8-K 1 terwin5he_augsept04.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Sec. 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): August 25, 2004 MERRILL LYNCH MORTGAGE INVESTORS, INC (Exact name of registrant as specified in its charter) Delaware 333-112231-12 13-3416059 (State or other jurisdiction (Commission (IRS Employer of incorporation) File Number) Identification No.) 250 Vesey Street 4 World Financial Center 10th Floor New York, NY 10080 (Address of principal executive offices) Registrant's telephone number, including area code : (212) 449-0357 N/A (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: [] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [] Soliciting material pursuant to Rule 14a-12(b) under the Exchange Act (17 CFR 240.14a-12(b)) [] 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 8.1 Other Events. This current report on Form 8-K relates to the monthly distribution reported to the holders of Terwin Mortgage Trust Asset-Backed Certificates, Series TNTS 2004-5HE pursuant to the terms of the Pooling and Servicing Agreement, dated as of June 1, 2004 among Merrill Lynch Mortgage Investors, Inc., as Depositor, Countrywide Home Loans Servicing LP, as Servicer, GreenPoint Mortgage Funding Inc., as Servicer, Specialized Loan Servicing, LLC, as Servicer, Chase Manhattan Mortgage Corporation, as Master Servicer, Terwin Advisors LLC, as Seller, JPMorgan Chase Bank, as Securities Administrator and Backup Servicer, and U.S. Bank National Association, as Trustee. On August 25, 2004 and September 27, 2004 istributions were made to the Certificateholders. Specific information with respect to the distributions is filed as Exhibits 99.1 and 99.2, respectively. Item 9.1 Financial Statements and Exhibits. (a) Not applicable (b) Not applicable (c) The following exhibit is filed as part of this report: Statement to Certificateholders on August 25, 2004 is filed as Exhibit 99.1 hereto. Statement to Certificateholders on September 27, 2004 is filed as Exhibit 99.2 hereto. Terwin Mortgage Trust Asset-Backed Certificates, Series TNTS 2004-5HE ----------------------------------------------------- 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 hereunto duly authorized. JPMORGAN CHASE BANK, N.A., not in its individual capacity but solely as Securities Administrator and Backup Servicer, under the Agreement referred to herein Date: February 24, 2005 By: /s/ Pei Huang -------------------------------------------- Name: Pei Huang Title: Assistant Vice President EXHIBIT INDEX Exhibit Description 99.1 Monthly Certificateholder Statement on August 25, 2004 99.2 Monthly Certificateholder Statement on September 27, 2004 Exhibit 99.1 Monthly Certificateholder Statement on August 25, 2004 Terwin Mortgage Asset-Backed Certificates Series 2004-5HE Statement To Certificateholders August 25, 2004 REVISED ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTION IN DOLLARS ----------------------------------------------------------------------------------------------------------------------------------- Original Beginning Ending Face Principal Realized Deferred Principal Class Value Balance Principal Interest Total Losses Interest Balance ------------------------------------------------------------------------------------------------------------------------------------ A1A 140,956,000.00 137,267,661.82 5,914,490.41 180,735.75 6,095,226.16 0.00 0.00 131,353,171.41 A1B 122,457,000.00 122,457,000.00 0.00 190,828.83 190,828.83 0.00 0.00 122,457,000.00 M1 20,963,000.00 20,963,000.00 0.00 35,637.10 35,637.10 0.00 0.00 20,963,000.00 M2 16,738,000.00 16,738,000.00 0.00 37,660.50 37,660.50 0.00 0.00 16,738,000.00 M3 4,550,000.00 4,550,000.00 0.00 11,185.42 11,185.42 0.00 0.00 4,550,000.00 R 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 B1 4,713,000.00 4,713,000.00 0.00 13,157.13 13,157.13 0.00 0.00 4,713,000.00 B2 4,388,000.00 4,388,000.00 0.00 12,615.50 12,615.50 0.00 0.00 4,388,000.00 B3 3,900,000.00 3,900,000.00 0.00 14,462.50 14,462.50 0.00 0.00 3,900,000.00 N 18,000,000.00 16,724,170.66 1,300,607.64 69,684.04 1,370,291.68 0.00 0.00 15,423,563.02 TOTALS 336,665,100.00 331,700,832.48 7,215,098.05 565,966.77 7,781,064.82 0.00 0.00 324,485,734.43 AXA 140,956,000.00 137,267,661.82 0.00 36,604.71 36,604.71 0.00 0.00 131,353,171.41 AXB 122,457,000.00 122,457,000.00 0.00 3,061.43 3,061.43 0.00 0.00 122,457,000.00 M1X 20,963,000.00 20,963,000.00 0.00 1,048.15 1,048.15 0.00 0.00 20,963,000.00 M2X 16,738,000.00 16,738,000.00 0.00 697.42 697.42 0.00 0.00 16,738,000.00 X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ------------------------------------------------------------------------------------------------------------------------------------ --------------------------------------------------------------------------------------------------- --------------------------- Factor Information Per $1,000 of Original Face Pass-through Rates --------------------------------------------------------------------------------------------------- --------------------------- Current Beginning Ending Class Pass-thru Class Cusip Principal Principal Interest Total Principal Rate (%) ----------------------------------------------------------------------------------------------------- ------------------------- A1A 881561HK3 973.83340773 41.95983435 1.28221395 43.24204830 931.87357338 A1A 1.580000 % A1B 881561FN9 1,000.00000000 0.00000000 1.55833337 1.55833337 1,000.00000000 A1B 1.870000 % M1 881561FP4 1,000.00000000 0.00000000 1.70000000 1.70000000 1,000.00000000 M1 2.040000 % M2 881561FQ2 1,000.00000000 0.00000000 2.25000000 2.25000000 1,000.00000000 M2 2.700000 % M3 881561FR0 1,000.00000000 0.00000000 2.45833407 2.45833407 1,000.00000000 M3 2.950000 % R 881561HU1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R 1.580000 % B1 881561HV9 1,000.00000000 0.00000000 2.79166773 2.79166773 1,000.00000000 B1 3.350000 % B2 881561HW7 1,000.00000000 0.00000000 2.87500000 2.87500000 1,000.00000000 B2 3.450000 % B3 881561HX5 1,000.00000000 0.00000000 3.70833333 3.70833333 1,000.00000000 B3 4.450000 % N 881561HY3 929.12059222 72.25598000 3.87133556 76.12731556 856.86461222 N 5.000000 % TOTALS 985.25458231 21.43108404 1.68109724 23.11218127 963.82349828 AXA 881561HL1 973.83340773 0.00000000 0.25968891 0.25968891 931.87357338 AXA 0.320000 % AXB 881561HM9 1,000.00000000 0.00000000 0.02500004 0.02500004 1,000.00000000 AXB 0.030000 % M1X 881561HP2 1,000.00000000 0.00000000 0.05000000 0.05000000 1,000.00000000 M1X 0.060000 % M2X 881561HR8 1,000.00000000 0.00000000 0.04166687 0.04166687 1,000.00000000 M2X 0.050000 % ----------------------------------------------------------------------------------------------------- -------------------------- IF THERE, ARE ANY QUESTIONS OR PROBLEMS WITH THIS STATEMENT PLEASE CONTACT THE ADMINISTRATOR LISTED BELOW: Eva D Aryeetey JPMorgan Chase Bank - ITS - Global Debt JPM, 4 New York Plaza, 6th Floor New York, New York 10004 Tel: (212) 623-5429 Fax: (212) 623-5932 Email: eva.d.aryeetey@chase.com *Note: Class N is a notional class. All payments of principal to Class N represent a reduction in the Class N Notional Amount. Delinquencies have been revised. Principal Remittance Amount 5,914,490.41 Scheduled Principal Payments 257,689.49 Principal Prepayments 5,656,800.92 Curtailments (Current) 25,805.19 Curtailments (Cumulative) 46,208.42 Repurchase Principal (Current) Balance of Mortgage Loans Repurchased 0.00 Number of Mortgage Loans Repurchased 0.00 Repurchase Principal (Cumulative) Balance of Mortgage Loans Repurchased 0.00 Number of Mortgage Loans Repurchased 0.00 Substitution Amounts 0.00 Net Liquidation Proceeds 0.00 Insurance Proceeds 0.00 Other Principal 0.00 Gross Interest 1,965,287.79 Prepayment Premiums (Current) Number of Loans with Respect to which Prepayment Premiums were Collected 16.00 Balance of Loans with Respect to which Prepayment Premiums were Collected 3,045,815.83 Amount of Prepayment Premiums Collected 90,301.63 Prepayment Premiums (Cumulative) Number of Loans with Respect to which Prepayment Premiums were Collected 27.00 Balance of Loans with Respect to which Prepayment Premiums were Collected 5,157,426.27 Amount of Prepayment Premiums Collected 149,254.72 Servicing Related Reporting Items Recoveries from Prior Loss Determinations (Current) 0.00 Recoveries from Prior Loss Determinations (Cumulative) 0.00 Reimbursement of Non-Recoverable Advances Previously Made (Current) 0.00 Reimbursement of Non-Recoverable Advances Previously Made (Cumulative) 0.00 Recovery of Reimbursements Previously Deemed Non-Recoverable (Current) 0.00 Recovery of Reimbursements Previously Deemed Non-Recoverable (Cumulative) 0.00 Servicing Fees 133,874.99 Master Servicing Fees 2,677.50 PMI Fees 7,115.07 Credit Risk Manager Fees 4,016.25 Current Monthly Advances N/A Total Outstanding Advances N/A Initial Number of Loans Outstanding 1,772 Initial Aggregate Loan Balance 307,501,924.44 Beginning Number of Loans Outstanding 1,753 Beginning Aggregate Loan Balance 303,814,199.35 Ending Number of Loans Outstanding 1,856 Ending Aggregate Loan Balance 315,385,480.08 Delinquent Mortgage Loans Group Totals Principal Period Number Balance Percentage 0-29 days 1,803 305,208,106.00 96.77 % 30-59 days 39 6,964,649.30 2.21 % 60-89 days 14 3,212,724.70 1.02 % 90-119 days 0 0.00 0.00 % 120+days 0 0.00 0.00 % Total 1,856 315,385,480.00 100.00 % * Delinquent Bankruptcies and Foreclosures are included in the table above. Bankruptcies Group Totals Principal Number Balance Percentage 0 0.00 0.00 % Foreclosures Group Totals Principal Number Balance Percentage 0 0.00 0.00 % REO Properties Group Totals Principal Number Balance Percentage 0 0.00 0.00 % Book Value of REO Properties 0.00 Current Realized Losses 0.00 Cumulative Realized Losses 0.00 Gross Weighted Average Coupon 7.3400 % Net Weighted Average Coupon 6.7884 % Weighted Average Remaining Term (Prior Month) 348 Weighted Average Remaining Term (Current Month) 347 Trigger Event Occurrence NO Does Rolling 3 Mo Delinq Rate equal or exceed 42% of Required Pct? NO Rolling 3 Month Delinquency Rate 0.5093 % 42% of Required Pct (Effective After Stepdown Date) 7.4139 % Do Cumm Realized Loss as a % of Orig Agg Loan Balance exceed Required Loss Pct? NO Cumulative Realized Losses as % of Orig Agg Loan Balance 0.0000 % Required Loss Percentage (Effective July 2007) 3.2500 % O/C Reporting Minimum Required Overcollateralization Amount 1,625,009.62 Percentage of Initial Aggregate Loan Balance 0.50 % Targeted Overcollateralization Amount 6,337,537.53 Percentage of Initial Aggregate Loan Balance 1.95 % Ending Overcollateralization Amount 6,337,537.53 Percentage of Initial Aggregate Loan Balance 1.95 % Ending Overcollateralization Deficiency 0.00 Monthly Excess Interest 1,279,990.05 Net Excess Spread 5.06 % Payment to Class X 0.00 Beginning Balance Prefunding Account 17,500,000.00 Subsequent Transfer Amount 17,485,771.14 Distribution Account Deposit (applied to Principal Remittance Amount) 0.00 Ending Balance Prefunding Account 14,228.86 Beginning Balance Capitalized Interest Account 65,712.63 Required Withdrawal 80.49 Ending Balance Capitalized Interest Account 65,632.14 Beginning Notional Balance Cap Contract Account 315,039,537.00 Withdrawals 0.00 Ending Notional Balance Cap Contract Account 310,745,911.00 *Note: Class N is a notional class. All payments of principal to Class N represent a reduction in the Class N Notional Amount. Delinquencies have been revised. Copyright 2001 J.P. Morgan Chase & Co. All rights reserved.

Exhibit 99.2 Monthly Certificateholder Statement on September 27, 2004 Terwin Mortgage Asset-Backed Certificates Series 2004-5HE Statement To Certificateholders September 27, 2004 ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTION IN DOLLARS ----------------------------------------------------------------------------------------------------------------------------------- Original Beginning Ending Face Principal Realized Deferred Principal Class Value Balance Principal Interest Total Losses Interest Balance ------------------------------------------------------------------------------------------------------------------------------------ A1A 140,956,000.00 131,353,171.41 9,787,774.59 210,110.34 9,997,884.93 0.00 0.00 121,565,396.82 A1B 122,457,000.00 122,457,000.00 0.00 228,433.33 228,433.33 0.00 0.00 122,457,000.00 M1 20,963,000.00 20,963,000.00 0.00 42,371.46 42,371.46 0.00 0.00 20,963,000.00 M2 16,738,000.00 16,738,000.00 0.00 43,958.17 43,958.17 0.00 0.00 16,738,000.00 M3 4,550,000.00 4,550,000.00 0.00 12,992.15 12,992.15 0.00 0.00 4,550,000.00 R 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 B1 4,713,000.00 4,713,000.00 0.00 15,185.68 15,185.68 0.00 0.00 4,713,000.00 B2 4,388,000.00 4,388,000.00 0.00 14,540.74 14,540.74 0.00 0.00 4,388,000.00 B3 3,900,000.00 3,900,000.00 0.00 16,498.63 16,498.63 0.00 0.00 3,900,000.00 N 18,000,000.00 15,423,563.02 1,241,724.86 70,691.33 1,312,416.19 0.00 0.00 14,181,838.16 TOTALS 336,665,100.00 324,485,734.43 11,029,499.45 654,781.83 11,684,281.28 0.00 0.00 313,456,234.98 AXA 140,956,000.00 131,353,171.41 0.00 35,027.51 35,027.51 0.00 0.00 121,565,396.82 AXB 122,457,000.00 122,457,000.00 0.00 3,061.43 3,061.43 0.00 0.00 122,457,000.00 M1X 20,963,000.00 20,963,000.00 0.00 1,048.15 1,048.15 0.00 0.00 20,963,000.00 M2X 16,738,000.00 16,738,000.00 0.00 697.42 697.42 0.00 0.00 16,738,000.00 X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ------------------------------------------------------------------------------------------------------------------------------------ --------------------------------------------------------------------------------------------------- --------------------------- Factor Information Per $1,000 of Original Face Pass-through Rates --------------------------------------------------------------------------------------------------- --------------------------- Current Beginning Ending Class Pass-thru Class Cusip Principal Principal Interest Total Principal Rate (%) ----------------------------------------------------------------------------------------------------- ------------------------- A1A 881561HK3 931.87357338 69.43850982 1.49060941 70.92911923 862.43506357 A1A 1.745000 % A1B 881561FN9 1,000.00000000 0.00000000 1.86541668 1.86541668 1,000.00000000 A1B 2.035000 % M1 881561FP4 1,000.00000000 0.00000000 2.02124982 2.02124982 1,000.00000000 M1 2.205000 % M2 881561FQ2 1,000.00000000 0.00000000 2.62624985 2.62624985 1,000.00000000 M2 2.865000 % M3 881561FR0 1,000.00000000 0.00000000 2.85541758 2.85541758 1,000.00000000 M3 3.115000 % R 881561HU1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 R 1.745000 % B1 881561HV9 1,000.00000000 0.00000000 3.22208360 3.22208360 1,000.00000000 B1 3.515000 % B2 881561HW7 1,000.00000000 0.00000000 3.31375114 3.31375114 1,000.00000000 B2 3.615000 % B3 881561HX5 1,000.00000000 0.00000000 4.23041795 4.23041795 1,000.00000000 B3 4.615000 % N 881561HY3 856.86461222 68.98471444 3.92729611 72.91201056 787.87989778 N 5.000000 % TOTALS 963.82349828 32.76104191 1.94490558 34.70594748 931.06245637 AXA 881561HL1 931.87357338 0.00000000 0.24849960 0.24849960 862.43506357 AXA 0.320000 % AXB 881561HM9 1,000.00000000 0.00000000 0.02500004 0.02500004 1,000.00000000 AXB 0.030000 % M1X 881561HP2 1,000.00000000 0.00000000 0.05000000 0.05000000 1,000.00000000 M1X 0.060000 % M2X 881561HR8 1,000.00000000 0.00000000 0.04166687 0.04166687 1,000.00000000 M2X 0.050000 % ----------------------------------------------------------------------------------------------------- -------------------------- IF THERE, ARE ANY QUESTIONS OR PROBLEMS WITH THIS STATEMENT PLEASE CONTACT THE ADMINISTRATOR LISTED BELOW: Eva D Aryeetey JPMorgan Chase Bank - ITS - Global Debt JPM, 4 New York Plaza, 6th Floor New York, New York 10004 Tel: (212) 623-5429 Fax: (212) 623-5932 Email: eva.d.aryeetey@chase.com *Note: Class N is a notional class. All payments of principal to Class N represent a reduction in the Class N Notional Amount. Principal Remittance Amount 9,785,888.11 Scheduled Principal Payments 254,905.56 Principal Prepayments 9,518,677.69 Curtailments (Current) 10,197.88 Curtailments (Cumulative) 56,406.30 Repurchase Principal (Current) Balance of Mortgage Loans Repurchased 0.00 Number of Mortgage Loans Repurchased 0.00 Repurchase Principal (Cumulative) Balance of Mortgage Loans Repurchased 0.00 Number of Mortgage Loans Repurchased 0.00 Substitution Amounts 0.00 Net Liquidation Proceeds 0.00 Insurance Proceeds 0.00 Other Principal 0.00 Gross Interest 1,928,460.10 Prepayment Premiums (Current) Number of Loans with Respect to which Prepayment Premiums were Collected 24.00 Balance of Loans with Respect to which Prepayment Premiums were Collected 5,143,994.36 Amount of Prepayment Premiums Collected 154,291.60 Prepayment Premiums (Cumulative) Number of Loans with Respect to which Prepayment Premiums were Collected 51.00 Balance of Loans with Respect to which Prepayment Premiums were Collected 10,301,420.63 Amount of Prepayment Premiums Collected 303,546.32 Servicing Related Reporting Items Recoveries from Prior Loss Determinations (Current) 0.00 Recoveries from Prior Loss Determinations (Cumulative) 0.00 Reimbursement of Non-Recoverable Advances Previously Made (Current) 0.00 Reimbursement of Non-Recoverable Advances Previously Made (Cumulative) 0.00 Recovery of Reimbursements Previously Deemed Non-Recoverable (Current) 0.00 Recovery of Reimbursements Previously Deemed Non-Recoverable (Cumulative) 0.00 Servicing Fees 131,410.62 Master Servicing Fees 2,628.21 PMI Fees 6,612.48 Credit Risk Manager Fees 3,942.32 Current Monthly Advances N/A Total Outstanding Advances N/A Initial Number of Loans Outstanding 1,772 Initial Aggregate Loan Balance 307,501,924.44 Beginning Number of Loans Outstanding 1,856 Beginning Aggregate Loan Balance 315,385,480.08 Ending Number of Loans Outstanding 1,812 Ending Aggregate Loan Balance 305,611,896.83 Delinquent Mortgage Loans Group Totals Principal Period Number Balance Percentage 0-29 days 1,735 293,688,941.67 96.10 % 30-59 days 49 6,207,464.41 2.03 % 60-89 days 17 3,254,701.47 1.06 % 90-119 days 11 2,460,789.28 0.81 % 120+days 0 0.00 0.00 % Total 1,812 305,611,896.83 100.00 % * Delinquent Bankruptcies and Foreclosures are included in the table above. Bankruptcies Group Totals Principal Number Balance Percentage 7 848,754.92 0.28 % Foreclosures Group Totals Principal Number Balance Percentage 13 3,061,884.79 1.00 % REO Properties Group Totals Principal Number Balance Percentage 0 0.00 0.00 % Book Value of REO Properties 0.00 Current Realized Losses 0.00 Cumulative Realized Losses 0.00 Gross Weighted Average Coupon 7.3375 % Net Weighted Average Coupon 6.7874 % Weighted Average Remaining Term (Prior Month) 347 Weighted Average Remaining Term (Current Month) 346 Trigger Event Occurrence NO Does Rolling 3 Mo Delinq Rate equal or exceed 42% of Required Pct? NO Rolling 3 Month Delinquency Rate 1.2969 % 42% of Required Pct (Effective After Stepdown Date) 7.1191 % Do Cumm Realized Loss as a % of Orig Agg Loan Balance exceed Required Loss Pct? NO Cumulative Realized Losses as % of Orig Agg Loan Balance 0.0000 % Required Loss Percentage (Effective July 2007) 3.2500 % O/C Reporting Minimum Required Overcollateralization Amount 1,625,000.00 Percentage of Initial Aggregate Loan Balance 0.50 % Targeted Overcollateralization Amount 6,337,500.01 Percentage of Initial Aggregate Loan Balance 1.95 % Ending Overcollateralization Amount 6,337,500.01 Percentage of Initial Aggregate Loan Balance 1.95 % Ending Overcollateralization Deficiency 0.00 Monthly Excess Interest 1,158,124.59 Net Excess Spread 4.01 % Payment to Class X 0.00 Beginning Balance Prefunding Account 12,304.86 Subsequent Transfer Amount 0.00 Distribution Account Deposit (applied to Principal Remittance Amount) 12,304.86 Ending Balance Prefunding Account 0.00 *Note:Prefunding Account adjusted $1,924 for overstatement of original balance. Beginning Balance Capitalized Interest Account 65,632.14 Required Withdrawal 69.60 Ending Balance Capitalized Interest Account 65,562.54 Beginning Notional Balance Cap Contract Account 310,745,911.00 Withdrawals 0.00 Ending Notional Balance Cap Contract Account 305,791,500.00 *Note: Class N is a notional class. All payments of principal to Class N represent a reduction in the Class N Notional Amount. Copyright 2001 J.P. Morgan Chase & Co. All rights reserved.

Exhibit No. Description Page No. ----------- ----------- -------- 4.1 Pooling and Servicing Agreement, dated as of June 1, 2004, among Merrill Lynch Mortgage Investors, Inc., as Depositor, Countrywide Home Loans Servicing LP, as Servicer, GreenPoint Mortgage Funding Inc., as Servicer, Specialized Loan Servicing, LLC, as Servicer, Chase Manhattan Mortgage Corporation, as Master Servicer, Terwin Advisors LLC, as Seller, JPMorgan Chase Bank, as Securities Administrator and Backup Servicer, and U.S. Bank National Association, as Trustee. 99.1 Mortgage Loan Sale and Assignment Agreement, dated as of June 1, 2004, between Terwin Advisors LLC, as Seller and Merrill Lynch Mortgage Investors, Inc., as Purchaser.

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