Balance - ----- ------------ ------------- -------------- --------- -------------- -------------- -------- -------- ------------------- (1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8) - ----- ------------ ------------- -------------- --------- -------------- -------------- -------- -------- ------------------- LT-A 496,378,000.00 23,022,590.29 101,215,289.82 -- 101,215,289.82 124,237,880.11 -- -- 395,162,710.18 LT-A2 100.00 0.27 100.00 -- 100.00 100.27 -- -- -- LT-X 100.00 -- 100.00 -- 100.00 100.00 -- -- -- LT-B-1 5,915,000.00 299,561.98 -- -- -- 299,561.98 -- -- 5,915,000.00 LT-B-2 5,143,000.00 260,464.46 -- -- -- 260,464.46 -- -- 5,143,000.00 LT-B-3 2,315,000.00 117,241.91 -- -- -- 117,241.91 -- -- 2,315,000.00 LT-B-4 1,534,000.00 77,688.57 -- -- -- 77,688.57 -- -- 1,534,000.00 LT-B-5 1,028,000.00 52,062.52 -- -- -- 52,062.52 -- -- 1,028,000.00 LT-B-6 2,068,996.83 104,783.24 -- -- -- 104,783.24 -- -- 2,068,996.83 LT-R -- -- -- -- -- -- -- -- -- -------------- ------------- -------------- --------- -------------- -------------- -------- -------- -------------- Total 514,382,196.83 23,934,393.24 101,215,489.82 -- 101,215,489.82 125,149,883.06 -- -- 413,166,707.01 ============== ============= ============== ========= ============== ============== ======== ======== ==============
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 2.38653% 401,678,390.30 798,847.93 -- -- -- 798,847.93 798,847.93 -- LT-A2 2.38653% -- -- -- -- -- -- -- -- LT-X -- -- -- -- -- -- -- -- LT-B-1 2.38653% 5,915,000.00 11,763.60 -- -- -- 11,763.60 11,763.60 -- LT-B-2 2.38653% 5,143,000.00 10,228.27 -- -- -- 10,228.27 10,228.27 -- LT-B-3 2.38653% 2,315,000.00 4,604.01 -- -- -- 4,604.01 4,604.01 -- LT-B-4 2.38653% 1,534,000.00 3,050.78 -- -- -- 3,050.78 3,050.78 -- LT-B-5 2.38653% 1,028,000.00 2,044.46 -- -- -- 2,044.46 2,044.46 -- LT-B-6 2.38653% 2,068,996.83 4,114.77 -- -- -- 4,114.77 4,114.77 -- LT-R -- -- -- -- -- -- -- -- ------- -------------- ----------- ------------ -------- ----------- ---------- ---------- -------- Total 419,682,387.13 834,653.82 -- -- -- 834,653.82 834,653.82 -- ======= ============== ========== ============ ======== =========== ========== ========== ========
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 496,378,000.00 401,678,390.30 492,056.03 6,515,680.12 7,007,736.15 -- -- 395,162,710.18 X CSTR 100.00 -- 312,777.75 -- 312,777.75 -- -- -- A-R R 100.00 -- -- -- -- -- -- -- B-1 SUB 5,915,000.00 5,915,000.00 9,118.96 -- 9,118.96 -- -- 5,915,000.00 B-2 SUB 5,143,000.00 5,143,000.00 7,928.79 -- 7,928.79 -- -- 5,143,000.00 B-3 SUB 2,315,000.00 2,315,000.00 3,568.96 -- 3,568.96 -- -- 2,315,000.00 B-4 SUB 1,534,000.00 1,534,000.00 3,050.78 -- 3,050.78 -- -- 1,534,000.00 B-5 SUB 1,028,000.00 1,028,000.00 2,044.46 -- 2,044.46 -- -- 1,028,000.00 B-6 SUB 2,068,996.00 2,068,996.00 4,114.78 -- 4,114.78 -- -- 2,068,996.00 -------------- -------------- ---------- ------------ ------------ -------- -------- -------------- Total 514,382,196.00 419,682,386.30 834,660.51 6,515,680.12 7,350,340.63 -- -- 413,166,706.18 ============== ============== ========== ============ ============ ======== ======== ==============
Definitive Bond Record Date: 12/31/03
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) - ----- -------- -------- -------- --------- ---------------- ----------- ---------------- --------- ---------------- ------------ A 12/19/03 01/18/04 A-30/360 81743XAA7 496,378,000.00 809.218761 0.991293 13.126448 14.117741 796.092313 X A-30/360 SQ0201UPX 100.00 -- 3,127,777.500000 -- 3,127,777.500000 -- A-R A-30/360 81743XAC3 100.00 -- -- -- -- -- B-1 12/19/03 01/18/04 A-30/360 81743XAB5 5,915,000.00 1,000.000000 1.541667 -- 1.541667 1,000.000000 B-2 12/19/03 01/18/04 A-30/360 81743XAD1 5,143,000.00 1,000.000000 1.541666 -- 1.541666 1,000.000000 B-3 12/19/03 01/18/04 A-30/360 81743XAE9 2,315,000.00 1,000.000000 1.541667 -- 1.541667 1,000.000000 B-4 A-30/360 SQ0201UB4 1,534,000.00 1,000.000000 1.988774 -- 1.988774 1,000.000000 B-5 A-30/360 SQ0201UB5 1,028,000.00 1,000.000000 1.988774 -- 1.988774 1,000.000000 B-6 A-30/360 SQ0201UB6 2,068,996.00 1,000.000000 1.988781 -- 1.988781 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 Total Realized Deferred Principal Class Face Value Interest Principal Principal Principal Distribution Losses Interest Balance - ----- -------------- ------------- -------------- --------- -------------- -------------- -------- -------- ------------------ (1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8) - ----- -------------- ------------- -------------- --------- -------------- -------------- -------- -------- ------------------ A 496,378,000.00 13,757,506.53 101,215,289.82 -- 101,215,289.82 114,972,796.35 -- -- 395,162,710.18 X 100.00 9,450,291.62 100.00 -- 100.00 9,450,391.62 -- -- -- A-R 100.00 0.27 100.00 -- 100.00 100.27 -- -- -- B-1 5,915,000.00 217,712.87 -- -- -- 217,712.87 -- -- 5,915,000.00 B-2 5,143,000.00 189,297.98 -- -- -- 189,297.98 -- -- 5,143,000.00 B-3 2,315,000.00 85,207.98 -- -- -- 85,207.98 -- -- 2,315,000.00 B-4 1,534,000.00 77,688.57 -- -- -- 77,688.57 -- -- 1,534,000.00 B-5 1,028,000.00 52,062.52 -- -- -- 52,062.52 -- -- 1,028,000.00 B-6 2,068,996.00 104,783.20 -- -- -- 104,783.20 -- -- 2,068,996.00 -------------- ------------- -------------- --------- -------------- -------------- -------- -------- --------------- Total 514,382,196.00 23,934,551.54 101,215,489.82 -- 101,215,489.82 125,150,041.36 -- -- 413,166,706.18 ============== ============= ============== ========= ============== ============== ======== ======== ==============
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 1.47000% 401,678,390.30 492,056.03 -- -- -- 492,056.03 492,056.03 -- X 0.90429% -- 312,777.75 -- -- -- 312,777.75 312,777.75 -- A-R 2.38653% -- -- -- -- -- -- -- -- B-1 1.85000% 5,915,000.00 9,118.96 -- -- -- 9,118.96 9,118.96 -- B-2 1.85000% 5,143,000.00 7,928.79 -- -- -- 7,928.79 7,928.79 -- B-3 1.85000% 2,315,000.00 3,568.96 -- -- -- 3,568.96 3,568.96 -- B-4 2.38653% 1,534,000.00 3,050.78 -- -- -- 3,050.78 3,050.78 -- B-5 2.38653% 1,028,000.00 2,044.46 -- -- -- 2,044.46 2,044.46 -- B-6 2.38653% 2,068,996.00 4,114.78 -- -- -- 4,114.78 4,114.78 -- -------------- ---------- ----------- -------- ----------- --------------- --------- ---------- Total 419,682,386.30 834,660.51 -- -- -- 834,660.51 834,660.51 -- ============== ========== =========== ======== =========== =============== ========== =========
COLLECTION ACCOUNT REPORT
SUMMARY TOTAL - ------- ------------ Principal Collections 6,515,680.12 Principal Withdrawals 0.00 Principal Other Accounts 0.00 TOTAL PRINCIPAL 6,515,680.12 Interest Collected 853,707.53 Interest Withdrawals 0.00 Interest Other Accounts 6.69 Fees (19,053.71) TOTAL INTEREST 834,660.51 TOTAL AVAILABLE TO CERTIFICATEHOLDERS 7,350,340.63
PRINCIPAL - COLLECTIONS TOTAL - ----------------------- ------------ Scheduled Principal 0.00 Curtailments 530,409.37 Prepayments In Full 5,985,270.75 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 6,515,680.12
PRINCIPAL - WITHDRAWALS TOTAL SPACE INTENTIONALLY LEFT BLANK
PRINCIPAL - OTHER ACCOUNTS TOTAL - -------------------------- ----- Amounts remaining in Pre-Funding Account 0.00
INTEREST - COLLECTIONS TOTAL - ---------------------- ---------- Scheduled Interest 967,725.03 Repurchased Interest 0.00 Substitution Interest Amount 0.00 Liquidation Interest 0.00 Insurance Interest 0.00 Other Interest 0.00 Delinquent Interest (838,625.66) Interest Advanced 724,608.16 Prepayment Interest Shortfalls (2,902.30) Compensating Interest 2,902.30 Civil Relief Act Shortfalls 0.00 TOTAL INTEREST COLLECTED 853,707.53
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 6.69 TOTAL INTEREST OTHER ACCOUNTS 6.69
INTEREST - FEES TOTAL - --------------- --------- Current Servicing Fees 17,654.77 Trustee Fee 1,398.94 TOTAL FEES 19,053.71
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 6.69 Ending Balance 10,000.00
INSURANCE TOTAL SPACE INTENTIONALLY LEFT BLANK
STRUCTURAL FEATURES TOTAL - ------------------- ---------- Pro Rata Senior Percentage 95.710090% 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 1,030 Prefunding -- Scheduled Paid Offs (1) Full Voluntary Prepayments (14) Repurchases -- Liquidations -- -------------- Current 1,015 PRINCIPAL BALANCE: Original 514,382,196.83 Prior 419,682,387.13 Prefunding -- Scheduled Principal -- Partial and Full Voluntary Prepayments (6,515,680.12) Repurchases -- Liquidations -- -------------- Current 413,166,707.01 ==============
PREFUNDING TOTAL SPACE INTENTIONALLY LEFT BLANK
CHARACTERISTICS TOTAL - --------------- ---------- Weighted Average Coupon Original 3.667751% Weighted Average Coupon Prior 2.779088% Weighted Average Coupon Current 2.767021% ---------- Weighted Average Months to Maturity Original 297 Weighted Average Months to Maturity Prior 278 Weighted Average Months to Maturity Current 277 ---------- Weighted Avg Remaining Amortization Term Original 296 Weighted Avg Remaining Amortization Term Prior 277 Weighted Avg Remaining Amortization Term Current 276 ---------- Weighted Average Seasoning Original 3.66 Weighted Average Seasoning Prior 22.64 Weighted Average Seasoning Current 23.64
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 1.641% ---------- 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 1.641% ---------- 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 17,654.77 Delinquent Servicing Fees 114,017.51 TOTAL SERVICING FEES 131,672.28 Total Servicing Fees 131,672.28 Compensating Interest (2,902.30) Delinquent Servicing Fees (114,017.51) COLLECTED SERVICING FEES 14,752.47 Prepayment Interest Shortfall 2,902.30 Total Advanced Interest 724,608.16 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 207,124.07 -- -- 207,124.07 % Balance 0.05% 0.00% 0.00% 0.05% # Loans 1 -- -- 1 % # Loans 0.10% 0.00% 0.00% 0.10% 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 -- 207,124.07 - -- 207,124.07 % Balance 0.00% 0.05% 0.00% 0.00% 0.05% # Loans -- 1 -- -- 1 % # Loans 0.00% 0.10% 0.00% 0.00% 0.10%
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 14 Number of Repurchased Loans -- -------------- Total Number of Loans Prepaid in Full 14 Paid in Full Balance 5,985,270.75 Repurchased Loans Balance -- Curtailments Amount 530,409.37 -------------- Total Prepayment Amount 6,515,680.12 CUMULATIVE Number of Paid in Full Loans 238 Number of Repurchased Loans -- -------------- Total Number of Loans Prepaid in Full 238 Paid in Full Balance 87,342,641.02 Repurchased Loans Balance -- Curtailments Amount 13,872,848.80 -------------- Total Prepayment Amount 101,215,489.82
SPACE INTENTIONALLY LEFT BLANK
VOLUNTARY PREPAYMENT RATES TOTAL - -------------------------- -------- SMM 1.55% 3 Months Avg SMM 1.24% 12 Months Avg SMM 1.17% Avg SMM Since Cut-off 1.04% CPR 17.12% 3 Months Avg CPR 13.94% 12 Months Avg CPR 13.17% Avg CPR Since Cut-off 11.77% PSA 362.08% 3 Months Avg PSA Approximation 307.96% 12 Months Avg PSA Approximation 363.09% Avg PSA Since Cut-off Approximation 431.44%
PREPAYMENT CALCULATION METHODOLOGY - ---------------------------------- Single Monthly Mortality (SMM): (Voluntary partial and full prepayments + Repurchases)/(Beg Principal Balance - Sched Principal) Conditional Prepayment Rate (CPR): 1-((1-SMM)/\12) PSA Standard Prepayment Model: CPR/(0.02*min(30,WAS)) Average SMM over period between nth month and mth month (AvgSMMn,m): [(1-SMMn) * (1-SMMn+1) *.......*(1-SMMm)]/\(1/months in period n,m) Average CPR over period between the nth month and mth month (AvgCPRn,m): 1-((1-AvgSMMn,m)/\12) Average PSA Approximation over period between the nth month and mth month: AvgCPRn,m/(0.02*Avg WASn,m)) Average WASn,m: (min(30,WASn)+min(30,WASn+1)+.......+min(30,WASm)/(number of months in the period n,m) Weighted Average Seasoning (WAS) Note: Prepayment rates are calculated since deal issue date and include partial and full voluntary prepayments and repurchases. Dates correspond to distribution dates. PREPAYMENT DETAIL REPORT - LOANS PREPAID IN FULL DURING CURRENT DISTRIBUTION
SUMMARY LOAN GROUP - ------- ---------- Total Loan Count = 14 Loan Group 1 = MSDW Group Total Original Principal Balance = 6,006,029.00 Total Prepayment Amount = 5,985,270.75
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 ----------- ------ ------------ ------------ ---------- ------- ------------- --------------- ----------- 390441106 1 396,600.00 396,600.00 Dec-23-03 3.000% RI -- 100.00% Paid Off -- 300 Nov-16-01 390442104 1 324,000.00 324,000.00 Dec-30-03 3.000% AZ -- 80.00% Paid Off -- 300 Nov-08-01 390442685 1 307,400.00 307,400.00 Dec-29-03 2.750% FL -- 80.00% Paid Off -- 300 Oct-17-01 390442950 1 88,000.00 86,369.30 Dec-19-03 2.875% NJ -- 80.00% Paid Off -- 300 Dec-03-01 390443620 1 394,754.00 394,754.00 Dec-23-03 2.750% NV -- 100.00% Paid Off -- 300 Nov-14-01 390444239 1 458,275.00 458,275.00 Dec-15-03 2.625% HI -- 73.32% Paid Off -- 300 Jan-03-02 390446830 1 153,000.00 145,673.88 Dec-29-03 2.625% MD -- 74.82% Paid Off -- 300 Jan-22-02 390446892 1 640,000.00 639,940.83 Dec-17-03 2.625% NH -- 75.29% Paid Off -- 300 Jan-31-02 390447830 1 337,000.00 337,000.00 Dec-22-03 2.750% IL -- 78.37% Paid Off -- 300 Feb-19-02 390447906 1 155,000.00 143,520.76 Dec-30-03 2.750% AR -- 70.45% Paid Off -- 300 Feb-01-02 390447936 1 340,000.00 339,822.92 Dec-19-03 2.625% CA -- 80.00% Paid Off -- 300 Jan-29-02 390447937 1 165,000.00 164,914.06 Dec-30-03 2.625% AZ -- 70.21% Paid Off -- 300 Jan-31-02 390449603 1 2,000,000.00 2,000,000.00 Dec-31-03 2.750% OR -- 90.91% Paid Off -- 300 Jan-29-02 430443580 1 247,000.00 247,000.00 Dec-30-03 3.000% FL -- 79.29% Paid Off -- 300 Nov-20-01
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 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 Origination Loan Group Status Balance Balance Loss/Gain Rate Origination Original 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 0.00 Class B-2 0.00