Sequoia Mortgage Trust 2004-1 Class A Cash Flows
Period Total | Date | Principal 601,293,000.00 | Interest 34,505,741.56 | Cash Flow 635,798,741.56 | Balance | Coupon | |||
0 | 28-Jan-04 | 0 | 0 | 0 | 601,293,000.00 | 0 | |||
1 | 20-Feb-04 | 11,515,398.00 | 543,836.11 | 12,059,234.12 | 589,777,602.00 | 1.48 | |||
2 | 20-Mar-04 | 11,303,342.57 | 727,392.38 | 12,030,734.95 | 578,474,259.43 | 1.48 | |||
3 | 20-Apr-04 | 11,095,095.78 | 713,451.59 | 11,808,547.36 | 567,379,163.65 | 1.48 | |||
4 | 20-May-04 | 10,890,685.61 | 699,767.64 | 11,590,453.25 | 556,488,478.04 | 1.48 | |||
5 | 20-Jun-04 | 10,690,041.39 | 686,335.79 | 11,376,377.18 | 545,798,436.65 | 1.48 | |||
6 | 20-Jul-04 | 10,493,093.73 | 673,151.41 | 11,166,245.14 | 535,305,342.92 | 1.48 | |||
7 | 20-Aug-04 | 10,299,774.53 | 660,209.92 | 10,959,984.46 | 525,005,568.39 | 1.48 | |||
8 | 20-Sep-04 | 10,110,016.94 | 647,506.87 | 10,757,523.81 | 514,895,551.44 | 1.48 | |||
9 | 20-Oct-04 | 9,923,755.35 | 635,037.85 | 10,558,793.20 | 504,971,796.09 | 1.48 | |||
10 | 20-Nov-04 | 9,740,925.34 | 622,798.55 | 10,363,723.89 | 495,230,870.75 | 1.48 | |||
11 | 20-Dec-04 | 9,561,463.69 | 610,784.74 | 10,172,248.43 | 485,669,407.06 | 1.48 | |||
12 | 20-Jan-05 | 9,385,308.35 | 598,992.27 | 9,984,300.62 | 476,284,098.71 | 1.48 | |||
13 | 20-Feb-05 | 9,212,398.40 | 587,417.06 | 9,799,815.46 | 467,071,700.31 | 1.48 | |||
14 | 20-Mar-05 | 9,042,674.06 | 576,055.10 | 9,618,729.15 | 458,029,026.25 | 1.48 | |||
15 | 20-Apr-05 | 8,876,076.62 | 564,902.47 | 9,440,979.09 | 449,152,949.63 | 1.48 | |||
16 | 20-May-05 | 8,712,548.49 | 553,955.30 | 9,266,503.79 | 440,440,401.14 | 1.48 | |||
17 | 20-Jun-05 | 8,552,033.11 | 543,209.83 | 9,095,242.94 | 431,888,368.03 | 1.48 | |||
18 | 20-Jul-05 | 8,394,474.99 | 532,662.32 | 8,927,137.31 | 423,493,893.05 | 1.48 | |||
19 | 20-Aug-05 | 8,239,819.63 | 522,309.13 | 8,762,128.76 | 415,254,073.42 | 1.48 | |||
20 | 20-Sep-05 | 8,088,013.56 | 512,146.69 | 8,600,160.25 | 407,166,059.87 | 1.48 | |||
21 | 20-Oct-05 | 7,939,004.28 | 502,171.47 | 8,441,175.75 | 399,227,055.59 | 1.48 | |||
22 | 20-Nov-05 | 7,792,740.27 | 492,380.04 | 8,285,120.31 | 391,434,315.32 | 1.48 | |||
23 | 20-Dec-05 | 7,649,170.95 | 482,768.99 | 8,131,939.94 | 383,785,144.36 | 1.48 | |||
24 | 20-Jan-06 | 7,508,246.68 | 473,335.01 | 7,981,581.69 | 376,276,897.68 | 1.48 | |||
25 | 20-Feb-06 | 7,369,918.72 | 464,074.84 | 7,833,993.56 | 368,906,978.96 | 1.48 | |||
26 | 20-Mar-06 | 7,234,139.24 | 454,985.27 | 7,689,124.52 | 361,672,839.71 | 1.48 | |||
27 | 20-Apr-06 | 7,100,861.30 | 446,063.17 | 7,546,924.47 | 354,571,978.42 | 1.48 | |||
28 | 20-May-06 | 6,970,038.79 | 437,305.44 | 7,407,344.23 | 347,601,939.63 | 1.48 | |||
29 | 20-Jun-06 | 6,841,626.49 | 428,709.06 | 7,270,335.55 | 340,760,313.14 | 1.48 | |||
30 | 20-Jul-06 | 6,715,579.99 | 420,271.05 | 7,135,851.04 | 334,044,733.15 | 1.48 | |||
31 | 20-Aug-06 | 6,591,855.70 | 411,988.50 | 7,003,844.20 | 327,452,877.45 | 1.48 | |||
32 | 20-Sep-06 | 6,470,410.84 | 403,858.55 | 6,874,269.39 | 320,982,466.60 | 1.48 | |||
33 | 20-Oct-06 | 6,351,203.42 | 395,878.38 | 6,747,081.80 | 314,631,263.18 | 1.48 | |||
34 | 20-Nov-06 | 6,234,192.22 | 388,045.22 | 6,622,237.44 | 308,397,070.96 | 1.48 | |||
35 | 20-Dec-06 | 6,119,336.76 | 380,356.39 | 6,499,693.15 | 302,277,734.20 | 1.48 | |||
36 | 20-Jan-07 | 6,006,597.34 | 372,809.21 | 6,379,406.55 | 296,271,136.86 | 1.48 | |||
37 | 20-Feb-07 | 5,895,934.98 | 365,401.07 | 6,261,336.05 | 290,375,201.88 | 1.48 | |||
38 | 20-Mar-07 | 5,787,311.40 | 358,129.42 | 6,145,440.81 | 284,587,890.48 | 1.48 | |||
39 | 20-Apr-07 | 5,243,096.50 | 350,991.73 | 5,594,088.23 | 279,344,793.98 | 1.48 | |||
40 | 20-May-07 | 5,146,500.47 | 344,525.25 | 5,491,025.71 | 274,198,293.52 | 1.48 | |||
41 | 20-Jun-07 | 5,051,684.07 | 338,177.90 | 5,389,861.96 | 269,146,609.45 | 1.48 | |||
42 | 20-Jul-07 | 4,958,614.52 | 331,947.48 | 5,290,562.00 | 264,187,994.93 | 1.48 | |||
43 | 20-Aug-07 | 4,867,259.63 | 325,831.86 | 5,193,091.49 | 259,320,735.30 | 1.48 | |||
44 | 20-Sep-07 | 4,777,587.82 | 319,828.91 | 5,097,416.73 | 254,543,147.48 | 1.48 | |||
45 | 20-Oct-07 | 4,689,568.07 | 313,936.55 | 5,003,504.62 | 249,853,579.40 | 1.48 | |||
46 | 20-Nov-07 | 4,603,169.96 | 308,152.75 | 4,911,322.70 | 245,250,409.45 | 1.48 | |||
47 | 20-Dec-07 | 4,518,363.59 | 302,475.50 | 4,820,839.10 | 240,732,045.86 | 1.48 | |||
48 | 20-Jan-08 | 4,435,119.66 | 296,902.86 | 4,732,022.51 | 236,296,926.20 | 1.48 | |||
49 | 20-Feb-08 | 4,353,409.36 | 291,432.88 | 4,644,842.24 | 231,943,516.84 | 1.48 | |||
50 | 20-Mar-08 | 4,273,204.45 | 286,063.67 | 4,559,268.12 | 227,670,312.39 | 1.48 | |||
51 | 20-Apr-08 | 4,194,477.20 | 280,793.39 | 4,475,270.58 | 223,475,835.19 | 1.48 | |||
52 | 20-May-08 | 4,117,200.37 | 275,620.20 | 4,392,820.57 | 219,358,634.81 | 1.48 | |||
53 | 20-Jun-08 | 4,041,347.26 | 270,542.32 | 4,311,889.57 | 215,317,287.56 | 1.48 | |||
54 | 20-Jul-08 | 3,966,891.62 | 265,557.99 | 4,232,449.60 | 211,350,395.94 | 1.48 | |||
55 | 20-Aug-08 | 3,893,807.71 | 260,665.49 | 4,154,473.19 | 207,456,588.24 | 1.48 | |||
56 | 20-Sep-08 | 3,822,070.26 | 255,863.13 | 4,077,933.38 | 203,634,517.98 | 1.48 | |||
57 | 20-Oct-08 | 3,751,654.46 | 251,149.24 | 4,002,803.70 | 199,882,863.52 | 1.48 | |||
58 | 20-Nov-08 | 3,682,535.96 | 246,522.20 | 3,929,058.16 | 196,200,327.56 | 1.48 | |||
59 | 20-Dec-08 | 3,639,188.34 | 241,980.40 | 3,881,168.75 | 192,561,139.22 | 1.48 | |||
60 | 20-Jan-09 | 3,792,125.73 | 237,492.07 | 4,029,617.80 | 188,769,013.49 | 1.48 | |||
61 | 20-Feb-09 | 3,718,363.65 | 232,815.12 | 3,951,178.76 | 185,050,649.84 | 1.48 | |||
62 | 20-Mar-09 | 3,646,022.67 | 228,229.13 | 3,874,251.80 | 181,404,627.17 | 1.48 | |||
63 | 20-Apr-09 | 3,575,075.62 | 223,732.37 | 3,798,807.99 | 177,829,551.56 | 1.48 | |||
64 | 20-May-09 | 3,505,495.84 | 219,323.11 | 3,724,818.95 | 174,324,055.72 | 1.48 | |||
65 | 20-Jun-09 | 3,437,257.19 | 214,999.67 | 3,652,256.86 | 170,886,798.53 | 1.48 | |||
66 | 20-Jul-09 | 3,370,334.00 | 210,760.38 | 3,581,094.39 | 167,516,464.53 | 1.48 | |||
67 | 20-Aug-09 | 3,304,701.13 | 206,603.64 | 3,511,304.77 | 164,211,763.40 | 1.48 | |||
68 | 20-Sep-09 | 3,240,333.88 | 202,527.84 | 3,442,861.72 | 160,971,429.52 | 1.48 | |||
69 | 20-Oct-09 | 3,177,208.03 | 198,531.43 | 3,375,739.46 | 157,794,221.49 | 1.48 | |||
70 | 20-Nov-09 | 3,115,299.82 | 194,612.87 | 3,309,912.70 | 154,678,921.67 | 1.48 | |||
71 | 20-Dec-09 | 3,054,585.96 | 190,770.67 | 3,245,356.63 | 151,624,335.71 | 1.48 | |||
72 | 20-Jan-10 | 2,995,043.58 | 187,003.35 | 3,182,046.93 | 148,629,292.13 | 1.48 | |||
73 | 20-Feb-10 | 2,936,650.26 | 183,309.46 | 3,119,959.72 | 145,692,641.87 | 1.48 | |||
74 | 20-Mar-10 | 2,879,383.99 | 179,687.59 | 3,059,071.58 | 142,813,257.88 | 1.48 | |||
75 | 20-Apr-10 | 2,823,223.19 | 176,136.35 | 2,999,359.54 | 139,990,034.69 | 1.48 | |||
76 | 20-May-10 | 2,768,146.70 | 172,654.38 | 2,940,801.07 | 137,221,887.99 | 1.48 | |||
77 | 20-Jun-10 | 2,714,133.74 | 169,240.33 | 2,883,374.07 | 134,507,754.25 | 1.48 | |||
78 | 20-Jul-10 | 2,661,163.94 | 165,892.90 | 2,827,056.84 | 131,846,590.31 | 1.48 | |||
79 | 20-Aug-10 | 2,609,217.32 | 162,610.79 | 2,771,828.12 | 129,237,372.99 | 1.48 | |||
80 | 20-Sep-10 | 2,558,274.28 | 159,392.76 | 2,717,667.04 | 126,679,098.71 | 1.48 | |||
81 | 20-Oct-10 | 2,508,315.57 | 156,237.56 | 2,664,553.13 | 124,170,783.14 | 1.48 | |||
82 | 20-Nov-10 | 2,459,322.35 | 153,143.97 | 2,612,466.31 | 121,711,460.79 | 1.48 | |||
83 | 20-Dec-10 | 2,411,276.09 | 150,110.80 | 2,561,386.89 | 119,300,184.70 | 1.48 | |||
84 | 20-Jan-11 | 2,364,158.65 | 147,136.89 | 2,511,295.54 | 116,936,026.05 | 1.48 | |||
85 | 20-Feb-11 | 2,317,952.22 | 144,221.10 | 2,462,173.32 | 114,618,073.84 | 1.48 | |||
86 | 20-Mar-11 | 2,272,639.33 | 141,362.29 | 2,414,001.62 | 112,345,434.51 | 1.48 | |||
87 | 20-Apr-11 | 2,228,202.84 | 138,559.37 | 2,366,762.21 | 110,117,231.67 | 1.48 | |||
88 | 20-May-11 | 2,184,625.95 | 135,811.25 | 2,320,437.21 | 107,932,605.71 | 1.48 | |||
89 | 20-Jun-11 | 2,141,892.17 | 133,116.88 | 2,275,009.05 | 105,790,713.54 | 1.48 | |||
90 | 20-Jul-11 | 2,099,985.32 | 130,475.21 | 2,230,460.53 | 103,690,728.22 | 1.48 | |||
91 | 20-Aug-11 | 2,058,889.53 | 127,885.23 | 2,186,774.76 | 101,631,838.69 | 1.48 | |||
92 | 20-Sep-11 | 2,018,589.24 | 125,345.93 | 2,143,935.18 | 99,613,249.45 | 1.48 | |||
93 | 20-Oct-11 | 1,979,069.19 | 122,856.34 | 2,101,925.53 | 97,634,180.26 | 1.48 | |||
94 | 20-Nov-11 | 1,940,314.39 | 120,415.49 | 2,060,729.88 | 95,693,865.87 | 1.48 | |||
95 | 20-Dec-11 | 1,902,310.15 | 118,022.43 | 2,020,332.59 | 93,791,555.72 | 1.48 | |||
96 | 20-Jan-12 | 1,865,042.07 | 115,676.25 | 1,980,718.33 | 91,926,513.65 | 1.48 | |||
97 | 20-Feb-12 | 1,828,496.01 | 113,376.03 | 1,941,872.04 | 90,098,017.64 | 1.48 | |||
98 | 20-Mar-12 | 1,792,658.10 | 111,120.89 | 1,903,778.99 | 88,305,359.54 | 1.48 | |||
99 | 20-Apr-12 | 1,757,514.73 | 108,909.94 | 1,866,424.68 | 86,547,844.80 | 1.48 | |||
100 | 20-May-12 | 1,723,052.58 | 106,742.34 | 1,829,794.92 | 84,824,792.23 | 1.48 | |||
101 | 20-Jun-12 | 1,689,258.54 | 104,617.24 | 1,793,875.78 | 83,135,533.69 | 1.48 | |||
102 | 20-Jul-12 | 1,656,119.78 | 102,533.82 | 1,758,653.60 | 81,479,413.92 | 1.48 | |||
103 | 20-Aug-12 | 1,623,623.70 | 100,491.28 | 1,724,114.98 | 79,855,790.22 | 1.48 | |||
104 | 20-Sep-12 | 1,591,757.96 | 98,488.81 | 1,690,246.77 | 78,264,032.26 | 1.48 | |||
105 | 20-Oct-12 | 1,560,510.43 | 96,525.64 | 1,657,036.07 | 76,703,521.83 | 1.48 | |||
106 | 20-Nov-12 | 1,529,869.23 | 94,601.01 | 1,624,470.24 | 75,173,652.60 | 1.48 | |||
107 | 20-Dec-12 | 1,499,822.70 | 92,714.17 | 1,592,536.88 | 73,673,829.89 | 1.48 | |||
108 | 20-Jan-13 | 1,470,359.41 | 90,864.39 | 1,561,223.80 | 72,203,470.48 | 1.48 | |||
109 | 20-Feb-13 | 1,441,468.13 | 89,050.95 | 1,530,519.08 | 70,762,002.36 | 1.48 | |||
110 | 20-Mar-13 | 1,413,137.86 | 87,273.14 | 1,500,411.00 | 69,348,864.50 | 1.48 | |||
111 | 20-Apr-13 | 1,385,357.81 | 85,530.27 | 1,470,888.07 | 67,963,506.69 | 1.48 | |||
112 | 20-May-13 | 1,358,117.38 | 83,821.66 | 1,441,939.04 | 66,605,389.30 | 1.48 | |||
113 | 20-Jun-13 | 1,331,406.21 | 82,146.65 | 1,413,552.85 | 65,273,983.10 | 1.48 | |||
114 | 20-Jul-13 | 1,305,214.08 | 80,504.58 | 1,385,718.66 | 63,968,769.02 | 1.48 | |||
115 | 20-Aug-13 | 1,279,531.03 | 78,894.82 | 1,358,425.84 | 62,689,237.99 | 1.48 | |||
116 | 20-Sep-13 | 1,254,347.23 | 77,316.73 | 1,331,663.96 | 61,434,890.76 | 1.48 | |||
117 | 20-Oct-13 | 1,229,653.08 | 75,769.70 | 1,305,422.78 | 60,205,237.68 | 1.48 | |||
118 | 20-Nov-13 | 1,205,439.16 | 74,253.13 | 1,279,692.28 | 58,999,798.52 | 1.48 | |||
119 | 20-Dec-13 | 1,181,696.20 | 72,766.42 | 1,254,462.61 | 57,818,102.32 | 1.48 | |||
120 | 20-Jan-14 | 57,818,102.32 | 71,308.99 | 57,889,411.32 | 0 | 1.48 |
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Preliminary Term Sheet
Date Prepared: January 14, 2004
Sequoia Mortgage Trust 2004-1
Mortgage Pass-Through Certificates
$616,605,000 (Approximate, Subject to Final Collateral)
Publicly Offered Certificates
Adjustable Rate Residential Mortgage Loans
Class | Principal Balance(1) | WAL (Yrs) (Call/Mat) (2) | Pymt Window (Mths) (Call/Mat)(2) | Certificate Interest Rates | Tranche Type | Expected Ratings S&P/Moody’s/Fitch | |||
A(3) | $601,293,000 | 3.88 / 4.21 | 1-120 / 1-359 | Floater | Senior | AAA/Aaa/AAA | |||
X-1(5)(6) | $601,293,000 | N/A | Senior/ NAS IO | AAA/Aaa/AAA | |||||
X-2(5)(7) | $601,293,000 | Information Not Provided Herein | N/A | Senior/ IO | AAA/Aaa/AAA | ||||
XB-1(5)(8) | $9,375,000 | N/A | Senior/ IO | AAA/Aaa/AAA | |||||
XB-2(5)(9) | $5,937,000 | N/A | Senior/ IO | AAA/Aaa/AAA | |||||
A-R | $100 | Senior | AAA/Aaa/AAA | ||||||
B-1(4) | $9,375,000 | 6.61 / 7.32 | 39-120 / 39-359 | Floater | Subordinate | AA/Aa2/AA | |||
B-2(4) | $5,937,000 | 6.61 / 7.32 | 39-120 / 39-359 | Floater | Subordinate | A/A2/A | |||
B-3 | $3,437,000 | Information Not Provided Herein | N/A | Subordinate | BBB/Baa2/BBB | ||||
B-4 | $1,562,000 | N/A | Subordinate | BB/Ba2/BB | |||||
B-5 | $937,000 | N/A | Subordinate | B/B2/B | |||||
B-6 | $2,503,906 | N/A | Subordinate | NR/NR/NR | |||||
Total | $625,045,006 |
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
(1)
Distributions on the Senior Certificates (as described herein) and the Subordinate Certificates (as described herein) will be derived from one-month and six-month LIBOR adjustable rate mortgage loans, the Mortgage Loans (as described herein). Class sizes are subject to final collateral and rating agency approval and are subject to a +/-10% variance.
(2)
The WAL and Payment Windows for the Class A, Class B-1 and Class B-2 Certificates are shown to the Clean-Up Call Date and to maturity (as described herein).
(3)
The Class A Certificates will have a coupon equal to the lesser of (i) Six-Month LIBOR plus a related margin (which margin doubles after the Clean-Up Call Date), (ii) the Net WAC Cap and (iii) 11.50%. Six-Month LIBOR will reset every 6 months beginning with the first Distribution Date in February 2004.
(4)
The Class B-1 and Class B-2 Certificates will have a coupon equal to the lesser of (i) One-Month LIBOR plus a margin (which margin is multiplied by [1.5] after the Clean-Up Call Date), (ii) the Net WAC Cap and (iii) 11.50%.
(5)
Balances shown with respect to the Class X-1, Class X-2, Class XB-1 and Class XB-2 Certificates are notional balances. Such classes are interest-only certificates and will not be entitled to distributions of principal.
(6)
The notional amount of the Class X-1 Certificates for any Distribution Date is the lesser of (x) the notional amount set out immediately prior to such date on the related notional amount schedule and (y) the class principal amounts of the Class A Certificates, for such distribution date. Beginning on the Distribution Date in [-], the notional amount of the Class X-1 Certificates will be zero. The interest rate of the Class X-1 Certificates will be the lesser of (x) [-]% and (y) the excess, if any, of (i) the weighted average of the net interest rates of the Mortgage Loans over (ii) the interest rate for the Class A Certificates. Distributions on the Class X-1 Certificates will be subject to certain limitations in connection with the related Net WAC Shortfalls of the Class A Certificates, and as otherwise described herein. No principal will be distributed on the X-1 C ertificates.
(7)
The notional amount of the Class X-2 Certificates for any Distribution Date is the principal amount of the Class A Certificates immediately prior to such distribution date. The interest rate of the Class X-2 Certificates will be equal to the Adjusted Net WAC less the Certificate Interest Rate of the Class A Certificates. Distributions on the Class X-2 Certificates will be subject to certain limitations in connection with the related Net WAC Shortfalls of the Class A Certificates, and as otherwise described herein. No principal will be distributed on the X-2 Certificates. The “Adjusted Net WAC” shall mean for any Distribution Date a per annum rate equal to the product of (i) 12 and (ii) a fraction, the numerator of which is the excess of (x) what the current interest on the Class A Certificates would have been for such Distri bution Date had the Certificate Interest Rate on such class been the Net WAC over (y) the current interest on the Class X-1 Certificate for such Distribution Date and the denominator of which is the class principal amount of the Class A Certificates immediately prior to such Distribution Date
(8)
The notional amount of the Class XB-1 Certificates for any distribution date is equal to the principal amount of the Class B-1 Certificates immediately prior to such distribution date. The interest rate of the Class XB-1 Certificates will be equal to the weighted average of the net interest rates of the Mortgage Loans less interest distributed to the Class B-1 Certificates. Distributions on the Class XB-1 Certificates will be subject to certain limitations in connection with the related Net WAC Shortfalls of the Class B-1 Certificates, and as otherwise described herein. No principal will be distributed on the XB-1 Certificates.
(9)
The notional amount of the Class XB-2 Certificates for any distribution date is equal to the principal amount of the Class B-2 Certificates immediately prior to such distribution date. The interest rate on the Class XB-2 Certificates will be equal to the weighted average of the net interest rates of the Mortgage Loans less interest distributed to the Class B-2 Certificates. Distributions on the Class XB-2 Certificates will be subject to certain limitations in connection with the related Net WAC Shortfalls of the Class B-2 Certificates, and as otherwise described herein. No principal will be distributed on the XB-2 Certificates.
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Depositor:
Sequoia Residential Funding, Inc.
Co-Lead Managers:
Greenwich Capital Markets, Inc and Morgan Stanley.
Co-Managers:
Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.
Master Servicer/
Securities Administrator:
Wells Fargo Bank, N.A.
Trustee:
HSBC Bank USA.
Custodians:
Deutsche Bank National Trust Company and Wells Fargo Bank, N.A.
Rating Agencies:
S&P, Moody’s and Fitch will rate the Offered Certificates. It is expected that the Certificates will be assigned the credit ratings on page 1 of this Preliminary Term Sheet.
Cut-off Date:
January 1, 2004.
Pricing Date:
On or about January [16], 2004.
Closing Date:
On or about January 28, 2004.
Distribution Date:
The 20th day of each month (or if not a business day, the next succeeding business day), commencing in February 2004.
Certificates:
The “Senior Certificates” will consist of the Class A, Class X-1, Class X-2, Class XB-1, Class XB-2 and Class A-R Certificates. The “Class X Certificates” will consist of the Class X-1, Class X-2, Class XB-1 and Class XB-2 Certificates. The “Subordinate Certificates” will consist of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates. The Senior Certificates and the Subordinate Certificates are collectively referred to herein as the “Certificates”. The Class A, Class B-1 and Class B-2 Certificates (collectively, the“Offered Certificates”) are being offered publicly.
Accrued Interest:
The Class A, Class B-1 and Class B-2 Certificates will settle flat.
Accrual Period:
The interest accrual period (the “Accrual Period”) with respect to the Class A, Class B-1 and Class B-2 Certificates for a given Distribution Date will be the period beginning on the 20th day of the month (or, in the case of the first Distribution Date, the Closing Date) and ending on the 19th day of the month (on a 30/360 basis), and with respect to the Class X Certificates for a given Distribution Date will be the calendar month preceding the month in which such Distribution Date occurs (on a 30/360 basis).
Registration:
The Offered Certificates will be made available in book-entry form through DTC, and upon request only, through Clearstream, Luxembourg and Euroclear system.
Federal Tax Treatment:
It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests for tax purposes.
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
ERISA Eligibility:
The Offered Certificates are expected to be ERISA eligible. Prospective investors should review with their legal advisors whether the purchase and holding of any of the Offered Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA or other similar laws.
SMMEA Treatment:
The Senior Certificates and the Class B-1 Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA.
Optional Redemption:
The terms of the transaction allow for the certificates to be redeemed and/or retired once the aggregate principal balance of the Mortgage Loans is equal to 20% or less of the sum of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Optional Call Date”).
Clean-Up Call:
The terms of the transaction allow for a purchase of the Mortgage Loans resulting in a termination of the trust and retirement of the Certificates once the aggregate principal balance of the Mortgage Loans is equal to 10% or less of aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Clean-Up Call Date”).
Pricing Prepayment
Speed:
The Offered Certificates will be priced to a prepayment speed of 20% CPR.
Mortgage Loans:
The trust will consist of adjustable rate, prime quality mortgage loans secured by first liens on one- to four-family residential properties with an aggregate principal balance as of the Cut-off Date of approximately $625,045,006, (the “Mortgage Loans”). As of the Cut-off Date, approximately 84.62% and 15.38% of the Mortgage Loans are six-month LIBOR and one-month LIBOR indexed mortgage loans, respectively. Substantially all of the Mortgage Loans have original terms to maturity of approximately 25 or 30 years. As of the Cut-off Date, approximately 57.92% and 42.08% of the Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively. In each case, after such 5-year or 10-year interest-only term, the mortgage loans are scheduled to amortize on a 25-year or 15-year fully amortizing basis, respectively.
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Net WAC Cap:
In the case of the Class A, Class B-1 and Class B-2 Certificates, the weighted average of the net mortgage rates for the Mortgage Loans.
The Class A Certificates will have a Certificate Interest Rate equal to the lesser of (i) six-month LIBOR plus the related margin, (ii) the Net WAC Cap and (iii) 11.50%.
The Class B-1 Certificates will have a Certificate Interest Rate equal to the lesser of (i) one-month LIBOR plus the related margin, (ii) the Net WAC Cap and (iii) 11.50%.
The Class B-2 Certificates will have a Certificate Interest Rate equal to the lesser of (i) one-month LIBOR plus the related margin, (ii) the Net WAC Cap and (iii) 11.50%.
If on any Distribution Date, the Certificate Interest Rate of the Class A Certificates is subject to the Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the Net WAC Cap) over (b) the amount of interest received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the Net WAC Cap) (a “Class ANet WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class B-1 Certificates is subject to the Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of the (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the Net WAC Cap) over (b) the amount of interest received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the Net WAC Cap) (a “Class B-1Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class B-2 Certificates is subject to the Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of the (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the Net WAC Cap) over (b) the amount of interest received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the Net WAC Cap) (a “Class B-2Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
The “Net WAC Shortfall”any of the Class A Net WAC Shortfall, the Class B-1 Net WAC Shortfall and the Class B-2 Net WAC Shortfall amounts.
Reserve Fund:
As of the Closing Date, the “Reserve Fund” will be established on behalf of the LIBOR Certificates. The Reserve Fund will be funded by an initial deposit of funds on the Closing Date, and thereafter, by amounts otherwise distributable to any of the Class X Certificates to the extent of any of the related Net WAC Shortfall amounts for a related Distribution Date. The Reserve Fund will not be an asset of the REMIC. On any Distribution Date, LIBOR Certificates will be entitled to receive payments from the Reserve Fund in an amount equal to the related Net WAC Shortfall amount for such Distribution Date, to the extent available. Any amounts remaining in the Reserve Fund after such distribution will be distributed to the related Class X Certificates.
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Credit Enhancement:
Senior/subordinate, shifting interest structure.
Credit enhancement for theSenior Certificates will consist of the subordination of the Subordinate Certificates (total subordination initially [3.80]%).
Credit enhancement for theClass B-1 Certificates will consist of the subordination of the Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially [2.30]%).
Credit enhancement for theClass B-2 Certificates will consist of the subordination of the Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially [1.35]%).
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Shifting Interest:
Until the first Distribution Date occurring after January 2014, the Subordinate Certificates will be locked out from receipt of all principal (unless the Senior Certificates are paid down to zero or the credit enhancement provided by the Subordinate Certificates has doubled prior to such date as described below). After such time and subject to standard collateral performance triggers (as described in the prospectus supplement), the Subordinate Certificates will receive their pro-rata share of scheduled principal and increasing portions of unscheduled principal prepayments.
The prepayment percentages on the Subordinate Certificates are as follows:
February 2004 – January 2014
0% Pro Rata Share
February 2014 – January 2015
30% Pro Rata Share
February 2015 – January 2016
40% Pro Rata Share
February 2016 – January 2017
60% Pro Rata Share
February 2017 – January 2018
80% Pro Rata Share
February 2018 and after
100% Pro Rata Share
Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate Certificates doubles, all principal (scheduled principal and prepayments) will be paid pro-rata between the Senior Certificate (other than the Class X Certificates) and Subordinate Certificates (subject to performance triggers). However, if the credit enhancement provided by the Subordinate Certificates has doubled prior to the Distribution Date in February 2007 (subject to performance triggers), then the Subordinate Certificates will be entitled to only 50% of their pro-rata share of principal (scheduled principal and prepayments).
Any principal not allocated to the Subordinate Certificates will be allocated to the Senior Certificates. In the event the applicable current senior percentage (equal to the aggregate principal balance of the Senior Certificates, divided by the aggregate principal balance of the Mortgage Loans) exceeds the initial senior percentage (equal to the aggregate principal balance of the Senior Certificates as of the Closing Date, divided by the sum of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the Senior Certificates (other than the Class X Certificates) will receive all unscheduled prepayments from the Mortgage Loans, regardless of any prepayment percentages as described above.
Allocation of
Realized Losses:
Any realized losses on the Mortgage Loans will be allocated as follows:first, to the Subordinate Certificates in reverse order of their alpha numerical Class designations, in each case until the respective class principal balance has been reduced to zero;thereafter, to the Class A Certificates in reduction of their principal balance.
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Certificates Priority of
Distributions:
With respect to any Distribution Date, available funds from the Mortgage Loans will be distributed in the following order of priority:
With respect to any Distribution Date, available funds from the Mortgage Loans will be distributed in the following order of priority:
1) | Senior Certificates, accrued and unpaid interest at the related Certificate Interest Rate, from the related Mortgage Loans; provided that, to the extent of any of the related Net WAC Shortfall amount for such Distribution Date with respect to each of the Offered Certificates, the amount of interest otherwise distributable to the related Class X Certificates shall be deposited in the Reserve Fund. |
2) | Class A-R Certificates, principal allocable to such class. |
3) | Class A Certificates, principal allocable to such class. |
4) | Class B-1 Certificates, accrued and unpaid interest at the related Certificate Interest Rate. |
5) | Class B-1 Certificates, principal allocable to such class. |
6) | Class B-2 Certificates, accrued and unpaid interest at the related Certificate Interest Rate. |
7) | Class B-2 Certificates, principal allocable to such class. |
8) | Class A Certificates, the related Net WAC Shortfall amount, from the Reserve Fund. |
9) | Class B-1 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund. |
10) | Class B-2 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund. |
11) | Class X Certificates, the excess amounts related to each Class X Certificate, from the Reserve Fund. |
12) | Class B-3, Class B-4, Class B-5 and Class B-6 Certificates, in sequential order, accrued and unpaid interest at the related Certificate Interest Rate and the respective shares of principal allocable to such classes. |
13) | Class A-R Certificate, any remaining amount. |
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its affiliates in connection with the proposed transaction.
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the “Computational Materials”) are privileged and intended for use by the addressee only. These Computational Materials are furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities. They may not be provided to any third party other than the addressee’s legal, tax, financial and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials, which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials’ accuracy, appropriateness or completeness in any particular context; nor as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. The principal amount and designation of any security described in the Computational Ma terials are subject to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
Although a registration statement (including the Prospectus) relating to the securities discussed in this communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus supplement relating to the securities discussed in this communication has not been filed with Securities and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification of such securities under the securities laws of any such state. Prospective purchasers are referred to the final prospectus supplement relating to the securities discussed in this communication which supersede these Computational Materials and any matter discussed in this communication. &nb sp;Once available, a final prospectus and prospectus supplement may be obtained by contacting the Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and interest rate risks. Investors should make every effort to consider the risks of these securities.
If you have received this communication in error, please notify the sending party immediately by telephone and return the original to such party by mail.
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its affiliates in connection with the proposed transaction.
Sensitivity Tables
Class A To Call | ||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR |
WAL (yr) | 6.28 | 5.15 | 3.88 | 3.04 | 2.45 | 1.72 |
MDUR (yr) | 5.81 | 4.82 | 3.68 | 2.91 | 2.36 | 1.67 |
First Prin Pay | 02/20/04 | 02/20/04 | 02/20/04 | 02/20/04 | 02/20/04 | 02/20/04 |
Last Prin Pay | 03/20/19 | 11/20/16 | 01/20/14 | 12/20/11 | 06/20/10 | 08/20/08 |
Class A To Maturity | ||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR |
WAL (yr) | 6.68 | 5.53 | 4.21 | 3.32 | 2.70 | 1.89 |
MDUR (yr) | 6.11 | 5.12 | 3.95 | 3.15 | 2.58 | 1.83 |
First Prin Pay | 02/20/04 | 02/20/04 | 02/20/04 | 02/20/04 | 02/20/04 | 02/20/04 |
Last Prin Pay | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 |
Class B-1 To Call | ||||||||
|
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| ||
| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||
WAL (yr) | 10.51 | 8.71 | 6.61 | 5.39 | 4.58 | 3.46 | ||
MDUR (yr) | 9.47 | 7.97 | 6.17 | 5.08 | 4.35 | 3.32 | ||
First Prin Pay | 07/20/09 | 06/20/08 | 04/20/07 | 07/20/06 | 02/20/06 | 07/20/05 | ||
Last Prin Pay | 03/20/19 | 11/20/16 | 01/20/14 | 12/20/11 | 06/20/10 | 08/20/08 |
Class B-1 To Maturity | ||||||||
|
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| ||
| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||
WAL (yr) | 11.33 | 9.52 | 7.32 | 6.05 | 5.22 | 4.04 | ||
MDUR (yr) | 10.08 | 8.59 | 6.73 | 5.63 | 4.90 | 3.84 | ||
First Prin Pay | 07/20/09 | 06/20/08 | 04/20/07 | 07/20/06 | 02/20/06 | 07/20/05 | ||
Last Prin Pay | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 |
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its affiliates in connection with the proposed transaction.
Class B-2 To Call | |||||||
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| |
| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | |
WAL (yr) | 10.51 | 8.71 | 6.61 | 5.39 | 4.58 | 3.46 | |
MDUR (yr) | 9.14 | 7.73 | 6.02 | 4.98 | 4.28 | 3.28 | |
First Prin Pay | 07/20/09 | 06/20/08 | 04/20/07 | 07/20/06 | 02/20/06 | 07/20/05 | |
Last Prin Pay | 03/20/19 | 11/20/16 | 01/20/14 | 12/20/11 | 06/20/10 | 08/20/08 |
Class B-2 To Maturity | |||||||
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| ||
12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||
WAL (yr) | 11.33 | 9.52 | 7.32 | 6.05 | 5.22 | 4.04 | |
MDUR (yr) | 9.68 | 8.29 | 6.54 | 5.49 | 4.80 | 3.77 | |
First Prin Pay | 07/20/09 | 06/20/08 | 04/20/07 | 07/20/06 | 02/20/06 | 07/20/05 | |
Last Prin Pay | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 | 12/20/33 |
*RBS GREENWICH CAPITAL
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its affiliates in connection with the proposed transaction.
Class A, Class B-1 and B-2 Certificates
Effective Net WAC Cap Schedule*
Assumptions : | |||||||
20% CPR | |||||||
To Cleanup Call | |||||||
1MO & 6MO LIBOR spike to 20% in month 1 | |||||||
Class A, B-1 & B-2 Hard Cap of 11.50% | |||||||
Distribution | Class A, B-1 & B-2 | ||||||
Period | 30/360 | ||||||
Net WAC | |||||||
1 | 2.6750 | ||||||
2 | 4.0395 | ||||||
3 | 4.0748 | ||||||
4 | 4.0748 | ||||||
5 | 4.0748 | ||||||
6 | 9.5126 | ||||||
7 and After | 11.5000 |
*The Net WAC Cap is calculated assuming current 1-Month LIBOR or 6-Month LIBOR of 20.00% and is run at the pricing speed of 20% CPR to the clean-up call
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
Sequoia Mortgage Trust 2004-1
Total Collateral – Mortgage Loans
As of the Cut-Off Date
Total Current Balance: | $625,045,006 | |||||
Number Of Loans: | 1,702 | |||||
| ||||||
Minimum | Maximum | |||||
Average Current Balance: | $367,241 | $47,600 | $7,000,000 | |||
Average Original Balance: | $367,784 | $47,600 | $7,000,000 | |||
| ||||||
Weighted Average Loan Rate: | 3.061 | % | 2.375 | % | 4.000 | % |
Weighted Average Servicing Fee: | 0.376 | % | 0.375 | % | 0.875 | % |
Weighted Average Net Loan Rate: | 2.685 | % | 2.000 | % | 3.625 | % |
| ||||||
Weighted Average Gross Margin: | 1.812 | % | 1.000 | % | 2.500 | % |
Weighted Average Maximum Loan Rate: | 12.000 | % | 11.750 | % | 12.000 | % |
Weighted Average Periodic Rate Cap: | 0.000 | % | 0.000 | % | 0.000 | % |
Weighted Average First Rate Cap: | 0.000 | % | 0.000 | % | 0.000 | % |
| ||||||
Weighted Average Original LTV: | 69.97 | % | 10.64 | % | 100.00 | % |
Weighted Average Effective LTV: | 68.76 | % | 10.64 | % | 95.00 | % |
| ||||||
Weighted Average Credit Score: | 728 |
| 584 |
| 813 |
|
| ||||||
Weighted Average Original Term: �� | 335 | months | 300 | months | 360 | months |
Weighted Average Remaining Term: | 334 | months | 294 | months | 360 | months |
Weighted Average Seasoning: | 1 | months | 0 | months | 17 | months |
| ||||||
Weighted Average Next Rate Reset: | 5 | months | 1 | months | 6 | months |
Weighted Average Rate Adj Freq: | 5 | months | 1 | months | 6 | months |
Weighted Average First Rate Adj Freq: | 5 | months | 1 | months | 6 | months |
| ||||||
Weighted Average IO Original Term: | 85 | months | 60 | months | 120 | months |
Weighted Average IO Remaining Term: | 85 | months | 43 | months | 120 | months |
| ||||||
Top State Concentrations ($): | 32.21 % California, 9.77 % Florida, 6.54 % Arizona | |||||
Maximum Zip Code ($): | 1.34 % 90210 | |||||
| ||||||
First Pay Date: | Sep 01, 2002 | Feb 04, 2004 | ||||
Rate Change Date: | Feb 01, 2004 | Jul 04, 2004 | ||||
Mature Date: | Jul 01, 2028 | Jan 04, 2034 |
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
INDEX: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
LIBOR 6 M | 1,512 | $528,922,390.39 | 84.62 | % | |||
LIBOR 1 M | 190 | 96,122,616.05 | 15.38 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
CURRENT BALANCE ($): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
0.01 - 100,000.00 | 123 | $9,762,175.38 | 1.56 | % | |||
100,000.01 - 200,000.00 | 477 | 72,769,472.24 | 11.64 | ||||
200,000.01 - 300,000.00 | 339 | 84,412,929.04 | 13.51 | ||||
300,000.01 - 400,000.00 | 220 | 76,959,860.89 | 12.31 | ||||
400,000.01 - 500,000.00 | 176 | 79,540,029.30 | 12.73 | ||||
500,000.01 - 600,000.00 | 116 | 64,795,905.38 | 10.37 | ||||
600,000.01 - 700,000.00 | 96 | 61,824,754.56 | 9.89 | ||||
700,000.01 - 800,000.00 | 49 | 37,158,969.66 | 5.95 | ||||
800,000.01 - 900,000.00 | 11 | 9,367,950.00 | 1.50 | ||||
900,000.01 - 1,000,000.00 | 42 | 41,220,990.99 | 6.59 | ||||
1,000,000.01 - 1,100,000.00 | 6 | 6,383,120.00 | 1.02 | ||||
1,100,000.01 - 1,200,000.00 | 6 | 7,112,000.00 | 1.14 | ||||
1,200,000.01 - 1,300,000.00 | 9 | 11,278,000.00 | 1.80 | ||||
1,300,000.01 - 1,400,000.00 | 8 | 10,835,750.00 | 1.73 | ||||
1,400,000.01 - 1,500,000.00 | 6 | 8,865,000.00 | 1.42 | ||||
1,500,000.01 - 2,000,000.00 | 14 | 25,794,699.00 | 4.13 | ||||
2,500,000.01 - 3,000,000.00 | 2 | 5,463,400.00 | 0.87 | ||||
4,000,000.01 - 4,500,000.00 | 1 | 4,500,000.00 | 0.72 | ||||
6,500,000.01 - 7,000,000.00 | 1 | 7,000,000.00 | 1.12 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % |
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
LOAN RATE (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
2.375 - 2.500 | 13 | $4,713,000.00 | 0.75 | % | |||
2.501 - 3.000 | 807 | 290,992,318.98 | 46.56 | ||||
3.001 - 3.500 | 861 | 320,146,287.46 | 51.22 | ||||
3.501 - 4.000 | 21 | 9,193,400.00 | 1.47 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
GROSS MARGIN (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
1.000 | 1 | $287,804.00 | 0.05 | % | |||
1.250 | 17 | 5,034,792.00 | 0.81 | ||||
1.375 | 19 | 8,174,250.00 | 1.31 | ||||
1.500 | 158 | 62,614,513.79 | 10.02 | ||||
1.625 | 467 | 166,835,208.77 | 26.69 | ||||
1.750 | 177 | 56,190,414.23 | 8.99 | ||||
1.875 | 316 | 103,490,514.32 | 16.56 | ||||
2.000 | 389 | 158,378,387.35 | 25.34 | ||||
2.125 | 73 | 31,178,949.93 | 4.99 | ||||
2.250 | 84 | 31,660,172.05 | 5.07 | ||||
2.500 | 1 | 1,200,000.00 | 0.19 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
ORIGINAL TERM (Months): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
300 | 581 | $263,004,953.87 | 42.08 | % | |||
360 | 1,121 | 362,040,052.57 | 57.92 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
REMAINING TERM (Months): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
294 - 294 | 1 | $435,000.00 | 0.07 | % | |||
295 - 300 | 580 | 262,569,953.87 | 42.01 | ||||
343 - 348 | 4 | 1,875,690.00 | 0.30 | ||||
349 - 354 | 4 | 2,579,500.00 | 0.41 | ||||
355 - 360 | 1,113 | 357,584,862.57 | 57.21 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % |
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
IO REMAINING TERM (Months): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
43 - 48 | 4 | $1,875,690.00 | 0.30 | % | |||
49 - 54 | 4 | 2,579,500.00 | 0.41 | ||||
55 - 60 | 1,113 | 357,584,862.57 | 57.21 | ||||
109 - 114 | 1 | 435,000.00 | 0.07 | ||||
115 - 120 | 580 | 262,569,953.87 | 42.01 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
RATE CHANGE DATE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
02/01/04 | 195 | $100,529,856.05 | 16.08 | % | |||
03/01/04 | 14 | 6,333,609.22 | 1.01 | ||||
04/01/04 | 18 | 5,685,543.01 | 0.91 | ||||
05/01/04 | 42 | 16,071,837.04 | 2.57 | ||||
06/01/04 | 667 | 209,425,498.65 | 33.51 | ||||
06/03/04 | 1 | 400,000.00 | 0.06 | ||||
06/04/04 | 2 | 578,300.00 | 0.09 | ||||
07/01/04 | 760 | 284,115,362.47 | 45.46 | ||||
07/02/04 | 2 | 1,780,000.00 | 0.28 | ||||
07/04/04 | 1 | 125,000.00 | 0.02 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
ORIGINAL LTV (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
10.00 - 20.00 | 8 | $2,196,000.00 | 0.35 | % | |||
20.01 - 30.00 | 34 | 7,449,199.99 | 1.19 | ||||
30.01 - 40.00 | 45 | 23,843,959.02 | 3.81 | ||||
40.01 - 50.00 | 100 | 34,283,944.50 | 5.49 | ||||
50.01 - 60.00 | 143 | 67,744,931.80 | 10.84 | ||||
60.01 - 65.00 | 122 | 52,314,702.16 | 8.37 | ||||
65.01 - 70.00 | 202 | 75,844,177.37 | 12.13 | ||||
70.01 - 75.00 | 191 | 73,419,315.03 | 11.75 | ||||
75.01 - 80.00 | 750 | 252,944,664.94 | 40.47 | ||||
80.01 - 85.00 | 15 | 2,727,700.00 | 0.44 | ||||
85.01 - 90.00 | 24 | 4,866,599.99 | 0.78 | ||||
90.01 - 95.00 | 23 | 5,180,970.00 | 0.83 | ||||
95.01 - 100.00 | 45 | 22,228,841.64 | 3.56 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % |
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
EFFECTIVE LTV (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
10.00 - 20.00 | 8 | $2,196,000.00 | 0.35 | % | |||
20.01 - 30.00 | 34 | 7,449,199.99 | 1.19 | ||||
30.01 - 40.00 | 45 | 23,843,959.02 | 3.81 | ||||
40.01 - 50.00 | 100 | 34,283,944.50 | 5.49 | ||||
50.01 - 60.00 | 153 | 73,466,974.44 | 11.75 | ||||
60.01 - 65.00 | 123 | 55,078,102.16 | 8.81 | ||||
65.01 - 70.00 | 239 | 90,400,796.37 | 14.46 | ||||
70.01 - 75.00 | 191 | 73,419,315.03 | 11.75 | ||||
75.01 - 80.00 | 750 | 252,944,664.94 | 40.47 | ||||
80.01 - 85.00 | 15 | 2,727,700.00 | 0.44 | ||||
85.01 - 90.00 | 23 | 4,704,149.99 | 0.75 | ||||
90.01 - 95.00 | 21 | 4,530,200.00 | 0.72 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
CREDIT SCORE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
580 - 599 | 4 | $1,697,679.51 | 0.27 | % | |||
600 - 619 | 4 | 1,842,648.00 | 0.29 | ||||
620 - 639 | 23 | 10,291,000.00 | 1.65 | ||||
640 - 659 | 65 | 22,739,556.77 | 3.64 | ||||
660 - 679 | 153 | 55,644,050.99 | 8.90 | ||||
680 - 699 | 217 | 80,968,232.42 | 12.95 | ||||
700 - 719 | 247 | 96,434,845.55 | 15.43 | ||||
720 - 739 | 233 | 80,965,611.10 | 12.95 | ||||
740 - 759 | 259 | 93,690,752.84 | 14.99 | ||||
760 - 779 | 258 | 97,229,073.13 | 15.56 | ||||
780 - 799 | 200 | 70,367,533.94 | 11.26 | ||||
>= 800 | 39 | 13,174,022.19 | 2.11 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
AMORTIZATION: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
Interest Only | 1,702 | $625,045,006.44 | 100.00 | % | |||
Total | 1,702 | $625,045,006.44 | 100.00 | % |
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
DOCUMENTATION: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
Full Documentation | 958 | $293,831,574.70 | 47.01 | % | |||
Limited Documentation | 290 | 135,926,645.74 | 21.75 | ||||
Alternative Documentation | 225 | 103,336,049.17 | 16.53 | ||||
Lite Documentation | 205 | 84,930,041.15 | 13.59 | ||||
No Ratio | 20 | 5,278,695.68 | 0.84 | ||||
Asset, No Income | 4 | 1,742,000.00 | 0.28 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
OCCUPANCY: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
Primary | 1,475 | $545,317,230.24 | 87.24 | % | |||
Second Home | 158 | 67,473,105.20 | 10.79 | ||||
Investor | 69 | 12,254,671.00 | 1.96 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
PROPERTY TYPE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
Single Family | 1,006 | $375,150,989.49 | 60.02 | % | |||
Planned Unit Development | 496 | 187,741,964.28 | 30.04 | ||||
Condominium | 174 | 53,001,590.38 | 8.48 | ||||
Two-Four Family | 21 | 7,448,462.29 | 1.19 | ||||
Cooperative | 5 | 1,702,000.00 | 0.27 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
PURPOSE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
Purchase | 576 | $244,498,215.50 | 39.12 | % | |||
Refinance (Rate or Term) | 738 | 234,364,773.30 | 37.50 | ||||
Refinance (Cash-Out) | 388 | 146,182,017.64 | 23.39 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % |
*RBS GREENWICH CAPITAL
The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein.
The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
STATES: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
California | 392 | $201,306,509.19 | 32.21 | % | |||
Florida | 173 | 61,078,409.33 | 9.77 | ||||
Arizona | 134 | 40,853,252.01 | 6.54 | ||||
Colorado | 87 | 26,476,717.01 | 4.24 | ||||
Georgia | 89 | 25,797,449.76 | 4.13 | ||||
Texas | 79 | 22,773,197.36 | 3.64 | ||||
Illinois | 46 | 21,376,629.52 | 3.42 | ||||
Massachusetts | 30 | 19,933,449.00 | 3.19 | ||||
New Jersey | 39 | 19,442,686.49 | 3.11 | ||||
New York | 37 | 18,910,495.11 | 3.03 | ||||
Ohio | 104 | 15,635,256.43 | 2.50 | ||||
Washington | 59 | 15,378,199.99 | 2.46 | ||||
North Carolina | 54 | 15,042,470.00 | 2.41 | ||||
Michigan | 44 | 13,336,072.99 | 2.13 | ||||
Virginia | 44 | 13,321,081.74 | 2.13 | ||||
Nevada | 32 | 13,292,349.19 | 2.13 | ||||
Maryland | 33 | 12,676,368.00 | 2.03 | ||||
South Carolina | 27 | 8,216,878.00 | 1.31 | ||||
Pennsylvania | 27 | 7,674,892.93 | 1.23 | ||||
Hawaii | 8 | 6,166,900.00 | 0.99 | ||||
Connecticut | 15 | 5,577,045.83 | 0.89 | ||||
Utah | 21 | 4,928,300.00 | 0.79 | ||||
Minnesota | 20 | 4,199,133.09 | 0.67 | ||||
Tennessee | 14 | 3,644,788.38 | 0.58 | ||||
Oregon | 13 | 3,277,655.00 | 0.52 | ||||
Idaho | 6 | 3,071,550.00 | 0.49 | ||||
Kansas | 8 | 2,617,519.00 | 0.42 | ||||
Missouri | 13 | 2,532,400.00 | 0.41 | ||||
District of Columbia | 3 | 2,522,000.00 | 0.40 | ||||
Rhode Island | 2 | 2,200,000.00 | 0.35 | ||||
Alabama | 5 | 1,537,720.00 | 0.25 | ||||
Indiana | 5 | 1,395,900.00 | 0.22 | ||||
Kentucky | 4 | 1,129,200.00 | 0.18 | ||||
New Hampshire | 7 | 866,132.29 | 0.14 | ||||
Oklahoma | 5 | 861,952.16 | 0.14 | ||||
Delaware | 3 | 823,500.00 | 0.13 | ||||
Nebraska | 3 | 805,616.64 | 0.13 | ||||
Montana | 3 | 776,400.00 | 0.12 | ||||
Wisconsin | 2 | 710,000.00 | 0.11 | ||||
Louisiana | 4 | 604,780.00 | 0.10 | ||||
Maine | 1 | 600,000.00 | 0.10 | ||||
Mississippi | 2 | 441,950.00 | 0.07 | ||||
South Dakota | 2 | 341,000.00 | 0.05 | ||||
Iowa | 1 | 340,000.00 | 0.05 | ||||
Arkansas | 1 | 336,000.00 | 0.05 | ||||
New Mexico | 1 | 215,200.00 | 0.03 | ||||
Total | 1,702 | $625,045,006.44 | 100.00 | % |
*RBS GREENWICH CAPITAL
Redwood 2004-1
Marketing
FICO
580-599 | 600-619 | 620-639 | 640-659 | 660-679 | 680-699 | 700-719 | 720-739 | 740-759 | 760-779 | 780-799 | over 800 | ||||||||||||||
a. 10.00 - 20.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.0% | 0.0% | 0.2% | 0.0% | 0.0% | 0.0% | |||||||||||||
b. 20.01 - 30.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.1% | 0.2% | 0.3% | 0.2% | 0.2% | 0.0% | |||||||||||||
c. 30.01 - 40.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.2% | 1.5% | 0.8% | 0.4% | 0.4% | 0.5% | 0.1% | |||||||||||||
d. 40.01 - 50.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.7% | 0.2% | 0.3% | 1.1% | 0.3% | 1.8% | 1.0% | 0.1% | |||||||||||||
e. 50.01 - 60.00 | 0.1% | 0.1% | 0.4% | 0.7% | 0.6% | 1.9% | 1.7% | 1.2% | 1.3% | 1.8% | 1.3% | 0.7% | |||||||||||||
EFF | f. 60.01 - 65.00 | 0.0% | 0.0% | 0.5% | 0.4% | 0.9% | 0.6% | 1.3% | 1.4% | 1.7% | 1.2% | 0.7% | 0.2% | ||||||||||||
LTV | g. 65.01 - 70.00 | 0.0% | 0.0% | 0.2% | 0.2% | 0.8% | 2.7% | 2.2% | 1.6% | 2.5% | 1.7% | 2.3% | 0.1% | ||||||||||||
h. 70.01 - 75.00 | 0.1% | 0.0% | 0.2% | 0.4% | 1.2% | 1.9% | 1.6% | 1.5% | 1.6% | 1.5% | 1.4% | 0.3% | |||||||||||||
i. 75.01 - 80.00 | 0.0% | 0.2% | 0.3% | 1.8% | 4.4% | 4.9% | 6.4% | 4.9% | 6.4% | 6.7% | 3.8% | 0.7% | |||||||||||||
j. 80.01 - 85.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.0% | 0.1% | 0.0% | 0.1% | 0.0% | 0.0% | 0.0% | |||||||||||||
k. 85.01 - 90.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.3% | 0.1% | 0.1% | 0.2% | 0.0% | 0.1% | 0.0% | |||||||||||||
l. 90.01 - 95.00 | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.2% | 0.1% | 0.1% | 0.1% | 0.1% | 0.1% | 0.0% | |||||||||||||
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Preliminary Term Sheet
Date Prepared: January 14, 2004
Sequoia Mortgage Trust 2004-1
Mortgage Pass-Through Certificates
$616,605,000 (Approximate, Subject to Final Collateral)
Publicly Offered Certificates
Adjustable Rate Residential Mortgage Loans
Class | Principal Balance(1) | WAL (Yrs) (Call/Mat) (2) | Pymt Window (Mths) (Call/Mat)(2) | Certificate Interest Rates | Tranche Type | Expected Ratings S&P/Moody’s/Fitch | ||
A(3) | $601,293,000 | 3.88 / 4.21 | 1-120 / 1-359 | Floater | Senior | AAA/Aaa/AAA | ||
X-1(5)(6) | $601,293,000 | N/A | N/A | N/A | Senior/ NAS IO | AAA/Aaa/AAA | ||
X-2(5)(7) | $601,293,000 | Information Not Provided Herein | N/A | Senior/ IO | AAA/Aaa/AAA | |||
XB-1(5)(8) | $9,375,000 | N/A | Senior/ IO | AAA/Aaa/AAA | ||||
XB-2(5)(9) | $5,937,000 | N/A | Senior/ IO | AAA/Aaa/AAA | ||||
A-R | $100 | Senior | AAA/Aaa/AAA | |||||
B-1(4) | $9,375,000 | 6.61 / 7.32 | 39-120 / 39-359 | Floater | Subordinate | AA/Aa2/AA | ||
B-2(4) | $5,937,000 | 6.61 / 7.32 | 39-120 / 39-359 | Floater | Subordinate | A/A2/A | ||
B-3 | $3,437,000 | Information Not Provided Herein | N/A | Subordinate | BBB/Baa2/BBB | |||
B-4 | $1,562,000 | N/A | Subordinate | BB/Ba2/BB | ||||
B-5 | $937,000 | N/A | Subordinate | B/B2/B | ||||
B-6 | $2,503,906 | N/A | Subordinate | NR/NR/NR | ||||
Total | $625,045,006 |
*RBS GREENWICH CAPITAL
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the “Computational Materials”) are privileged and intended for use by the addressee only. These Computational Materials are furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities. They may not be provided to any third party other than the addressee’s legal, tax, financial and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials, which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials’ accuracy, appropriateness or completeness in any particular context; nor as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
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Sequoia Mortgage Pass-Through Certs, Series 2004-1 CLASS X-1
Price-Yield Sensitivity Report
Settlement | 01/28/04 | |
Class Balance | $601,293,000 | |
Coupon | 0.800% | |
Cut-off Date | 01/01/04 | |
Next Payment Date | 02/20/04 | |
Accrued Interest Days | 27 | |
Cleanup Call | Yes |
Flat Price | 10% | 15% | 20% | 25% | 30% | 35% | 36% | 40% | 50% |
1-05+ | 12.003 | 12.003 | 12.003 | 12.003 | 12.003 | 12.003 | 10.375 | 3.641 | -15.395 |
1-06 | 11.457 | 11.457 | 11.457 | 11.457 | 11.457 | 11.457 | 9.832 | 3.115 | -15.886 |
1-06 | 10.917 | 10.917 | 10.917 | 10.917 | 10.917 | 10.917 | 9.296 | 2.595 | -16.370 |
1-06+ | 10.384 | 10.384 | 10.384 | 10.384 | 10.384 | 10.384 | 8.767 | 2.082 | -16.849 |
1-06+ | 9.858 | 9.858 | 9.858 | 9.858 | 9.858 | 9.858 | 8.244 | 1.574 | -17.322 |
1-07 | 9.337 | 9.337 | 9.337 | 9.337 | 9.337 | 9.337 | 7.728 | 1.073 | -17.789 |
1-07 | 8.823 | 8.823 | 8.823 | 8.823 | 8.823 | 8.823 | 7.218 | 0.578 | -18.250 |
1-07+ | 8.315 | 8.315 | 8.315 | 8.315 | 8.315 | 8.315 | 6.713 | 0.089 | -18.706 |
1-07+ | 7.813 | 7.813 | 7.813 | 7.813 | 7.813 | 7.813 | 6.215 | -0.395 | -19.157 |
1-08 | 7.317 | 7.317 | 7.317 | 7.317 | 7.317 | 7.317 | 5.723 | -0.872 | -19.603 |
1-08 | 6.827 | 6.827 | 6.827 | 6.827 | 6.827 | 6.827 | 5.236 | -1.345 | -20.043 |
1-08+ | 6.342 | 6.342 | 6.342 | 6.342 | 6.342 | 6.342 | 4.755 | -1.812 | -20.478 |
1-08+ | 5.863 | 5.863 | 5.863 | 5.863 | 5.863 | 5.863 | 4.279 | -2.273 | -20.908 |
1-09 | 5.390 | 5.390 | 5.390 | 5.390 | 5.390 | 5.390 | 3.809 | -2.729 | -21.334 |
1-09 | 4.921 | 4.921 | 4.921 | 4.921 | 4.921 | 4.921 | 3.344 | -3.181 | -21.754 |
1-09+ | 4.458 | 4.458 | 4.458 | 4.458 | 4.458 | 4.458 | 2.884 | -3.627 | -22.170 |
1-09+ | 4.000 | 4.000 | 4.000 | 4.000 | 4.000 | 4.000 | 2.429 | -4.068 | -22.581 |
1-10 | 3.547 | 3.547 | 3.547 | 3.547 | 3.547 | 3.547 | 1.979 | -4.504 | -22.988 |
1-10 | 3.099 | 3.099 | 3.099 | 3.099 | 3.099 | 3.099 | 1.535 | -4.936 | -23.391 |
1-10+ | 2.656 | 2.656 | 2.656 | 2.656 | 2.656 | 2.656 | 1.095 | -5.363 | -23.789 |
1-10+ | 2.217 | 2.217 | 2.217 | 2.217 | 2.217 | 2.217 | 0.659 | -5.785 | -24.182 |
1-11 | 1.783 | 1.783 | 1.783 | 1.783 | 1.783 | 1.783 | 0.229 | -6.203 | -24.572 |
1-11 | 1.354 | 1.354 | 1.354 | 1.354 | 1.354 | 1.354 | -0.197 | -6.616 | -24.957 |
1-11+ | 0.930 | 0.930 | 0.930 | 0.930 | 0.930 | 0.930 | -0.619 | -7.025 | -25.338 |
1-11+ | 0.509 | 0.509 | 0.509 | 0.509 | 0.509 | 0.509 | -1.036 | -7.429 | -25.716 |
1-12 | 0.094 | 0.094 | 0.094 | 0.094 | 0.094 | 0.094 | -1.449 | -7.830 | -26.089 |
1-12 | -0.318 | -0.318 | -0.318 | -0.318 | -0.318 | -0.318 | -1.857 | -8.226 | -26.459 |
1-12+ | -0.725 | -0.725 | -0.725 | -0.725 | -0.725 | -0.725 | -2.262 | -8.618 | -26.824 |
1-12+ | -1.129 | -1.129 | -1.129 | -1.129 | -1.129 | -1.129 | -2.662 | -9.007 | -27.186 |
1-13 | -1.528 | -1.528 | -1.528 | -1.528 | -1.528 | -1.528 | -3.058 | -9.391 | -27.545 |
1-13 | -1.923 | -1.923 | -1.923 | -1.923 | -1.923 | -1.923 | -3.450 | -9.772 | -27.899 |
1-13+ | -2.314 | -2.314 | -2.314 | -2.314 | -2.314 | -2.314 | -3.839 | -10.148 | -28.251 |
1-13+ | -2.701 | -2.701 | -2.701 | -2.701 | -2.701 | -2.701 | -4.223 | -10.521 | -28.598 |
MDUR (yr) | 1.263 | I 1.263 | 1.263 | 1.263 | 1.263 | 1.263 | 1.273 | 1.312 | 1.407 |