Table of Contents
SEQUOIA MORTGAGE FUNDING CORPORATION | SEQUOIA RESIDENTIAL FUNDING, INC. | |
(EXACT NAME OF CO-REGISTRANT AS SPECIFIED IN ITS | (EXACT NAME OF CO-REGISTRANT AS SPECIFIED IN ITS | |
CHARTER) | CHARTER) |
DELAWARE | 91-1771827 | DELAWARE | 35-2170972 | |||
(STATE OF INCORPORATION) | (I.R.S. EMPLOYER IDENTIFICATION NUMBER) | (STATE OF INCORPORATION) | (I.R.S. EMPLOYER IDENTIFICATION NUMBER) |
MILL VALLEY, CALIFORNIA 94941
(415) 389-7373
(ADDRESS, INCLUDING ZIP CODE, AND TELEPHONE NUMBER, INCLUDING AREA CODE, OF
CO-REGISTRANT’S PRINCIPAL EXECUTIVE OFFICES)
ONE BELVEDERE PLACE, SUITE 300
MILL VALLEY, CALIFORNIA 94941
(415) 389-7373
(NAME, ADDRESS, INCLUDING ZIP CODE, AND TELEPHONE NUMBER, INCLUDING AREA CODE OF
AGENT FOR SERVICE)
PHILLIP R. POLLOCK, ESQ.
TOBIN & TOBIN
500 SANSOME STREET, 8TH FLOOR
SAN FRANCISCO, CALIFORNIA 94111
(415) 433-1400
box:þ
PROPOSED | ||||||||||||||
MAXIMUM | PROPOSED MAXIMUM | |||||||||||||
AMOUNT TO BE | AGGREGATE PRICE | AGGREGATE OFFERING | AMOUNT OF | |||||||||||
TITLE OF EACH CLASS OF SECURITIES TO BE REGISTERED | REGISTERED | PER UNIT | PRICE | REGISTRATION FEE(1)(2) | ||||||||||
Asset Backed Securities | $3,000,000,000 | 100% | $3,000,000,000 | $0(3) | ||||||||||
(1) | Calculated pursuant to Rule 457(o) under the Securities act of 1933. | |
(2) | In accordance with rule 429 under the Securities Act of 1933, the Prospectus included herein is a combined prospectus, which also relates to Co-registrants’ Registration Statement on Form S-3, File No. 333-118832. The amount of securities remaining eligible to be sold under the prior Registration Statement ($2,977,140,636) shall be carried forward to this Registration Statement. The filing fee related to the amount being carried forward was paid with the prior Registration Statement. | |
(3) | $321,000 previously paid. |
Table of Contents
The information in this prospectus is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
or
Sequoia Residential Funding, Inc.
(Depositor)
(Issuable in Series)
• | residential mortgage loans secured by senior and junior liens on one-to-four family residential properties, including closed-end and/or revolving home equity loans or specified balances thereof and cooperative dwelling loans; | |
• | mortgage pass-through securities issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac; | |
• | private mortgage-backed securities; | |
• | various forms of credit enhancement of the types described in this base prospectus; and | |
• | other related assets described in this base prospectus. |
Table of Contents
Table of Contents
AND EACH ACCOMPANYING PROSPECTUS SUPPLEMENT
• | this prospectus, which provides general information, some of which may not apply to a particular series; and | ||
• | the accompanying prospectus supplement for a particular series, which describes the specified terms of the securities of that series. |
i
Table of Contents
Page | ||||
1 | ||||
1 | ||||
2 | ||||
4 | ||||
5 | ||||
6 | ||||
6 | ||||
6 | ||||
6 | ||||
7 | ||||
7 | ||||
8 | ||||
8 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
11 | ||||
11 | ||||
12 | ||||
12 | ||||
13 | ||||
13 | ||||
13 | ||||
13 | ||||
14 | ||||
15 | ||||
15 | ||||
15 | ||||
15 | ||||
16 | ||||
16 | ||||
16 | ||||
16 | ||||
16 | ||||
17 | ||||
17 | ||||
18 | ||||
18 | ||||
20 | ||||
27 | ||||
27 | ||||
28 | ||||
32 | ||||
34 | ||||
35 | ||||
35 | ||||
35 | ||||
36 | ||||
36 | ||||
36 | ||||
39 | ||||
39 | ||||
39 | ||||
41 | ||||
43 | ||||
47 | ||||
47 | ||||
49 | ||||
50 | ||||
50 | ||||
50 | ||||
53 |
ii
Table of Contents
Page | ||||
53 | ||||
54 | ||||
55 | ||||
55 | ||||
56 | ||||
56 | ||||
56 | ||||
57 | ||||
58 | ||||
58 | ||||
59 | ||||
59 | ||||
61 | ||||
61 | ||||
63 | ||||
66 | ||||
66 | ||||
67 | ||||
76 | ||||
78 | ||||
80 | ||||
81 | ||||
84 | ||||
85 | ||||
87 | ||||
87 | ||||
88 | ||||
88 | ||||
88 | ||||
89 | ||||
91 | ||||
92 | ||||
92 | ||||
93 | ||||
95 | ||||
96 | ||||
96 | ||||
97 | ||||
97 | ||||
97 | ||||
98 | ||||
99 | ||||
100 | ||||
100 | ||||
100 | ||||
105 | ||||
105 | ||||
107 | ||||
111 | ||||
112 | ||||
113 | ||||
114 | ||||
115 | ||||
115 | ||||
115 | ||||
115 | ||||
121 | ||||
122 | ||||
123 | ||||
124 | ||||
124 | ||||
125 | ||||
125 | ||||
125 | ||||
I-1 | ||||
II-1 |
iii
Table of Contents
1
Table of Contents
• | mortgage loans whose interest rate adjusts on the basis of a variable index plus a margin, with the initial adjustment occurring after a specified period of time from origination of the related mortgage loan and adjustments occurring periodically at specified intervals thereafter; these loans may or may not have a low introductory interest rate; | ||
• | “hybrid” mortgage loans, whose interest rate is fixed for the initial period specified in the related mortgage note, and thereafter adjusts periodically based on the related index plus a margin; | ||
• | “interest-only” mortgage loans, which provide for payment of interest at the related mortgage interest rate, but no payment of principal, for the period specified in the related mortgage note; thereafter, the monthly payment is increased to an amount sufficient to amortize the principal balance of the mortgage loan over the remaining term and to pay interest at the applicable mortgage interest rate; | ||
• | “negative amortization” mortgage loans, which may have a low introductory interest rate, and thereafter have a mortgage interest rate which adjusts periodically based on the related index plus a margin; however, the borrower is only required to make a minimum monthly payment which may not be sufficient to pay the monthly interest accrued, resulting in an increase to the principal balance of the mortgage loan by the amount of unpaid interest; and | ||
• | “option ARMs,” which combine several of the features described above and permit the borrower to elect whether to make a monthly payment sufficient to pay accrued interest and amortize the principal balance, make an interest-only payment or make a minimum payment that may be insufficient to pay accrued interest (with the unpaid interest added to the principal balance of the loan). |
2
Table of Contents
3
Table of Contents
4
Table of Contents
5
Table of Contents
6
Table of Contents
• | weak economic conditions in these locations or any other location (which may or may not affect real property values), may affect the ability of borrowers to repay their mortgage loans on time, particularly in the case of “option ARMs”, interest-only loans and loans that provide for negative amortization; | ||
• | properties in certain jurisdictions may be more susceptible than homes located in other parts of the country to certain types of uninsurable hazards, such as earthquakes, as well as floods, hurricanes, wildfires, mudslides and other natural disasters; | ||
• | declines in the residential real estate market of a particular jurisdiction may reduce the values of properties located in that jurisdiction, which would result in an increase in the loan-to-value ratios or combined loan-to-value ratios, as the case may be, particularly in the case of “option ARMs”, interest-only loans and loans that provide for negative amortization; and | ||
• | any increase in the market value of properties located in a particular jurisdiction would reduce the loan-to-value ratios or combined loan-to-value ratios, as the case may be, of the mortgage loans and could, therefore, make alternative sources of financing available to the borrowers at lower interest rates, which could result in an increased rate of prepayment of the mortgage loans. |
7
Table of Contents
8
Table of Contents
• | if you buy a subordinate security and losses on the related mortgage loans exceed the total principal amount of any securities subordinate to your securities (if any), plus, if applicable to the issuing entity and as specified in the related prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your securities will be reduced proportionately with the principal amounts of the other securities of your class by the amount of that excess; and | ||
• | if specified in the related prospectus supplement, after the total principal amount of the subordinate securities has been reduced to zero, losses on the mortgage loans may reduce the principal amounts (or notional amounts) of the senior securities. |
9
Table of Contents
10
Table of Contents
• | in the case of any interest-only securities, a faster than expected rate of prepayments on the mortgage loans in the issuing entity ; and |
11
Table of Contents
• | in the case of any principal-only securities, a slower than expected rate of prepayments on the mortgage loans in the issuing entity . |
12
Table of Contents
• | If you purchase securities at a discount, especially any principal-only securities, and principal prepayments on the related mortgage loans are received at a rate slower than you anticipate, then your yield may be lower than you anticipate. | ||
• | If you purchase securities at a premium, especially any interest-only securities, and principal prepayments on the related mortgage loans are received at a rate faster than you anticipate, then your yield may be lower than you anticipate. |
13
Table of Contents
• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; | ||
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | ||
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
14
Table of Contents
15
Table of Contents
• | only address the likelihood of receipt by holders of securities of distributions in the amount of scheduled payments on the mortgage loans; | ||
• | do not take into consideration any of the tax aspects associated with the securities; | ||
• | do not address the possibility that, as a result of principal prepayments, the yield on your securities may be lower than anticipated; | ||
• | do not address the payment of any basis risk shortfalls with respect to the securities; and | ||
• | do not comment as to the market price or suitability of the securities for a particular investor. |
16
Table of Contents
17
Table of Contents
• | upon the discovery of the breach of any representation or warranty made by the seller in respect of a mortgage loan that materially and adversely affects the value of that mortgage loan, to cause the seller to repurchase the mortgage loan from the trustee, or deliver a substitute mortgage loan as described herein; | ||
• | to make all initial filings establishing or creating a security interest over the mortgage loans and make all filings necessary to maintain the effectiveness of any original filings necessary under the relevant UCC to perfect the trustee’s security interest in or lien on the mortgage loans; | ||
• | to arrange for replacement interest rate cap contracts, interest rate swap agreements and yield supplement agreements in the event the applicable derivative instrument is terminated early; | ||
• | to appoint a successor trustee or securities administrator, as applicable, in the event either the trustee or the securities administrator resigns, is removed or become ineligible to continue servicing in such capacity under the related agreement; | ||
• | to prepare and file, or cause the preparation and filing of, any reports required under the Exchange Act; | ||
• | to notify the rating agencies and any other relevant parties of the occurrence of any event of default or other event specified in the related agreements; | ||
• | to exercise any approval or consent rights retained under the servicing agreements; and | ||
• | to provide the trustee, the securities administrator and the master servicer with any information it may reasonable require to comply with the terms of the agreements. |
18
Table of Contents
• | mortgage loans secured by properties of the types described in this prospectus; | ||
• | agency and/or private mortgage-backed securities of the types described in this prospectus; | ||
• | amounts held from time to time in the collection account, distribution account or other account established for a series of securities; | ||
• | mortgaged properties that secured a mortgage loan and that are acquired on behalf of the securityholders by foreclosure, deed in lieu of foreclosure or repossession; | ||
• | any reserve fund established pursuant to the agreements for a series of securities, if specified in the prospectus supplement. | ||
• | any security insurance policy, pool insurance policy, special hazard insurance policy, bankruptcy bond, interest rate cap agreement, interest rate swap agreement, currency swap agreement or other form of credit enhancement described in this prospectus and specified in the prospectus supplement; | ||
• | any servicing agreements relating to mortgage loans in the issuing entity , to the extent that these agreements are assigned to the trustee; | ||
• | any primary mortgage insurance policies or limited purpose surety bonds relating to mortgage loans in the issuing entity ; and | ||
• | investments held in any fund or account or any guaranteed investment contract and income from the reinvestment of these funds, if specified in the prospectus supplement. |
19
Table of Contents
• | Interest may be payable at a fixed rate, a rate adjustable from time to time in relation to an index, a rate that is fixed for a period of time or under certain circumstances and is followed by an adjustable rate, a rate that otherwise varies from time to time, a rate that is convertible from an adjustable rate to a fixed rate, or a rate that is convertible from one index to another, in each case as specified in the prospectus supplement. Changes to an adjustable rate may be subject to periodic limitations, maximum rates, minimum rates or a combination of such limitations. Accrued interest may be deferred and added to the principal of a loan for such periods and under such circumstances as may be specified in the prospectus supplement. | ||
• | Principal may be payable on a level debt service basis to fully amortize the loan over its term, may be calculated on the basis of an assumed amortization schedule that is significantly longer than the original term to maturity or on an interest rate that is different from the loan rate or may not be amortized during all or a portion of the original term. Certain loans may provide for monthly payments of interest but no payments of principal for either the first five or ten years or any other period specified after origination. Certain loans may require payment of all or a substantial portion of the principal upon maturity, commonly referred to as a “balloon payment”. Principal may include interest that has been deferred and added to the principal balance of the loan. | ||
• | Monthly payments of principal and interest may be fixed for the life of the loan, may increase over a specified period of time or may change from period to period. | ||
• | Loans may include limits on periodic increases or decreases in the amount of monthly payments and may include maximum or minimum amounts of monthly payments. | ||
• | Prepayments of principal may be subject to a prepayment fee, which may be fixed for the life of the loan or may change over time. Certain loans may permit prepayments after expiration of certain periods, commonly referred to as “lockout periods”. Other loans may permit prepayments without payment of a fee unless the prepayment occurs during specified time periods. The loans may include “due on sale” clauses which permit the mortgagee to demand payment of the entire loan in connection with the sale or |
20
Table of Contents
certain transfers of the related property. Other loans may be assumable by persons meeting the then applicable standards set forth in the underlying loan documents. |
• | “standard” adjustable rate mortgage loans whose interest rate adjusts on the basis of a variable index plus a margin, with the initial adjustment typically occurring one year or less after origination of the related mortgage loan and adjustments occurring periodically thereafter; | ||
• | “hybrid” mortgage loans, whose interest rate is fixed for the initial period specified in the related mortgage note (typically for a period of a year or more after origination), and thereafter adjusts periodically based on the related index; | ||
• | “interest-only” mortgage loans, which provide for payment of interest at the related mortgage interest rate, but no payment of principal, for the period specified in the related mortgage note; thereafter, the monthly payment is increased to an amount sufficient to amortize the principal balance of the mortgage loan over the remaining term and to pay interest at the applicable interest rate borne by such mortgage loan; | ||
• | “negative amortization” mortgage loans, which may have a low introductory interest rate, and thereafter have a mortgage interest rate which adjusts periodically based on the related Index; however, the borrower is only required to make a minimum or specified monthly payment which may not be sufficient to pay the monthly interest accrued, resulting in an increase to the principal balance of the mortgage loan by the amount of unpaid interest; and | ||
• | “option ARMs,” which combine several of the features described above and permit the borrower to elect whether to make a monthly payment sufficient to pay accrued interest and amortize the principal balance, make an interest-only payment or make a minimum payment that may be insufficient to pay accrued interest (with the unpaid interest added to the principal balance of the mortgage loan). |
21
Table of Contents
• | U.S. Dollar LIBOR (“LIBOR”), which is the average of the London Interbank Offer Rate, a rate at which banks in London, England, lend U.S. dollars to other banks in the U.S. dollar wholesale or interbank money markets for a specified duration. | ||
• | London Interbank Offer Swap Rate (“LIBORSWAP”), a rate which is the difference between the negotiated and fixed rate of a swap, with the spread determined by characteristics of market supply and creditor worthiness. | ||
• | Constant Maturity Treasury (“CMT”) Indices, which is the weekly or monthly average yield on United States Treasury securities adjusted to a specified constant maturity, as by the Federal Reserve Board. | ||
• | Treasury Bill (“T-Bill”) Indices, which is a rate based on the results of auctions that the U.S. Department of Treasury holds for its Treasury bills, notes or bonds or is derived from its daily yield curve. | ||
• | Federal Funds Rate, which is the interest rate that banks charge each other on overnight loans made between them, as determined by the Federal Reserve Bank. | ||
• | Prime Rate (“Prime Rate”) Index, which is an index based on the interest rate that banks charge to their most credit-worthy customers for short-term loans. The Prime Rate may differ among financial institutions. | ||
• | Monthly Treasury Average (“MTA”), which is a per annum rate equal to the 12-month average yields on United States Treasury securities adjusted to a constant maturity of one year, as published by the Federal Reserve Board. | ||
• | Cost of Funds Index (“COFI”), which is the monthly weighted average cost of funds for savings institutions that are member institutions of various federal banking districts, most commonly the 11th District members of the Federal Home Loan Bank of San Francisco. |
22
Table of Contents
• | the original principal balance of the mortgage loans; | ||
• | the total principal balance of the mortgage loans as of the applicable cut-off date (and if there is more than one servicer, the balance by servicer); | ||
• | the types and percentages of mortgaged properties securing the mortgage loans; | ||
• | the range of original terms to maturity of the mortgage loans; | ||
• | the range of remaining terms to maturity of the mortgage loans; | ||
• | the average life of the mortgage loans (based on different prepayment assumptions); | ||
• | the range of ages of the mortgage loans; | ||
• | mortgage loan purpose (e.g., whether a purchase or refinance); | ||
• | the range of original and remaining amortization period for the mortgage loans; | ||
• | the range of principal balances and average principal balance of the mortgage loans; | ||
• | the earliest origination date and latest maturity date of the mortgage loans; | ||
• | the loan-to-value and debt service coverage ratios, as applicable; |
23
Table of Contents
• | mortgage loans having loan-to-value ratios at origination exceeding 80%; | ||
• | the number of fixed rate mortgage loans and the number of adjustable rate mortgage loans; | ||
• | the interest rate or range of interest rates borne by the mortgage loans; | ||
• | the weighted average of interest rate borne by the mortgage loans; | ||
• | the geographical distribution of the mortgage loans; | ||
• | the total principal balance of buydown loans or GPM loans, if applicable; | ||
• | the total principal balance of mortgage loans that are subject to negative amortization, if applicable; | ||
• | the delinquency status of the mortgage loans as of the cut-off date; | ||
• | with respect to adjustable rate mortgage loans, the adjustment dates, the relevant indices, the highest, lowest and weighted average margin, the limitations on the adjustment of the interest rates on any adjustment date and over the life of the loans; and | ||
• | whether the mortgage loan provides for an interest-only period and whether the principal balance of that mortgage loan is fully amortizing or is amortized on the basis of a period of time that extends beyond the maturity date of the mortgage loan. |
24
Table of Contents
• | the finance charge for any billing cycle, in most cases, will be an amount equal to the aggregate of, as calculated for each day in the billing cycle, the then-applicable loan rate divided by 365 multiplied by that day’s principal balance; | ||
• | the account balance on any day in most cases will be the aggregate of the unpaid principal of the home equity revolving credit loan outstanding at the beginning of the day, plus all related draws funded on that day and outstanding at the beginning of that day, plus the sum of any unpaid finance charges and any unpaid fees, insurance premiums and other charges, collectively known as “additional charges,” that are due on the home equity revolving credit loan minus the aggregate of all payments and credits that are applied to the repayment of any draws on that day; and | ||
• | the principal balance on any day usually will be the related account balance minus the sum of any unpaid finance charges and additional charges that are due on the home equity revolving credit loan. |
25
Table of Contents
• | a materially adverse change in the borrower’s financial circumstances; | ||
• | a decline in the value of the mortgaged property below its appraised value at origination; or | ||
• | a payment default by the borrower. |
• | the borrower’s failure to make any payment as required; | ||
• | any action or inaction by the borrower that materially and adversely affects the mortgaged property or the rights in the mortgaged property; or | ||
• | any fraud or material misrepresentation by a borrower in connection with the loan. |
26
Table of Contents
• | the period during which additional mortgage loans may be purchased from amounts on deposit in the related pre-funding account will not exceed 90 days from the related closing date, unless otherwise specified; and | ||
• | the additional mortgage loans to be acquired by the related issuing entity will be subject to the same representations and warranties as the mortgage loans included in the related issuing entity on the closing date, although additional criteria may also be required to be satisfied, as described in the related prospectus supplement. |
27
Table of Contents
28
Table of Contents
29
Table of Contents
30
Table of Contents
31
Table of Contents
• | pass-through certificates or participation certificates evidencing an undivided interest in a pool of single family loans, home equity loans, multifamily loans, manufactured housing contracts or home improvement contracts, | ||
• | collateralized mortgage obligations secured by single family loans, home equity loans, multifamily loans, manufactured housing contracts or home improvement contracts, or |
32
Table of Contents
• | other private mortgage-backed securities. |
33
Table of Contents
• | the aggregate approximate principal amount and type of private mortgage-backed securities to be included in the issuing entity, | ||
• | the maximum original term-to-stated maturity of the private mortgage-backed securities, | ||
• | the weighted average term-to-stated maturity of the private mortgage-backed securities, | ||
• | the pass-through or certificate rate of the private mortgage-backed securities, | ||
• | the weighted average pass-through of interest rate of the private mortgage-backed securities, | ||
• | the issuer, the servicer (if other than the issuer) and the trustee, | ||
• | certain characteristics of any credit support such as reserve funds, insurance policies, surety bonds, letters of credit or guaranties relating to the loans underlying the private mortgage-backed securities themselves, | ||
• | the terms on which the loans underlying the private mortgage-backed securities may, or are required to, be purchased prior to their stated maturity or the stated maturity of the private mortgage-backed securities, and | ||
• | the terms on which mortgage loans may be substituted for those originally underlying the private mortgage-backed securities. |
• | the payment features of the mortgage loans, | ||
• | the approximate aggregate principal balance, if known, of underlying loans insured or guaranteed by a governmental entity, | ||
• | the servicing fee or range of servicing fees with respect to the loans, and | ||
• | the minimum and maximum stated maturities of the underlying loans at origination. |
(1) | Neither the issuer of the underlying securities nor any of its affiliates has a direct or indirect agreement, arrangement, relationship or understanding, written or otherwise, relating to the underlying securities and the asset-backed transaction; |
34
Table of Contents
(2) | Neither the issuer of the underlying securities nor any of its affiliates is an affiliate of the sponsor, depositor, issuing entity or underwriter of the asset-backed securities transaction; and | ||
(3) | The depositor would be free to publicly resell the underlying securities without registration under the Securities Act. |
• | to meet the borrower’s monthly obligations on the proposed mortgage loan (generally determined on the basis of the monthly payments due in the year of origination) and other expenses related to the property (such as property taxes and hazard insurance), and |
35
Table of Contents
• | to meet monthly housing expenses and other financial obligations and monthly living expenses. |
36
Table of Contents
• | The information set forth in the mortgage loan schedule is true and correct in all material respects and the information provided to the rating agencies, including the loan level detail, is true and correct according to the rating agency requirements; | ||
• | Immediately prior to the sale of the mortgage loan pursuant to the mortgage loan purchase and sale agreement, the seller was a sole owner and holder of the mortgage loan. The mortgage loan is not assigned or pledged, and the seller has good and marketable title thereto, and has full right to transfer and sell the mortgage loan to the depositor free and clear of any encumbrance, equity, lien, pledge, charge, claim or security interest not specifically set forth in the related mortgage loan schedule and has full right and authority subject to no interest or participation of, or agreement with, any other party, to sell and assign the mortgage loan pursuant to the terms of the mortgage loan purchase and sale agreement; | ||
• | The mortgage is a valid, existing and enforceable first lien on the mortgaged property, including all improvements on the mortgaged property, subject only to (i) the lien of current real property taxes and assessments not yet due and payable; (ii) covenants, conditions and restrictions, rights of way, easements and other matters of public record as of the date of recording that are acceptable to mortgage lending institutions generally and specifically referred to in lender’s title insurance policy delivered to the originator of the mortgage loan and that do not adversely affect the appraised value (as evidenced by an appraisal referred to in such definition) of the mortgaged property; and (iii) other matters to which like properties are commonly subject that do not materially interfere with the benefits of the security intended to be provided by the mortgage or the use, enjoyment, value or marketability of the related mortgaged property; | ||
• | As of the closing date, there is no default, breach, violation or event of acceleration existing under the mortgage or the mortgage note and no event which, with the passage of time or with notice and the expiration of any grace or cure period, would constitute a default, breach, violation or event permitting acceleration, and the seller and its affiliates have not waived any default, breach, violation or event permitting acceleration; | ||
• | No fraud, error, omission, misrepresentation, negligence or similar occurrence with respect to the mortgage loan has taken place on the part of the seller or any originator or servicer or the mortgagor or on the part of any other party involved in the origination of the mortgage loan; | ||
• | Each mortgage loan secured by a first priority mortgage is covered by an ALTA lender’s title insurance policy acceptable to an Agency, issued by a title insurer acceptable to an Agency and qualified to do business in the jurisdiction where the mortgaged property is located; | ||
• | All payments due on each mortgage loan have been made and no mortgage loan was delinquent months (i.e., was more than 30 days past due) more than once in the preceding 12 months and any such delinquency did not exceed one payment; | ||
• | There are no delinquent assessments or taxes outstanding against any mortgaged property; | ||
• | There is no offset, defense, counterclaim to any mortgage note, except as stated in the mortgage loan purchase and sale agreement; | ||
• | Each mortgaged property is free of material damage and in good repair; |
37
Table of Contents
• | Each mortgage loan at the time of origination complied in all material respects with applicable state and federal laws including truth in lending, real estate settlement procedures, consumer credit protection, equal credit opportunity and disclosure laws applicable to the mortgage loan; | ||
• | Each mortgage loan with a loan-to-loan value ratio at origination in excess of 80% is and will be subject to a primary mortgage insurance policy, which provides coverage in an amount at least equal to that which would be required by Fannie Mae. All provisions of such mortgage insurance policy have been and are being complied with, such policy is in full force and effect, and all premiums due thereunder have been paid; | ||
• | All hazard insurance or other insurance required under the mortgage loan sale agreement has been validly issued and remains in full force and effect; | ||
• | The mortgage note and the related mortgage are genuine and each is the legal, valid and binding obligation of the maker thereof, enforceable in accordance with its terms, except as the enforceability thereof may be limited by bankruptcy, insolvency, reorganization or similar laws; | ||
• | Each mortgage loan is a “qualified mortgage” within Section 860G(a)(3) of the Code; | ||
• | The seller has not used selection procedures that identified the mortgage loans as being less desirable or valuable other than comparable mortgage loans in the seller’s portfolio at the cut-off date; | ||
• | None of the mortgage loans are high-cost as defined by the applicable local, state and federal predatory and abusive lending laws; and | ||
• | Each mortgage loan at the time it was made complied in all material respects with applicable local, state and federal predatory and abusive lending laws. |
38
Table of Contents
• | will be issued in book-entry or fully registered form, in the authorized denominations specified in the prospectus supplement; |
39
Table of Contents
• | will, in the case of certificates, evidence specified beneficial ownership interests in the assets of the issuing entity; | ||
• | will, in the case of notes or bonds, be secured by the assets of the issuing entity; and | ||
• | will not be entitled to payments in respect of the assets included in any other issuing entity established by the depositor. |
• | mortgage loans secured by properties of the types described in this prospectus; | ||
• | agency and/or private mortgage-backed securities of the types described in this prospectus supplement; | ||
• | amounts held from time to time in the collection account, distribution account or other account established for a series of securities; | ||
• | mortgaged properties that secured a mortgage loan and that are acquired on behalf of the securityholders by foreclosure, deed in lieu of foreclosure or repossession; | ||
• | any reserve fund established pursuant to the agreements for a series of securities, if specified in the prospectus supplement. | ||
• | any security insurance policy, pool insurance policy, special hazard insurance policy, bankruptcy bond, interest rate cap agreement, interest rate swap agreement, currency swap agreement or other form of credit enhancement described in this prospectus and specified in the prospectus supplement; | ||
• | any servicing agreements relating to mortgage loans in the issuing entity, to the extent that these agreements are assigned to the trustee; | ||
• | any primary mortgage insurance policies or limited purpose surety bonds relating to mortgage loans in the issuing entity; | ||
• | investments held in any fund or account or any guaranteed investment contract and income from the reinvestment of these funds, if specified in the prospectus supplement; and | ||
• | any other asset, instrument or agreement relating to the issuing entity described in this prospectus and specified in the prospectus supplement. |
40
Table of Contents
41
Table of Contents
42
Table of Contents
43
Table of Contents
CATEGORIES OF CLASSES | DEFINITION | |
PRINCIPAL TYPES | ||
Accretion Directed | A class that receives principal payments that are funded from collections that would have otherwise funded interest payments on the accreted interest from specified accrual classes. An accretion directed class also may receive principal payments from principal paid on the issuing entity assets. | |
Component Securities | A class consisting of “components.” The components of a class of component securities may have different principal and/or interest payment characteristics but together constitute a single class. Each component of a class of component securities may be identified as falling into one or more of the categories in this chart. | |
Notional Amount Securities | A class having no principal balance and bearing interest on the related notional amount. The notional amount is used for purposes of the determination of interest distributions. | |
Planned Principal Class or PACs | A class that is designed to receive principal payments using a predetermined principal balance schedule derived by assuming two constant prepayment rates for the issuing entity assets. These two rates are the endpoints for the “structuring range” for the planned principal class. The planned principal classes in any series of securities may be subdivided into different categories (e.g., primary planned principal classes, secondary planned principal classes and so forth) having different effective structuring ranges and different principal payment priorities. The structuring range for the secondary planned principal class of a series of securities will be narrower than that for the primary planned principal class of such series. | |
Scheduled Principal Class | A class that is designated to receive principal payments using a predetermined principal balance schedule but is not designated as a planned principal class or targeted principal class. In many cases, the schedule is derived by assuming two constant prepayment rates for the issuing entity assets. Theses two rates are the endpoints for the “structuring range” for the scheduled principal class. |
44
Table of Contents
CATEGORIES OF CLASSES | DEFINITION | |
Sequential Pay | Classes that receive principal payments in a prescribed sequence, that do not have predetermined principal balance schedules and that receive payments of principal, when amounts are available to make payments of principal, continuously from the first payment date on which they receive principal until they are retired. A single class that receives principal payments before or after all other classes in the same series of securities may be identified as a sequential pay class. | |
Strip | A class that receives a constant proportion, or “strip,” of the principal payments on the issuing entity assets. The constant proportion of such principal payments may or may not vary for each asset included in the issuing entity and will be calculated in the manner described in the prospectus supplement. These classes may also receive payments of interest. | |
Support Class (or companion class) | A class that receives principal payments on any payment date only if scheduled payments have been made on specified planned principal classes, targeted principal classes and/or scheduled principal classes. | |
Targeted Principal Class | A class that is designated to receive principal payments using a predetermined principal balance schedule derived by assuming a single constant prepayment rate for the issuing entity assets. | |
INTEREST TYPES | ||
Accrual | A class that adds accrued interest otherwise distributable on the class to the principal balance of the class on each applicable payment date. The accretion may continue until some specified event has occurred or until the class is retired. | |
Fixed Rate | A class with a pass-through rate or interest rate that is fixed throughout the life of the class. |
45
Table of Contents
CATEGORIES OF CLASSES | DEFINITION | |
Floating Rate | A class with an interest rate that resets periodically based upon a designated index and that varies directly with changes in that index. | |
Inverse Floating Rate | A class with an interest rate that resets periodically based upon a designated index and that varies inversely with changes in such index. | |
Interest Only or IO | A class that receives some or all of the interest payments made on the issuing entity assets and little or no principal. Interest only certificates have either a nominal principal balance or a notional amount. A nominal principal balance represents actual principal that will be paid on the class. It is referred to as nominal since it is extremely small compared to other classes. A notional amount is an amount used as a reference to calculate the amount of interest due on an interest only security but is never actually paid out as principal on the class. | |
Partial Accrual | A class that adds a portion of the amount of accrued interest thereon to the principal balance of the class on each applicable payment date, with the remainder of the accrued interest to be distributed currently as interest on the class on each applicable payment date. The accretion of designated amounts of the interest may continue until a specified event has occurred or until the class is retired. | |
Principal Only or PO | A class that does not bear interest and is entitled to receive only distributions in respect of principal. | |
Variable Rate | A class with a pass-through rate of interest rate that resets periodically and is calculated by reference to the rate or rates of interest applicable to specified assets or instruments (e.g., the loan rates borne by the loans in the issuing entity). |
46
Table of Contents
• | any applicable record dates, accrual dates, determination dates for calculating distributions and actual distribution dates for the distribution period; |
47
Table of Contents
• | the amount of cashflows received and the sources thereof for distributions, fees and expenses; | ||
• | the amount of fees and expenses accrued and paid, the purpose of such fees and expenses and the identification of each payee, including the amount of fees paid to the trustee, the custodian, the master servicer, the securities administrator, the servicers and subservicers for such distribution date; | ||
• | the amount of payments accrued and paid with respect to credit enhancement or other support for the related transaction, including, insurance premiums and payments to swap or cap providers, the purpose of such payments and the identification of each payee; | ||
• | the amount of the distribution with respect to each class of securities; | ||
• | the amount of such distributions allocable to principal, separately identifying the aggregate amount of any prepayments or other unscheduled recoveries of principal included in such amount; | ||
• | the amount of such distributions allocable to interest; | ||
• | the class principal balance of each class of securities (other than interest-only securities) as of such distribution date together with the principal balance of the securities of the related class (based on a security in the original principal balance of $1,000), after giving effect to any payment of principal on such distribution date; | ||
• | the class notional balance of each class of interest-only securities as of such distribution date together with the principal balance of the securities of the related class (based on a security in the original principal balance of $1,000), after giving effect to any payment of principal on such distribution date; | ||
• | if applicable, a statement that interest payable on one or more classes of securities on such distribution date represents interest accrued on those classes at a rate equal to the applicable available funds cap, net weighted average cap or other limitation; | ||
• | the amount, terms and general purpose of any Advances for such distribution date, including the general use of funds advanced and the general source of funds for reimbursements, and the amount of any outstanding Advances remaining after such distribution date; | ||
• | the purchase price deposited into the collection account with respect to any mortgage loan; | ||
• | the total number of mortgage loans and the aggregate principal balances thereof, together with the number and aggregate principal balances of mortgage loans (a) 30-59 days delinquent, (b) 60-89 days delinquent and (c) 90 or more days delinquent; | ||
• | the number and aggregate principal balance of mortgage loans in foreclosure proceedings (and whether any such mortgage loans are also included in any of the statistics described in the preceding clause); | ||
• | the pool balance as of such distribution; | ||
• | any applied loss amount for any class of securities; | ||
• | the amount of any basis risk shortfall with respect to any class of securities; | ||
• | the amount of excess cash flow or excess spread and the disposition of such excess cash flow or excess spread; | ||
• | the overcollateralization amount for such distribution date; |
48
Table of Contents
• | the amount of any shortfalls in distributions of interest with respect to each class of securities on such distribution date and the cumulative amount of any unreimbursed shortfalls in distributions of interest from prior distribution dates; | ||
• | any amounts drawn on any credit enhancement or other support, as applicable, and the amount of coverage remaining under any such enhancement, if known and applicable; | ||
• | delinquency and loss information for the distribution period with respect to the mortgage loans in the pool; | ||
• | the number of properties and the unpaid principal balance with respect to each property relating to defaulted mortgage loans in the issuing entity; | ||
• | the beginning and ending balances of the distribution account, reserve account or other transaction account and any material account activity during the related period; | ||
• | any material modifications, extensions or waivers to pool asset terms, fees, penalties or payments during the distribution period or that have cumulatively become material over time; | ||
• | information with respect to material breaches of pool asset representations or warranties or transaction covenants; | ||
• | information on ratio, coverage or other tests used for determining any early amortization, liquidation or other performance trigger and whether the trigger was met; | ||
• | information regarding any changes to the mortgage loans in the pool, including any additions or removals in connection with a pre-funding or revolving period, repurchases or substitutions; | ||
• | the amounts on deposit in any pre-funding account; | ||
• | information regarding any material changes in the solicitation, credit granting, underwriting, origination, acquisition or pool selection criteria or procedures, as applicable, used to originate, acquire or select additional mortgage loans acquired during a pre-funding or revolving period or in connection with a substitution; and | ||
• | such other information as is required under the applicable Agreement. |
49
Table of Contents
• | call protection for any class of securities of a series; | ||
• | a guarantee of a certain prepayment rate of some or all of the mortgage loans underlying the series; or | ||
• | certain other guarantees described in the prospectus supplement. |
50
Table of Contents
51
Table of Contents
52
Table of Contents
• | the subordination of one or more classes of the securities of such series; | ||
• | a limited financial guaranty policy issued by an entity named in the prospectus supplement; | ||
• | the establishment of one or more reserve accounts; | ||
• | the use of a cross-collateralization feature; | ||
• | use of a mortgage pool insurance policy; | ||
• | excess spread, | ||
• | overcollateralization; | ||
• | letter of credit or demand note; | ||
• | guaranteed investment contract; |
53
Table of Contents
• | primary mortgage insurance, | ||
• | other pledged assets, | ||
• | corporate guarantees, | ||
• | surety bond; | ||
• | special hazard insurance policy; | ||
• | bankruptcy bond; | ||
• | derivatives; and | ||
• | any combination of the foregoing. |
54
Table of Contents
• | in the order of their scheduled final payment dates; | ||
• | in accordance with a schedule or formula; | ||
• | in relation to the occurrence of events; or | ||
• | otherwise, as specified in the prospectus supplement. |
• | maintaining timely payments or providing additional protection against losses on the assets included in such issuing entity; | ||
• | paying administrative expenses; or | ||
• | establishing a minimum reinvestment rate on the payments made in respect of those assets or principal payment rate on those assets. |
55
Table of Contents
• | the retention by the servicer of certain payments on the mortgage loans; | ||
• | the deposit with the trustee, in escrow, by the depositor of a pool of mortgage loans or other assets with the total principal balance, as of the related cut-off date, set forth in the related prospectus supplement; | ||
• | an initial deposit; | ||
• | any combination of the foregoing; or | ||
• | some other manner as specified in the related prospectus supplement. |
56
Table of Contents
• | any required primary mortgage insurance policy is in effect for the defaulted loan and a claim thereunder has been submitted and settled; | ||
• | hazard insurance on the related property has been kept in force and real estate taxes and other protection and preservation expenses have been paid; | ||
• | if there has been physical loss or damage to the property, it has been restored to its physical condition (reasonable wear and tear excepted) at the time of issuance of the policy; and | ||
• | the insured has acquired good and merchantable title to the property free and clear of liens except certain permitted encumbrances. |
• | to purchase the property securing the defaulted loan at a price equal to the principal balance thereof plus accrued and unpaid interest at the loan rate to the date of such purchase and certain expenses incurred by the servicer on behalf of the trustee and securityholders, net of certain amounts paid or assumed to have been paid under the related primary mortgage insurance policy; or | ||
• | to pay the amount by which the sum of the principal balance of the defaulted loan plus accrued and unpaid interest at the loan rate to the date of payment of the claim and the aforementioned expenses exceeds the proceeds received from an approved sale of the property, net of certain amounts paid or assumed to have been paid under the related primary mortgage insurance policy. |
57
Table of Contents
• | fraud or negligence in the origination or servicing of a loan, including misrepresentation by the borrower, the originator or persons involved in the origination of the loan; | ||
• | failure to construct a property in accordance with plans and specifications or | ||
• | losses arising from special hazards, such as earthquakes, floods, mudslides or vandalism. |
58
Table of Contents
59
Table of Contents
60
Table of Contents
61
Table of Contents
62
Table of Contents
63
Table of Contents
• | homeowner mobility; | ||
• | economic conditions; | ||
• | changes in borrowers’ housing needs; | ||
• | job transfers; | ||
• | unemployment; | ||
• | borrowers’ equity in the properties securing the mortgages; | ||
• | servicing decisions; | ||
• | enforceability of due-on-sale clauses; | ||
• | mortgage market interest rates; | ||
• | mortgage recording taxes; | ||
• | solicitations and the availability of mortgage funds; and | ||
• | the obtaining of secondary financing by the borrower. |
64
Table of Contents
65
Table of Contents
• | the mortgage note or credit line agreement endorsed without recourse in blank or to the order of the trustee; | ||
• | the mortgage, deed of trust or similar instrument with evidence of recording indicated thereon, except that in the case of any mortgage not returned form the public recording office, the depositor will deliver or cause to be delivered a copy of such mortgage together with a certificate that the original of the mortgage was delivered to such recording office; | ||
• | an assignment of the mortgage to the trustee, which assignment will be in recordable form in the case of a mortgage assignment; and | ||
• | all other security documents, including those relating to any senior interests in the property, that are specified in the prospectus supplement or the related Agreement. |
66
Table of Contents
• | maintained with a depository institution the short-term debt obligations of which (or, in the case of a depository institution that is the principal subsidiary of a holding company, the short-term debt obligations of such holding company) are rated in one of the two highest short-term rating categories by the rating agency that rated one or more classes of the related series of securities; | ||
• | an account or accounts the deposits in which are fully insured by the FDIC; | ||
• | an account or accounts the deposits in which are insured by the FDIC to the limits established by the FDIC and the uninsured deposits in which are otherwise secured such that, as evidenced by an opinion of counsel, securityholders have a claim with respect to the funds in such account or accounts, or a perfected first-priority security interest against any collateral securing those funds, that is superior to the claims of |
67
Table of Contents
any other depositors or general creditors of the depository institution with which such account or accounts are maintained; or | |||
• | an account or accounts otherwise acceptable to the rating agency. |
• | all payments on account of principal and interest (which may be net of the applicable servicing compensation), including principal prepayments and, if specified in the prospectus supplement, any applicable prepayment penalties, on the loans; | ||
• | all net insurance proceeds, less any incurred and unreimbursed advances made by the servicer, of the hazard insurance policies and any primary mortgage insurance policies, to the extent such proceeds are not applied to the restoration of the property or released to the mortgagor in accordance with the servicer’s normal servicing procedures; | ||
• | all proceeds received in connection with the liquidation of defaulted loans, less any expenses of liquidation and any unreimbursed advances made by the servicer with respect to the liquidated loans; | ||
• | any net proceeds received on a monthly basis with respect to any properties acquired on behalf of the securityholders by foreclosure or deed in lieu of foreclosure; | ||
• | all advances as described in this prospectus under “Description of the Securities — Advances”; | ||
• | all proceeds of any loan or property in respect thereof repurchased by any seller as described under “Loan Program — Representations by Sellers; Repurchases” or “— Assignment of Issuing Entity Assets” above and all proceeds of any loan repurchased in connection with termination of the issuing entity; | ||
• | all payments required to be deposited in the collection account with respect to any deductible clause in any blanket insurance policy described under “— Hazard Insurance” below; | ||
• | any amount required to be deposited by the servicer in connection with losses realized on investments for the benefit of the servicer of funds held in the collection account and, to the extent specified in the prospectus supplement, any payments required to be made by the servicer in connection with prepayment interest shortfalls; and | ||
• | all other amounts required to be deposited in the collection account pursuant to the related agreement. |
68
Table of Contents
• | to transfer funds to an account created by the trustee for distribution of payments due on the securities and other purposes set forth in the prospectus supplement (the “distribution account”); | ||
• | to pay to the servicer the purchase price of any additional balances transferred to the trustee resulting from draws under revolving lines of credit as set forth in the prospectus supplement; | ||
• | to pay to the servicer the servicing fees described in the prospectus supplement and, as additional servicing compensation, earnings on or investment income with respect to funds in the collection account credited thereto; | ||
• | to reimburse the servicer for advances made with respect to a loan, but only from amounts received that represent late payments of principal on, late payments of interest on, insurance proceeds received with respect to or liquidation proceeds received with respect to the same loan; | ||
• | to reimburse the servicer for any advances previously made which the servicer has determined to be nonrecoverable; | ||
• | to reimburse the servicer from insurance proceeds for expenses incurred by the servicer and covered by insurance policies; | ||
• | to reimburse the servicer for unpaid servicing fees and unreimbursed out-of-pocket costs and expenses incurred by the servicer in the performance of its servicing obligations, such right of reimbursement being limited to amounts received representing late recoveries of the payments for which the original advances were made; | ||
• | to pay to the servicer, with respect to each loan or property acquired in respect thereof that has been purchased by the servicer pursuant to the Agreement, all amounts received thereon and not taken into account in determining the principal balance of that repurchased loan, | ||
• | to reimburse the servicer or the depositor for expenses incurred and reimbursable pursuant to the Agreement; | ||
• | pay or reimburse the trustee or any other party as provided in the prospectus supplement; | ||
• | to withdraw any amount deposited in the collection account that was not required to be deposited therein; and | ||
• | to clear and terminate the collection account upon termination of the Agreement. |
69
Table of Contents
• | direct obligations of, and obligations fully guaranteed as to timely payment of principal and interest by, the United States of America, Freddie Mac, Fannie Mae or any agency or instrumentality of the United States of America, the obligations of which are backed by the full faith and credit of the United States of America; | ||
• | demand and time deposits, certificates of deposit or banker’s acceptances; | ||
• | repurchase obligations pursuant to a written agreement with respect to any security described in the first clause above; | ||
• | securities bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States of America or any state; | ||
• | commercial paper (including both non-interest-bearing discount obligations and interest-bearing obligations payable on demand or on a specified date not more than one year after the date of issuance thereof); | ||
• | a guaranteed investment contract issued by an entity having a credit rating acceptable to each rating agency; and | ||
• | any other demand, money market or time deposit or obligation, security or investment as would not adversely affect the then current rating by the rating agencies. |
• | waive any prepayment charge, assumption fee, late payment or other charge in connection with a loan; and |
70
Table of Contents
• | to the extent not inconsistent with the rules applicable to REMIC, and with the coverage of an individual loan by a pool insurance policy, primary mortgage insurance policy, bankruptcy bond or alternative arrangements, if applicable, suspend or reduce regular monthly payment on the loan for a period of up to six months, or arrange with the related borrower a schedule for the liquidation of delinquencies. |
71
Table of Contents
• | the maximum insurable value of the improvements securing the loan from time to time; and |
72
Table of Contents
• | war; | ||
• | revolution; | ||
• | governmental actions; | ||
• | floods and other water-related causes; | ||
• | earth movement, including earthquakes, landslides and mud flows; | ||
• | nuclear reactions; | ||
• | wet or dry rot; | ||
• | vermin, rodents, insects or domestic animals; or | ||
• | theft and, in certain cases, vandalism. |
73
Table of Contents
• | all rents or other payments collected or received by the insured (other than the proceeds of hazard insurance) that are derived from or in any way related to the property; | ||
• | hazard insurance proceeds in excess of the amount required to restore the property and which have not been applied to the payment of the loan; | ||
• | amounts expended but not approved by the insurer of the related primary mortgage insurance policy; | ||
• | claim payments previously made by the insurer; and | ||
• | unpaid premiums. |
• | fraud or negligence in origination or servicing of the loans, including misrepresentation by the originator, mortgagor (or obligor) or other persons involved in the origination of the loan; | ||
• | failure to construct the property subject to the loan in accordance with specified plans; | ||
• | physical damage to the property; and | ||
• | the related subservicer not being approved as a servicer by the insurer. |
• | first, to reimburse the servicer for any unreimbursed expenses incurred by it to restore the related property and any unreimbursed servicing compensation payable to the servicer with respect to the loan; |
74
Table of Contents
• | second, to reimburse the servicer for any unreimbursed advances with respect to the loan; | ||
• | third, to accrued and unpaid interest (to the extent no advance has been made for that amount) on the loan; and | ||
• | fourth, as a recovery of principal of the loan. |
75
Table of Contents
• | any failure by the servicer to make an Advance which continues unremedied for one business day; |
76
Table of Contents
• | any failure by the servicer to make or cause to be made any other required payment pursuant to the Agreement which continues unremedied for one business day after written notice of such failure to the servicer in the manner specified in the Agreement; | ||
• | any failure by the servicer duly to observe or perform in any material respect any of its other covenants or agreements in the Agreement which continues unremedied for sixty days after written notice of the failure to the servicer in the manner specified in the Agreement; and | ||
• | certain events of insolvency, readjustment of debt, marshalling of assets and liabilities or similar proceedings and certain actions by or on behalf of the servicer indicating its insolvency, reorganization or inability to pay its obligations. |
77
Table of Contents
78
Table of Contents
79
Table of Contents
80
Table of Contents
81
Table of Contents
• | change the amount of, or delay the timing of, payments on any note or bond; | ||
• | alter the obligation of the master servicer or indenture trustee to make Advances or alter the servicing standards set forth in the sale and servicing agreement or the applicable Agreement; | ||
• | reduce the proportion of notes or bonds required to consent to a supplemental indenture; or | ||
• | permit the creation of any lien on any collateral prior to or on parity with the lien of the indenture. |
• | a default in the payment of any principal of or interest on any note or bond as specified in the prospectus supplement; | ||
• | failure to perform in any material respect any other covenant of the depositor or the issuing entity in the indenture which continues for a period of thirty (30) days after notice thereof is given in accordance with the procedures described in the prospectus supplement; | ||
• | certain events of bankruptcy, insolvency, receivership or liquidation of the depositor or the issuing entity; or | ||
• | any other event of default provided with respect to notes or bonds of that series including, but not limited to, certain defaults on the part of the issuing entity under any credit enhancement instrument supporting such notes or bonds. |
82
Table of Contents
• | the holders of 100% of the outstanding notes or bonds of such series consent to the sale; | ||
• | the proceeds of the sale or liquidation are sufficient to pay in full the principal of and accrued interest, due and unpaid, on the outstanding notes or bonds of the series at the date of the sale; or | ||
• | the trustee determines that the collateral would not be sufficient on an ongoing basis to make all payments on the notes or bonds as those payments would have become due if the notes or bonds had not been declared due and payable, and the trustee obtains the consent of the holders of 66 2/3% of the aggregate voting rights of the notes or bonds of that series. |
• | so long as any notes or bonds are outstanding, dissolve or liquidate in whole or in part or merge or consolidate with any other entity; | ||
• | except as expressly permitted by the indenture or other applicable Agreement, sell, transfer or otherwise dispose of the assets of the issuing entity, unless directed to do so by the trustee; | ||
• | permit the validity or effectiveness of the related indenture to be impaired, or permit the indenture to be amended, or permit any person to be released from any covenants or obligations under the indenture, except as expressly provided by the indenture; | ||
• | permit any lien or other encumbrance to be created on or otherwise burden the collateral (other than by operation of law as provided in the indenture); or |
83
Table of Contents
• | take any other action that may cause the issuing entity to be taxable as an association, a publicly traded partnership or a taxable mortgage pool pursuant to the Code. |
84
Table of Contents
• | issuing notes or bonds pursuant to an indenture and to conducting an offering of the notes or bonds; | ||
• | issuing certificates pursuant to a trust agreement and conducting an offering or a private placement of the certificates; | ||
• | acquiring mortgage loans and other property from the depositor and, pursuant to an indenture, pledging the mortgage loans to the indenture trustee as security for the issuing entity’s obligations under the notes or bonds; |
85
Table of Contents
• | entering into and performing its obligations under the sale and servicing agreement or other applicable agreement, the trust agreement, the indenture, the servicing agreements, the custodial agreement, the administration agreement and any other applicable agreements; | ||
• | entering into any applicable interest rate cap or swap agreements; | ||
• | such other purposes as are described in the applicable prospectus supplement; | ||
• | engaging in those activities that are necessary, suitable or convenient to accomplish the foregoing or are incidental thereto or connected therewith; and | ||
• | engaging in such other activities as may be appropriate in connection with conservation of the trust estate and the making of payments to securityholders. |
86
Table of Contents
• | the original mortgage note endorsed to the order of the trustee or in blank, or a lost note affidavit in lieu thereof, with all prior and intervening endorsements; | ||
• | the original recorded mortgage, or if the original mortgage has been submitted for recordation but has not been returned by the applicable public recording office, a certified copy thereof; | ||
• | for any mortgage loan not recorded with MERS® System, the original assignment of the mortgage to the trustee or in blank, in recordable form (except as described in the related prospectus supplement); | ||
• | each original recorded intervening assignment of the mortgage as may be necessary to show a complete chain of title to the trustee, or if any assignment has been submitted for recordation but has not been returned from the applicable public recording office or is otherwise not available, a certified copy thereof; | ||
• | the original of the policy or certificate of primary mortgage guaranty insurance, to the extent available, or a copy of such policy certified as true and correct by the insurer; | ||
• | the original title insurance policy, note of title insurance or written commitment, or a copy of such policy certified as true and correct by the insurer; and | ||
• | the original or certified copies of each assumption agreement, modification agreement, written assurance or substitution agreement, if any. |
87
Table of Contents
88
Table of Contents
89
Table of Contents
90
Table of Contents
91
Table of Contents
92
Table of Contents
93
Table of Contents
94
Table of Contents
95
Table of Contents
96
Table of Contents
• | state-chartered banks may originate alternative mortgage instruments, including ARM Loans, in accordance with regulations promulgated by the Comptroller of the Currency with respect to origination of alternative mortgage instruments by national banks, state-chartered credit unions may originate alternative mortgage instruments in accordance with regulations | ||
• | promulgated by the National Credit Union Administration with respect to origination of alternative mortgage instruments by federal credit unions, and | ||
• | all other nonfederally chartered housing creditors, including, without limitation, state-chartered savings and loan associations, savings banks and mutual savings banks and mortgage banking companies, may originate alternative mortgage instruments in accordance with the regulations promulgated by the Federal Home Loan Bank Board, predecessor to the Office of Thrift Supervision, with respect to origination of alternative mortgage instruments by federal savings and loan associations. |
97
Table of Contents
98
Table of Contents
99
Table of Contents
• | REMIC securities (“REMIC Securities”) | ||
• | securities issued by issuing entities for which a REMIC election is not made and which are treated as indebtedness of the issuer for federal income tax purposes (“Non-REMIC Debt Securities”) |
100
Table of Contents
101
Table of Contents
(1) | adding (A) the present value at the end of the accrual period of all remaining payments to be received on the Debt Securities, computed taking into account (i) the yield to maturity of the Debt Security at the issue date, (ii) events (including actual prepayments) that have occurred prior to the end of the accrual period, and (iii) the Tax Prepayment Assumption, and (B) any payments received during such accrual period, other than payments of qualified stated interest, and | ||
(2) | subtracting from that total the “adjusted issue price” of the Debt Securities at the beginning of such accrual period. The adjusted issue price of a Debt Security at the beginning of the initial accrual period is its issue price; the adjusted issue price of a Debt Security at the beginning of a subsequent accrual period is the adjusted issue price at the beginning of the immediately preceding accrual period plus the amount of OID allocable to such accrual period and reduced by the amount of any payment other than a payment of qualified stated interest made at the end of or during such accrual period. The OID accrued during such accrual period will then be divided by the number of days in the period to determine the daily portion of OID for each day in the period. With respect to an initial accrual period shorter than a full accrual period, the daily portions of OID must be determined according to any reasonable method, provided that such method is consistent with the method used to determine yield on the Debt Securities. |
102
Table of Contents
103
Table of Contents
104
Table of Contents
105
Table of Contents
106
Table of Contents
107
Table of Contents
108
Table of Contents
109
Table of Contents
110
Table of Contents
111
Table of Contents
112
Table of Contents
113
Table of Contents
114
Table of Contents
115
Table of Contents
• | Prohibited Transaction Class Exemption (“PTCE”) 84-14, which exempts certain transactions effected on behalf of a Plan by a “qualified professional asset manager”; |
116
Table of Contents
• | PTCE 90-1, which exempts certain transactions involving insurance company pooled separate accounts; | ||
• | PTCE 91-38, which exempts certain transactions involving bank collective investment funds; | ||
• | PTCE 95-60, which exempts certain transactions involving insurance company general accounts; or | ||
• | PTCE 96-23, which exempts certain transactions effected on behalf of a Plan by certain “in-house asset managers.” |
• | the maintenance of a system of insurance or other protection for the pooled mortgage loans and property securing such loans, and for indemnifying certificateholders against reductions in pass-through payments due to property damage or defaults in loan payments in an amount not less than the greater of one percent |
117
Table of Contents
of the aggregate principal balance of all covered pooled mortgage loans or the principal balance of the largest covered pooled mortgage loan; | |||
• | the existence of a pool trustee who is not an affiliate of the pool depositor; and | ||
• | a limitation on the amount of the payment retained by the pool depositor, together with other funds inuring to its benefit, to not more than adequate consideration for selling the mortgage loans plus reasonable compensation for services provided by the pool depositor to the pool. |
• | property securing a permitted obligation; | ||
• | undistributed cash, cash credited to a “pre-funding account” or a “capitalized interest account”, and certain temporary investments made therewith; and | ||
• | certain types of credit support arrangements, including yield supplement agreements and interest-rate swaps that meet certain requirements set forth in exemptions. |
118
Table of Contents
• | the plan must acquire the securities on terms, including the security price, that are at least as favorable to the plan as they would be in an arm’s-length transaction with an unrelated party; | ||
• | the securities must not be subordinated to any other class of securities issued by the same issuer, unless the securities are issued in a “designated transaction”; | ||
• | at the time of acquisition, the securities acquired by the plan must have received a rating in one of the three (or, in the case of designated transactions, four) highest generic rating categories from Standard and Poor’s Rating Services, Moody’s Investors Service, Inc. or Fitch Ratings, each referred to herein as a “rating agency”; | ||
• | the trustee must not be an affiliate of any other member of the “restricted group”; | ||
• | the sum of all payments made to and retained by the underwriter must not total more than reasonable compensation for underwriting the securities, the sum of all payments made to and retained by the issuer’s depositor for assigning the obligations to the issuer must not total more than the fair market value of the obligations, and the sum of all payments made to and retained by any servicer must not total more than reasonable compensation and expense reimbursement for its services; | ||
• | the plan must be an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the commission under the Securities Act of 1933; and | ||
• | in the event that all of the obligations used to fund the issuer have not been transferred to the issuer on the closing date, additional obligations having an aggregate value equal to no more than 25% of the total principal amount of the securities being offered may be transferred to the issuer under a pre-funding feature within ninety days or three months following the closing date. |
• | the assets of the issuer must consist solely of assets of the type that have been included in other investment pools; | ||
• | securities evidencing interests in other investment pools must have been rated in one of the three (or in the case of designated transactions, four) highest rating categories by a rating agency for at least one year prior to the plan’s acquisition of securities; and | ||
• | investors other than plans must have purchased securities evidencing interests in the other investment pools for at least one year prior to the plan’s acquisition of securities. |
• | the securities acquired by a plan in the designated transaction are not subordinated to any other class of securities issued by the same issuer; | ||
• | at the time of acquisition, the securities acquired by the plan must have received a rating in one of the two highest generic rating categories from a rating agency; and |
119
Table of Contents
• | the obligations must be secured by collateral whose fair market value on the closing date of the designated transaction is at least equal to 80% of the sum of (i) the outstanding principal balance due under the obligation and (ii) the outstanding principal balance of any other obligations of higher priority (whether or not held by the issuer) which are secured by the same collateral. |
• | in the case of an acquisition in connection with the initial issuance of the securities, at least fifty percent of each class of securities in which plans have invested is acquired by persons independent of the restricted group and at least fifty percent of the aggregate interest in the issuer is acquired by persons independent of the restricted group; | ||
• | the fiduciary, or its affiliate, is an obligor with respect to five percent or less of the fair market value of the obligations or receivables contained in the issuer; | ||
• | the plan’s investment in each class of securities does not exceed twenty-five percent of all of the securities of that class outstanding at the time of acquisition; and | ||
• | immediately after the plan acquires the securities, no more than twenty-five percent of the plan’s assets for which the person is a fiduciary are invested in certificates representing an interest in one or more trusts containing assets sold or serviced by the same entity. |
120
Table of Contents
• | conduct a pre-purchase portfolio sensitivity analysis for any “significant transaction” involving securities or financial derivatives; and | ||
• | conduct a pre-purchase price sensitivity analysis of any “complex security” or financial derivative. |
121
Table of Contents
122
Table of Contents
123
Table of Contents
• | payment delinquencies of the mortgage loans; | ||
• | cumulative losses with respect to the mortgage loans; and | ||
• | prepayments of the mortgage loans, |
124
Table of Contents
• | structural and legal aspects associated with the securities; | ||
• | the extent to which the payment stream on the underlying assets is adequate to make payments required by the securities; and |
125
Table of Contents
• | the credit quality of the credit enhancer or guarantor, if any. | ||
• | Ratings on the securities do not, however, constitute a statement regarding: | ||
• | the likelihood of principal prepayments by borrowers; | ||
• | the degree by which the rate of prepayments made by borrowers might differ from that originally anticipated; or | ||
• | whether the yields originally anticipated by investors of any series of securities may be adversely affected as a result of those prepayments. |
126
Table of Contents
Accretion Directed | 44 | |||
Accrual | 45 | |||
Accrual Securities | 42 | |||
Additional Charges | 25 | |||
Additional Collateral Loans | 93 | |||
Adjustable Rate Mortgage Loans (ARMs) | 2 | |||
Advances | 72 | |||
Agreement | 39 | |||
Available Funds | 41 | |||
Backup Withholding | 115 | |||
Balloon Payment | 20 | |||
Beneficial Owners | 50 | |||
Bondholders | 19 | |||
Bonds | 18 | |||
Book-Entry Securities | 50 | |||
Buydown | 29 | |||
CERCLA | 91 | |||
Certificateholders | 19 | |||
Certificates | 18 | |||
Class Security Balance | 42 | |||
Clearstream | 50 | |||
CMT | 22 | |||
Code | 41 | |||
COFI | 22 | |||
Collateral Value | 24 | |||
Collection Account | 67 | |||
Combined Loan-to-Value Ratio | 24 | |||
Component Securities | 44 | |||
Cut-Off Date | 18 | |||
Daily Portions | 102 | |||
Debt Security | 100 | |||
Debt Service Reduction | 94 | |||
Deficient Valuation | 94 | |||
Delinquency Advance | 71 | |||
Depositor | 18 | |||
Distribution Account | 69 | |||
DOL | 116 | |||
Draw Period | 25 | |||
Draws | 25 | |||
DTC | 15 | |||
Due On Sale | 20 | |||
Effective Loan-to-Value Ratio | 24 | |||
Eligible Investments | 70 | |||
EPA | 91 | |||
ERISA | 41 | |||
Euroclear | 50 | |||
Exchange Act | 117 | |||
Excluded Balance | 47 | |||
Federal Funds Rate | 22 | |||
Fixed Rate | 45 | |||
Floating Rate | 46 | |||
Foreign Person | 114 | |||
Garn-St. Germain Act | 95 | |||
Government Securities | 111 |
I-1
Table of Contents
GPM Fund | 21 | |||
GPM Loans | 21 | |||
Home Equity Revolving Credit Loans | 25 | |||
Hybrid | 2 | |||
Indemnified Party | 76 | |||
Indenture | 81 | |||
Indenture Trustee | 84 | |||
Indirect Participants | 51 | |||
Interest-Only | 2 | |||
Interest Only (IO) | 46 | |||
Inverse Floating Rate | 46 | |||
IRS | 100 | |||
LIBOR | 22 | |||
LIBORSWAP | 22 | |||
Loan-to-Value Ratio | 24 | |||
Lockout Periods | 20 | |||
Lower Tier REMICs | 105 | |||
Master Servicer Event of Default | 77 | |||
MERS | 67 | |||
MTA | 22 | |||
NCUA | 121 | |||
Negative Amortization | 2 | |||
1986 Act | 100 | |||
Non-REMIC Debt Securities | 100 | |||
Noteholders | 19 | |||
Notes | 18 | |||
Notional Amount Securities | 44 | |||
OID | 101 | |||
OID Regulations | 100 | |||
Option ARMs | 2 | |||
Outside Reserve Fund | 106 | |||
Overcollateralization | 9 | |||
Owner Trustee | 86 | |||
Parity Act | 96 | |||
Partial Accrual | 46 | |||
Parties in Interest | 116 | |||
Plans | 116 | |||
Plan Asset Regulation | 117 | |||
Planned Principal Class (PACs) | 44 | |||
Pool | 18 | |||
Portfolio Income | 107 | |||
Prime Rate | 22 | |||
Principal Only (PO) | 46 | |||
PTCEs | 116 | |||
Qualified Mortgage | 38 | |||
Qualified Mortgages | 113 | |||
Rating Agency | 47 | |||
RCRA | 91 | |||
Refinance Loan | 24 | |||
Regular Interest Securities | 105 | |||
Reigle Act | 98 | |||
Relief Act | 97 | |||
REMIC | 105 | |||
REMIC Regulations | 100 | |||
REMIC Securities | 100 | |||
Residual Interest Securities | 105 | |||
Revolving Account | 27 |
I-2
Table of Contents
Revolving Mortgage Loans | 27 | |||
Revolving Period Arrangement | 27 | |||
RICO | 99 | |||
RWT Holdings | 17 | |||
SBJPA of 1996 | 108 | |||
SEC Rule 190 | 34 | |||
Scheduled Principal Class | 44 | |||
Secured Creditor Exclusion | 91 | |||
Securities | 18 | |||
Securityholders | 18 | |||
Senior Securities | 46 | |||
Sequential Pay | 45 | |||
Servicing Advances | 72 | |||
SMMEA | 121 | |||
Sponsor | 17 | |||
Standard | 21 | |||
Step-Down | 22 | |||
Strip | 45 | |||
Subordinate Securities | 46 | |||
Support Class | 45 | |||
Targeted Principal Class | 45 | |||
Tax Prepayment Assumption | 102 | |||
T-Bill | 22 | |||
TILA | 98 | |||
Terms and Conditions | 52 | |||
Thrift Institutions | 108 | |||
Title V | 96 | |||
Trust Agreement | 85 | |||
Trustee | 39 | |||
Trust Indenture Act | 82 | |||
Upper Tier REMICs | 105 | |||
U.S. Person | 114 | |||
Variable Rate | 46 | |||
Withholding Agent | 114 | |||
Wraparound | 94 |
I-3
Table of Contents
The information in this prospectus supplement is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
(To Prospectus dated [___], 200[_])
• | [ ] class(es) of Senior Class [ ] Bonds; and | |
• | [ ] class(es) of Subordinated Class [ ] Bonds. |
• | Will be collateralized by primarily year [fixed adjustable] rate, mortgage loans secured by first liens on one- to four-family residential properties; | |
• | The classes of bonds offered by this prospectus supplement are listed, together with their initial class principal amounts and interest rates, under “Summary of Terms—The Offered Bonds” on page S-[___] of this prospectus supplement. This prospectus supplement and the accompanying prospectus relate only to the offering of bonds listed in the table on page S-[___] and not to the ownership certificate that will be issued by the issuing entity as described in this prospectus supplement; | |
• | Pay all holders of bonds the amounts of principal and interest due thereon on the [___] day of each month, or if such day is not a business day, the next succeeding business day, commencing on [___], 200[___]; and | |
• | Will have various forms of credit enhancement of the types described in this prospectus supplement, including [excess interest,] [overcollateralization,] [subordination,] [a bond insurance policy,] [and] [interest rate swap agreements]. [Forms of credit enhancement to be described as applicable.] |
Table of Contents
and the Accompanying Prospectus
S-i
Table of Contents
(a) | to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; | ||
(b) | to any legal entity which has two or more of (1) an average of at least 250 employees, during the last financial year; (2) a total balance sheet of more than€43,000,000 and (3) an annual net turnover of more than€50,000,000, as shown in its last annual or consolidated accounts; or | ||
(c) | in any other circumstances which do not require the publication by the issuing entity of a prospectus pursuant to Article 3 of the Prospectus Directive. |
S-ii
Table of Contents
Page | ||||
S-1 | ||||
S-2 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-13 | ||||
S-13 | ||||
S-15 | ||||
S-16 | ||||
S-16 | ||||
S-17 | ||||
S-17 | ||||
S-17 | ||||
S-18 | ||||
S-18 | ||||
S-19 | ||||
S-19 | ||||
S-19 | ||||
S-20 | ||||
S-20 | ||||
S-20 | ||||
S-20 | ||||
S-21 | ||||
S-22 | ||||
S-23 | ||||
S-24 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-26 | ||||
S-27 | ||||
S-27 | ||||
S-28 | ||||
S-29 | ||||
S-29 | ||||
S-30 | ||||
S-32 | ||||
S-33 | ||||
S-33 | ||||
S-34 | ||||
S-34 | ||||
S-35 | ||||
S-35 | ||||
S-35 | ||||
S-35 | ||||
S-37 |
S-iii
Table of Contents
Page | ||||
S-37 | ||||
S-37 | ||||
S-37 | ||||
S-37 | ||||
S-37 | ||||
S-38 | ||||
S-38 | ||||
S-39 | ||||
S-39 | ||||
S-40 | ||||
S-40 | ||||
S-41 | ||||
S-41 | ||||
S-42 | ||||
S-42 | ||||
S-42 | ||||
S-42 | ||||
S-42 | ||||
S-45 | ||||
S-45 | ||||
S-47 | ||||
S-49 | ||||
S-49 | ||||
S-49 | ||||
S-50 | ||||
S-51 | ||||
S-55 | ||||
S-55 | ||||
S-55 | ||||
S-55 | ||||
S-56 | ||||
S-56 | ||||
S-58 | ||||
S-58 | ||||
S-59 | ||||
S-62 | ||||
S-62 | ||||
S-62 | ||||
S-62 | ||||
S-63 | ||||
S-63 | ||||
S-63 | ||||
S-64 | ||||
S-64 | ||||
S-65 | ||||
I-1 | ||||
G-1 | ||||
A-1 | ||||
B-1 |
S-iv
Table of Contents
Initial Bond Ratings | ||||||||||||||||||||||||||||
Initial Class | ||||||||||||||||||||||||||||
Principal | Initial Interest | Interest Rate | ||||||||||||||||||||||||||
Class | Amount(1) | Rate(2) | Formula | Principal Type | Interest Type | Moody’s | S&P | |||||||||||||||||||||
Final | Minimum | |||||||||||||||||||||||||||||||
Scheduled | Denomination or | |||||||||||||||||||||||||||||||
Delay/Accrual | Interest Accrual | Payment | Expected Final | Percentage | Incremental | CUSIP | ||||||||||||||||||||||||||
Class | Record Date(1) | Period(2) | Convention | Date(3) | Payment Date(4) | Interest(5) | Denomination | Number | ||||||||||||||||||||||||
S-1
Table of Contents
• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the bonds, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While the summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the mortgage loans in the trust fund, that percentage has been calculated on the basis of the total stated principal balance of those mortgage loans as of [___, ___] unless we specify otherwise. We explain in this prospectus supplement under “Glossary of Defined Terms” how the stated principal balance of a mortgage loan is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any mortgage loans, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
S-2
Table of Contents
S-3
Table of Contents
S-4
Table of Contents
S-5
Table of Contents
S-6
Table of Contents
S-7
Table of Contents
Weighted | Total | |||||||||||
Range or Total | Average | Percentage | ||||||||||
Number of Mortgage Loans | ||||||||||||
Total Principal Balance | ||||||||||||
Principal Balances | ||||||||||||
Mortgage Rates | ||||||||||||
Original Terms to Maturity (in months) | ||||||||||||
Remaining Terms to Maturity (in months) | ||||||||||||
Original Loan-to Value Ratios | ||||||||||||
Number of One-Year LIBOR Mortgage Loans | ||||||||||||
Number of One-Year CMT Mortgage Loans | ||||||||||||
Number of Interest Only Mortgage Loans | ||||||||||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled | ||||||||||||
Principal Balance: | ||||||||||||
• California | ||||||||||||
Maximum Single Zip Code Concentration | ||||||||||||
Credit Scores | ||||||||||||
Number of Mortgage Loans with Prepayment Penalties at Origination | ||||||||||||
Gross Margins | ||||||||||||
Maximum Mortgage Rates | ||||||||||||
Minimum Mortgage Rates | ||||||||||||
Months to Next Mortgage Rate Adjustment | ||||||||||||
Initial Caps | ||||||||||||
Periodic Caps |
* | The weighted average is based only on the mortgage loans having credit scores. |
S-8
Table of Contents
S-9
Table of Contents
S-10
Table of Contents
S-11
Table of Contents
S-12
Table of Contents
S-13
Table of Contents
• | if you buy a Class [___] Bond and losses on the related mortgage loans exceed the total principal amount of the class of bonds subordinate to your bonds (if any), plus, if applicable to the trust and as specified in this prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your bonds will be reduced proportionately with the principal amounts of the other bonds of your class by the amount of that excess; and | ||
• | after the total principal amount of the subordinate bonds has been reduced to zero, losses on the mortgage loans may reduce the principal amounts (or notional amounts) of the senior bonds. |
S-14
Table of Contents
S-15
Table of Contents
• | If you purchase bonds at a discount, especially any principal-only bonds, and principal prepayments on the related mortgage loans are received at a rate slower than you anticipate, then your yield may be lower than you anticipate. | ||
• | If you purchase bonds at a premium, especially any interest-only bonds, and principal prepayments on the related mortgage loans are received at a rate faster than you anticipate, then your yield may be lower than you anticipate. |
• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; | ||
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | ||
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
S-16
Table of Contents
S-17
Table of Contents
S-18
Table of Contents
S-19
Table of Contents
S-20
Table of Contents
Number of Subsequent Mortgage Loans |
Total Scheduled Principal Balance |
Mortgage Rates: |
Weighted Average |
Range |
Weighted Average Remaining Term to Maturity (in months) |
Original Loan-to-Value Ratios: |
Weighted Average |
Range |
Scheduled Principal Balances: |
Average |
Range |
• | [The subsequent mortgage loans conveyed on the subsequent transfer date must satisfy the same representations and warranties applicable to the initial mortgage loans set forth in the Mortgage Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Bonds; | ||
• | The subsequent mortgage loans conveyed on the subsequent transfer date are selected in a manner reasonably believed not to be adverse to the interests of the Bondholders; | ||
• | [The Bond Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Sale and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of subsequent mortgage loans in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the subsequent mortgage loans on the subsequent transfer date will not result in a reduction or withdrawal of any ratings assigned to the Offered Bonds; |
S-21
Table of Contents
• | [No subsequent mortgage loan conveyed on the subsequent transfer date may be more than one monthly payment delinquent in payment;] | ||
• | Each subsequent mortgage loan will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No subsequent mortgage loan may have a remaining term to maturity exceeding [ ] months; | ||
• | [No subsequent mortgage loan may have a Loan-to-Value Ratio greater than [125]%;] | ||
• | The weighted average Mortgage Rate for all the Mortgage Loans at the end of the Pre-Funding Period must not be more than 100 basis points lower than the weighted average Mortgage Rate of the initial mortgage loans; | ||
• | Following the conveyance of the subsequent mortgage loans on the subsequent transfer date, the weighted average characteristics of the Mortgage Loans the Mortgage Pool will remain substantially similar to the characteristics of the initial mortgage loans in the Mortgage Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Bonds, the Bond Trustee and the Underwriters with a letter stating that the characteristics of the subsequent mortgage loans conform to the characteristics described above and in the Sale and Servicing Agreement.]] |
S-22
Table of Contents
• | [The Additional Mortgage Loans at the time of conveyance to the Trust must satisfy the representations and warranties set forth in the Mortgage Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Bonds; | ||
• | The Additional Mortgage Loans are selected in a manner reasonably believed not to be adverse to the interests of the Bondholders; | ||
• | [The Bond Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Sale and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of Additional Mortgage Loans in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the Additional Mortgage Loans will not result in a reduction or withdrawal of any ratings assigned to the Offered Bonds; | ||
• | [No Additional Mortgage Loan may be more than one monthly payment delinquent in payment at the time of conveyance to the Trust]; | ||
• | Each Additional Mortgage Loan will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No Additional Mortgage Loan may have a remaining term to maturity exceeding [ ] months; | ||
• | [No Additional Mortgage Loan may have a Loan-to-Value Ratio greater than 100%;] | ||
• | The weighted average Mortgage Rate for all the Mortgage Loans at the end of the Revolving Period must not be more than [100] basis points lower than the weighted average Mortgage Rate of the Mortgage Loans as of the cut-off date; | ||
• | Following the conveyance of the Additional Mortgage Loans on a subsequent transfer date, the weighted average characteristics of the Mortgage Loans in the Mortgage Pool will remain substantially similar to the characteristics of the Mortgage Loans in the Mortgage Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Bonds, the Bond Trustee and the Underwriters at [applicable interval] with a letter stating that the characteristics of the Additional Mortgage Loans conform to the characteristics described above and in the Sale and Servicing Agreement.] |
S-23
Table of Contents
S-24
Table of Contents
S-25
Table of Contents
S-26
Table of Contents
S-27
Table of Contents
S-28
Table of Contents
S-29
Table of Contents
S-30
Table of Contents
S-31
Table of Contents
• | first, to the Senior Interest Payment Amount; | ||
• | second, to the Senior Principal Payment Amount; | ||
• | third, to the Subordinated Interest Payment Amount; | ||
• | fourth, to the Subordinated Principal Payment Amount; | ||
• | fifth, to the Investor Certificate Interest Payment Amount; | ||
• | sixth, to the Investor Certificate Principal Payment Amount; and | ||
• | seventh, to the holder of the Investor Certificate, the balance of any Available Funds remaining in the Bond Account. |
S-32
Table of Contents
Remaining | ||||||||||||||||||
Original Term | Term to | |||||||||||||||||
Net | in Maturity | Maturity | ||||||||||||||||
Principal Balance | Mortgage Rate | Mortgage Rate | (in Months) | (in months) | ||||||||||||||
$ | % | % |
S-33
Table of Contents
S-34
Table of Contents
S-35
Table of Contents
S-36
Table of Contents
S-37
Table of Contents
S-38
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicer | [Monthly] | A monthly fee paid to the servicer, from amounts that would otherwise be distributed to bondholders in respect of interest, calculated on the outstanding principal balance of each mortgage loan, at the applicable servicing fee rate,plus, all income earned on amounts on deposit in the custodial account. | [Withdrawn from the custodial account in respect of each mortgage loan before distribution of any amounts to bondholders.] | |||
Master Servicer | [Monthly] | All investment earnings on amounts on deposit in the collection account. | [Retained by the master servicer from the collection account before distribution of any amounts to bondholders.] | |||
Issuing Entity Administrator | [Monthly] | A monthly fee paid to the issuing entity administrator, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] | |||
Bond Trustee | [Monthly] | A fixed annual fee of $[___]. | [Paid by the master servicer from the master servicing fee pursuant to a separate agreement between the trustee and the master servicer.] |
S-39
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Owner Trustee | [Monthly] | A fixed annual fee of $[___]. | [Payable from investment earnings on amounts on deposit in the Collection Account.] | |||
Custodian(s) | [Monthly] | A monthly fee paid to each custodian, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] |
S-40
Table of Contents
S-41
Table of Contents
S-42
Table of Contents
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
S-43
Table of Contents
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
(1) | These tables show mortgage loans which were delinquent or for which foreclosure proceedings had been instituted as of the date indicated. | |
(2) | No mortgage loan is included in this table as delinquent until it is 30 days past due. | |
(3) | Exclusive of the number of loans and principal balance shown in the period of delinquency. |
S-44
Table of Contents
• | [collecting monthly remittances of principal and interest on the Mortgage Loans from the related borrowers, depositing such amounts (net of the related servicing fees) in the Servicing Account, and delivering all amounts on deposit in the Servicing Account to the Master Servicer for deposit in the Collection Account on the Servicer Remittance Date; | ||
• | collecting amounts in respect of taxes and insurance from the related borrowers, depositing such amounts in the related escrow account, and paying such amounts to the related taxing authorities and insurance providers, as applicable; | ||
• | making Monthly Advances with respect to delinquent payments of principal and interest on the Mortgage Loans; | ||
• | making Servicing Advances in respect of reasonable and customary “out of pocket” costs and expenses; | ||
• | providing monthly loan-level reports to the [Servicer] and the Master Servicer; | ||
• | maintaining certain insurance policies relating to the Mortgage Loans; and | ||
• | initiating foreclosure proceedings.] |
• | verifying that the Subservicer’s reporting and remitting are mathematically accurate and are being performed in accordance with the terms of the Sale and Servicing Agreement; | ||
• | verifying that the Servicing Account reconciliations are being performed according to Uniform Single Attestation Program for Mortgage Bankers guidelines; | ||
• | monitoring the Delinquency Rate and identifying any substantial increases or decreases on a monthly basis; and | ||
• | performing the servicing functions with respect to Mortgage Loans described under “Subservicer” above in the event that the Subservicer fails to perform such functions. |
S-45
Table of Contents
• | [[monitoring the Servicer’s performance and enforcing the Servicer’s obligations under the Sale and Servicing Agreement;] | ||
• | collecting monthly remittances from or on behalf of the Servicer for deposit in the Collection Account on the Servicer Remittance Date and delivering all amounts on deposit in the Collection Account to the Paying Agent for deposit in the Bond Payment Account on the Master Servicer Remittance Date; | ||
• | gathering the monthly loan-level reports delivered by or on behalf of the Servicer and providing a comprehensive loan-level report to the Issuing Entity Administrator with respect to the Mortgage Loans; | ||
• | upon the occurrence of a Servicer event of default under the Sale and Servicing Agreement, at its discretion, terminating the Servicer; | ||
• | upon the termination of the Servicer under the Sale and Servicing Agreement, appointing a successor servicer or succeeding as Servicer; and | ||
• | upon the Master Servicer’s becoming the successor Servicer and in the event the terminated Servicer failed to make Advances with respect to a Mortgage Loan, making those Advances to the extent provided in the Sale and Servicing Agreement.] |
• | [acting as Bond Registrar and Paying Agent; | ||
• | receiving monthly remittances from the Master Servicer for deposit in the Bond Payment Account; | ||
• | distributing all amounts on deposit in the Bond Payment Account in accordance with the priorities described under “Description of the Bonds—Payments of Interest,” “—Payments of Principal” and “—Credit Enhancement—Application of Monthly Excess Cashflow” on each Payment Date; | ||
• | performing the calculation of accrual of original issue discount and the amortization of premium on the Securities; | ||
• | preparing and making available on its website a payment statement to Securityholders based on information received from the Servicer and the Master Servicer; and | ||
• | preparing and filing periodic reports with the Securities and Exchange Commission on behalf of the Issuing Entity with respect to the Bonds.] |
• | [discharging (or causing to be discharged) all of its responsibilities pursuant to the terms of the Trust Agreement and the other document or agreement to which the Issuing Entity or the Owner Trustee is a party and administering the Trust (or causing it to be administered) in the interest of the Residual Holder, subject |
S-46
Table of Contents
to each such respective document or agreement and in accordance with the provisions of the Trust Agreement; and | |||
• | taking direction from the Residual Holder regarding the management of the Trust.] |
• | [examining certificates, statements and opinions required to be furnished to it to ensure they are in the form required under the Indenture; | ||
• | enforcing the obligations of each of the Master Servicer and the Issuing Entity Administrator under the Sale and Servicing Agreement, the Indenture and the Administration Agreement, as applicable; | ||
• | upon the occurrence of a Master Servicer event of default under the Sale and Servicing Agreement, at its discretion (or if so directed by the Residual Holder or Bondholders having more than 50% of the voting rights applicable to each Class of Bonds affected thereby), terminating the Master Servicer; and | ||
• | upon such termination of the Master Servicer under the Sale and Servicing Agreement, appointing a successor Master Servicer or succeeding as Master Servicer.] |
• | [holding and maintaining the Mortgage Loan documents related to the Mortgage Loans on behalf of the Bond Trustee.] |
S-47
Table of Contents
Issuing Entity | ||||
Account | Responsible Party: | Application of any Investment Earnings: | ||
Servicing Account | Servicer (or Subservicer on its behalf) | [Any investment earnings (net of any losses realized) will be paid as compensation to the Servicer (or, if the account is maintained by the Subservicer, the Subservicer) and will not be available for payments to Bondholders.] | ||
Collection Account | Master Servicer | [Any investment earnings (net of the Bond Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer and will not be available for payments to Bondholders.] | ||
Bond Payment Account | Issuing Entity Administrator | [Any investment earnings (net of the Bond Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer, and will not be available for payments to Bondholders.] | ||
Collection Account | Issuing Entity Administrator | [Amounts on deposit in the Collection Account will not be invested.] | ||
[Swap Payment Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Cap Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Capitalized Interest Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Bondholders.] | ||
[Pre-Funding Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Bondholders.] | ||
[Revolving Account] | [Issuing Entity Administrator] | [Any investment earnings will be paid to the Depositor and will not be available for payments to Bondholders.] |
S-48
Table of Contents
[___] | Collection Period: | [Payments due during the related Collection Period ([___] through [___]) from borrowers will be deposited in the Servicing Account as received and will include scheduled principal and interest payments due during the related Collection Period.] | ||
[___] | Prepayment Period for partial and full prepayments received from Mortgage Loans: | [Partial principal prepayments and principal prepayments in full received by the Servicer during the related Prepayment Period ([___] through [___]) will be deposited into the Servicing Account for remittance to the Master Servicer on the Servicer Remittance Date ([___] [18]).] | ||
[___] [18] | Servicer Remittance Date: | [The Servicer will remit collections and recoveries in respect of the Mortgage Loans to the Master Servicer for deposit into the Collection Account on or prior to the [18]th day of each month (or if the [18]th day is not a Business Day, the immediately preceding Business Day).] | ||
[ ] [24] | Master Servicer Remittance Date: | [The Master Servicer will remit to the Paying Agent amounts on deposit in the Collection Account for deposit into the Bond Payment Account, including any Advances made by the Servicer, the Subservicer or the Master Servicer for that Payment Date, on or before the Master Servicer Remittance Date.] | ||
[___] [24] | Record Date: | [Payments will be made to Bondholders of record for all classes of Bonds as of the Business Day immediately preceding the related Payment Date.] | ||
[___] [25] | Payment Date: | [On the [25]th day of each month (or if the [25]th day is not a Business Day, the next Business Day), the Paying Agent will make payments from amounts on deposit in the Bond Payment Account to Bondholders and, to the extent of funds available after all other required payments are made, will deposit into the Collection Account any amounts remaining.] |
S-49
Table of Contents
S-50
Table of Contents
S-51
Table of Contents
S-52
Table of Contents
• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the servicer that are backed by the same types of assets as those backing the offered securities, as well as similar reports on assessment of compliance received from certain other parties participating in the servicing function as required by relevant SEC regulations; | ||
• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | ||
• | a statement of compliance from the servicer, and similar statements from certain other parties involved in servicing the mortgage loans as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the servicer’s activities during the reporting period and of its performance under the applicable servicing agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the servicer has fulfilled all of its obligations under the servicing agreement in all materials respects throughout the reporting period or, if there has been a failure to |
S-53
Table of Contents
fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
S-54
Table of Contents
• | [98]% to the classes of Bonds in proportion to their respective outstanding Bond Principal Amounts; and | ||
• | [2]% to the Residual Holder. |
• | the final payment or other liquidation, or any related advance, of the last Mortgage Loan; | ||
• | the disposition of all property acquired in respect of any Mortgage Loan remaining in the Trust; and | ||
• | exercise by the Residual Holder of its right to purchase the Mortgage Loans and other property of the Trust as described under “Description of the Bond—Optional Purchase of the Mortgage Loans.” |
S-55
Table of Contents
S-56
Table of Contents
S-57
Table of Contents
• | the amount of overcollateralization. This means the extent to which interest on the Mortgage Loans is accruing on a higher principal balance than the aggregate Class Principal Amounts of the Bonds; | ||
• | the loss experience of the Mortgage Loans. For example, excess interest will be reduced as a result of Realized Losses on the Mortgage Loans; | ||
• | the value of LIBOR; | ||
• | [to the extent which amounts are received by the Trust under the Swap Agreements; and] | ||
• | the extent to which the weighted average Net Mortgage Rates of the Mortgage Loans exceed the weighted average of the Bond Interest Rates of the Bonds. |
S-58
Table of Contents
S-59
Table of Contents
Remaining | Original | Months to | Initial | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gross | Net | Term to | Term to | Next Rate | Gross | Periodic | Subsequent | Adjustment | Remaining | |||||||||||||||||||||||||||||||||||||||||||||||||||
Loan | Principal | Mortgage | Mortgage | Expense | Maturity | Maturity | Adjustment | Maximum | Minimum | Margin | Rate | Periodic Rate | Frequency | IO Term | Index | |||||||||||||||||||||||||||||||||||||||||||||
Number | Balance ($) | Rate (%) | Rate (%) | Fee Rate | (months) | (months) | Date | Rate (%) | Rate (%) | (%) | Cap (%) | Cap (%) | (months) | (months) | Type | |||||||||||||||||||||||||||||||||||||||||||||
1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
13 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
19 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
23 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
24 |
S-60
Table of Contents
Class [____] and Class [___] Bonds Outstanding
at the Following Percentages of CPR
Class [___] Bonds | Class [___] Bonds | ||||||||||||||||||||||||||||||||||||||||
0% | 10% | 25% | 40% | 50% | 0% | 10% | 25% | 40% | 50% | ||||||||||||||||||||||||||||||||
Initial Percentage | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
[ ] | |||||||||||||||||||||||||||||||||||||||||
Weighted Average Life in Years: | |||||||||||||||||||||||||||||||||||||||||
Without Optional Termination | |||||||||||||||||||||||||||||||||||||||||
With Optional Termination |
[* Indicates a value between 0.0% and 0.5%.] |
S-61
Table of Contents
S-62
Table of Contents
S-63
Table of Contents
S-64
Table of Contents
S-65
Table of Contents
PAGE | ||
Additional Mortgage Loans | S- | |
Adjustment Date | S- | |
Advance | S- | |
Agreements | S- | |
Available Funds | S- | |
Beneficial owner | S- | |
Bondholders | S- | |
Bond Interest Rate | S- | |
Bond Payment Amount | S- | |
Bond Owners | S- | |
Bond Trustee | S- | |
Bonds | S- | |
Book-Entry Bonds | S- | |
CEDEL Participants | S- | |
Certificate Interest Payment Amount | S- | |
Certificate Interest Rate | S- | |
Class Principal Amount | S- | |
Code | S- | |
Collection Account | S- | |
Controlling Class | S- | |
Cooperative | S- | |
CPR | S- | |
Defective Mortgage Loan | S- | |
Definitive Bond | S- | |
Deleted Mortgage Loan | S- | |
Depositor | S- | |
DTC | S- | |
Due Date | S- | |
ERISA | S- | |
Euroclear Operator | S- | |
Euroclear Participants | S- | |
European Depositaries | S- | |
Excess Interest | S- | |
FHA Mortgage Loans | S- | |
Financial Intermediary | S- | |
Fixed Rate Mortgage Loans | S- | |
Gross Margin | S- | |
High Cost | S- | |
Indirect Participants | S- | |
Insurance Proceeds | S- | |
Interest Accrual Period | S- | |
Invested Amount | S- | |
Invested Amount Payment | S- | |
Investor Certificate | S- | |
Investor Percentage | S- | |
IRS | S- | |
Issuing Entity | S- | |
Liquidated Mortgage Loan | S- | |
Liquidation Proceeds | S- | |
Loan-to-Value Ratio | S- |
I-1
Table of Contents
PAGE | ||
Management Agreement | S- | |
Maximum Rate | S- | |
Modeling Assumptions | S- | |
Monthly Advance | S- | |
Morgan | S- | |
Mortgage | S- | |
Mortgage File | S- | |
Mortgage Loan Pool | S- | |
Mortgage Loan Purchase Agreement | S- | |
Mortgage Loans | S- | |
Mortgage Note | S- | |
Mortgaged Property | S- | |
Mortgage Related Securities | S- | |
Net Interest Shortfall | S- | |
Net Interest Shortfalls | S- | |
Offered Bonds | S- | |
OID | S- | |
Original Invested Amount | S- | |
Original Senior Class Principal Amount | S- | |
Original Subordinated Class Principal Amount | S- | |
Overcollateralization | S- | |
Owner Trustee | S- | |
Participants | S- | |
Payment Account | S- | |
Payment Date | S- | |
Periodic Cap | S- | |
Plan | S- | |
Plan Assets Regulation | S- | |
Pool Principal Balance | S- | |
Prepayment Assumption | S- | |
Prepayment Interest Shortfall | S- | |
Prospectus Directive | S- | |
PTCE | S- | |
Qualified REIT Subsidiary | S- | |
Realized Loss | S- | |
Record Date | S- | |
Redwood Trust | S- | |
Relevant Depositary | S- | |
Relevant Implementation Date | S- | |
Relevant Member State | S- | |
Relief Reduction Act | S- | |
REMIC | S- | |
Replacement Mortgage Loan | S- | |
Revolving Account | S- | |
Revolving Period | S- | |
Rules | S- | |
SEC | S- | |
Senior Bond Interest Rate | S- | |
Senior Bonds | S- | |
Senior Class Principal Amount | S- | |
Senior Interest Payment Amount | S- | |
Senior Percentage | S- | |
Senior Principal Payment Amount | S- | |
Servicing Agreement | S- |
I-2
Table of Contents
PAGE | ||
Servicing Fee | S- | |
Servicing Fee Rate | S- | |
SMMEA | S- | |
Stated Principal Balance | S- | |
Structuring Assumptions | S- | |
Subordinated Bond Interest Rate | S- | |
Subordinated Bonds | S- | |
Subordinated Class Principal Amount | S- | |
Subordinated Interest Carryover Shortfall | S- | |
Subordinated Interest Payment Amount | S- | |
Subordinated Percentage | S- | |
Subordinated Principal Carryover Shortfall | S- | |
Subordinated Principal Payment Amount | S- | |
Substitution Adjustment Amount | S- | |
Terms and Conditions | S- | |
United States Person | S- | |
U.S. Withholding Agent | S- | |
Variable Rate Debt Instruments | S- |
I-3
Table of Contents
Table of Contents
G-2
Table of Contents
G-3
Table of Contents
G-4
Table of Contents
G-5
Table of Contents
G-6
Table of Contents
G-7
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Cut-off Date | Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||
Principal Balances ($) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-1
Table of Contents
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Original LTV Ratios (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Geographic Distribution | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total | $ | % | % | $ | % | ||||||||||||||||||||||||
A-2
Table of Contents
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Prepayment | Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Penalty (Years) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Interest Only Period (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Mortgage Loan Type | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-3
Table of Contents
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Months Elapsed Since Origination | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Prepayment Penalty Description | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Subsequent Periodic Cap (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
A-4
Table of Contents
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Originator | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
Percent of | Non-Zero | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||||
Servicer Concentration | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | ||||||||||||||||||||||
Total: | $ | % | % | $ | % | ||||||||||||||||||||||||
A-5
Table of Contents
B-1
Table of Contents
B-2
Table of Contents
(a) | borrowing through CEDEL or Euroclear for one day (until the purchase side of the day trade is reflected in their CEDEL or Euroclear accounts) in accordance with the clearing system’s customary procedures; | ||
(b) | borrowing the Global Bonds in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Bonds sufficient time to be reflected in their CEDEL or Euroclear account in order to settle the sale side of the trade; or | ||
(c) | staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the CEDEL Participant or Euroclear Participant. |
I. | the [___], on behalf of the Trustee, or the U.S. withholding agent receives a statement — |
(a) | from the holder on Internal Revenue Service (“IRS”) Form W-8BEN (or any successor form) that — |
(i) | is signed by the Bondholder under penalty of perjury, | ||
(ii) | certifies that such owner is not a United States person, and (iii) provides the name and address of the Bondholder, or |
(b) | from a securities clearing organization, a bank or other financial institution that holds customers’ securities in the ordinary course of its trade or business that — |
(i) | is signed under penalties of perjury by an authorized representative of the financial institution, | ||
(ii) | states that the financial institution has received an IRS Form W-8BEN (or any successor form) from the certificateholder or that another financial institution acting on behalf of the certificateholder has received such IRS Form W-8BEN (or any successor form), | ||
(iii) | provides the name and address of the Bondholder, and | ||
(iv) | attaches the IRS Form W-8BEN (or any successor form) provided by the Bondholder; |
II. | the holder claims an exemption or reduced rate based on a treaty and provides a properly executed IRS Form W-8BEN (or any successor form) to the Issuing Entity Administrator or the U.S. withholding agent; |
B-3
Table of Contents
III. | the holder claims an exemption stating that the income is effectively connected to a U.S. trade or business and provides a properly executed IRS Form W-8ECI (or any successor form) to the [___] or the U.S. withholding agent; or | ||
IV. | the holder is a “nonwithholding partnership” and provides a properly executed IRS Form W-8IMY (or any successor form) with all necessary attachments to the Trustee or the U.S. withholding agent. Certain pass-through entities that have entered into agreements with the Internal Revenue Service (for example “qualified intermediaries”) may be subject to different documentation requirements; and such holders are encouraged to consult with their tax advisors when purchasing the Bond. |
B-4
Table of Contents
SEQUOIA ALTERNATIVE LOAN TRUST
Sponsor and Seller
Depositor
Issuing Entity
Table of Contents
The information in this prospectus supplement is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
(To Prospectus dated [___], 200[_])
• | [ ] class(es) of Senior Class [ ] Bonds; | |
• | [ ] class(es) of Subordinated Class [ ] Bonds; | |
• | [One or Two] classes of Residual [Certificates or Bonds]. |
• | Will be collateralized by primarily year [fixed adjustable] rate, mortgage loans secured by first liens on one- to four-family residential properties; | |
• | The classes of bonds offered by this prospectus supplement are listed, together with their initial class principal amounts and interest rates, under “Summary of Terms—The Offered Bonds” on page S-[___] of this prospectus supplement. This prospectus supplement and the accompanying prospectus relate only to the offering of bonds listed in the table on page S-[___] and not to the ownership certificate that will be issued by the issuing entity as described in this prospectus supplement; | |
• | Pay all holders of bonds the amounts of principal and interest due thereon on the [___] day of each month, or if such day is not a business day, the next succeeding business day, commencing on [___], 200[___]; and | |
• | Will have various forms of credit enhancement of the types described in this prospectus supplement, including [excess interest,] [overcollateralization,] [subordination,] [a bond insurance policy,] [and] [interest rate swap agreements].[Forms of credit enhancement to be provided as applicable.] |
Table of Contents
Supplement and the Accompanying Prospectus
Table of Contents
(a) | to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; | ||
(b) | to any legal entity which has two or more of (1) an average of at least 250 employees, during the last financial year; (2) a total balance sheet of more than€43,000,000 and (3) an annual net turnover of more than€50,000,000, as shown in its last annual or consolidated accounts; or | ||
(c) | in any other circumstances which do not require the publication by the issuing entity of a prospectus pursuant to Article 3 of the Prospectus Directive. |
Table of Contents
Page | ||||
S-1 | ||||
S-2 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-13 | ||||
S-13 | ||||
S-15 | ||||
S-16 | ||||
S-16 | ||||
S-17 | ||||
S-17 | ||||
S-17 | ||||
S-18 | ||||
S-19 | ||||
S-19 | ||||
S-19 | ||||
S-19 | ||||
S-20 | ||||
S-20 | ||||
S-20 | ||||
S-20 | ||||
S-22 | ||||
S-23 | ||||
S-24 | ||||
S-24 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-25 | ||||
S-26 | ||||
S-27 | ||||
S-27 | ||||
S-28 | ||||
S-29 | ||||
S-30 | ||||
S-32 | ||||
S-32 | ||||
S-33 | ||||
S-33 | ||||
S-33 | ||||
S-33 | ||||
S-33 | ||||
S-34 | ||||
S-35 | ||||
S-35 | ||||
S-iii |
Table of Contents
Page | ||||
S-35 | ||||
S-36 | ||||
S-36 | ||||
S-36 | ||||
S-37 | ||||
S-37 | ||||
S-37 | ||||
S-38 | ||||
S-39 | ||||
S-39 | ||||
S-39 | ||||
S-40 | ||||
S-40 | ||||
S-40 | ||||
S-40 | ||||
S-40 | ||||
S-41 | ||||
S-44 | ||||
S-44 | ||||
S-46 | ||||
S-48 | ||||
S-49 | ||||
S-49 | ||||
S-49 | ||||
S-50 | ||||
S-54 | ||||
S-54 | ||||
S-54 | ||||
S-54 | ||||
S-55 | ||||
S-55 | ||||
S-57 | ||||
S-58 | ||||
S-58 | ||||
S-61 | ||||
S-61 | ||||
S-61 | ||||
S-61 | ||||
S-61 | ||||
S-62 | ||||
S-63 | ||||
S-63 | ||||
S-63 | ||||
S-63 | ||||
S-64 | ||||
S-65 | ||||
S-65 | ||||
I-1 | ||||
G-1 | ||||
A-1 | ||||
B-1 |
Table of Contents
Initial Class | ||||||||||||||||||||||||||||
Principal | Initial Interest | Interest Rate | Initial Certificate Ratings | |||||||||||||||||||||||||
Class | Amount(1) | Rate(2) | Formula | Principal Type | Interest Type | Moody’s | S&P | |||||||||||||||||||||
[Residual Bonds]
(1) | These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement. | |
(2) | Reflects the interest rate as of the closing date. | |
(3) | An annual rate equal to the weighted average of the net mortgage rates of the mortgage loans during the applicable period, as described in this Prospectus Supplement. | |
(4) | The designation “N/R” means that the specified rating agency will not rate the bonds of that class. |
Minimum | ||||||||||||||||||||||||||||||||
Final | Denomination or | |||||||||||||||||||||||||||||||
Delay/Accrual | Interest Accrual | Scheduled | Expected Final | Percentage | Incremental | |||||||||||||||||||||||||||
Class | Record Date(1) | Period(2) | Convention | Payment Date(3) | Payment Date(4) | Interest(5) | Denomination | CUSIP Number | ||||||||||||||||||||||||
S-1
Table of Contents
• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the bonds, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While the summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the mortgage loans in the trust fund, that percentage has been calculated on the basis of the total stated principal balance of those mortgage loans as of [___, ___] unless we specify otherwise. We explain in this prospectus supplement under “Glossary of Defined Terms” how the stated principal balance of a mortgage loan is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any mortgage loans, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
S-2
Table of Contents
S-3
Table of Contents
S-4
Table of Contents
S-5
Table of Contents
S-6
Table of Contents
S-7
Table of Contents
Weighted | Total | |||||||||||
Range or Total | Average | Percentage | ||||||||||
Number of Mortgage Loans | ||||||||||||
Total Principal Balance | ||||||||||||
Principal Balances | ||||||||||||
Mortgage Rates | ||||||||||||
Original Terms to Maturity (in months) | ||||||||||||
Remaining Terms to Maturity (in months) | ||||||||||||
Original Loan-to Value Ratios | ||||||||||||
Number of One-Year LIBOR Mortgage Loans | ||||||||||||
Number of One-Year CMT Mortgage Loans | ||||||||||||
Number of Interest Only Mortgage Loans | ||||||||||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled Principal Balance: | ||||||||||||
• California | ||||||||||||
Maximum Single Zip Code Concentration | ||||||||||||
Credit Scores | ||||||||||||
Number of Mortgage Loans with Prepayment Penalties at Origination | ||||||||||||
Gross Margins | ||||||||||||
Maximum Mortgage Rates | ||||||||||||
Minimum Mortgage Rates | ||||||||||||
Months to Next Mortgage Rate Adjustment | ||||||||||||
Initial Caps | ||||||||||||
Periodic Caps |
* | The weighted average is based only on the mortgage loans having credit scores. |
S-8
Table of Contents
S-9
Table of Contents
S-10
Table of Contents
S-11
Table of Contents
S-12
Table of Contents
S-13
Table of Contents
• | if you buy a Class [___] Bond and losses on the related mortgage loans exceed the total principal amount of the class of bonds subordinate to your bonds (if any), plus, if applicable to the trust and as specified in this prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your bonds will be reduced proportionately with the principal amounts of the other bonds of your class by the amount of that excess; and | ||
• | after the total principal amount of the subordinate bonds has been reduced to zero, losses on the mortgage loans may reduce the principal amounts (or notional amounts) of the senior bonds. |
S-14
Table of Contents
S-15
Table of Contents
• | If you purchase bonds at a discount, especially any principal-only bonds, and principal prepayments on the related mortgage loans are received at a rate slower than you anticipate, then your yield may be lower than you anticipate. | ||
• | If you purchase bonds at a premium, especially any interest-only bonds, and principal prepayments on the related mortgage loans are received at a rate faster than you anticipate, then your yield may be lower than you anticipate. |
• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; | ||
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | ||
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
S-16
Table of Contents
S-17
Table of Contents
S-18
Table of Contents
S-19
Table of Contents
S-20
Table of Contents
Number of Subsequent Mortgage Loans |
Total Scheduled Principal Balance |
Mortgage Rates: |
Weighted Average |
Range |
Weighted Average Remaining Term to Maturity (in months) |
Original Loan-to-Value Ratios: |
Weighted Average |
Range |
Scheduled Principal Balances: |
Average |
Range |
• | [The subsequent mortgage loans conveyed on the subsequent transfer date must satisfy the same representations and warranties applicable to the initial mortgage loans set forth in the Mortgage Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Bonds; | ||
• | The subsequent mortgage loans conveyed on the subsequent transfer date are selected in a manner reasonably believed not to be adverse to the interests of the Bondholders; | ||
• | [The Bond Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Sale and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of subsequent mortgage loans in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the subsequent mortgage loans on the subsequent transfer date will not result in a reduction or withdrawal of any ratings assigned to the Offered Bonds; | ||
• | [No subsequent mortgage loan conveyed on the subsequent transfer date may be more than one monthly payment delinquent in payment;] | ||
• | Each subsequent mortgage loan will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No subsequent mortgage loan may have a remaining term to maturity exceeding [ ] months; | ||
• | [No subsequent mortgage loan may have a Loan-to-Value Ratio greater than [125]%;] |
S-21
Table of Contents
• | The weighted average Mortgage Rate for all the Mortgage Loans at the end of the Pre-Funding Period must not be more than 100 basis points lower than the weighted average Mortgage Rate of the initial mortgage loans; | ||
• | Following the conveyance of the subsequent mortgage loans on the subsequent transfer date, the weighted average characteristics of the Mortgage Loans the Mortgage Pool will remain substantially similar to the characteristics of the initial mortgage loans in the Mortgage Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Bonds, the Bond Trustee and the Underwriters with a letter stating that the characteristics of the subsequent mortgage loans conform to the characteristics described above and in the Sale and Servicing Agreement.]] |
• | [The Additional Mortgage Loans at the time of conveyance to the Trust must satisfy the representations and warranties set forth in the Mortgage Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Bonds; | ||
• | The Additional Mortgage Loans are selected in a manner reasonably believed not to be adverse to the interests of the Bondholders; |
S-22
Table of Contents
• | [The Bond Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Sale and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of Additional Mortgage Loans in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the Additional Mortgage Loans will not result in a reduction or withdrawal of any ratings assigned to the Offered Bonds; | ||
• | [No Additional Mortgage Loan may be more than one monthly payment delinquent in payment at the time of conveyance to the Trust]; | ||
• | Each Additional Mortgage Loan will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No Additional Mortgage Loan may have a remaining term to maturity exceeding [ ] months; | ||
• | [No Additional Mortgage Loan may have a Loan-to-Value Ratio greater than 100%;] | ||
• | The weighted average Mortgage Rate for all the Mortgage Loans at the end of the Revolving Period must not be more than [100] basis points lower than the weighted average Mortgage Rate of the Mortgage Loans as of the cut-off date; | ||
• | Following the conveyance of the Additional Mortgage Loans on a subsequent transfer date, the weighted average characteristics of the Mortgage Loans in the Mortgage Pool will remain substantially similar to the characteristics of the Mortgage Loans in the Mortgage Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Bonds, the Bond Trustee and the Underwriters at [applicable interval] with a letter stating that the characteristics of the Additional Mortgage Loans conform to the characteristics described above and in the Sale and Servicing Agreement.] |
S-23
Table of Contents
S-24
Table of Contents
S-25
Table of Contents
S-26
Table of Contents
S-27
Table of Contents
S-28
Table of Contents
S-29
Table of Contents
• | first, to the Senior Interest Payment Amount; | ||
• | second, to the Senior Principal Payment Amount; | ||
• | third, to the Subordinated Interest Payment Amount; | ||
• | fourth, to the Subordinated Principal Payment Amount; | ||
• | fifth, to the Residual Bond Interest Payment Amount; | ||
• | sixth, to the Residual Bond Principal Amount Payment; and |
S-30
Table of Contents
• | seventh, to the holder of the Residual Certificate, the balance of any Available Funds remaining in the Bond Account. |
S-31
Table of Contents
Original Term in | Remaining Term to | |||||||||||||||
Net | Maturity | Maturity | ||||||||||||||
Principal Balance | Mortgage Rate | Mortgage Rate | (in Months) | (in months) | ||||||||||||
$ | % | % |
S-32
Table of Contents
S-33
Table of Contents
S-34
Table of Contents
S-35
Table of Contents
S-36
Table of Contents
S-37
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicer | [Monthly] | A monthly fee paid to the servicer, from amounts that would otherwise be distributed to bondholders in respect of interest, calculated on the outstanding principal balance of each mortgage loan, at the applicable servicing fee rate,plus, all income earned on amounts on deposit in the custodial account. | [Withdrawn from the custodial account in respect of each mortgage loan before distribution of any amounts to bondholders.] | |||
Master Servicer | [Monthly] | All investment earnings on amounts on deposit in the collection account. | [Retained by the master servicer from the collection account before distribution of any amounts to bondholders.] | |||
Issuing Entity Administrator | [Monthly] | A monthly fee paid to the issuing entity administrator, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] | |||
Bond Trustee | [Monthly] | A fixed annual fee of $[ ]. | [Paid by the master servicer from the master servicing fee pursuant to a separate agreement between the trustee and the master servicer.] | |||
Owner Trustee | [Monthly] | A fixed annual fee of $[ ]. | [Payable from investment earnings on amounts on deposit in the Collection Account.] | |||
Custodian(s) | [Monthly] | A monthly fee paid to each custodian, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] |
S-38
Table of Contents
S-39
Table of Contents
S-40
Table of Contents
S-41
Table of Contents
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
S-42
Table of Contents
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
(1) | These tables show mortgage loans which were delinquent or for which foreclosure proceedings had been instituted as of the date indicated. | |
(2) | No mortgage loan is included in this table as delinquent until it is 30 days past due. | |
(3) | Exclusive of the number of loans and principal balance shown in the period of delinquency. |
S-43
Table of Contents
• | [collecting monthly remittances of principal and interest on the Mortgage Loans from the related borrowers, depositing such amounts (net of the related servicing fees) in the Servicing Account, and delivering all amounts on deposit in the Servicing Account to the Master Servicer for deposit in the Collection Account on the Servicer Remittance Date; | ||
• | collecting amounts in respect of taxes and insurance from the related borrowers, depositing such amounts in the related escrow account, and paying such amounts to the related taxing authorities and insurance providers, as applicable; | ||
• | making Monthly Advances with respect to delinquent payments of principal and interest on the Mortgage Loans; | ||
• | making Servicing Advances in respect of reasonable and customary “out of pocket” costs and expenses; | ||
• | providing monthly loan-level reports to the [Servicer] and the Master Servicer; | ||
• | maintaining certain insurance policies relating to the Mortgage Loans; and | ||
• | initiating foreclosure proceedings.] |
• | verifying that the Subservicer’s reporting and remitting are mathematically accurate and are being performed in accordance with the terms of the Sale and Servicing Agreement; | ||
• | verifying that the Servicing Account reconciliations are being performed according to Uniform Single Attestation Program for Mortgage Bankers guidelines; | ||
• | monitoring the Delinquency Rate and identifying any substantial increases or decreases on a monthly basis; and | ||
• | performing the servicing functions with respect to Mortgage Loans described under “Subservicer” above in the event that the Subservicer fails to perform such functions. |
S-44
Table of Contents
• | [[monitoring the Servicer’s performance and enforcing the Servicer’s obligations under the Sale and Servicing Agreement;] | ||
• | collecting monthly remittances from or on behalf of the Servicer for deposit in the Collection Account on the Servicer Remittance Date and delivering all amounts on deposit in the Collection Account to the Paying Agent for deposit in the Bond Payment Account on the Master Servicer Remittance Date; | ||
• | gathering the monthly loan-level reports delivered by or on behalf of the Servicer and providing a comprehensive loan-level report to the Issuing Entity Administrator with respect to the Mortgage Loans; | ||
• | upon the occurrence of a Servicer event of default under the Sale and Servicing Agreement, at its discretion, terminating the Servicer; | ||
• | upon the termination of the Servicer under the Sale and Servicing Agreement, appointing a successor servicer or succeeding as Servicer; and | ||
• | upon the Master Servicer’s becoming the successor Servicer and in the event the terminated Servicer failed to make Advances with respect to a Mortgage Loan, making those Advances to the extent provided in the Sale and Servicing Agreement.] |
• | [acting as Bond Registrar and Paying Agent; | ||
• | receiving monthly remittances from the Master Servicer for deposit in the Bond Payment Account; | ||
• | distributing all amounts on deposit in the Bond Payment Account in accordance with the priorities described under “Description of the Bonds—Payments of Interest,” “—Payments of Principal” and “—Credit Enhancement—Application of Monthly Excess Cashflow” on each Payment Date; | ||
• | performing the calculation of accrual of original issue discount and the amortization of premium on the Securities; | ||
• | preparing and making available on its website a payment statement to Securityholders based on information received from the Servicer and the Master Servicer; and | ||
• | preparing and filing periodic reports with the Securities and Exchange Commission on behalf of the Trust with respect to the Bonds.] |
• | [discharging (or causing to be discharged) all of its responsibilities pursuant to the terms of the Trust Agreement and the other document or agreement to which the Issuing Entity or the Owner Trustee is a party and administering the Trust (or causing it to be administered) in the interest of the Residual Holder, subject |
S-45
Table of Contents
to each such respective document or agreement and in accordance with the provisions of the Trust Agreement; and | |||
• | taking direction from the Residual Holder regarding the management of the Trust.] |
• | [examining certificates, statements and opinions required to be furnished to it to ensure they are in the form required under the Indenture; | ||
• | enforcing the obligations of each of the Master Servicer and the Issuing Entity Administrator under the Sale and Servicing Agreement, the Indenture and the Administration Agreement, as applicable; | ||
• | upon the occurrence of a Master Servicer event of default under the Sale and Servicing Agreement, at its discretion (or if so directed by the Residual Holder or Bondholders having more than 50% of the voting rights applicable to each Class of Bonds affected thereby), terminating the Master Servicer; and | ||
• | upon such termination of the Master Servicer under the Sale and Servicing Agreement, appointing a successor Master Servicer or succeeding as Master Servicer.] |
• | [holding and maintaining the Mortgage Loan documents related to the Mortgage Loans on behalf of the Bond Trustee.] |
S-46
Table of Contents
Issuing Entity | ||||
Account | Responsible Party: | Application of any Investment Earnings: | ||
Servicing Account | Servicer (or Subservicer on its behalf) | [Any investment earnings (net of any losses realized) will be paid as compensation to the Servicer (or, if the account is maintained by the Subservicer, the Subservicer) and will not be available for payments to Bondholders.] | ||
Collection Account | Master Servicer | [Any investment earnings (net of the Bond Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer and will not be available for payments to Bondholders.] | ||
Bond Payment Account | Issuing Entity Administrator | [Any investment earnings (net of the Bond Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer, and will not be available for payments to Bondholders.] | ||
Collection Account | Issuing Entity Administrator | [Amounts on deposit in the Collection Account will not be invested.] | ||
[Swap Payment Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Cap Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Capitalized Interest Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Bondholders.] | ||
[Pre-Funding Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Bondholders.] | ||
[Revolving Account] | [Issuing Entity Administrator] | [Any investment earnings will be paid to the Depositor and will not be available for payments to Bondholders.] |
S-47
Table of Contents
[___] | Collection Period: | [Payments due during the related Collection Period ([___] through [___]) from borrowers will be deposited in the Servicing Account as received and will include scheduled principal and interest payments due during the related Collection Period.] | ||
[___] | Prepayment Period for partial and full prepayments received from Mortgage Loans: | [Partial principal prepayments and principal prepayments in full received by the Servicer during the related Prepayment Period ([___] through [___]) will be deposited into the Servicing Account for remittance to the Master Servicer on the Servicer Remittance Date ([___] [18]).] | ||
[___] [18] | Servicer Remittance Date: | [The Servicer will remit collections and recoveries in respect of the Mortgage Loans to the Master Servicer for deposit into the Collection Account on or prior to the [18]th day of each month (or if the [18]th day is not a Business Day, the immediately preceding Business Day).] | ||
[ ] [24] | Master Servicer Remittance Date: | [The Master Servicer will remit to the Paying Agent amounts on deposit in the Collection Account for deposit into the Bond Payment Account, including any Advances made by the Servicer, the Subservicer or the Master Servicer for that Payment Date, on or before the Master Servicer Remittance Date.] | ||
[___] [24] | Record Date: | [Payments will be made to Bondholders of record for all classes of Bonds as of the Business Day immediately preceding the related Payment Date.] | ||
[___] [25] | Payment Date: | [On the [25]th day of each month (or if the [25]th day is not a Business Day, the next Business Day), the Paying Agent will make payments from amounts on deposit in the Bond Payment Account to Bondholders and, to the extent of funds available after all other required payments are made, will deposit into the Collection Account any amounts remaining.] |
S-48
Table of Contents
S-49
Table of Contents
S-50
Table of Contents
\
S-51
Table of Contents
• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the servicer that are backed by the same types of assets as those backing the offered securities, as well as similar reports on assessment of compliance received from certain other parties participating in the servicing function as required by relevant SEC regulations; |
S-52
Table of Contents
• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | ||
• | a statement of compliance from the servicer, and similar statements from certain other parties involved in servicing the mortgage loans as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the servicer’s activities during the reporting period and of its performance under the applicable servicing agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the servicer has fulfilled all of its obligations under the servicing agreement in all materials respects throughout the reporting period or, if there has been a failure to fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
S-53
Table of Contents
• | [98]% to the classes of Bonds in proportion to their respective outstanding Bond Principal Amounts; and | ||
• | [2]% to the Residual Holder. |
• | the final payment or other liquidation, or any related advance, of the last Mortgage Loan; |
S-54
Table of Contents
• | the disposition of all property acquired in respect of any Mortgage Loan remaining in the Trust; and | ||
• | exercise by the Residual Holder of its right to purchase the Mortgage Loans and other property of the Trust as described under “Description of the Bond—Optional Purchase of the Mortgage Loans.” |
S-55
Table of Contents
S-56
Table of Contents
• | the amount of overcollateralization. This means the extent to which interest on the Mortgage Loans is accruing on a higher principal balance than the aggregate Class Principal Amounts of the Bonds; | ||
• | the loss experience of the Mortgage Loans. For example, excess interest will be reduced as a result of Realized Losses on the Mortgage Loans; | ||
• | the value of LIBOR; | ||
• | [to the extent which amounts are received by the Trust under the Swap Agreements; and] | ||
• | the extent to which the weighted average Net Mortgage Rates of the Mortgage Loans exceed the weighted average of the Bond Interest Rates of the Bonds. |
S-57
Table of Contents
S-58
Table of Contents
Remaining | Original | Months to | Initial | Subsequent | Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Gross | Net | Term to | Term to | Next Rate | Gross | Periodic | Periodic | Adjustment | Remaining | ||||||||||||||||||||||||||||||||||||||||||||||||||
Loan | Balance | Mortgage | Mortgage | Expense | Maturity | Maturity | Adjustment | Maximum | Minimum | Margin | Rate | Rate | Frequency | IO Term | ||||||||||||||||||||||||||||||||||||||||||||||
Number | ($) | Rate (%) | Rate (%) | Fee Rate | (months) | (months) | Date | Rate (%) | Rate (%) | (%) | Cap (%) | Cap (%) | (months) | (months) | Index Type | |||||||||||||||||||||||||||||||||||||||||||||
1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
13 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
19 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
23 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
24 |
S-59
Table of Contents
Class [____] and Class [___] Bonds Outstanding
at the Following Percentages of CPR
Class [___] Bonds | Class [___] Bonds | |||||||||||||||||||||||||||||||||||||||
0% | 10% | 25% | 40% | 50% | 0% | 10% | 25% | 40% | 50% | |||||||||||||||||||||||||||||||
Initial Percentage | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
[ ] | ||||||||||||||||||||||||||||||||||||||||
Weighted Average Life in Years: | ||||||||||||||||||||||||||||||||||||||||
Without Optional Termination | ||||||||||||||||||||||||||||||||||||||||
With Optional | ||||||||||||||||||||||||||||||||||||||||
Termination |
[* | Indicates a value between 0.0% and 0.5%.] |
S-60
Table of Contents
S-61
Table of Contents
S-62
Table of Contents
S-63
Table of Contents
S-64
Table of Contents
S-65
Table of Contents
PAGE | ||
Additional Mortgage Loans | S- | |
Adjustment Date | S- | |
Advance | S- | |
Agreements | S- | |
Available Funds | S- | |
Beneficial owner | S- | |
Bondholders | S- | |
Bond Interest Rate | S- | |
Bond Payment Amount | S- | |
Bond Owners | S- | |
Bond Trustee | S- | |
Bonds | S- | |
Book-Entry Bonds | S- | |
Cap Contract | S- | |
CEDEL Participants | S- | |
Class Principal Amount | S- | |
Code | S- | |
Collection Account | S- | |
Controlling Class | S- | |
Cooperative | S- | |
CPR | S- | |
Defective Mortgage Loan | S- | |
Definitive Bond | S- | |
Deleted Mortgage Loan | S- | |
Depositor | S- | |
DTC | S- | |
DTC Participant | S- | |
Due Date | S- | |
ERISA | S- | |
Euroclear Operator | S- | |
Euroclear Participants | S- | |
European Depositaries | S- | |
Excess Interest | S- | |
FHA Mortgage Loans | S- | |
Financial Intermediary | S- | |
Fixed Rate Mortgage Loans | S- | |
Global Bonds | S- | |
Gross Margin | S- | |
High Cost | S- | |
Indirect Participants | S- | |
Insurance Proceeds | S- | |
Interest Accrual Period | S- | |
Interest Payment Amount | S- | |
Invested Amount | S- | |
IRS | S- | |
Issuing Entity | S- | |
Liquidated Mortgage Loan | S- | |
Liquidation Proceeds | S- | |
Loan-to-Value Ratio | S- | |
Lower Tier REMIC | S- |
I-1
Table of Contents
PAGE | ||
Management Agreement | S- | |
Master Servicing Fee | S- | |
Maximum Rate | S- | |
Modeling Assumptions | S- | |
Monthly Advance | S- | |
Morgan | S- | |
Mortgage | S- | |
Mortgage File | S- | |
Mortgage Loan Pool | S- | |
Mortgage Loan Purchase Agreement | S- | |
Mortgage Loans | S- | |
Mortgage Note | S- | |
Mortgaged Property | S- | |
Mortgage Related Securities | S- | |
Net Interest Shortfalls | S- | |
Offered Bonds | S- | |
OID | S- | |
Original Invested Amount | S- | |
Original Residual Class Principal Amount | S- | |
Original Senior Class Principal Amount | S- | |
Original Subordinated Class Principal Amount | S- | |
Originator | S- | |
Overcollateralization | S- | |
Owner Trustee | S- | |
Participants | S- | |
Payment Account | S- | |
Payment Date | S- | |
Periodic Cap | S- | |
Plan | S- | |
Plan Assets Regulation | S- | |
Pool Principal Balance | S- | |
Prepayment Assumption | S- | |
Prepayment Interest Shortfall | S- | |
Prospectus Directive | S- | |
PTCE | S- | |
Realized Loss | S- | |
Record Date | S- | |
Redwood Trust | S- | |
Regular Interests | S- | |
Relevant Depositary | S- | |
Relevant Implementation Date | S- | |
Relevant Member State | S- | |
Relief Act Reduction | S- | |
REMIC | S- | |
Replacement Mortgage Loan | S- | |
Residual Bonds | S- | |
Residual Certificates | S- | |
Residual Class Principal Amount | S- | |
Residual Interest Carryover Shortfall | S- | |
Residual Interest Payment Amount | S- | |
Residual Interests | S- | |
Revolving Account | S- | |
Revolving Period | S- | |
Rules | S- |
I-2
Table of Contents
PAGE | ||
RWT Holdings | S- | |
SEC | S- | |
Senior Bond Interest Rate | S- | |
Senior Bonds | S- | |
Senior Class Principal Amount | S- | |
Senior Interest Payment Amount | S- | |
Senior Percentage | S- | |
Senior Principal Payment Amount | S- | |
Servicing Agreements | S- | |
Servicing Fee | S- | |
Servicing Fee Rate | S- | |
SMMEA | S- | |
Stated Principal Balance | S- | |
Structuring Assumptions | S- | |
Subordinated Bond Interest Rate | S- | |
Subordinated Bonds | S- | |
Subordinated Class Principal Amount | S- | |
Subordinated Interest Carryover Shortfall | S- | |
Subordinated Interest Payment Amount | S- | |
Subordinated Percentage | S- | |
Subordinated Principal Carryover Shortfall | S- | |
Subordinated Principal Payment Amount | S- | |
Substitution Adjustment Amount | S- | |
Terms and Conditions | S- | |
United States Person | S- | |
Upper Tier REMIC | S- | |
U.S. Withholding Agent | S- | |
VA Mortgage Loan | S- | |
Variable Rate Debt Instruments | S- |
I-3
Table of Contents
Table of Contents
G-2
Table of Contents
G-3
Table of Contents
G-4
Table of Contents
G-5
Table of Contents
G-6
Table of Contents
G-7
Table of Contents
A-1
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Cut-off Date Principal Balances ($) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original LTV Ratios (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
A-2
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Geographic Distribution | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
A-3
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Prepayment Penalty (Years) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Interest Only Period (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Mortgage Loan Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Months Elapsed Since Origination | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-4
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Prepayment Penalty Description | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-5
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Subsequent Periodic Cap (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-6
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Originator | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Servicer Concentration | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-7
Table of Contents
B-1
Table of Contents
B-2
Table of Contents
(a) | borrowing through CEDEL or Euroclear for one day (until the purchase side of the day trade is reflected in their CEDEL or Euroclear accounts) in accordance with the clearing system’s customary procedures; | ||
(b) | borrowing the Global Bonds in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Bonds sufficient time to be reflected in their CEDEL or Euroclear account in order to settle the sale side of the trade; or | ||
(c) | staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the CEDEL Participant or Euroclear Participant. |
I. | the [ ], on behalf of the Trustee, or the U.S. withholding agent receives a statement — |
(a) | from the holder on Internal Revenue Service (“IRS”) Form W-8BEN (or any successor form) that — |
(i) | is signed by the Bondholder under penalty of perjury, | ||
(ii) | certifies that such owner is not a United States person, and (iii) provides the name and address of the Bondholder, or |
(b) | from a securities clearing organization, a bank or other financial institution that holds customers’ securities in the ordinary course of its trade or business that — |
(i) | is signed under penalties of perjury by an authorized representative of the financial institution, | ||
(ii) | states that the financial institution has received an IRS Form W-8BEN (or any successor form) from the certificateholder or that another financial institution acting on behalf of the certificateholder has received such IRS Form W-8BEN (or any successor form), | ||
(iii) | provides the name and address of the Bondholder, and | ||
(iv) | attaches the IRS Form W-8BEN (or any successor form) provided by the Bondholder; |
II. | the holder claims an exemption or reduced rate based on a treaty and provides a properly executed IRS Form W-8BEN (or any successor form) to the Issuing Entity Administrator or the U.S. withholding agent; |
B-3
Table of Contents
III. | the holder claims an exemption stating that the income is effectively connected to a U.S. trade or business and provides a properly executed IRS Form W-8ECI (or any successor form) to the [ ] or the U.S. withholding agent; or | ||
IV. | the holder is a “nonwithholding partnership” and provides a properly executed IRS Form W-8IMY (or any successor form) with all necessary attachments to the Trustee or the U.S. withholding agent. Certain pass-through entities that have entered into agreements with the Internal Revenue Service (for example “qualified intermediaries”) may be subject to different documentation requirements; and such holders are encouraged to consult with their tax advisors when purchasing the Bond. |
B-4
Table of Contents
SEQUOIA ALTERNATIVE LOAN TRUST
Sponsor and Seller
Depositor
Issuing Entity
Table of Contents
The information in this prospectus supplement is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
(To Prospectus dated [ ], 200[_])
• | [___] class(es) of Senior Class [___] Certificates; | |
• | [___] classes of Subordinated Class [___] Certificates; and | |
• | [a residual certificate.] |
• | Will be collateralized by primarily year [fixed adjustable] rate, mortgage loans secured by first liens on one- to four-family residential properties; | |
• | The classes of certificates offered by this prospectus supplement are listed, together with their initial class principal amounts and interest rates, under “Summary of Terms—The Offered Certificates” on page S-[___] of this prospectus supplement. This prospectus supplement and the accompanying prospectus relate only to the offering of certificates listed in the table on page S-[___] and not to the ownership certificate that will be issued by the issuing entity as described in this prospectus supplement; | |
• | Pay all holders of certificates the amounts of principal and interest due thereon on the [___] day of each month, or if such day is not a business day, the next succeeding business day, commencing on [___], 200[___]; and | |
• | Will have various forms of credit enhancement of the types described in this prospectus supplement, including [excess interest,] [overcollateralization,] [subordination,] [a certificate insurance policy,] [and] [interest rate swap agreements]. [Forms of credit enhancement to be described as applicable.] |
Table of Contents
and the Accompanying Prospectus
(a) | to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; | ||
(b) | to any legal entity which has two or more of (1) an average of at least 250 employees, during the last financial year; (2) a total balance sheet of more than €43,000,000 and (3) an annual net turnover of more than #eu#50,000,000, as shown in its last annual or consolidated accounts; or | ||
(c) | in any other circumstances which do not require the publication by the issuing entity of a prospectus pursuant to Article 3 of the Prospectus Directive. |
S-i
Table of Contents
Page | ||||
S-1 | ||||
S-2 | ||||
S-11 | ||||
S-11 | ||||
S-11 | ||||
S-11 | ||||
S-11 | ||||
S-12 | ||||
S-12 | ||||
S-14 | ||||
S-14 | ||||
S-15 | ||||
S-15 | ||||
S-16 | ||||
S-16 | ||||
S-17 | ||||
S-17 | ||||
S-18 | ||||
S-18 | ||||
S-18 | ||||
S-19 | ||||
S-19 | ||||
S-19 | ||||
S-19 | ||||
S-20 | ||||
S-21 | ||||
S-22 | ||||
S-23 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-25 | ||||
S-26 | ||||
S-26 | ||||
S-27 | ||||
S-28 | ||||
S-29 | ||||
S-31 | ||||
S-31 | ||||
S-32 | ||||
S-32 | ||||
S-32 | ||||
S-33 | ||||
S-33 | ||||
S-33 | ||||
S-33 | ||||
S-33 |
S-ii
Table of Contents
Page | ||||
S-33 | ||||
S-33 | ||||
S-34 | ||||
S-34 | ||||
S-35 | ||||
S-35 | ||||
S-35 | ||||
S-36 | ||||
S-36 | ||||
S-37 | ||||
S-37 | ||||
S-38 | ||||
S-38 | ||||
S-38 | ||||
S-38 | ||||
S-39 | ||||
S-41 | ||||
S-41 | ||||
S-43 | ||||
S-44 | ||||
S-45 | ||||
S-45 | ||||
S-45 | ||||
S-47 | ||||
S-50 | ||||
S-51 | ||||
S-51 | ||||
S-51 | ||||
S-51 | ||||
S-51 | ||||
S-54 | ||||
S-54 | ||||
S-54 | ||||
S-58 | ||||
S-58 | ||||
S-58 | ||||
S-58 | ||||
S-58 | ||||
S-59 | ||||
S-60 | ||||
S-60 | ||||
S-60 | ||||
S-60 | ||||
S-61 | ||||
S-62 | ||||
S-62 | ||||
S-62 | ||||
I-1 | ||||
G-1 | ||||
A-1 | ||||
B-1 |
S-iii
Table of Contents
Initial Certificate Ratings | ||||||||||||||||||||
Initial Class | ||||||||||||||||||||
Principal | Initial Interest | Interest Rate | ||||||||||||||||||
Class | Amount(1) | Rate(2) | Formula | Principal Type | Interest Type | Moody’s | S&P |
(1) | These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement. | |
(2) | Reflects the interest rate as of the closing date. | |
(3) | An annual rate equal to the weighted average of the net mortgage rates of the mortgage loans during the applicable period, as described in this Prospectus Supplement. | |
(4) | The designation “N/R” means that the specified rating agency will not rate the certificates of that class. |
Minimum | |||||||||||||||||||||||
Final | Denomination or | ||||||||||||||||||||||
Delay/Accrual | Interest Accrual | Scheduled | Expected Final | Percentage | Incremental | CUSIP | |||||||||||||||||
Class | Record Date(1) | Period(2) | Convention | Payment Date(3) | Payment Date(4) | Interest(5) | Denomination | Number |
S-1
Table of Contents
• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the certificates, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While the summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the mortgage loans in the trust fund, that percentage has been calculated on the basis of the total stated principal balance of those mortgage loans as of [___, ___] unless we specify otherwise. We explain in this prospectus supplement under “Glossary of Defined Terms” how the stated principal balance of a mortgage loan is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any mortgage loans, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
S-2
Table of Contents
S-3
Table of Contents
S-4
Table of Contents
S-5
Table of Contents
S-6
Table of Contents
Weighted | Total | |||||||||||
Range or Total | Average | Percentage | ||||||||||
Number of Mortgage Loans | ||||||||||||
Total Principal Balance | ||||||||||||
Principal Balances | ||||||||||||
Mortgage Rates | ||||||||||||
Original Terms to Maturity (in months) | ||||||||||||
Remaining Terms to Maturity (in months) | ||||||||||||
Original Loan-to Value Ratios | ||||||||||||
Number of One-Year LIBOR Mortgage Loans | ||||||||||||
Number of One-Year CMT Mortgage Loans | ||||||||||||
Number of Interest Only Mortgage Loans | ||||||||||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled Principal Balance: | ||||||||||||
Ÿ California | ||||||||||||
Maximum Single Zip Code Concentration | ||||||||||||
Credit Scores | ||||||||||||
Number of Mortgage Loans with Prepayment Penalties at Origination | ||||||||||||
Gross Margins | ||||||||||||
Maximum Mortgage Rates | ||||||||||||
Minimum Mortgage Rates | ||||||||||||
Months to Next Mortgage Rate Adjustment | ||||||||||||
Initial Caps | ||||||||||||
Periodic Caps |
* | The weighted average is based only on the mortgage loans having credit scores. |
S-7
Table of Contents
S-8
Table of Contents
S-9
Table of Contents
S-10
Table of Contents
S-11
Table of Contents
S-12
Table of Contents
• | if you buy a Class [___] Certificate and losses on the related mortgage loans exceed the total principal amount of the class of certificates subordinate to your certificates (if any), plus, if applicable to the trust and as specified in this prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your certificates will be reduced proportionately with the principal amounts of the other certificates of your class by the amount of that excess; and | ||
• | after the total principal amount of the subordinate certificates has been reduced to zero, losses on the mortgage loans may reduce the principal amounts (or notional amounts) of the senior certificates. |
S-13
Table of Contents
S-14
Table of Contents
• | If you purchase certificates at a discount, especially any principal-only certificates, and principal prepayments on the related mortgage loans are received at a rate slower than you anticipate, then your yield may be lower than you anticipate. | ||
• | If you purchase certificates at a premium, especially any interest-only certificates, and principal prepayments on the related mortgage loans are received at a rate faster than you anticipate, then your yield may be lower than you anticipate. |
• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; |
S-15
Table of Contents
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | ||
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
S-16
Table of Contents
S-17
Table of Contents
S-18
Table of Contents
S-19
Table of Contents
Number of Subsequent Mortgage Loans |
Total Scheduled Principal Balance |
Mortgage Rates: |
Weighted Average |
Range |
Weighted Average Remaining Term to Maturity (in months) |
Original Loan-to-Value Ratios: |
Weighted Average |
Range |
Scheduled Principal Balances: |
Average |
Range |
• | [The subsequent mortgage loans conveyed on the subsequent transfer date must satisfy the same representations and warranties applicable to the initial mortgage loans set forth in the Mortgage Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Certificates; | ||
• | The subsequent mortgage loans conveyed on the subsequent transfer date are selected in a manner reasonably believed not to be adverse to the interests of the Certificateholders; | ||
• | [The Certificate Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Pooling and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of subsequent mortgage loans in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the subsequent mortgage loans on the subsequent transfer date will not result in a reduction or withdrawal of any ratings assigned to the Offered Certificates; |
S-20
Table of Contents
• | [No subsequent mortgage loan conveyed on the subsequent transfer date may be more than one monthly payment delinquent in payment;] | ||
• | Each subsequent mortgage loan will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No subsequent mortgage loan may have a remaining term to maturity exceeding [ ] months; | ||
• | [No subsequent mortgage loan may have a Loan-to-Value Ratio greater than [125]%;] | ||
• | The weighted average Mortgage Rate for all the Mortgage Loans at the end of the Pre-Funding Period must not be more than 100 basis points lower than the weighted average Mortgage Rate of the initial mortgage loans; | ||
• | Following the conveyance of the subsequent mortgage loans on the subsequent transfer date, the weighted average characteristics of the Mortgage Loans the Mortgage Pool will remain substantially similar to the characteristics of the initial mortgage loans in the Mortgage Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Certificates, the Certificate Trustee and the Underwriters with a letter stating that the characteristics of the subsequent mortgage loans conform to the characteristics described above and in the Pooling and Servicing Agreement.]] |
S-21
Table of Contents
• | [The Additional Mortgage Loans at the time of conveyance to the Trust must satisfy the representations and warranties set forth in the Mortgage Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Certificates; | ||
• | The Additional Mortgage Loans are selected in a manner reasonably believed not to be adverse to the interests of the Certificateholders; | ||
• | [The Certificate Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Pooling and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of Additional Mortgage Loans in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the Additional Mortgage Loans will not result in a reduction or withdrawal of any ratings assigned to the Offered Certificates; | ||
• | [No Additional Mortgage Loan may be more than one monthly payment delinquent in payment at the time of conveyance to the Trust]; | ||
• | Each Additional Mortgage Loan will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No Additional Mortgage Loan may have a remaining term to maturity exceeding [ ] months; | ||
• | [No Additional Mortgage Loan may have a Loan-to-Value Ratio greater than 100%;] | ||
• | The weighted average Mortgage Rate for all the Mortgage Loans at the end of the Revolving Period must not be more than [100] basis points lower than the weighted average Mortgage Rate of the Mortgage Loans as of the cut-off date; | ||
• | Following the conveyance of the Additional Mortgage Loans on a subsequent transfer date, the weighted average characteristics of the Mortgage Loans in the Mortgage Pool will remain substantially similar to the characteristics of the Mortgage Loans in the Mortgage Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Certificates, the Certificate Trustee and the Underwriters at [applicable interval] with a letter stating that the characteristics of the Additional Mortgage Loans conform to the characteristics described above and in the Pooling and Servicing Agreement.] |
S-22
Table of Contents
S-23
Table of Contents
S-24
Table of Contents
S-25
Table of Contents
S-26
Table of Contents
S-27
Table of Contents
S-28
Table of Contents
S-29
Table of Contents
• | first, to the Senior Interest Payment Amount; | ||
• | second, to the Senior Principal Payment Amount; | ||
• | third, to the Subordinated Interest Payment Amount; | ||
• | fourth, to the Subordinated Principal Payment Amount; | ||
• | fifth, to the holder of the Residual Certificate, the balance of any remaining Available Funds. |
S-30
Table of Contents
Remaining | ||||||||||||||||
Original Term | Term to | |||||||||||||||
Net | in Maturity | Maturity | ||||||||||||||
Principal Balance | Mortgage Rate | Mortgage Rate | (in Months) | (in months) | ||||||||||||
$ | % | % |
S-31
Table of Contents
S-32
Table of Contents
S-33
Table of Contents
S-34
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicer | [Monthly] | A monthly fee paid to the servicer, from amounts that would otherwise be distributed to certificateholders in respect of interest, calculated on the outstanding principal balance of each mortgage loan, at the applicable servicing fee rate,plus, all income earned on amounts on deposit in the custodial account. | [Withdrawn from the custodial account in respect of each mortgage loan before distribution of any amounts to certificateholders.] |
S-35
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Master Servicer | [Monthly] | All investment earnings on amounts on deposit in the certificate distribution account. | [Retained by the master servicer from the certificate distribution account before distribution of any amounts to certificateholders.] | |||
Issuing Entity Administrator | [Monthly] | A monthly fee paid to the issuing entity administrator, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] | |||
Trustee | [Monthly] | A fixed annual fee of $[ ]. | [Paid by the master servicer from the master servicing fee pursuant to a separate agreement between the trustee and the master servicer.] | |||
Custodian(s) | [Monthly] | A monthly fee paid to each custodian, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] |
S-36
Table of Contents
S-37
Table of Contents
S-38
Table of Contents
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
S-39
Table of Contents
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number of | |||||||||||||
Loans | Balance | Balance | Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
(1) | These tables show mortgage loans which were delinquent or for which foreclosure proceedings had been instituted as of the date indicated. | |
(2) | No mortgage loan is included in this table as delinquent until it is 30 days past due. | |
(3) | Exclusive of the number of loans and principal balance shown in the period of delinquency. |
S-40
Table of Contents
• | [collecting monthly remittances of principal and interest on the Mortgage Loans from the related borrowers, depositing such amounts (net of the related servicing fees) in the Servicing Account, and delivering all amounts on deposit in the Servicing Account to the Master Servicer for deposit in the Certificate Distribution Account on the Servicer Remittance Date; | ||
• | collecting amounts in respect of taxes and insurance from the related borrowers, depositing such amounts in the related escrow account, and paying such amounts to the related taxing authorities and insurance providers, as applicable; | ||
• | making Monthly Advances with respect to delinquent payments of principal and interest on the Mortgage Loans; | ||
• | making Servicing Advances in respect of reasonable and customary “out of pocket” costs and expenses; | ||
• | providing monthly loan-level reports to the [Servicer] and the Master Servicer; | ||
• | maintaining certain insurance policies relating to the Mortgage Loans; and | ||
• | initiating foreclosure proceedings.] |
• | verifying that the Subservicer’s reporting and remitting are mathematically accurate and are being performed in accordance with the terms of the Pooling and Servicing Agreement; | ||
• | verifying that the Servicing Account reconciliations are being performed according to Uniform Single Attestation Program for Mortgage Bankers guidelines; | ||
• | monitoring the Delinquency Rate and identifying any substantial increases or decreases on a monthly basis; and | ||
• | performing the servicing functions with respect to Mortgage Loans described under “Subservicer” above in the event that the Subservicer fails to perform such functions. |
S-41
Table of Contents
• | [[monitoring the Servicer’s performance and enforcing the Servicer’s obligations under the Pooling and Servicing Agreement;] | ||
• | collecting monthly remittances from or on behalf of the Servicer for deposit in the Certificate Distribution Account on the Servicer Remittance Date and delivering all amounts on deposit in the Certificate Distribution Account to the Paying Agent for deposit in the Certificate Payment Account on the Master Servicer Remittance Date; | ||
• | gathering the monthly loan-level reports delivered by or on behalf of the Servicer and providing a comprehensive loan-level report to the Issuing Entity Administrator with respect to the Mortgage Loans; | ||
• | upon the occurrence of a Servicer event of default under the Pooling and Servicing Agreement, at its discretion, terminating the Servicer; | ||
• | upon the termination of the Servicer under the Pooling and Servicing Agreement, appointing a successor servicer or succeeding as Servicer; and | ||
• | upon the Master Servicer’s becoming the successor Servicer and in the event the terminated Servicer failed to make Advances with respect to a Mortgage Loan, making those Advances to the extent provided in the Pooling and Servicing Agreement.] |
• | [acting as Certificate Registrar and Paying Agent; | ||
• | receiving monthly remittances from the Master Servicer for deposit in the Certificate Payment Account; | ||
• | distributing all amounts on deposit in the Certificate Payment Account in accordance with the priorities described under “Description of the Certificates—Payments of Interest,” “—Payments of Principal” and “—Credit Enhancement—Application of Monthly Excess Cashflow” on each Distribution Date; | ||
• | performing the calculation of accrual of original issue discount and the amortization of premium on the Securities; | ||
• | preparing and making available on its website a payment statement to Securityholders based on information received from the Servicer and the Master Servicer; and | ||
• | preparing and filing periodic reports with the Securities and Exchange Commission on behalf of the Trust with respect to the Certificates.] |
• | [examining certificates, statements and opinions required to be furnished to it to ensure they are in the form required under the Pooling and Servicing Agreement; |
S-42
Table of Contents
• | enforcing the obligations of each of the Master Servicer and the Issuing Entity Administrator under the Pooling and Servicing Agreement, the Pooling and Servicing Agreement and the Administration Agreement, as applicable; | ||
• | upon the occurrence of a Master Servicer event of default under the Pooling and Servicing Agreement, at its discretion (or if so directed by the Residual Holder or Certificateholders having more than 50% of the voting rights applicable to each Class of Certificates affected thereby), terminating the Master Servicer; and | ||
• | upon such termination of the Master Servicer under the Pooling and Servicing Agreement, appointing a successor Master Servicer or succeeding as Master Servicer.] |
• | [holding and maintaining the Mortgage Loan documents related to the Mortgage Loans on behalf of the Certificate Trustee.] |
Issuing Entity | ||||
Account | Responsible Party: | Application of any Investment Earnings: | ||
Servicing Account | Servicer (or Subservicer on its behalf) | [Any investment earnings (net of any losses realized) will be paid as compensation to the Servicer (or, if the account is maintained by the Subservicer, the Subservicer) and will not be available for payments to Certificateholders.] | ||
Certificate Distribution Account | Master Servicer | [Any investment earnings (net of the Certificate Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer and will not be available for payments to Certificateholders.] | ||
Distribution Account | Issuing Entity Administrator | [Any investment earnings (net of the Certificate Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer, and will not be available for payments to Certificateholders.] |
S-43
Table of Contents
Issuing Entity | ||||
Account | Responsible Party: | Application of any Investment Earnings: | ||
Certificate Distribution Account | Issuing Entity Administrator | [Amounts on deposit in the Certificate Distribution Account will not be invested.] | ||
[Basis Risk Reserve Fund] | [Issuing Entity Administrator] | [Amounts on deposit in the Basis Risk Reserve Fund will not be invested.] | ||
[Swap Payment Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Cap Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Capitalized Interest Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Certificateholders.] | ||
[Pre-Funding Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Certificateholders.] | ||
[Revolving Account] | [Issuing Entity Administrator] | [Any investment earnings will be paid to the Depositor and will not be available for payments to Certificateholders.] |
[___] | Collection Period: | [Payments due during the related Collection Period ([___] through [___]) from borrowers will be deposited in the Servicing Account as received and will include scheduled principal and interest payments due during the related Collection Period.] | ||
[___] | Prepayment Period for partial and full prepayments received from Mortgage Loans: | [Partial principal prepayments and principal prepayments in full received by the Servicer during the related Prepayment Period ([___] through [___]) will be deposited into the Servicing Account for remittance to the Master Servicer on the Servicer Remittance Date ([___] [18]).] | ||
[___] [18] | Servicer Remittance Date: | [The Servicer will remit collections and recoveries in respect of the Mortgage Loans to the Master Servicer for deposit into the Certificate Distribution Account on or prior to the [18]th day of each month (or if the [18]th day is not a Business Day, the |
S-44
Table of Contents
immediately preceding Business Day).] | ||||
[___] [24] | Master Servicer Remittance Date: | [The Master Servicer will remit to the Paying Agent amounts on deposit in the Certificate Distribution Account for deposit into the Certificate Payment Account, including any Advances made by the Servicer, the Subservicer or the Master Servicer for that Distribution Date, on or before the Master Servicer Remittance Date.] | ||
[___] [24] | Record Date: | [Payments will be made to Certificateholders of record for all classes of Certificates as of the Business Day immediately preceding the related Distribution Date.] | ||
[___] [25] | Distribution Date: | [On the [25]th day of each month (or if the [25]th day is not a Business Day, the next Business Day), the Paying Agent will make payments from amounts on deposit in the Certificate Payment Account to Certificateholders and, to the extent of funds available after all other required payments are made, will deposit into the Certificate Distribution Account any amounts remaining.] |
S-45
Table of Contents
S-46
Table of Contents
S-47
Table of Contents
S-48
Table of Contents
• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the servicer that are backed by the same types of assets as those backing the offered securities, as well as similar reports on assessment of compliance received from certain other parties participating in the servicing function as required by relevant SEC regulations; | ||
• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | ||
• | a statement of compliance from the servicer, and similar statements from certain other parties involved in servicing the mortgage loans as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the servicer’s activities during the reporting period and of its performance under the applicable servicing agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the servicer has fulfilled all of its obligations under the servicing agreement in all materials respects throughout the reporting period or, if there has been a failure to fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
S-49
Table of Contents
S-50
Table of Contents
• | [98]% to the classes of Certificates in proportion to their respective outstanding Certificate Principal Amounts; and | ||
• | [2]% to the Residual Holder. |
• | the final payment or other liquidation, or any related advance, of the last Mortgage Loan; | ||
• | the disposition of all property acquired in respect of any Mortgage Loan remaining in the Trust; and | ||
• | exercise by the Residual Holder of its right to purchase the Mortgage Loans and other property of the Trust as described under “Description of the Certificate—Optional Purchase of the Mortgage Loans.” |
S-51
Table of Contents
S-52
Table of Contents
• | the amount of overcollateralization. This means the extent to which interest on the Mortgage Loans is accruing on a higher principal balance than the aggregate Class Principal Amounts of the Certificates; | ||
• | the loss experience of the Mortgage Loans. For example, excess interest will be reduced as a result of Realized Losses on the Mortgage Loans; | ||
• | the value of LIBOR; | ||
• | [to the extent which amounts are received by the Trust under the Swap Agreements; and] | ||
• | the extent to which the weighted average Net Mortgage Rates of the Mortgage Loans exceed the weighted average of the Certificate Interest Rates of the Certificates. |
S-53
Table of Contents
S-54
Table of Contents
S-55
Table of Contents
Remaining | Original | Months to | Initial | Subsequent | Rate | |||||||||||||||||||||||||
Principal | Gross | Net | Term to | Term to | Next Rate | Gross | Periodic | Periodic | Adjustment | Remaining | ||||||||||||||||||||
Loan | Balance | Mortgage | Mortgage | Expense | Maturity | Maturity | Adjustment | Maximum | Minimum | Margin | Rate | Rate | Frequency | IO Term | Index | |||||||||||||||
Number | ($) | Rate (%) | Rate (%) | Fee Rate | (months) | (months) | Date | Rate (%) | Rate (%) | (%) | Cap (%) | Cap (%) | (months) | (months) | Type | |||||||||||||||
1 | ||||||||||||||||||||||||||||||
2 | ||||||||||||||||||||||||||||||
3 | ||||||||||||||||||||||||||||||
4 | ||||||||||||||||||||||||||||||
5 | ||||||||||||||||||||||||||||||
6 | ||||||||||||||||||||||||||||||
7 | ||||||||||||||||||||||||||||||
8 | ||||||||||||||||||||||||||||||
9 | ||||||||||||||||||||||||||||||
10 | ||||||||||||||||||||||||||||||
11 | ||||||||||||||||||||||||||||||
12 | ||||||||||||||||||||||||||||||
13 | ||||||||||||||||||||||||||||||
14 | ||||||||||||||||||||||||||||||
15 | ||||||||||||||||||||||||||||||
16 | ||||||||||||||||||||||||||||||
17 | ||||||||||||||||||||||||||||||
18 | ||||||||||||||||||||||||||||||
19 | ||||||||||||||||||||||||||||||
20 | ||||||||||||||||||||||||||||||
21 | ||||||||||||||||||||||||||||||
22 | ||||||||||||||||||||||||||||||
23 | ||||||||||||||||||||||||||||||
24 |
S-56
Table of Contents
Class [____] and Class [___] Certificates Outstanding
at the Following Percentages of CPR
Class [___] Certificates | Class [___] Certificates | ||||||||||||||||||||
0% | 10% | 25% | 40% | 50% | 0% | 10% | 25% | 40% | 50% | ||||||||||||
Initial Percentage | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
Weighted Average | |||||||||||||||||||||
Life in Years: | |||||||||||||||||||||
Without Optional | |||||||||||||||||||||
Termination | |||||||||||||||||||||
With Optional | |||||||||||||||||||||
Termination |
S-57
Table of Contents
S-58
Table of Contents
S-59
Table of Contents
S-60
Table of Contents
S-61
Table of Contents
S-62
Table of Contents
S-63
Table of Contents
PAGE | ||
Additional Mortgage Loans | S- | |
Adjustment Date | S- | |
Advance | S- | |
Agreements | S- | |
Available Funds | S- | |
Beneficial owner | S- | |
Book-Entry Certificates | S- | |
Certificate Distribution Amount | S- | |
Certificateholders | S- | |
Certificate Interest Payment Amount | S- | |
Certificate Interest Rate | S- | |
Certificate Owners | S- | |
Certificate Trustee | S- | |
Certificates | S- | |
Class Certificate Interest Rate | S- | |
Cap Contract | S- | |
CEDEL Participants | S- | |
Class Principal Amount | S- | |
Code | S- | |
Controlling Class | S- | |
Cooperative | S- | |
CPR | S- | |
Defective Mortgage Loan | S- | |
Definitive Certificate | S- | |
Deleted Mortgage Loan | S- | |
Depositor | S- | |
Distribution Account | S- | |
Distribution Date | S- | |
DTC | S- | |
DTC Participant | S- | |
Due Date | S- | |
ERISA | S- | |
Euroclear Operator | S- | |
Euroclear Participants | S- | |
European Depositaries | S- | |
Excess Interest | S- | |
FHA Mortgage Loans | S- | |
Financial Intermediary | S- | |
Fixed Rate Mortgage Loans | S- | |
Global Certificates | S- | |
Gross Margin | S- | |
High Cost | S- | |
Indirect Participants | S- | |
Insurance Proceeds | S- | |
Interest Accrual Period | S- | |
Interest Payment Amount | S- | |
Invested Amount | S- | |
Invested Amount Payment | S- | |
Investor Certificate | S- | |
Investor Percentage | S- |
I-1
Table of Contents
PAGE | ||
IRS | S- | |
Issuing Entity | S- | |
Liquidated Mortgage Loan | S- | |
Liquidation Proceeds | S- | |
Loan-to-Value Ratio | S- | |
Management Agreement | S- | |
Master Servicing Fee | S- | |
Maximum Rate | S- | |
Modeling Assumptions | S- | |
Monthly Advance | S- | |
Morgan | S- | |
Mortgage | S- | |
Mortgage File | S- | |
Mortgage Loan Pool | S- | |
Mortgage Loans | S- | |
Mortgage Note | S- | |
Mortgaged Property | S- | |
Mortgage Related Securities | S- | |
Net Interest Shortfalls | S- | |
Offered Certificates | S- | |
OID | S- | |
Original Invested Amount | S- | |
Original Senior Class Principal Amount | S- | |
Original Subordinated Class Principal Amount | S- | |
Originator | S- | |
Overcollateralization | S- | |
Participants | S- | |
Periodic Cap | S- | |
Plan | S- | |
Plan Assets Regulation | S- | |
Pooling and Servicing Agreement | S- | |
Pool Principal Balance | S- | |
Prepayment Assumption | S- | |
Prepayment Interest Shortfall | S- | |
Prospectus Directive | S- | |
PTCE | S- | |
Realized Loss | S- | |
Record Date | S- | |
Redwood Trust | S- | |
Regular Interests | S- | |
Relevant Depositary | S- | |
Relevant Implementation Date | S- | |
Relevant Member State | S- | |
Relief Act Reduction | S- | |
REMIC | S- | |
Replacement Mortgage Loan | S- | |
Residual Interests | S- | |
Revolving Account | S- | |
Revolving Period | S- | |
Rules | S- | |
RWT Holdings | S- | |
SEC | S- | |
Senior Certificate Interest Rate | S- | |
Senior Certificates | S- |
I-2
Table of Contents
PAGE | ||
Senior Class Principal Amount | S- | |
Senior Interest Payment Amount | S- | |
Senior Percentage | S- | |
Senior Principal Payment Amount | S- | |
Servicing Agreement | S- | |
Servicing Fee | S- | |
Servicing Fee Rate | S- | |
SMMEA | S- | |
Stated Principal Balance | S- | |
Structuring Assumptions | S- | |
Subordinated Certificate Interest Rate | S- | |
Subordinated Certificates | S- | |
Subordinated Class Principal Amount | S- | |
Subordinated Interest Carryover Shortfall | S- | |
Subordinated Interest Payment Amount | S- | |
Subordinated Percentage | S- | |
Subordinated Principal Carryover Shortfall | S- | |
Subordinated Principal Payment Amount | S- | |
Substitution Adjustment Amount | S- | |
Terms and Conditions | S- | |
United States Person | S- | |
U.S. Withholding Agent | S- | |
VA Mortgage Loan | S- | |
Variable Rate Debt Instruments | S- |
I-3
Table of Contents
Table of Contents
G-2
Table of Contents
G-3
Table of Contents
G-4
Table of Contents
G-5
Table of Contents
G-6
Table of Contents
G-7
Table of Contents
G-8
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Non-Zero | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Weighted | Average | Average | ||||||||||||||||||||||
Cut-off Date | Mortgage | Balance | Balance | Mortgage | Average | Principal | Original | |||||||||||||||||||||
Principal Balances ($) | Loans | Outstanding | Outstanding | Rate | Credit Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-1
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original LTV Ratios (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Geographic Distribution | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
A-2
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Prepayment Penalty (Years) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Interest Only Period (Months) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Mortgage Loan Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-3
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Months Elapsed Since Origination | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Prepayment Penalty Description | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Subsequent Periodic Cap (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-4
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Originator | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Servicer Concentration | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-5
Table of Contents
B-1
Table of Contents
B-2
Table of Contents
(a) | borrowing through CEDEL or Euroclear for one day (until the purchase side of the day trade is reflected in their CEDEL or Euroclear accounts) in accordance with the clearing system’s customary procedures; | ||
(b) | borrowing the Global Certificates in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Certificates sufficient time to be reflected in their CEDEL or Euroclear account in order to settle the sale side of the trade; or | ||
(c) | staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the CEDEL Participant or Euroclear Participant. |
I. | the [ ], on behalf of the Trustee, or the U.S. withholding agent receives a statement — |
(a) | from the holder on Internal Revenue Service (“IRS”) Form W-8BEN (or any successor form) that — |
(i) | is signed by the Certificateholder under penalty of perjury, | ||
(ii) | certifies that such owner is not a United States person, and (iii) provides the name and address of the Certificateholder, or |
(b) | from a securities clearing organization, a bank or other financial institution that holds customers’ securities in the ordinary course of its trade or business that — |
(i) | is signed under penalties of perjury by an authorized representative of the financial institution, | ||
(ii) | states that the financial institution has received an IRS Form W-8BEN (or any successor form) from the certificateholder or that another financial institution acting on behalf of the certificateholder has received such IRS Form W-8BEN (or any successor form), | ||
(iii) | provides the name and address of the Certificateholder, and | ||
(iv) | attaches the IRS Form W-8BEN (or any successor form) provided by the Certificateholder; |
II. | the holder claims an exemption or reduced rate based on a treaty and provides a properly executed IRS Form W-8BEN (or any successor form) to the Issuing Entity Administrator or the U.S. withholding agent; |
B-3
Table of Contents
III. | the holder claims an exemption stating that the income is effectively connected to a U.S. trade or business and provides a properly executed IRS Form W-8ECI (or any successor form) to the [ ] or the U.S. withholding agent; or | |
IV. | the holder is a “nonwithholding partnership” and provides a properly executed IRS Form W-8IMY (or any successor form) with all necessary attachments to the Trustee or the U.S. withholding agent. Certain pass-through entities that have entered into agreements with the Internal Revenue Service (for example “qualified intermediaries”) may be subject to different documentation requirements; and such holders are encouraged to consult with their tax advisors when purchasing the Certificate. |
B-4
Table of Contents
SEQUOIA ALTERNATIVE LOAN TRUST
Sponsor and Seller
Depositor
Issuing Entity
Table of Contents
The information in this prospectus supplement is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
(To Prospectus dated [ ], 200[_] )
• | [___] class(es) of senior notes; | |
• | [___] class(es) of subordinate notes; and | |
• | [Two] classes of equity certificates that are not offered for sale by this prospectus supplement. |
• | Represent debt obligations of the issuing entity; | |
• | Are principally secured by a pool of adjustable-rate revolving home equity line of credit home equity line of credits (which are referred to in this prospectus supplement as the home equity loans); | |
• | Are not insured or guaranteed by any governmental agency; | |
• | Currently have no trading market; | |
• | The classes of notes offered by this prospectus supplement are listed, together with their initial class principal amounts and interest rates, under “Summary of Terms—The Offered Notes” on page S-[___] of this prospectus supplement. This prospectus supplement and the accompanying prospectus relate only to the offering of notes listed in the table on page S-[___] and not to the ownership certificate that will be issued by the issuing entity as described in this prospectus supplement; | |
• | Pay all holders of notes the amounts of principal and interest due thereon on the [___] day of each month, or if such day is not a business day, the next succeeding business day, commencing on [___], 200[___]; and | |
• | Will have various forms of credit enhancement of the types described in this prospectus supplement, including [excess interest,] [overcollateralization,] [subordination,] [insurance policy,] [and] [interest rate swap agreements]. [Forms of credit enhancement to be described as applicable.] |
Table of Contents
S-i
Table of Contents
(a) | to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; | ||
(b) | to any legal entity which has two or more of (1) an average of at least 250 employees, during the last financial year; (2) a total balance sheet of more than #eu#43,000,000 and (3) an annual net turnover of more than #eu#50,000,000, as shown in its last annual or consolidated accounts; or | ||
(c) | in any other circumstances which do not require the publication by the issuing entity of a prospectus pursuant to Article 3 of the Prospectus Directive. |
S-ii
Table of Contents
Page | ||||
S-1 | ||||
S-2 | ||||
S-11 | ||||
S-11 | ||||
S-11 | ||||
S-11 | ||||
S-11 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-13 | ||||
S-13 | ||||
S-13 | ||||
S-13 | ||||
S-15 | ||||
S-15 | ||||
S-16 | ||||
S-17 | ||||
S-17 | ||||
S-17 | ||||
S-17 | ||||
S-18 | ||||
S-18 | ||||
S-19 | ||||
S-19 | ||||
S-19 | ||||
S-20 | ||||
S-22 | ||||
S-22 | ||||
S-23 | ||||
S-23 | ||||
S-23 | ||||
S-23 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-26 | ||||
S-26 | ||||
S-26 | ||||
S-27 | ||||
S-28 | ||||
S-28 | ||||
S-30 | ||||
S-31 | ||||
S-33 | ||||
S-34 | ||||
S-34 | ||||
S-34 |
S-iii
Table of Contents
Page | ||||
S-35 | ||||
S-35 | ||||
S-35 | ||||
S-36 | ||||
S-37 | ||||
S-37 | ||||
S-38 | ||||
S-38 | ||||
S-38 | ||||
S-39 | ||||
S-39 | ||||
S-39 | ||||
S-39 | ||||
S-41 | ||||
S-41 | ||||
S-44 | ||||
S-45 | ||||
S-47 | ||||
S-47 | ||||
S-47 | ||||
S-48 | ||||
S-52 | ||||
S-53 | ||||
S-53 | ||||
S-53 | ||||
S-53 | ||||
S-53 | ||||
S-56 | ||||
S-56 | ||||
S-56 | ||||
S-60 | ||||
S-60 | ||||
S-60 | ||||
S-60 | ||||
S-62 | ||||
S-62 | ||||
S-62 | ||||
S-62 | ||||
S-63 | ||||
S-63 | ||||
S-63 | ||||
I-1 | ||||
G-1 | ||||
A-1 | ||||
B-1 |
S-iv
Table of Contents
Interest Rate | Interest Rate | |||||||||||||||
Initial Class | Initial | Formula Until | Formula After | |||||||||||||
Principal | Interest | Initial Purchase | Initial Purchase | Initial Note Ratings | ||||||||||||
Class | Amount(1) | Rate(2) | Date(3)(4) | Date(4)(5) | Principal Type | Interest Type | Moody’s | S&P | ||||||||
(1) | These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement. | |
(2) | Reflects the interest rate as of the closing date. | |
(3) | [Reflects the interest rate formula up to and including the earliest possible payment date on which the holder of the ownership certificate has the option to purchase the home equity lines of credit as described below under “— Optional Purchase of the HELOCs.”] | |
(4) | [Reflects the interest rate formula if the option to purchase the home equity lines of credit is not exercised by the holder of the ownership certificate at the earliest possible payment date as described below under “— Optional Purchase of the HELOCs”] | |
(5) | [Subject to the available funds rate and a maximum fixed rate cap of [___]% per annum, as described below under “— The Notes — Payment on the Notes — Interest Payments.”] | |
(6) | Reflects the expected final payment date, based upon (a) the prepayment assumption and the modeling assumptions used in this prospectus supplement, each as described under “Yield, Prepayment and Weighted Average Life — Weighted Average Life” [and (b) the assumption that the option to purchase the home equity lines of credit is exercised by the holder of the ownership certificate at the earliest possible payment date as described below under “— Optional Purchase of HELOCs.”] The actual final payment date for each class of offered notes may be earlier or later, and could be substantially later, than the applicable expected final payment date listed above. |
Minimum | ||||||||||||||||
Final | Denomination or | |||||||||||||||
Delay/Accrual | Interest Accrual | Scheduled | Expected Final | Percentage | Incremental | CUSIP | ||||||||||
Class | Record Date(1) | Period(2) | Convention | Payment Date(6) | Payment Date(6) | Interest(5) | Denomination | Number | ||||||||
S-1
Table of Contents
• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the notes, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While the summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the home equity lines of credit in the trust fund, that percentage has been calculated on the basis of the total stated principal balance of those home equity lines of credit as of [___, ___] unless we specify otherwise. We explain in this prospectus supplement under “Glossary of Defined Terms” how the stated principal balance of a home equity line of credit is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any home equity lines of credit, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
S-2
Table of Contents
S-3
Table of Contents
S-4
Table of Contents
S-5
Table of Contents
S-6
Table of Contents
Average or Weighted | ||||||
Range or Total | Average | Total Percentage | ||||
Number of HELOCs | ||||||
Total Principal Balance | ||||||
Principal Balances | ||||||
Loan Rates | ||||||
Original Terms to Maturity (in months) | ||||||
Remaining Terms to Maturity (in months) | ||||||
Original Draw Period | ||||||
Remaining Draw Period | ||||||
Credit Limit | ||||||
Credit Limit Utilization Rates | ||||||
[Original Loan-to-Value Ratios (First Lien HELOCs)] | ||||||
[Original Combined Loan-to-Value Ratios (Second Lien HELOCs)] | ||||||
Number of Interest-Only HELOCs | ||||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled Principal Balance: | ||||||
• California | ||||||
Maximum Single Zip Code Concentration | ||||||
Credit Scores | ||||||
Number of HELOCs with Prepayment Penalties at Origination | ||||||
Gross Margins | ||||||
Maximum Mortgage Rates | ||||||
Minimum Mortgage Rates |
* | Non-zero weighted average. |
S-7
Table of Contents
S-8
Table of Contents
S-9
Table of Contents
S-10
Table of Contents
S-11
Table of Contents
• | the amortization schedules of the home equity loans; | ||
• | the rate of principal prepayments (including partial prepayments and prepayments in full) by borrowers; | ||
• | liquidations of defaulted home equity loans by the servicer; | ||
• | additional draws on home equity loans; | ||
• | repurchases of home equity loans by the seller as a result of defective documentation or breaches of representations and warranties; and | ||
• | the optional redemption of the notes. |
S-12
Table of Contents
S-13
Table of Contents
• | if you buy a Class [___] Note and losses on the related home equity lines of credit exceed the total principal amount of the class of notes subordinate to your notes (if any), plus, if applicable to the trust and as specified in this prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your notes will be reduced proportionately with the principal amounts of the other notes of your class by the amount of that excess; and | ||
• | after the total principal amount of the subordinate notes has been reduced to zero, losses on the home equity lines of credit may reduce the principal amounts (or notional amounts) of the senior notes. |
S-14
Table of Contents
S-15
Table of Contents
• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their home equity lines of credit; | ||
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | ||
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
S-16
Table of Contents
S-17
Table of Contents
S-18
Table of Contents
Number of Subsequent HELOCs | ||||
Total Principal Balance | ||||
Loan Rates: | ||||
Weighted Average | ||||
Range | ||||
Weighted Average Remaining Term to Maturity (in months) | ||||
Original Loan-to-Value Ratios: | ||||
Weighted Average | ||||
Range | ||||
Principal Balances: | ||||
Average | ||||
Range |
• | [The Subsequent HELOCs conveyed on the subsequent transfer date must satisfy the same representations and warranties applicable to the Initial HELOCs set forth in the Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Notes; | ||
• | The Subsequent HELOCs conveyed on the subsequent transfer date are selected in a manner reasonably believed not to be adverse to the interests of the Noteholders; |
S-19
Table of Contents
• | [The Indenture Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Transfer and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of Subsequent HELOCs in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the Subsequent HELOCs on the subsequent transfer date will not result in a reduction or withdrawal of any ratings assigned to the Offered Notes; | ||
• | [No Subsequent HELOC conveyed on the subsequent transfer date may be more than one monthly payment delinquent in payment;] | ||
• | Each Subsequent HELOC will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No Subsequent HELOC may have a remaining term to maturity exceeding [___] months; | ||
• | [No Subsequent HELOC may have a Loan-to-Value Ratio greater than [125]%;] | ||
• | The weighted average Loan Rate for all the HELOCs at the end of the Pre-Funding Period must not be more than 100 basis points lower than the weighted average Loan Rate of the Initial HELOCs; | ||
• | Following the conveyance of the Subsequent HELOCs on the subsequent transfer date, the weighted average characteristics of the HELOCs the Loan Pool will remain substantially similar to the characteristics of the Initial HELOCs in the Loan Pool as of the cut-off date; and | ||
• | [An independent accountant must provide the Depositor, the applicable rating agencies rating the Notes, the Indenture Trustee and the Underwriters with a letter stating that the characteristics of the Subsequent HELOCs conform to the characteristics described above and in the Transfer and Servicing Agreement.]] |
S-20
Table of Contents
• | [The Additional HELOCs at the time of conveyance to the Trust must satisfy the representations and warranties set forth in the Loan Purchase Agreement, which representations and warranties have been confirmed by the rating agencies rating the Notes; | ||
• | The Additional HELOCs are selected in a manner reasonably believed not to be adverse to the interests of the Noteholders; | ||
• | [The Indenture Trustee receives an Officer’s Certificate confirming the satisfaction of each condition precedent specified in the Transfer and Servicing Agreement and opinions of counsel with respect to certain corporate, bankruptcy and tax matters relating to the transfer of Additional HELOCs in the forms substantially similar to those delivered on the Closing Date;] | ||
• | The conveyance of the Additional HELOCs will not result in a reduction or withdrawal of any ratings assigned to the Offered Notes; | ||
• | [No Additional HELOC may be more than one monthly payment delinquent in payment at the time of conveyance to the Trust]; | ||
• | ·Each Additional HELOC will have been underwritten substantially in accordance with the applicable originator’s underwriting guidelines; | ||
• | No Additional HELOC may have a remaining term to maturity exceeding [ ] months; | ||
• | [No Additional HELOC may have a Loan-to-Value Ratio greater than 100%;] | ||
• | The weighted average Loan Rate for all the HELOCs at the end of the Revolving Period must not be more than [100] basis points lower than the weighted average Loan Rate of the HELOCs as of the cut-off date; | ||
• | ·Following the conveyance of the Additional HELOCs on a subsequent transfer date, the weighted average characteristics of the HELOCs in the Loan Pool will remain substantially similar to the characteristics of the HELOCs in the Loan Pool as of the cut-off date; and | ||
• | ·[An independent accountant must provide the Depositor, the applicable rating agencies rating the Notes, the Indenture Trustee and the Underwriters at [applicable interval] with a letter stating that the characteristics of the Additional HELOCs conform to the characteristics described above and in the Transfer and Servicing Agreement.]] |
S-21
Table of Contents
S-22
Table of Contents
S-23
Table of Contents
S-24
Table of Contents
S-25
Table of Contents
(i) | from Interest Collections for such Payment Date, as payment to the Indenture Trustee of its fee for services rendered pursuant to the Indenture (the “Indenture Trustee Fee”) and (subject to the limitations set forth in the Indenture) its expenses in connection therewith; | ||
(ii) | from Interest Collections for such Payment Date, the premium amount payable to the Insurer; | ||
(iii) | from Interest Collections for such Payment Date, as payment to the Owner Trustee of its fee for services rendered pursuant to the Trust Agreement (the “Owner Trustee Fee”); | ||
(iv) | concurrently, pro rata (a) to the Holders of the Notes, the Interest Payment Amount for such Payment Date and (b) during the Managed Amortization Period, to the Holders of the Class [ ][Notes] [equity certificates], interest on any Additional Balance Contributed Amount at the Contribution Rate for such Payment Date; | ||
(v) | from Principal Collections for such Payment Date, to the Holders of the Class [ ] [Notes] [equity certificates] on each Payment Date during the Managed Amortization Period on or prior to the date on which the Class Pro Rata Test is satisfied, an amount equal to the Additional Balance Contributed Amount; | ||
(vi) | from Principal Collections for such Payment Date, to the Holders of the Notes as a payment of principal, the Principal Payment Amount for such Payment Date and, on each Payment Date during the Managed Amortization Period on which the Class Pro Rata Test is satisfied but on or before the date on which the Class Sequential Test is satisfied, to the Holders of the Class [ ] [Notes] [equity certificates] an amount equal to the Additional Balance Contributed Amount (pro rata based on (a) the |
S-26
Table of Contents
Additional Balance Contributed Amount and (b)(x) the Pool Balance less (y) the Additional Balance Contributed Amount); | |||
(vii) | to the Holders of the Notes, as a payment of principal, the Overcollateralization Deficit for such Payment Date, if any; | ||
(viii) | to the Insurer, the Reimbursement Amount, if any, then due to it; | ||
(ix) | to the Holders of the Notes, the Accelerated Principal Payment, if any; | ||
(x) | pari passu, (a) to the Servicer, to pay certain amounts that may be required to be paid to the Servicer (including expenses associated with the transition to any new servicer) and not previously reimbursed pursuant to the Sale and Servicing Agreement and (b) to the Indenture Trustee, up to a maximum amount set forth in the Indenture on any Payment Date, to pay certain amounts that may be required to be paid to the Indenture Trustee with respect to its preparation and recording of assignments of mortgages (which amounts were not reimbursed pursuant to the Sale and Servicing Agreement); | ||
(xi) | to the Holders of the Notes, to pay Deferred Interest and interest thereon at the Note Rate for such Payment Date; | ||
(xii) | pari passu, (a) to the Indenture Trustee, any unpaid fees and unreimbursed expenses (including indemnities) due and owing to the Indenture Trustee and not otherwise paid pursuant to clauses (i) and (x) above and (b) to the Owner Trustee, any unpaid fees and unreimbursed expenses (including indemnities) due and owing to the Owner Trustee and not otherwise paid pursuant to clause (iii) above; | ||
(xiii) | to Redwood Trust, Inc., as manager (the “Manager”) under the management agreement between Redwood Trust, Inc. and the Issuing Entity, the fees of the Manager thereunder; and | ||
(xiv) | to the holders of each class of Notes (the “Noteholders”), as permitted under the Indenture and the Trust Agreement, any amount remaining on deposit in the Collection Account. |
S-27
Table of Contents
(i) | the total amount being distributed to the Notes; | ||
(ii) | the amount of interest being distributed to the Notes and the Note Rate; | ||
(iii) | the amount, if any, of overdue accrued interest being distributed to the Notes (and the amount of interest thereon); |
S-28
Table of Contents
(iv) | the amount, if any, of the remaining overdue accrued interest for the Notes after giving effect to such payment; | ||
(v) | the amount, if any, of principal being distributed to the Notes; | ||
(vi) | the principal balance of the Notes, after giving effect to such payment; | ||
(vii) | the Servicing Fee for such Payment Date; | ||
(viii) | the Pool Balance as of the Issue Date and the Pool Balance as of the end of the preceding Collection Period (in the aggregate and broken down by first lien Home Equity Loans and second lien Home Equity Loans); | ||
(ix) | the Owner Trustee Fee and the Indenture Trustee Fee for such Payment Date; | ||
(x) | the number and aggregate Principal Balance of Home Equity Loans (in the aggregate and broken down by first lien Home Equity Loans and second lien Home Equity Loans) that were (A) delinquent (exclusive of Home Equity Loans in bankruptcy or foreclosure or properties acquired by or on behalf of the Trust by deed in lieu of foreclosure) (1) 30 to 59 days, (2) 60 to 89 days, (3) 90 to 119 days, (4) 120 to 149 days, (5) 150 to 179 days, (6) 180 or more days, (B) in foreclosure, (C) in bankruptcy and (D) properties acquired by or on behalf of the Trust by deed in lieu of foreclosure; | ||
(xi) | (A) cumulative losses as a percentage of original Pool Balance, (B) cumulative losses as a percentage of current Pool Balance and (C) the twelve-month rolling average of cumulative losses as a percentage of original Pool Balance (in each case, in the aggregate and broken down by first lien Home Equity Loans and second lien Home Equity Loans); | ||
(xii) | the six-month rolling average of Home Equity Loans that are 60 days or more delinquent (in the aggregate and broken down by first lien Home Equity Loans and second lien Home Equity Loans); | ||
(xiii) | the book value of any real estate which is acquired by the Trust through foreclosure or grant of deed in lieu of foreclosure; | ||
(xiv) | the amount of any draws on the Policy; | ||
(xv) | the amount of Additional Balances for such Payment Date; | ||
(xvi) | the amount of any Additional Balance Contribution Amount, and the amount of interest on such amount; | ||
(xvii) | whether the related Payment Date will fall during the Managed Amortization Period or the Rapid Amortization Period; | ||
(xviii) | whether a Rapid Amortization Event has occurred during the related Collection Period; | ||
(xix) | the amount, if any, of any Relief Act Shortfalls incurred during the related Collection Period; | ||
(xx) | the amount, if any, of interest shortfalls related to prepayments during the related Collection Period; | ||
(xxi) | the amount of any servicing advances made by the Servicer during the related Collection Period; | ||
(xxii) | the outstanding principal balances of the three Home Equity Loans with the largest outstanding principal balances; and | ||
(xxiii) | the Excess Cashflow for that Payment Date. |
S-29
Table of Contents
S-30
Table of Contents
S-31
Table of Contents
S-32
Table of Contents
S-33
Table of Contents
• | the right to give notices of breach or to terminate the rights and obligations of the Servicer under the Sale and Servicing Agreement in the event of an Event of Servicing Termination and to institute proceedings against the Servicer; | ||
• | the right to consent to or direct any waivers of defaults by the Servicer; | ||
• | following the occurrence of an Event of Default and so long as no Insurer Default has occurred and is continuing, the right to direct the Indenture Trustee to sell, dispose of or otherwise liquidate the Trust Property in a commercially reasonable manner and on commercially reasonable terms; | ||
• | the right to remove the Indenture Trustee upon an indenture trustee event of default pursuant to the Indenture; and | ||
• | the right to require the Seller to repurchase Home Equity Loans for breaches of representations and warranties or defects in documentation. |
S-34
Table of Contents
S-35
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicer | [Monthly] | A monthly fee paid to the servicer, from amounts that would otherwise be distributed to noteholders in respect of interest, calculated on the outstanding principal balance of each home equity line of credit, at the applicable servicing fee rate,plus, all income earned on amounts on deposit in the custodial account. | [Withdrawn from the custodial account in respect of each home equity line of credit before payment of any amounts to noteholders.] | |||
Master Servicer | [Monthly] | All investment earnings on amounts on deposit in the collection account. | [Retained by the master servicer from the collection account before payment of any amounts to noteholders.] | |||
Issuing Entity Administrator | [Monthly] | A monthly fee paid to the issuing entity administrator, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] | |||
Indenture Trustee | [Monthly] | A fixed annual fee of $[___]. | [Paid by the master servicer from the master servicing fee pursuant to a separate agreement between the trustee and the master servicer.] | |||
Owner Trustee | [Monthly] | A fixed annual fee of $[___]. | [Payable from investment earnings on amounts on deposit in the Collection Account.] | |||
Custodian(s) | [Monthly] | A monthly fee paid to each custodian, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] |
S-36
Table of Contents
S-37
Table of Contents
S-38
Table of Contents
S-39
Table of Contents
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
S-40
Table of Contents
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [ ] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Principal | Number | |||||||||||||||
Number of Loans | Principal Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
(1) | These tables show home equity lines of credit which were delinquent or for which foreclosure proceedings had been instituted as of the date indicated. | |
(2) | No home equity line of credit is included in this table as delinquent until it is 30 days past due. | |
(3) | Exclusive of the number of loans and principal balance shown in the period of delinquency. |
• | [collecting monthly remittances of principal and interest on the Home Equity Lines of Credit from the related borrowers, depositing such amounts (net of the related servicing fees) in the Servicing Account, and |
S-41
Table of Contents
delivering all amounts on deposit in the Servicing Account to the Master Servicer for deposit in the Collection Account on the Servicer Remittance Date; |
• | making credit line advances to borrowers in accordance with the related Credit Line Agreement; | ||
• | making Servicing Advances in respect of reasonable and customary “out of pocket” costs and expenses; | ||
• | providing monthly loan-level reports to the [Servicer] and the Master Servicer; | ||
• | maintaining certain insurance policies relating to the Home Equity Lines of Credit; and | ||
• | initiating foreclosure proceedings.] |
• | verifying that the Subservicer’s reporting and remitting are mathematically accurate and are being performed in accordance with the terms of the Transfer and Servicing Agreement; | ||
• | verifying that the Servicing Account reconciliations are being performed according to Uniform Single Attestation Program for Mortgage Bankers guidelines; | ||
• | monitoring the Delinquency Rate and identifying any substantial increases or decreases on a monthly basis; and | ||
• | performing the servicing functions with respect to Home Equity Lines of Credit described under “Subservicer” above in the event that the Subservicer fails to perform such functions. |
• | [[monitoring the Servicer’s performance and enforcing the Servicer’s obligations under the Transfer and Servicing Agreement;] | ||
• | collecting monthly remittances from or on behalf of the Servicer for deposit in the Collection Account on the Servicer Remittance Date and delivering all amounts on deposit in the Collection Account to the Paying Agent for deposit in the Note Payment Account on the Master Servicer Remittance Date; | ||
• | gathering the monthly loan-level reports delivered by or on behalf of the Servicer and providing a comprehensive loan-level report to the Issuing Entity Administrator with respect to the Home Equity Lines of Credit; | ||
• | upon the occurrence of a Servicer event of default under the Transfer and Servicing Agreement, at its discretion, terminating the Servicer; | ||
• | upon the termination of the Servicer under the Transfer and Servicing Agreement, appointing a successor servicer or succeeding as Servicer; and |
S-42
Table of Contents
• | upon the Master Servicer’s becoming the successor Servicer and in the event the terminated Servicer failed to make Advances with respect to a Home Equity Line of Credit, making those Advances to the extent provided in the Transfer and Servicing Agreement.] |
• | [acting as Note Registrar and Paying Agent; | ||
• | receiving monthly remittances from the Master Servicer for deposit in the Note Payment Account; | ||
• | distributing all amounts on deposit in the Note Payment Account in accordance with the priorities described under “Description of the Notes—Payments of Interest,” “—Payments of Principal” and “—Credit Enhancement—Application of Monthly Excess Cashflow” on each Payment Date; | ||
• | performing the calculation of accrual of original issue discount and the amortization of premium on the Securities; | ||
• | preparing and making available on its website a payment statement to Securityholders based on information received from the Servicer and the Master Servicer; and | ||
• | preparing and filing periodic reports with the Securities and Exchange Commission on behalf of the Trust with respect to the Notes.] |
• | [discharging (or causing to be discharged) all of its responsibilities pursuant to the terms of the Trust Agreement and the other document or agreement to which the Issuing Entity or the Owner Trustee is a party and administering the Trust (or causing it to be administered) in the interest of the Residual Holder, subject to each such respective document or agreement and in accordance with the provisions of the Trust Agreement; and | ||
• | taking direction from the Residual Holder regarding the management of the Trust.] |
• | [examining certificates, statements and opinions required to be furnished to it to ensure they are in the form required under the Indenture; |
S-43
Table of Contents
• | enforcing the obligations of each of the Master Servicer and the Issuing Entity Administrator under the Transfer and Servicing Agreement, the Indenture and the Administration Agreement, as applicable; | ||
• | upon the occurrence of a Master Servicer event of default under the Transfer and Servicing Agreement, at its discretion (or if so directed by the Residual Holder or Noteholders having more than 50% of the voting rights applicable to each Class of Notes affected thereby), terminating the Master Servicer; and | ||
• | upon such termination of the Master Servicer under the Transfer and Servicing Agreement, appointing a successor Master Servicer or succeeding as Master Servicer.] |
• | [holding and maintaining the Home Equity Line of Credit documents related to the Home Equity Lines of Credit on behalf of the Note Trustee.] |
Issuing Entity | ||||
Account | Responsible Party: | Application of any Investment Earnings: | ||
Servicing Account | Servicer (or Subservicer on its behalf) | [Any investment earnings (net of any losses realized) will be paid as compensation to the Servicer (or, if the account is maintained by the Subservicer, the Subservicer) and will not be available for payments to Noteholders.] | ||
Collection Account | Master Servicer | [Any investment earnings (net of the Note Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer and will not be available for payments to Noteholders.] | ||
Note Payment Account | Issuing Entity Administrator | [Any investment earnings (net of the Note Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer, and will not be available for payments to Noteholders.] | ||
Collection Account | Issuing Entity Administrator | [Amounts on deposit in the Collection Account will not be invested.] |
S-44
Table of Contents
Issuing Entity | ||||
Account | Responsible Party: | Application of any Investment Earnings: | ||
[Swap Payment Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Cap Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Capitalized Interest Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Noteholders.] | ||
[Pre-Funding Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Noteholders.] | ||
[Revolving Account] | [Issuing Entity Administrator] | [Any investment earnings will be paid to the Depositor and will not be available for payments to Noteholders.] |
[___] | Collection Period: | [Payments due during the related Collection Period ([___] through [___]) from borrowers will be deposited in the Servicing Account as received and will include scheduled principal and interest payments due during the related Collection Period.] | ||
[___] | Prepayment Period for partial and full prepayments received from HELOC Loans: | [Partial principal prepayments and principal prepayments in full received by the Servicer during the related Prepayment Period ([___] through [___]) will be deposited into the Servicing Account for remittance to the Master Servicer on the Servicer Remittance Date ([___] [18]).] | ||
[___] [18] | Servicer Remittance Date: | [The Servicer will remit collections and recoveries in respect of the Home Equity Lines of Credit to the Master Servicer for deposit into the Collection Account on or prior to the [18]th day of each month (or if the [18]th day is not a Business Day, the immediately preceding Business Day).] | ||
[ ] [24] | Master Servicer Remittance Date: | [The Master Servicer will remit to the Paying Agent amounts on deposit in the Collection Account for deposit into the Note Payment Account, including any Advances made by the Servicer, the Subservicer or the Master Servicer for that Payment Date, on or before the Master Servicer Remittance Date.] |
S-45
Table of Contents
[___] [24] | Record Date: | [Payments will be made to Noteholders of record for all classes of Notes as of the Business Day immediately preceding the related Payment Date.] | ||
[___] [25] | Payment Date: | [On the [25]th day of each month (or if the [25]th day is not a Business Day, the next Business Day), the Paying Agent will make payments from amounts on deposit in the Note Payment Account to Noteholders and, to the extent of funds available after all other required payments are made, will deposit into the Collection Account any amounts remaining.] |
S-46
Table of Contents
S-47
Table of Contents
S-48
Table of Contents
S-49
Table of Contents
S-50
Table of Contents
• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the servicer that are backed by the same types of assets as those backing the offered securities, as well as similar reports on assessment of compliance received from certain other parties participating in the servicing function as required by relevant SEC regulations; | ||
• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | ||
• | a statement of compliance from the servicer, and similar statements from certain other parties involved in servicing the home equity lines of credit as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the servicer’s activities during the reporting period and of its performance under the applicable servicing agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the servicer has fulfilled all of its obligations under the servicing agreement in all materials respects throughout the reporting period or, if there has been a failure to fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
S-51
Table of Contents
S-52
Table of Contents
• | [98]% to the classes of Notes in proportion to their respective outstanding Note Principal Amounts; and | ||
• | [2]% to the Residual Holder. |
• | the final payment or other liquidation, or any related advance, of the last Home Equity Line of Credit; | ||
• | the disposition of all property acquired in respect of any Home Equity Line of Credit remaining in the Trust; and | ||
• | exercise by the Residual Holder of its right to purchase the Home Equity Lines of Credit and other property of the Trust as described under “Description of the Note—Optional Purchase of the Home Equity Lines of Credit.” |
S-53
Table of Contents
S-54
Table of Contents
• | the amount of overcollateralization. This means the extent to which interest on the Home Equity Lines of Credit is accruing on a higher principal balance than the aggregate Class Principal Amounts of the Notes; | ||
• | the loss experience of the Home Equity Lines of Credit. For example, excess interest will be reduced as a result of Realized Losses on the Home Equity Lines of Credit; | ||
• | the value of LIBOR; |
S-55
Table of Contents
• | [to the extent which amounts are received by the Trust under the Swap Agreements; and] | ||
• | the extent to which the weighted average Net Mortgage Rates of the Home Equity Lines of Credit exceed the weighted average of the Note Interest Rates of the Notes. |
S-56
Table of Contents
S-57
Table of Contents
Remaining | Original | Months to | Rate | |||||||||||||||||||||||||||
Gross | Net | Term to | Term to | Next Rate | Initial | Subsequent | Adjustment | Remaining | ||||||||||||||||||||||
Loan | Principal | Mortgage | Mortgage | Expense | Maturity | Maturity | Adjustment | Maximum | Minimum | Gross | Periodic Rate | Periodic Rate | Frequency | IO Term | Index | |||||||||||||||
Number | Balance ($) | Rate (%) | Rate (%) | Fee Rate | (months) | (months) | Date | Rate (%) | Rate (%) | Margin (%) | Cap (%) | Cap (%) | (months) | (months) | Type | |||||||||||||||
1 | ||||||||||||||||||||||||||||||
2 | ||||||||||||||||||||||||||||||
3 | ||||||||||||||||||||||||||||||
4 | ||||||||||||||||||||||||||||||
5 | ||||||||||||||||||||||||||||||
6 | ||||||||||||||||||||||||||||||
7 | ||||||||||||||||||||||||||||||
8 | ||||||||||||||||||||||||||||||
9 | ||||||||||||||||||||||||||||||
10 | ||||||||||||||||||||||||||||||
11 | ||||||||||||||||||||||||||||||
12 | ||||||||||||||||||||||||||||||
13 | ||||||||||||||||||||||||||||||
14 | ||||||||||||||||||||||||||||||
15 | ||||||||||||||||||||||||||||||
16 | ||||||||||||||||||||||||||||||
17 | ||||||||||||||||||||||||||||||
18 | ||||||||||||||||||||||||||||||
19 | ||||||||||||||||||||||||||||||
20 | ||||||||||||||||||||||||||||||
21 | ||||||||||||||||||||||||||||||
22 | ||||||||||||||||||||||||||||||
23 | ||||||||||||||||||||||||||||||
24 |
S-58
Table of Contents
Class [___] and Class [___] Notes Outstanding
at the Following Percentages of CPR
Class [____] Notes | Class [____] Notes | |||||||||||||||||||
0% | 10% | 25% | 40% | 50% | 0% | 10% | 25% | 40% | 50% | |||||||||||
Initial Percentage | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
[ ] | ||||||||||||||||||||
Weighted Average Life in Years: | ||||||||||||||||||||
Without Optional Termination | ||||||||||||||||||||
With Optional Termination |
[* | Indicates a value between 0.0% and 0.5%.] |
S-59
Table of Contents
S-60
Table of Contents
S-61
Table of Contents
S-62
Table of Contents
S-63
Table of Contents
S-64
Table of Contents
PAGE | ||
Additional HELOCs | S- | |
Adjustment Date | S- | |
Advance | S- | |
Agreements | S- | |
Available Funds | S- | |
BBA | S- | |
Beneficial owner | S- | |
Book-Entry Securities | S- | |
Business Day | S- | |
CEDEL | S- | |
CEDEL Participants | S- | |
Class Principal Amount | S- | |
Clean-up Call Date | S- | |
Clearstream | S- | |
Code | S- | |
Collection Account | S- | |
CPR | S- | |
Credit Line Agreements | S- | |
Defective Home Equity Line of Credit | S- | |
Deferred Interest | S- | |
Definitive Notes | S- | |
Deleted Home Equity Line of Credit | S- | |
Depositor | S- | |
Designated Telerate Page | S- | |
DTC | S- | |
DTC Participant | S- | |
Due Date | S- | |
ERISA | S- | |
Euroclear | S- | |
Euroclear Participants | S- | |
European Depositaries | S- | |
Excess Interest | S- | |
Financial Intermediary | S- | |
Global Notes | S- | |
Gross Margin | S- | |
HELOC | S- | |
Home Equity Line of Credit Pool | S- | |
Home Equity Line of Credit Purchase Agreement | S- | |
Indenture | S- | |
Indenture Trustee | S- | |
Indenture Trustee Fee | S- | |
Index Rate | S- | |
Interest Accrual Period | S- | |
Interest Payment Amount | S- | |
Interest Settlement Rate | S- | |
IRS | S- | |
Issuing Entity | S- | |
LIBOR | S- | |
LIBOR Business Day | S- | |
LIBOR Determination Date | S- |
I-1
Table of Contents
PAGE | ||
Loan Pool | S- | |
Loan Rate | S- | |
Loan-to-Value Ratio | S- | |
Managed Amortization Period | S- | |
Management Agreement | S- | |
Manager | S- | |
Master Servicing Fee | S- | |
Maximum Rate | S- | |
Modeling Assumptions | S- | |
Monthly Advance | S- | |
Mortgage | S- | |
Mortgage File | S- | |
Mortgage Note | S- | |
Mortgaged Property | S- | |
Mortgage Related Securities | S- | |
Noteholders | S- | |
Note Rate | S- | |
Notes | S- | |
Note Trustee | S- | |
Offered Notes | S- | |
OID | S- | |
Originator | S- | |
Overcollateralization | S- | |
Owner Trustee | S- | |
Owner Trustee Fee | S- | |
Payment Account | S- | |
Payment Date | S- | |
Periodic Cap | S- | |
Plan | S- | |
Plan Assets Regulation | S- | |
Prepayment Interest Shortfall | S- | |
Prospectus Directive | S- | |
PTCE | S- | |
Qualified REIT Subsidiary | S- | |
Rapid Amortization Period | S- | |
Real Estate Investment Trustee | S- | |
Realized Loss | S- | |
Record Date | S- | |
Redwood Trust | S- | |
Registrar | S- | |
Relevant Implementation Date | S- | |
Relevant Member State | S- | |
Replacement Home Equity Line of Credit | S- | |
Revolving Account | S- | |
Revolving Period | S- | |
RWT Holdings | S- | |
SEC | S- | |
Security Register | S- | |
Senior Notes | S- | |
Servicing Agreement | S- | |
Servicing Fee | S- | |
Servicing Fee Rate | S- | |
SMMEA | S- | |
Stated Principal Balance | S- |
I-2
Table of Contents
PAGE | ||
Subordinated Notes | S- | |
Substitution Adjustment Amount | S- | |
Taxable Loan Pool | S- | |
United States Person | S- | |
U.S. Withholding Agent | S- |
I-3
Table of Contents
Table of Contents
G-2
Table of Contents
G-3
Table of Contents
G-4
Table of Contents
G-5
Table of Contents
G-6
Table of Contents
Number | Percent of | Non-Zero | ||||||||||||||||||||||||||
of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Cut-off Date | Equity | Balance | Balance | Average | Credit | Principal | Original | |||||||||||||||||||||
Principal Balances ($) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Number | Percent of | Non-Zero | ||||||||||||||||||||||||||
of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Current Loan Rates (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Number | Percent of | Non-Zero | ||||||||||||||||||||||||||
of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Number | Percent of | Non-Zero | ||||||||||||||||||||||||||
of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-1
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Original LTV Ratios (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Geographic Distribution | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
A-2
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Number | Percent of | Non-Zero | ||||||||||||||||||||||||||
of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Prepayment Penalty (Years) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Non- | ||||||||||||||||||||||||||||
Number | Percent of | Zero | ||||||||||||||||||||||||||
of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Interest Only Period (Months) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | Weighted | ||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-3
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Loan Type | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Months Elapsed Since Origination | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Prepayment Penalty Description | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-4
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Subsequent Periodic Cap (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number of | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
Home | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Maximum Loan Rate (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Originator | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Servicer Concentration | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-5
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Amortization Types | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Range of Junior Ratios | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Range of Credit Limit Utilization | Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | |||||||||||||||||||||
Rates (%) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Range of Credit Limits ($) | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Home Equity | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Lien Priority | Loans | Outstanding | Outstanding | Loan Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-6
Table of Contents
B-1
Table of Contents
B-2
Table of Contents
(a) | borrowing through CEDEL or Euroclear for one day (until the purchase side of the day trade is reflected in their CEDEL or Euroclear accounts) in accordance with the clearing system’s customary procedures; | ||
(b) | borrowing the Global Notes in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Notes sufficient time to be reflected in their CEDEL or Euroclear account in order to settle the sale side of the trade; or | ||
(c) | staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the CEDEL Participant or Euroclear Participant. |
I. | the [___], on behalf of the Trustee, or the U.S. withholding agent receives a statement — |
(a) | from the holder on Internal Revenue Service (“IRS”) Form W-8BEN (or any successor form) that — |
(i) | is signed by the Noteholder under penalty of perjury, | ||
(ii) | certifies that such owner is not a United States person, and (iii) provides the name and address of the Noteholder, or |
(b) | from a securities clearing organization, a bank or other financial institution that holds customers’ securities in the ordinary course of its trade or business that — |
(i) | is signed under penalties of perjury by an authorized representative of the financial institution, | ||
(ii) | states that the financial institution has received an IRS Form W-8BEN (or any successor form) from the certificateholder or that another financial institution acting on behalf of the certificateholder has received such IRS Form W-8BEN (or any successor form), | ||
(iii) | provides the name and address of the Noteholder, and | ||
(iv) | attaches the IRS Form W-8BEN (or any successor form) provided by the Noteholder; |
II. | the holder claims an exemption or reduced rate based on a treaty and provides a properly executed IRS Form W-8BEN (or any successor form) to the Issuing Entity Administrator or the U.S. withholding agent; |
B-3
Table of Contents
III. | the holder claims an exemption stating that the income is effectively connected to a U.S. trade or business and provides a properly executed IRS Form W-8ECI (or any successor form) to the [___] or the U.S. withholding agent; or | ||
IV. | the holder is a “nonwithholding partnership” and provides a properly executed IRS Form W-8IMY (or any successor form) with all necessary attachments to the Trustee or the U.S. withholding agent. Certain pass-through entities that have entered into agreements with the Internal Revenue Service (for example “qualified intermediaries”) may be subject to different documentation requirements; and such holders are encouraged to consult with their tax advisors when purchasing the Note. |
B-4
Table of Contents
Table of Contents
The information in this prospectus supplement is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This prospectus supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
(To Prospectus dated [ ], 200[_])
• | [ ] class(es) of Senior Class [ ] Bonds; and | |
• | [ ] class(es) of Subordinated Class [ ] Bonds. |
• | Will be primarily secured by a separate pool of mortgage-backed securities, evidencing interests in underlying trusts or trust estates the assets of which consist primarily of conventional, adjustable rate, first lien, residential mortgage loans; | |
• | The classes of bonds offered by this prospectus supplement are listed, together with their initial class principal amounts and interest rates, under “Summary of Terms—The Offered Bonds” on page S-[___] of this prospectus supplement. This prospectus supplement and the accompanying prospectus relate only to the offering of bonds listed in the table on page S-[___] and not to the ownership certificate that will be issued by the issuing entity as described in this prospectus supplement; | |
• | Pay all holders of bonds the amounts of principal and interest due thereon on the [___] day of each month, or if such day is not a business day, the next succeeding business day, commencing on [ ], 200[___]; and | |
• | Will have various forms of credit enhancement of the types described in this prospectus supplement, including [excess interest,] [overcollateralization,] [subordination,] [a bond insurance policy,] [and] [interest rate swap agreements]. [Forms of credit enhancement to be described as applicable.] |
the offering of underlying securities]
Table of Contents
and the Accompanying Prospectus
S-i
Table of Contents
(a) | to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; | ||
(b) | to any legal entity which has two or more of (1) an average of at least 250 employees, during the last financial year; (2) a total balance sheet of more than€43,000,000 and (3) an annual net turnover of more than€50,000,000, as shown in its last annual or consolidated accounts; or | ||
(c) | in any other circumstances which do not require the publication by the issuing entity of a prospectus pursuant to Article 3 of the Prospectus Directive. |
S-ii
Table of Contents
Page | ||||
S-1 | ||||
S-2 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-12 | ||||
S-13 | ||||
S-13 | ||||
S-14 | ||||
S-15 | ||||
S-16 | ||||
S-17 | ||||
S-18 | ||||
Certain Information Regarding the Pooled Securities Cannot be Independently Verified by the Bond Issuer | S-18 | |||
The Ratings Assigned to the Bonds are Dependent Upon the Performance of the Pooled Securities | S-18 | |||
S-18 | ||||
S-18 | ||||
S-19 | ||||
S-19 | ||||
S-20 | ||||
S-20 | ||||
S-21 | ||||
S-21 | ||||
S-21 | ||||
S-22 | ||||
S-22 | ||||
S-23 | ||||
S-23 | ||||
S-23 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-24 | ||||
S-25 | ||||
S-27 | ||||
S-27 | ||||
S-27 | ||||
S-27 | ||||
S-27 | ||||
S-29 | ||||
S-29 | ||||
S-30 | ||||
S-31 | ||||
S-31 | ||||
S-32 | ||||
S-33 | ||||
S-34 | ||||
S-38 |
S-iii
Table of Contents
Page | ||||
S-38 | ||||
S-39 | ||||
S-39 | ||||
S-40 | ||||
S-40 | ||||
S-40 | ||||
S-40 | ||||
S-42 | ||||
S-42 | ||||
S-42 | ||||
S-42 | ||||
S-43 | ||||
S-43 | ||||
S-43 | ||||
S-43 | ||||
S-44 | ||||
S-44 | ||||
S-45 | ||||
S-45 | ||||
S-46 | ||||
S-46 | ||||
S-46 | ||||
S-47 | ||||
S-47 | ||||
S-46 | ||||
S-46 | ||||
S-49 | ||||
S-49 | ||||
S-52 | ||||
S-53 | ||||
S-54 | ||||
S-54 | ||||
S-53 | ||||
S-54 | ||||
S-58 | ||||
S-58 | ||||
S-58 | ||||
S-58 | ||||
S-59 | ||||
S-59 | ||||
S-61 | ||||
S-63 | ||||
S-63 | ||||
S-66 | ||||
S-66 | ||||
S-66 | ||||
S-66 | ||||
S-67 | ||||
S-67 | ||||
S-67 | ||||
S-68 | ||||
S-69 | ||||
S-69 | ||||
G-1 |
S-iv
Table of Contents
Page | ||||
G-1 | ||||
A-1 | ||||
B-1 |
S-v
Table of Contents
Initial Class | ||||||||||||||||||||||||||||
Principal | Initial Interest | Interest Rate | Initial Bond Ratings | |||||||||||||||||||||||||
Class | Amount(1) | Rate(2) | Formula | Principal Type | Interest Type | Moody’s | S&P | |||||||||||||||||||||
(1) | These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement. | |
(2) | Reflects the interest rate as of the closing date. | |
(3) | An annual rate equal to the weighted average of the net mortgage rates of the mortgage loans during the applicable period, as described in this Prospectus Supplement. | |
(4) | The designation “N/R” means that the specified rating agency will not rate the bonds of that class. |
Minimum | ||||||||||||||||||||||||||||||||
Final | Expected Final | Denomination or | ||||||||||||||||||||||||||||||
Delay/Accrual | Interest Accrual | Scheduled | Payment | Percentage | Incremental | CUSIP | ||||||||||||||||||||||||||
Class | Record Date(1) | Period(2) | Convention | Payment Date(3) | Date(4) | Interest(5) | Denomination | Number | ||||||||||||||||||||||||
S-1
Table of Contents
• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the bonds, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While the summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the mortgage loans in the trust fund, that percentage has been calculated on the basis of the total stated principal balance of those mortgage loans as of [ , ___] unless we specify otherwise. We explain in this prospectus supplement under “Glossary of Defined Terms” how the stated principal balance of a mortgage loan is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any mortgage loans, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
S-2
Table of Contents
S-3
Table of Contents
S-4
Table of Contents
S-5
Table of Contents
S-6
Table of Contents
S-7
Table of Contents
S-8
Table of Contents
Weighted | Total | |||||||||||
Range or Total | Average | Percentage | ||||||||||
Number of Mortgage Loans | ||||||||||||
Total Principal Balance | ||||||||||||
Principal Balances | ||||||||||||
Mortgage Rates | ||||||||||||
Original Terms to Maturity (in months). | ||||||||||||
Remaining Terms to Maturity (in months) | ||||||||||||
Original Loan-to Value Ratios | ||||||||||||
Number of One-Year LIBOR Mortgage Loans | ||||||||||||
Number of One-Year CMT Mortgage Loans | ||||||||||||
Number of Interest Only Mortgage Loans. | ||||||||||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled Principal Balance: | ||||||||||||
• California | ||||||||||||
Maximum Single Zip Code Concentration | ||||||||||||
Credit Scores | ||||||||||||
Number of Mortgage Loans with Prepayment Penalties at Origination | ||||||||||||
Gross Margins | ||||||||||||
Maximum Mortgage Rates | ||||||||||||
Minimum Mortgage Rates | ||||||||||||
Months to Next Mortgage Rate Adjustment | ||||||||||||
Initial Caps | ||||||||||||
Periodic Caps |
* | The weighted average is based only on the mortgage loans having credit scores. |
S-9
Table of Contents
S-10
Table of Contents
S-11
Table of Contents
S-12
Table of Contents
S-13
Table of Contents
• | if you buy a Class [___] Bond and losses on the related mortgage loans exceed the total principal amount of the class of bonds subordinate to your bonds (if any), plus, if applicable to the trust and as specified in this prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your bonds will be reduced proportionately with the principal amounts of the other bonds of your class by the amount of that excess; and | ||
• | after the total principal amount of the subordinate bonds has been reduced to zero, losses on the mortgage loans may reduce the principal amounts (or notional amounts) of the senior bonds. |
S-14
Table of Contents
S-15
Table of Contents
• | If you purchase bonds at a discount, especially any principal-only bonds, and principal prepayments on the related mortgage loans are received at a rate slower than you anticipate, then your yield may be lower than you anticipate. | ||
• | If you purchase bonds at a premium, especially any interest-only bonds, and principal prepayments on the related mortgage loans are received at a rate faster than you anticipate, then your yield may be lower than you anticipate. |
S-16
Table of Contents
• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; | ||
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | ||
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
S-17
Table of Contents
S-18
Table of Contents
S-19
Table of Contents
S-20
Table of Contents
S-21
Table of Contents
S-22
Table of Contents
S-23
Table of Contents
S-24
Table of Contents
S-25
Table of Contents
S-26
Table of Contents
S-27
Table of Contents
S-28
Table of Contents
S-29
Table of Contents
S - 30
Table of Contents
S - 31
Table of Contents
S - 32
Table of Contents
S - 33
Table of Contents
I. | From the Pool [___] Available Interest Amount: |
S - 34
Table of Contents
II. | From the Pool[___]Available Principal Amount: |
III. | From the Pool[___]Available Interest Amount: |
S - 35
Table of Contents
IV. | From the Pool[___]Available Principal Amount: |
• | “Administrative Fee Amount ”means for any Bond Payment Date, the sum of the fees of the Bond Trustee and the Manager relating to such Bond Payment Date. See the “Bond Trustee” for a description of the fees and expenses of the Bond Trustee. Under the Management Agreement, the Manager will be entitled to a monthly management fee of $500. The annual fees and expenses of the Owner Trustee will be paid by the Depositor and not from the assets of the Issuing Entity. A class’s “Proportionate Share” of the Administrative Fee Amount will be determined by the fraction (expressed as a percentage) the numerator of |
S - 36
Table of Contents
which is such class’s outstanding Class Principal Amount and the denominator of which is aggregate outstanding Class Principal Amount of both classes of Bonds, such percentage determined prior to taking into account any distributions in reduction of the Class Principal Amount of such class for such Bond Payment Date. |
• | “Applied Loss Amount”means, with respect to any Bond Payment Date and either Pool, the sum of (i) the aggregate amount of reduction in the Pool Balance on the related Pooled Security Distribution Date attributable to the allocation of Realized Losses on the related Underlying Mortgage Loans to the Pooled Securities of such Pool during the related due period, and (ii) the difference, if any, between (a) the sum of the principal balance of any Pooled Security of such Pool and the accrued interest thereon, and (b) the amount received by the Bond Trustee in complete redemption of such Pooled Security. | ||
• | “Available Interest Amount”means, with respect to any Bond Payment Date and either Pool, the sum of (i) the aggregate amount on deposit in the related Bond Payment Account attributable or otherwise allocable to interest on the Pooled Securities of such Pool for which both the Pooled Security distribution and the related Pooled Security Distribution Date Information have been received by the Bond Trustee as of the immediately prior Determination Time and (ii) that portion of the repurchase price of a Pooled Security repurchased by the Seller or the Depositor attributable to interest. | ||
• | “Available Principal Amount”means, with respect to any Bond Payment Date and either Pool, the sum of (i) the aggregate amount on deposit in the related Bond Payment Account attributable or otherwise allocable to principal on the Pooled Securities of such Pool for which both the Pooled Security distribution and the related Pool Security Distribution Date Information have been received by the Bond Trustee as of the immediately prior Determination Time and (ii) that portion of the repurchase price of a Pooled Security repurchased by the Seller or the Depositor attributable to principal. | ||
• | “Monthly Interest Amount”means, with respect to any Bond Payment Date and either class of Bonds, an amount equal to the interest accrued during the related Interest Accrual Period at the applicable Bond Interest Rate (see “—Payments of Interest” below) on the Class Principal Amount of such class as of the first day of the Interest Accrual Period; | ||
• | “Carryforward Interest”means with respect to either class of Bonds and any Bond Payment Date, the sum of (1) the amount, if any, by which (x) the sum of (A) the Monthly Interest Amount for such class for the immediately preceding Bond Payment Date and (B) any unpaid Carryforward Interest from previous Bond Payment Dates exceeds (y) the amount distributed in respect of interest on such class on such immediately preceding Bond Payment Date and (2) interest on such amount for the related Interest Accrual Period at the applicable Bond Interest Rate. | ||
• | An“Interest Accrual Period”with respect to either class of Bonds and each Bond Payment Date will be the period beginning on the immediately preceding Bond Payment Date (or on the Closing Date, in the case of the first Accrual Period) and ending on the day immediately preceding the related Bond Payment Date. | ||
• | A bondholder’s“Percentage Interest”, with respect to each Bond Payment Date and a bond in either class of Bonds, will be the fraction expressed as a percentage, the numerator of which is that bond’s principal amount and the denominator of which is the applicable Class Principal Amount of such class. | ||
• | A“Realized Loss”has the meaning set forth in the Underlying Agreements for the applicable Pooled Security, but generally means, with respect to any Underlying Mortgage Loan which is a Liquidated Mortgage Loan, the amount by which the then outstanding principal balance of such Liquidated Mortgage Loan exceeds the related Net Liquidation Proceeds, to the extent allocable to principal. | ||
• | A“Liquidated Mortgage Loan”means, as to any Bond Payment Date, any Underlying Mortgage Loan as to which the Underlying Servicer has determined during the related due period, in accordance with |
S - 37
Table of Contents
customary servicing procedures, that all Liquidation Proceeds which it expects to recover from or on account of such Underlying Mortgage Loan have been recovered. |
• | “Liquidation Proceeds”means the aggregate of all proceeds received by the Underlying Servicer in connection with the liquidation of the mortgaged property securing the Underlying Mortgage Loan, whether through trustee’s sale, foreclosure, condemnation, taking by eminent domain or otherwise (including insurance proceeds). | ||
• | “Net Liquidation Proceeds”means Liquidation Proceeds, less expenses incurred by the Underlying Servicer in connection with the liquidation of the Underlying Mortgage Loan. | ||
• | An“Unpaid Applied Loss Amount”means with respect to any Pool and any Bond Payment Date, the excess of the Applied Loss Amount for all prior Bond Payment Dates over the aggregate of all amounts paid under priority third from the Available Interest Amount, priority second from the Available Principal Amount and from amounts on deposit in the related Reserve Fund on all prior Bond Payment Dates. |
Remaining | ||||||||||||||||
Original Term in | Term to | |||||||||||||||
Net | Maturity | Maturity | ||||||||||||||
Principal Balance | Mortgage Rate | Mortgage Rate | (in Months) | (in months) | ||||||||||||
$ | % | % |
S - 38
Table of Contents
S - 39
Table of Contents
S - 40
Table of Contents
S - 41
Table of Contents
S - 42
Table of Contents
S - 43
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicer | [Monthly] | A monthly fee paid to the servicer, from amounts that would otherwise be distributed to bondholders in respect of interest, calculated on the outstanding principal balance of each mortgage loan, at the applicable servicing fee rate,plus, all income earned on amounts on deposit in the custodial account. | [Withdrawn from the custodial account in respect of each mortgage loan before distribution of any amounts to bondholders.] | |||
Master Servicer | [Monthly] | All investment earnings on amounts on deposit in the collection account. | [Retained by the master servicer from the collection account before distribution of any amounts to bondholders.] | |||
Issuing Entity Administrator | [Monthly] | A monthly fee paid to the issuing entity administrator, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] | |||
Bond Trustee | [Monthly] | A fixed annual fee of $[___]. | [Paid by the master servicer from the master servicing fee pursuant to a separate agreement between the trustee and the master servicer.] |
S - 44
Table of Contents
Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Owner Trustee | [Monthly] | A fixed annual fee of $[___]. | [Payable from investment earnings on amounts on deposit in the Collection Account.] | |||
Custodian(s) | [Monthly] | A monthly fee paid to each custodian, from the master servicing fee. | [Paid by the master servicer from the master servicing fee.] |
S - 45
Table of Contents
S - 46
Table of Contents
S - 47
Table of Contents
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number | |||||||||||||
Loans | Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number | |||||||||||||
Loans | Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number | |||||||||||||
Loans | Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
S - 48
Table of Contents
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number | |||||||||||||
Loans | Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
As of [____________________________] | ||||||||||||||||
Percent by | Percent by | |||||||||||||||
Number of | Principal | Principal | Number | |||||||||||||
Loans | Balance | Balance | of Loans | |||||||||||||
Current Loans | [ ] | $ | [ ] | [ ] | % | [ ] | % | |||||||||
Period of Delinquency(2) | ||||||||||||||||
30 to 59 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
60 to 89 days | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
90 days or more | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Foreclosures/ Bankruptcies(3) | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Real Estate Owned | [ ] | [ ] | [ ] | % | [ ] | % | ||||||||||
Total Portfolio | [ ] | [ ] | [ ] | % | [ ] | % |
(1) | These tables show mortgage loans which were delinquent or for which foreclosure proceedings had been instituted as of the date indicated. | |
(2) | No mortgage loan is included in this table as delinquent until it is 30 days past due. | |
(3) | Exclusive of the number of loans and principal balance shown in the period of delinquency. |
• | [collecting monthly remittances of principal and interest on the Mortgage Loans from the related borrowers, depositing such amounts (net of the related servicing fees) in the Servicing Account, and delivering all |
S - 49
Table of Contents
amounts on deposit in the Servicing Account to the Master Servicer for deposit in the Collection Account on the Servicer Remittance Date; |
• | collecting amounts in respect of taxes and insurance from the related borrowers, depositing such amounts in the related escrow account, and paying such amounts to the related taxing authorities and insurance providers, as applicable; | ||
• | making Monthly Advances with respect to delinquent payments of principal and interest on the Mortgage Loans; | ||
• | making Servicing Advances in respect of reasonable and customary “out of pocket” costs and expenses; | ||
• | providing monthly loan-level reports to the [Servicer] and the Master Servicer; | ||
• | maintaining certain insurance policies relating to the Mortgage Loans; and | ||
• | initiating foreclosure proceedings.] |
• | verifying that the Subservicer’s reporting and remitting are mathematically accurate and are being performed in accordance with the terms of the Sale and Servicing Agreement; | ||
• | verifying that the Servicing Account reconciliations are being performed according to Uniform Single Attestation Program for Mortgage Bankers guidelines; | ||
• | monitoring the Delinquency Rate and identifying any substantial increases or decreases on a monthly basis; and | ||
• | performing the servicing functions with respect to Mortgage Loans described under “Subservicer” above in the event that the Subservicer fails to perform such functions. |
• | [[monitoring the Servicer’s performance and enforcing the Servicer’s obligations under the Sale and Servicing Agreement;] | ||
• | collecting monthly remittances from or on behalf of the Servicer for deposit in the Collection Account on the Servicer Remittance Date and delivering all amounts on deposit in the Collection Account to the Paying Agent for deposit in the Bond Payment Account on the Master Servicer Remittance Date; | ||
• | gathering the monthly loan-level reports delivered by or on behalf of the Servicer and providing a comprehensive loan-level report to the Issuing Entity Administrator with respect to the Mortgage Loans; | ||
• | upon the occurrence of a Servicer event of default under the Sale and Servicing Agreement, at its discretion, terminating the Servicer; |
S - 50
Table of Contents
• | upon the termination of the Servicer under the Sale and Servicing Agreement, appointing a successor servicer or succeeding as Servicer; and | ||
• | upon the Master Servicer’s becoming the successor Servicer and in the event the terminated Servicer failed to make Advances with respect to a Mortgage Loan, making those Advances to the extent provided in the Sale and Servicing Agreement.] |
• | [acting as Bond Registrar and Paying Agent; | ||
• | receiving monthly remittances from the Master Servicer for deposit in the Bond Payment Account; | ||
• | distributing all amounts on deposit in the Bond Payment Account in accordance with the priorities described under “Description of the Bonds—Payments of Interest,” “—Payments of Principal” and “—Credit Enhancement—Application of Monthly Excess Cashflow” on each Payment Date; | ||
• | performing the calculation of accrual of original issue discount and the amortization of premium on the Securities; | ||
• | preparing and making available on its website a payment statement to Securityholders based on information received from the Servicer and the Master Servicer; and | ||
• | preparing and filing periodic reports with the Securities and Exchange Commission on behalf of the Trust with respect to the Bonds.] |
• | [discharging (or causing to be discharged) all of its responsibilities pursuant to the terms of the Trust Agreement and the other document or agreement to which the Issuing Entity or the Owner Trustee is a party and administering the Trust (or causing it to be administered) in the interest of the Residual Holder, subject to each such respective document or agreement and in accordance with the provisions of the Trust Agreement; and | ||
• | taking direction from the Residual Holder regarding the management of the Trust.] |
S-51
Table of Contents
• | [examining certificates, statements and opinions required to be furnished to it to ensure they are in the form required under the Indenture; | ||
• | enforcing the obligations of each of the Master Servicer and the Issuing Entity Administrator under the Sale and Servicing Agreement, the Indenture and the Administration Agreement, as applicable; | ||
• | upon the occurrence of a Master Servicer event of default under the Sale and Servicing Agreement, at its discretion (or if so directed by the Residual Holder or Bondholders having more than 50% of the voting rights applicable to each Class of Bonds affected thereby), terminating the Master Servicer; and | ||
• | upon such termination of the Master Servicer under the Sale and Servicing Agreement, appointing a successor Master Servicer or succeeding as Master Servicer.] |
• | [holding and maintaining the Mortgage Loan documents related to the Mortgage Loans on behalf of the Bond Trustee.] |
Issuing Entity | Responsible Party: | Application of any Investment Earnings: | ||
Servicing Account | Servicer (or Subservicer on its behalf) | [Any investment earnings (net of any losses realized) will be paid as compensation to the Servicer (or, if the account is maintained by the Subservicer, the Subservicer) and will not be available for payments to Bondholders.] | ||
Collection Account | Master Servicer | [Any investment earnings (net of the Bond Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer and will not be available for payments to Bondholders.] | ||
Bond Payment Account | Issuing Entity Administrator | [Any investment earnings (net of the Bond Trustee Fee, the Owner Trustee Fee, the Custodian Fee and any losses realized) will be paid as compensation to the Master Servicer, and will not be available for payments to Bondholders.] | ||
Collection Account | Issuing Entity Administrator | [Amounts on deposit in the Collection Account will not be invested.] |
S-52
Table of Contents
[Swap Payment Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Cap Account] | [Issuing Entity Administrator] | [Amounts on deposit in the Swap Payment Account will not be invested.] | ||
[Capitalized Interest Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Bondholders.] | ||
[Pre-Funding Account] | [Issuing Entity Administrator] | [Any investment earnings (net of any losses realized) will be paid to the Depositor and will not be available for payments to Bondholders.] | ||
[Revolving Account] | [Issuing Entity Administrator] | [Any investment earnings will be paid to the Depositor and will not be available for payments to Bondholders.] |
[___] | Collection Period: | [Payments due during the related Collection Period ([___] through [___]) from borrowers will be deposited in the Servicing Account as received and will include scheduled principal and interest payments due during the related Collection Period.] | ||
[___] | Prepayment Period for partial and full prepayments received from Mortgage Loans: | [Partial principal prepayments and principal prepayments in full received by the Servicer during the related Prepayment Period ([___] through [___]) will be deposited into the Servicing Account for remittance to the Master Servicer on the Servicer Remittance Date ([___] [18]).] | ||
[___] [18] | Servicer Remittance Date: | [The Servicer will remit collections and recoveries in respect of the Mortgage Loans to the Master Servicer for deposit into the Collection Account on or prior to the [18]th day of each month (or if the [18]th day is not a Business Day, the immediately preceding Business Day).] | ||
[___] [24] | Master Servicer Remittance Date: | [The Master Servicer will remit to the Paying Agent amounts on deposit in the Collection Account for deposit into the Bond Payment Account, including any Advances made by the Servicer, the Subservicer or the Master Servicer for that Payment Date, on or before the Master Servicer Remittance Date.] |
S-53
Table of Contents
[___] [24] | Record Date: | [Payments will be made to Bondholders of record for all classes of Bonds as of the Business Day immediately preceding the related Payment Date.] | ||
[___] [25] | Payment Date: | [On the [25]th day of each month (or if the [25]th day is not a Business Day, the next Business Day), the Paying Agent will make payments from amounts on deposit in the Bond Payment Account to Bondholders and, to the extent of funds available after all other required payments are made, will deposit into the Collection Account any amounts remaining.] |
S-54
Table of Contents
S-55
Table of Contents
• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the servicer that are backed by the same types of assets as those backing the offered |
S-56
Table of Contents
• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | |
• | a statement of compliance from the servicer, and similar statements from certain other parties involved in servicing the mortgage loans as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the servicer’s activities during the reporting period and of its performance under the applicable servicing agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the servicer has fulfilled all of its obligations under the servicing agreement in all materials respects throughout the reporting period or, if there has been a failure to fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
S-57
Table of Contents
• | [98]% to the classes of Bonds in proportion to their respective outstanding Bond Principal Amounts; and | ||
• | [2]% to the Residual Holder. |
S-58
Table of Contents
• | the final payment or other liquidation, or any related advance, of the last Mortgage Loan; | ||
• | the disposition of all property acquired in respect of any Mortgage Loan remaining in the Trust; and | ||
• | exercise by the Residual Holder of its right to purchase the Mortgage Loans and other property of the Trust as described under “Description of the Bond—Optional Purchase of the Mortgage Loans.” |
S-59
Table of Contents
S-60
Table of Contents
• | the amount of overcollateralization. This means the extent to which interest on the Mortgage Loans is accruing on a higher principal balance than the aggregate Class Principal Amounts of the Bonds; | ||
• | the loss experience of the Mortgage Loans. For example, excess interest will be reduced as a result of Realized Losses on the Mortgage Loans; | ||
• | the value of LIBOR; | ||
• | [to the extent which amounts are received by the Trust under the Swap Agreements; and] | ||
• | the extent to which the weighted average Net Mortgage Rates of the Mortgage Loans exceed the weighted average of the Bond Interest Rates of the Bonds. |
S-61
Table of Contents
S-62
Table of Contents
S-63
Table of Contents
Expense | Remaining | Original | Months to | Initial | Subsequent | Rate | ||||||||||||||||||||||||
Principal | Gross | Net | Fee | Term to | Term to | Next Rate | Gross | Periodic | Periodic | Adjustment | Remaining | |||||||||||||||||||
Balance | Mortgage | Mortgage | Rate | Maturity | Maturity | Adjustment | Maximum | Minimum | Margin (%) | Rate | Rate | Frequency | IO Term | Index | ||||||||||||||||
Loan Number | ($) | Rate (%) | Rate (%) | (months) | (months) | Date | Rate (%) | Rate (%) | (%) | Cap(%) | Cap(%) | (months) | (months) | Type | ||||||||||||||||
1 | ||||||||||||||||||||||||||||||
2 | ||||||||||||||||||||||||||||||
3 | ||||||||||||||||||||||||||||||
4 | ||||||||||||||||||||||||||||||
5 | ||||||||||||||||||||||||||||||
6 | ||||||||||||||||||||||||||||||
7 | ||||||||||||||||||||||||||||||
8 | ||||||||||||||||||||||||||||||
9 | ||||||||||||||||||||||||||||||
10 | ||||||||||||||||||||||||||||||
11 | ||||||||||||||||||||||||||||||
12 | ||||||||||||||||||||||||||||||
13 | ||||||||||||||||||||||||||||||
14 | ||||||||||||||||||||||||||||||
15 | ||||||||||||||||||||||||||||||
16 | ||||||||||||||||||||||||||||||
17 | ||||||||||||||||||||||||||||||
18 | ||||||||||||||||||||||||||||||
19 | ||||||||||||||||||||||||||||||
20 | ||||||||||||||||||||||||||||||
21 | ||||||||||||||||||||||||||||||
22 | ||||||||||||||||||||||||||||||
23 | ||||||||||||||||||||||||||||||
24 |
S-64
Table of Contents
Class [____] and Class [___] Bonds Outstanding
at the Following Percentages of CPR
Class [___] Bonds | Class [___] Bonds | ||||||||||||||||||||
0% | 10% | 25% | 40% | 50% | 0% | 10% | 25% | 40% | 50% | ||||||||||||
Initial Percentage | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
[ ] | |||||||||||||||||||||
Weighted Average | |||||||||||||||||||||
Life in Years: | |||||||||||||||||||||
Without Optional | |||||||||||||||||||||
Termination | |||||||||||||||||||||
With Optional | |||||||||||||||||||||
Termination |
S-65
Table of Contents
S-66
Table of Contents
S-67
Table of Contents
S-68
Table of Contents
S-69
Table of Contents
PAGE | ||
Additional Mortgage Loans | S- | |
Adjustment Date | S- | |
Advance | S- | |
Agreements | S- | |
Available Funds | S- | |
Beneficial owner | S- | |
Bondholders | S- | |
Bond Interest Rate | S- | |
Bond Payment Amount | S- | |
Bond Owners | S- | |
Bond Trustee | S- | |
Bonds | S- | |
Book-Entry Bonds | S- | |
CEDEL Participants | S- | |
Certificate Interest Payment Amount | S- | |
Certificate Interest Rate | S- | |
Class Principal Amount | S- | |
Code | S- | |
Collection Account | S- | |
Controlling Class | S- | |
Cooperative | S- | |
CPR | S- | |
Defective Mortgage Loan | S- | |
Definitive Bond | S- | |
Deleted Mortgage Loan | S- | |
Depositor | S- | |
Determination Time | S- | |
DTC | S- | |
Due Date | S- | |
ERISA | S- | |
Euroclear Operator | S- | |
Euroclear Participants | S- | |
European Depositaries | S- | |
Excess Interest | S- | |
FHA Mortgage Loans | S- | |
Financial Intermediary | S- | |
Fixed Rate Mortgage Loans | S- | |
Gross Margin | S- | |
High Cost | S- | |
Indirect Participants | S- | |
Insurance Proceeds | S- | |
Interest Accrual Period | S- | |
Investor Certificate | S- | |
Investor Percentage | S- | |
IRS | S- | |
Issuing Entity | S- | |
Liquidated Mortgage Loan | S- | |
Liquidation Proceeds | S- | |
Loan-to-Value Ratio | S- | |
Lock-Out Period | S- |
G-1
Table of Contents
PAGE | ||
Management Agreement | S- | |
Maximum Rate | S- | |
Modeling Assumptions | S- | |
Monthly Advance | S- | |
Morgan | S- | |
Mortgage | S- | |
Mortgage File | S- | |
Mortgage Loan Information Date | S- | |
Mortgage Loan Pool | S- | |
Mortgage Loan Purchase Agreement | S- | |
Mortgage Loans | S- | |
Mortgage Note | S- | |
Mortgaged Property | S- | |
Mortgage Related Securities | S- | |
Net Interest Shortfall | S- | |
Net Interest Shortfalls | S- | |
Offered Bonds | S- | |
OID | S- | |
Original Invested Amount | S- | |
Original Senior Class Principal Amount | S- | |
Original Subordinated Class Principal Amount | S- | |
Overcollateralization | S- | |
Owner Trustee | S- | |
Participants | S- | |
Payment Account | S- | |
Payment Date | S- | |
Periodic Cap | S- | |
Plan | S- | |
Plan Assets Regulation | S- | |
Pool | S- | |
Pool [ ] Reserve Fund | S- | |
Pool Balance | S- | |
Pooled Security | S- | |
Pooled Security Credit Support | S- | |
Pooled Security Distribution Date Information | S- | |
Pooled Security Distribution Statement | S- | |
Pooled Security Information Date | S- | |
Pooled Security Interest Rate | S- | |
Pooled Security Principal Balance | S- | |
Prepayment Assumption | S- | |
Prepayment Interest Shortfall | S- | |
Prospectus Directive | S- | |
PTCE | S- | |
Qualified REIT Subsidiary | S- | |
Realized Loss | S- | |
Record Date | S- | |
Redwood Trust | S- | |
Relevant Depositary | S- | |
Relevant Implementation Date | S- | |
Relevant Member State | S- | |
Relief Reduction Act | S- | |
REMIC | S- | |
Replacement Mortgage Loan | S- | |
Revolving Account | S- |
G-2
Table of Contents
PAGE | ||
Revolving Period | S- | |
Rules | S- | |
SEC | S- | |
Senior Bond Interest Rate | S- | |
Senior Bonds | S- | |
Senior Class Principal Amount | S- | |
Senior Interest Payment Amount | S- | |
Senior Percentage | S- | |
Senior Principal Payment Amount | S- | |
Servicing Agreement | S- | |
Servicing Fee | S- | |
Servicing Fee Rate | S- | |
SMMEA | S- | |
Stated Principal Balance | S- | |
Structuring Assumptions | S- | |
Subordinated Bond Interest Rate | S- | |
Subordinated Bonds | S- | |
Subordinated Class Principal Amount | S- | |
Subordinated Interest Carryover Shortfall | S- | |
Subordinated Interest Payment Amount | S- | |
Subordinated Percentage | S- | |
Subordinated Pooled Securities | S- | |
Subordinated Principal Carryover Shortfall | S- | |
Subordinated Principal Payment Amount | S- | |
Substitution Adjustment Amount | S- | |
Terms and Conditions | S- | |
Underlying Agreement | S- | |
Underlying Mortgage Loan | S- | |
Underlying Securities | S- | |
Underlying Servicer | S- | |
Underlying Trust | S- | |
Underlying Trustee | S- | |
United States Person | S- | |
U.S. Withholding Agent | S- | |
Variable Rate Debt Instruments | S- |
G-3
Table of Contents
Table of Contents
G-2
Table of Contents
G-3
Table of Contents
G-4
Table of Contents
G-5
Table of Contents
G-6
Table of Contents
G-7
Table of Contents
Pooled | ||||||||||||||||||||||||
ID/Pool | ||||||||||||||||||||||||
Security | Shelf, Series | Payment | ||||||||||||||||||||||
CUSIP | Type | and Class | Issue Date | Date | Public/Private | DTC/Physical | ||||||||||||||||||
Current Under | Current Under | |||||||||||||||
CUSIP | Trustee | Servicer | Comp Interest | Clean Up % | ||||||||||||
Current Ratings | Original Ratings | |||||||||||||||
Pooled ID/Pool | Shelf, Series | |||||||||||||||||||||||
CUSIP | Security Type | and Class | [Moody’s] | [S&P] | [Moody’s] | [S&P] | ||||||||||||||||||
CUSIP | Underlying Collateral Index Type | Sec PT Rate | Pooled Security Coupon Type | |||||||||
A-1
Table of Contents
Pooled | ||||||||||||||||
ID/Pool | Original | Current | ||||||||||||||
Security | Shelf, Series | Class | Class | |||||||||||||
CUSIP | Type | and Class | Balance | Balance | ||||||||||||
CUSIP | Pool Factor | Pool Sec Size ($) | Pool Sec Size (%) | |||||||
Pooled | ||||||||||||||||||||
ID/Pool | Cumulative | |||||||||||||||||||
Security | Shelf, Series and | Realized | ||||||||||||||||||
CUSIP | Type | lass | Losses | Total Del | WAvg LTV | |||||||||||||||
A-2
Table of Contents
A-3
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Cut-off Date | Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | |||||||||||||||||||||
Principal Balances ($) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-4
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Original LTV Ratios (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Geographic Distribution | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
A-5
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | |||||||||||||||||||||||||
of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Prepayment Penalty (Years) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Non- | ||||||||||||||||||||||||||||
Percent of | Zero | |||||||||||||||||||||||||||
Number | Aggregate | Aggregate | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Interest Only Period (Months) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Mortgage Loan Type | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-6
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Months Elapsed Since Origination | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Prepayment Penalty Description | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | ||||||||||||||||||||||||||
Number of | Principal | Principal | Weighted | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Average | Credit | Principal | Average Original | ||||||||||||||||||||||
Subsequent Periodic Cap (%) | Loans | Outstanding | Outstanding | Mortgage Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-7
Table of Contents
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Originator | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
Percent of | Non-Zero | |||||||||||||||||||||||||||
Aggregate | Aggregate | Weighted | Weighted | |||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Weighted | ||||||||||||||||||||||
Mortgage | Balance | Balance | Mortgage | Credit | Principal | Average Original | ||||||||||||||||||||||
Servicer Concentration | Loans | Outstanding | Outstanding | Rate | Score | Balance | LTV | |||||||||||||||||||||
Total: | $ | % | % | $ | % | |||||||||||||||||||||||
A-8
Table of Contents
B-1
Table of Contents
B-2
Table of Contents
(a) | borrowing through CEDEL or Euroclear for one day (until the purchase side of the day trade is reflected in their CEDEL or Euroclear accounts) in accordance with the clearing system’s customary procedures; | ||
(b) | borrowing the Global Bonds in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Bonds sufficient time to be reflected in their CEDEL or Euroclear account in order to settle the sale side of the trade; or | ||
(c) | staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the CEDEL Participant or Euroclear Participant. |
I. | the [ ], on behalf of the Trustee, or the U.S. withholding agent receives a statement — |
(a) | from the holder on Internal Revenue Service (“IRS”) Form W-8BEN (or any successor form) that — |
(i) | is signed by the Bondholder under penalty of perjury, | ||
(ii) | certifies that such owner is not a United States person, and (iii) provides the name and address of the Bondholder, or |
(b) | from a securities clearing organization, a bank or other financial institution that holds customers’ securities in the ordinary course of its trade or business that — |
(i) | is signed under penalties of perjury by an authorized representative of the financial institution, | ||
(ii) | states that the financial institution has received an IRS Form W-8BEN (or any successor form) from the certificateholder or that another financial institution acting on behalf of the certificateholder has received such IRS Form W-8BEN (or any successor form), | ||
(iii) | provides the name and address of the Bondholder, and | ||
(iv) | attaches the IRS Form W-8BEN (or any successor form) provided by the Bondholder; |
II. | the holder claims an exemption or reduced rate based on a treaty and provides a properly executed IRS Form W-8BEN (or any successor form) to the Issuing Entity Administrator or the U.S. withholding agent; |
B-3
Table of Contents
III. | the holder claims an exemption stating that the income is effectively connected to a U.S. trade or business and provides a properly executed IRS Form W-8ECI (or any successor form) to the [ ] or the U.S. withholding agent; or | ||
IV. | the holder is a “nonwithholding partnership” and provides a properly executed IRS Form W-8IMY (or any successor form) with all necessary attachments to the Trustee or the U.S. withholding agent. Certain pass-through entities that have entered into agreements with the Internal Revenue Service (for example “qualified intermediaries”) may be subject to different documentation requirements; and such holders are encouraged to consult with their tax advisors when purchasing the Bond. |
B-4
Table of Contents
[LOGO] SEQUOIA MORTGAGE FUNDING COMPANY
Sponsor and Seller
Depositor
Issuing Entity
Table of Contents
SEC Filing Fee | $ | 321,000 | ||
Trustee’s Fees and Expenses* | 45,000 | |||
Legal Fees and Expenses* | 300,000 | |||
Accounting Fees and Expenses* | 150,000 | |||
Printing and Engraving Expenses* | 175,000 | |||
Blue Sky Qualification and Legal Investment Fees and Expenses* | 10,000 | |||
Rating Agency Fees* | 325,000 | |||
Miscellaneous | 4,500 | |||
TOTAL | $ | 1,371,000 | ||
* | Estimated in accordance with Item 511 of Regulation S-K. |
1.1 | Form of Underwriting Agreement.*** | |
3.1a | Restated Certificate of Incorporation of Sequoia Mortgage Funding Corporation.* | |
3.1b | Restated Certificate of Incorporation of Sequoia Residential Funding, Inc.* |
II-1
Table of Contents
4.1.1 | Form of Indenture (Debt Bond form) in substantially the form to be entered into between the Issuer and the Indenture Trustee.*** | |
4.1.2 | Form of Indenture (REMIC Bond form) in substantially the form to be entered into between the Issuer and the Indenture Trustee.*** | |
4.1.3 | Form of Indenture (for Rapid Amortization Event) in substantially the form to be entered into between the Issuer and the Indenture Trustee.*** | |
4.2 | Form of Deposit Trust Agreement.** | |
4.3 | Form of Master Servicing Agreement.*** | |
4.4 | Form of Pooling and Servicing Agreement.*** | |
4.5 | Sale and Servicing Agreement.*** | |
5.1 | Opinion of Tobin & Tobin with respect to validity.*** | |
8.1 | Opinion of Chapman and Cutler LLP with respect to tax matters.*** | |
23.1 | Consent of Tobin & Tobin (included in Exhibit 5.1).*** | |
23.2 | Consent of Chapman and Cutler LLP (included in Exhibit 8.1).*** | |
24.1 | Powers of Attorney (included on pages II-6 and II-7).*** | |
25.1 | Statement of Eligibility and Qualification of Trustee under the Trust Indenture Act of 1939 (to be filed pursuant to Section 305(b)(2) of the Trust Indenture Act of 1939). |
* | Incorporation by reference to the correspondingly numbered exhibit to the Registration Statement on Form S-3 (333-90772) filed by the Co-registrants. | |
** | Incorporated by reference to the correspondingly numbered exhibit to the Registration Statement on Form S-3 (333-22681) filed by Co-registrant Sequoia Mortgage Funding Corporation. | |
*** | Previously filed. |
A. | Undertaking in respect of indemnification. |
B. | Undertaking pursuant to Rule 415. |
II-2
Table of Contents
II-3
Table of Contents
C. | Undertaking in respect of filings incorporating subsequent Exchange Act documents by reference. |
D. | Undertaking pursuant to Rule 430A under the Securities Act of 1933: |
E. | Undertaking in respect of qualification of trust indentures under the Trust Indenture Act of 1939 for delayed offerings. |
II-4
Table of Contents
F. | Undertaking with respect to filings regarding asset-backed securities incorporating by reference subsequent Exchange Act documents by third parties. |
G. | Undertaking with respect to filings regarding asset-backed securities that provide certain information through an internet web site. |
II-5
Table of Contents
SEQUOIA MORTGAGE FUNDING CORPORATION | SEQUOIA RESIDENTIAL FUNDING, INC. | |||
By: /s/ DOUGLAS B. HANSEN | By: | /s/ DOUGLAS B. HANSEN | ||
Douglas B. Hansen | Douglas B. Hansen | |||
President | President |
Signature | Title | Date | ||
/s/ GEORGE E. BULL III* | Chairman of the Board and Director | |||
George E. Bull III | (Principal Executive Officer) | July 21, 2006 | ||
/s/ DOUGLAS B. HANSEN | President and Director | |||
Douglas B. Hansen | (Principal Financial Officer) | July 21, 2006 | ||
/s/ HAROLD F. ZAGUNIS* | Treasurer, Controller, Vice President, Secretary and Director | |||
Harold F. Zagunis | (Principal Accounting Officer) | July 21, 2006 | ||
/s/ JOSEPH DAHER* | Director | July 21, 2006 | ||
Joseph Daher | ||||
/s/ HENRY PILGER* | Director | July 21, 2006 | ||
Henry Pilger |
*By: | /s/ DOUGLAS B. HANSEN | |||
Douglas B. Hansen | ||||
President Attorney-in-fact |
II-6
Table of Contents
Signature | Title | Date | ||
/s/ GEORGE E. BULL III* | Chairman of the Board and Director | |||
George E. Bull III | (Principal Executive Officer) | July 21, 2006 | ||
/s/ DOUGLAS B. HANSEN | President and Director | |||
Douglas B. Hansen | (Principal Financial Officer) | July 21, 2006 | ||
/s/ HAROLD F. ZAGUNIS* | Treasurer, Controller, Vice President, Secretary and Director | |||
Harold F. Zagunis | (Principal Accounting Officer) | July 21, 2006 | ||
/s/ JOHN CONNOLLY IV* | Director | July 21, 2006 | ||
Jon Connolly IV | ||||
/s/ CRAIG A. SEVERANCE* | Director | July 21, 2006 | ||
Craig A. Severance |
*By: | /s/ DOUGLAS B. HANSEN | |||
Douglas B. Hansen | ||||
President Attorney-in-fact |
II-7
Table of Contents
Exhibit No. | ||
1.1 | Form of Underwriting Agreement.*** | |
3.1a | Restated Certificate of Incorporation of Sequoia Mortgage Funding Corporation.* | |
3.1b | Restated Certificate of Incorporation of Sequoia Residential Funding, Inc. * | |
4.1.1 | Form of Indenture (Debt Bond form) in substantially the form to be entered into between the Issuer and the Indenture Trustee. *** | |
4.1.2 | Form of Indenture (REMIC Bond form) in substantially the form to be entered into between the Issuer and the Indenture Trustee. *** | |
4.1.3 | Form of Indenture (for Rapid Amortization Event) in substantially the form to be entered into between the Issuer and the Indenture Trustee. *** | |
4.2 | Form of Deposit Trust Agreement.** | |
4.3 | Form of Master Servicing Agreement. *** | |
4.4 | Form of Pooling and Servicing Agreement. *** | |
4.5 | Sale and Servicing Agreement. *** | |
5.1 | Opinion of Tobin & Tobin with respect to validity. *** | |
8.1 | Opinion of Chapman and Cutler LLP with respect to tax matters. *** | |
23.1 | Consent of Tobin & Tobin (included in Exhibit 5.1). *** | |
23.2 | Consent of Chapman and Cutler LLP (included in Exhibit 8.1). *** | |
24.1 | Powers of Attorney (included on pages II-4 and II-5). *** | |
25.1 | Statement of Eligibility and Qualification of Trustee under the Trust Indenture Act of 1939 (to be filed pursuant to Section 305(b)(2) of the Trust Indenture Act of 1939). |
* | Incorporation by reference to the correspondingly numbered exhibit to the Registration Statement on Form S-3 (333-90772) filed by the Co-registrants. | |
** | Incorporated by reference to the correspondingly numbered exhibit to the Registration Statement on Form S-3 (333-22681) filed by Co-registrant Sequoia Mortgage Funding Corporation. | |
*** | Previously filed. |
II-8