8-K 1 sac04s02_sep.txt SEPTEMBER 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): September 27, 2004 STRUCTURED ASSET SECURITIES CORPORATION Mortgage Pass-Through Certificates, Series 2004-S2 Trust (Exact name of registrant as specified in its charter) New York (governing law of 333-106925-37 54-2154102 Pooling and Servicing Agreement) (Commission 54-2154100 (State or other File Number) 54-2154101 jurisdiction 54-2154103 of Incorporation) IRS EIN 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 September 27, 2004 a distribution was made to holders of STRUCTURED ASSET SECURITIES CORPORATION, Mortgage Pass-Through Certificates, Series 2004-S2 Trust. ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2004-S2 Trust, relating to the September 27, 2004 distribution. EX-99.2 Murrayhill Credit Risk Manager Report 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. STRUCTURED ASSET SECURITIES CORPORATION Mortgage Pass-Through Certificates, Series 2004-S2 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: 9/27/04 INDEX TO EXHIBITS Exhibit Number Description EX-99.1 Monthly report distributed to holders of Mortgage Pass-Through Certificates, Series 2004-S2 Trust, relating to the September 27, 2004 distribution. EX-99.2 Murrayhill Credit Risk Manager Report EX-99.1

Structured Asset Securities Corporation Mortgage Pass-Through Certificates Record Date: 78/31/04 Distribution Date: 89/2527/04 SASC Series: 2004-S2 Contact: CTSLink Customer Service Wells Fargo Bank, N.A. Corporate Trust Services 9062 Old Annapolis Road Columbia, MD 21045-1951 Telephone: (301) 815-6600 Fax: (301) 815-6600 Certificateholder Distribution Summary Certificate Certificate Beginning Class Pass-Through Certificate Interest Principal Class CUSIP Description Rate Balance Distribution Distribution A1 86359BSL6 SEN 1.~~57000~~73500% ~~195~~176,~~369~~882,~~253~~650.4955 ~~255~~281,~~608~~317.1112 18,~~486~~648,~~602~~321.9442 A2 86359BSM4 SEN 1.~~68000~~84500% 137,031,000.00 ~~191~~231,~~843~~753.4068 0.00 A3 86359BSN2 SEN 12.~~92000~~08500% 30,015,000.00 4857,~~024~~366.0017 0.00 AIO 86359BSQ5 SEN 6.00000% 0.00 947,435.00 0.00 ASIO 86359BSR3 SEN 0.~~15000~~00000% 0.00 ~~64,656~~0.4500 0.00 M1 86359BSS1 MEZ 2.~~00000~~16500% 47,101,000.00 7893,~~501~~475.6786 0.00 M2 86359BST9 MEZ 2.~~05000~~21500% 14,888,000.00 2530,~~433~~228.6784 0.00 M3 86359BSU6 MEZ 2.~~55000~~71500% 25,716,000.00 5464,~~646~~000.5070 0.00 M4 86359BSV4 MEZ 2.~~80000~~96500% 9,474,000.00 2225,~~106~~749.0054 0.00 M5 86359BSW2 MEZ 3.~~25000~~41500% 9,474,000.00 2529,~~658~~657.7557 0.00 M6 86359BSX0 MEZ 3.~~60000~~76500% 12,181,000.00 3642,~~543~~039.0068 0.00 M7 86359BSY8 MEZ 4.~~45000~~61500% 9,474,000.00 3540,~~132~~078.7597 0.00 B 86359BSZ5 SEN 6.00000% 20,573,000.00 102,865.00 0.00 X SAC04S02X SEN 0.00000% 5,955,206.98 21,~~037~~840,~~770~~064.9907 0.00 P SAC04S02P SEN 0.00000% 100.00 ~~138~~120,~~573~~033.5158 0.00 R SAC04S2R1 SEN 0.00000% 0.00 0.00 0.00 Totals ~~517~~498,~~251~~764,~~560~~957.4753 43,~~064~~906,~~798~~065.8078 18,~~486~~648,~~602~~321.9442

Certificateholder Distribution Summary (continued) Current Ending Cumulative Realized Certificate Total Realized Class Loss Balance Distribution Losses A1 0.00 ~~176~~158,~~882~~234,~~650~~329.5513 18,~~742~~929,~~211~~638.0554 0.00 A2 0.00 137,031,000.00 ~~191~~231,~~843~~753.4068 0.00 A3 0.00 30,015,000.00 4857,~~024~~366.0017 0.00 AIO 0.00 0.00 947,435.00 0.00 ASIO 0.00 0.00 ~~64,656~~0.4500 0.00 M1 0.00 47,101,000.00 7893,~~501~~475.6786 0.00 M2 0.00 14,888,000.00 2530,~~433~~228.6784 0.00 M3 0.00 25,716,000.00 5464,~~646~~000.5070 0.00 M4 0.00 9,474,000.00 2225,~~106~~749.0054 0.00 M5 0.00 9,474,000.00 2529,~~658~~657.7557 0.00 M6 0.00 12,181,000.00 3642,~~543~~039.0068 0.00 M7 0.00 9,474,000.00 3540,~~132~~078.7597 0.00 B 0.00 20,573,000.00 102,865.00 0.00 X 0.00 5,955,206.98 21,~~037~~840,~~770~~064.9907 0.00 P 0.00 100.00 ~~138~~120,~~573~~033.5158 0.00 R 0.00 0.00 0.00 0.00 Totals 0.00 ~~498~~480,~~764~~116,~~957~~636.5311 22,~~551~~554,~~401~~387.7420 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) A1 219,508,000.00 ~~195~~176,~~369~~882,~~253~~650.4955 0.00 18,~~486~~648,~~602~~321.9442 0.00 0.00 A2 137,031,000.00 137,031,000.00 0.00 0.00 0.00 0.00 A3 30,015,000.00 30,015,000.00 0.00 0.00 0.00 0.00 AIO 0.00 0.00 0.00 0.00 0.00 0.00 ASIO 0.00 0.00 0.00 0.00 0.00 0.00 M1 47,101,000.00 47,101,000.00 0.00 0.00 0.00 0.00 M2 14,888,000.00 14,888,000.00 0.00 0.00 0.00 0.00 M3 25,716,000.00 25,716,000.00 0.00 0.00 0.00 0.00 M4 9,474,000.00 9,474,000.00 0.00 0.00 0.00 0.00 M5 9,474,000.00 9,474,000.00 0.00 0.00 0.00 0.00 M6 12,181,000.00 12,181,000.00 0.00 0.00 0.00 0.00 M7 9,474,000.00 9,474,000.00 0.00 0.00 0.00 0.00 B 20,573,000.00 20,573,000.00 0.00 0.00 0.00 0.00 X 5,956,443.56 5,955,206.98 0.00 0.00 0.00 0.00 P 100.00 100.00 0.00 0.00 0.00 0.00 R 0.00 0.00 0.00 0.00 0.00 0.00 Totals 541,391,543.56 ~~517~~498,~~251~~764,~~560~~957.4753 0.00 18,~~486~~648,~~602~~321.9442 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 A1 18,~~486~~648,~~602~~321.9442 ~~176~~158,~~882~~234,~~650~~329.5513 0.~~80581414~~72085905 18,~~486~~648,~~602~~321.9442 A2 0.00 137,031,000.00 1.00000000 0.00 A3 0.00 30,015,000.00 1.00000000 0.00 AIO 0.00 0.00 0.00000000 0.00 ASIO 0.00 0.00 0.00000000 0.00 M1 0.00 47,101,000.00 1.00000000 0.00 M2 0.00 14,888,000.00 1.00000000 0.00 M3 0.00 25,716,000.00 1.00000000 0.00 M4 0.00 9,474,000.00 1.00000000 0.00 M5 0.00 9,474,000.00 1.00000000 0.00 M6 0.00 12,181,000.00 1.00000000 0.00 M7 0.00 9,474,000.00 1.00000000 0.00 B 0.00 20,573,000.00 1.00000000 0.00 X 0.00 5,955,206.98 0.99979240 0.00 P 0.00 100.00 1.00000000 0.00 R 0.00 0.00 0.00000000 0.00 Totals 18,~~486~~648,~~602~~321.9442 ~~498~~480,~~764~~116,~~957~~636.5311 0.~~92126477~~88681961 18,~~486~~648,~~602~~321.9442

Principal Distribution Factors Statement Original Beginning Scheduled Unscheduled Face Certificate Principal Principal Class (2) Amount Balance Distribution Distribution Accretion A1 219,508,000.00 ~~890~~805.~~03249763~~81414140 0.00000000 84.~~21835623~~95508783 0.00000000 A2 137,031,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 A3 30,015,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 AIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 ASIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 M1 47,101,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M2 14,888,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M3 25,716,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M4 9,474,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M5 9,474,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M6 12,181,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 M7 9,474,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 B 20,573,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 X 5,956,443.56 999.79239625 0.00000000 0.00000000 0.00000000 P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000 R 0.00 0.00000000 0.00000000 0.00000000 0.00000000 (2) All Classes are Per 1,000 Denomination

Principal Distribution Factors Statement (continued) Total Ending Ending Total Realized Principal Certificate Certificate Principal Class Loss (3) Reduction Balance Percentage Distribution A1 0.00000000 84.~~21835623~~95508783 ~~805~~720.~~81414140~~85905357 0.~~80581414~~72085905 84.~~21835623~~95508783 A2 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 A3 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 AIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 ASIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 M1 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M2 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M3 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M4 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M5 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M6 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 M7 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 B 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 X 0.00000000 0.00000000 999.79239625 0.99979240 0.00000000 P 0.00000000 0.00000000 1,000.00000000 1.00000000 0.00000000 R 0.00000000 0.00000000 0.00000000 0.00000000 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 A1 219,508,000.00 1.~~57000~~73500% ~~195~~176,~~369~~882,~~253~~650.4955 ~~255~~281,~~608~~317.1112 0.00 0.00 A2 137,031,000.00 1.~~68000~~84500% 137,031,000.00 ~~191~~231,~~843~~753.4068 0.00 0.00 A3 30,015,000.00 12.~~92000~~08500% 30,015,000.00 4857,~~024~~366.0017 0.00 0.00 AIO 0.00 6.00000% 189,487,000.00 947,435.00 0.00 0.00 ASIO 0.00 0.~~15000~~00000% ~~517~~498,~~251~~764,~~560~~957.4753 ~~64,656~~0.4500 0.00 0.00 M1 47,101,000.00 2.~~00000~~16500% 47,101,000.00 7893,~~501~~475.6786 0.00 0.00 M2 14,888,000.00 2.~~05000~~21500% 14,888,000.00 2530,~~433~~228.6784 0.00 0.00 M3 25,716,000.00 2.~~55000~~71500% 25,716,000.00 5464,~~646~~000.5070 0.00 0.00 M4 9,474,000.00 2.~~80000~~96500% 9,474,000.00 2225,~~106~~749.0054 0.00 0.00 M5 9,474,000.00 3.~~25000~~41500% 9,474,000.00 2529,~~658~~657.7557 0.00 0.00 M6 12,181,000.00 3.~~60000~~76500% 12,181,000.00 3642,~~543~~039.0068 0.00 0.00 M7 9,474,000.00 4.~~45000~~61500% 9,474,000.00 3540,~~132~~078.7597 0.00 0.00 B 20,573,000.00 6.00000% 20,573,000.00 102,865.00 0.00 0.00 X 5,956,443.56 0.00000% 5,955,206.98 0.00 0.00 0.00 P 100.00 0.00000% 100.00 0.00 0.00 0.00 R 0.00 0.00000% 0.00 0.00 0.00 0.00 Totals 541,391,543.56 1,~~888~~945,~~454~~968.3013 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 A1 0.00 0.00 ~~255~~281,~~608~~317.1112 0.00 ~~176~~158,~~882~~234,~~650~~329.5513 A2 0.00 0.00 ~~191~~231,~~843~~753.4068 0.00 137,031,000.00 A3 0.00 0.00 4857,~~024~~366.0017 0.00 30,015,000.00 AIO 0.00 0.00 947,435.00 0.00 189,487,000.00 ASIO 0.00 0.00 ~~64,656~~0.4500 0.00 ~~498~~480,~~764~~116,~~957~~636.5311 M1 0.00 0.00 7893,~~501~~475.6786 0.00 47,101,000.00 M2 0.00 0.00 2530,~~433~~228.6784 0.00 14,888,000.00 M3 0.00 0.00 5464,~~646~~000.5070 0.00 25,716,000.00 M4 0.00 0.00 2225,~~106~~749.0054 0.00 9,474,000.00 M5 0.00 0.00 2529,~~658~~657.7557 0.00 9,474,000.00 M6 0.00 0.00 3642,~~543~~039.0068 0.00 12,181,000.00 M7 0.00 0.00 3540,~~132~~078.7597 0.00 9,474,000.00 B 0.00 0.00 102,865.00 0.00 20,573,000.00 X 0.00 0.00 21,~~037~~840,~~770~~064.9907 0.00 5,955,206.98 P 0.00 0.00 ~~138~~120,~~573~~033.5158 0.00 100.00 R 0.00 0.00 0.00 0.00 0.00 Totals 0.00 0.00 43,~~064~~906,~~798~~065.8078 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 A1 219,508,000.00 1.~~57000~~73500% ~~890~~805.~~03249763~~81414140 1.~~16445920~~28158026 0.00000000 0.00000000 A2 137,031,000.00 1.~~68000~~84500% 1000.00000000 1.~~40000000~~69125001 0.00000000 0.00000000 A3 30,015,000.00 12.~~92000~~08500% 1000.00000000 1.~~60000000~~91125004 0.00000000 0.00000000 AIO 0.00 6.00000% 1000.00000000 5.00000000 0.00000000 0.00000000 ASIO 0.00 0.~~15000~~00000% ~~955~~921.~~41122986~~26477309 0.~~11942641~~00000000 0.00000000 0.00000000 M1 47,101,000.00 2.~~00000~~16500% 1000.00000000 1.~~66666674~~98458334 0.00000000 0.00000000 M2 14,888,000.00 2.~~05000~~21500% 1000.00000000 12.~~70833356~~03041644 0.00000000 0.00000000 M3 25,716,000.00 2.~~55000~~71500% 1000.00000000 2.~~12500000~~48875019 0.00000000 0.00000000 M4 9,474,000.00 2.~~80000~~96500% 1000.00000000 2.~~33333333~~71791640 0.00000000 0.00000000 M5 9,474,000.00 3.~~25000~~41500% 1000.00000000 23.~~70833333~~13041693 0.00000000 0.00000000 M6 12,181,000.00 3.~~60000~~76500% 1000.00000000 3.~~00000000~~45125031 0.00000000 0.00000000 M7 9,474,000.00 4.~~45000~~61500% 1000.00000000 34.~~70833333~~23041693 0.00000000 0.00000000 B 20,573,000.00 6.00000% 1000.00000000 5.00000000 0.00000000 0.00000000 X 5,956,443.56 0.00000% 999.79239625 0.00000000 0.00000000 0.00000000 P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000 R 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 (5) All Classes are Per 1,000 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 A1 0.00000000 0.00000000 1.~~16445920~~28158026 0.00000000 ~~805~~720.~~81414140~~85905357 A2 0.00000000 0.00000000 1.~~40000000~~69125001 0.00000000 1000.00000000 A3 0.00000000 0.00000000 1.~~60000000~~91125004 0.00000000 1000.00000000 AIO 0.00000000 0.00000000 5.00000000 0.00000000 1000.00000000 ASIO 0.00000000 0.00000000 0.~~11942641~~00000000 0.00000000 ~~921~~886.~~26477309~~81960740 M1 0.00000000 0.00000000 1.~~66666674~~98458334 0.00000000 1000.00000000 M2 0.00000000 0.00000000 12.~~70833356~~03041644 0.00000000 1000.00000000 M3 0.00000000 0.00000000 2.~~12500000~~48875019 0.00000000 1000.00000000 M4 0.00000000 0.00000000 2.~~33333333~~71791640 0.00000000 1000.00000000 M5 0.00000000 0.00000000 23.~~70833333~~13041693 0.00000000 1000.00000000 M6 0.00000000 0.00000000 3.~~00000000~~45125031 0.00000000 1000.00000000 M7 0.00000000 0.00000000 34.~~70833333~~23041693 0.00000000 1000.00000000 B 0.00000000 0.00000000 5.00000000 0.00000000 1000.00000000 X 0.00000000 0.00000000 ~~342~~308.~~11202868~~91992033 0.00000000 999.79239625 P 0.00000000 0.00000000 ~~1385735~~1200335.~~10000000~~80000000 0.00000000 1000.00000000 R 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 (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 22,~~777~~772,~~699~~596.2184 Liquidations, Insurance Proceeds, Reserve Funds 0.00 Proceeds from Repurchased Loans 0.00 Other Amounts (Servicer Advances) 0.00 Realized Loss (Gains, Subsequent Expenses & Recoveries) 0.00 Prepayment Penalties 0.00 Total Deposits 22,~~777~~772,~~699~~596.2184 Withdrawals Reimbursement for Servicer Advances 0.00 Payment of Service Fee ~~226~~218,~~297~~209.4764 Payment of Interest and Principal 22,~~551~~554,~~401~~387.7420 Total Withdrawals (Pool Distribution Amount) 22,~~777~~772,~~699~~596.2184 Ending Balance 0.00

SERVICING FEES Gross Servicing Fee ~~215~~207,~~521~~818.4166 Credit Risk Management Fee 6,~~465~~234.6456 Securities Administration Fee 4,~~310~~156.42 Supported Prepayment/Curtailment Interest Shortfall 0.00 Net Servicing Fee ~~226~~218,~~297~~209.4764

OTHER ACCOUNTS Beginning Current Current Ending Account Type Balance Withdrawals Deposits Balance Reserve Fund 1,000.00 0.00 05,879.0080 16,~~000~~879.0080

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 2723 0 0 2723 1,~~216~~007,~~394~~689.7558 0.00 0.00 1,~~216~~007,~~394~~689.7558 30 Days ~~161~~110 30 0 0 ~~164~~110 74,~~137~~551,~~428~~229.2762 ~~58,126~~0.7400 0.00 0.00 74,~~195~~551,~~555~~229.0162 60 Days 2291 16 04 0 23101 ~~846~~4,~~164~~000,247.8878 26160,~~241~~091.7257 0113,598.0024 0.00 ~~872~~4,~~406~~273,937.6059 90 Days 1722 10 10 0 1922 ~~692~~903,~~119~~886.5638 ~~15,032~~0.5700 ~~48,943~~0.9400 0.00 ~~756~~903,~~096~~886.0738 120 Days 69 02 02 12 715 ~~207~~355,~~484~~505.0409 035,977.0096 065,723.0094 2355,~~222~~350.5213 ~~230~~512,~~706~~557.5612 150 Days 04 0 0 02 06 0114,664.0026 0.00 0.00 076,175.0044 0190,839.0070 180+ Days 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 Totals ~~206~~236 3231 16 14 ~~240~~277 89,~~883~~925,~~196~~533.7513 1,~~315~~203,~~795~~759.7811 48179,~~943~~322.9418 23131,~~222~~525.5257 1011,~~271~~440,~~158~~139.99 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.~~230375~~202287% 0.000000% 0.000000% 0.~~230375~~202287% 0.~~243719~~209734% 0.000000% 0.000000% 0.~~243719~~209734% 30 Days 10.~~373720~~967458% 0.~~025597~~000000% 0.000000% 0.000000% 10.~~399317~~967458% 10.~~430068~~947265% 0.~~011646~~000000% 0.000000% 0.000000% 10.~~441714~~947265% 60 Days 0.~~187713~~800352% 0.~~008532~~052770% 0.~~000000~~035180% 0.000000% 0.~~196246~~888303% 0.~~169539~~832587% 0.~~005258~~033320% 0.~~000000~~023644% 0.000000% 0.~~174797~~889552% 90 Days 0.~~145051~~193492% 0.~~008532~~000000% 0.~~008532~~000000% 0.000000% 0.~~162116~~193492% 0.~~138674~~188129% 0.~~003012~~000000% 0.~~009806~~000000% 0.000000% 0.~~151493~~188129% 120 Days 0.~~051195~~079156% 0.~~000000~~017590% 0.~~000000~~017590% 0.~~008532~~017590% 0.~~059727~~131926% 0.~~041572~~073993% 0.~~000000~~007488% 0.~~000000~~013679% 0.~~004653~~011520% 0.~~046225~~106681% 150 Days 0.~~000000~~035180% 0.000000% 0.000000% 0.~~000000~~017590% 0.~~000000~~052770% 0.~~000000~~023866% 0.000000% 0.000000% 0.~~000000~~015855% 0.~~000000~~039720% 180+ Days 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000% Totals 12.~~757679~~075638% 0.~~273038~~272647% 0.~~008532~~052770% 0.~~008532~~035180% 2.~~047782~~436236% 12.~~779853~~065841% 0.~~263635~~250543% 0.~~009806~~037323% 0.~~004653~~027375% 2.~~057948~~381082%

COLLATERAL STATEMENT Collateral Description Mixed Fixed & Arm Weighted Average Gross Coupon 10.~~062290~~059678% Weighted Average Net Coupon 9.~~562290~~559678% Weighted Average Pass-Through Rate 9.~~124608~~124300% Weighted Average Maturity(Stepdown Calculation ) 3029 Beginning Scheduled Collateral Loan Count 1211,~~082~~720 Number Of Loans Paid In Full ~~362~~350 Ending Scheduled Collateral Loan Count 11,~~720~~370 Beginning Scheduled Collateral Balance ~~517~~498,~~251~~764,~~560~~957.4753 Ending Scheduled Collateral Balance ~~498~~480,~~764~~116,~~957~~636.5311 Ending Actual Collateral Balance at 31-~~Jul~~Aug-2004 ~~499~~480,~~097~~459,~~192~~790.5825 Monthly P &I Constant 4,~~776~~609,~~139~~244.5085 Special Servicing Fee 0.00 Prepayment Penalties 0.00 Realized Loss Amount 0.00 Cumulative Realized Loss 0.00 Ending Scheduled Balance for Premium Loans ~~498~~480,~~764~~116,~~957~~636.5311 Scheduled Principal ~~438~~428,~~860~~065.0574 Unscheduled Principal 18,~~047~~220,~~742~~255.8968

EX-99.2

theMurrayhillcompany SASCO 2004-S2 Credit Risk Manager Report July 2004 The information contained in this Report is based upon a specific point in time and reflects performance solely through that point in time. It does not forecast the performance of the portfolio in the future. The information in this Report is not investment advice concerning a particular portfolio or security, and no mention of a particular security in this Report constitutes a recommendation to buy, sell, or hold that or any other security. The Report is based upon information provided to The Murrayhill Company by third parties and therefore The Murrayhill Company cannot, and does not, warrant that. the information contained in this Report is accurate or complete. Table of Contents Section One Transaction Summary Section Two Prepayment Premium Analysis Section Three Analytics Section One Transaction Summary theMurrayhillcompany SASCO 2004-S2 Transaction Summary July 2004 Transaction Summary Closing Date 5/28/04 Depositor Structured Asset Securities Corporation Trustee US Bank Securities Administrator Wells Fargo Master Servicer Aurora Loan Services Master Servicing Servicer(s) Aurora Loan Services, Option One Mortgage, Wells Fargo, Countrywide Mortgage Insurer Old Republic Insurance Corp., United Guaranty Residential Insurance Company Delinquency Reporting Method OTS1 Collateral Summary Closing Date 6/30/20042 6/30/2004 as a Percentage of Closing Date Collateral Balance $544,453,487 $421,585,492 77.43% Loan Count 12,547 9,851 78.51% 1 OTS Method: A current loan becomes 30 days delinquent if the scheduled payment is not made by the close of business on the corresponding day of the following month. Similarly for 60 days delinquent and the second immediately succeeding month and 90 days delinquent and the third immediately succeeding month. 2 These figures are based upon information provided to Murrayhill by the servicers on a monthly basis. This information does not include 2,320 loans for which no data has been provided. This information will be available during the next monthly cycle. (C) 2004 The Murrayhill Company. All Rights Reserved. Section Two Prepayment Premium Analysis Reconciliation of Prepayment Premiums for SASCO 2004-S2 Mortgage Data Through: June 30, 2004 Section 1: Prepayment premiums collected by the servicers and remitted to the trustee. This information is reported to Murrayhill by the servicers each month. Distribution Date Servicers 25-Jul-04 25-Jun-04 TOTAL $62,964 $20,132 Section 2: Prepayment premiums remitted with interest by the trustee. This information is taken from the statement to certificateholders prepared by the trustee. Distribution Date Class 25-Jul-04 25-Jun-04 P class $43,245 $20,132 Section 3: Reconciliation of the amounts remitted by the servicers to the trustee, and the amount remitted with interest by the trustee. Amount remitted by Servicers: $62,964 Amount Distributed to P class: $43,245 Difference*: $19,719 This difference is because the master servicer did not remit any prepayment premiums from one servicer during the 7/25/04 distribution. We have contacted the master servicer regarding this issue and the $19,719 will be included in the 8/25/04 distribution. Aggregate Paid-Off Loans Report for SASCO 2004-S2 Mortgage Data Through: June 30, 2004 Distribution Date 25-Jul-04 25-Jun-04 Loans with Active Prepayment Flags that Remitted Premiums ( A ) 19 6 Loans without Prepayment Flags that Remitted Premiums 5 4 Total Loans that Remitted Premiums ( B ) 24 10 Loans with Active Prepayment Flags ( C ) 20 14 Loans without Prepayment Flags that Remitted Premiums 5 4 Subtotal ( D ) 25 18 Premiums Remitted with Active Prepayment Flags (A/C) 95.0% 42.9% Total Loans that Remitted Premiums to the Subtotal (B/D ) 96.0% 55.6% Total Paid-Off Loans ( E ) 202 165 Total Loans that Remitted Premiums to the Total Paid-Off Loans ( B/E ) 11.9% 6.1% Paid-Off Loans Exception Report for SASCO 2004-S2 Mortgage Data Through: June 30, 2004 TOTAL Total Paid-Off Loans with Flags 21 Less Exceptions: Loans with Expired Prepayment Clauses (as stated in the Note)* 1 Loans that Contained a Clause Allowing Prepayment Premiums to be Waived 0 at the Time of Liquidation* Loans that Liquidated from REO* 0 Loans with Discrepancies between the Data File and the Note 0 Defaulted Liquidated Loans that Could Not Have Collected Premiums 0 Loans that Liquidated Through Loss Mitigation Efforts* 0 Total Paid-Off Loans with Active Prepayment Flags (C) 20 Other Exceptions: 0 Paid-Off Loans that Did Not Collect Premiums because of State Statutes Paid-Off Loans with Active Prepayment Flags that Have Not Remitted 1 Premiums Paid-Off Loans With Prepayment Flags for SASCO 2004-S2 Mortgage Data Through: June 30, 2004 Murrayhill Delinquency Origination PPP Exp. Date Payoff ID Number String Date Flag Balance 4926407 0 11/26/03 3 11/26/06 $47,000 4933651 C0 9/11/03 0 9/11/03 $70,729 4935341 C0 9/15/03 0 9/15/03 $62,757 4932929 C0 9/25/03 0 9/25/03 $49,489 4932939 C0 10/28/03 0 10/28/03 $49,627 4933427 C0 9/26/03 0 9/26/03 $44,896 4936876 C0 10/1/03 3 10/1/06 $62,903 4930148 CO 2/18/04 3 2/18/07 $58,324 4929347 C0 12/5/03 3 12/5/06 $94,583 4926253 C0 9/19/03 3 9/19/06 $23,743 4926650 0 12/8/03 3 12/8/06 $62,000 4927168 0 12/22/03 3 12/22/06 $74,000 4928753 C0 1/22/04 3 1/22/07 $60,894 4929135 C0 1/30/04 3 1/30/07 $33,415 4927098 CO 12/9/03 2 12/9/05 $35,742 4929329 CO 12/31/03 2 12/31/05 $117,009 4929871 C0 12/9/03 2 12/9/05 $51,899 4929486 C0 12/19/03 2 12/19/05 $40,675 4930139 C0 2/6/04 2 2/6/06 $66,536 4925355 C0 12/5/03 2 12/5/05 $20,255 4926532 0 11/24/03 2 11/24/05 $50,800 4926662 C0 12/12/03 2 12/12/05 $51,678 4926939 C0 12/11/03 2 12/11/05 $48,755 4928375 C0 1/13/04 2 1/13/06 $20,926 4937774 C0 4/26/04 1 4/26/05 $93,966 Paid-Off Loans With Prepayment Flags for SASCO 2004-S2 Mortgage Data Through: June 30, 2004 (Cont.) Murrayhill PPP Remitted % of PPP No PPP PPP Comments ID Number to Collected, Collected, Payoff w/Flag No Flag Balance 4926407 $0 0% 4926407 Awaiting servicer response 4933651 $2,577 4% 4933651 4935341 $2,541 4% 4935341 4932929 $1,851 4% 4932929 4932939 $2,103 4% 4932939 4933427 $1,953 4% 4933427 4936876 $2,261 4% 4930148 $2,361 4% 4929347 $4,334 5% 4926253 $959 4% 4926650 $2,714 4% 4927168 $3,058 4% 4928753 $2,554 4% 4929135 $1,301 4% 4927098 $715 2% 4929329 $5,380 5% 4929871 $2,498 5% 4929486 $1,870 5% 4930139 $2,561 4% 4925355 $846 4% 4926532 $2,246 4% 4926662 $2,269 4% 4926939 $2,045 4% 4928375 $928 4% 4937774 $4,130 4% (C) 2004 The Murrayhill Company. All Rights Reserved. Section Three Analytics FICO.txt SASCO 2004-S2 FICO Distribution by Status Mortgage Data Through: June 30, 2004 FICO Delinquency Percentage 570 Current 0 580 Current 0.005 580 Delinquent 0.054 590 Current 0.013 590 Delinquent 0.07 590 Paid Off 0.006 600 Current 0.021 600 Delinquent 0.101 600 Paid Off 0.003 610 Current 0.032 610 Delinquent 0.047 610 Paid Off 0.003 620 Current 0.044 620 Delinquent 0.07 620 Paid Off 0.02 630 Current 0.053 630 Delinquent 0.132 630 Paid Off 0.025 640 Current 0.047 640 Delinquent 0.07 640 Paid Off 0.028 650 Current 0.053 650 Delinquent 0.07 650 Paid Off 0.062 660 Current 0.062 660 Delinquent 0.054 660 Paid Off 0.056 670 Current 0.067 670 Delinquent 0.054 670 Paid Off 0.076 680 Current 0.082 680 Delinquent 0.023 680 Paid Off 0.106 690 Current 0.093 690 Delinquent 0.085 690 Paid Off 0.118 700 Current 0.077 700 Delinquent 0.031 700 Paid Off 0.106 710 Current 0.068 710 Delinquent 0.031 710 Paid Off 0.056 720 Current 0.055 720 Delinquent 0.031 720 Paid Off 0.048 730 Current 0.051 730 Delinquent 0.016 730 Paid Off 0.081 740 Current 0.041 740 Delinquent 0.023 740 Paid Off 0.048 750 Current 0.039 750 Paid Off 0.045 760 Current 0.031 760 Delinquent 0.016 760 Paid Off 0.034 770 Current 0.024 770 Delinquent 0.023 770 Paid Off 0.036 780 Current 0.02 780 Paid Off 0.025 790 Current 0.011 790 Paid Off 0.008 800 Current 0.006 800 Paid Off 0.011 810 Current 0.002 820 Current 0 850 Current 0 Status # of Loans AverageStd. Deviation Current 9,722 686 48.508 Delinquent 129 648 48.099 Paid Off 357 699 41.889 Total: 10,208 balance.txt SASCO 2004-S2 Balance Distribution by Status Mortgage Data Through: June 30, 2004 Balance Delinquency Percentage 0 Current 0.001 10000 Delinquent 0.016 10000 Current 0.021 20000 Delinquent 0.248 20000 Current 0.192 30000 Current 0.237 30000 Delinquent 0.186 40000 Delinquent 0.178 40000 Current 0.176 50000 Current 0.131 50000 Delinquent 0.101 60000 Delinquent 0.078 60000 Current 0.098 70000 Current 0.073 70000 Delinquent 0.078 80000 Current 0.023 80000 Delinquent 0.047 90000 Current 0.018 90000 Delinquent 0.023 100000 Delinquent 0.039 100000 Current 0.012 110000 Current 0.006 110000 Delinquent 0.008 120000 Current 0.004 130000 Current 0.003 140000 Current 0.002 150000 Current 0.002 160000 Current 0 170000 Current 0 180000 Current 0 200000 Current 0 210000 Current 0 280000 Current 0 Status # of Loans Average Std. Deviation Current 9,722 42,786.40 22,307.20 Delinquent 129 43,535.62 23,326.38 Total: 9,851 LTV.txt SASCO 2004-S2 Loan-to-Value Distribution by Status Mortgage Data Through: June 30, 2004 LTV Delinquency Percentage 0 Current 0.004 0 Paid Off 0.011 0.1 Paid Off 0.322 0.1 Current 0.185 0.1 Delinquent 0.07 0.2 Current 0.792 0.2 Paid Off 0.633 0.2 Delinquent 0.922 0.3 Paid Off 0.025 0.3 Delinquent 0.008 0.3 Current 0.017 0.4 Current 0.002 0.4 Paid Off 0.006 0.5 Current 0 0.5 Paid Off 0.003 Status # of Loans Average Std. Deviation Current 9,722 0.18 0.039 Delinquent 129 0.189 0.025 Paid Off 357 0.169 0.052 Total: 10,208 PURPOSE.txt SASCO 2004-S2 Mortgage Purpose Distribution Mortgage Data through: June 30, 2004 Origination Statistics Number of Loans: 12,547 Purpose Number Percentage Cash-out refinance 1,387 11.1% Purchase 10,266 81.8% Rate/term 886 7.1% Home 2 0.0% Other 6 0.0% Total 12,547 100% Current Loans Number of Loans: 9,722 Purpose Number Percentage Cash-out refinance 1,156 11.9% Purchase 7,765 79.9% Rate/term 793 8.2% Home 2 0.0% Other 6 0.1% Total 9,722 100% Delinquent Loans Number of Loans: 129 Purpose Number Percentage Cash-out refinance 15 11.6% Purchase 103 79.8% Rate/term 11 8.5% Home 0 0.0% Other 0 0.0% Total 129 100% Paid Off Loans Number of Loans: 357 Purpose Number Percentage Cash-out refinance 50 14.0% Purchase 275 77.0% Rate/term 32 9.0% Home 0 0.0% Other 0 0.0% Total 357 100% type.txt SASCO 2004-S2 Mortgage Type Distribution by Status Mortgage Data Through: June 30, 2004 Mortgage Type Delinquency Percentage Investment Home Current 0.059 Investment Home Delinquent 0.039 Investment Home Paid Off 0.12 Primary Home Current 0.93 Primary Home Delinquent 0.961 Primary Home Paid Off 0.857 Second Home Current 0.011 Second Home Paid Off 0.022 Mortgage Type Loan Count Total Balance Avg. Balance Std. Deviation Balloon 4,867 214,218,555.95 44,014.50 25,079.23 Fixed 5,341 207,366,936.42 38,825.49 21,239.04 Total: 10,208 421,585,492.37 term.txt SASCO 2004-S2 Mortgage Term Distribution by Status Mortgage Data Through: June 30, 2004 Mortgage Term Delinquency Percentage 0 Current 0 120 Current 0.001 180 Current 0.519 180 Paid Off 0.639 180 Delinquent 0.279 240 Delinquent 0.512 240 Paid Off 0.151 240 Current 0.23 360 Delinquent 0.209 360 Paid Off 0.21 360 Current 0.25 # of Loans Other 120 180 240 360 10,208 3 6 5,307 2,360 2,532 ownership.txt SASCO 2004-S2 Ownership Distribution by Status Mortgage Data Through: June 30, 2004 Ownership Type Delinquency Percentage Investment Home Current 0.059 Investment Home Delinquent 0.039 Investment Home Paid Off 0.12 Primary Home Current 0.93 Primary Home Delinquent 0.961 Primary Home Paid Off 0.857 Second Home Current 0.011 Second Home Paid Off 0.022 Title # of Loans Investment Home 620 Primary Home 9,474 Second Home 114 Total: 10,208 DELINQUENT BALANCE SASCO 2004-S2 Delinquent Balance Over Time "Mortgage Data Through: June 30, 2004" Total Balance in Status As Of Date 30 Days 60 Days 90 Days Foreclosure REO 6/30/2004 " $3,157,094 " " $1,761,575 " " $697,426 " $- $- 5/31/2004 " $1,076,438 " " $156,043 " $- $- $- DELINQUENT COUNT SASCO 2004-S2 Delinquent Count Over Time "Mortgage Data Through: June 30, 2004" Total Count in Status As Of Date 30 Days 60 Days 90 Days Foreclosure REO 6/30/2004 72 43 14 0 0 5/31/2004 26 4 0 0 0 CPR SASCO 2004-S2 Conditional Prepayment Rates Mortgage Data Through: June 30, 2004 Date Distribution Date CPR 3-Month MA 6-Month MA 12-Month MA 30-Jun-04 25-Jul-04 28.26% (C) 2004 The Murrayhill Company. All Rights Reserved.

Filing Compare · Structured Asset Securities Corp Mortgage Pass-through Certificates 2004-S2